0001752724-21-039957.txt : 20210225
0001752724-21-039957.hdr.sgml : 20210225
20210225113815
ACCESSION NUMBER: 0001752724-21-039957
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20201231
FILED AS OF DATE: 20210225
PERIOD START: 20201231
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: 21678019
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
2020-12-31
2020-12-31
N
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228365511.02
394426250.20
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
54304166.80000000
0.00000000
0.00000000
4245975.91000000
USD
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Fannie Mae Interest Strip
31364HJV0
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USD
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ABS-MBS
USGSE
US
N
2
2021-08-25
Fixed
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N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR21 XCBT 20210322
000000000
-374.00000000
NC
USD
645760.37000000
0.163721448476
N/A
DIR
US
N
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Chicago Board of Trade
549300EX04Q2QBFQTQ27
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US Treasury Long Bond
USH1 Comdty
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-65417885.37000000
USD
645760.37000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ADDL6
1262280.00000000
PA
USD
1439386.62000000
0.364931750680
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ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
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Fannie Mae Pool
3138AD3D5
85443.33000000
PA
USD
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0.025065664354
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ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
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RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-1381749.60000000
PA
USD
-1381749.60000000
-0.35031887439
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RA
CORP
US
N
2
Reverse repurchase
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0.18000000
2021-01-14
1381749.60000000
USD
1381867.05000000
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ACMO
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Fannie Mae
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Fannie Mae Pool
31418QC68
1647030.48000000
PA
USD
1849312.47000000
0.468861407946
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
3250840.52000000
PA
USD
184220.26000000
0.046705882254
Long
ABS-MBS
USGSE
US
N
2
2039-06-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ALGM3
17616.36000000
PA
USD
19523.64000000
0.004949883530
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9WT6
3198537.06000000
PA
USD
3473049.36000000
0.880532002684
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
BRWBFBHA0 BB TRES BOND
N/A
BRWBFBHA0 BB TRES BOND BB TREASURY BOND
000000000
1146250.00000000
PA
USD
1146250.00000000
0.290611996391
Long
STIV
CORP
US
N
2
2049-12-31
Fixed
0.03000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A54P4
4760244.18000000
PA
USD
5220676.51000000
1.323612844569
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-1486145.88000000
PA
USD
-1486145.88000000
-0.37678675778
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
1486145.88000000
USD
1486272.20000000
USD
ACMO
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137A3QD4
2000000.00000000
PA
USD
2380941.80000000
0.603646891856
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137ANZV0
1100271.23000000
PA
USD
108700.75000000
0.027559207822
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413CRN1
1227.89000000
PA
USD
1364.26000000
0.000345884686
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A82M7
21878.24000000
PA
USD
24508.85000000
0.006213797886
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-1962502.85000000
PA
USD
-1962502.85000000
-0.49755888433
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
1962502.85000000
USD
1962669.66000000
USD
ACMO
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419E6R5
7260.24000000
PA
USD
8298.27000000
0.002103883804
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
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
1004027.81000000
0.254554003312
N/A
DIR
GB
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
2022-08-15
0.00000000
USD
0.00000000
USD
9565000.00000000
USD
1004027.81000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418VW73
209638.26000000
PA
USD
243775.01000000
0.061804966042
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.00000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pass-Through Certifica
N/A
FRESB 2019-SB61 Mortgage Trust
30309LAL2
1133216.11000000
PA
USD
1221540.67000000
0.309700652373
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Variable
3.17000000
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
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398PPG8
4399809.30000000
PA
USD
4933008.11000000
1.250679463524
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Fixed
5.00000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR33
45668JAM8
27115259.12000000
PA
USD
271.15000000
0.000068745424
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
3136AP6K3
19617939.29000000
PA
USD
3851642.99000000
0.976517913817
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Floating
6.10000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137AUW70
430706.00000000
PA
USD
74947.67000000
0.019001694223
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Floating
5.99000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.051120 FED 21-OCT-2022
000000000
1638612.00000000
OU
Notional Amount
USD
940.08000000
0.000238341134
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-10-21
0.00000000
USD
0.00000000
USD
1638612.00000000
USD
940.08000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NHS2
307491.35000000
PA
USD
335164.78000000
0.084975272267
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
4.50000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-6379104.65000000
PA
USD
-6379104.65000000
-1.61731239915
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
6379104.65000000
USD
6379646.87000000
USD
ACMO
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417KZE0
536254.79000000
PA
USD
606727.04000000
0.153825218197
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137A4U96
2950357.87000000
PA
USD
3355501.01000000
0.850729637872
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Fixed
4.00000000
N
Y
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MBDE4
7129.13000000
PA
USD
7476.44000000
0.001895522926
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXFZ0
14802321.10000000
PA
USD
16573538.27000000
4.201935916181
Long
ABS-MBS
USGSE
US
N
2
2057-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224GXF0
126.63000000
PA
USD
127.10000000
0.000032224021
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
31400CEY6
499314.00000000
PA
USD
580501.77000000
0.147176251505
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
5.50000000
N
N
N
N
N
N
FANNIEMAE STRIP
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HWH6
571.39000000
PA
USD
570.25000000
0.000144577091
Long
ABS-MBS
USGSE
US
N
2
2023-06-25
None
0.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137A2AG6
1305685.67000000
PA
USD
1482292.71000000
0.375809852728
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Fixed
4.00000000
N
Y
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP GNMA2 30YR RRP CANTR 01/14/2021
000000000
-1986279.65000000
PA
USD
-1986279.65000000
-0.50358708351
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
1986279.65000000
USD
1986448.48000000
USD
ACMO
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.300500 31-AUG-2023
000000000
14100000.00000000
OU
Notional Amount
USD
-895506.08000000
-0.22704018293
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-08-31
0.00000000
USD
-118.94000000
USD
14100000.00000000
USD
-895387.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHDX7
4174059.67000000
PA
USD
4606424.84000000
1.167879885698
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AEJQ7
3590.30000000
PA
USD
4174.52000000
0.001058377833
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
One Bryant Park Trust
N/A
One Bryant Park Trust 2019-OBP
68236JAA9
1717000.00000000
PA
USD
1835660.32000000
0.465400139840
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Fixed
2.52000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380FH25
17926523.43000000
PA
USD
3614521.33000000
0.916399790370
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Floating
6.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YRW9
13059.81000000
PA
USD
15185.97000000
0.003850141817
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2005-A15
45660L3P2
157970.74000000
PA
USD
128113.58000000
0.032480997381
Long
ABS-MBS
CORP
US
N
2
2036-02-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RF87
639461.25000000
PA
USD
742767.53000000
0.188315947435
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LBU5
430.37000000
PA
USD
452.19000000
0.000114645006
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.50000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F022410
180000.00000000
PA
USD
187734.38000000
0.047596827012
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFW71
244210.39000000
PA
USD
283948.13000000
0.071990170496
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
31417TQD3
1719192.85000000
PA
USD
1912174.45000000
0.484798983087
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.17314 SOFR 21-OCT-2025
000000000
136615.00000000
OU
Notional Amount
USD
-316.59000000
-0.00008026595
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-10-21
0.00000000
USD
0.00000000
USD
136615.00000000
USD
-316.59000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR SEP21 XCME 20210913
000000000
-6.00000000
NC
USD
-383.28000000
-0.00009717405
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDU1 Comdty
2021-09-13
-1497066.72000000
USD
-383.28000000
N
N
N
FANNIEMAE STRIP
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HUF2
956.30000000
PA
USD
940.89000000
0.000238546496
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358RAQ6
5929.33000000
PA
USD
44.18000000
0.000011201080
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Floating
1.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412MAV0
119620.98000000
PA
USD
134019.93000000
0.033978450960
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359QFX7
15214.35000000
PA
USD
148.78000000
0.000037720613
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
1.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203DYT1
67.65000000
PA
USD
68.48000000
0.000017361927
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
3137A63K6
1875485.55000000
PA
USD
149389.55000000
0.037875154081
Long
ABS-MBS
USGSE
US
N
2
2040-02-15
Floating
6.39000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224YPK9
61.05000000
PA
USD
61.75000000
0.000015655651
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
31405SL77
504011.75000000
PA
USD
585971.70000000
0.148563058291
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.00000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-2987529.43000000
PA
USD
-2987529.43000000
-0.75743676504
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
2987529.43000000
USD
2987783.37000000
USD
ACMO
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358TCF4
8708.19000000
PA
USD
8662.99000000
0.002196352295
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
None
0.00000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-1865749.44000000
PA
USD
-1865749.44000000
-0.47302871932
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
1865749.44000000
USD
1865908.03000000
USD
ACMO
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224SH39
1301.10000000
PA
USD
1360.44000000
0.000344916191
Long
ABS-MBS
USGA
US
N
2
2023-04-15
Fixed
7.50000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2018-FL1
63874MAA0
288279.99000000
PA
USD
283814.73000000
0.071956349217
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
1.09000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417SMM9
659077.23000000
PA
USD
737428.91000000
0.186962432045
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207DLQ7
5538.74000000
PA
USD
5622.03000000
0.001425369127
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380XYC5
5660764.52000000
PA
USD
6539542.74000000
1.657988720751
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
4.00000000
N
Y
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A9PP3
162691.32000000
PA
USD
183484.82000000
0.046519424076
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
31417SNP1
692262.05000000
PA
USD
764800.11000000
0.193901929603
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FLU51
2196000.00000000
PA
USD
2495126.16000000
0.632596374793
Long
ABS-MBS
USGSE
US
N
2
2049-05-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3133TNM68
829544.55000000
PA
USD
977337.62000000
0.247787164141
Long
ABS-MBS
USGSE
US
N
2
2030-03-15
Fixed
8.50000000
N
N
N
N
N
N
FHLMC Structured Pass Through Securities
N/A
Freddie Mac Structured Pass-Through Certificates
3133TDPY6
274190.77000000
PA
USD
281695.62000000
0.071419085280
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Variable
0.12000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-2198669.96000000
PA
USD
-2198669.96000000
-0.55743499802
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
2198669.96000000
USD
2198856.85000000
USD
ACMO
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-2
35563PFG9
1140137.63000000
PA
USD
1232407.94000000
0.312455861995
Long
ABS-MBS
USGSE
US
N
2
2057-11-25
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.18350 FED 21-OCT-2025
000000000
136615.00000000
OU
Notional Amount
USD
406.24000000
0.000102995173
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-10-21
0.00000000
USD
0.00000000
USD
136615.00000000
USD
406.24000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137A0N84
467862.70000000
PA
USD
469184.60000000
0.118953695339
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
3138EGUH5
865008.05000000
PA
USD
1004701.38000000
0.254724775415
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376LSL4
218642.45000000
PA
USD
218659.74000000
0.055437420782
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XYD7
26110622.05000000
PA
USD
931598.27000000
0.236190737692
Long
ABS-MBS
USGA
US
N
2
2056-10-16
Variable
0.76000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXM1
1215754.72000000
PA
USD
1459371.12000000
0.369998477347
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36223NTR5
10.86000000
PA
USD
10.88000000
0.000002758437
Long
ABS-MBS
USGA
US
N
2
2021-09-15
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398STJ2
3060000.00000000
PA
USD
3550432.32000000
0.900151122852
Long
ABS-MBS
USGSE
US
N
2
2040-12-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AD3K9
288870.10000000
PA
USD
327620.92000000
0.083062656157
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR U RRP CANTR 01/14/2021
000000000
-7072825.94000000
PA
USD
-7072825.94000000
-1.79319351498
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
7072825.94000000
USD
7073427.13000000
USD
ACMO
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224RMW1
305.60000000
PA
USD
306.80000000
0.000077783869
Long
ABS-MBS
USGA
US
N
2
2023-04-15
Fixed
7.50000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-1638800.22000000
PA
USD
-1638800.22000000
-0.41548964329
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
1638800.22000000
USD
1638939.52000000
USD
ACMO
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJLW6
1800062.46000000
PA
USD
2021151.95000000
0.512428356118
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR SEP22 XCME 20220919
000000000
-7.00000000
NC
USD
-272.16000000
-0.00006900149
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDU2 Comdty
2022-09-19
-1746140.34000000
USD
-272.16000000
N
N
N
RFC PRINCIPAL STRIP
N/A
Resolution Funding Corp Principal Strip
76116FAC1
13000000.00000000
PA
USD
11550611.28000000
2.928459065324
Long
DBT
USGA
US
N
2
2030-04-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-1
35563PJF7
1848284.32000000
PA
USD
2008249.26000000
0.509157100720
Long
ABS-MBS
USGSE
US
N
2
2058-07-25
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QY7
-917000.00000000
PA
USD
-1136112.85000000
-0.28804189615
Short
DBT
UST
US
N
2
2042-11-15
Fixed
2.75000000
N
N
N
N
N
N
BlackRock Liquidity Funds
5493007YVNX55LTRQ706
BlackRock Liquidity Funds: T-Fund, Institutional Shares
09248U718
12695261.37000000
NS
USD
12695261.37000000
3.218665432019
Long
STIV
RF
US
N
1
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-1787435.41000000
PA
USD
-1787435.41000000
-0.45317354235
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
1787435.41000000
USD
1787587.34000000
USD
ACMO
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H8QD0
1234372.23000000
PA
USD
1355531.09000000
0.343671621580
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.00000000
N
N
N
N
N
N
CitiMortgage Alternative Loan Trust
N/A
CitiMortgage Alternative Loan Trust Series 2007-A5
12566WAG5
209923.42000000
PA
USD
42154.78000000
0.010687620303
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8SJ3
1149521.85000000
PA
USD
1260550.04000000
0.319590808005
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137AAW82
10000000.00000000
PA
USD
11548296.00000000
2.927872065853
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418UFY5
625879.34000000
PA
USD
692576.50000000
0.175590873997
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FAP36
17538764.42000000
PA
USD
1820001.09000000
0.461430011079
Long
ABS-MBS
USGSE
US
N
2
2047-07-15
Fixed
4.00000000
N
N
N
N
N
N
FannieMae Whole Loan
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMIC Trust 1999-W4
31359VB36
58759.90000000
PA
USD
4113.19000000
0.001042828665
Long
ABS-MBS
USGSE
US
N
2
2028-12-25
Fixed
6.50000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
RRP FNMA 40YR R RRP BNPNR 01/14/2021
000000000
-16080129.53000000
PA
USD
-16080129.53000000
-4.07684060628
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.19000000
2021-01-14
16080129.53000000
USD
16081572.27000000
USD
ACMO
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ADKK0
47599.86000000
PA
USD
55345.58000000
0.014031921042
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-1956100.80000000
PA
USD
-1956100.80000000
-0.49593575453
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
1956100.80000000
USD
1956267.07000000
USD
ACMO
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXDJ8
33423704.68000000
PA
USD
37423035.78000000
9.487967842156
Long
ABS-MBS
USGSE
US
N
2
2056-02-01
Fixed
4.00000000
N
N
N
N
N
N
FannieMae Whole Loan
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMIC Trust 1999-W4
31359VB28
26587.13000000
PA
USD
26256.76000000
0.006656950440
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
362204M55
34.39000000
PA
USD
34.43000000
0.000008729135
Long
ABS-MBS
USGA
US
N
2
2021-02-15
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398SPL1
7000000.00000000
PA
USD
8270738.00000000
2.096903539205
Long
ABS-MBS
USGSE
US
N
2
2040-12-25
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ADC60
379562.91000000
PA
USD
426202.63000000
0.108056355220
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418V4Y5
113095.47000000
PA
USD
131246.87000000
0.033275389235
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F032617
1164000.00000000
PA
USD
1230384.38000000
0.311942823119
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DGY9
1762802.79000000
PA
USD
2048814.05000000
0.519441606374
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KPD5
7493324.43000000
PA
USD
225162.41000000
0.057086061053
Long
ABS-MBS
USGA
US
N
2
2051-09-16
Variable
0.77000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QSU4
900067.45000000
PA
USD
1010630.23000000
0.256227933482
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H37J9
11659774.65000000
PA
USD
12731587.54000000
3.227875308386
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AAS28
1822.62000000
PA
USD
2015.43000000
0.000510977653
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
5.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300AGZIS1CJS4RM30
Wells Fargo Commercial Mortgage Trust 2018-C44
95001JAY3
5036310.12000000
PA
USD
221140.35000000
0.056066336834
Long
ABS-MBS
CORP
US
N
2
2051-05-15
Variable
0.75000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AFN75
7000000.00000000
PA
USD
8245950.30000000
2.090619043691
Long
ABS-MBS
USGSE
US
N
2
2043-08-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31334YBG1
6188008.38000000
PA
USD
6739882.01000000
1.708781301087
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MPN6
4037632.96000000
PA
USD
4728319.90000000
1.198784284160
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
5.50000000
N
N
N
N
N
N
Federal Housing Authority
N/A
FHA ML 54 5254
000000000
325.54000000
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
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FHLMC GOLD RRP CANTR 01/14/2021
000000000
-8925406.23000000
PA
USD
-8925406.23000000
-2.26288342255
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
8925406.23000000
USD
8926164.89000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AMU8
99008.17000000
PA
USD
114292.27000000
0.028976841663
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375GYA3
8968320.14000000
PA
USD
1206715.28000000
0.305941929419
Long
ABS-MBS
USGA
US
N
2
2042-08-16
Floating
6.10000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust 1999-2
911760MW3
11472839.52000000
PA
USD
11.47000000
0.000002908021
Long
ABS-MBS
CORP
US
N
2
2029-05-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A74Z2
764885.89000000
PA
USD
15903.12000000
0.004031962880
Long
ABS-MBS
USGSE
US
N
2
2027-02-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A1LW3
43000000.00000000
PA
USD
49911295.40000000
12.65415153648
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B2MC3
2001000.00000000
PA
USD
2380963.69000000
0.603652441690
Long
ABS-MBS
USGSE
US
N
2
2048-07-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ACAB7
6012991.72000000
PA
USD
472352.37000000
0.119756829004
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
3.00000000
N
N
N
N
N
N
Federal Housing Authority USGI
N/A
FHA USGI 99
000000000
10515.75000000
PA
USD
11119.35000000
0.002819120176
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
31394BGX6
1645013.32000000
PA
USD
1871344.29000000
0.474447197429
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Floating
12.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.346000 31-AUG-2023
000000000
12100000.00000000
OU
Notional Amount
USD
-785106.72000000
-0.19905032172
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-08-31
0.00000000
USD
-102.06000000
USD
12100000.00000000
USD
-785004.66000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR21 XCBT 20210331
000000000
-165.00000000
NC
USD
-45981.59000000
-0.01165784223
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVH1 Comdty
2021-03-31
-20771088.81000000
USD
-45981.59000000
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-1390412.73000000
PA
USD
-1390412.73000000
-0.35251526218
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
1390412.73000000
USD
1390530.92000000
USD
ACMO
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VHH2
5664345.08000000
PA
USD
1192232.49000000
0.302270066811
Long
ABS-MBS
USGA
US
N
2
2041-04-16
Floating
6.52000000
N
N
N
N
N
N
FHLMC-GNMA
N/A
FHLMC-GNMA
3133T55A7
25939.23000000
PA
USD
27455.02000000
0.006960748678
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
3136A2V67
23010099.80000000
PA
USD
4902865.51000000
1.243037325105
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
5.85000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-4
35563PHF9
5748891.11000000
PA
USD
6238916.82000000
1.581770183104
Long
ABS-MBS
USGSE
US
N
2
2058-03-25
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032625
2500000.00000000
PA
USD
2646191.40000000
0.670896371288
Long
ABS-MBS
USGSE
US
N
2
2051-02-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137FCZ49
3351000.00000000
PA
USD
3984539.39000000
1.010211513047
Long
ABS-MBS
USGSE
US
N
2
2047-11-15
Fixed
3.50000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-12344112.94000000
PA
USD
-12344112.94000000
-3.12963777987
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
12344112.94000000
USD
12345162.19000000
USD
ACMO
N
N
N
FRESB Multifamily Mortgage Pass-Through Certifica
N/A
FRESB 2019-SB60 Mortgage Trust
30308GAG5
1472507.13000000
PA
USD
1577279.25000000
0.399892058198
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Variable
3.31000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFC24
2850433.05000000
PA
USD
3200118.22000000
0.811335000745
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203YHK3
516.78000000
PA
USD
523.59000000
0.000132747249
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.50000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-7389105.17000000
PA
USD
-7389105.17000000
-1.87338068048
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
7389105.17000000
USD
7389733.24000000
USD
ACMO
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B8H36
14012490.09000000
PA
USD
2471256.76000000
0.626544698469
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MUA8
5648584.56000000
PA
USD
6393563.72000000
1.620978247963
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392B5G7
41653.54000000
PA
USD
40000.99000000
0.010141563848
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378DHX6
9334234.00000000
PA
USD
10181570.56000000
2.581362309135
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137AJ4M3
17311798.51000000
PA
USD
3707242.02000000
0.939907528497
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Floating
5.84000000
N
N
N
N
N
N
Federal Housing Authority USGI
N/A
FHA USGI
362995YS5
292573.86000000
PA
USD
296786.92000000
0.075245225146
Long
ABS-MBS
USGA
US
N
3
2021-06-01
Fixed
7.43000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137B9AB1
10787000.00000000
PA
USD
11506694.62000000
2.917324750613
Long
ABS-MBS
USGSE
US
N
2
2034-03-15
Fixed
4.50000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2018-C14 Commercial Mortgage Trust
12596GBB4
2384367.08000000
PA
USD
82871.78000000
0.021010716187
Long
ABS-MBS
CORP
US
N
2
2051-11-15
Variable
0.56000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415YHF9
724166.85000000
PA
USD
813132.84000000
0.206155863000
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETS56
887781.90000000
PA
USD
967587.33000000
0.245315145609
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358JM24
1.07000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2021-10-25
Fixed
648.35000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
31393GN59
273638.46000000
PA
USD
280955.36000000
0.071231405074
Long
ABS-MBS
USGSE
US
N
2
2022-12-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AX4Q5
3415000.00000000
PA
USD
3792223.29000000
0.961453069636
Long
ABS-MBS
USGSE
US
N
2
2057-10-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397QJJ8
8719084.52000000
PA
USD
9442225.34000000
2.393914029609
Long
ABS-MBS
USGSE
US
N
2
2041-02-25
Fixed
4.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050619
641732.00000000
PA
USD
710191.77000000
0.180056923097
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
5.00000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-2536756.55000000
PA
USD
-2536756.55000000
-0.64315104502
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
2536756.55000000
USD
2536972.17000000
USD
ACMO
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VGR1
4698376.37000000
PA
USD
707790.20000000
0.179448046280
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Floating
6.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020620
25000000.00000000
PA
USD
25925890.00000000
6.573064035888
Long
ABS-MBS
USGSE
US
N
2
2051-02-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B75D7
1000000.00000000
PA
USD
1190699.00000000
0.301881276764
Long
ABS-MBS
USGSE
US
N
2
2044-01-15
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR JUN21 XCME 20210614
000000000
-7.00000000
NC
USD
-522.16000000
-0.00013238469
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDM1 Comdty
2021-06-14
-1746590.34000000
USD
-522.16000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359FQ68
24910.82000000
PA
USD
27506.75000000
0.006973863931
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
10.00000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-5096693.37000000
PA
USD
-5096693.37000000
-1.29217904929
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
5096693.37000000
USD
5097126.59000000
USD
ACMO
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FHLMC 30YR RRP CANTR 01/14/2021
000000000
-6489298.31000000
PA
USD
-6489298.31000000
-1.64525010866
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
6489298.31000000
USD
6489849.90000000
USD
AMBS
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203DS27
10217.76000000
PA
USD
10404.27000000
0.002637823926
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
31358UB54
3158.91000000
PA
USD
3119.66000000
0.000790936201
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419B4V4
165966.43000000
PA
USD
174407.60000000
0.044218050880
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR DEC21 XCME 20211213
000000000
-9.00000000
NC
USD
-5237.42000000
-0.00132785786
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDZ1 Comdty
2021-12-13
-2240037.58000000
USD
-5237.42000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3129127E2
3197.82000000
PA
USD
3162.73000000
0.000801855859
Long
ABS-MBS
USGSE
US
N
2
2022-11-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416PRP4
273458.24000000
PA
USD
309310.42000000
0.078420343433
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
36208DU29
1485.38000000
PA
USD
1519.87000000
0.000385336929
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393YBA2
3384823.63000000
PA
USD
4189188.04000000
1.062096662652
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Fixed
7.50000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F030611
4600000.00000000
PA
USD
4819578.10000000
1.221921233071
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419B2M6
67321.68000000
PA
USD
70745.71000000
0.017936359449
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.703000 30-NOV-2023
000000000
1500000.00000000
OU
Notional Amount
USD
-66367.92000000
-0.01682644600
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-11-30
0.00000000
USD
-13.85000000
USD
1500000.00000000
USD
-66354.07000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR21 XCBT 20210322
000000000
-185.00000000
NC
USD
99919.42000000
0.025332852453
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYH1 Comdty
2021-03-22
-29026403.80000000
USD
99919.42000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3133T4GR1
73895.97000000
PA
USD
72680.03000000
0.018426773056
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B1C69
9203193.91000000
PA
USD
10450332.52000000
2.649502287107
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Floating
7.06000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR MAR21 XCME 20210315
000000000
-7.00000000
NC
USD
-622.16000000
-0.00015773798
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDH1 Comdty
2021-03-15
-1746402.84000000
USD
-622.16000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394ED96
95404.92000000
PA
USD
125054.86000000
0.031705511470
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Floating
17.17000000
N
N
N
N
N
N
Sterling Bank Trust
N/A
Sterling COOFS Trust 2004-2
859245AB8
682647.16000000
PA
USD
6826.47000000
0.001730734198
Long
ABS-O
CORP
US
N
3
2030-03-30
Fixed
2.08000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DC40
793473.66000000
PA
USD
919956.92000000
0.233239273383
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MBEE3
4664.20000000
PA
USD
4891.43000000
0.001240138047
Long
ABS-MBS
USGSE
US
N
2
2022-04-01
Fixed
5.00000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-3095432.90000000
PA
USD
-3095432.90000000
-0.78479383621
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
3095432.90000000
USD
3095696.01000000
USD
ACMO
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417JQU7
620293.27000000
PA
USD
685315.59000000
0.173749994999
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXZ2
1318140.90000000
PA
USD
1549590.44000000
0.392872036081
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XJ92
3566279.06000000
PA
USD
3898318.08000000
0.988351581068
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416TL49
2344038.75000000
PA
USD
2631946.36000000
0.667284786107
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AP5N4
467868.01000000
PA
USD
537406.01000000
0.136250061887
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H1XR6
2042502.73000000
PA
USD
2272800.00000000
0.576229396204
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417SNL0
1222737.35000000
PA
USD
1372934.71000000
0.348084010459
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B4ZB7
15255740.80000000
PA
USD
3435553.16000000
0.871025485311
Long
ABS-MBS
USGSE
US
N
2
2049-06-25
Floating
5.90000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-4494026.59000000
PA
USD
-4494026.59000000
-1.13938324026
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
4494026.59000000
USD
4494408.58000000
USD
ACMO
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203N7F9
249.90000000
PA
USD
264.07000000
0.000066950412
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36217FMY2
1464.64000000
PA
USD
1470.49000000
0.000372817478
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377WSG0
14131430.18000000
PA
USD
15521913.45000000
3.935314508638
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A8DZ0
1639065.00000000
PA
USD
2015005.70000000
0.510870080015
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TTK3
7812.67000000
PA
USD
8636.54000000
0.002189646352
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31335ARP5
7932177.23000000
PA
USD
9290445.11000000
2.355432759682
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
3136AXT39
30695106.50000000
PA
USD
6976724.52000000
1.768828650847
Long
ABS-MBS
USGSE
US
N
2
2047-09-25
Floating
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BJGZ0
3932064.00000000
PA
USD
4293063.65000000
1.088432539118
Long
ABS-MBS
USGSE
US
N
2
2043-09-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
31394PCV3
2783809.76000000
PA
USD
3111408.49000000
0.788844172623
Long
ABS-MBS
USGSE
US
N
2
2034-01-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205KZ39
2766.02000000
PA
USD
2865.30000000
0.000726447592
Long
ABS-MBS
USGA
US
N
2
2027-01-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395DPW3
3530807.12000000
PA
USD
795199.20000000
0.201609096655
Long
ABS-MBS
USGSE
US
N
2
2036-05-25
Floating
6.45000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.722500 13-MAR-2025
000000000
22270000.00000000
OU
Notional Amount
USD
-398959.12000000
-0.10114923126
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-03-13
0.00000000
USD
-251.23000000
USD
22270000.00000000
USD
-398707.89000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208HM94
9.70000000
PA
USD
9.72000000
0.000002464339
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203SP84
194.84000000
PA
USD
195.51000000
0.000049568201
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.50000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-3819235.14000000
PA
USD
-3819235.14000000
-0.96830146017
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
3819235.14000000
USD
3819559.77000000
USD
ACMO
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137F4VK5
10000000.00000000
PA
USD
11258590.00000000
2.854422086332
Long
ABS-MBS
USGSE
US
N
2
2048-03-15
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.406500 30-NOV-2023
000000000
4900000.00000000
OU
Notional Amount
USD
-173106.92000000
-0.04388828581
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-11-30
0.00000000
USD
-45.25000000
USD
4900000.00000000
USD
-173061.67000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406UT99
15593.35000000
PA
USD
17870.41000000
0.004530735464
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NX21
6690935.00000000
PA
USD
7779117.76000000
1.972261672760
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203GD34
5162.32000000
PA
USD
5182.80000000
0.001314009906
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417Y2B2
307123.59000000
PA
USD
357101.60000000
0.090536976131
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
Federal Housing Authority
N/A
FHA 99TH PROJECT USGI INC
000000000
3632.77000000
PA
USD
3841.29000000
0.000973893091
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
3138A2XW4
103181.93000000
PA
USD
114247.45000000
0.028965478322
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137AN5V3
15407765.00000000
PA
USD
18148125.37000000
4.601145425994
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BDKG0
5100000.00000000
PA
USD
5580778.53000000
1.414910525648
Long
ABS-MBS
USGSE
US
N
2
2043-08-15
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR JUN22 XCME 20220613
000000000
-7.00000000
NC
USD
-359.66000000
-0.00009118561
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDM2 Comdty
2022-06-13
-1746315.34000000
USD
-359.66000000
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-3381418.68000000
PA
USD
-3381418.68000000
-0.85730061786
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
3381418.68000000
USD
3381706.10000000
USD
ACMO
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYG29
2064918.46000000
PA
USD
2267591.03000000
0.574908751344
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358U6R2
651.26000000
PA
USD
645.78000000
0.000163726425
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
None
0.00000000
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
935823.62000000
PA
USD
9358.24000000
0.002372620989
Long
ABS-O
CORP
US
N
3
2029-04-15
Variable
2.36000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417Y6Y8
18210.19000000
PA
USD
20809.26000000
0.005275830396
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
31418AAR9
109823.21000000
PA
USD
127695.25000000
0.032374936996
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3129044V4
30.84000000
PA
USD
0.03000000
0.000000007605
Long
ABS-MBS
USGSE
US
N
2
2021-02-15
Floating
44.37000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376PA59
585384.91000000
PA
USD
101881.15000000
0.025830215394
Long
ABS-MBS
USGA
US
N
2
2039-12-16
Floating
6.32000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B5JD8
5034781.35000000
PA
USD
976901.65000000
0.247676631437
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
5.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TDT1
29983.08000000
PA
USD
34865.07000000
0.008839439561
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NPH7
2752855.84000000
PA
USD
3090973.10000000
0.783663130542
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBUF3
6603941.22000000
PA
USD
7340481.76000000
1.861053050165
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FB47
1822818.07000000
PA
USD
2083254.86000000
0.528173482100
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR21 XCBT 20210322
000000000
30.00000000
NC
USD
-3791.70000000
-0.00096132039
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYH1 Comdty
2021-03-22
4146135.45000000
USD
-3791.70000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
31395MHU6
3163720.42000000
PA
USD
3588563.78000000
0.909818699485
Long
ABS-MBS
USGSE
US
N
2
2035-02-15
Fixed
5.50000000
N
N
N
N
N
N
SBA 001 IO
N/A
SBA 001 IO
000000000
34118.37000000
PA
USD
0.00000000
0.000000
Long
ABS-O
CORP
US
N
3
2021-03-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137AFMM1
29360135.05000000
PA
USD
6011475.91000000
1.524106447517
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Floating
5.84000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.049290000 SOFR 21-OCT-
000000000
1638612.00000000
OU
Notional Amount
USD
-571.63000000
-0.00014492696
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-10-21
0.00000000
USD
0.00000000
USD
1638612.00000000
USD
-571.63000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412RH59
74686.10000000
PA
USD
86833.37000000
0.022015109277
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393USU8
1154627.27000000
PA
USD
1180851.51000000
0.299384614842
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Fixed
6.00000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2019-C16 Commercial Mortgage Trust
12596WAE4
6458581.47000000
PA
USD
676360.74000000
0.171479646615
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Variable
1.57000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AMQY4
257927.64000000
PA
USD
294741.77000000
0.074726712497
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379UH41
7222151.96000000
PA
USD
514719.88000000
0.130498383345
Long
ABS-MBS
USGA
US
N
2
2058-02-16
Variable
1.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416TAH2
101280.15000000
PA
USD
112376.92000000
0.028491237574
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137B5KE2
8884000.00000000
PA
USD
10753641.35000000
2.726401030496
Long
ABS-MBS
USGSE
US
N
2
2041-08-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSRP9
5925207.59000000
PA
USD
6618012.07000000
1.677883271370
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
5.00000000
N
N
N
N
N
N
Kidder Peabody Acceptance Corp
N/A
Kidder Peabody Acceptance Corp I
493918BN5
14524.94000000
PA
USD
15332.92000000
0.003887398466
Long
ABS-MBS
CORP
US
N
2
2023-08-25
Floating
16.35000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137AJGT5
2859000.00000000
PA
USD
3369595.67000000
0.854303096787
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR MAR22 XCME 20220314
000000000
-6.00000000
NC
USD
-383.28000000
-0.00009717405
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDH2 Comdty
2022-03-14
-1496916.72000000
USD
-383.28000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3133T0EZ3
26454.32000000
PA
USD
26377.64000000
0.006687597487
Long
ABS-MBS
USGSE
US
N
2
2023-08-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379MCQ5
7789919.47000000
PA
USD
8919518.55000000
2.261390702438
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
4.00000000
N
Y
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RUV3
1129025.88000000
PA
USD
64027.17000000
0.016232989048
Long
ABS-MBS
USGA
US
N
2
2057-11-16
Variable
0.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BRYR0
8000000.00000000
PA
USD
9766181.60000000
2.476047574178
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2003-J8
12669EX27
11583.50000000
PA
USD
10925.20000000
0.002769896779
Long
ABS-MBS
CORP
US
N
2
2023-09-25
None
0.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKG3
682769.04000000
PA
USD
743919.13000000
0.188607915832
Long
ABS-MBS
USGSE
US
N
2
2058-08-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RCV9
1472039.44000000
PA
USD
1709008.97000000
0.433289865756
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.00000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-4440553.58000000
PA
USD
-4440553.58000000
-1.12582607718
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
4440553.58000000
USD
4440931.03000000
USD
ACMO
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207RFG5
4090.17000000
PA
USD
4540.34000000
0.001151125209
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LQL9
0.00000000
PA
USD
0.00000000
0.000000
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
36203LBV3
77.50000000
PA
USD
81.95000000
0.000020777014
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.50000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
RRP FNMA 40YR R RRP BNPNR 01/14/2021
000000000
-36308920.63000000
PA
USD
-36308920.63000000
-9.20550308494
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.19000000
2021-01-14
36308920.63000000
USD
36312178.35000000
USD
ACMO
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137AHVU9
800000.00000000
PA
USD
911581.68000000
0.231115875157
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
31418TWD5
31635.58000000
PA
USD
36619.06000000
0.009284133594
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A14G7
14350496.00000000
PA
USD
16878922.81000000
4.279360920182
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
4.00000000
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
101081.92000000
0.025627584357
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
2021-03-28
0.00000000
USD
-6827.22000000
USD
6000000.00000000
USD
107909.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GYE7
19555.58000000
PA
USD
20505.15000000
0.005198728530
Long
ABS-MBS
USGSE
US
N
2
2023-01-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224NXM0
287.95000000
PA
USD
289.08000000
0.000073291267
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
31412QQL6
325287.75000000
PA
USD
356941.97000000
0.090496504687
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-2186113.15000000
PA
USD
-2186113.15000000
-0.55425143455
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
2186113.15000000
USD
2186298.97000000
USD
ACMO
N
N
N
CANTOR FITZGERALD & CO
5493004J7H4GCPG6OB62
RRP FNMA 30YR RRP CANTR 01/14/2021
000000000
-6241403.71000000
PA
USD
-6241403.71000000
-1.58240069134
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.18000000
2021-01-14
6241403.71000000
USD
6241934.23000000
USD
ACMO
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AD3V9
2530279.07000000
PA
USD
205854.14000000
0.052190780886
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Fixed
4.00000000
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
72498.21000000
PA
USD
51367.62000000
0.013023377621
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
31359RSW3
365835.75000000
PA
USD
22070.10000000
0.005595494718
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
312907NU8
426.09000000
PA
USD
459.79000000
0.000116571855
Long
ABS-MBS
USGSE
US
N
2
2021-10-15
Floating
39.49000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FHSG9
1069000.00000000
PA
USD
1247203.37000000
0.316206989105
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
4.00000000
N
N
N
N
N
N
2021-01-28
BlackRock Income Trust, Inc.
Ann Frechette
Ann Frechette
Assistant Treasurer