0001752724-21-186149.txt : 20210826
0001752724-21-186149.hdr.sgml : 20210826
20210826094611
ACCESSION NUMBER: 0001752724-21-186149
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210630
FILED AS OF DATE: 20210826
PERIOD START: 20211231
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: 211209239
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
2021-12-31
2021-06-30
N
630691400.72
248107404.73
382583995.99
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
91715205.40000000
0.00000000
0.00000000
3920822.43000000
USD
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F72R5
4834622.37000000
PA
USD
399001.38000000
0.104291184205
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
1.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ADDL6
1080301.86000000
PA
USD
1211940.54000000
0.316777636467
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-2128883.71000000
PA
USD
-2128883.71000000
-0.55644870990
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
2128883.71000000
USD
2128931.02000000
USD
AMBS
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N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AD3D5
67428.40000000
PA
USD
76654.26000000
0.020035929574
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
31418QC68
1121859.75000000
PA
USD
1236143.73000000
0.323103878613
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
2665811.55000000
PA
USD
139737.84000000
0.036524747889
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
16773.07000000
PA
USD
18394.67000000
0.004808008226
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
2373491.40000000
PA
USD
2571303.32000000
0.672088573215
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032674
3664000.00000000
PA
USD
3856717.79000000
1.008070862980
Long
ABS-MBS
USGSE
US
N
2
2051-07-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A54P4
3760482.27000000
PA
USD
4116118.52000000
1.075873158088
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137A3QD4
2000000.00000000
PA
USD
2312576.20000000
0.604462346632
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
991652.30000000
PA
USD
93932.08000000
0.024552014978
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
4.50000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-4011443.77000000
PA
USD
-4011443.77000000
-1.04851321854
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
4011443.77000000
USD
4011532.91000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413CRN1
353.98000000
PA
USD
388.10000000
0.000101441775
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
21551.96000000
PA
USD
23875.57000000
0.006240608663
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
31419E6R5
6394.12000000
PA
USD
7315.63000000
0.001912163100
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
753524.24000000
0.196956550168
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
753524.24000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418VW73
159094.16000000
PA
USD
179614.32000000
0.046947682569
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
995651.68000000
PA
USD
1050548.23000000
0.274592832165
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Variable
3.17000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31365C4H7
1.62000000
PA
USD
1.63000000
0.000000426050
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
7.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F82T9
1675766.60000000
PA
USD
119836.92000000
0.031323035269
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
0.97000000
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
3782120.70000000
PA
USD
4219027.88000000
1.102771659092
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
23281194.49000000
PA
USD
2.33000000
0.000000609016
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
17563642.32000000
PA
USD
3068695.00000000
0.802097064217
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Floating
6.16000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AUW70
346818.54000000
PA
USD
64677.98000000
0.016905563399
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Floating
6.08000000
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
1660.70000000
0.000434074613
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
1660.70000000
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-3639148.16000000
PA
USD
-3639148.16000000
-0.95120240212
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
3639148.16000000
USD
3639229.03000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NHS2
302188.37000000
PA
USD
328188.82000000
0.085782161156
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417KZE0
475179.96000000
PA
USD
530331.90000000
0.138618422505
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
3009858.94000000
PA
USD
3435781.37000000
0.898046286831
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
2878.59000000
PA
USD
2996.45000000
0.000783213629
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
13565773.40000000
PA
USD
15093523.13000000
3.945152773822
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
72.71000000
PA
USD
72.97000000
0.000019072935
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
410094.60000000
PA
USD
472691.46000000
0.123552334900
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
417.59000000
PA
USD
410.23000000
0.000107226126
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
1313173.86000000
PA
USD
1464918.85000000
0.382901236161
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.300500 31-AUG-2023
000000000
14100000.00000000
OU
Notional Amount
USD
-708106.30000000
-0.18508518584
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-08-31
0.00000000
USD
-97.76000000
USD
14100000.00000000
USD
-708008.54000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHDX7
3404528.45000000
PA
USD
3733995.97000000
0.975993771077
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
2997.12000000
PA
USD
3429.12000000
0.000896305134
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
1777886.71000000
0.464704935029
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
14596487.85000000
PA
USD
2862112.91000000
0.748100532170
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Floating
6.11000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FW3Q1
34994275.65000000
PA
USD
4622845.30000000
1.208321662289
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YRW9
11881.77000000
PA
USD
13612.33000000
0.003557997758
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
137415.47000000
PA
USD
110461.34000000
0.028872441387
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
554066.00000000
PA
USD
633398.94000000
0.165558137987
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
323.07000000
PA
USD
336.74000000
0.000088017272
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030678
4600000.00000000
PA
USD
4794871.09000000
1.253285851017
Long
ABS-MBS
USGSE
US
N
2
2051-07-14
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFW71
198968.56000000
PA
USD
226190.85000000
0.059121879736
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
1579216.83000000
PA
USD
1761808.26000000
0.460502341568
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
-2664.75000000
-0.00069651371
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
-2664.75000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWG95
1955775.13000000
PA
USD
204454.78000000
0.053440494673
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.43000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR SEP21 XCME 20210913
000000000
-6.00000000
NC
USD
-758.28000000
-0.00019819961
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDU1 Comdty
2021-09-13
-1497066.72000000
USD
-758.28000000
N
N
N
FANNIEMAE STRIP
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HUF2
658.31000000
PA
USD
650.05000000
0.000169910400
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
None
0.00000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR U RRP CALIP 07/14/2021
000000000
-5687260.22000000
PA
USD
-5687260.22000000
-1.48653897695
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
5687260.22000000
USD
5687386.60000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358RAQ6
3484.61000000
PA
USD
14.13000000
0.000003693306
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
48050.69000000
PA
USD
53798.39000000
0.014061850616
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
9279.45000000
PA
USD
63.48000000
0.000016592434
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
48.32000000
PA
USD
48.84000000
0.000012765824
Long
ABS-MBS
USGA
US
N
2
2023-02-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FREK3
1371109.04000000
PA
USD
115297.52000000
0.030136524582
Long
ABS-MBS
USGSE
US
N
2
2052-02-25
Variable
1.25000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-2120189.44000000
PA
USD
-2120189.44000000
-0.55417619718
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
2120189.44000000
USD
2120236.56000000
USD
AMBS
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-1943393.70000000
PA
USD
-1943393.70000000
-0.50796523648
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
1943393.70000000
USD
1943436.89000000
USD
AMBS
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137A63K6
1456746.49000000
PA
USD
95027.51000000
0.024838339030
Long
ABS-MBS
USGSE
US
N
2
2040-02-15
Floating
6.48000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224YPK9
36.78000000
PA
USD
37.19000000
0.000009720741
Long
ABS-MBS
USGA
US
N
2
2023-02-15
Fixed
7.50000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-6470408.75000000
PA
USD
-6470408.75000000
-1.69123873915
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
6470408.75000000
USD
6470552.54000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405SL77
490356.49000000
PA
USD
561118.90000000
0.146665544267
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358TCF4
5632.53000000
PA
USD
5612.62000000
0.001467029478
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224SH39
868.69000000
PA
USD
894.62000000
0.000233836231
Long
ABS-MBS
USGA
US
N
2
2023-04-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FRUL3
2042264.34000000
PA
USD
233836.41000000
0.061120280108
Long
ABS-MBS
USGSE
US
N
2
2053-03-25
Variable
1.64000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2018-FL1
63874MAA0
286501.15000000
PA
USD
282914.41000000
0.073948312779
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
1.02000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417SMM9
608035.48000000
PA
USD
675834.64000000
0.176650002897
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
4743.13000000
PA
USD
4765.25000000
0.001245543475
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
8.00000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
RRP FNMA 40YR R RRP RBCBK 07/14/2021
000000000
-32860672.52000000
PA
USD
-32860672.52000000
-8.58913934310
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.06000000
2021-07-14
32860672.52000000
USD
32861548.80000000
USD
AMBS
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380XYC5
5774927.65000000
PA
USD
6998838.67000000
1.829360021160
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
146155.41000000
PA
USD
161038.17000000
0.042092239008
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
585728.97000000
PA
USD
648827.29000000
0.169590807979
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FLU51
2196000.00000000
PA
USD
2437399.47000000
0.637088716607
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
706764.90000000
PA
USD
829377.87000000
0.216783210665
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
220443.61000000
PA
USD
227666.33000000
0.059507541451
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Variable
0.13000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-2
35563PFG9
957409.42000000
PA
USD
1003715.87000000
0.262351766022
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
2873.79000000
0.000751152695
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
2873.79000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGUH5
748935.34000000
PA
USD
876116.00000000
0.228999646922
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
38378XYD7
20767132.67000000
PA
USD
667868.91000000
0.174567916326
Long
ABS-MBS
USGA
US
N
2
2056-10-16
Variable
0.68000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXM1
1075735.01000000
PA
USD
1271447.68000000
0.332331643070
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398STJ2
3060000.00000000
PA
USD
3456308.56000000
0.903411694223
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
284496.27000000
PA
USD
319155.52000000
0.083421032595
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-1772101.57000000
PA
USD
-1772101.57000000
-0.46319281218
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
1772101.57000000
USD
1772140.95000000
USD
AMBS
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224RMW1
239.67000000
PA
USD
240.64000000
0.000062898605
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
3138EJLW6
1457451.81000000
PA
USD
1618982.55000000
0.423170484643
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
2527.84000000
0.000660728108
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDU2 Comdty
2022-09-19
-1746140.34000000
USD
2527.84000000
N
N
N
RFC PRINCIPAL STRIP
N/A
Resolution Funding Corp Principal Strip
76116FAC1
13000000.00000000
PA
USD
11244285.39000000
2.939037050126
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
1592213.65000000
PA
USD
1675266.22000000
0.437881939014
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
-1032592.15000000
-0.26989946281
Short
DBT
UST
US
N
2
2042-11-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H8QD0
870931.82000000
PA
USD
943509.85000000
0.246615085808
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
189463.31000000
PA
USD
37832.91000000
0.009888785311
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
896205.60000000
PA
USD
971673.94000000
0.253976630017
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
11383841.00000000
2.975514166645
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
407271.80000000
PA
USD
445635.70000000
0.116480486552
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FAP36
13115003.35000000
PA
USD
1688378.32000000
0.441309186399
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
51820.12000000
PA
USD
3383.93000000
0.000884493349
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
3138ADKK0
46733.38000000
PA
USD
53469.50000000
0.013975885180
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
3140FXDJ8
30294382.77000000
PA
USD
33705997.41000000
8.810090793991
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
23935.17000000
PA
USD
23492.99000000
0.006140609708
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398SPL1
7000000.00000000
PA
USD
8072479.80000000
2.109988887305
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
313913.02000000
PA
USD
350075.53000000
0.091502920579
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
87911.69000000
PA
USD
99721.98000000
0.026065381993
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
31403DGY9
1511781.22000000
PA
USD
1730076.08000000
0.452208168175
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
7023959.15000000
PA
USD
199896.96000000
0.052249169357
Long
ABS-MBS
USGA
US
N
2
2051-09-16
Variable
0.76000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QSU4
827968.83000000
PA
USD
923514.74000000
0.241388753758
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
8637211.71000000
PA
USD
9356969.30000000
2.445729407940
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) SEP21 XCBT 20210921
000000000
-312.00000000
NC
USD
-1526326.15000000
-0.39895190755
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USU1 Comdty
2021-09-21
-48569173.85000000
USD
-1526326.15000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AAS28
1724.28000000
PA
USD
1887.84000000
0.000493444582
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
5014245.84000000
PA
USD
208654.30000000
0.054538167353
Long
ABS-MBS
CORP
US
N
2
2051-05-15
Variable
0.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AFN75
7000000.00000000
PA
USD
8023320.20000000
2.097139525985
Long
ABS-MBS
USGSE
US
N
2
2043-08-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31334YBG1
4606628.39000000
PA
USD
4976059.30000000
1.300644917758
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
3535867.86000000
PA
USD
4111660.22000000
1.074707845360
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
199.56000000
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 Pool
31419AMU8
77693.31000000
PA
USD
88129.57000000
0.023035351955
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
7824702.37000000
PA
USD
935918.13000000
0.244630758162
Long
ABS-MBS
USGA
US
N
2
2042-08-16
Floating
6.18000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020695
22200000.00000000
PA
USD
22325742.35000000
5.835513922172
Long
ABS-MBS
USGSE
US
N
2
2051-09-15
Fixed
2.00000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust 1999-2
911760MW3
10249949.90000000
PA
USD
10.25000000
0.000002679150
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
504710.50000000
PA
USD
7638.54000000
0.001996565481
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
48877063.70000000
12.77551183852
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
2316498.87000000
0.605487656117
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
5252640.55000000
PA
USD
472212.91000000
0.123427251257
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
8239.62000000
PA
USD
8635.12000000
0.002257052069
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
1447520.24000000
PA
USD
1592993.71000000
0.416377508389
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Floating
12.59000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.346000 31-AUG-2023
000000000
12100000.00000000
OU
Notional Amount
USD
-621528.77000000
-0.16245550689
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-08-31
0.00000000
USD
-83.89000000
USD
12100000.00000000
USD
-621444.88000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VHH2
5058372.63000000
PA
USD
984357.29000000
0.257291810508
Long
ABS-MBS
USGA
US
N
2
2041-04-16
Floating
6.60000000
N
N
N
N
N
N
FHLMC-GNMA
N/A
FHLMC-GNMA
3133T55A7
18981.38000000
PA
USD
20033.23000000
0.005236295874
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
19332984.52000000
PA
USD
4128684.51000000
1.079157662964
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
5.91000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-4
35563PHF9
4894564.15000000
PA
USD
5146093.84000000
1.345088632545
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
3137FCZ49
3351000.00000000
PA
USD
3858881.58000000
1.008636435513
Long
ABS-MBS
USGSE
US
N
2
2047-11-15
Fixed
3.50000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pass-Through Certifica
N/A
FRESB 2019-SB60 Mortgage Trust
30308GAG5
1411434.88000000
PA
USD
1494523.09000000
0.390639207511
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Variable
3.31000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMU26
1409257.12000000
PA
USD
88747.40000000
0.023196840675
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Variable
1.02000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFC24
2315242.44000000
PA
USD
2573783.97000000
0.672736966777
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
376.14000000
PA
USD
380.82000000
0.000099538925
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B8H36
12234233.12000000
PA
USD
2181873.93000000
0.570299320637
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
4974282.41000000
PA
USD
5550963.36000000
1.450913634177
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
35201.44000000
PA
USD
33675.81000000
0.008802200393
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
8539821.90000000
PA
USD
9291505.56000000
2.428618462190
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
15031256.63000000
PA
USD
2986667.10000000
0.780656569878
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Floating
5.93000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137B9AB1
10787000.00000000
PA
USD
11240196.39000000
2.937968265220
Long
ABS-MBS
USGSE
US
N
2
2034-03-15
Fixed
4.50000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-4592761.10000000
PA
USD
-4592761.10000000
-1.20045823874
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
4592761.10000000
USD
4592863.16000000
USD
AMBS
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2018-C14 Commercial Mortgage Trust
12596GBB4
2378393.77000000
PA
USD
78271.51000000
0.020458647204
Long
ABS-MBS
CORP
US
N
2
2051-11-15
Variable
0.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415YHF9
709939.91000000
PA
USD
791998.41000000
0.207012948346
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
787979.58000000
PA
USD
861708.34000000
0.225233765403
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
2.59000000
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
165072.42000000
PA
USD
168519.97000000
0.044047835708
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
3619359.06000000
0.946029917073
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
6331914.68000000
PA
USD
6781395.77000000
1.772524685056
Long
ABS-MBS
USGSE
US
N
2
2041-02-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VGR1
4194100.10000000
PA
USD
584298.96000000
0.152724360172
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Floating
6.56000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B75D7
1000000.00000000
PA
USD
1161380.40000000
0.303562201287
Long
ABS-MBS
USGSE
US
N
2
2044-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359FQ68
18293.58000000
PA
USD
19774.08000000
0.005168559115
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
10.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FRZC8
1233777.07000000
PA
USD
148172.06000000
0.038729288614
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Variable
1.71000000
N
N
N
N
N
N
BlackRock Liquidity Funds
5493007YVNX55LTRQ706
BlackRock Liquidity Funds: T-Fund, Institutional Shares
09248U718
8839359.43000000
NS
USD
8839359.43000000
2.310436276124
Long
STIV
RF
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203DS27
7891.06000000
PA
USD
7994.55000000
0.002089619556
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
2174.57000000
PA
USD
2153.18000000
0.000562799286
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
None
0.00000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
RRP FNMA 40YR R RRP RBCBK 07/14/2021
000000000
-14714988.21000000
PA
USD
-14714988.21000000
-3.84621112336
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.06000000
2021-07-14
14714988.21000000
USD
14715380.61000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419B4V4
143956.78000000
PA
USD
150988.47000000
0.039465443296
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
-5349.92000000
-0.00139836481
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDZ1 Comdty
2021-12-13
-2240037.58000000
USD
-5349.92000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3129127E2
2114.71000000
PA
USD
2097.07000000
0.000548133226
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
246544.12000000
PA
USD
275156.73000000
0.071920606424
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
1356.16000000
PA
USD
1384.18000000
0.000361797674
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
2990590.72000000
PA
USD
3681101.07000000
0.962168075137
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Fixed
7.50000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-9110650.78000000
PA
USD
-9110650.78000000
-2.38134654755
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
9110650.78000000
USD
9110853.24000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419B2M6
47759.94000000
PA
USD
50006.63000000
0.013070758454
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
-48854.46000000
-0.01276960367
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-11-30
0.00000000
USD
-11.54000000
USD
1500000.00000000
USD
-48842.92000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3133T4GR1
58056.13000000
PA
USD
57141.28000000
0.014935616909
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
7117852.47000000
PA
USD
7938358.64000000
2.074932230099
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Floating
7.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394ED96
80701.30000000
PA
USD
102229.16000000
0.026720709980
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Floating
17.31000000
N
N
N
N
N
N
Sterling Bank Trust
N/A
Sterling COOFS Trust 2004-2
859245AB8
629698.77000000
PA
USD
6296.99000000
0.001645910457
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
689304.73000000
PA
USD
786947.26000000
0.205692676183
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.00000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-2511516.47000000
PA
USD
-2511516.47000000
-0.65646145586
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
2511516.47000000
USD
2511572.28000000
USD
AMBS
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MBEE3
1927.62000000
PA
USD
2006.54000000
0.000524470448
Long
ABS-MBS
USGSE
US
N
2
2022-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417JQU7
608763.04000000
PA
USD
676782.79000000
0.176897830827
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
1149819.65000000
PA
USD
1337455.17000000
0.349584714472
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
2444310.24000000
PA
USD
2662608.92000000
0.695954077511
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
1947828.00000000
PA
USD
2172806.77000000
0.567929341732
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
419413.45000000
PA
USD
479869.43000000
0.125428516359
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTZS9
394442.69000000
PA
USD
50382.52000000
0.013169008774
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H1XR6
1801199.93000000
PA
USD
1990789.03000000
0.520353452017
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
753765.42000000
PA
USD
829738.99000000
0.216877600395
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B4ZB7
13257082.80000000
PA
USD
2506488.81000000
0.655147323534
Long
ABS-MBS
USGSE
US
N
2
2049-06-25
Floating
5.96000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203N7F9
200.61000000
PA
USD
210.47000000
0.000055012755
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
1210.56000000
PA
USD
1215.56000000
0.000317723692
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
12680298.81000000
PA
USD
13824839.06000000
3.613543484542
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
4.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022477
180000.00000000
PA
USD
187699.22000000
0.049060917855
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B4T40
2354613.00000000
PA
USD
2544588.36000000
0.665105803345
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A8DZ0
1639065.00000000
PA
USD
1945770.28000000
0.508586428181
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
5192.48000000
PA
USD
5681.23000000
0.001484962794
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
6938060.98000000
PA
USD
8029466.75000000
2.098746114359
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
26140783.00000000
PA
USD
5571034.79000000
1.456159914787
Long
ABS-MBS
USGSE
US
N
2
2047-09-25
Floating
6.06000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BJGZ0
3932064.00000000
PA
USD
4168758.13000000
1.089632126198
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
2547658.38000000
PA
USD
2830398.02000000
0.739810878046
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
2583.19000000
PA
USD
2671.18000000
0.000698194390
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
3223627.30000000
PA
USD
645869.20000000
0.168817620906
Long
ABS-MBS
USGSE
US
N
2
2036-05-25
Floating
6.51000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.722500 13-MAR-2025
000000000
22270000.00000000
OU
Notional Amount
USD
-39154.12000000
-0.01023412385
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-03-13
0.00000000
USD
-222.74000000
USD
22270000.00000000
USD
-38931.38000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203SP84
82.87000000
PA
USD
83.08000000
0.000021715492
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137F4VK5
10000000.00000000
PA
USD
11044624.00000000
2.886849454175
Long
ABS-MBS
USGSE
US
N
2
2048-03-15
Fixed
4.50000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FHLMC 30YR RRP CALIP 07/14/2021
000000000
-4849083.47000000
PA
USD
-4849083.47000000
-1.26745591055
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
4849083.47000000
USD
4849191.23000000
USD
AMBS
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.406500 30-NOV-2023
000000000
4900000.00000000
OU
Notional Amount
USD
-123236.13000000
-0.03221152251
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-11-30
0.00000000
USD
-37.69000000
USD
4900000.00000000
USD
-123198.44000000
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-2595064.22000000
PA
USD
-2595064.22000000
-0.67829920937
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
2595064.22000000
USD
2595121.89000000
USD
AMBS
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)SEP21 XCBT 20210921
000000000
666.00000000
NC
USD
321295.35000000
0.083980342452
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYU1 Comdty
2021-09-21
87871673.40000000
USD
321295.35000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406UT99
14729.75000000
PA
USD
16524.90000000
0.004319286790
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020687
23800000.00000000
PA
USD
23984078.24000000
6.268970602896
Long
ABS-MBS
USGSE
US
N
2
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NX21
5787372.50000000
PA
USD
6630151.68000000
1.732992427674
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
4182.81000000
PA
USD
4199.93000000
0.001097779845
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
236035.98000000
PA
USD
267413.98000000
0.069896802480
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
2846.47000000
PA
USD
2983.10000000
0.000779724199
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
46872.99000000
PA
USD
51344.25000000
0.013420386251
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
17648317.50000000
4.612926229266
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BDKG0
5100000.00000000
PA
USD
5541472.32000000
1.448432861301
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
1040.34000000
0.000271924599
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDM2 Comdty
2022-06-13
-1746315.34000000
USD
1040.34000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYG29
1665335.53000000
PA
USD
1819704.07000000
0.475635177914
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
474.17000000
PA
USD
470.52000000
0.000122984757
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
None
0.00000000
N
N
N
N
N
N
STERLING COOFS TR
N/A
STERLING COOFS TR 2004 1 PASSTHRU CTF 144A
859245AA0
830843.76000000
PA
USD
8308.44000000
0.002171664284
Long
ABS-O
CORP
US
N
3
2029-04-15
Variable
2.36000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) SEP21 XCBT 20210930
000000000
-85.00000000
NC
USD
33199.16000000
0.008677613373
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVU1 Comdty
2021-09-30
-10520738.18000000
USD
33199.16000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417Y6Y8
15695.76000000
PA
USD
17643.01000000
0.004611538952
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
94188.86000000
PA
USD
107765.90000000
0.028167905905
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
5.00000000
N
N
N
N
N
N
BB TREAS BOND 0.05 BB TREASURY BOND
N/A
BB TREAS BOND 0.05 BB TREASURY BOND
000000000
1030478.75000000
PA
USD
1030478.75000000
0.269347061246
Long
DBT
CORP
US
N
2
2049-12-31
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376PA59
530607.33000000
PA
USD
84645.77000000
0.022124754534
Long
ABS-MBS
USGA
US
N
2
2039-12-16
Floating
6.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5JD8
4208882.08000000
PA
USD
773112.71000000
0.202076594448
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
6.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TDT1
21756.91000000
PA
USD
24598.94000000
0.006429683483
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-2503582.54000000
PA
USD
-2503582.54000000
-0.65438768119
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
2503582.54000000
USD
2503638.18000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NPH7
1976365.86000000
PA
USD
2181619.64000000
0.570232854187
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
5330634.46000000
PA
USD
5861200.24000000
1.532003508101
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FFQC4
21905520.19000000
PA
USD
2542851.93000000
0.664651934386
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FB47
1539548.91000000
PA
USD
1751599.39000000
0.457833941921
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
31395MHU6
2746594.90000000
PA
USD
3102988.39000000
0.811060687985
Long
ABS-MBS
USGSE
US
N
2
2035-02-15
Fixed
5.50000000
N
N
N
N
N
N
SBA
N/A
SBA 001 IO
000000000
6822.01000000
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
25186890.77000000
PA
USD
4749061.30000000
1.241312064743
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Floating
5.93000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: OIS 0.049290000 SOFR 21-OCT-
000000000
1638612.00000000
OU
Notional Amount
USD
-684.04000000
-0.00017879472
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
-684.04000000
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-3999011.15000000
PA
USD
-3999011.15000000
-1.04526357399
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
3999011.15000000
USD
3999100.02000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412RH59
59629.74000000
PA
USD
67874.63000000
0.017741105407
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
445416.58000000
PA
USD
449440.47000000
0.117474979275
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
6439243.64000000
PA
USD
643628.16000000
0.168231856728
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Variable
1.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AMQY4
179287.53000000
PA
USD
200896.32000000
0.052510382584
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FV5Q1
1599926.70000000
PA
USD
173075.43000000
0.045238544166
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.49000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379UH41
5580249.75000000
PA
USD
352858.16000000
0.092230245827
Long
ABS-MBS
USGA
US
N
2
2058-02-16
Variable
1.09000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTG27
943648.01000000
PA
USD
112766.03000000
0.029474842435
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416TAH2
84300.03000000
PA
USD
94082.46000000
0.024591321379
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
10449438.98000000
2.731279690087
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
4261943.28000000
PA
USD
4704689.76000000
1.229714208987
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
11549.87000000
PA
USD
12085.89000000
0.003159016092
Long
ABS-MBS
CORP
US
N
2
2023-08-25
Floating
16.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137AJGT5
2859000.00000000
PA
USD
3270862.97000000
0.854939831326
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
4.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT SEP21 XCBT 20210921
000000000
-183.00000000
NC
USD
-377620.50000000
-0.09870263888
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYU1 Comdty
2021-09-21
-26534817.00000000
USD
-377620.50000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR MAR22 XCME 20220314
000000000
-6.00000000
NC
USD
-83.28000000
-0.00002176776
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDH2 Comdty
2022-03-14
-1496916.72000000
USD
-83.28000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3133T0EZ3
17452.25000000
PA
USD
17425.26000000
0.004554623346
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
7950082.40000000
PA
USD
9476892.54000000
2.477075005575
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
784775.03000000
PA
USD
41849.62000000
0.010938675020
Long
ABS-MBS
USGA
US
N
2
2057-11-16
Variable
0.75000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B9L70
1735215.19000000
PA
USD
285494.96000000
0.074622818254
Long
ABS-MBS
USGSE
US
N
2
2058-01-25
Variable
1.94000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BRYR0
8000000.00000000
PA
USD
9481205.60000000
2.478202355398
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.50000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FNMA 30YR RRP CALIP 07/14/2021
000000000
-5414513.69000000
PA
USD
-5414513.69000000
-1.41524834983
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
5414513.69000000
USD
5414634.01000000
USD
AMBS
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2003-J8
12669EX27
10825.32000000
PA
USD
10361.39000000
0.002708265402
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
605362.52000000
PA
USD
637658.49000000
0.166671501339
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
1251334.73000000
PA
USD
1429955.28000000
0.373762440402
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207RFG5
3771.71000000
PA
USD
4149.39000000
0.001084569674
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
8.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050676
641732.00000000
PA
USD
703298.16000000
0.183828431761
Long
ABS-MBS
USGSE
US
N
2
2051-07-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LBV3
52.72000000
PA
USD
55.28000000
0.000014449114
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137AHVU9
800000.00000000
PA
USD
895016.88000000
0.233939968577
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
22916.09000000
PA
USD
25774.61000000
0.006736980707
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
16408529.33000000
4.288869765066
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GYE7
10216.83000000
PA
USD
10633.70000000
0.002779441929
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
221.49000000
PA
USD
222.38000000
0.000058125797
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
313640.50000000
PA
USD
343641.85000000
0.089821282019
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
1VUV7VQFKUOQSJ21A208
RRP FHLMC GOLD RRP CALIP 07/14/2021
000000000
-7811185.40000000
PA
USD
-7811185.40000000
-2.04169162376
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.05000000
2021-07-14
7811185.40000000
USD
7811358.98000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AD3V9
1775438.18000000
PA
USD
146166.68000000
0.038205121367
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
71921.56000000
PA
USD
50428.98000000
0.013181152512
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
277371.15000000
PA
USD
14010.99000000
0.003662199712
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
89.60000000
PA
USD
92.07000000
0.000024065303
Long
ABS-MBS
USGSE
US
N
2
2021-10-15
Floating
39.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FHSG9
1069000.00000000
PA
USD
1214357.70000000
0.317409434981
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
4.00000000
N
N
N
N
N
N
2021-07-30
BlackRock Income Trust, Inc.
Ann Frechette
Ann Frechette
Assistant Treasurer