Freddie Mac Multifamily Structured Pass Through Certificates

0001752724-24-040768.txt : 20240226 0001752724-24-040768.hdr.sgml : 20240226 20240226162158 ACCESSION NUMBER: 0001752724-24-040768 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20231231 FILED AS OF DATE: 20240226 DATE AS OF CHANGE: 20240226 PERIOD START: 20231231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BLACKROCK INCOME TRUST, INC. CENTRAL INDEX KEY: 0000832327 ORGANIZATION NAME: 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: 24679151 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 2023-12-31 2023-12-31 N 424177167.34 152805846.42 271371320.92 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1744322.92000000 0.00000000 0.00000000 0.00000000 USD N Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F72R5 3878428.16000000 PA USD 208225.83000000 0.076730963793 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 1.04000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ADDL6 845015.51000000 PA USD 845542.29000000 0.311581300165 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138AD3D5 48107.34000000 PA USD 48828.36000000 0.017993190965 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 818052.06000000 PA USD 816997.46000000 0.301062565207 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 862368.18000000 PA USD 27886.31000000 0.010276071143 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 9814.67000000 PA USD 9976.52000000 0.003676335423 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 1314243.24000000 PA USD 1264561.28000000 0.465989285718 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138A54P4 2032539.35000000 PA USD 1980047.21000000 0.729644976221 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 1902093.80000000 0.700919239937 Long ABS-MBS USGSE US N 2 2040-11-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137ANZV0 518964.58000000 PA USD 39231.49000000 0.014456756103 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 325.14000000 PA USD 328.33000000 0.000120989203 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 7637.04000000 PA USD 7752.27000000 0.002856702017 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR F 000000000 -4328393.52000000 PA USD -4328393.52000000 -1.59500772053 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 4762920.38000000 USD 4587306.64741061 USD AMBS N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419E6R5 4743.00000000 PA USD 4818.35000000 0.001775556084 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418VW73 75262.63000000 PA USD 76435.25000000 0.028166296180 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F82T9 1663323.24000000 PA USD 78524.82000000 0.028936300171 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31398PPG8 1723230.70000000 PA USD 1722763.36000000 0.634836192033 Long ABS-MBS USGSE US N 2 2030-05-25 Fixed 5.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FHLMC 30YR 000000000 -5440230.41000000 PA USD -5440230.41000000 -2.00471825525 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 5788110.45384000 USD 5729640.06177629 USD AMBS N N N IndyMac INDX Mortgage Loan Trust N/A IndyMac INDX Mortgage Loan Trust 2006-AR33 45668JAM8 18178247.67000000 PA USD 1.82000000 0.000000670667 Long ABS-MBS CORP US N 3 2037-01-25 Fixed 0.17000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AP6K3 9878225.29000000 PA USD 768160.43000000 0.283066179357 Long ABS-MBS USGSE US N 2 2045-09-25 Floating 0.80000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AUW70 210182.32000000 PA USD 24530.90000000 0.009039606660 Long ABS-MBS USGSE US N 2 2042-10-15 Floating 0.70000000 N N N N N N BlackRock Liquidity Funds 5493007YVNX55LTRQ706 BlackRock Liquidity Funds: T-Fund, Institutional Shares 09248U718 7494936.72000000 NS USD 7494936.72000000 2.761875018550 Long STIV RF US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418NHS2 182553.68000000 PA USD 182318.24000000 0.067184048550 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 280863.73000000 PA USD 280385.98000000 0.103321890850 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4.50000000 N N N N N N Banc of America Merrill Lynch Large Loan Inc N/A BAMLL Commercial Mortgage Securities Trust 2018-DSNY 054967AA2 607000.00000000 PA USD 603907.21000000 0.222539068591 Long ABS-MBS CORP US N 2 2034-09-15 Floating 6.51000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137A4U96 3293194.33000000 PA USD 3159276.58000000 1.164189557426 Long ABS-MBS USGSE US N 2 2040-12-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FXFZ0 9221011.31000000 PA USD 8746500.56000000 3.223074763518 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137H2JG0 17521796.57000000 PA USD 2632294.24000000 0.969997209386 Long ABS-MBS USGSE US N 2 2051-04-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31400CEY6 229176.00000000 PA USD 235991.36000000 0.086962527653 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133BVX34 5818980.13000000 PA USD 5760499.61000000 2.122737063913 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137A2AG6 1243634.32000000 PA USD 1186819.38000000 0.437341490610 Long ABS-MBS USGSE US N 2 2040-10-15 Fixed 4.00000000 N Y N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WHDX7 2082894.58000000 PA USD 2008727.89000000 0.740213771739 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 2005.70000000 PA USD 2036.76000000 0.000750543570 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380FH25 8188915.58000000 PA USD 981746.16000000 0.361772259747 Long ABS-MBS USGA US N 2 2047-07-20 Floating 0.73000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FW3Q1 18691654.09000000 PA USD 3543380.60000000 1.305731419218 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 6259.56000000 PA USD 6361.07000000 0.002344046518 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 86069.57000000 PA USD 61182.65000000 0.022545731727 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 320256.00000000 PA USD 325421.41000000 0.119917391748 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.00000000 N N N N N N UMBS, TBA B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Security, TBA 01F022410 180000.00000000 PA USD 165810.94000000 0.061101128681 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138AFW71 120333.61000000 PA USD 122270.54000000 0.045056544510 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 GS Mortgage Securities Corp Trust 2022-AGSS 36265XAA9 560000.00000000 PA USD 561374.74000000 0.206865905393 Long ABS-MBS CORP US N 2 2039-08-15 Floating 7.56000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417TQD3 1064985.74000000 PA USD 1063613.79000000 0.391940381317 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KPDJ4 6232898.00000000 PA USD 5919797.28000000 2.181438060562 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWG95 1946494.14000000 PA USD 131075.94000000 0.048301323646 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 1.32000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FREK3 1344981.73000000 PA USD 71706.76000000 0.026423853396 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.12000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KPQ27 6142653.52000000 PA USD 5956269.44000000 2.194878006934 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 2YR NOTE (CBT) MAR24 000000000 -138.00000000 NC USD -283644.79000000 -0.10452275835 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 2 Year U.S. Treasury Notes Futures TUH4 Comdty 2024-03-28 -28132495.77000000 USD -283644.79000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 5YR NOTE (CBT) MAR24 000000000 -57.00000000 NC USD -141094.50000000 -0.05199315075 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 5 Year U.S. Treasury Notes FVH4 Comdty 2024-03-28 -6058991.47000000 USD -141094.50000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31405SL77 298067.30000000 PA USD 302879.13000000 0.111610589126 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 3136BBCM2 5500000.00000000 PA USD 3978304.55000000 1.466000363086 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRUL3 1816013.60000000 PA USD 133415.26000000 0.049163360206 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.52000000 N N N N N N Natixis Commercial Mortgage Securities N/A Natixis Commercial Mortgage Securities Trust 2018-FL1 63874MAA0 44909.76000000 PA USD 41464.85000000 0.015279746533 Long ABS-MBS CORP US N 2 2035-06-15 Floating 8.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417SMM9 447496.08000000 PA USD 446366.50000000 0.164485509554 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 2402.00000000 PA USD 2398.70000000 0.000883918017 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 6381220.82000000 PA USD 5560256.98000000 2.048947899560 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 96983.58000000 PA USD 98437.45000000 0.036274079982 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.00000000 N N N N N N BB TREASURY BON N/A BB TREASURY BON 000000000 745062.50000000 PA USD 745062.50000000 0.274554620390 Long STIV CORP US N 2 2024-01-02 Fixed 5.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38383GBU4 11454177.64000000 PA USD 1765924.93000000 0.650741177812 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417SNP1 343319.35000000 PA USD 339677.98000000 0.125170920364 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 Freddie Mac REMICS 3133TNM68 262320.30000000 PA USD 275505.20000000 0.101523329387 Long ABS-MBS USGSE US N 2 2030-03-15 Fixed 8.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38383REX1 4414081.34000000 PA USD 3557843.58000000 1.311061009666 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 3.50000000 N Y N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FHLMC 30YR 000000000 -5561936.28000000 PA USD -5561936.28000000 -2.04956671955 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 6232898.00000000 USD 5919797.28201413 USD AMBS N N N FHLMC Structured Pass Through Securities S6XOOCT0IEG5ABCC6L87 Freddie Mac Structured Pass-Through Certificates 3133TDPY6 49723.38000000 PA USD 49696.03000000 0.018312926300 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 501284.02000000 PA USD 476038.65000000 0.175419660554 Long ABS-MBS USGSE US N 2 2057-11-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EGUH5 443266.08000000 PA USD 463853.42000000 0.170929418196 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 12532427.00000000 PA USD 265001.93000000 0.097652887232 Long ABS-MBS USGA US N 2 2056-10-16 Variable 0.62000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410KXM1 631704.46000000 PA USD 664694.33000000 0.244939047997 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 2924014.09000000 PA USD 2810249.77000000 1.035573604636 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 161356.45000000 PA USD 163775.36000000 0.060351019940 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.00000000 N N N N N N DEUTSCHE BANK SECURITIES INC 9J6MBOOO7BECTDTUZW19 RRP FNMA 30YR 000000000 -1258155.89000000 PA USD -1258155.89000000 -0.46362890733 Short RA CORP US N 2 Reverse repurchase N 5.56000000 2024-01-16 1309017.67537500 USD 1299574.33023342 USD AMBS N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EJLW6 1015222.14000000 PA USD 1013911.36000000 0.373625096625 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N RFC PRINCIPAL STRIP N/A Resolution Funding Corp Principal Strip 76116FAC1 13000000.00000000 PA USD 9899838.39000000 3.648078343886 Long DBT USGA US N 2 2030-04-15 None 0.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR F 000000000 -1896549.96000000 PA USD -1896549.96000000 -0.69887634167 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 2082894.58200000 USD 2008727.89234248 USD AMBS N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR U 000000000 -5267139.38000000 PA USD -5267139.38000000 -1.94093442230 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 5902538.40890000 USD 5606139.84558018 USD AMBS N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2019-1 35563PJF7 904974.48000000 PA USD 856550.38000000 0.315637767873 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 -741516.29000000 -0.27324784634 Short DBT UST US N 2 2042-11-15 Fixed 2.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KQW44 5788110.45000000 PA USD 5729640.06000000 2.111365357464 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 5.00000000 N N N N N N DEUTSCHE BANK SECURITIES INC 9J6MBOOO7BECTDTUZW19 RRP FNMA 30YR F 000000000 -1222822.04000000 PA USD -1222822.04000000 -0.45060842680 Short RA CORP US N 2 Reverse repurchase N 5.56000000 2024-01-16 1314243.24000000 USD 1264561.28392881 USD AMBS N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140H8QD0 525137.13000000 PA USD 505395.27000000 0.186237539135 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 123934.01000000 PA USD 21642.47000000 0.007975223736 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 463708.70000000 PA USD 447042.51000000 0.164734618413 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 6252959.90000000 PA USD 6303146.16000000 2.322701654187 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 261336.83000000 PA USD 260838.38000000 0.096118624147 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 7647266.56000000 PA USD 1499781.15000000 0.552667520250 Long ABS-MBS USGSE US N 2 2047-07-15 Fixed 4.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR 000000000 -1161131.35000000 PA USD -1161131.35000000 -0.42787548295 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 1260955.67000000 USD 1229448.64983686 USD AMBS N N N FannieMae Whole Loan B1V7KEBTPIMZEU4LTD58 Fannie Mae REMIC Trust 1999-W4 31359VB36 26567.81000000 PA USD 1172.79000000 0.000432171681 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 28239.36000000 PA USD 28677.03000000 0.010567450496 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR U 000000000 -5660279.11000000 PA USD -5660279.11000000 -2.08580593218 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 6359467.08240000 USD 6016106.92647107 USD AMBS N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FXDJ8 20624792.79000000 PA USD 20074128.35000000 7.397291755792 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 13838.60000000 PA USD 12992.87000000 0.004787856710 Long ABS-MBS USGSE US N 2 2029-02-25 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38383PBF7 23092222.48000000 PA USD 3156951.59000000 1.163332801453 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31398SPL1 5915343.42000000 PA USD 5814186.91000000 2.142520768329 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 206920.35000000 PA USD 206653.59000000 0.076151595275 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 46913.64000000 PA USD 47659.12000000 0.017562327455 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 3664000.00000000 PA USD 3361147.50000000 1.238578744653 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XJXY4 6447766.11000000 PA USD 6096214.36000000 2.246447538867 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403DGY9 896034.01000000 PA USD 910506.36000000 0.335520480540 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 3331095.82000000 PA USD 83405.31000000 0.030734754769 Long ABS-MBS USGA US N 2 2051-09-16 Variable 0.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412QSU4 526315.49000000 PA USD 525203.55000000 0.193536866098 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 3140XKP20 5961370.83000000 PA USD 5902301.57000000 2.174990912816 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140H37J9 4762920.38000000 PA USD 4587306.65000000 1.690416892414 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 1086.46000000 PA USD 1106.46000000 0.000407729157 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 4728391.24000000 PA USD 115231.37000000 0.042462618971 Long ABS-MBS CORP US N 2 2051-05-15 Variable 0.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AFN75 7000000.00000000 PA USD 6515303.90000000 2.400881522008 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 4.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FHLMC GOLD 000000000 -4079634.00000000 PA USD -4079634.00000000 -1.50334014153 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 4116925.54800000 USD 4245444.47738628 USD AMBS N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418MPN6 2117142.63000000 PA USD 2180378.86000000 0.803466944335 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 000000000 1.34000000 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 47153.21000000 PA USD 47917.91000000 0.017657691254 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DPWC8 6344489.91000000 PA USD 6151981.59000000 2.266997694945 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375GYA3 3851578.00000000 PA USD 131646.55000000 0.048511592733 Long ABS-MBS USGA US N 2 2042-08-16 Floating 0.78000000 N N N N N N Vendee Mortgage Trust N/A Vendee Mortgage Trust 1999-2 911760MW3 5093382.74000000 PA USD 5.09000000 0.000001875658 Long ABS-MBS CORP US N 2 2029-05-15 Variable 0.05000000 N N N N N N GS Mortgage Securities Trust N/A GS Mortgage Securities Corp Trust 2023-FUN 36267CAA3 280000.00000000 PA USD 278947.12000000 0.102791672699 Long ABS-MBS CORP US N 2 2028-03-15 Floating 7.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A1LW3 28798896.54000000 PA USD 28429291.50000000 10.47615916214 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 1938391.71000000 0.714294975396 Long ABS-MBS USGSE US N 2 2048-07-25 Fixed 4.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 3136FGRR0 2098901.44000000 PA USD 1642085.81000000 0.605106613489 Long ABS-MBS USGSE US N 2 2039-09-25 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136ACAB7 3563407.28000000 PA USD 415564.56000000 0.153135032320 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133BMQZ1 2806874.71000000 PA USD 2725145.17000000 1.004212663578 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.50000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR 000000000 -2094981.41000000 PA USD -2094981.41000000 -0.77199808841 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 2117142.62500000 USD 2180378.85940905 USD AMBS N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US LONG BOND(CBT) MAR24 000000000 -134.00000000 NC USD -1215617.85000000 -0.44795369159 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT U.S. Long Bond Futures USH4 Comdty 2024-03-19 -15526007.15000000 USD -1215617.85000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377VHH2 3122030.50000000 PA USD 230497.33000000 0.084937984315 Long ABS-MBS USGA US N 2 2041-04-16 Floating 1.20000000 N N N N N N FHLMC-GNMA S6XOOCT0IEG5ABCC6L87 FHLMC-GNMA 3133T55A7 96.90000000 PA USD 96.51000000 0.000035563817 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 11853553.13000000 PA USD 1425254.63000000 0.525204588741 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 0.55000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2018-4 35563PHF9 2914535.68000000 PA USD 2749823.61000000 1.013306638548 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 2886434.12000000 1.063647444473 Long ABS-MBS USGSE US N 2 2047-11-15 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FMU26 1397842.75000000 PA USD 54891.05000000 0.020227284819 Long ABS-MBS USGSE US N 2 2029-06-25 Variable 0.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138AFC24 1406217.71000000 PA USD 1404405.39000000 0.517521669290 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B8H36 7132082.43000000 PA USD 1432728.38000000 0.527958656479 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 2992374.65000000 PA USD 2987592.69000000 1.100924253849 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 17628.48000000 PA USD 16349.41000000 0.006024737597 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 5121639.70000000 PA USD 4979599.73000000 1.834976412805 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AJ4M3 9012516.32000000 PA USD 991806.69000000 0.365479552753 Long ABS-MBS USGSE US N 2 2041-11-15 Floating 0.55000000 N N N N N N CSAIL Commercial Mortgage Trust N/A CSAIL 2018-C14 Commercial Mortgage Trust 12596GBB4 1981421.16000000 PA USD 41999.39000000 0.015476723869 Long ABS-MBS CORP US N 2 2051-11-15 Variable 0.54000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137H0JN9 18701642.54000000 PA USD 2624992.47000000 0.967306516068 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31415YHF9 544643.67000000 PA USD 540400.75000000 0.199137015719 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4.50000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FHLMC 30YR 000000000 -5469538.50000000 PA USD -5469538.50000000 -2.01551825058 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 5818980.12909000 USD 5760499.61155185 USD AMBS N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR U 000000000 -2808730.68000000 PA USD -2808730.68000000 -1.03501382182 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 3056733.34025600 USD 2973069.75398286 USD AMBS N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ETS56 418763.43000000 PA USD 403713.47000000 0.148767920144 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 31397QJJ8 3555927.65000000 PA USD 3407904.69000000 1.255808712006 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 634863.47000000 0.233946412556 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377VGR1 2426531.57000000 PA USD 132858.18000000 0.048958076907 Long ABS-MBS USGA US N 2 2041-04-20 Floating 1.18000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137B75D7 1000000.00000000 PA USD 947954.90000000 0.349320221748 Long ABS-MBS USGSE US N 2 2044-01-15 Fixed 4.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust 54930012YCNUERXJ1I74 Wells Fargo Commercial Mortgage Trust 2018-AUS 94990EAA2 583000.00000000 PA USD 532169.51000000 0.196103813842 Long ABS-MBS CORP US N 2 2036-08-17 Variable 4.06000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR 000000000 -1869990.36000000 PA USD -1869990.36000000 -0.68908916154 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 2032539.35200000 USD 1980047.21427457 USD AMBS N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FHLMC 30YR 000000000 -5808725.96000000 PA USD -5808725.96000000 -2.14050841493 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 6344489.91000000 USD 6151981.59045683 USD AMBS N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRZC8 1226450.32000000 PA USD 95314.32000000 0.035123210395 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.59000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A03W5 3420936.30000000 PA USD 2628931.39000000 0.968758003272 Long ABS-MBS USGSE US N 2 2041-09-25 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BFRC9 17914460.70000000 PA USD 2956423.45000000 1.089438427014 Long ABS-MBS USGSE US N 2 2046-07-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419B4V4 1553.68000000 PA USD 1547.00000000 0.000570067608 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 3136FAT59 1755338.18000000 PA USD 1488282.70000000 0.548430355482 Long ABS-MBS USGSE US N 2 2033-07-25 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416PRP4 151794.17000000 PA USD 151473.48000000 0.055817792199 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 619.72000000 PA USD 619.82000000 0.000228402912 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 1808000.11000000 PA USD 1952847.50000000 0.719621916339 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 41900000.00000000 PA USD 37060222.76000000 13.65664677990 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 3.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 Freddie Mac REMICS 3133T4GR1 612.61000000 PA USD 610.91000000 0.000225119588 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 4140259.37000000 PA USD 3631480.70000000 1.338196198363 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 0.87000000 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 -10865.62000000 -0.00400396768 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-10-21 0.00000000 USD -12.60000000 USD 136615.00000000 USD -10853.02000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31394ED96 34198.99000000 PA USD 33346.37000000 0.012288096578 Long ABS-MBS USGSE US N 2 2035-08-25 Floating 3.38000000 N N N N N N Sterling Bank Trust N/A Sterling COOFS Trust 2004-2 859245AB8 251225.78000000 PA USD 2512.26000000 0.000925764738 Long ABS-O CORP US N 3 2030-03-30 Fixed 2.08000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FHLMC 30YR 000000000 -5628821.55000000 PA USD -5628821.55000000 -2.07421385978 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 6142653.51880000 USD 5956269.44014045 USD AMBS N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402DC40 410192.63000000 PA USD 416807.78000000 0.153593157370 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417JQU7 363539.91000000 PA USD 362771.89000000 0.133680997966 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 678691.00000000 PA USD 698951.96000000 0.257562942771 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 1260955.67000000 PA USD 1229448.65000000 0.453050324489 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 1110246.19000000 PA USD 1107900.63000000 0.408260027715 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 260303.37000000 PA USD 264257.74000000 0.097378654127 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 392354.50000000 PA USD 31847.69000000 0.011735834830 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 3140H1XR6 237777.46000000 PA USD 238847.21000000 0.088014904887 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 686216.80000000 PA USD 679231.95000000 0.250296143194 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377WSG0 7310018.43000000 PA USD 7036350.35000000 2.592886501840 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 1502332.07000000 0.553607531152 Long ABS-MBS USGSE US N 2 2042-09-25 Fixed 4.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 Freddie Mac Gold Pool 31335ARP5 4116925.55000000 PA USD 4245444.48000000 1.564441100705 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 15935594.00000000 PA USD 2025291.29000000 0.746317364389 Long ABS-MBS USGSE US N 2 2047-09-25 Floating 0.70000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 Freddie Mac REMICS 31394PCV3 1415063.68000000 PA USD 1395002.04000000 0.514056546311 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 1543.27000000 PA USD 1544.40000000 0.000569109511 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 2025452.41000000 PA USD 183339.90000000 0.067560529011 Long ABS-MBS USGSE US N 2 2036-05-25 Floating 1.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140MQB65 5902538.41000000 PA USD 5606139.85000000 2.065855681062 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR 000000000 -1327354.85000000 PA USD -1327354.85000000 -0.48912863949 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 1406217.70800000 USD 1404405.38868010 USD AMBS N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137F4VK5 5028390.60000000 PA USD 4915332.77000000 1.811294116613 Long ABS-MBS USGSE US N 2 2048-03-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140N3AJ8 3056733.34000000 PA USD 2973069.75000000 1.095572568214 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406UT99 8607.70000000 PA USD 8746.98000000 0.003223251436 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 3663346.50000000 PA USD 3722740.89000000 1.371825466810 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.00000000 N N N N N N BX Trust N/A BX Trust 2022-GPA 05608UAA6 750000.00000000 PA USD 750705.08000000 0.276633904222 Long ABS-MBS CORP US N 2 2039-08-15 Floating 7.53000000 N N N N N N MIRA Trust N/A MIRA Trust 2023-MILE 55318EAA8 569000.00000000 PA USD 586453.85000000 0.216107526768 Long ABS-MBS CORP US N 2 2038-06-10 Fixed 6.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417Y2B2 152103.55000000 PA USD 154476.54000000 0.056924416138 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 40YR R 000000000 -8230339.00000000 PA USD -8230339.00000000 -3.03286985968 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 9221011.31000000 USD 8746500.55766045 USD AMBS N N N Freddie Mac 254900HROIFWPRGM1V77 Freddie Mac REMICS 3137AN5V3 15407765.00000000 PA USD 14705343.48000000 5.418901094686 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 3701887.73000000 PA USD 3553134.78000000 1.309325822623 Long ABS-MBS USGSE US N 2 2043-08-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140GYG29 969946.62000000 PA USD 934385.14000000 0.344319781778 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N STERLING COOFS TR N/A STERLING COOFS TR 859245AA0 435685.91000000 PA USD 4356.86000000 0.001605497583 Long ABS-O USGA US N 3 2029-04-15 Variable 2.36000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417Y6Y8 7183.92000000 PA USD 7291.60000000 0.002686945685 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 56109.12000000 PA USD 57001.73000000 0.021005067818 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376PA59 338963.73000000 PA USD 27429.35000000 0.010107681941 Long ABS-MBS USGA US N 2 2039-12-16 Floating 1.00000000 N N N N N N BLP Commercial Mortgage Trust N/A BLP Commercial Mortgage Trust 2023-IND 055531AA5 500000.00000000 PA USD 497043.80000000 0.183160032650 Long ABS-MBS CORP US N 2 2040-03-15 Floating 7.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418TDT1 11761.07000000 PA USD 11945.82000000 0.004402020065 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N ORL TRUST N/A ORL Trust 2023-GLKS 67116QAA0 444461.00000000 PA USD 444459.98000000 0.163782959265 Long ABS-MBS CORP US N 2 2036-10-19 Floating 7.71000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418NPH7 1309017.68000000 PA USD 1299574.33000000 0.478891551839 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 2549505.88000000 PA USD 2506837.55000000 0.923766572496 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 11691978.20000000 PA USD 1081640.10000000 0.398583054514 Long ABS-MBS USGSE US N 2 2032-07-25 Fixed 4.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR NOTE (CBT)MAR24 000000000 306.00000000 NC USD 1119570.77000000 0.412560460038 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year U.S. Treasury Notes TYH4 Comdty 2024-03-19 33424960.48000000 USD 1119570.77000000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 40YR R 000000000 -18908721.34000000 PA USD -18908721.34000000 -6.96784069734 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 20624792.79100000 USD 20074128.35455416 USD AMBS N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FB47 942174.35000000 PA USD 957591.99000000 0.352871477632 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 1325170.99000000 PA USD 1328725.36000000 0.489633670756 Long ABS-MBS USGSE US N 2 2035-02-15 Fixed 5.50000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR U 000000000 -5739417.01000000 PA USD -5739417.01000000 -2.11496815158 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 6447766.10748000 USD 6096214.36256888 USD AMBS N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AFMM1 15177986.99000000 PA USD 1531512.01000000 0.564360303368 Long ABS-MBS USGSE US N 2 2041-09-15 Floating 0.55000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR 000000000 -3564397.50000000 PA USD -3564397.50000000 -1.31347612117 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 3663346.50000000 USD 3722740.88630647 USD AMBS N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QP2M8 6359467.08000000 PA USD 6016106.92000000 2.216928045161 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR U 000000000 -2370151.56000000 PA USD -2370151.56000000 -0.87339795228 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 2549505.87975000 USD 2506837.55330697 USD AMBS N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412RH59 33782.24000000 PA USD 34330.17000000 0.012650625675 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5.00000000 N N N N N N CSAIL Commercial Mortgage Trust N/A CSAIL 2019-C16 Commercial Mortgage Trust 12596WAE4 6331381.91000000 PA USD 394409.00000000 0.145339234323 Long ABS-MBS CORP US N 2 2052-06-15 Variable 1.54000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138AMQY4 113658.61000000 PA USD 115499.12000000 0.042561284519 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 1589731.33000000 PA USD 111227.94000000 0.040987359910 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 1.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379UH41 3343570.20000000 PA USD 174952.31000000 0.064469712350 Long ABS-MBS USGA US N 2 2058-02-16 Variable 1.18000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FTG27 935279.55000000 PA USD 72971.91000000 0.026890059624 Long ABS-MBS USGSE US N 2 2030-04-25 Variable 1.58000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416TAH2 38106.50000000 PA USD 37685.90000000 0.013887208077 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 8313008.44000000 3.063333447254 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 998962.65000000 PA USD 1004381.79000000 0.370113461730 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AJGT5 2859000.00000000 PA USD 2789899.11000000 1.028074411305 Long ABS-MBS USGSE US N 2 2041-11-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BHEV7 25687422.39000000 PA USD 4589856.89000000 1.691356652736 Long ABS-MBS USGSE US N 2 2050-05-25 Fixed 3.50000000 N N N N N N BSST Mortgage Trust N/A Beast Mortgage Trust 05601PAA4 250000.00000000 PA USD 245137.95000000 0.090333034887 Long ABS-MBS CORP US N 2 2036-04-15 Floating 6.23000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379MCQ5 8784738.92000000 PA USD 8024591.07000000 2.957051999008 Long ABS-MBS USGA US N 2 2045-07-20 Fixed 4.00000000 N Y N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137BRYR0 7154668.40000000 PA USD 7061176.92000000 2.602035062533 Long ABS-MBS USGSE US N 2 2041-09-15 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137H8LQ2 6295076.00000000 PA USD 5744909.65000000 2.116992182712 Long ABS-MBS USGSE US N 2 2052-08-25 Fixed 4.00000000 N N N N N N Countrywide Home Loans N/A CHL Mortgage Pass-Through Trust 2003-J8 12669EX27 1040.26000000 PA USD 1035.02000000 0.000381403604 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 369528.37000000 PA USD 348219.81000000 0.128318574276 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 724343.25000000 PA USD 736033.16000000 0.271227319638 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 2024.27000000 PA USD 2048.88000000 0.000755009775 Long ABS-MBS USGA US N 2 2026-12-15 Fixed 8.00000000 N N N N N N CRSO TR 2023 BRND N/A CRSO TR 2023 BRND 228925AA1 176923.00000000 PA USD 184194.27000000 0.067875363312 Long ABS-MBS CORP US N 2 2040-07-12 Variable 7.12000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 Freddie Mac REMICS 3137AHVU9 506479.70000000 PA USD 499712.02000000 0.184143268458 Long ABS-MBS USGSE US N 2 2041-11-15 Fixed 4.50000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR 000000000 -2823651.28000000 PA USD -2823651.28000000 -1.04051204468 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 2992374.64653800 USD 2987592.68223438 USD AMBS N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418TWD5 13732.23000000 PA USD 13953.69000000 0.005141917706 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 13698593.15000000 5.047914828862 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 31412QQL6 146634.71000000 PA USD 146384.52000000 0.053942516660 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 4.50000000 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 10735.69000000 0.003956088640 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-10-21 10.63000000 USD 0.00000000 USD 136615.00000000 USD 10725.06000000 N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust 2023-SMRT 17291NAA9 340000.00000000 PA USD 344177.51000000 0.126828991668 Long ABS-MBS CORP US N 2 2040-10-12 Variable 5.82000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FHLMC 30YR 000000000 -2572389.40000000 PA USD -2572389.40000000 -0.94792234908 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 2806874.71302000 USD 2725145.17366992 USD AMBS N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137A24M0 3500000.00000000 PA USD 3362113.65000000 1.238934769747 Long ABS-MBS USGSE US N 2 2040-10-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AD3V9 1301545.69000000 PA USD 115009.00000000 0.042380675898 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 44541.35000000 PA USD 24607.22000000 0.009067730486 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 2097.12000000 PA USD 8.02000000 0.000002955360 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 6.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR ULTRA FUT MAR24 000000000 -163.00000000 NC USD -868105.08000000 -0.31989566069 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Ultra 10-Year U.S. Treasury Notes Futures UXYH4 Comdty 2024-03-19 -18368441.80000000 USD -868105.08000000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 RRP FNMA 30YR U 000000000 -5604130.72000000 PA USD -5604130.72000000 -2.06511531911 Short RA CORP US N 2 Reverse repurchase N 5.53000000 2024-01-16 5961370.82814000 USD 5902301.57185633 USD AMBS N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FHSG9 1069000.00000000 PA USD 997538.42000000 0.367591688251 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 4.00000000 N N N N N N 2024-01-30 BlackRock Income Trust, Inc. Chuck Pulsfort Chuck Pulsfort Assistant Treasurer