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Office of The Comptroller: Teachers Retirement System Holdings Data

This dataset sets forth the Teachers Retirement System holdings (both equity and fixed income) of the identified pension/retirement system as of the close of the fiscal year.

City Government Office of the Comptroller Dataset 5u2d-n46s 25 fields
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Dataset fields
Showing 50 real records
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HM LN PC POOL G04725
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL G04725
Security Description
5% 01 Oct 2036
Maturity Date
2036-10-01T00:00:00.000
Interest Rate
5
Original Face
5550219.00
Shares Par Value
294417.53
Base Market Value
321810.14
Base Total Cost
317234.91
Base Unrealized Gain Loss
4575.23
Base Accrued Interest
0
Local Market Value
321810.14
Local Total Cost Amount
317234.91
Local Unrealized Gain Loss
4575.23
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FHLMC
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FHLMC
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: US DOLLAR
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
US DOLLAR
Interest Rate
0
Original Face
0
Shares Par Value
3126059.62
Base Market Value
3126059.62
Base Total Cost
3126059.62
Base Unrealized Gain Loss
0
Base Accrued Interest
0
Local Market Value
3126059.62
Local Total Cost Amount
3126059.62
Local Unrealized Gain Loss
0
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
CASH
Investment Type Name
FOREIGN CURRENCY
Major Industry Name
CASH EQUIVALENT
Minor Industry Name
CASH EQUIVALENT
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 889995
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 889995
Security Description
1% 01 Sep 2038
Maturity Date
2038-09-01T00:00:00.000
Interest Rate
5.5
Original Face
2092869.00
Shares Par Value
67234.32
Base Market Value
74956.85
Base Total Cost
74774.54
Base Unrealized Gain Loss
182.31
Base Accrued Interest
0
Local Market Value
74956.85
Local Total Cost Amount
74774.54
Local Unrealized Gain Loss
182.31
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 889996
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 889996
Security Description
1% 01 Jun 2038
Maturity Date
2038-06-01T00:00:00.000
Interest Rate
5.5
Original Face
4000000.00
Shares Par Value
134594.64
Base Market Value
150288.38
Base Total Cost
143805.96
Base Unrealized Gain Loss
6482.42
Base Accrued Interest
0
Local Market Value
150288.38
Local Total Cost Amount
143805.96
Local Unrealized Gain Loss
6482.42
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 991864
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 991864
Security Description
6% 01 Oct 2038
Maturity Date
2038-10-01T00:00:00.000
Interest Rate
6
Original Face
703407.00
Shares Par Value
18628.43
Base Market Value
21106.94
Base Total Cost
20453.43
Base Unrealized Gain Loss
653.51
Base Accrued Interest
0
Local Market Value
21106.94
Local Total Cost Amount
20453.43
Local Unrealized Gain Loss
653.51
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 995023
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 995023
Security Description
1% 01 Aug 2037
Maturity Date
2037-08-01T00:00:00.000
Interest Rate
5.5
Original Face
1568548.00
Shares Par Value
108766.98
Base Market Value
121770.07
Base Total Cost
118194.87
Base Unrealized Gain Loss
3575.20
Base Accrued Interest
0
Local Market Value
121770.07
Local Total Cost Amount
118194.87
Local Unrealized Gain Loss
3575.20
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HM LN PC POOL G04837
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL G04837
Security Description
5.5% 01 Sep 2037
Maturity Date
2037-09-01T00:00:00.000
Interest Rate
5.5
Original Face
1271000.00
Shares Par Value
49428.33
Base Market Value
55082.44
Base Total Cost
49304.77
Base Unrealized Gain Loss
5777.67
Base Accrued Interest
0
Local Market Value
55082.44
Local Total Cost Amount
49304.77
Local Unrealized Gain Loss
5777.67
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FHLMC
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FHLMC
Direct Group Trust Holding
Direct
EUR
Local Currency Code: EUR • Trade Country Name: INTERNATIONAL • Security Name: EURO CURRENCY
Local Currency Code
EUR
Trade Country Name
INTERNATIONAL
Security Name
EURO CURRENCY
Interest Rate
0
Original Face
0
Shares Par Value
32393.80
Base Market Value
36946.75
Base Total Cost
34772.90
Base Unrealized Gain Loss
2173.85
Base Accrued Interest
0
Local Market Value
32393.80
Local Total Cost Amount
32393.80
Local Unrealized Gain Loss
0
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
CASH
Investment Type Name
FOREIGN CURRENCY
Major Industry Name
CASH EQUIVALENT
Minor Industry Name
CASH EQUIVALENT
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 994637
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 994637
Security Description
5.5% 01 Nov 2038
Maturity Date
2038-11-01T00:00:00.000
Interest Rate
5.5
Original Face
735000.00
Shares Par Value
10681.50
Base Market Value
11865.22
Base Total Cost
11027.57
Base Unrealized Gain Loss
837.65
Base Accrued Interest
0
Local Market Value
11865.22
Local Total Cost Amount
11027.57
Local Unrealized Gain Loss
837.65
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 990740
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 990740
Security Description
6% 01 Sep 2038
Maturity Date
2038-09-01T00:00:00.000
Interest Rate
6
Original Face
8859900.00
Shares Par Value
65892.23
Base Market Value
74492.48
Base Total Cost
72306.43
Base Unrealized Gain Loss
2186.05
Base Accrued Interest
0
Local Market Value
74492.48
Local Total Cost Amount
72306.43
Local Unrealized Gain Loss
2186.05
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HM LN PC POOL G04818
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL G04818
Security Description
5.5% 01 Oct 2038
Maturity Date
2038-10-01T00:00:00.000
Interest Rate
5.5
Original Face
7227111.00
Shares Par Value
216210.73
Base Market Value
240811.19
Base Total Cost
237798.00
Base Unrealized Gain Loss
3013.19
Base Accrued Interest
0
Local Market Value
240811.19
Local Total Cost Amount
237798.00
Local Unrealized Gain Loss
3013.19
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FHLMC
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FHLMC
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 992235
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 992235
Security Description
6% 01 Nov 2038
Maturity Date
2038-11-01T00:00:00.000
Interest Rate
6
Original Face
28778.00
Shares Par Value
387.66
Base Market Value
435.85
Base Total Cost
432.11
Base Unrealized Gain Loss
3.74
Base Accrued Interest
0
Local Market Value
435.85
Local Total Cost Amount
432.11
Local Unrealized Gain Loss
3.74
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HM LN PC POOL G08079
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL G08079
Security Description
5% 01 Sep 2035
Maturity Date
2035-09-01T00:00:00.000
Interest Rate
5
Original Face
55000.00
Shares Par Value
2412.55
Base Market Value
2631.68
Base Total Cost
2594.25
Base Unrealized Gain Loss
37.43
Base Accrued Interest
0
Local Market Value
2631.68
Local Total Cost Amount
2594.25
Local Unrealized Gain Loss
37.43
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FHLMC
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FHLMC
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 826897
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 826897
Security Description
5.5% 01 Aug 2035
Maturity Date
2035-08-01T00:00:00.000
Interest Rate
5.5
Original Face
1884256.00
Shares Par Value
102408.31
Base Market Value
114382.91
Base Total Cost
111689.06
Base Unrealized Gain Loss
2693.85
Base Accrued Interest
0
Local Market Value
114382.91
Local Total Cost Amount
111689.06
Local Unrealized Gain Loss
2693.85
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 735795
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 735795
Security Description
1% 01 Jun 2035
Maturity Date
2035-06-01T00:00:00.000
Interest Rate
5
Original Face
2058000.00
Shares Par Value
118206.56
Base Market Value
129747.07
Base Total Cost
114826.75
Base Unrealized Gain Loss
14920.32
Base Accrued Interest
0
Local Market Value
129747.07
Local Total Cost Amount
114826.75
Local Unrealized Gain Loss
14920.32
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 752976
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 752976
Security Description
5.5% 01 Oct 2033
Maturity Date
2033-10-01T00:00:00.000
Interest Rate
5.5
Original Face
410000.00
Shares Par Value
16532.18
Base Market Value
18362.95
Base Total Cost
16470.58
Base Unrealized Gain Loss
1892.37
Base Accrued Interest
0
Local Market Value
18362.95
Local Total Cost Amount
16470.58
Local Unrealized Gain Loss
1892.37
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: GNMA II POOL MA0155
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA II POOL MA0155
Security Description
4% 20 Jun 2042
Maturity Date
2042-06-20T00:00:00.000
Interest Rate
4
Original Face
2700000.00
Shares Par Value
822073.56
Base Market Value
869235.92
Base Total Cost
876407.50
Base Unrealized Gain Loss
-7171.58
Base Accrued Interest
0
Local Market Value
869235.92
Local Total Cost Amount
876407.50
Local Unrealized Gain Loss
-7171.58
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
GNMA II
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
GNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: GNMA II TBA 30 YR 3
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA II TBA 30 YR 3
Security Description
3% 20 Feb 2047
Maturity Date
2047-02-20T00:00:00.000
Interest Rate
3
Original Face
17835000.00
Shares Par Value
17835000.00
Base Market Value
18014776.80
Base Total Cost
18161620.32
Base Unrealized Gain Loss
-146843.52
Base Accrued Interest
28238.76
Local Market Value
18014776.80
Local Total Cost Amount
18161620.32
Local Unrealized Gain Loss
-146843.52
Local Accrued Interest
28238.76
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
GNMA II
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
GNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FHLMC TBA 30 YR 3
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FHLMC TBA 30 YR 3
Security Description
3% 15 Feb 2047
Maturity Date
2047-02-15T00:00:00.000
Interest Rate
3
Original Face
8495000.00
Shares Par Value
8495000.00
Base Market Value
8476395.95
Base Total Cost
8532506.24
Base Unrealized Gain Loss
-56110.29
Base Accrued Interest
8495.00
Local Market Value
8476395.95
Local Total Cost Amount
8532506.24
Local Unrealized Gain Loss
-56110.29
Local Accrued Interest
8495.00
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FHLMC
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FHLMC
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL AO4144
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL AO4144
Security Description
4% 01 Jun 2042
Maturity Date
2042-06-01T00:00:00.000
Interest Rate
4
Original Face
1580000.00
Shares Par Value
535215.85
Base Market Value
564556.38
Base Total Cost
568165.10
Base Unrealized Gain Loss
-3608.72
Base Accrued Interest
0
Local Market Value
564556.38
Local Total Cost Amount
568165.10
Local Unrealized Gain Loss
-3608.72
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HOME LN DISCOUNT NT
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HOME LN DISCOUNT NT
Security Description
0.01% 21 Sep 2017
Maturity Date
2017-09-21T00:00:00.000
Interest Rate
0.01
Original Face
0
Shares Par Value
22000000.00
Base Market Value
21949620.00
Base Total Cost
21934000.00
Base Unrealized Gain Loss
15620.00
Base Accrued Interest
51172.60
Local Market Value
21949620.00
Local Total Cost Amount
21934000.00
Local Unrealized Gain Loss
15620.00
Local Accrued Interest
51172.60
Period End Date
2017-06-30T00:00:00.000
Asset Class
CASH EQUIVALENT
Investment Type Name
GOVERNMENT ISSUES
Major Industry Name
CASH EQUIVALENT
Minor Industry Name
CASH EQUIVALENT
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HOME LN DISCOUNT NT
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HOME LN DISCOUNT NT
Security Description
0.01% 26 Jul 2017
Maturity Date
2017-07-26T00:00:00.000
Interest Rate
0.01
Original Face
0
Shares Par Value
24000000.00
Base Market Value
23984640.00
Base Total Cost
23962586.64
Base Unrealized Gain Loss
22053.36
Base Accrued Interest
34850.80
Local Market Value
23984640.00
Local Total Cost Amount
23962586.64
Local Unrealized Gain Loss
22053.36
Local Accrued Interest
34850.80
Period End Date
2017-06-30T00:00:00.000
Asset Class
CASH EQUIVALENT
Investment Type Name
GOVERNMENT ISSUES
Major Industry Name
CASH EQUIVALENT
Minor Industry Name
CASH EQUIVALENT
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: GNMA POOL 781272
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA POOL 781272
Security Description
7% 15 Aug 2029
Maturity Date
2029-08-15T00:00:00.000
Interest Rate
7
Original Face
98000.00
Shares Par Value
998.34
Base Market Value
1156.30
Base Total Cost
1056.83
Base Unrealized Gain Loss
99.47
Base Accrued Interest
0
Local Market Value
1156.30
Local Total Cost Amount
1056.83
Local Unrealized Gain Loss
99.47
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
GNMA I
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
GNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: GNMA POOL 549726
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA POOL 549726
Security Description
7% 15 Jun 2031
Maturity Date
2031-06-15T00:00:00.000
Interest Rate
7
Original Face
211000.00
Shares Par Value
10529.38
Base Market Value
11197.89
Base Total Cost
11141.41
Base Unrealized Gain Loss
56.48
Base Accrued Interest
0
Local Market Value
11197.89
Local Total Cost Amount
11141.41
Local Unrealized Gain Loss
56.48
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
GNMA I
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
GNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HOME LN DISCOUNT NT
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HOME LN DISCOUNT NT
Security Description
0.01% 24 Jul 2017
Maturity Date
2017-07-24T00:00:00.000
Interest Rate
0.01
Original Face
0
Shares Par Value
20000000.00
Base Market Value
19988400.00
Base Total Cost
19954811.20
Base Unrealized Gain Loss
33588.80
Base Accrued Interest
42333.46
Local Market Value
19988400.00
Local Total Cost Amount
19954811.20
Local Unrealized Gain Loss
33588.80
Local Accrued Interest
42333.46
Period End Date
2017-06-30T00:00:00.000
Asset Class
CASH EQUIVALENT
Investment Type Name
GOVERNMENT ISSUES
Major Industry Name
CASH EQUIVALENT
Minor Industry Name
CASH EQUIVALENT
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: GNMA POOL 561522
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA POOL 561522
Security Description
7% 15 Jul 2031
Maturity Date
2031-07-15T00:00:00.000
Interest Rate
7
Original Face
508000.00
Shares Par Value
2718.77
Base Market Value
3083.87
Base Total Cost
2876.79
Base Unrealized Gain Loss
207.08
Base Accrued Interest
0
Local Market Value
3083.87
Local Total Cost Amount
2876.79
Local Unrealized Gain Loss
207.08
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
GNMA I
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
GNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: GNMA POOL 485689
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA POOL 485689
Security Description
7% 15 Aug 2031
Maturity Date
2031-08-15T00:00:00.000
Interest Rate
7
Original Face
364000.00
Shares Par Value
2822.52
Base Market Value
3158.99
Base Total Cost
2987.90
Base Unrealized Gain Loss
171.09
Base Accrued Interest
0
Local Market Value
3158.99
Local Total Cost Amount
2987.90
Local Unrealized Gain Loss
171.09
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
GNMA I
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
GNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: GNMA POOL 781324
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA POOL 781324
Security Description
7% 15 Jul 2031
Maturity Date
2031-07-15T00:00:00.000
Interest Rate
7
Original Face
1123000.00
Shares Par Value
6571.31
Base Market Value
7796.60
Base Total Cost
6956.35
Base Unrealized Gain Loss
840.25
Base Accrued Interest
0
Local Market Value
7796.60
Local Total Cost Amount
6956.35
Local Unrealized Gain Loss
840.25
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
GNMA I
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
GNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 604617
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 604617
Security Description
6% 01 Oct 2031
Maturity Date
2031-10-01T00:00:00.000
Interest Rate
6
Original Face
64991.00
Shares Par Value
181.06
Base Market Value
203.57
Base Total Cost
186.12
Base Unrealized Gain Loss
17.45
Base Accrued Interest
0
Local Market Value
203.57
Local Total Cost Amount
186.12
Local Unrealized Gain Loss
17.45
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: GNMA POOL 552225
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA POOL 552225
Security Description
7% 15 Nov 2031
Maturity Date
2031-11-15T00:00:00.000
Interest Rate
7
Original Face
52000.00
Shares Par Value
338.33
Base Market Value
345.49
Base Total Cost
358.15
Base Unrealized Gain Loss
-12.66
Base Accrued Interest
0
Local Market Value
345.49
Local Total Cost Amount
358.15
Local Unrealized Gain Loss
-12.66
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
GNMA I
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
GNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 614959
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 614959
Security Description
6% 01 Dec 2031
Maturity Date
2031-12-01T00:00:00.000
Interest Rate
6
Original Face
96054.00
Shares Par Value
528.12
Base Market Value
597.01
Base Total Cost
579.45
Base Unrealized Gain Loss
17.56
Base Accrued Interest
0
Local Market Value
597.01
Local Total Cost Amount
579.45
Local Unrealized Gain Loss
17.56
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 908897
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 908897
Security Description
6% 01 Mar 2037
Maturity Date
2037-03-01T00:00:00.000
Interest Rate
6
Original Face
29224.00
Shares Par Value
862.76
Base Market Value
979.20
Base Total Cost
929.23
Base Unrealized Gain Loss
49.97
Base Accrued Interest
0
Local Market Value
979.20
Local Total Cost Amount
929.23
Local Unrealized Gain Loss
49.97
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 888405
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 888405
Security Description
1% 01 Dec 2036
Maturity Date
2036-12-01T00:00:00.000
Interest Rate
5
Original Face
5345790.00
Shares Par Value
250910.32
Base Market Value
275537.17
Base Total Cost
277569.53
Base Unrealized Gain Loss
-2032.36
Base Accrued Interest
0
Local Market Value
275537.17
Local Total Cost Amount
277569.53
Local Unrealized Gain Loss
-2032.36
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 888406
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 888406
Security Description
1% 01 Aug 2036
Maturity Date
2036-08-01T00:00:00.000
Interest Rate
5
Original Face
2518000.00
Shares Par Value
173890.84
Base Market Value
190993.00
Base Total Cost
164799.24
Base Unrealized Gain Loss
26193.76
Base Accrued Interest
0
Local Market Value
190993.00
Local Total Cost Amount
164799.24
Local Unrealized Gain Loss
26193.76
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HM LN PC POOL G02815
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL G02815
Security Description
5.5% 01 Apr 2037
Maturity Date
2037-04-01T00:00:00.000
Interest Rate
5.5
Original Face
2155431.00
Shares Par Value
62585.94
Base Market Value
69219.42
Base Total Cost
68570.70
Base Unrealized Gain Loss
648.72
Base Accrued Interest
0
Local Market Value
69219.42
Local Total Cost Amount
68570.70
Local Unrealized Gain Loss
648.72
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FHLMC
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FHLMC
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HM LN PC POOL C91167
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL C91167
Security Description
5% 01 Apr 2028
Maturity Date
2028-04-01T00:00:00.000
Interest Rate
5
Original Face
13752631.00
Shares Par Value
467490.02
Base Market Value
507591.31
Base Total Cost
510294.58
Base Unrealized Gain Loss
-2703.27
Base Accrued Interest
0
Local Market Value
507591.31
Local Total Cost Amount
510294.58
Local Unrealized Gain Loss
-2703.27
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FHLMC
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FHLMC
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 889525
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 889525
Security Description
1% 01 May 2036
Maturity Date
2036-05-01T00:00:00.000
Interest Rate
5
Original Face
44000.00
Shares Par Value
2606.88
Base Market Value
2862.17
Base Total Cost
2845.58
Base Unrealized Gain Loss
16.59
Base Accrued Interest
0
Local Market Value
2862.17
Local Total Cost Amount
2845.58
Local Unrealized Gain Loss
16.59
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 928994
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 928994
Security Description
5.5% 01 Jan 2038
Maturity Date
2038-01-01T00:00:00.000
Interest Rate
5.5
Original Face
4350691.00
Shares Par Value
190199.03
Base Market Value
211130.43
Base Total Cost
208446.24
Base Unrealized Gain Loss
2684.19
Base Accrued Interest
0
Local Market Value
211130.43
Local Total Cost Amount
208446.24
Local Unrealized Gain Loss
2684.19
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 257290
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 257290
Security Description
4.5% 01 Jul 2018
Maturity Date
2018-07-01T00:00:00.000
Interest Rate
4.5
Original Face
11341106.00
Shares Par Value
93857.29
Base Market Value
96113.62
Base Total Cost
98425.51
Base Unrealized Gain Loss
-2311.89
Base Accrued Interest
0
Local Market Value
96113.62
Local Total Cost Amount
98425.51
Local Unrealized Gain Loss
-2311.89
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HM LN PC POOL A37039
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL A37039
Security Description
4.5% 01 Sep 2035
Maturity Date
2035-09-01T00:00:00.000
Interest Rate
4.5
Original Face
42148.00
Shares Par Value
1615.07
Base Market Value
1730.69
Base Total Cost
1747.13
Base Unrealized Gain Loss
-16.44
Base Accrued Interest
0
Local Market Value
1730.69
Local Total Cost Amount
1747.13
Local Unrealized Gain Loss
-16.44
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FHLMC
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FHLMC
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 815197
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 815197
Security Description
6% 01 Jul 2032
Maturity Date
2032-07-01T00:00:00.000
Interest Rate
6
Original Face
902700.00
Shares Par Value
17652.86
Base Market Value
19847.46
Base Total Cost
19183.69
Base Unrealized Gain Loss
663.77
Base Accrued Interest
0
Local Market Value
19847.46
Local Total Cost Amount
19183.69
Local Unrealized Gain Loss
663.77
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HM LN PC POOL A39606
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL A39606
Security Description
5% 01 Nov 2035
Maturity Date
2035-11-01T00:00:00.000
Interest Rate
5
Original Face
222000.00
Shares Par Value
9156.25
Base Market Value
9956.60
Base Total Cost
8897.30
Base Unrealized Gain Loss
1059.30
Base Accrued Interest
0
Local Market Value
9956.60
Local Total Cost Amount
8897.30
Local Unrealized Gain Loss
1059.30
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FHLMC
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FHLMC
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 844048
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 844048
Security Description
5% 01 Nov 2035
Maturity Date
2035-11-01T00:00:00.000
Interest Rate
5
Original Face
454000.00
Shares Par Value
28603.27
Base Market Value
31404.67
Base Total Cost
27464.09
Base Unrealized Gain Loss
3940.58
Base Accrued Interest
0
Local Market Value
31404.67
Local Total Cost Amount
27464.09
Local Unrealized Gain Loss
3940.58
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 839215
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 839215
Security Description
6% 01 Aug 2035
Maturity Date
2035-08-01T00:00:00.000
Interest Rate
6
Original Face
372227.00
Shares Par Value
16387.63
Base Market Value
18492.95
Base Total Cost
17808.73
Base Unrealized Gain Loss
684.22
Base Accrued Interest
0
Local Market Value
18492.95
Local Total Cost Amount
17808.73
Local Unrealized Gain Loss
684.22
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HM LN PC POOL A47367
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL A47367
Security Description
5% 01 Oct 2035
Maturity Date
2035-10-01T00:00:00.000
Interest Rate
5
Original Face
75000.00
Shares Par Value
4019.88
Base Market Value
4423.11
Base Total Cost
4322.59
Base Unrealized Gain Loss
100.52
Base Accrued Interest
0
Local Market Value
4423.11
Local Total Cost Amount
4322.59
Local Unrealized Gain Loss
100.52
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FHLMC
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FHLMC
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 752678
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 752678
Security Description
5.5% 01 Nov 2033
Maturity Date
2033-11-01T00:00:00.000
Interest Rate
5.5
Original Face
354000.00
Shares Par Value
40241.23
Base Market Value
44551.87
Base Total Cost
39782.13
Base Unrealized Gain Loss
4769.74
Base Accrued Interest
0
Local Market Value
44551.87
Local Total Cost Amount
39782.13
Local Unrealized Gain Loss
4769.74
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HM LN PC POOL G02023
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL G02023
Security Description
5.5% 01 Jun 2035
Maturity Date
2035-06-01T00:00:00.000
Interest Rate
5.5
Original Face
227000.00
Shares Par Value
14470.85
Base Market Value
16211.11
Base Total Cost
14423.36
Base Unrealized Gain Loss
1787.75
Base Accrued Interest
0
Local Market Value
16211.11
Local Total Cost Amount
14423.36
Local Unrealized Gain Loss
1787.75
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FHLMC
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FHLMC
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FED HM LN PC POOL A41205
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL A41205
Security Description
5% 01 Jan 2036
Maturity Date
2036-01-01T00:00:00.000
Interest Rate
5
Original Face
289000.00
Shares Par Value
21464.49
Base Market Value
23423.34
Base Total Cost
20672.97
Base Unrealized Gain Loss
2750.37
Base Accrued Interest
0
Local Market Value
23423.34
Local Total Cost Amount
20672.97
Local Unrealized Gain Loss
2750.37
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FHLMC
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FHLMC
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 256196
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 256196
Security Description
5.5% 01 Apr 2036
Maturity Date
2036-04-01T00:00:00.000
Interest Rate
5.5
Original Face
8615014.00
Shares Par Value
277361.41
Base Market Value
310542.16
Base Total Cost
310038.05
Base Unrealized Gain Loss
504.11
Base Accrued Interest
0
Local Market Value
310542.16
Local Total Cost Amount
310038.05
Local Unrealized Gain Loss
504.11
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
USD
Local Currency Code: USD • Trade Country Name: UNITED STATES OF AMERICA (THE) • Security Name: FNMA POOL 878103
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 878103
Security Description
5% 01 Apr 2036
Maturity Date
2036-04-01T00:00:00.000
Interest Rate
5
Original Face
5691757.00
Shares Par Value
202411.91
Base Market Value
222013.48
Base Total Cost
223665.16
Base Unrealized Gain Loss
-1651.68
Base Accrued Interest
0
Local Market Value
222013.48
Local Total Cost Amount
223665.16
Local Unrealized Gain Loss
-1651.68
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
Investment Type Name
FNMA
Major Industry Name
MORTGAGE PASS-THROUGH
Minor Industry Name
FNMA
Direct Group Trust Holding
Direct
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