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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 C51710
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL C51710
Security Description
6.5% 01 May 2031
Maturity Date
2031-05-01T00:00:00.000
Interest Rate
6.5
Original Face
625000.00
Shares Par Value
5257.44
Base Market Value
5811.63
Base Total Cost
5401.99
Base Unrealized Gain Loss
409.64
Base Accrued Interest
0
Local Market Value
5811.63
Local Total Cost Amount
5401.99
Local Unrealized Gain Loss
409.64
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 C68290
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL C68290
Security Description
7% 01 Jun 2032
Maturity Date
2032-06-01T00:00:00.000
Interest Rate
7
Original Face
120000.00
Shares Par Value
1768.62
Base Market Value
1897.64
Base Total Cost
1853.74
Base Unrealized Gain Loss
43.90
Base Accrued Interest
0
Local Market Value
1897.64
Local Total Cost Amount
1853.74
Local Unrealized Gain Loss
43.90
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 E91434
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL E91434
Security Description
6% 01 Sep 2017
Maturity Date
2017-09-01T00:00:00.000
Interest Rate
6
Original Face
115000.00
Shares Par Value
85.00
Base Market Value
85.13
Base Total Cost
88.26
Base Unrealized Gain Loss
-3.13
Base Accrued Interest
0
Local Market Value
85.13
Local Total Cost Amount
88.26
Local Unrealized Gain Loss
-3.13
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 643137
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 643137
Security Description
7% 01 May 2032
Maturity Date
2032-05-01T00:00:00.000
Interest Rate
7
Original Face
86000.00
Shares Par Value
989.87
Base Market Value
1083.67
Base Total Cost
1029.64
Base Unrealized Gain Loss
54.03
Base Accrued Interest
0
Local Market Value
1083.67
Local Total Cost Amount
1029.64
Local Unrealized Gain Loss
54.03
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 647998
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 647998
Security Description
7% 01 Jun 2032
Maturity Date
2032-06-01T00:00:00.000
Interest Rate
7
Original Face
712000.00
Shares Par Value
4576.29
Base Market Value
5167.73
Base Total Cost
4760.07
Base Unrealized Gain Loss
407.66
Base Accrued Interest
0
Local Market Value
5167.73
Local Total Cost Amount
4760.07
Local Unrealized Gain Loss
407.66
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 C67936
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL C67936
Security Description
7% 01 May 2032
Maturity Date
2032-05-01T00:00:00.000
Interest Rate
7
Original Face
227000.00
Shares Par Value
7603.47
Base Market Value
8413.77
Base Total Cost
7969.38
Base Unrealized Gain Loss
444.39
Base Accrued Interest
0
Local Market Value
8413.77
Local Total Cost Amount
7969.38
Local Unrealized Gain Loss
444.39
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 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% 31 Jul 2017
Maturity Date
2017-07-31T00:00:00.000
Interest Rate
0
Original Face
0
Shares Par Value
15000000.00
Base Market Value
14988300.00
Base Total Cost
14970000.00
Base Unrealized Gain Loss
18300.00
Base Accrued Interest
0
Local Market Value
14988300.00
Local Total Cost Amount
14970000.00
Local Unrealized Gain Loss
18300.00
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
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% 07 Aug 2017
Maturity Date
2017-08-07T00:00:00.000
Interest Rate
0
Original Face
0
Shares Par Value
6000000.00
Base Market Value
5994060.00
Base Total Cost
5990990.00
Base Unrealized Gain Loss
3070.00
Base Accrued Interest
0
Local Market Value
5994060.00
Local Total Cost Amount
5990990.00
Local Unrealized Gain Loss
3070.00
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
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% 08 Aug 2017
Maturity Date
2017-08-08T00:00:00.000
Interest Rate
0
Original Face
0
Shares Par Value
12000000.00
Base Market Value
11987760.00
Base Total Cost
11979999.96
Base Unrealized Gain Loss
7760.04
Base Accrued Interest
0
Local Market Value
11987760.00
Local Total Cost Amount
11979999.96
Local Unrealized Gain Loss
7760.04
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
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: STATE STREET BANK + TRUST CO
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
STATE STREET BANK + TRUST CO
Security Description
SHORT TERM INVESTMENT FUND
Maturity Date
2030-12-31T00:00:00.000
Interest Rate
1.12176
Original Face
0
Shares Par Value
127867245.48
Base Market Value
127867245.48
Base Total Cost
127867245.48
Base Unrealized Gain Loss
0
Base Accrued Interest
0
Local Market Value
127867245.48
Local Total Cost Amount
127867245.48
Local Unrealized Gain Loss
0
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
CASH EQUIVALENT
Investment Type Name
STIF-TYPE INSTRUMENT
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 339168
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 339168
Security Description
7% 01 Mar 2026
Maturity Date
2026-03-01T00:00:00.000
Interest Rate
7
Original Face
77000.00
Shares Par Value
256.00
Base Market Value
276.44
Base Total Cost
251.68
Base Unrealized Gain Loss
24.76
Base Accrued Interest
0
Local Market Value
276.44
Local Total Cost Amount
251.68
Local Unrealized Gain Loss
24.76
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: FNMA POOL 366201
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 366201
Security Description
7% 01 Jun 2026
Maturity Date
2026-06-01T00:00:00.000
Interest Rate
7
Original Face
188000.00
Shares Par Value
464.61
Base Market Value
479.51
Base Total Cost
456.77
Base Unrealized Gain Loss
22.74
Base Accrued Interest
0
Local Market Value
479.51
Local Total Cost Amount
456.77
Local Unrealized Gain Loss
22.74
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: GNMA POOL 462442
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA POOL 462442
Security Description
7% 15 Dec 2027
Maturity Date
2027-12-15T00:00:00.000
Interest Rate
7
Original Face
115000.00
Shares Par Value
378.62
Base Market Value
415.93
Base Total Cost
400.81
Base Unrealized Gain Loss
15.12
Base Accrued Interest
0
Local Market Value
415.93
Local Total Cost Amount
400.81
Local Unrealized Gain Loss
15.12
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 323319
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 323319
Security Description
1% 01 Oct 2028
Maturity Date
2028-10-01T00:00:00.000
Interest Rate
7
Original Face
430000.00
Shares Par Value
1894.94
Base Market Value
2190.51
Base Total Cost
2004.35
Base Unrealized Gain Loss
186.16
Base Accrued Interest
0
Local Market Value
2190.51
Local Total Cost Amount
2004.35
Local Unrealized Gain Loss
186.16
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: 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
299892.00
Base Market Value
299892.00
Base Total Cost
299892.00
Base Unrealized Gain Loss
0
Base Accrued Interest
0
Local Market Value
299892.00
Local Total Cost Amount
299892.00
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: GNMA POOL 532749
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA POOL 532749
Security Description
8% 15 Aug 2030
Maturity Date
2030-08-15T00:00:00.000
Interest Rate
8
Original Face
128000.00
Shares Par Value
135.74
Base Market Value
142.33
Base Total Cost
146.58
Base Unrealized Gain Loss
-4.25
Base Accrued Interest
0
Local Market Value
142.33
Local Total Cost Amount
146.58
Local Unrealized Gain Loss
-4.25
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: GNMA POOL 486031
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA POOL 486031
Security Description
7% 15 Oct 2030
Maturity Date
2030-10-15T00:00:00.000
Interest Rate
7
Original Face
80000.00
Shares Par Value
2297.52
Base Market Value
2355.69
Base Total Cost
2431.08
Base Unrealized Gain Loss
-75.39
Base Accrued Interest
0
Local Market Value
2355.69
Local Total Cost Amount
2431.08
Local Unrealized Gain Loss
-75.39
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% 03 Aug 2017
Maturity Date
2017-08-03T00:00:00.000
Interest Rate
0
Original Face
0
Shares Par Value
12000000.00
Base Market Value
11989440.00
Base Total Cost
11982493.32
Base Unrealized Gain Loss
6946.68
Base Accrued Interest
0
Local Market Value
11989440.00
Local Total Cost Amount
11982493.32
Local Unrealized Gain Loss
6946.68
Local Accrued Interest
0
Period End Date
2017-06-30T00:00:00.000
Asset Class
FIXED INCOME
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: FNMA POOL 555783
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 555783
Security Description
1% 01 Oct 2033
Maturity Date
2033-10-01T00:00:00.000
Interest Rate
4.5
Original Face
621000.00
Shares Par Value
34255.07
Base Market Value
36915.32
Base Total Cost
31750.18
Base Unrealized Gain Loss
5165.14
Base Accrued Interest
0
Local Market Value
36915.32
Local Total Cost Amount
31750.18
Local Unrealized Gain Loss
5165.14
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 E01641
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL E01641
Security Description
4.5% 01 May 2019
Maturity Date
2019-05-01T00:00:00.000
Interest Rate
4.5
Original Face
166000.00
Shares Par Value
2947.49
Base Market Value
3013.04
Base Total Cost
2917.43
Base Unrealized Gain Loss
95.61
Base Accrued Interest
0
Local Market Value
3013.04
Local Total Cost Amount
2917.43
Local Unrealized Gain Loss
95.61
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 B12288
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL B12288
Security Description
4.5% 01 Feb 2019
Maturity Date
2019-02-01T00:00:00.000
Interest Rate
4.5
Original Face
25000.00
Shares Par Value
228.31
Base Market Value
233.39
Base Total Cost
225.87
Base Unrealized Gain Loss
7.52
Base Accrued Interest
0
Local Market Value
233.39
Local Total Cost Amount
225.87
Local Unrealized Gain Loss
7.52
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: FED HM LN PC POOL B13458
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL B13458
Security Description
4.5% 01 Apr 2019
Maturity Date
2019-04-01T00:00:00.000
Interest Rate
4.5
Original Face
86000.00
Shares Par Value
877.05
Base Market Value
896.56
Base Total Cost
863.97
Base Unrealized Gain Loss
32.59
Base Accrued Interest
0
Local Market Value
896.56
Local Total Cost Amount
863.97
Local Unrealized Gain Loss
32.59
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 C01416
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL C01416
Security Description
7% 01 Sep 2032
Maturity Date
2032-09-01T00:00:00.000
Interest Rate
7
Original Face
348000.00
Shares Par Value
8901.23
Base Market Value
10111.62
Base Total Cost
9337.82
Base Unrealized Gain Loss
773.80
Base Accrued Interest
0
Local Market Value
10111.62
Local Total Cost Amount
9337.82
Local Unrealized Gain Loss
773.80
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: GNMA POOL 563629
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA POOL 563629
Security Description
7% 15 Aug 2032
Maturity Date
2032-08-15T00:00:00.000
Interest Rate
7
Original Face
612000.00
Shares Par Value
1900.50
Base Market Value
2107.26
Base Total Cost
2011.87
Base Unrealized Gain Loss
95.39
Base Accrued Interest
0
Local Market Value
2107.26
Local Total Cost Amount
2011.87
Local Unrealized Gain Loss
95.39
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 HM LN PC POOL C69057
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL C69057
Security Description
7% 01 Jul 2032
Maturity Date
2032-07-01T00:00:00.000
Interest Rate
7
Original Face
46000.00
Shares Par Value
553.80
Base Market Value
567.63
Base Total Cost
581.13
Base Unrealized Gain Loss
-13.50
Base Accrued Interest
0
Local Market Value
567.63
Local Total Cost Amount
581.13
Local Unrealized Gain Loss
-13.50
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 651345
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 651345
Security Description
7% 01 Jul 2032
Maturity Date
2032-07-01T00:00:00.000
Interest Rate
7
Original Face
390000.00
Shares Par Value
3158.37
Base Market Value
3462.36
Base Total Cost
3311.34
Base Unrealized Gain Loss
151.02
Base Accrued Interest
0
Local Market Value
3462.36
Local Total Cost Amount
3311.34
Local Unrealized Gain Loss
151.02
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 C68877
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL C68877
Security Description
7% 01 Jul 2032
Maturity Date
2032-07-01T00:00:00.000
Interest Rate
7
Original Face
70000.00
Shares Par Value
1432.49
Base Market Value
1468.12
Base Total Cost
1503.20
Base Unrealized Gain Loss
-35.08
Base Accrued Interest
0
Local Market Value
1468.12
Local Total Cost Amount
1503.20
Local Unrealized Gain Loss
-35.08
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 608036
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 608036
Security Description
7% 01 Sep 2031
Maturity Date
2031-09-01T00:00:00.000
Interest Rate
7
Original Face
90000.00
Shares Par Value
574.06
Base Market Value
592.12
Base Total Cost
607.16
Base Unrealized Gain Loss
-15.04
Base Accrued Interest
0
Local Market Value
592.12
Local Total Cost Amount
607.16
Local Unrealized Gain Loss
-15.04
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 C75191
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL C75191
Security Description
5.5% 01 Jan 2033
Maturity Date
2033-01-01T00:00:00.000
Interest Rate
5.5
Original Face
89000.00
Shares Par Value
1091.46
Base Market Value
1217.88
Base Total Cost
1088.13
Base Unrealized Gain Loss
129.75
Base Accrued Interest
0
Local Market Value
1217.88
Local Total Cost Amount
1088.13
Local Unrealized Gain Loss
129.75
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: FNMA POOL 623271
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 623271
Security Description
7% 01 Oct 2031
Maturity Date
2031-10-01T00:00:00.000
Interest Rate
7
Original Face
805000.00
Shares Par Value
9635.91
Base Market Value
10731.42
Base Total Cost
10141.82
Base Unrealized Gain Loss
589.60
Base Accrued Interest
0
Local Market Value
10731.42
Local Total Cost Amount
10141.82
Local Unrealized Gain Loss
589.60
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 681373
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 681373
Security Description
5% 01 Jan 2018
Maturity Date
2018-01-01T00:00:00.000
Interest Rate
5
Original Face
251000.00
Shares Par Value
390.66
Base Market Value
400.05
Base Total Cost
390.90
Base Unrealized Gain Loss
9.15
Base Accrued Interest
0
Local Market Value
400.05
Local Total Cost Amount
390.90
Local Unrealized Gain Loss
9.15
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 C01490
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL C01490
Security Description
5.5% 01 Feb 2033
Maturity Date
2033-02-01T00:00:00.000
Interest Rate
5.5
Original Face
42000.00
Shares Par Value
1104.42
Base Market Value
1234.81
Base Total Cost
1091.94
Base Unrealized Gain Loss
142.87
Base Accrued Interest
0
Local Market Value
1234.81
Local Total Cost Amount
1091.94
Local Unrealized Gain Loss
142.87
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 689115
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 689115
Security Description
5.5% 01 Feb 2033
Maturity Date
2033-02-01T00:00:00.000
Interest Rate
5.5
Original Face
188000.00
Shares Par Value
4184.63
Base Market Value
4678.04
Base Total Cost
4227.45
Base Unrealized Gain Loss
450.59
Base Accrued Interest
0
Local Market Value
4678.04
Local Total Cost Amount
4227.45
Local Unrealized Gain Loss
450.59
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 555092
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 555092
Security Description
1% 01 Dec 2017
Maturity Date
2017-12-01T00:00:00.000
Interest Rate
5
Original Face
894000.00
Shares Par Value
1196.82
Base Market Value
1225.59
Base Total Cost
1220.29
Base Unrealized Gain Loss
5.30
Base Accrued Interest
0
Local Market Value
1225.59
Local Total Cost Amount
1220.29
Local Unrealized Gain Loss
5.30
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 688129
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 688129
Security Description
5.5% 01 Mar 2033
Maturity Date
2033-03-01T00:00:00.000
Interest Rate
5.5
Original Face
615000.00
Shares Par Value
13440.76
Base Market Value
14969.11
Base Total Cost
13229.68
Base Unrealized Gain Loss
1739.43
Base Accrued Interest
0
Local Market Value
14969.11
Local Total Cost Amount
13229.68
Local Unrealized Gain Loss
1739.43
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 686908
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 686908
Security Description
5.5% 01 Feb 2033
Maturity Date
2033-02-01T00:00:00.000
Interest Rate
5.5
Original Face
121000.00
Shares Par Value
6502.78
Base Market Value
7271.73
Base Total Cost
6619.12
Base Unrealized Gain Loss
652.61
Base Accrued Interest
0
Local Market Value
7271.73
Local Total Cost Amount
6619.12
Local Unrealized Gain Loss
652.61
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 694731
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 694731
Security Description
5.5% 01 Apr 2033
Maturity Date
2033-04-01T00:00:00.000
Interest Rate
5.5
Original Face
348000.00
Shares Par Value
6134.59
Base Market Value
6865.28
Base Total Cost
6208.38
Base Unrealized Gain Loss
656.90
Base Accrued Interest
0
Local Market Value
6865.28
Local Total Cost Amount
6208.38
Local Unrealized Gain Loss
656.90
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 C01549
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL C01549
Security Description
6% 01 Apr 2033
Maturity Date
2033-04-01T00:00:00.000
Interest Rate
6
Original Face
46000.00
Shares Par Value
1173.25
Base Market Value
1329.73
Base Total Cost
1202.55
Base Unrealized Gain Loss
127.18
Base Accrued Interest
0
Local Market Value
1329.73
Local Total Cost Amount
1202.55
Local Unrealized Gain Loss
127.18
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 C01552
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL C01552
Security Description
5.5% 01 May 2033
Maturity Date
2033-05-01T00:00:00.000
Interest Rate
5.5
Original Face
26000.00
Shares Par Value
891.10
Base Market Value
996.30
Base Total Cost
890.46
Base Unrealized Gain Loss
105.84
Base Accrued Interest
0
Local Market Value
996.30
Local Total Cost Amount
890.46
Local Unrealized Gain Loss
105.84
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 TBA 30 YR 4.5
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA TBA 30 YR 4.5
Security Description
4.5% 14 Aug 2047
Maturity Date
2047-08-14T00:00:00.000
Interest Rate
4.5
Original Face
19800000.00
Shares Par Value
19800000.00
Base Market Value
21212730.00
Base Total Cost
21247875.00
Base Unrealized Gain Loss
-35145.00
Base Accrued Interest
32175.00
Local Market Value
21212730.00
Local Total Cost Amount
21247875.00
Local Unrealized Gain Loss
-35145.00
Local Accrued Interest
32175.00
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 C62298
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL C62298
Security Description
5.5% 01 Jan 2032
Maturity Date
2032-01-01T00:00:00.000
Interest Rate
5.5
Original Face
327000.00
Shares Par Value
1834.22
Base Market Value
2021.05
Base Total Cost
1814.68
Base Unrealized Gain Loss
206.37
Base Accrued Interest
0
Local Market Value
2021.05
Local Total Cost Amount
1814.68
Local Unrealized Gain Loss
206.37
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 681119
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 681119
Security Description
5.5% 01 Feb 2018
Maturity Date
2018-02-01T00:00:00.000
Interest Rate
5.5
Original Face
527000.00
Shares Par Value
1071.77
Base Market Value
1074.64
Base Total Cost
1063.89
Base Unrealized Gain Loss
10.75
Base Accrued Interest
0
Local Market Value
1074.64
Local Total Cost Amount
1063.89
Local Unrealized Gain Loss
10.75
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 603871
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA POOL 603871
Security Description
7% 15 Jan 2033
Maturity Date
2033-01-15T00:00:00.000
Interest Rate
7
Original Face
43000.00
Shares Par Value
1209.77
Base Market Value
1330.87
Base Total Cost
1280.65
Base Unrealized Gain Loss
50.22
Base Accrued Interest
0
Local Market Value
1330.87
Local Total Cost Amount
1280.65
Local Unrealized Gain Loss
50.22
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 582260
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
GNMA POOL 582260
Security Description
7% 15 Jul 2032
Maturity Date
2032-07-15T00:00:00.000
Interest Rate
7
Original Face
139000.00
Shares Par Value
3626.60
Base Market Value
4160.98
Base Total Cost
3839.13
Base Unrealized Gain Loss
321.85
Base Accrued Interest
0
Local Market Value
4160.98
Local Total Cost Amount
3839.13
Local Unrealized Gain Loss
321.85
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 HM LN PC POOL A10113
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FED HM LN PC POOL A10113
Security Description
5.5% 01 Jun 2033
Maturity Date
2033-06-01T00:00:00.000
Interest Rate
5.5
Original Face
62000.00
Shares Par Value
1661.12
Base Market Value
1839.32
Base Total Cost
1642.36
Base Unrealized Gain Loss
196.96
Base Accrued Interest
0
Local Market Value
1839.32
Local Total Cost Amount
1642.36
Local Unrealized Gain Loss
196.96
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 713560
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 713560
Security Description
5.5% 01 Apr 2033
Maturity Date
2033-04-01T00:00:00.000
Interest Rate
5.5
Original Face
112000.00
Shares Par Value
4214.23
Base Market Value
4690.27
Base Total Cost
4240.23
Base Unrealized Gain Loss
450.04
Base Accrued Interest
0
Local Market Value
4690.27
Local Total Cost Amount
4240.23
Local Unrealized Gain Loss
450.04
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 555531
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 555531
Security Description
1% 01 Jun 2033
Maturity Date
2033-06-01T00:00:00.000
Interest Rate
5.5
Original Face
1044000.00
Shares Par Value
25079.84
Base Market Value
28151.12
Base Total Cost
25307.42
Base Unrealized Gain Loss
2843.70
Base Accrued Interest
0
Local Market Value
28151.12
Local Total Cost Amount
25307.42
Local Unrealized Gain Loss
2843.70
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 694306
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 694306
Security Description
5.5% 01 Mar 2033
Maturity Date
2033-03-01T00:00:00.000
Interest Rate
5.5
Original Face
631000.00
Shares Par Value
12863.95
Base Market Value
14380.74
Base Total Cost
12661.97
Base Unrealized Gain Loss
1718.77
Base Accrued Interest
0
Local Market Value
14380.74
Local Total Cost Amount
12661.97
Local Unrealized Gain Loss
1718.77
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: FNMA POOL 555677
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 555677
Security Description
1% 01 Jul 2033
Maturity Date
2033-07-01T00:00:00.000
Interest Rate
5.5
Original Face
2554000.00
Shares Par Value
58776.81
Base Market Value
65761.26
Base Total Cost
59070.68
Base Unrealized Gain Loss
6690.58
Base Accrued Interest
0
Local Market Value
65761.26
Local Total Cost Amount
59070.68
Local Unrealized Gain Loss
6690.58
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 730721
Local Currency Code
USD
Trade Country Name
UNITED STATES OF AMERICA (THE)
Security Name
FNMA POOL 730721
Security Description
4.5% 01 Aug 2018
Maturity Date
2018-08-01T00:00:00.000
Interest Rate
4.5
Original Face
607000.00
Shares Par Value
4395.76
Base Market Value
4501.43
Base Total Cost
4346.30
Base Unrealized Gain Loss
155.13
Base Accrued Interest
0
Local Market Value
4501.43
Local Total Cost Amount
4346.30
Local Unrealized Gain Loss
155.13
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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