NPORT-P false 0001562565 XXXXXXXX S000071132 C000225827 Fidelity Merrimack Street Trust 811-22796 0001562565 549300782HVYOIE6CE74 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Investment Grade Securitized ETF S000071132 549300HFZPB6XNO7BR43 2026-08-31 2026-02-28 N 9502198802.83 5046600211.58 4455598591.25 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 2960776574.77000000 0.00000000 0.00000000 0.00000000 USD N Bloomberg US Securitized Index 19910058 FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YENY9 22160.16000000 PA USD 21298.47000000 0.000478015906 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 31635A105 56422752.77500000 NS USD 56434037.33000000 1.266587107753 Long STIV RF US N 1 N N N MORGAN STANLEY CAPITAL I N/A 61767FBA8 10000.00000000 PA USD 9919.45000000 0.000222628897 Long ABS-MBS CORP US N 2 2049-08-15 Fixed 0.02782000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 5493007OD9MH69ES1S63 95000HBE1 5428782.45000000 PA USD 5400518.04000000 0.121207463585 Long ABS-MBS CORP US N 2 2049-10-15 Fixed 0.02684000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SSP3 8755417.61100000 PA USD 8128011.39000000 0.182422433788 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CFJ8 5915648.14500000 PA USD 5750067.38000000 0.129052634842 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137BSRE5 14145259.52000000 PA USD 14069354.64000000 0.315768001804 Long ABS-MBS USGSE US N 2 2026-09-25 Variable 0.03120000 N N N N N N HILTON USA TR 2016-HHV N/A 43300LAG5 1456000.00000000 PA USD 1452855.62000000 0.032607417168 Long ABS-MBS CORP US N 2 2038-11-05 Variable 0.04193500 N N N N N N CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7 N/A 12532BAB3 576648.08200000 PA USD 575372.65000000 0.012913475893 Long ABS-MBS CORP US N 2 2054-12-10 Fixed 0.03643600 N N N N N N JPMDB COML MTG SECS TR 2017-C5 N/A 46590TAF2 275345.12500000 PA USD 273724.53000000 0.006143383978 Long ABS-MBS CORP US N 2 2050-03-15 Fixed 0.03491900 N N N N N N BANK 2017-BNKS N/A 06541WAW2 376514.22100000 PA USD 372773.40000000 0.008366404476 Long ABS-MBS CORP US N 2 2060-06-15 Fixed 0.03131000 N N N N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6 N/A 48128KBA8 19589.83500000 PA USD 19486.52000000 0.000437349092 Long ABS-MBS CORP US N 2 2050-07-15 Fixed 0.03282900 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F2LJ3 2800400.00000000 PA USD 2778714.54000000 0.062364561867 Long ABS-MBS USGSE US N 2 2027-06-25 Fixed 0.03117000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 N/A 17326DAC6 2600000.00000000 PA USD 2573826.32000000 0.057766117554 Long ABS-MBS CORP US N 2 2050-09-15 Fixed 0.03203000 N N N N N N BANK 2017-BNK8 N/A 06541XAD2 692989.67600000 PA USD 688127.24000000 0.015444103096 Long ABS-MBS CORP US N 2 2060-09-15 Fixed 0.03265000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FBBX3 9800000.00000000 PA USD 9726553.90000000 0.218299599948 Long ABS-MBS USGSE US N 2 2027-08-25 Fixed 0.03244000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2017 N/A 17326FAD9 5350000.00000000 PA USD 5305040.74000000 0.119064602238 Long ABS-MBS CORP US N 2 2050-10-12 Fixed 0.03471000 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2017-C34 N/A 61767EAE4 5210000.00000000 PA USD 5164621.42000000 0.115913076867 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 0.03536000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CQA5 174948.66300000 PA USD 167102.06000000 0.003750384074 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FBU79 62906.20600000 PA USD 62424.04000000 0.001401024771 Long ABS-MBS USGSE US N 2 2027-09-25 Fixed 0.03187000 N N N N N N BANK 2017-BNK8 N/A 06650AAD9 2506122.46800000 PA USD 2469290.24000000 0.055419943907 Long ABS-MBS CORP US N 2 2050-11-15 Fixed 0.03229000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FCJK1 3900000.00000000 PA USD 3873809.94000000 0.086942525469 Long ABS-MBS USGSE US N 2 2027-11-25 Fixed 0.03303000 N N N N N N BANK 2017-BNK9 N/A 06540RAC8 346265.62000000 PA USD 343952.01000000 0.007719546609 Long ABS-MBS CORP US N 2 2054-11-15 Fixed 0.03470000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FEBQ2 2300000.00000000 PA USD 2288761.05000000 0.051368205710 Long ABS-MBS USGSE US N 2 2027-12-25 Fixed 0.03444000 N N N N N N BANK 2018-BNK10 N/A 065404AZ8 393634.79900000 PA USD 391897.89000000 0.008795628285 Long ABS-MBS CORP US N 2 2061-02-15 Fixed 0.03641000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F4D41 3683111.30000000 PA USD 3674434.63000000 0.082467811108 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 0.03600000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XCR72 1878955.50700000 PA USD 1797952.61000000 0.040352661335 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GYGZ6 296953.27800000 PA USD 283541.86000000 0.006363720927 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N BENCHMARK 2018-B4 MTG TR N/A 08161HAD2 2455534.69800000 PA USD 2457136.44000000 0.055147167988 Long ABS-MBS CORP US N 2 2051-07-15 Fixed 0.04059000 N N N N N N GS MTG SECS TR 2018-GS10 N/A 36250SAE9 400000.00000000 PA USD 400098.80000000 0.008979686832 Long ABS-MBS CORP US N 2 2051-07-10 Fixed 0.04155000 N N N N N N BENCHMARK 2018-B6 MORTGAGE TRUST N/A 08162CAC4 1300000.00000000 PA USD 1292091.97000000 0.028999290298 Long ABS-MBS CORP US N 2 2051-10-10 Fixed 0.03995000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FJXV6 2200000.00000000 PA USD 2219049.14000000 0.049803614364 Long ABS-MBS USGSE US N 2 2028-09-25 Fixed 0.04050000 N N N N N N WELLS FARGO COML MTG TR 2018-C47 N/A 95002DBA6 1732997.00700000 PA USD 1735114.21000000 0.038942336803 Long ABS-MBS CORP US N 2 2061-09-15 Fixed 0.04365000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136B3DE7 968522.98100000 PA USD 969051.12000000 0.021749066935 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 0.03751306 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FK4M5 5000000.00000000 PA USD 5045840.50000000 0.113247196682 Long ABS-MBS USGSE US N 2 2028-10-25 Fixed 0.04060000 N N N N N N BENCHMARK 2018-B8 MTG TR N/A 08162UAW0 970000.00000000 PA USD 966457.27000000 0.021690851413 Long ABS-MBS CORP US N 2 2052-01-15 Fixed 0.04231700 N N N N N N DBGS 2018-C1 MTG TR N/A 23307DAY9 382920.59500000 PA USD 383588.45000000 0.008609133927 Long ABS-MBS CORP US N 2 2051-10-15 Fixed 0.04302000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2018-H4 N/A 61691RAE6 3405000.00000000 PA USD 3427999.75000000 0.076936907124 Long ABS-MBS CORP US N 2 2051-12-15 Fixed 0.04310000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FKSH0 2700000.00000000 PA USD 2711379.15000000 0.060853308359 Long ABS-MBS USGSE US N 2 2028-11-25 Fixed 0.03859000 N N N N N N BANK 2018-BNK15 N/A 06036FBA8 727625.74600000 PA USD 729674.30000000 0.016376571745 Long ABS-MBS CORP US N 2 2061-11-15 Fixed 0.04285000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A5H40 3159545.80000000 PA USD 3016849.97000000 0.067709195705 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FKUP9 1066427.53000000 PA USD 1068840.11000000 0.023988698445 Long ABS-MBS USGSE US N 2 2028-12-25 Fixed 0.03771000 N N N N N N BENCHMARK 2019-B10 MTG TR N/A 08162VAE8 750000.00000000 PA USD 740065.20000000 0.016609781712 Long ABS-MBS CORP US N 2 2062-03-15 Fixed 0.03717000 N N N N N N WELLS FARGO COML MTG TR 2019-C50 N/A 95001XAZ9 1051855.29200000 PA USD 1043400.69000000 0.023417744409 Long ABS-MBS CORP US N 2 2052-05-15 Fixed 0.03635000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DB92 3651341.96300000 PA USD 3473883.46000000 0.077966706130 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 0.03500000 N N N N N N BENCHMARK 2019-B12 MTG TR N/A 08162FAE3 10895000.00000000 PA USD 10541057.40000000 0.236580050561 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 0.03115600 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DES7 15643256.49000000 PA USD 14336193.58000000 0.321756847848 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03000000 N N N N N N WELLS FARGO COML MTG TR 2019-C51 N/A 95001VAS9 99569.83000000 PA USD 98200.71000000 0.002203984672 Long ABS-MBS CORP US N 2 2052-06-15 Fixed 0.03160000 N N N N N N GS MTG SECS CORP TR 2019 5493005BBCF84ICNQ550 36257HBP0 4850000.00000000 PA USD 4679889.16000000 0.105033904292 Long ABS-MBS CORP US N 2 2052-07-10 Fixed 0.03160000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-H6 N/A 61769JAY7 190231.53900000 PA USD 188041.46000000 0.004220341131 Long ABS-MBS CORP US N 2 2052-06-15 Fixed 0.03224000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KGNJ3 85440.01700000 PA USD 78861.83000000 0.001769949163 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03000000 N N N N N N BANK 2019-BNK19 N/A 06540WBB8 208896.56100000 PA USD 206070.11000000 0.004624970265 Long ABS-MBS CORP US N 2 2061-08-15 Fixed 0.03071000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV3Z6 4577241.19000000 PA USD 4194792.55000000 0.094146554365 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N GS MTG SECS TR 2019-GSA1 N/A 36261PAT9 100000.00000000 PA USD 96358.01000000 0.002162627714 Long ABS-MBS CORP US N 2 2052-11-10 Fixed 0.03047900 N N N N N N ONEMAIN FINL ISSUANCE TR 2019-2 N/A 68269BAA6 27800000.00000000 PA USD 27506723.90000000 0.617351930086 Long ABS-CBDO CORP US N 2 2036-10-14 Fixed 0.03140000 N N N N N N WELLS FARGO COML MTG TR 2019-C54 N/A 95001YAC8 364961.92000000 PA USD 359763.22000000 0.008074408244 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 0.03063000 N N N N N N JPMDB COML MTG SECS TR 2019 N/A 48129RAX3 14477167.00000000 PA USD 13373878.03000000 0.300158951846 Long ABS-MBS CORP US N 2 2052-11-13 Fixed 0.03056500 N N N N N N BENCHMARK 2019-B9 MTG TR N/A 08160KAF1 374088.73000000 PA USD 367039.81000000 0.008237721654 Long ABS-MBS CORP US N 2 2072-12-15 Fixed 0.02859000 N N N N N N CITIGROUP COML MTG TR 2019-C7 N/A 17328CAD4 2450626.00000000 PA USD 2358865.01000000 0.052941596099 Long ABS-MBS CORP US N 2 2072-12-15 Fixed 0.03102000 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2019 N/A 90278PBA7 1700000.00000000 PA USD 1628785.13000000 0.036555921648 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 0.03035200 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DMN9 4891735.71900000 PA USD 4292611.09000000 0.096341961738 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VHS2 1301728.58500000 PA USD 1197464.42000000 0.026875500462 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 0.03000000 N N N N N N BANK 2020-BNK26 N/A 06540JBA9 1986881.66000000 PA USD 1932329.04000000 0.043368562055 Long ABS-MBS CORP US N 2 2063-03-15 Fixed 0.02313000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VN30 67418.85700000 PA USD 61955.62000000 0.001390511706 Long ABS-MBS USGA US N 2 2050-06-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KJJB9 425839.22800000 PA USD 358617.10000000 0.008048685101 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020 N/A 46652JAW2 100000.00000000 PA USD 88004.02000000 0.001975133490 Long ABS-MBS CORP US N 2 2053-05-13 Fixed 0.02179800 N N N N N N BBCMS MTG TR 2020-C7 N/A 05492VAF2 4675000.00000000 PA USD 4279777.37000000 0.096053925917 Long ABS-MBS CORP US N 2 2053-04-15 Fixed 0.02037000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV6Q3 40960.49700000 PA USD 34315.35000000 0.000770162511 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DTQ5 827195.28900000 PA USD 692479.92000000 0.015541793225 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N DBJPM 2020-C9 N/A 233063AT3 2000000.00000000 PA USD 1815971.40000000 0.040757069175 Long ABS-MBS CORP US N 2 2053-08-15 Fixed 0.01926000 N N N N N N ONEMAIN FINL ISSUANCE TR 2020-2 N/A 682696AA7 8813941.96000000 PA USD 8692935.35000000 0.195101402695 Long ABS-CBDO CORP US N 2 2035-09-14 Fixed 0.01750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV7B5 15580299.79400000 PA USD 13052661.02000000 0.292949662153 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV7K5 808126.08300000 PA USD 676516.29000000 0.015183510725 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N DBJPM 2020-C9 N/A 233063AQ9 2100000.00000000 PA USD 1931912.22000000 0.043359207083 Long ABS-MBS CORP US N 2 2053-08-15 Fixed 0.01644000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DUA8 48175.28700000 PA USD 43325.73000000 0.000972388537 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7VJ5 2388359.36800000 PA USD 2280492.94000000 0.051182638949 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DVA7 1130467.89200000 PA USD 946362.15000000 0.021239843101 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VVX5 8614042.22900000 PA USD 7300561.87000000 0.163851426929 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F72B0 100000.00000000 PA USD 96737.65000000 0.002171148231 Long ABS-MBS USGSE US N 2 2027-09-25 Fixed 0.01470000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLK9 398231.99200000 PA USD 351697.83000000 0.007893391264 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DV74 11450289.25000000 PA USD 9589096.26000000 0.215214545556 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWAW3 9887862.44800000 PA USD 8274454.99000000 0.185709166132 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DQ70 11045879.55300000 PA USD 9253873.38000000 0.207690912690 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWAF0 47791567.50100000 PA USD 40008328.40000000 0.897933859629 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N GS MTG SECS TR 2020-GSA2 N/A 36264KAV2 3018000.00000000 PA USD 2698797.31000000 0.060570925650 Long ABS-MBS CORP US N 2 2053-12-12 Fixed 0.02012000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWA52 1555795.39200000 PA USD 1301935.48000000 0.029220214822 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AAXL3 21336.56200000 PA USD 18814.14000000 0.000422258415 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DXK3 6692447.65700000 PA USD 5596254.85000000 0.125600516639 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBB8 2597131.50500000 PA USD 2171733.05000000 0.048741667489 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X9UX1 25851.12200000 PA USD 21770.32000000 0.000488605953 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L4HK8 368219.53500000 PA USD 309978.07000000 0.006957046593 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DYB2 4969884.67600000 PA USD 4155839.93000000 0.093272314480 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QHPZ2 15014.47000000 PA USD 14389.43000000 0.000322951668 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBG7 41812.36100000 PA USD 33228.91000000 0.000745778806 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DU42 28563127.81400000 PA USD 24737225.38000000 0.555194209563 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q7U96 86128.52000000 PA USD 82319.41000000 0.001847549960 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DYX4 4357204.79000000 PA USD 3643514.25000000 0.081773844195 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FORD CREDIT AUTO OWNER TRUST 2021-1 A N/A 345340AA1 1227000.00000000 PA USD 1222836.42000000 0.027444941346 Long ABS-CBDO CORP US N 2 2033-10-17 Fixed 0.01370000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X92S3 1014922.70800000 PA USD 858832.16000000 0.019275348584 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KLVJ3 16461214.30400000 PA USD 13852391.68000000 0.310898555969 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBH5 489664.69100000 PA USD 409459.82000000 0.009189782508 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBP7 2603979.74300000 PA USD 2177459.58000000 0.048870191858 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AJFA6 27157.14800000 PA USD 22861.69000000 0.000513100305 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N BENCHMARK 2021 MORTGAGE TRUST N/A 08163DAF4 5368000.00000000 PA USD 5135071.74000000 0.115249873498 Long ABS-MBS CORP US N 2 2054-04-15 Fixed 0.02271000 N N N N N N CIM TRUST N/A 12566LAB0 3821857.97300000 PA USD 3581325.52000000 0.080378100644 Long ABS-CBDO CORP US N 2 2057-06-25 Fixed 0.01951000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021 N/A 95003EAA4 100000.00000000 PA USD 99953.87000000 0.002243332022 Long ABS-MBS CORP US N 2 2031-05-15 Variable 0.04974480 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VTV2 8131913.49600000 PA USD 6908720.83000000 0.155057074566 Long ABS-MBS USGA US N 2 2050-09-20 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VSF8 3961337.69200000 PA USD 3365478.03000000 0.075533690054 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLE3 4858556.70700000 PA USD 4301453.22000000 0.096540411617 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DX80 2963871.34500000 PA USD 2706556.04000000 0.060745060053 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DY22 20869366.35000000 PA USD 19057544.31000000 0.427721302081 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133L8EX9 44671899.85800000 PA USD 40919245.84000000 0.918378193232 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBT9 25837.33800000 PA USD 21605.30000000 0.000484902298 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WG36 1978936.84200000 PA USD 1746840.99000000 0.039205528824 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 0.02500000 N N N N N N BANK 2021-BNK33 N/A 06541CBL9 3325548.00000000 PA USD 3052772.59000000 0.068515431259 Long ABS-MBS CORP US N 2 2064-05-15 Fixed 0.02556000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLC7 2847478.48700000 PA USD 2520974.07000000 0.056579918912 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WFH6 8101579.22400000 PA USD 7435453.61000000 0.166878893098 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBK8 3558125.83600000 PA USD 3241926.22000000 0.072760733571 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7EQ8 2188664.49800000 PA USD 1937702.60000000 0.043489164481 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02500000 N N N N N N MSC 2021-L6 N/A 61692CBE7 3435715.00000000 PA USD 3131790.28000000 0.070288878494 Long ABS-MBS CORP US N 2 2054-06-15 Variable 0.02444000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLM5 34827.15000000 PA USD 29438.24000000 0.000660702246 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418D3G5 27803.63000000 PA USD 23223.45000000 0.000521219529 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLW3 909303.33300000 PA USD 768035.79000000 0.017237544502 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N AJAX MTG LN TR 2021-E N/A 009740AA9 57458.87000000 PA USD 51884.35000000 0.001164475410 Long ABS-CBDO CORP US N 2 2060-12-25 Fixed 0.01740000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WJR0 64101.96000000 PA USD 56583.88000000 0.001269950127 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QADB3 10812.64000000 PA USD 10897.81000000 0.000244586889 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WJS8 2720953.53200000 PA USD 2498762.64000000 0.056081412829 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WG44 2146475.05500000 PA USD 1970189.57000000 0.044218291429 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLQ6 3267341.31800000 PA USD 2886567.32000000 0.064785174447 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KMSU0 32114.97700000 PA USD 27005.23000000 0.000606096564 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCW61 1220322.67900000 PA USD 1075818.90000000 0.024145328129 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV6R1 25503538.10600000 PA USD 21381962.32000000 0.479889780959 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418D4X7 36759.87300000 PA USD 30692.82000000 0.000688859630 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWCK7 8269326.11700000 PA USD 7513783.42000000 0.168636901779 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XA5H1 13878293.79400000 PA USD 13229818.03000000 0.296925716243 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6W98 37434.35000000 PA USD 38068.06000000 0.000854387109 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DV66 28323.50900000 PA USD 22553.37000000 0.000506180472 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X42P0 36080.48000000 PA USD 35082.01000000 0.000787369177 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WNF1 39127.37400000 PA USD 35895.58000000 0.000805628677 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 0.03000000 N N N N N N BX 2021-XL2 N/A 05609KAA7 2715349.14900000 PA USD 2714500.60000000 0.060923365164 Long ABS-MBS CORP US N 2 2038-10-15 Variable 0.04462980 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-PAC N/A 05609PAA6 2461000.00000000 PA USD 2456385.63000000 0.055130317053 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.04463580 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCZ68 986312.65400000 PA USD 869827.26000000 0.019522119019 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02500000 N N N N N N BX 2021-BXMF N/A 05609RAA2 803605.28000000 PA USD 803354.15000000 0.018030218242 Long ABS-MBS CORP US N 2 2026-10-15 Variable 0.04410410 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KNAB9 36543.12000000 PA USD 30660.30000000 0.000688129762 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N BX TR 2021-ACNT N/A 05609QAA4 469149.40700000 PA USD 469002.80000000 0.010526145710 Long ABS-MBS CORP US N 2 2038-11-15 Variable 0.04624480 N N N N N N 3650R 2021-PF1 COMMERCIAL MORTGAGE TRUST N/A 88581EAE1 1400000.00000000 PA USD 1340739.96000000 0.030091129901 Long ABS-MBS CORP US N 2 2054-11-15 Fixed 0.02372000 N N N N N N SREIT TR 2021-MFP N/A 78472UAA6 10649931.66900000 PA USD 10646603.57000000 0.238948894339 Long ABS-MBS CORP US N 2 2038-11-15 Variable 0.04504930 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H4BY5 7600000.00000000 PA USD 7294277.84000000 0.163710390211 Long ABS-MBS USGSE US N 2 2028-09-25 Fixed 0.02031000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H4R36 2200000.00000000 PA USD 2011706.62000000 0.045150086543 Long ABS-MBS USGSE US N 2 2031-10-25 Fixed 0.02154000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KNGT4 2217871.33200000 PA USD 1864990.26000000 0.041857232463 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KM4Y8 290787.76900000 PA USD 244521.11000000 0.005487951955 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BJZQ1 500000.00000000 PA USD 451275.70000000 0.010128284466 Long ABS-MBS USGSE US N 2 2031-10-25 Variable 0.01807239 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 N/A 95003QAE9 1825000.00000000 PA USD 1751223.83000000 0.039303895854 Long ABS-MBS CORP US N 2 2054-11-15 Fixed 0.02525000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9W64 34739.09000000 PA USD 31564.40000000 0.000708421087 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A4F94 48167.01000000 PA USD 43783.48000000 0.000982662129 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418EAN0 40022.68600000 PA USD 34883.20000000 0.000782907151 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWC27 4977020.36800000 PA USD 4337899.28000000 0.097358395087 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DMYM1 1263359.85800000 PA USD 1071034.80000000 0.024037955351 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X83P0 47083.46800000 PA USD 39798.10000000 0.000893215562 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWAV5 28063.59100000 PA USD 22346.40000000 0.000501535305 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLH6 2481098.41300000 PA USD 2097190.61000000 0.047068661304 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVL52 82240354.41600000 PA USD 72579012.52000000 1.628939659477 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418EBJ8 1742626.90500000 PA USD 1551134.17000000 0.034813148856 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KKTJ3 11721.32300000 PA USD 9907.65000000 0.000222364061 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-VINO N/A 05610HAA1 35759.10800000 PA USD 35747.93000000 0.000802314868 Long ABS-MBS CORP US N 2 2039-02-15 Variable 0.04672550 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM2S3 1425180.60800000 PA USD 1202876.66000000 0.026996971009 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM2T1 82790.96900000 PA USD 69876.99000000 0.001568296348 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNEK4 130077.00700000 PA USD 109746.56000000 0.002463115959 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNEL2 2525785.81600000 PA USD 2130227.55000000 0.047810131599 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVL60 3752685.89900000 PA USD 3168503.41000000 0.071112855997 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFUZ2 24920.88100000 PA USD 21064.80000000 0.000472771493 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFAC5 15944.10800000 PA USD 14537.17000000 0.000326267496 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM7D1 226631.80900000 PA USD 191281.10000000 0.004293050553 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02000000 N N N N N N BBCMS Mortgage Trust 2022-C14 N/A 07336AAF4 600000.00000000 PA USD 577933.38000000 0.012970948081 Long ABS-MBS CORP US N 2 2055-02-15 Fixed 0.02901000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM6A8 1047876.65000000 PA USD 989712.06000000 0.022212774327 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WLQ9 3229129.46100000 PA USD 2962414.02000000 0.066487453017 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XGDV8 349782.06500000 PA USD 293910.33000000 0.006596427482 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XGGW3 20755813.95200000 PA USD 17550690.78000000 0.393901973451 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVL94 125559.92500000 PA USD 110731.06000000 0.002485211756 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYU80 15204578.37400000 PA USD 13120257.23000000 0.294466769420 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYUY3 29324567.27200000 PA USD 25358519.25000000 0.569138326324 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DVZ2 7108607.48200000 PA USD 6152109.51000000 0.138075937138 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XATV4 130626.04300000 PA USD 110373.06000000 0.002477176921 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDKE5 138078.03800000 PA USD 126886.21000000 0.002847792668 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMH80 269482.70500000 PA USD 227447.98000000 0.005104768199 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179W2V9 53128796.00400000 PA USD 48748836.81000000 1.094102976550 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H6ZM0 21200000.00000000 PA USD 19371851.92000000 0.434775519456 Long ABS-MBS USGSE US N 2 2032-02-25 Fixed 0.02250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KKK24 19467635.83900000 PA USD 17217140.15000000 0.386415872017 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDS49 186611.68600000 PA USD 157503.44000000 0.003534955781 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNNT5 285088.53700000 PA USD 240441.39000000 0.005396388051 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNNX6 195546.55800000 PA USD 164983.51000000 0.003702836030 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KML37 34350.80000000 PA USD 32724.26000000 0.000734452606 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179W5C8 37568761.54500000 PA USD 34471577.82000000 0.773668837396 Long ABS-MBS USGA US N 2 2052-05-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QN3S9 18315.44000000 PA USD 18018.34000000 0.000404397739 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QLJB3 17302.11000000 PA USD 16488.25000000 0.000370056899 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XBS4 14360219.32200000 PA USD 13621200.79000000 0.305709783119 Long ABS-MBS USGA US N 2 2052-07-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QPYC5 275681.04700000 PA USD 281771.45000000 0.006323986423 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KN4L4 2030707.30600000 PA USD 1925032.55000000 0.043204802016 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEWH1 53607427.93000000 PA USD 47460564.37000000 1.065189410536 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XDC7 8546606.49700000 PA USD 8101431.71000000 0.181825888128 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XJBR3 33574.33400000 PA USD 30659.50000000 0.000688111807 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 0.01500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XFC5 134290.31600000 PA USD 113838.73000000 0.002554959287 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XFF8 6613733.38500000 PA USD 6269237.90000000 0.140704728480 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFGG0 13969.97600000 PA USD 14057.69000000 0.000315506204 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVKP9 2831054.15200000 PA USD 2701424.71000000 0.060629894158 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMB8 22252625.50700000 PA USD 19624548.15000000 0.440446951135 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XHW9 2754499.94100000 PA USD 2611023.82000000 0.058600966099 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QQNK7 38281.34600000 PA USD 39007.44000000 0.000875470247 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBKY5 19011.57300000 PA USD 17369.60000000 0.000389837631 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMC6 11035853.17300000 PA USD 10137900.01000000 0.227531717733 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.03000000 N N N N N N DLLAD 2023-1A N/A 233258AC6 1842783.79000000 PA USD 1849810.69000000 0.041516547151 Long ABS-CBDO CORP US N 2 2028-01-20 Fixed 0.04790000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM5R2 336399.19700000 PA USD 280878.02000000 0.006303934572 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMG7 36260.78500000 PA USD 37592.88000000 0.000843722324 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133G8VY4 64830.91400000 PA USD 60909.76000000 0.001367038766 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.02000000 N N N N N N BX 2021-LBA N/A 05609BCD9 598000.00000000 PA USD 597631.33000000 0.013413042439 Long ABS-MBS CORP US N 2 2036-02-15 Floating 0.04824480 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMJ1 1710534.19300000 PA USD 1680114.22000000 0.037707934985 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDQS8 99485.62600000 PA USD 91421.88000000 0.002051842824 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N WORLD OMNI AUTO RECEIVABLES TR 2023-B N/A 98164QAD0 662.14000000 PA USD 663.76000000 0.000014897212 Long ABS-CBDO CORP US N 2 2028-05-15 Fixed 0.04660000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKDX5 17576.90500000 PA USD 17874.03000000 0.000401158893 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XX43 20711.80500000 PA USD 20606.82000000 0.000462492739 Long ABS-MBS USGA US N 2 2053-04-20 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5KC0 17970.34100000 PA USD 16757.75000000 0.000376105469 Long ABS-CBDO USGSE US N 2 2047-11-25 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BLES5 17741.22900000 PA USD 16242.14000000 0.000364533286 Long ABS-CBDO USGSE US N 2 2047-10-25 Fixed 0.02000000 N N N N N N FORD CR FLOORPLN MAST OWN TR A 5493001DTG5N7T8BG747 34528QHV9 14518000.00000000 PA USD 14546992.45000000 0.326487948859 Long ABS-CBDO CORP US N 2 2028-05-15 Fixed 0.04920000 N N N N N N DLLMT 2023-1 LLC N/A 232989AC7 204046.52000000 PA USD 204637.50000000 0.004592817234 Long ABS-CBDO CORP US N 2 2027-03-22 Fixed 0.05340000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWA45 28471.35800000 PA USD 22626.61000000 0.000507824247 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.01500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABCD2 3733228.66500000 PA USD 3290717.50000000 0.073855789129 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABLA8 2376000.26900000 PA USD 2092880.59000000 0.046971928622 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABFC1 2988488.21800000 PA USD 2632385.64000000 0.059080403813 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABE65 6863926.20000000 PA USD 6046033.80000000 0.135695208537 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABFG2 3189516.43300000 PA USD 2809459.71000000 0.063054596424 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABCA8 2518903.46600000 PA USD 2221117.19000000 0.049850029003 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 0.02500000 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2023-1 N/A 68269JAE1 2000000.00000000 PA USD 2071984.00000000 0.046502932379 Long ABS-CBDO CORP US N 2 2038-06-14 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9FB5 18819.59000000 PA USD 16866.91000000 0.000378555420 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMKY9 19388.10300000 PA USD 17291.15000000 0.000388076924 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BNBG0 767185.96600000 PA USD 761303.80000000 0.017086453916 Long ABS-CBDO USGSE US N 2 2047-03-25 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLE46 5984851.34900000 PA USD 5013910.96000000 0.112530580511 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02000000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GAS6 1214532.94300000 PA USD 1221356.55000000 0.027411727627 Long ABS-CBDO CORP US N 2 2038-04-18 Fixed 0.05800000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FUAS3 12517066.27100000 PA USD 10735248.12000000 0.240938403676 Long ABS-CBDO USGSE US N 2 2050-07-25 Fixed 0.02000000 N N N N N N GMF FLOORPLAN OWNER REVOLVING TR N/A 361886CR3 11378000.00000000 PA USD 11426891.27000000 0.256461416709 Long ABS-CBDO CORP US N 2 2028-06-15 Fixed 0.05340000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBQ37 4487214.66200000 PA USD 3948852.56000000 0.088626757530 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLTR9 569364.22200000 PA USD 545935.45000000 0.012252796988 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.03500000 N N N N N N GMF FLOORPLAN OWNER REVOLVING TR N/A 361886CS1 9320000.00000000 PA USD 9339925.23000000 0.209622232315 Long ABS-CBDO CORP US N 2 2028-06-15 Variable 0.04808190 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 9986.26410000 NC USD -4.26000000 -0.00000009561 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX AAA CDSI S15 PRC INDX CY562346 Y 2064-11-18 0.00000000 USD 255.22000000 USD 9986.26000000 USD 250.96000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPPP7 483774.68000000 PA USD 404988.10000000 0.009089420685 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQCX5 1100000.00000000 PA USD 1131511.37000000 0.025395271742 Long ABS-MBS USGSE US N 2 2033-04-25 Variable 0.04496997 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9EH3 74277.45200000 PA USD 66919.80000000 0.001501926141 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QS4U2 18332.07500000 PA USD 19395.89000000 0.000435315022 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9GT5 19505.13800000 PA USD 17979.18000000 0.000403518845 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BMAZ1 1458966.86500000 PA USD 1390269.22000000 0.031202748441 Long ABS-CBDO USGSE US N 2 2049-03-25 Fixed 0.03250000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BMGV4 2577509.08200000 PA USD 2493759.63000000 0.055969126906 Long ABS-CBDO USGSE US N 2 2046-07-25 Fixed 0.03250000 N N N N N N ENTERPRISE FLEET FING 2023-3 LLC N/A 29374LAB6 631815.38000000 PA USD 639174.70000000 0.014345428272 Long ABS-CBDO CORP US N 2 2030-03-20 Fixed 0.06400000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H6V28 2100434.41200000 PA USD 1985199.12000000 0.044555160868 Long ABS-CBDO USGSE US N 2 2050-08-25 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H6UX1 2100434.41200000 PA USD 1985199.12000000 0.044555160868 Long ABS-CBDO USGSE US N 2 2050-08-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X54P5 1776555.33800000 PA USD 1567295.95000000 0.035175878569 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HB2L7 3600000.00000000 PA USD 3688033.68000000 0.082773023746 Long ABS-MBS USGSE US N 2 2030-10-25 Fixed 0.04400000 N N N N N N VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2 N/A 92867YAD6 526114.58000000 PA USD 532331.94000000 0.011947484251 Long ABS-CBDO CORP US N 2 2028-12-20 Fixed 0.05480000 N N N N N N BX COML MTG TR 2023-XL3 N/A 12434GAC9 329000.00100000 PA USD 329000.00000000 0.007383968579 Long ABS-MBS CORP US N 2 2040-12-09 Variable 0.05850460 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQSN0 1400000.00000000 PA USD 1437926.84000000 0.032272360504 Long ABS-MBS USGSE US N 2 2033-03-25 Variable 0.04475900 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133USJU6 149548.53500000 PA USD 125193.36000000 0.002809798895 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N DTP COML MTG TR 2023-STE2 N/A 23346GAA7 2420000.00000000 PA USD 2496025.75000000 0.056019986964 Long ABS-MBS CORP US N 2 2041-01-15 Variable 0.06038046 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XMAW6 2663744.79000000 PA USD 2344156.95000000 0.052611493203 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 36268GAD7 4122326.98000000 PA USD 4148124.09000000 0.093099142686 Long ABS-CBDO CORP US N 2 2028-12-18 Fixed 0.04850000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FUE91 2406783.85300000 PA USD 2326614.12000000 0.052217767654 Long ABS-CBDO USGSE US N 2 2044-01-25 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FVHP0 10532504.59500000 PA USD 10207332.47000000 0.229090037196 Long ABS-CBDO USGSE US N 2 2043-04-25 Fixed 0.02000000 N N N N N N BX COML MTG TR 2024-XL4 N/A 05611VAA9 8909293.45000000 PA USD 8909293.45000000 0.199957273249 Long ABS-MBS CORP US N 2 2039-02-15 Variable 0.05101680 N N N N N N ENTERPRISE FLEET FINANCING LLC 2024-1 N/A 29375PAB6 340050.88700000 PA USD 342552.64000000 0.007688139606 Long ABS-CBDO CORP US N 2 2030-03-20 Fixed 0.05230000 N N N N N N SBNA AUTO LEASE TRUST 2024-A N/A 78414SAG9 17600000.00000000 PA USD 17642401.92000000 0.395960308333 Long ABS-CBDO CORP US N 2 2029-01-22 Fixed 0.05240000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CJZ5 14000.00000000 PA USD 14184.30000000 0.000318347797 Long DBT UST US N 2 2034-02-15 Fixed 0.04000000 N N N N N N GM FINANCIAL LEASING TRUST 2024-1 N/A 36269FAD8 1763739.54000000 PA USD 1766546.18000000 0.039647785675 Long ABS-CBDO CORP US N 2 2027-03-22 Fixed 0.05090000 N N N N N N HONDA AUTO RECEIVABLES 2024-1 OWNER TR N/A 437918AC9 2105119.86000000 PA USD 2122775.29000000 0.047642875508 Long ABS-CBDO CORP US N 2 2028-08-15 Fixed 0.05210000 N N N N N N ARI FLEET LEASE TRUST N/A 00218KAB9 2793562.60000000 PA USD 2808310.93000000 0.063028813581 Long ABS-CBDO CORP US N 2 2032-11-15 Fixed 0.05300000 N N N N N N BLP COML MTG 2024-INDS N/A 05625AAA9 1713311.68000000 PA USD 1713311.68000000 0.038453007938 Long ABS-MBS CORP US N 2 2041-03-15 Variable 0.05001800 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 5000.00000000 NC USD 665.16000000 0.000014928633 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 771.27000000 USD 0.00000000 USD 5000.00000000 USD -106.11000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABKS0 20821.07800000 PA USD 18320.56000000 0.000411180666 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 0.02500000 N N N N N N PRPM 2024-RPL1 LLC N/A 69380XAA0 1408457.93300000 PA USD 1396984.63000000 0.031353466911 Long ABS-CBDO CORP US N 2 2064-12-25 Variable 0.04200000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSA44 21745.41400000 PA USD 18122.45000000 0.000406734350 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.02000000 N N N N N N BX COML MTG TR 2024-XL5 N/A 05612GAA1 7776777.03400000 PA USD 7779207.28000000 0.174593988230 Long ABS-MBS CORP US N 2 2041-03-15 Variable 0.05051300 N N N N N N GS MTG-BACKED SECS TR 2024-RPL2 N/A 36269MAA9 14000194.25800000 PA USD 13766008.81000000 0.308959807039 Long ABS-CBDO CORP US N 2 2061-07-25 Fixed 0.03750000 N N N N N N CARVANA AUTO RECEIVABLES TR 2024-N1 N/A 14687QAC7 2206669.52000000 PA USD 2209266.55000000 0.049584057108 Long ABS-CBDO CORP US N 2 2028-03-10 Fixed 0.05600000 N N N N N N BX 2024-CNYN N/A 05612HAA9 4298446.04200000 PA USD 4299789.31000000 0.096503067364 Long ABS-MBS CORP US N 2 2041-04-15 Variable 0.05101528 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUHG4 44275.00500000 PA USD 45358.45000000 0.001018010241 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.05500000 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2024-2 N/A 17331XAD3 1369.12000000 PA USD 1376.17000000 0.000030886310 Long ABS-CBDO CORP US N 2 2028-08-15 Fixed 0.05330000 N N N N N N DELL EQUIPMENT FINANCE TRUST 24-1 N/A 24702GAE5 1659353.80000000 PA USD 1670299.56000000 0.037487657960 Long ABS-CBDO CORP US N 2 2030-03-22 Fixed 0.05390000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GBM8 9770639.41400000 PA USD 9879688.54000000 0.221736503808 Long ABS-CBDO CORP US N 2 2039-02-18 Fixed 0.05490000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QQJK2 556742.56800000 PA USD 562570.10000000 0.012626139641 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMS1 10609425.30400000 PA USD 11099005.72000000 0.249102460481 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KKS75 726618.03500000 PA USD 642619.61000000 0.014422744707 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMA0 17205039.03000000 PA USD 15799741.77000000 0.354604245567 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XL6X1 4420542.76400000 PA USD 3892942.59000000 0.087371932418 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUNN2 21133.24900000 PA USD 21766.69000000 0.000488524483 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 0.06000000 N N N N N N BX COML MTG TR 2024-MDHS N/A 12433BAA5 844121.09400000 PA USD 844648.67000000 0.018957018966 Long ABS-MBS CORP US N 2 2041-05-15 Floating 0.05300950 N N N N N N FORD CR FLOORPLN MAST OWN TR A 5493001DTG5N7T8BG747 34528QJA3 16845000.00000000 PA USD 17115429.63000000 0.384133114316 Long ABS-CBDO CORP US N 2 2029-04-15 Fixed 0.05290000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136ARGN2 21452368.10500000 PA USD 19160547.26000000 0.430033066659 Long ABS-CBDO USGSE US N 2 2046-02-25 Fixed 0.02500000 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 N/A 78397XAC8 457699.18000000 PA USD 462874.98000000 0.010388614919 Long ABS-CBDO CORP US N 2 2029-11-20 Fixed 0.05330000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 49931.34360000 NC USD -21.31000000 -0.00000047827 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S15 PRC INDX CY562346 Y 2064-11-18 0.00000000 USD 478.22000000 USD 49931.34000000 USD 456.91000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133USHP9 29756.91900000 PA USD 24947.96000000 0.000559923868 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMQ64 1034355.59600000 PA USD 906377.98000000 0.020342451444 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N ARI FLEET LEASE TRUST 2024-B N/A 04033HAC9 2670000.00000000 PA USD 2721763.82000000 0.061086378502 Long ABS-CBDO CORP US N 2 2033-04-15 Fixed 0.05260000 N N N N N N BMW VEHICLE OWNER TRUST 2024-A N/A 096919AD7 1450059.30000000 PA USD 1462983.68000000 0.032834728040 Long ABS-CBDO CORP US N 2 2029-02-26 Fixed 0.05180000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X9X67 24272446.24800000 PA USD 22165178.00000000 0.497468017956 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.01500000 N N N N N N MERCHANTS FLEET FUNDING LLC N/A 588926AF2 4280036.59000000 PA USD 4304058.72000000 0.096598888608 Long ABS-CBDO CORP US N 2 2037-04-20 Fixed 0.05820000 N N N N N N HPEFS EQUIP TR 2024-2 N/A 40444MAE1 2720898.68000000 PA USD 2735652.48000000 0.061398091052 Long ABS-CBDO CORP US N 2 2031-10-20 Fixed 0.05360000 N N N N N N KUBOTA CREDIT OWNER TRUST 2024-2 N/A 50117DAB2 113709.54000000 PA USD 113948.77000000 0.002557428988 Long ABS-CBDO CORP US N 2 2027-04-15 Fixed 0.05450000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CKX8 5000.00000000 PA USD 5130.08000000 0.000115137840 Long DBT UST US N 2 2029-06-30 Fixed 0.04250000 N N N N N N BMO 2024-C9 MTG TR N/A 05593MAD5 18034000.00000000 PA USD 19485886.68000000 0.437334878376 Long ABS-MBS CORP US N 2 2057-07-15 Fixed 0.05759200 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUZ90 19850.35000000 PA USD 21010.03000000 0.000471542253 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUYT7 39683.98500000 PA USD 41242.41000000 0.000925631184 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06000000 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N2 N/A 14687VAC6 10473588.32000000 PA USD 10504336.68000000 0.235755902711 Long ABS-CBDO CORP US N 2 2028-07-10 Fixed 0.05710000 N N N N N N ENTERPRISE FLEET FINANCING 2024-3 LLC N/A 29375QAC2 414000.00000000 PA USD 419428.45000000 0.009413515185 Long ABS-CBDO CORP US N 2 2028-08-21 Fixed 0.04980000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTFN5 9474758.51300000 PA USD 8700865.92000000 0.195279393818 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CLD1 15000.00000000 PA USD 15408.29000000 0.000345818629 Long DBT UST US N 2 2031-07-31 Fixed 0.04125000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMN2 3946517.31200000 PA USD 4077685.34000000 0.091518238380 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNFX6 18167.10600000 PA USD 16529.94000000 0.000370992576 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XF5A5 17170.65400000 PA USD 15623.29000000 0.000350644019 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XF7L9 2228508.49000000 PA USD 2027682.21000000 0.045508637469 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03000000 N N N N N N BMO 2024-5C5 MTG TR N/A 05593RAC6 1000000.00000000 PA USD 1050664.10000000 0.023580762011 Long ABS-MBS CORP US N 2 2057-02-15 Fixed 0.05857400 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QM4P6 2496030.32400000 PA USD 2187204.23000000 0.049088897601 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPZN2 1770322.14800000 PA USD 1565669.54000000 0.035139375954 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N BENCHMARK 2024-V9 MORTGAGE TRUST N/A 081919AN2 5400000.00000000 PA USD 5643343.98000000 0.126657369698 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 0.05601900 N N N N N N CFMT 2024-HB15 LLC N/A 15723AAA9 49221.67000000 PA USD 49101.43000000 0.001102016462 Long ABS-CBDO CORP US N 2 2034-08-25 Variable 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQX51 2271882.52000000 PA USD 2024505.41000000 0.045437338407 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.02000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 5500000.00000000 NC USD 183362.96000000 0.004115338405 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2034-08-31 0.00000000 USD 0.00000000 USD 5500000.00000000 USD 1.00000000 3.45500000 USD 2029-08-29 XXXX -33612.04000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 5500000.00000000 NC USD 134797.36000000 0.003025347935 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2034-08-31 0.00000000 USD 0.00000000 USD 5500000.00000000 USD 1.00000000 3.45500000 USD 2029-08-29 XXXX -82177.64000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKJ68 1759283.57800000 PA USD 1600742.40000000 0.035926539772 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QU6W1 2698487.03800000 PA USD 2798252.26000000 0.062803060075 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNL77 1718424.16500000 PA USD 1650480.42000000 0.037042843653 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQHG5 1790277.41400000 PA USD 1663629.79000000 0.037337963820 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMU6 20729975.08600000 PA USD 21941040.96000000 0.492437559413 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.06500000 N N N N N N VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 N/A 92887QAB3 1154977.77000000 PA USD 1156017.02000000 0.025945268549 Long ABS-CBDO CORP US N 2 2027-05-17 Fixed 0.04560000 N N N N N N ONITY LOAN INVESTMENT TRUST 2024-HB2 N/A 68278DAA1 2187895.11000000 PA USD 2187893.58000000 0.049104369147 Long ABS-CBDO CORP US N 2 2037-08-25 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AFRZ6 54888.52800000 PA USD 46446.92000000 0.001042439507 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AFXA4 54584.59700000 PA USD 46189.73000000 0.001036667218 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AJ6U2 56891.13700000 PA USD 48141.54000000 0.001080473005 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L5G26 1323842.39900000 PA USD 1120241.40000000 0.025142332215 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L6TA2 121351.07200000 PA USD 102687.82000000 0.002304691903 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L7M41 135163.02400000 PA USD 114375.56000000 0.002567007724 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XJSH7 351814.78000000 PA USD 297707.25000000 0.006681644315 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQME4 903681.14200000 PA USD 931725.35000000 0.020911339540 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVG24 2012934.90900000 PA USD 2072641.38000000 0.046517686401 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVGT5 733054.87900000 PA USD 750535.16000000 0.016844766076 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.05500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137AVJY4 2692870.99900000 PA USD 2443472.37000000 0.054840496062 Long ABS-CBDO USGSE US N 2 2042-08-15 Fixed 0.01350000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H65X9 18792190.08000000 PA USD 18052587.73000000 0.405166384724 Long ABS-CBDO USGSE US N 2 2048-04-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QRC84 2894370.32700000 PA USD 3062557.85000000 0.068735048440 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 0.06500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136ADR27 3927857.94000000 PA USD 3626634.44000000 0.081394999251 Long ABS-CBDO USGSE US N 2 2043-02-25 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKYL8 3260280.05600000 PA USD 2739505.74000000 0.061484572362 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLVZ8 427586.24800000 PA USD 357549.54000000 0.008024725133 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XHKK2 4168478.07500000 PA USD 3805854.25000000 0.085417350150 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPUG1 3749607.94700000 PA USD 3579091.15000000 0.080327953173 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVKQ7 5048700.91400000 PA USD 4819106.70000000 0.108158457305 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03500000 N N N N N N MERCEDES-BENZ AUTO LEASE TR 2024-B N/A 58769GAD5 656480.23000000 PA USD 657755.84000000 0.014762457311 Long ABS-CBDO CORP US N 2 2028-02-15 Fixed 0.04230000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQ3S4 2213140.56000000 PA USD 1969746.22000000 0.044208341026 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132AEVX1 478936.60600000 PA USD 457306.20000000 0.010263631039 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPW96 1814144.79100000 PA USD 1527200.60000000 0.034275991625 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N MORGAN STANLEY CAP I TR 2024-NSTB N/A 61690BAA0 1014017.70000000 PA USD 1001139.17000000 0.022469240653 Long ABS-MBS CORP US N 2 2057-09-24 Variable 0.03900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBJ68 7046716.92000000 PA USD 6238709.35000000 0.140019555672 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XTDR9 7843831.57000000 PA USD 7359668.71000000 0.165178001547 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQW29 5585846.82700000 PA USD 4702330.64000000 0.105537573542 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 200000.00000000 NC USD 30227.30000000 0.000678411651 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 MARKIT CMBX.NA.BBB 15 CY562349 Y 2064-11-18 29428.40000000 USD 0.00000000 USD 200000.00000000 USD 798.90000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DQKC9 2630329.25700000 PA USD 2328724.13000000 0.052265124030 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTGD6 4397294.82300000 PA USD 3877965.95000000 0.087035801600 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XALE0 3306392.90000000 PA USD 2784452.33000000 0.062493338952 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XASY9 3495811.57100000 PA USD 2943969.75000000 0.066073495843 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCGT9 109844.04700000 PA USD 92366.98000000 0.002073054340 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDY67 4436376.15100000 PA USD 3901340.76000000 0.087560418204 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XF6S5 2707339.65500000 PA USD 2379983.31000000 0.053415568329 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XN5K6 4392700.91600000 PA USD 3865678.28000000 0.086760021147 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPBC2 4476895.50300000 PA USD 3763186.58000000 0.084459730896 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQ4Q7 2600289.26200000 PA USD 2297253.11000000 0.051558798732 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQAJ6 4661706.03500000 PA USD 4083470.82000000 0.091648085804 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMX0 6708677.20000000 PA USD 7001482.78000000 0.157138993484 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUDY0 6741926.44900000 PA USD 7059358.59000000 0.158437939267 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQVC8 6977467.42300000 PA USD 6416273.90000000 0.144004756456 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.03000000 N N N N N N BANK 2024-BNK48 N/A 06541GAH0 6115000.00000000 PA USD 6334122.46000000 0.142160976359 Long ABS-MBS CORP US N 2 2057-10-15 Fixed 0.05053000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVLS1 860747.46300000 PA USD 901005.31000000 0.020221868993 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FRDX6 937079.46500000 PA USD 779599.79000000 0.017497083142 Long ABS-CBDO USGSE US N 2 2050-02-25 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVEX8 771329.39000000 PA USD 807646.12000000 0.018126545815 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GS5C8 688714.93000000 PA USD 720926.68000000 0.016180243018 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.06000000 N N N N N N ENTERPRISE FLEET FINANCING 2024-4 LLC N/A 29374MAC2 340000.00000000 PA USD 343764.89000000 0.007715346949 Long ABS-CBDO CORP US N 2 2028-11-20 Fixed 0.04560000 N N N N N N CFMT 2024-R1 LLC N/A 12530YAA7 3183729.05000000 PA USD 3144506.78000000 0.070574283468 Long ABS-CBDO CORP US N 2 2054-10-25 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNF73 32157.97400000 PA USD 27041.38000000 0.000606907903 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AF6L0 17125.74500000 PA USD 14416.96000000 0.000323569543 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AGRB7 194294.26800000 PA USD 163562.65000000 0.003670946712 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AHB63 240949.83100000 PA USD 202838.68000000 0.004552445105 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AJBJ1 226290.21100000 PA USD 190497.78000000 0.004275469975 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AR4L6 185604.32900000 PA USD 156073.20000000 0.003502855941 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133ARAC9 183984.65400000 PA USD 154711.22000000 0.003472288107 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KMDK3 21906.94400000 PA USD 18448.76000000 0.000414057945 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L05E3 19175.85900000 PA USD 16142.80000000 0.000362303732 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L3G88 19912.81100000 PA USD 16763.19000000 0.000376227563 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L3JA0 25407.97500000 PA USD 21389.18000000 0.000480051772 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L4CZ0 16480.89600000 PA USD 13874.10000000 0.000311385770 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L5BJ4 56195.85000000 PA USD 47307.32000000 0.001061750043 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140M7PW5 113580.38600000 PA USD 95508.84000000 0.002143569220 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QGLW5 58278.78000000 PA USD 49079.01000000 0.001101513275 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XABM3 124749.75700000 PA USD 105018.03000000 0.002356990376 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDCS3 123374.89400000 PA USD 103744.96000000 0.002328418008 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N WELLS FARGO COML MTG TR 2024-GRP N/A 95003YAA0 603000.00000000 PA USD 602214.95000000 0.013515915710 Long ABS-MBS CORP US N 2 2041-10-15 Variable 0.05450970 N N N N N N WELLS FARGO COML MTG TR 2024-GRP N/A 95003YAC6 2500000.00000000 PA USD 2500869.50000000 0.056128698507 Long ABS-MBS CORP US N 2 2041-10-15 Variable 0.05950260 N N N N N N PRPM 2024-RCF6 LLC N/A 74390FAA7 1346091.54000000 PA USD 1333803.74000000 0.029935455644 Long ABS-CBDO CORP US N 2 2064-10-25 Variable 0.04000000 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAB0 366999.78000000 PA USD 367728.05000000 0.008253168288 Long ABS-CBDO CORP US N 2 2059-10-27 Fixed 0.05250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWMS9 958745.10400000 PA USD 976214.21000000 0.021909832988 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QTDB2 3794101.10600000 PA USD 3932297.07000000 0.088255191518 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.05500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136AST63 3686019.18700000 PA USD 3496132.80000000 0.078466063053 Long ABS-CBDO USGSE US N 2 2044-11-25 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BHKG3 3498628.43800000 PA USD 3157512.17000000 0.070866172195 Long ABS-CBDO USGSE US N 2 2041-05-25 Fixed 0.01000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3132E06F4 16747853.31300000 PA USD 15991463.31000000 0.358907181212 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QN7A4 2762974.37400000 PA USD 2636462.20000000 0.059171896794 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFF97 377033.58600000 PA USD 332505.20000000 0.007462638143 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKW71 53239.72700000 PA USD 44818.77000000 0.001005897840 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N OPORTUN FUNDING TRUST 2024-3 N/A 68377NAA9 1314.78000000 PA USD 1315.15000000 0.000029516797 Long ABS-CBDO CORP US N 2 2029-08-15 Fixed 0.05260000 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 N/A 802920AD0 5686705.30000000 PA USD 5695214.89000000 0.127821543466 Long ABS-CBDO CORP US N 2 2028-11-15 Fixed 0.04620000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTBS4 712990.23000000 PA USD 745000.50000000 0.016720547974 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XMCY0 2566271.41300000 PA USD 2445558.11000000 0.054887307730 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133KRMW1 6277862.90200000 PA USD 6481023.33000000 0.145457971522 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPN96 3625474.02800000 PA USD 3576860.41000000 0.080277887173 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRM28 9731859.52800000 PA USD 8909596.23000000 0.199964068744 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N CARMAX AUTO OWNER TRUST 2024-4 N/A 14290DAC5 6800000.00000000 PA USD 6872844.32000000 0.154251873889 Long ABS-CBDO CORP US N 2 2029-10-15 Fixed 0.04600000 N N N N N N ACHV ABS TRUST 2024-3AL N/A 00092KAA2 39868.71000000 PA USD 40264.57000000 0.000903684862 Long ABS-CBDO CORP US N 2 2031-12-26 Fixed 0.05010000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVMP6 4569610.90000000 PA USD 4678576.93000000 0.105004453031 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.05500000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 18700000.00000000 NC USD 577905.74000000 0.012970327738 N/A DIR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A N/A NC USD N/A N/A DIR CORP US 2034-11-02 0.00000000 USD 0.00000000 USD 18700000.00000000 USD 1.00000000 3.75300000 USD 2029-10-31 XXXX -171496.76000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 18700000.00000000 NC USD 536281.03000000 0.012036116338 N/A DIR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A N/A NC USD N/A N/A DIR CORP US 2034-11-02 0.00000000 USD 0.00000000 USD 18700000.00000000 USD 1.00000000 3.75300000 USD 2029-10-31 XXXX -213121.47000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVRW6 805284.30400000 PA USD 843199.75000000 0.018924499878 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVRX4 2043783.83200000 PA USD 2139373.24000000 0.048015394479 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVRY2 5498052.39800000 PA USD 5748328.14000000 0.129013599907 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N FORD CR FLOORPLN MAST OWN TR A 5493001DTG5N7T8BG747 34528QJB1 2400000.00000000 PA USD 2409840.00000000 0.054085662131 Long ABS-CBDO CORP US N 2 2029-04-15 Variable 0.04408190 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UF3 34870000.00000000 PA USD 35198268.27000000 0.789978440587 Long DBT UST US N 2 2044-11-15 Fixed 0.04625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABJF0 1414897.82400000 PA USD 1246301.29000000 0.027971579227 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABKA9 1589323.93900000 PA USD 1399943.12000000 0.031419866294 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTD23 5735340.05000000 PA USD 6091911.88000000 0.136724881185 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUK97 6871676.87400000 PA USD 7298895.90000000 0.163814036442 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06500000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C60 N/A 95003DBQ0 25751000.00000000 PA USD 1376805.54000000 0.030900574003 Long ABS-MBS CORP US N 2 2054-08-15 Variable 0.01085864 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUHC4 15443143.18700000 PA USD 15168503.87000000 0.340436948242 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 0.04000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 1400000.00000000 NC USD 186246.06000000 0.004180045760 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 155988.64000000 USD 0.00000000 USD 1400000.00000000 USD 30257.42000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3132E0EK4 6648623.34500000 PA USD 5913272.97000000 0.132715567816 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLFA1 16232419.94200000 PA USD 15499308.67000000 0.347861423164 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVLA0 3720979.36700000 PA USD 3851570.11000000 0.086443381986 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GSVE5 3699387.82500000 PA USD 3822284.45000000 0.085786104194 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUVZ7 8441903.68900000 PA USD 7082900.71000000 0.158966310921 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6V59 5127355.36700000 PA USD 5352745.19000000 0.120135265338 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CY3P1 6259704.56200000 PA USD 6471569.27000000 0.145245787686 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.05500000 N N N N N N BX COML MTG TR 2024-GPA3 N/A 123910AA9 4762775.64600000 PA USD 4764264.01000000 0.106927585877 Long ABS-MBS CORP US N 2 2039-12-15 Variable 0.04952470 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVW67 2747208.57500000 PA USD 2811859.46000000 0.063108455629 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.05500000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 1098489.65920000 NC USD -468.84000000 -0.00001052249 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX AAA CDSI S15 PRC INDX CY562346 Y 2064-11-18 0.00000000 USD 8151.57000000 USD 1098489.66000000 USD 7682.73000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31425UMH5 4078977.18700000 PA USD 4258282.09000000 0.095571492871 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.06000000 N N N N N N TCO COML MTG TR 2024-DPM N/A 87231EAA5 9227000.00000000 PA USD 9238541.13000000 0.207346800677 Long ABS-MBS CORP US N 2 2039-12-15 Variable 0.04902560 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRDP7 8543058.24400000 PA USD 7814721.52000000 0.175391058237 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRML6 10503160.82500000 PA USD 9630691.61000000 0.216148098011 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRMK8 4292206.29700000 PA USD 3919568.54000000 0.087969516547 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.01500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6TH6 45534.37900000 PA USD 46364.05000000 0.001040579600 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XHHT7 225381.53800000 PA USD 188465.06000000 0.004229848271 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137BEAB0 5550799.50000000 PA USD 5037553.71000000 0.113061210673 Long ABS-CBDO USGSE US N 2 2044-09-15 Fixed 0.02000000 N N N N N N OWN EQUIPMENT FUND I LLC N/A 69121NAA6 10254878.10000000 PA USD 10465645.58000000 0.234887532295 Long ABS-CBDO CORP US N 2 2032-12-20 Fixed 0.05700000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133L8NJ0 1628015.59700000 PA USD 1528022.39000000 0.034294435611 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBXK1 1086190.36400000 PA USD 1019476.23000000 0.022880791640 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AA4S0 62799.13900000 PA USD 55374.99000000 0.001242818195 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5A25 32998551.28000000 PA USD 32671449.84000000 0.733267352767 Long ABS-MBS USGA US N 2 2054-11-20 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179Y5D2 185079.23400000 PA USD 156834.98000000 0.003519953083 Long ABS-MBS USGA US N 2 2054-07-20 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5A33 1523141.01600000 PA USD 1530428.33000000 0.034348433743 Long ABS-MBS USGA US N 2 2054-11-20 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179Y2D5 164186.71200000 PA USD 139130.79000000 0.003122606023 Long ABS-MBS USGA US N 2 2054-06-20 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180AB36 1216830.69100000 PA USD 1031134.66000000 0.023142449636 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5AV1 187971.92100000 PA USD 159256.84000000 0.003574308518 Long ABS-MBS USGA US N 2 2053-08-20 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KJ4H2 455541.61100000 PA USD 383488.37000000 0.008606887764 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPZH5 289923.55000000 PA USD 254958.22000000 0.005722199044 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRZH1 3884524.36000000 PA USD 3416043.34000000 0.076668561362 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQHN0 731277.51800000 PA USD 611497.55000000 0.013724251354 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5C64 2105954.15700000 PA USD 2137612.54000000 0.047975877903 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRU94 1114485.57100000 PA USD 940644.77000000 0.021111524091 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXK43 4123077.24700000 PA USD 4270718.87000000 0.095850619900 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5C72 4303411.19300000 PA USD 4401528.97000000 0.098786479074 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 0.06000000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 7400000.00000000 NC USD 273711.35000000 0.006143088170 N/A DIR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A N/A NC USD N/A N/A DIR CORP US 2034-12-24 0.00000000 USD 0.00000000 USD 7400000.00000000 USD 1.00000000 4.01000000 USD 2029-12-20 XXXX -21733.65000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 7400000.00000000 NC USD 187157.62000000 0.004200504515 N/A DIR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A N/A NC USD N/A N/A DIR CORP US 2034-12-24 0.00000000 USD 0.00000000 USD 7400000.00000000 USD 1.00000000 4.01000000 USD 2029-12-20 XXXX -108287.38000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X96G5 465398.02700000 PA USD 391785.79000000 0.008793112350 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XADW9 347712.00200000 PA USD 293692.16000000 0.006591530946 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DQGL4 9176755.28000000 PA USD 7687982.74000000 0.172546574440 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRUZ6 762781.62800000 PA USD 675317.73000000 0.015156610636 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRY33 1953168.32400000 PA USD 1722495.43000000 0.038659125024 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137H3EQ1 6579334.34400000 PA USD 5451334.45000000 0.122347970499 Long ABS-CBDO USGSE US N 2 2051-10-25 Fixed 0.01750000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BMBT4 3504177.84700000 PA USD 3293638.08000000 0.073921337673 Long ABS-CBDO USGSE US N 2 2046-09-25 Fixed 0.02250000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H4UB4 3832843.98400000 PA USD 3511784.27000000 0.078817339535 Long ABS-CBDO USGSE US N 2 2048-06-25 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5JE8 2406626.60000000 PA USD 2231734.88000000 0.050088328970 Long ABS-CBDO USGSE US N 2 2052-01-25 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BJTS4 493469.55100000 PA USD 420911.56000000 0.009446801622 Long ABS-CBDO USGSE US N 2 2050-08-25 Fixed 0.01500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5WR4 5818878.71100000 PA USD 5298781.51000000 0.118924122123 Long ABS-CBDO USGSE US N 2 2052-02-25 Fixed 0.01750000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTVA1 7069356.24000000 PA USD 7470757.12000000 0.167671233550 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QV4N1 6850009.58300000 PA USD 7271600.27000000 0.163201422234 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMT9 6524566.17200000 PA USD 6833803.21000000 0.153375647963 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 0.06000000 N N N N N N EVERGREEN CR CARD TR N/A 30023JCX4 1200000.00000000 PA USD 1214602.08000000 0.027260132508 Long ABS-CBDO CORP CA N 2 2029-05-15 Fixed 0.05240000 N N N N N N DLLAA 2025-1 LLC N/A 233249AC5 5800000.00000000 PA USD 5926264.26000000 0.133007140087 Long ABS-CBDO CORP US N 2 2029-09-20 Fixed 0.04950000 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TR N/A 80288DAC0 994711.67000000 PA USD 997244.50000000 0.022381829951 Long ABS-CBDO CORP US N 2 2029-01-16 Fixed 0.04740000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRVF9 15850785.77600000 PA USD 14018404.82000000 0.314624500679 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRVG7 15696202.16500000 PA USD 13866976.18000000 0.311225885725 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUW86 8861527.77800000 PA USD 9172530.18000000 0.205865272468 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GS5P9 9598609.72300000 PA USD 9908484.52000000 0.222382791382 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.05500000 N N N N N N REACH ABS TRUST 2025-1 N/A 75525PAA0 8074216.96000000 PA USD 8096082.75000000 0.181705837817 Long ABS-CBDO CORP US N 2 2032-08-16 Fixed 0.04960000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNNS7 893644.39800000 PA USD 755368.12000000 0.016953235452 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0MB8 1279803.00700000 PA USD 1080175.49000000 0.024243106013 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N BARINGS EQUIPMENT FINANCE LLC 2025-A N/A 06764MAB0 15232353.93000000 PA USD 15321214.91000000 0.343864344963 Long ABS-CBDO CORP US N 2 2028-10-13 Fixed 0.04640000 N N N N N N SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A N/A 81378RAB0 302161.54000000 PA USD 305393.31000000 0.006854147736 Long ABS-CBDO CORP CA N 2 2031-07-25 Fixed 0.05038000 N N N N N N BX TRUST 2025-DIME N/A 05613UAA9 5616000.00000000 PA USD 5608409.41000000 0.125873309615 Long ABS-MBS CORP US N 2 2035-02-15 Variable 0.04809650 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPJM1 35149.68600000 PA USD 29425.28000000 0.000660411376 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSQK1 594864.77800000 PA USD 497428.60000000 0.011164125084 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133A9RU1 21299.13800000 PA USD 17843.71000000 0.000400478401 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AAJX1 30288.09200000 PA USD 25355.43000000 0.000569068992 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133ABWH9 67003.39300000 PA USD 56091.35000000 0.001258895945 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KKQG7 44344.36900000 PA USD 37122.53000000 0.000833165942 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XGPU7 21630.35400000 PA USD 18087.40000000 0.000405947699 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XMNV4 422559.68900000 PA USD 353346.31000000 0.007930389211 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0M28 5445305.10900000 PA USD 4558493.61000000 0.102309342204 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N POST ROAD EQUIPMENT FINANCE 2025-1 LLC N/A 73747LAB4 355415.25000000 PA USD 358548.02000000 0.008047134692 Long ABS-CBDO CORP US N 2 2031-05-15 Fixed 0.04900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNSX1 3826888.02600000 PA USD 3502351.08000000 0.078605624099 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.03000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0DV4 6054676.95200000 PA USD 5571487.09000000 0.125044637121 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 1000000.00000000 NC USD 80388.80000000 0.001804219979 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 49318.30000000 USD 0.00000000 USD 1000000.00000000 USD 31070.50000000 N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 700000.00000000 NC USD 56272.16000000 0.001262953985 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 27530.18000000 USD 0.00000000 USD 700000.00000000 USD 28741.98000000 N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 1300000.00000000 NC USD -1635.79000000 -0.00003671313 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S18 PRC INDX CZ030005 Y 2057-12-17 0.00000000 USD 724.43000000 USD 1300000.00000000 USD -911.36000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQC96 13741831.41000000 PA USD 11490981.26000000 0.257899831519 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XR6J9 520936.41800000 PA USD 439679.19000000 0.009868016182 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRT96 903194.84600000 PA USD 828168.89000000 0.018587152164 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133GAVD5 407456.18900000 PA USD 373609.90000000 0.008385178609 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBL24 77730.49600000 PA USD 71395.09000000 0.001602368088 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.01500000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 500000.00000000 NC USD 40194.40000000 0.000902109989 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 18969.92000000 USD 0.00000000 USD 500000.00000000 USD 21224.48000000 N N N PEAC SOLUTIONS RECEIVABLES 2025-1 LLC N/A 69392HAB9 771824.39000000 PA USD 776410.96000000 0.017425514082 Long ABS-CBDO CORP US N 2 2028-10-20 Fixed 0.04940000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRCH6 13351617.71300000 PA USD 12857095.16000000 0.288560445845 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUW22 2756681.61000000 PA USD 2776290.44000000 0.062310156158 Long ABS-CBDO USGSE US N 2 2054-09-25 Variable 0.04867210 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJQ26 4219610.47000000 PA USD 4253700.70000000 0.095468669649 Long ABS-CBDO USGSE US N 2 2054-10-25 Variable 0.04917210 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJZC4 2257462.08000000 PA USD 2269435.88000000 0.050934477905 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04867210 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUWD8 2786755.20000000 PA USD 2809905.61000000 0.063064604058 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04817210 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUWL0 3602654.04000000 PA USD 3640891.89000000 0.081714988804 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.05067210 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUWX4 4168451.18000000 PA USD 4211364.13000000 0.094518481495 Long ABS-CBDO USGSE US N 2 2054-09-25 Variable 0.05067210 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QWCX8 3553366.97400000 PA USD 3730665.06000000 0.083729828520 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QWC34 9662664.65400000 PA USD 10099497.30000000 0.226669819849 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 400000.00000000 NC USD 32155.52000000 0.000721687991 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 14257.58000000 USD 0.00000000 USD 400000.00000000 USD 17897.94000000 N N N OPORTUN FUNDING TRUST 2025-1 N/A 68377PAA4 1430270.33000000 PA USD 1431562.01000000 0.032129510338 Long ABS-CBDO CORP US N 2 2032-08-16 Fixed 0.04960000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BSMZ5 1430223.93900000 PA USD 1449208.59000000 0.032525564417 Long ABS-CBDO USGSE US N 2 2054-07-25 Variable 0.05197210 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DMSD8 8315338.13400000 PA USD 7599766.70000000 0.170566682441 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQRD3 8728343.63100000 PA USD 8834783.16000000 0.198284988628 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05117210 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVD93 5716988.76100000 PA USD 4807370.11000000 0.107895045111 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133A96N0 507595.31300000 PA USD 424929.36000000 0.009536975813 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJYG6 7498318.86000000 PA USD 7552120.05000000 0.169497316585 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04817210 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUGA2 2331973.93300000 PA USD 2350976.72000000 0.052764553894 Long ABS-CBDO USGSE US N 2 2054-06-25 Variable 0.04867210 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJEZ6 5230806.38000000 PA USD 5274709.06000000 0.118383847915 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04817210 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133ASJZ7 322266.66100000 PA USD 318751.09000000 0.007153945389 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AXLZ3 284292.01000000 PA USD 281190.70000000 0.006310952260 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B4K87 137145.34500000 PA USD 135383.52000000 0.003038503519 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B5LN0 127158.04500000 PA USD 125731.15000000 0.002821868878 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B97A6 284607.45200000 PA USD 280951.27000000 0.006305578571 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B9TC8 209943.57400000 PA USD 207246.55000000 0.004651373900 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133BE7E7 165879.76400000 PA USD 164018.36000000 0.003681174518 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133BFC65 256275.89800000 PA USD 253400.12000000 0.005687229556 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133BJC59 157871.66400000 PA USD 156050.79000000 0.003502352979 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140LNH75 93517.22900000 PA USD 92497.06000000 0.002075973813 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140M4V96 155057.87800000 PA USD 153366.37000000 0.003442104733 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140MHHF9 164658.92100000 PA USD 162811.22000000 0.003654081862 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140MUX39 164279.55100000 PA USD 162436.10000000 0.003645662791 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QL3M6 1024486.13200000 PA USD 1013310.12000000 0.022742401480 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QM7H1 1020224.20700000 PA USD 1008775.86000000 0.022640636029 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMNF7 1358044.69700000 PA USD 1343229.92000000 0.030147013751 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMWW0 791983.58600000 PA USD 783096.42000000 0.017575560364 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNHA3 683832.22900000 PA USD 676158.67000000 0.015175484419 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QQFK6 1727765.26400000 PA USD 1707837.39000000 0.038330144761 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.04000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0S97 5669377.58100000 PA USD 5003356.68000000 0.112293703697 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.02500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912810UJ5 20990000.00000000 PA USD 21514750.00000000 0.482870024293 Long DBT UST US N 2 2045-02-15 Fixed 0.04750000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UH9 14000000.00000000 PA USD 14176436.22000000 0.318171305822 Long DBT UST US N 2 2055-02-15 Fixed 0.02375000 N N N N N N BX TRUST 2025-ROIC N/A 05593VAA1 7625610.33700000 PA USD 7616078.32000000 0.170932775114 Long ABS-MBS CORP US N 2 2030-03-15 Variable 0.04803480 N N N N N N BX TRUST 2025-ROIC N/A 05593VAG8 635386.19000000 PA USD 633797.72000000 0.014224749088 Long ABS-MBS CORP US N 2 2030-03-15 Variable 0.05053130 N N N N N N BX TRUST 2025-ROIC N/A 05593VAJ2 895982.38000000 PA USD 893746.99000000 0.020058965629 Long ABS-MBS CORP US N 2 2030-03-15 Floating 0.05202920 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BURK8 12156311.45000000 PA USD 12221233.45000000 0.274289373239 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04767210 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXG22 1752072.56500000 PA USD 1819192.01000000 0.040829351494 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXRU8 1074027.31500000 PA USD 1114164.90000000 0.025005953233 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPMG1 3189178.68200000 PA USD 3317331.36000000 0.074453101913 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BBB76 487122.05000000 PA USD 456565.71000000 0.010247011723 Long ABS-CBDO USGSE US N 2 2045-09-25 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BBQT2 946082.35200000 PA USD 891956.98000000 0.020018791229 Long ABS-CBDO USGSE US N 2 2043-05-25 Fixed 0.02000000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUBP7 6632558.68000000 PA USD 6932405.38000000 0.155588642873 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06000000 N N N N N N SCLP 2025-1 N/A 83406YAA9 5239410.54000000 PA USD 5265959.16000000 0.118187468017 Long ABS-CBDO CORP US N 2 2034-02-27 Fixed 0.04800000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MKV2 15556300.87000000 PA USD 16084213.27000000 0.360988831031 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUVN7 2808494.96500000 PA USD 2835025.69000000 0.063628390931 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04867210 N N N N N N VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 N/A 92887TAB7 5393632.85000000 PA USD 5403376.99000000 0.121271628925 Long ABS-CBDO CORP US N 2 2027-11-15 Fixed 0.04410000 N N N N N N JOHN DEERE OWNER TRUST 2025 N/A 47800DAB0 1702228.53000000 PA USD 1705056.44000000 0.038267730027 Long ABS-CBDO CORP US N 2 2028-03-15 Fixed 0.04230000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 1200000.00000000 NC USD 192306.48000000 0.004316063847 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 76767.23000000 USD 0.00000000 USD 1200000.00000000 USD 115539.25000000 N N N ARI FLEET LEASE TRUST 2025-A N/A 04033CAB2 403653.01000000 PA USD 405018.93000000 0.009090112623 Long ABS-CBDO CORP US N 2 2034-01-17 Fixed 0.04380000 N N N N N N GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 N/A 39154GAH9 5376812.55000000 PA USD 5393395.18000000 0.121047600441 Long ABS-CBDO CORP US N 2 2027-10-15 Fixed 0.04520000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BVFK9 9331971.34000000 PA USD 9422170.44000000 0.211468116955 Long ABS-CBDO USGSE US N 2 2055-03-25 Variable 0.05067210 N N N N N N CCG RECEIVABLES TRUST. N/A 12515XAC4 1000000.00000000 PA USD 1015668.40000000 0.022795329947 Long ABS-CBDO CORP US N 2 2032-10-14 Fixed 0.04690000 N N N N N N GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1 N/A 36271NAB1 500000.00000000 PA USD 512352.70000000 0.011499076712 Long ABS-CBDO CORP US N 2 2037-12-11 Fixed 0.04800000 N N N N N N ARI FLEET LEASE TRUST 2025-A N/A 04033CAD8 1100000.00000000 PA USD 1119364.95000000 0.025122661457 Long ABS-CBDO CORP US N 2 2034-01-17 Fixed 0.04700000 N N N N N N WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A N/A 98164PAF7 2750000.00000000 PA USD 2783201.58000000 0.062465267528 Long ABS-CBDO CORP US N 2 2030-05-15 Fixed 0.04680000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUDJ9 880336.62000000 PA USD 932867.19000000 0.020936966625 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUDE0 252512.86000000 PA USD 269474.40000000 0.006047995448 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUDH3 777018.36000000 PA USD 825326.37000000 0.018523355573 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N WELLS FARGO COML MTG TR 2025-VTT N/A 94990GAA7 1226000.00000000 PA USD 1237684.03000000 0.027778176257 Long ABS-MBS CORP US N 2 2038-03-15 Variable 0.05270382 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6DW7 7512212.88700000 PA USD 7858869.96000000 0.176381911409 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6EJ5 2992515.75700000 PA USD 3171082.16000000 0.071170732620 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N BANKERS HEALTHCARE GROUP SECURITIZATION TRUST N/A 08860AAA7 3319286.30000000 PA USD 3371037.96000000 0.075658475308 Long ABS-CBDO CORP US N 2 2036-04-17 Fixed 0.04820000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AC7D6 3382828.66100000 PA USD 3488917.21000000 0.078304118707 Long ABS-MBS USGA US N 2 2054-03-20 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3622ADP28 3488580.19800000 PA USD 3604526.30000000 0.080898811375 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3622ADQU5 2868463.17700000 PA USD 2956627.97000000 0.066357592800 Long ABS-MBS USGA US N 2 2055-01-20 Fixed 0.05500000 N N N N N N CARVANA AUTO RECEIVABLES TR 2025-P1 N/A 14689MAB6 474302.19000000 PA USD 474675.66000000 0.010653465528 Long ABS-CBDO CORP US N 2 2028-06-12 Fixed 0.04500000 N N N N N N CARVANA AUTO RECEIVABLES TR 2025-P1 N/A 14689MAE0 2800000.00000000 PA USD 2892213.52000000 0.064911895916 Long ABS-CBDO CORP US N 2 2031-05-12 Fixed 0.04980000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUK63 12109133.63300000 PA USD 12884675.21000000 0.289179443482 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GT6J0 1677867.83700000 PA USD 1786377.23000000 0.040092867286 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTEA0 628247.20600000 PA USD 668680.25000000 0.015007641202 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTWB8 1504577.91400000 PA USD 1601410.29000000 0.035941529677 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSUB6 23546248.37800000 PA USD 24861139.17000000 0.557975290207 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSD41 5452182.16400000 PA USD 5760055.44000000 0.129276803599 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.06500000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 200000.00000000 NC USD 32051.08000000 0.000719343974 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 13047.62000000 USD 0.00000000 USD 200000.00000000 USD 19003.46000000 N N N DEXT ABS 2025-1 LLC N/A 252154AB5 976760.33000000 PA USD 978970.93000000 0.021971703912 Long ABS-CBDO CORP US N 2 2027-08-16 Fixed 0.04590000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GCE5 9523615.52000000 PA USD 9621844.95000000 0.215949546462 Long ABS-CBDO CORP US N 2 2040-01-18 Fixed 0.04570000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXLU4 6939543.28900000 PA USD 7201050.26000000 0.161618020845 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.06000000 N N N N N N DEXT ABS 2025-1 LLC N/A 252154AC3 2340000.00000000 PA USD 2366072.28000000 0.053103353714 Long ABS-CBDO CORP US N 2 2035-08-15 Fixed 0.04770000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 700000.00000000 NC USD 112178.78000000 0.002517703911 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 48889.67000000 USD 0.00000000 USD 700000.00000000 USD 63289.11000000 N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 1000000.00000000 NC USD 80388.80000000 0.001804219979 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 48568.29000000 USD 0.00000000 USD 1000000.00000000 USD 31820.51000000 N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2 N/A 30168JAC7 5602049.23000000 PA USD 5616986.53000000 0.126065811696 Long ABS-CBDO CORP US N 2 2029-01-16 Fixed 0.04740000 N N N N N N CFMT 2025-HB16 N/A 12531BAA6 318545.89000000 PA USD 313570.20000000 0.007037667186 Long ABS-CBDO CORP US N 2 2035-03-25 Variable 0.03000000 N N N N N N CIM TRUST 2025-R1 N/A 12575LAA1 6256951.22000000 PA USD 6240260.80000000 0.140054375909 Long ABS-CBDO CORP US N 2 2099-02-25 Fixed 0.05000000 N N N N N N CARMAX SELECT RECEIVABLES TR 2025-A N/A 14319UAC4 1425000.00000000 PA USD 1439519.47000000 0.032308104972 Long ABS-CBDO CORP US N 2 2029-09-17 Fixed 0.04770000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSD25 1859987.67900000 PA USD 1969231.27000000 0.044196783657 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSD33 4843087.37100000 PA USD 5116641.90000000 0.114836240186 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNHB3 2009413.83600000 PA USD 2127433.74000000 0.047747428239 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.06500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0A62 2682293.45100000 PA USD 2833798.77000000 0.063600854340 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQSJ7 3814230.90000000 PA USD 4038254.03000000 0.090633254933 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QKP51 22377069.45400000 PA USD 19748280.70000000 0.443223964088 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02500000 N N N N N N GMF FLOORPLAN OWNER REVOLVING TR N/A 361886DZ4 2000000.00000000 PA USD 2014028.00000000 0.045202186838 Long ABS-CBDO CORP US N 2 2029-03-15 Fixed 0.04790000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DYT3 6266481.45300000 PA USD 5700901.42000000 0.127949170088 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W1AD5 16868098.55000000 PA USD 15002454.80000000 0.336710197131 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MHB0 15400857.31000000 PA USD 13553110.19000000 0.304181579925 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.02500000 N N N N N N BMO 2025-5C9 MTG TR N/A 096933AC0 5380000.00000000 PA USD 5677638.82000000 0.127427071889 Long ABS-MBS CORP US N 2 2058-04-15 Variable 0.05778500 N N N N N N BMO 2025-5C9 MTG TR N/A 096933AE6 12994552.02000000 PA USD 342509.10000000 0.007687162408 Long ABS-MBS CORP US N 2 2058-04-15 Variable 0.00706945 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MN72 5449094.23300000 PA USD 4805545.85000000 0.107854102015 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNSQ7 20469082.76400000 PA USD 18634066.34000000 0.418216900790 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.03000000 N N N N N N PRET 2025-RPL2 N/A 69392LAA2 13964196.10000000 PA USD 13720076.82000000 0.307928924453 Long ABS-CBDO CORP US N 2 2064-08-25 Fixed 0.04000000 N N N N N N CIM 2025-NR1 N/A 17181YAA8 4119986.28000000 PA USD 4055202.38000000 0.091013638166 Long ABS-CBDO CORP US N 2 2064-06-25 Fixed 0.05000000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 33200000.00000000 NC USD 1161905.05000000 0.026077417572 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Put Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2035-03-25 0.00000000 USD 0.00000000 USD 33200000.00000000 USD 1.00000000 3.94000000 USD 2030-03-21 XXXX -118618.95000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 33200000.00000000 NC USD 921305.98000000 0.020677490602 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2035-03-25 0.00000000 USD 0.00000000 USD 33200000.00000000 USD 1.00000000 3.94000000 USD 2030-03-21 XXXX -359218.02000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDCE4 1538018.33600000 PA USD 1347724.10000000 0.030247879659 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKQL7 7889260.57700000 PA USD 7548509.21000000 0.169416276071 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BFPS6 75673684.85300000 PA USD 60804827.37000000 1.364683692319 Long ABS-CBDO USGSE US N 2 2050-02-25 Fixed 0.01250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W1C92 10292712.75200000 PA USD 8655059.81000000 0.194251336442 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W04U6 18694972.19400000 PA USD 15632819.88000000 0.350857905169 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N TOWD PT MTG TR 2018-1 N/A 89176EAB6 2466711.00000000 PA USD 2425664.44000000 0.054440820696 Long ABS-CBDO CORP US N 2 2058-01-25 Fixed 0.03250000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0B95 12511956.19700000 PA USD 11002990.51000000 0.246947526458 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0L94 15874228.26600000 PA USD 13994491.05000000 0.314087787833 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG3U6 3665472.59200000 PA USD 3573252.60000000 0.080196914664 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG3V4 4125472.04700000 PA USD 4020299.74000000 0.090230294710 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG4L5 4237301.19300000 PA USD 4132137.31000000 0.092740340615 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG5A8 3597774.68100000 PA USD 3506100.14000000 0.078689766777 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F4F76 2972916.21800000 PA USD 2899040.14000000 0.065065110346 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG5F7 3737495.71600000 PA USD 3644768.45000000 0.081801993051 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGV35 3306448.09700000 PA USD 3224404.54000000 0.072367482706 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHEV0 5326291.33700000 PA USD 5190554.53000000 0.116495111121 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHD74 3378374.39300000 PA USD 3292268.75000000 0.073890604877 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHEU2 3288769.46200000 PA USD 3207168.19000000 0.071980635695 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 1345000.00000000 NC USD 178929.25000000 0.004015829665 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 183529.66000000 USD 0.00000000 USD 1345000.00000000 USD -4600.41000000 N N N BANK5 2025-5YR14 N/A 06604MAE8 74200000.00000000 PA USD 952809.62000000 0.021384548012 Long ABS-MBS CORP US N 2 2058-04-15 Variable 0.00271407 N N N N N N BANK5 2025-5YR14 N/A 06604MAD0 29758753.40000000 PA USD 1087188.44000000 0.024400502373 Long ABS-MBS CORP US N 2 2058-04-15 Variable 0.00983124 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6HT0 56744503.36500000 PA USD 58594135.85000000 1.315067653649 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6HA1 14236291.88300000 PA USD 14510763.32000000 0.325674834095 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6HB9 18256814.43900000 PA USD 18591684.58000000 0.417265698407 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CW7F5 6450185.80000000 PA USD 6599448.26000000 0.148115861984 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BTXR9 8157574.90400000 PA USD 8217373.19000000 0.184428040850 Long ABS-CBDO USGSE US N 2 2054-12-25 Variable 0.04867210 N N N N N N EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 N/A 30185AAB7 161738.87000000 PA USD 162147.97000000 0.003639196096 Long ABS-CBDO CORP US N 2 2028-10-16 Fixed 0.04830000 N N N N N N EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 N/A 30185AAC5 325000.00000000 PA USD 328310.68000000 0.007368497706 Long ABS-CBDO CORP US N 2 2030-04-15 Fixed 0.04690000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNN32 3062804.77500000 PA USD 2694381.83000000 0.060471826059 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 700000.00000000 NC USD 112178.78000000 0.002517703911 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 102253.29000000 USD 0.00000000 USD 700000.00000000 USD 9925.49000000 N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 7400000.00000000 NC USD -9311.42000000 -0.00020898247 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S18 PRC INDX CZ030005 Y 2057-12-17 60143.33000000 USD 0.00000000 USD 7400000.00000000 USD -69454.75000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MPQ8 16031662.07100000 PA USD 16781475.73000000 0.376637962022 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XGXG9 17913392.86800000 PA USD 17622812.56000000 0.395520651133 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MAC5 7159572.14900000 PA USD 7388469.40000000 0.165824394830 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.05500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0VX0 10222186.72300000 PA USD 10536300.21000000 0.236473281742 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.05500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GR3T5 11071326.86400000 PA USD 11561463.36000000 0.259481708758 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427NGV5 7375333.13900000 PA USD 7618042.81000000 0.170976865486 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.05500000 N N N N N N BMO 2025-5C10 MORTGAGE TRUST N/A 05615BAC5 3900000.00000000 PA USD 4097659.02000000 0.091966521132 Long ABS-MBS CORP US N 2 2058-05-15 Fixed 0.05578400 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BBGJ5 6887546.91100000 PA USD 6618026.18000000 0.148532818755 Long ABS-CBDO USGSE US N 2 2044-06-25 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FUFC3 789117.54000000 PA USD 761435.93000000 0.017089419399 Long ABS-CBDO USGSE US N 2 2044-01-25 Fixed 0.02000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 200000.00000000 NC USD 32051.08000000 0.000719343974 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 28847.35000000 USD 0.00000000 USD 200000.00000000 USD 3203.73000000 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HKGX6 20318626.98500000 PA USD 20479798.40000000 0.459641908501 Long ABS-CBDO USGSE US N 2 2055-03-25 Variable 0.05017210 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEA69 150793.41200000 PA USD 133502.78000000 0.002996292804 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEN32 49779643.41700000 PA USD 44071690.47000000 0.989130631214 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BVVD7 4710403.77000000 PA USD 4772956.52000000 0.107122677733 Long ABS-CBDO USGSE US N 2 2054-08-25 Variable 0.05267210 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HFYT6 2072623.54500000 PA USD 2081082.54000000 0.046707137040 Long ABS-CBDO USGSE US N 2 2054-10-25 Variable 0.04667210 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BTF81 2765243.79800000 PA USD 2781071.50000000 0.062417460708 Long ABS-CBDO USGSE US N 2 2054-12-25 Variable 0.04767210 N N N N N N AFFIRM ASSET SECURITIZATION TR 2025-X1 N/A 00834MAB9 800000.00000000 PA USD 801565.60000000 0.017990076610 Long ABS-CBDO CORP US N 2 2030-04-15 Fixed 0.05190000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6NW6 5329156.98500000 PA USD 5575075.20000000 0.125125167490 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNN81 13552511.30700000 PA USD 12445550.31000000 0.279323867604 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNS52 11542341.87200000 PA USD 10621212.20000000 0.238379018721 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.03000000 N N N N N N BOFA AUTO TRUST 2025-1 N/A 05594BAD8 2700000.00000000 PA USD 2719362.78000000 0.061032490344 Long ABS-CBDO CORP US N 2 2029-11-20 Fixed 0.04350000 N N N N N N VERUS 2025-4 N/A 92540UAC1 12364004.12200000 PA USD 12492746.79000000 0.280383129991 Long ABS-CBDO CORP US N 2 2070-05-25 Fixed 0.05448000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQNC9 472742.02300000 PA USD 478415.45000000 0.010737400154 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05167210 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HAT48 1419769.08100000 PA USD 1440514.60000000 0.032330439344 Long ABS-CBDO USGSE US N 2 2053-10-25 Variable 0.05117210 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KQGP5 2448921.53300000 PA USD 2559633.11000000 0.057447569783 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLTZ1 3826760.46400000 PA USD 3996174.21000000 0.089688829192 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQXA0 992244.92800000 PA USD 869477.54000000 0.019514270017 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 800000.00000000 NC USD 128204.32000000 0.002877375898 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 113164.79000000 USD 0.00000000 USD 800000.00000000 USD 15039.53000000 N N N RCO VIII MORTGAGE LLC 2025-3 N/A 74939GAA3 1558802.03000000 PA USD 1560983.42000000 0.035034202207 Long ABS-CBDO CORP US N 2 2030-05-25 Variable 0.06434500 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQVT3 10610659.01500000 PA USD 10738827.29000000 0.241018733399 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05167210 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FUBJ2 249188.42000000 PA USD 240476.59000000 0.005397178068 Long ABS-CBDO USGSE US N 2 2044-03-25 Fixed 0.02000000 N N N N N N AUTONATION FINANCE TRUST 2025-1 N/A 05330QAB8 856598.69000000 PA USD 858261.95000000 0.019262550977 Long ABS-CBDO CORP US N 2 2028-04-10 Fixed 0.04720000 N N N N N N CROSS 2025-H4 MTG TR N/A 22790AAA3 7006236.97000000 PA USD 7096154.31000000 0.159263770392 Long ABS-CBDO CORP US N 2 2070-06-25 Variable 0.05596000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3622ADQ27 4734110.35500000 PA USD 4778951.37000000 0.107257224189 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 0.05000000 N N N N N N ALA TRUST 2025-OANA N/A 009920AA7 17948000.00000000 PA USD 18038045.12000000 0.404839995133 Long ABS-MBS CORP US N 2 2040-06-15 Variable 0.05402630 N N N N N N JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2 N/A 46590SAC1 2400964.52000000 PA USD 2431037.80000000 0.054561418633 Long ABS-CBDO CORP US N 2 2065-09-25 Variable 0.05567000 N N N N N N MSRM 2025-NQM3 N/A 61778LAA3 1642079.95600000 PA USD 1661710.86000000 0.037294895982 Long ABS-CBDO CORP US N 2 2070-05-25 Variable 0.05530000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 N/A 949931AD1 21312112.96000000 PA USD 887873.28000000 0.019927137999 Long ABS-MBS CORP US N 2 2058-05-15 Variable 0.01121255 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 N/A 949931AE9 57043000.00000000 PA USD 1243394.79000000 0.027906346690 Long ABS-MBS CORP US N 2 2058-05-15 Variable 0.00514698 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 24200000.00000000 NC USD -30450.86000000 -0.00068342915 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S18 PRC INDX CZ030005 Y 2057-12-17 44228.09000000 USD 0.00000000 USD 24200000.00000000 USD -74678.95000000 N N N BX TR 2025-TAIL N/A 123912AA5 1026000.00000000 PA USD 1026000.00000000 0.023027209004 Long ABS-MBS CORP US N 2 2035-06-15 Variable 0.05059650 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BNS31 6792125.60000000 PA USD 6770569.43000000 0.151956449651 Long ABS-CBDO USGSE US N 2 2052-08-25 Variable 0.04467210 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BNY75 13654750.40000000 PA USD 13611414.32000000 0.305490138782 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04467210 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BPBP5 20141470.07600000 PA USD 20077494.72000000 0.450612736062 Long ABS-CBDO USGSE US N 2 2052-10-25 Variable 0.04467210 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BPDD0 7713444.26600000 PA USD 7686302.20000000 0.172508856948 Long ABS-CBDO USGSE US N 2 2052-10-25 Variable 0.04467210 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FU4N1 8119610.83700000 PA USD 7761378.48000000 0.174193844464 Long ABS-CBDO USGSE US N 2 2045-01-25 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXU42 8985138.84300000 PA USD 8195245.40000000 0.183931411956 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.01500000 N N N N N N VERUS SECURITIZATION TRUST 2025-5 N/A 92540XAA9 3072872.39000000 PA USD 3104361.04000000 0.069673265587 Long ABS-CBDO CORP US N 2 2070-06-25 Variable 0.05427000 N N N N N N OBX 2025-NQM10 N/A 67121LAA4 4476155.66000000 PA USD 4524658.39000000 0.101549955574 Long ABS-CBDO CORP US N 2 2065-05-25 Variable 0.05453000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BV4T2 15900000.00000000 PA USD 16355822.79000000 0.367084746415 Long ABS-MBS USGSE US N 2 2030-04-25 Fixed 0.04620000 N N N N N N OPORTUN ISSUANCE TRUST 2025-B N/A 68378QAA1 3200000.00000000 PA USD 3218748.16000000 0.072240532760 Long ABS-CBDO CORP US N 2 2033-05-09 Fixed 0.04880000 N N N N N N PRET 2025-RPL3 N/A 69382RAA1 3442886.10000000 PA USD 3395353.61000000 0.076204207817 Long ABS-CBDO CORP US N 2 2065-04-25 Variable 0.04150000 N N N N N N SCLP 2025-2 N/A 83407HAA5 3842351.29000000 PA USD 3862702.30000000 0.086693229223 Long ABS-CBDO CORP US N 2 2034-06-25 Fixed 0.04820000 N N N N N N WESTF 2025-A N/A 97063RAA8 2152803.22000000 PA USD 2204319.16000000 0.049473019502 Long ABS-CBDO CORP US N 2 2050-06-15 Fixed 0.05582000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 400000.00000000 NC USD 32155.52000000 0.000721687991 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 28323.61000000 USD 0.00000000 USD 400000.00000000 USD 3831.91000000 N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1 N/A 68270DAA9 11900000.00000000 PA USD 12126844.94000000 0.272170948339 Long ABS-CBDO CORP US N 2 2038-07-14 Fixed 0.04820000 N N N N N N BMO 2025-5C11 MTG TR N/A 096941AE9 39396000.00000000 PA USD 988461.40000000 0.022184704922 Long ABS-MBS CORP US N 2 2058-07-15 Variable 0.00583814 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F85N9 1844325.75800000 PA USD 1466916.58000000 0.032922996763 Long ABS-CBDO USGSE US N 2 2051-01-25 Fixed 0.01000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTLF5 6427556.23700000 PA USD 5874436.74000000 0.131843940150 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNEP4 3152027.74300000 PA USD 2907377.12000000 0.065252222803 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XJM67 23585718.95400000 PA USD 21769809.64000000 0.488594499575 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DS5L2 9882478.84700000 PA USD 9115431.47000000 0.204583767664 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N PRPM 2025-RCF3 LLC N/A 69392PAA3 1958953.60000000 PA USD 1968845.92000000 0.044188134987 Long ABS-CBDO CORP US N 2 2055-07-25 Variable 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6ZA1 6523456.73300000 PA USD 6941258.04000000 0.155787329083 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6YQ7 19065998.69700000 PA USD 19971136.01000000 0.448225655902 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06000000 N N N N N N CENT TRUST 2025-CITY N/A 12517TAA5 5238000.00000000 PA USD 5369683.84000000 0.120515430868 Long ABS-MBS CORP US N 2 2040-07-10 Variable 0.04919988 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRYF6 5352436.78000000 PA USD 4930306.68000000 0.110654193348 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6Y46 11073633.92000000 PA USD 11425923.87000000 0.256439704699 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06000000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUPN7 3771217.20000000 PA USD 3942886.02000000 0.088492846454 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.06000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0ET8 16803251.54200000 PA USD 15352006.80000000 0.344555428088 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MUS8 11082182.51200000 PA USD 10526262.56000000 0.236248000003 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.03500000 N N N N N N GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2 N/A 39571VAB4 508168.80000000 PA USD 510247.77000000 0.011451834350 Long ABS-CBDO CORP US N 2 2060-06-25 Fixed 0.04930000 N N N N N N NYMT LOAN TRUST 2025-CP1 N/A 67121VAA2 6018959.06000000 PA USD 5894282.94000000 0.132289361783 Long ABS-CBDO CORP US N 2 2069-11-25 Fixed 0.03750000 N N N N N N REACH ABS TR 2025-2 N/A 75525QAA8 1850061.07000000 PA USD 1858528.98000000 0.041712217605 Long ABS-CBDO CORP US N 2 2032-08-18 Fixed 0.04930000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2MT5 10843594.27700000 PA USD 9125068.93000000 0.204800067670 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 N/A 30185EAC7 305000.00000000 PA USD 307449.82000000 0.006900303375 Long ABS-CBDO CORP US N 2 2030-08-15 Fixed 0.04430000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HMC65 4700000.00000000 PA USD 4797981.84000000 0.107684337844 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 0.04329000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HMCE8 3200000.00000000 PA USD 3259523.52000000 0.073155681627 Long ABS-MBS USGSE US N 2 2030-07-25 Variable 0.04266000 N N N N N N RCKT TRUST 2025-1A N/A 74939RAA9 492457.35000000 PA USD 493626.25000000 0.011078786382 Long ABS-CBDO CORP US N 2 2034-07-25 Fixed 0.04900000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUVP9 4995175.73500000 PA USD 4771137.61000000 0.107081854711 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132AEPW0 58147.41600000 PA USD 55612.14000000 0.001248140712 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A5GW9 41384.52800000 PA USD 39554.26000000 0.000887742896 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131XW4R1 322069.15500000 PA USD 307624.06000000 0.006904213961 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.03500000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 11720000.00000000 NC USD 357266.85000000 0.008018380531 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Put Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2036-07-24 0.00000000 USD 0.00000000 USD 11720000.00000000 USD 1.00000000 3.83700000 USD 2026-07-22 XXXX -7225.15000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 11720000.00000000 NC USD 81352.04000000 0.001825838623 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2036-07-24 0.00000000 USD 0.00000000 USD 11720000.00000000 USD 1.00000000 3.83700000 USD 2026-07-22 XXXX -283139.96000000 N N N BENCHMARK 2025-V16 MORTGAGE TRUST N/A 08164RAE5 45400000.00000000 PA USD 666717.16000000 0.014963582251 Long ABS-MBS CORP US N 2 2058-08-15 Variable 0.00326728 N N N N N N BENCHMARK 2025-V16 MORTGAGE TRUST N/A 08164RAH8 9700000.00000000 PA USD 664750.70000000 0.014919447665 Long ABS-MBS CORP US N 2 2058-08-15 Variable 0.01765280 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PE83 62717307.77300000 PA USD 55349472.88000000 1.242245497354 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDXZ4 39308774.10800000 PA USD 34666333.20000000 0.778039863556 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCB56 22408882.27600000 PA USD 19776356.25000000 0.443854082565 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QLWH5 49077036.97100000 PA USD 43280945.66000000 0.971383412881 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427NAS8 22307862.70600000 PA USD 19687204.15000000 0.441853181941 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2JJ1 18229114.40900000 PA USD 16087614.56000000 0.361065168473 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427NUK3 17457602.34400000 PA USD 14690869.15000000 0.329717070537 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N SCG 2025-FLWR N/A 78438AAA3 11500000.00000000 PA USD 11528684.45000000 0.258746029605 Long ABS-MBS CORP US N 2 2042-08-15 Variable 0.04909650 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCWH7 19048135.08300000 PA USD 17504199.92000000 0.392858547768 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2N80 14715453.45800000 PA USD 12949938.97000000 0.290644202003 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2VB4 6729257.99800000 PA USD 5921902.48000000 0.132909245721 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2VC2 7227964.07000000 PA USD 6378845.26000000 0.143164720280 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2VD0 5518808.94400000 PA USD 4885998.03000000 0.109659744475 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 25000000.00000000 NC USD -293692.50000000 -0.00659153857 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX AAA CDSI S17 PRC CORP CY885799 Y 2056-12-15 0.00000000 USD 336676.55000000 USD 25000000.00000000 USD 42984.05000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPRT7 973287.71000000 PA USD 819646.46000000 0.018395877528 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KKHK3 525660.55400000 PA USD 440208.60000000 0.009879898087 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKJH4 3227997.20600000 PA USD 2718432.02000000 0.061011600671 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRMS1 2909276.41700000 PA USD 2449114.71000000 0.054967130899 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N OPORTUN ISSUANCE TRUST 2025-C N/A 68378RAA9 2510000.00000000 PA USD 2516820.17000000 0.056486690137 Long ABS-CBDO CORP US N 2 2033-07-08 Fixed 0.04490000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UN6 5440000.00000000 PA USD 5658450.00000000 0.126996404279 Long DBT UST US N 2 2045-08-15 Fixed 0.04875000 N N N N N N MHP 2025-MHIL2 N/A 59317DAA3 2512000.00000000 PA USD 2514086.22000000 0.056425330256 Long ABS-MBS CORP US N 2 2040-09-15 Variable 0.05159650 N N N N N N UPX HIL 2025-1 ISSUER TR N/A 916925AB6 600000.00000000 PA USD 611134.44000000 0.013716101831 Long ABS-CBDO CORP US N 2 2047-01-25 Fixed 0.06070000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRLC7 11185687.46700000 PA USD 10975926.74000000 0.246340116040 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.04000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 784000.00000000 NC USD -131244.27000000 -0.00294560354 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX BBB- CDSI S16 PRC CORP CY873248 Y 2065-04-17 0.00000000 USD 126273.26000000 USD 784000.00000000 USD -4971.01000000 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HN4L9 4000000.00000000 PA USD 4097432.40000000 0.091961434947 Long ABS-MBS USGSE US N 2 2032-06-25 Fixed 0.04400000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HN4R6 4800000.00000000 PA USD 4904511.84000000 0.110075262381 Long ABS-MBS USGSE US N 2 2030-05-25 Variable 0.04361000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HN4S4 20782343.73300000 PA USD 20782329.19000000 0.466431810774 Long ABS-MBS USGSE US N 2 2030-03-25 Variable 0.04209240 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 25610000.00000000 NC USD 482335.15000000 0.010825372621 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2036-09-17 0.00000000 USD 0.00000000 USD 25610000.00000000 USD 1.00000000 3.56500000 USD 2026-09-15 XXXX -210095.23000000 N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 25610000.00000000 NC USD 480731.46000000 0.010789379926 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2036-09-17 0.00000000 USD 0.00000000 USD 25610000.00000000 USD 1.00000000 3.56500000 USD 2026-09-15 XXXX -211698.92000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPZ51 1099693.96500000 PA USD 1161808.53000000 0.026075251309 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XN5W0 1575623.78600000 PA USD 1666147.00000000 0.037394459260 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTRW2 825396.71700000 PA USD 872018.01000000 0.019571287496 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.06500000 N N N N N N HAVN TR 2025-MOB N/A 40408XAA9 605000.00000000 PA USD 603865.63000000 0.013552963033 Long ABS-MBS CORP US N 2 2035-10-15 Variable 0.05359650 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 365.00000000 NC USD 480841.97000000 0.010791860176 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long UNITED STATES TREASURY BOND UNITED STATES TREASURY BOND 0% 06/30/2040 2026-06-18 43889470.53000000 USD 480841.97000000 N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BXNE0 5800000.00000000 PA USD 5873908.24000000 0.131832078669 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 0.04389000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 24220000.00000000 NC USD 744337.03000000 0.016705657270 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2035-09-19 0.00000000 USD 0.00000000 USD 24220000.00000000 USD 1.00000000 3.88700000 USD 2030-09-17 XXXX -48867.97000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 24220000.00000000 NC USD 796937.06000000 0.017886195169 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2035-09-19 0.00000000 USD 0.00000000 USD 24220000.00000000 USD 1.00000000 3.88700000 USD 2030-09-17 XXXX 3732.06000000 N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A -298.00000000 NC USD -134406.81000000 -0.00301658255 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short UST NOTES UST NOTES 0% 06/30/2040 2026-06-18 -33772405.69000000 USD -134406.81000000 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HN6B9 5200000.00000000 PA USD 5322587.40000000 0.119458413746 Long ABS-MBS USGSE US N 2 2030-05-25 Fixed 0.04421000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 3304.00000000 NC USD 980058.21000000 0.021996106469 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long UST NOTES UST NOTES 0% 06/30/2040 2026-06-30 690330316.79000000 USD 980058.21000000 N N N EXTENDED STAY AMERICA TRUST 2025-ESH N/A 30227TAA8 5605000.00000000 PA USD 5612006.25000000 0.125954035918 Long ABS-MBS CORP US N 2 2042-10-15 Variable 0.04959650 N N N N N N EXTENDED STAY AMERICA TRUST 2025-ESH N/A 30227TAC4 995000.00000000 PA USD 996863.93000000 0.022373288562 Long ABS-MBS CORP US N 2 2042-10-15 Variable 0.05259650 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 5200000.00000000 NC USD -61088.04000000 -0.00137104002 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S17 PRC CORP CY885799 Y 2056-12-15 0.00000000 USD 67650.17000000 USD 5200000.00000000 USD 6562.13000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GVER8 9632277.19100000 PA USD 10083538.78000000 0.226311652037 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2Z53 3653797.93600000 PA USD 3817729.60000000 0.085683876628 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H020634 256600000.00000000 PA USD 217347872.34000000 4.878084681300 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H020634 -170425000.00000000 PA USD -144355070.71000000 -3.23985807414 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022630 166050000.00000000 PA USD 146495985.21000000 3.287908060158 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022630 -70525000.00000000 PA USD -62219990.11000000 -1.39644514279 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H042638 -33100000.00000000 PA USD -32659280.12000000 -0.73299421954 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H042638 33100000.00000000 PA USD 32659280.12000000 0.732994219545 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H050631 92650000.00000000 PA USD 92821106.02000000 2.083246596816 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H050631 -92650000.00000000 PA USD -92821106.02000000 -2.08324659681 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H052637 -283425000.00000000 PA USD -287074351.96000000 -6.44300302374 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H052637 394225000.00000000 PA USD 399301001.68000000 8.961781307323 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H060630 474125000.00000000 PA USD 483742815.28000000 10.85696580095 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H060630 -474125000.00000000 PA USD -483742815.28000000 -10.8569658009 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H062636 -29800000.00000000 PA USD -30840559.38000000 -0.69217544508 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.06500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H062636 29800000.00000000 PA USD 30840559.38000000 0.692175445080 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.06500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F042434 17425000.00000000 PA USD 17493746.85000000 0.392623942478 Long ABS-MBS USGA US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050437 200625000.00000000 PA USD 203673557.06000000 4.571182813909 Long ABS-MBS USGA US N 2 2041-03-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050437 -127375000.00000000 PA USD -129310501.34000000 -2.90220267135 Short ABS-MBS USGA US N 2 2041-03-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020638 61125000.00000000 PA USD 50621530.61000000 1.136133104750 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.02000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020638 -71350000.00000000 PA USD -59089508.54000000 -1.32618563656 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.02000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030637 -40000000.00000000 PA USD -36170312.00000000 -0.81179467268 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.03000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F040636 550000.00000000 PA USD 534595.71000000 0.011998291566 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F040636 -550000.00000000 PA USD -534595.71000000 -0.01199829156 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F042632 -25900000.00000000 PA USD -25610647.79000000 -0.57479701695 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.04500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F042632 25900000.00000000 PA USD 25610647.79000000 0.574797016955 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.04500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050635 28000000.00000000 PA USD 28126873.60000000 0.631270367470 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050635 -28000000.00000000 PA USD -28126873.60000000 -0.63127036747 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F052631 112100000.00000000 PA USD 113904114.98000000 2.556426766174 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.05500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F052631 -112100000.00000000 PA USD -113904114.98000000 -2.55642676617 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.05500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F060634 -213300000.00000000 PA USD -218790811.26000000 -4.91046953129 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.06000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F060634 213300000.00000000 PA USD 218790811.26000000 4.910469531291 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.06000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F062630 -17800000.00000000 PA USD -18484883.48000000 -0.41486868939 Short ABS-MBS USGA US N 2 2056-03-01 Fixed 0.06500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F062630 17800000.00000000 PA USD 18484883.48000000 0.414868689390 Long ABS-MBS USGA US N 2 2056-03-01 Fixed 0.06500000 N N N N N N DELL EQUIPMENT FINANCE TRUST 2025-2 N/A 24703VAC5 15300000.00000000 PA USD 15333652.35000000 0.344143486805 Long ABS-CBDO CORP US N 2 2028-02-22 Fixed 0.04100000 N N N N N N DELL EQUIPMENT FINANCE TRUST 2025-2 N/A 24703VAE1 2900000.00000000 PA USD 2920045.96000000 0.065536558112 Long ABS-CBDO CORP US N 2 2031-03-24 Fixed 0.04120000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNN46 8700000.00000000 PA USD 8883166.32000000 0.199370884474 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 0.04320000 N N N N N N INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA N/A 44989YAA6 1637000.00000000 PA USD 1670893.59000000 0.037500990176 Long ABS-MBS CORP US N 2 2037-11-05 Variable 0.05041458 N N N N N N PRPM 2025-RCF5 LLC N/A 69384AAA6 1103668.40000000 PA USD 1105456.78000000 0.024810511031 Long ABS-CBDO CORP US N 2 2055-10-25 Fixed 0.04839000 N N N N N N OPORTUN ISSUANCE TRUST 2025-D N/A 68379HAA0 6800000.00000000 PA USD 6821160.24000000 0.153091893273 Long ABS-CBDO CORP US N 2 2033-02-08 Fixed 0.04530000 N N N N N N OBX 2025-NQM19 TR N/A 67449LAA9 3103441.95000000 PA USD 3113222.76000000 0.069872155137 Long ABS-CBDO CORP US N 2 2065-10-25 Variable 0.04869000 N N N N N N RCKTL 2025-2 N/A 74939HAA1 1129243.87000000 PA USD 1130378.65000000 0.025369849344 Long ABS-CBDO CORP US N 2 2034-11-27 Fixed 0.04480000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QPZU4 14557402.52700000 PA USD 14842614.07000000 0.333122783976 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H7ZT3 983417.48000000 PA USD 975063.15000000 0.021883998974 Long ABS-CBDO USGSE US N 2 2052-07-25 Variable 0.04217210 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8P62 2244638.07400000 PA USD 2228038.98000000 0.050005379397 Long ABS-CBDO USGSE US N 2 2052-08-25 Variable 0.04337210 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8V81 2414350.55400000 PA USD 2385201.38000000 0.053532680988 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04367210 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8VP3 3807986.95400000 PA USD 3791062.36000000 0.085085365801 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04417210 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8WP2 7864569.32400000 PA USD 7813916.78000000 0.175372996915 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04317210 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GCP0 2700000.00000000 PA USD 2711551.14000000 0.060857168447 Long ABS-CBDO CORP US N 2 2040-09-18 Fixed 0.04080000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 6200000.00000000 NC USD 196419.41000000 0.004408373105 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2035-10-30 0.00000000 USD 0.00000000 USD 6200000.00000000 USD 1.00000000 3.87400000 USD 2030-10-28 XXXX -11590.59000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 6200000.00000000 NC USD 202706.77000000 0.004549484560 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2035-10-30 0.00000000 USD 0.00000000 USD 6200000.00000000 USD 1.00000000 3.87400000 USD 2030-10-28 XXXX -5303.23000000 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNNC8 2600000.00000000 PA USD 2656769.44000000 0.059627665858 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 0.04340000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H020642 135325000.00000000 PA USD 114640181.31000000 2.572946798554 Long ABS-MBS USGA US N 2 2056-04-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022648 70525000.00000000 PA USD 62214482.10000000 1.396321522818 Long ABS-MBS USGA US N 2 2056-04-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H042646 33100000.00000000 PA USD 32611354.63000000 0.731918595495 Long ABS-MBS USGA US N 2 2056-04-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H042646 -33100000.00000000 PA USD -32611354.63000000 -0.73191859549 Short ABS-MBS USGA US N 2 2056-04-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H050649 92650000.00000000 PA USD 92849049.26000000 2.083873745770 Long ABS-MBS USGA US N 2 2056-04-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H052645 245525000.00000000 PA USD 248427400.13000000 5.575623455350 Long ABS-MBS USGA US N 2 2056-04-01 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H060648 -12175000.00000000 PA USD -12413414.50000000 -0.27860262197 Short ABS-MBS USGA US N 2 2056-04-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H060648 181200000.00000000 PA USD 184748312.76000000 4.146430810055 Long ABS-MBS USGA US N 2 2056-04-01 Fixed 0.06000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050445 127375000.00000000 PA USD 129235859.59000000 2.900527436286 Long ABS-MBS USGA US N 2 2041-04-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020646 2150000.00000000 PA USD 1780720.73000000 0.039965914647 Long ABS-MBS USGA US N 2 2056-04-01 Fixed 0.02000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F042640 25900000.00000000 PA USD 25521619.13000000 0.572798886778 Long ABS-MBS USGA US N 2 2056-04-01 Fixed 0.04500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F042640 -25900000.00000000 PA USD -25521619.13000000 -0.57279888677 Short ABS-MBS USGA US N 2 2056-04-01 Fixed 0.04500000 N N N N N N GREATAMERICA LEASING RECEIV- ABLES FDG LLC N/A 39154TCP1 13400000.00000000 PA USD 13459569.70000000 0.302082187709 Long ABS-CBDO CORP US N 2 2028-05-15 Fixed 0.04220000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W24M0 6087188.69500000 PA USD 5558715.41000000 0.124757993705 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W3KN8 3969540.50600000 PA USD 3631118.12000000 0.081495629501 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 0.01500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNTK4 10800000.00000000 PA USD 11011293.36000000 0.247133872912 Long ABS-MBS USGSE US N 2 2032-09-25 Fixed 0.04360000 N N N N N N EART 2025-5A N/A 30166VAE8 10600000.00000000 PA USD 10646894.40000000 0.238955421633 Long ABS-CBDO CORP US N 2 2029-11-15 Fixed 0.04240000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PQZ0 7436997.24300000 PA USD 7688708.36000000 0.172562860018 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.05500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UP1 6750000.00000000 PA USD 6738398.44000000 0.151234414456 Long DBT UST US N 2 2055-11-15 Fixed 0.04625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AHRR5 110881.89900000 PA USD 119182.62000000 0.002674895809 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CGS65 1007606.27900000 PA USD 1075715.73000000 0.024143012615 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTZ78 3054940.56300000 PA USD 3283636.16000000 0.073696857846 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQEV5 2725860.25500000 PA USD 2929068.78000000 0.065739063338 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140APCY8 147938.94400000 PA USD 157950.48000000 0.003544989001 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3132E06X5 1180756.35600000 PA USD 1257894.81000000 0.028231780404 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A4QP9 194453.71900000 PA USD 206051.37000000 0.004624549671 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MD5 602931.52600000 PA USD 636847.33000000 0.014293193539 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133D4Z22 100556.73000000 PA USD 106167.63000000 0.002382791623 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A8Z62 140723.33600000 PA USD 148894.30000000 0.003341735054 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MK9 605498.13500000 PA USD 639842.17000000 0.014360408750 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A77D0 84061.81100000 PA USD 88627.54000000 0.001989127570 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133D4ZX4 63641.70500000 PA USD 67471.24000000 0.001514302480 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A5SJ8 334348.93400000 PA USD 353156.56000000 0.007926130524 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNWY6 2555630.76700000 PA USD 2727580.76000000 0.061216932004 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140ACAL7 71277.12100000 PA USD 75286.57000000 0.001689707195 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140APGT5 99150.51000000 PA USD 105302.64000000 0.002363378070 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QTVF3 8975533.39600000 PA USD 9587846.98000000 0.215186507124 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140NPMP2 275256.08000000 PA USD 293814.78000000 0.006594282989 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNW42 4986381.72900000 PA USD 5299284.66000000 0.118935414658 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140YW3H4 101259.06500000 PA USD 107518.29000000 0.002413105395 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AKT70 154292.98800000 PA USD 164083.60000000 0.003682638744 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GQYQ9 5085109.23000000 PA USD 5418906.99000000 0.121620179175 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPL49 3491677.91800000 PA USD 3719788.19000000 0.083485711601 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNW34 2386442.75900000 PA USD 2537873.77000000 0.056959210261 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSJW3 2927092.12400000 PA USD 3113744.59000000 0.069883866920 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XND27 4690090.72900000 PA USD 5005653.17000000 0.112345245369 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XMRT5 2843108.38300000 PA USD 3022628.50000000 0.067838887146 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSRB0 7571931.99500000 PA USD 8052406.67000000 0.180725586138 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVFQ2 2251240.30900000 PA USD 2404996.42000000 0.053976954403 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.07000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6P31 243435.93300000 PA USD 259434.62000000 0.005822665904 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AM2V2 102982.55600000 PA USD 110305.74000000 0.002475666013 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AK3J2 177382.78200000 PA USD 190661.82000000 0.004279151635 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MJ2 329730.47200000 PA USD 348860.51000000 0.007829711381 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CE4C3 122335.36000000 PA USD 128836.53000000 0.002891565013 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MH6 1045816.43700000 PA USD 1104351.10000000 0.024785695510 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A3RQ8 225274.65000000 PA USD 238640.13000000 0.005355961160 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CTXC8 99950.65100000 PA USD 106545.98000000 0.002391283187 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CLM52 387659.48000000 PA USD 409465.91000000 0.009189919190 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC 25-5C38 N/A 05556RAH0 24896000.00000000 PA USD 997174.43000000 0.022380257322 Long ABS-MBS CORP US N 2 2058-11-15 Variable 0.00891936 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3622AD6T0 15710162.07100000 PA USD 14802256.09000000 0.332217002650 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 0.03500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 800000.00000000 NC USD 106426.32000000 0.002388597577 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 112688.04000000 USD 0.00000000 USD 800000.00000000 USD -6261.72000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSRC8 4830861.01400000 PA USD 5135514.43000000 0.115259809087 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTJP6 4474783.20200000 PA USD 4775859.15000000 0.107187823413 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTJQ4 2502630.07600000 PA USD 2659673.87000000 0.059692851937 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTZ86 1969291.86500000 PA USD 2103022.14000000 0.047199542259 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUXZ5 2532730.25500000 PA USD 2692454.36000000 0.060428566551 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVAT2 4700397.19500000 PA USD 5008941.61000000 0.112419050042 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVAU9 4405876.69600000 PA USD 4686827.12000000 0.105189617601 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CLMR4 548174.98200000 PA USD 578856.50000000 0.012991666285 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133W9MN8 74446.63200000 PA USD 79526.56000000 0.001784868146 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A3RT2 304737.81700000 PA USD 323303.48000000 0.007256117744 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AUJ46 75150.50300000 PA USD 80236.19000000 0.001800794850 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.07000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6JH7 146205.65400000 PA USD 156693.85000000 0.003516785607 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.07000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6JS3 159158.48600000 PA USD 170115.80000000 0.003818023471 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140N85H7 109154.36100000 PA USD 115799.30000000 0.002598961679 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QTDT3 1378520.60900000 PA USD 1469009.73000000 0.032969974738 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVFN9 1182238.47100000 PA USD 1266308.51000000 0.028420614740 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNVQ4 2297165.73400000 PA USD 2442931.70000000 0.054828361441 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNW26 2132117.76900000 PA USD 2272074.67000000 0.050993702046 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNQZ0 3768626.10600000 PA USD 4006290.74000000 0.089915881288 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVFP4 806733.94900000 PA USD 862841.00000000 0.019365321680 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.07000000 N N N N N N GREENSKY HOME IMPROVEMENT 2025-3A N/A 39571WAC0 2942378.60700000 PA USD 2963267.44000000 0.066506606897 Long ABS-CBDO CORP US N 2 2060-12-27 Fixed 0.04520000 N N N N N N UPG HI 2025-2 ISSUER TR N/A 90321EAA0 6264456.00000000 PA USD 6311285.31000000 0.141648426821 Long ABS-CBDO CORP US N 2 2047-09-25 Fixed 0.05000000 N N N N N N SCMS 2025-BNC1 N/A 78398LAC3 6110000.00000000 PA USD 6133953.03000000 0.137668439029 Long ABS-MBS CORP US N 2 2057-12-15 Fixed 0.04501600 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNWW4 27295591.29000000 PA USD 27284219.95000000 0.612358124081 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04229240 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNWV6 3000000.00000000 PA USD 3044811.60000000 0.068336757399 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.04165000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HCTM4 8773639.87100000 PA USD 8758763.29000000 0.196578823487 Long ABS-MBS USGSE US N 2 2029-03-25 Variable 0.04199240 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 200000.00000000 NC USD -2349.54000000 -0.00005273230 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX AAA CDSI S17 PRC CORP CY885799 Y 2056-12-15 0.00000000 USD 2571.78000000 USD 200000.00000000 USD 222.24000000 N N N OCWEN LOAN INVESTMENT TRUST N/A 68278FAA6 779170.85000000 PA USD 755250.30000000 0.016950591139 Long ABS-CBDO CORP US N 2 2038-11-25 Variable 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427Q2H4 2949174.25700000 PA USD 3091026.29000000 0.069373984812 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.06000000 N N N N N N MERCHANTS FLEET FUNDING LLC N/A 588926AL9 4245000.00000000 PA USD 4280576.07000000 0.096071851679 Long ABS-CBDO CORP US N 2 2039-01-20 Fixed 0.04490000 N N N N N N LONDON CLEARING HOUSE N/A N/A -633677000.00000000 NC USD -1601753.85000000 -0.03594924042 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2028-03-18 0.00000000 USD 0.00000000 USD -635757720.63000000 USD -1601753.85000000 N N N LONDON CLEARING HOUSE N/A N/A 11340000.00000000 NC USD 561508.10000000 0.012602304460 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2056-03-18 0.00000000 USD 0.00000000 USD 10975632.13000000 USD 561508.10000000 N N N LONDON CLEARING HOUSE N/A N/A -14250000.00000000 NC USD -111881.71000000 -0.00251103656 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2033-03-18 0.00000000 USD 0.00000000 USD -14485414.16000000 USD -111881.71000000 N N N LONDON CLEARING HOUSE N/A N/A -94177000.00000000 NC USD -783168.36000000 -0.01757717496 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2030-03-18 0.00000000 USD 0.00000000 USD -94484637.68000000 USD -783168.36000000 N N N LONDON CLEARING HOUSE N/A N/A -322173000.00000000 NC USD -1963096.74000000 -0.04405910226 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2029-03-18 0.00000000 USD 0.00000000 USD -323279886.56000000 USD -1963096.74000000 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HPET6 6800000.00000000 PA USD 6863969.64000000 0.154052693469 Long ABS-MBS USGSE US N 2 2032-10-25 Variable 0.04170000 N N N N N N DEXT ABS 2025-2 LLC N/A 252153AB7 1045000.00000000 PA USD 1044888.60000000 0.023451138575 Long ABS-CBDO CORP US N 2 2028-04-17 Fixed 0.04100000 N N N N N N BANK5 2025-5YR19 N/A 05494RBS0 12200000.00000000 PA USD 348983.44000000 0.007832470381 Long ABS-MBS CORP US N 2 2058-12-15 Variable 0.00599775 N N N N N N WILLIS ENGINE SECURITIZATION TRUST 2025-B N/A 970910AA3 4710682.71000000 PA USD 4762389.99000000 0.106885525984 Long ABS-CBDO CORP US N 2 2050-12-15 Fixed 0.05159000 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM7 N/A 64831YAA4 3013337.93000000 PA USD 3024275.14000000 0.067875843796 Long ABS-CBDO CORP US N 2 2065-10-26 Variable 0.04949000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HPEY5 16296320.13000000 PA USD 16296308.72000000 0.365749032060 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04219240 N N N N N N BMO MORTGAGE TRUST N/A 09664JAB2 7300000.00000000 PA USD 7452950.33000000 0.167271583769 Long ABS-MBS CORP US N 2 2058-12-15 Fixed 0.04735500 N N N N N N BMO MORTGAGE TRUST N/A 09664JAC0 4000000.00000000 PA USD 4166118.80000000 0.093503010082 Long ABS-MBS CORP US N 2 2058-12-15 Fixed 0.05227000 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-1 N/A 96043BAD4 7600000.00000000 PA USD 7613662.52000000 0.170878555688 Long ABS-CBDO CORP US N 2 2029-07-16 Fixed 0.04010000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y8CE4 7149797.89900000 PA USD 7491461.00000000 0.168135904673 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HPU68 6906335.55000000 PA USD 6906330.72000000 0.155003431717 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04219240 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CPT2 62310000.00000000 PA USD 62499851.09000000 1.402726251254 Long DBT UST US N 2 2029-01-15 Fixed 0.03500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 600000.00000000 NC USD -7048.62000000 -0.00015819692 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S17 PRC CORP CY885799 Y 2056-12-15 0.00000000 USD 5491.00000000 USD 600000.00000000 USD -1557.62000000 N N N REACH ABS TR 2026-1A N/A 75526XAB0 3100000.00000000 PA USD 3105956.03000000 0.069709063022 Long ABS-CBDO CORP US N 2 2033-02-15 Fixed 0.04370000 N N N N N N ARES COMMERCIAL MORTGAGE TRUST N/A 04021QAA7 1490000.00000000 PA USD 1490464.43000000 0.033451497020 Long ABS-MBS CORP US N 2 2043-02-15 Variable 0.04950000 N N N N N N SOFI CONSUMER LOAN PROGRAM TRUST N/A 83408AAB7 1800000.00000000 PA USD 1813296.06000000 0.040697024717 Long ABS-CBDO CORP US N 2 2035-12-26 Fixed 0.04440000 N N N N N N SOFI CONSUMER LOAN PROGRAM TRUST N/A 83408AAA9 15500000.00000000 PA USD 15509064.40000000 0.348080377582 Long ABS-CBDO CORP US N 2 2035-12-26 Fixed 0.04060000 N N N N N N CARMX 2026-1 N/A 14320XAD3 5600000.00000000 PA USD 5645064.88000000 0.126695993016 Long ABS-CBDO CORP US N 2 2031-03-17 Fixed 0.04040000 N N N N N N EXETER AUTOMOBILE RECEIVABLES TR 2026-1 N/A 30168HAC1 930000.00000000 PA USD 932265.95000000 0.020923472590 Long ABS-CBDO CORP US N 2 2030-03-15 Fixed 0.04030000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 2700000.00000000 NC USD -31718.79000000 -0.00071188616 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S17 PRC CORP CY885799 Y 2056-12-15 0.00000000 USD 20593.77000000 USD 2700000.00000000 USD -11125.02000000 N N N AFFIRM MASTER TRUST N/A 00833BAU2 7020000.00000000 PA USD 7060129.13000000 0.158455233015 Long ABS-CBDO CORP US N 2 2034-02-15 Fixed 0.04370000 N N N N N N DLLMT 2026-1 LLC N/A 23347JAB8 2675000.00000000 PA USD 2678736.44000000 0.060120686034 Long ABS-CBDO CORP US N 2 2028-07-20 Fixed 0.04030000 N N N N N N DLLMT 2026-1 LLC N/A 23347JAC6 1355000.00000000 PA USD 1364437.98000000 0.030623000525 Long ABS-CBDO CORP US N 2 2029-12-20 Fixed 0.04200000 N N N N N N PEAC SOLUTIONS RECEIVABLES 2026-1 LLC N/A 704583AC7 620000.00000000 PA USD 626475.59000000 0.014060413593 Long ABS-CBDO CORP US N 2 2033-07-20 Fixed 0.04390000 N N N N N N PEAC SOLUTIONS RECEIVABLES 2026-1 LLC N/A 704583AB9 2760000.00000000 PA USD 2766671.20000000 0.062094265076 Long ABS-CBDO CORP US N 2 2028-10-20 Fixed 0.04270000 N N N N N N EFF 2026-1 N/A 29376JAC7 4700000.00000000 PA USD 4741289.03000000 0.106411942927 Long ABS-CBDO CORP US N 2 2030-03-20 Fixed 0.04120000 N N N N N N EXTENDED STAY AMER TR 2026-ESH2 N/A 30227WAA1 7947000.00000000 PA USD 7949483.44000000 0.178415610769 Long ABS-MBS CORP US N 2 2043-02-15 Variable 0.04870000 N N N N N N EXTENDED STAY AMER TR 2026-ESH2 N/A 30227WAC7 528000.00000000 PA USD 528990.00000000 0.011872478841 Long ABS-MBS CORP US N 2 2043-02-15 Variable 0.05059650 N N N N N N PRESTON RIDGE PARTNERS MORTGAGE N/A 69383VAA1 5000000.00000000 PA USD 5043699.50000000 0.113199144777 Long ABS-CBDO CORP US N 2 2056-01-25 Variable 0.04845000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HPUB7 17398345.87000000 PA USD 17398333.69000000 0.390482520668 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04179240 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 26000000.00000000 NC USD 1158423.24000000 0.025999272965 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Put Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2037-01-25 0.00000000 USD 0.00000000 USD 26000000.00000000 USD 1.00000000 3.99600000 USD 2027-01-21 XXXX 512648.24000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 26000000.00000000 NC USD 318343.22000000 0.007144791288 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2037-01-25 0.00000000 USD 0.00000000 USD 26000000.00000000 USD 1.00000000 3.99600000 USD 2027-01-21 XXXX -327431.78000000 N N N AUTONATION FINANCE TRUST 2026-1 N/A 05330WAC3 2400000.00000000 PA USD 2413406.88000000 0.054165716021 Long ABS-CBDO CORP US N 2 2030-08-12 Fixed 0.04030000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 1797528.53800000 NC USD 9582.80000000 0.000215073234 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX AAA CDSI S16 PRC INDX CY873245 Y 2065-04-17 2643.89000000 USD 0.00000000 USD 1797528.54000000 USD 6938.91000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W4GW1 10614489.78400000 PA USD 11084236.15000000 0.248770977075 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W4GQ4 11318847.12100000 PA USD 11827015.82000000 0.265441681466 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W3JC4 25515041.85200000 PA USD 26636639.72000000 0.597824044838 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W3XF1 2941927.59600000 PA USD 3065733.62000000 0.068806324385 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSYQ9 433896.41100000 PA USD 452156.20000000 0.010148046120 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNHC1 4564123.20500000 PA USD 4830763.85000000 0.108420086573 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.06500000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 19700000.00000000 NC USD 841985.49000000 0.018897247423 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Put Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2037-01-28 0.00000000 USD 0.00000000 USD 19700000.00000000 USD 1.00000000 3.96400000 USD 2027-01-26 XXXX 377065.49000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 19700000.00000000 NC USD 258744.92000000 0.005807186502 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2037-01-28 0.00000000 USD 0.00000000 USD 19700000.00000000 USD 1.00000000 3.96400000 USD 2027-01-26 XXXX -206175.08000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W45B9 5983068.85000000 PA USD 6267108.46000000 0.140656936024 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PYB4 3499269.33400000 PA USD 3704520.38000000 0.083143045858 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B0DU9 283744.43000000 PA USD 300675.74000000 0.006748268135 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MMP3 11268040.00600000 PA USD 12014361.73000000 0.269646411900 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AKQL2 333585.41900000 PA USD 351134.85000000 0.007880755925 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B0P36 341960.06900000 PA USD 362429.29000000 0.008134244649 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PX66 16813708.11500000 PA USD 17838016.03000000 0.400350607548 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQP43 13283012.21000000 PA USD 14162792.60000000 0.317865092870 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133WGEA9 156829.31700000 PA USD 166873.61000000 0.003745256817 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BDZE3 452844.67600000 PA USD 481423.02000000 0.010804901073 Long ABS-MBS USGSE US N 2 2055-06-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140NM4F1 830400.05000000 PA USD 875240.91000000 0.019643621212 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B0NZ7 373765.63100000 PA USD 395163.38000000 0.008868917877 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AVVS7 292640.29400000 PA USD 308099.69000000 0.006914888845 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQRH2 10872085.54100000 PA USD 11507243.65000000 0.258264819290 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 30000000.00000000 NC USD 12744.00000000 0.000286022175 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S19 PRC CORP INDEX CZ039897 Y 2058-12-17 0.00000000 USD 44998.63000000 USD 30000000.00000000 USD 57742.63000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427RFR6 8043241.02600000 PA USD 8513135.21000000 0.191066027059 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W4QU4 15424972.39000000 PA USD 16326114.70000000 0.366417987743 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.06500000 N N N N N N BENCHMARK 2026-V20 MTG TR N/A 08164KAW0 5500000.00000000 PA USD 5737409.70000000 0.128768550005 Long ABS-MBS CORP US N 2 2059-02-15 Fixed 0.05184000 N N N N N N CSTL COMMERCIAL MORTGAGE TRUST 2026-GATE3 N/A 228920AA2 2000000.00000000 PA USD 2024342.20000000 0.045433675375 Long ABS-MBS CORP US N 2 2043-02-10 Variable 0.04694500 N N N N N N OPTN 2026-A N/A 68390VAA4 985000.00000000 PA USD 988152.00000000 0.022177760849 Long ABS-CBDO CORP US N 2 2034-01-09 Fixed 0.04320000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UR7 2160000.00000000 PA USD 2201175.00000000 0.049402453001 Long DBT UST US N 2 2056-02-15 Fixed 0.04750000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQA2 28948000.00000000 PA USD 29038462.50000000 0.651729771102 Long DBT UST US N 2 2029-02-15 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQ6C0 17700000.00000000 PA USD 17702653.23000000 0.397312569062 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.04179240 N N N N N N BANK5 2026-5YR20 N/A 06650JAG3 5400000.00000000 PA USD 5605034.22000000 0.125797557953 Long ABS-MBS CORP US N 2 2059-02-15 Fixed 0.05104000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 11600000.00000000 NC USD -14596.28000000 -0.00032759414 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S18 PRC INDX CZ030005 Y 2057-12-17 0.00000000 USD 28967.22000000 USD 11600000.00000000 USD 14370.94000000 N N N TOYOTA LEASE OWNER TR 2026-A N/A 89240MAB0 26025000.00000000 PA USD 26008627.67000000 0.583729147438 Long ABS-CBDO CORP US N 2 2028-02-22 Fixed 0.03700000 N N N N N N PLYM COMMERCIAL MORTGAGE TRUST 2026-IND N/A 69292BAC1 1303000.00000000 PA USD 1303815.68000000 0.029262413417 Long ABS-MBS CORP US N 2 2043-03-15 Variable 0.05200000 N N N N N N PLYM COMMERCIAL MORTGAGE TRUST 2026-IND N/A 69292BAA5 6465000.00000000 PA USD 6465000.00000000 0.145098349135 Long ABS-MBS CORP US N 2 2043-03-15 Variable 0.04900000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 20200000.00000000 NC USD 8580.96000000 0.000192588264 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S19 PRC CORP INDEX CZ039897 Y 2058-12-17 0.00000000 USD 25910.33000000 USD 20200000.00000000 USD 34491.29000000 N N N BX COMMERCIAL MORTGAGE TRUST 2026-XL6 N/A 12433NAA9 5679000.00000000 PA USD 5682572.09000000 0.127537792591 Long ABS-MBS CORP US N 2 2043-03-15 Variable 0.05000000 N N N N N N RKTL 2026-1A N/A 74990JAB1 1200000.00000000 PA USD 1200078.12000000 0.026934161491 Long ABS-CBDO CORP US N 2 2035-02-26 Fixed 0.04330000 N N N N N N NISSAN AUTO LEASE TR 2026-A N/A 65481HAD5 1960000.00000000 PA USD 1963447.25000000 0.044066969000 Long ABS-CBDO CORP US N 2 2029-03-15 Fixed 0.03870000 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1 N/A 80288FAC5 2925000.00000000 PA USD 2931152.74000000 0.065785835056 Long ABS-CBDO CORP US N 2 2030-07-15 Fixed 0.03930000 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2026-A N/A 142929AD0 715000.00000000 PA USD 716998.57000000 0.016092081800 Long ABS-CBDO CORP US N 2 2032-05-17 Fixed 0.03990000 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2026-A N/A 142929AB4 2170000.00000000 PA USD 2170308.57000000 0.048709696925 Long ABS-CBDO CORP US N 2 2029-12-17 Fixed 0.04030000 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1 N/A 81885FAB2 2000000.00000000 PA USD 2001398.40000000 0.044918732219 Long ABS-CBDO CORP US N 2 2029-08-20 Fixed 0.03910000 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1 N/A 81885FAD8 2300000.00000000 PA USD 2307114.82000000 0.051780131732 Long ABS-CBDO CORP US N 2 2031-07-21 Fixed 0.03960000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQDN8 19000000.00000000 PA USD 19005931.80000000 0.426562927758 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 0.04169240 N N N N N N CROSS 2026-NQM2 MTG TR N/A 227924AA5 3000000.00000000 PA USD 3000997.50000000 0.067353408044 Long ABS-CBDO CORP US N 2 2061-03-25 Variable 0.04735000 N N N N N N VCAT ASSET SECURITIZATION LLC N/A 921968AA1 3700000.00000000 PA USD 3699996.67000000 0.083041517188 Long ABS-CBDO CORP US N 2 2056-02-25 Variable 0.04987000 N N N N N N BARINGS ISSUER LLC 2026-SBP N/A 06764UAA4 3226000.00000000 PA USD 3230422.20000000 0.072502541102 Long ABS-MBS CORP US N 2 2059-02-25 Fixed 0.04820000 N N N N N N ANGEL OAK MORTGAGE TRUST 2026-2 N/A 03466LAA2 1600000.00000000 PA USD 1600000.00000000 0.035909877589 Long ABS-CBDO CORP US N 2 2071-02-25 Fixed 0.04684000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNUF8 28002425.86400000 PA USD 28498900.47000000 0.639620017071 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 800000.00000000 NC USD 64311.04000000 0.001443375983 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 60875.00000000 USD 0.00000000 USD 800000.00000000 USD 3436.04000000 N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 1300000.00000000 NC USD 104494.91000000 0.002345249641 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX BBB CDSI GEN PRC CORP INDEX CMBXBBB2 Y 2058-12-17 98718.75000000 USD 0.00000000 USD 1300000.00000000 USD 5776.16000000 N N N 2026-03-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer