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 2026-05-31 N 7507903533.90 3049504013.54 4458399520.36 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1944336629.97000000 0.00000000 0.00000000 0.00000000 USD N Bloomberg US Securitized Index 19910058 FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2GC9 6442855.88900000 PA USD 6763380.24000000 0.151699734604 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QN3S9 17794.43000000 PA USD 16873.16000000 0.000378457783 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJQ26 3658521.78000000 PA USD 3685488.01000000 0.082663924423 Long ABS-CBDO USGSE US N 2 2054-10-25 Variable 0.04862100 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMQ64 1008024.60600000 PA USD 854515.66000000 0.019166421853 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N BARINGS EQUIPMENT FINANCE LLC 2025-A N/A 06764MAB0 12648990.49000000 PA USD 12698564.41000000 0.284823384535 Long ABS-CBDO CORP US N 2 2028-10-13 Fixed 0.04640000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQNC9 397760.75300000 PA USD 403551.16000000 0.009051480428 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05112100 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDQS8 97065.37600000 PA USD 86346.94000000 0.001936725042 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N BX COML MTG TR 2024-XL4 N/A 05611VAA9 8909293.45000000 PA USD 8931203.18000000 0.200323078701 Long ABS-MBS CORP US N 2 2039-02-15 Variable 0.05069120 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A8Z62 140335.18600000 PA USD 149312.12000000 0.003349007178 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N BANK 2017-BNK8 N/A 06541XAD2 534275.91600000 PA USD 531229.80000000 0.011915257876 Long ABS-MBS CORP US N 2 2060-09-15 Fixed 0.03265000 N N N N N N HPEFS EQUIP TR 2024-2 N/A 40444MAE1 1764550.51000000 PA USD 1769879.45000000 0.039697641315 Long ABS-CBDO CORP US N 2 2031-10-20 Fixed 0.05360000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQCX5 1100000.00000000 PA USD 1096180.36000000 0.024586858019 Long ABS-MBS USGSE US N 2 2033-04-25 Variable 0.04497023 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QPZU4 14176489.42700000 PA USD 14167463.26000000 0.317770159343 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQ4Q7 2538359.15200000 PA USD 2172424.47000000 0.048726554452 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 3142GVZ79 320687.64100000 PA USD 344874.22000000 0.007735381686 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQSN0 1400000.00000000 PA USD 1395692.48000000 0.031304787146 Long ABS-MBS USGSE US N 2 2033-03-25 Variable 0.04475750 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MKV2 15108687.09000000 PA USD 15392627.67000000 0.345250074599 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 3140XL6X1 4337935.51400000 PA USD 3704436.86000000 0.083088939048 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 3140QVLA0 3618584.57700000 PA USD 3694109.14000000 0.082857292692 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 31427MUS8 10833810.11200000 PA USD 9930968.05000000 0.222747378395 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.03500000 N N N N N N ARI FLEET LEASE TRUST 2025-A N/A 04033CAB2 332938.97000000 PA USD 333243.61000000 0.007474512063 Long ABS-CBDO CORP US N 2 2034-01-17 Fixed 0.04380000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B0P36 340848.72900000 PA USD 359507.81000000 0.008063606869 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06500000 N N N N N N LONDON CLEARING HOUSE N/A N/A 27590000.00000000 NC USD -310426.18000000 -0.00696272683 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2036-06-17 0.00000000 USD 0.00000000 USD 27235465.24000000 USD -310426.18000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XASY9 3417297.31100000 PA USD 2770387.55000000 0.062138611341 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABE65 6692082.60000000 PA USD 5744574.05000000 0.128848346223 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 0.02500000 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2023-1 N/A 68269JAE1 8863000.00000000 PA USD 9031561.85000000 0.202574080872 Long ABS-CBDO CORP US N 2 2038-06-14 Fixed 0.05500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BHKG3 3361434.78800000 PA USD 2968342.22000000 0.066578650173 Long ABS-CBDO USGSE US N 2 2041-05-25 Fixed 0.01000000 N N N N N N UPX HIL 2025-1 ISSUER TR N/A 916925AB6 600000.00000000 PA USD 597296.28000000 0.013397100849 Long ABS-CBDO CORP US N 2 2047-01-25 Fixed 0.06070000 N N N N N N BANK 2017-BNKS N/A 06541WAW2 364622.62100000 PA USD 360947.55000000 0.008095899623 Long ABS-MBS CORP US N 2 2060-06-15 Fixed 0.03131000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DQGL4 27742355.72200000 PA USD 22473263.97000000 0.504065727339 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 36268GAD7 3181792.37000000 PA USD 3193131.64000000 0.071620581004 Long ABS-CBDO CORP US N 2 2028-12-18 Fixed 0.04850000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140NFBH4 20815.73400000 PA USD 22324.53000000 0.000500729687 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTRW2 783222.98700000 PA USD 824997.52000000 0.018504342561 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.06500000 N N N N N N EXETER AUTOMOBILE RECEIVABLES TR 2026-1 N/A 30168HAC1 930000.00000000 PA USD 926674.88000000 0.020784922386 Long ABS-CBDO CORP US N 2 2030-03-15 Fixed 0.04030000 N N N N N N EXTENDED STAY AMER TR 2026-ESH2 N/A 30227WAC7 861029.80000000 PA USD 864258.66000000 0.019384953188 Long ABS-MBS CORP US N 2 2043-02-15 Variable 0.05027090 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YENY9 21464.08000000 PA USD 19962.88000000 0.000447758885 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N OBX 2025-NQM10 N/A 67121LAA4 4052586.24000000 PA USD 4068840.76000000 0.091262363128 Long ABS-CBDO CORP US N 2 2065-05-25 Variable 0.05453000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLK9 389820.75200000 PA USD 333623.45000000 0.007483031712 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132AEVX1 467471.31600000 PA USD 430851.67000000 0.009663819225 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 3140XNL77 1676007.69500000 PA USD 1556762.93000000 0.034917528653 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 3140XKQL7 7564154.51700000 PA USD 7147181.26000000 0.160308227814 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.02500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030660 -175000.00000000 PA USD -152906.25000000 -0.00342962198 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CFJ8 5542790.60500000 PA USD 5327641.09000000 0.119496717727 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.02500000 N N N N N N RCKT TRUST 2025-1A N/A 74939RAA9 304532.63000000 PA USD 305080.42000000 0.006842823721 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 3132CXTH5 5373728.65000000 PA USD 5531029.51000000 0.124058633254 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 0.06000000 N N N N N N BMO 2024-5C5 MTG TR N/A 05593RAC6 1000000.00000000 PA USD 1029232.20000000 0.023085239339 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 3140L05E3 18716.13900000 PA USD 15266.67000000 0.000342424897 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N BX TR 2021-ACNT N/A 05609QAA4 461737.18700000 PA USD 462003.52000000 0.010362541936 Long ABS-MBS CORP US N 2 2038-11-15 Variable 0.04591480 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9GT5 18960.09800000 PA USD 16931.19000000 0.000379759371 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XADW9 340517.04200000 PA USD 278609.51000000 0.006249092498 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABKS0 20295.56800000 PA USD 17339.54000000 0.000388918487 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 0.02500000 N N N N N N DELL EQUIPMENT FINANCE TRUST 24-1 N/A 24702GAE5 1064195.44000000 PA USD 1068905.04000000 0.023975084222 Long ABS-CBDO CORP US N 2 2030-03-22 Fixed 0.05390000 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1 N/A 68270DAA9 11900000.00000000 PA USD 11927672.26000000 0.267532602350 Long ABS-CBDO CORP US N 2 2038-07-14 Fixed 0.04820000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8WP2 7472834.76400000 PA USD 7419930.08000000 0.166425867536 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04262100 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 13890000.00000000 NC USD 786730.71000000 0.017646034331 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 2041-05-29 0.00000000 USD 0.00000000 USD 13890000.00000000 USD 1.00000000 4.50900000 USD 2031-05-27 XXXX -40418.79000000 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0MB8 1251185.56700000 PA USD 1022932.41000000 0.022943937736 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 31427C5Y5 47206.53400000 PA USD 50604.63000000 0.001135040271 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WNF1 38188.68400000 PA USD 34016.57000000 0.000762977159 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A3RT2 280965.95700000 PA USD 300115.28000000 0.006731457749 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 3140X92S3 994670.94800000 PA USD 817254.48000000 0.018330669476 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 3140A6MK9 528709.41500000 PA USD 563959.00000000 0.012649359875 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 3140XLFA1 15874054.77200000 PA USD 14630551.17000000 0.328157023685 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03500000 N N N N N N DLLAD 2023-1A N/A 233258AC6 1330248.59000000 PA USD 1333223.96000000 0.029903644882 Long ABS-CBDO CORP US N 2 2028-01-20 Fixed 0.04790000 N N N N N N ACHV ABS TRUST 2024-3AL N/A 00092KAA2 33209.21000000 PA USD 33387.02000000 0.000748856621 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 3140QNSX1 3742275.63600000 PA USD 3313832.23000000 0.074327843766 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XF5A5 16921.52400000 PA USD 14878.46000000 0.000333717513 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133L8NJ0 1560501.83700000 PA USD 1441807.73000000 0.032339132538 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.02000000 N N N N N N GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1 N/A 36271NAB1 500000.00000000 PA USD 500192.95000000 0.011219114566 Long ABS-CBDO CORP US N 2 2037-12-11 Fixed 0.04800000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNWV6 3000000.00000000 PA USD 2967614.10000000 0.066562318752 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.04165000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5A33 1474535.01600000 PA USD 1459695.30000000 0.032740343105 Long ABS-MBS USGA US N 2 2054-11-20 Fixed 0.05000000 N N N N N N ONSLOW BAY FINANCIAL N/A 67124FAA4 3507727.83000000 PA USD 3500581.19000000 0.078516543302 Long ABS-CBDO CORP US N 2 2066-02-25 Variable 0.05082000 N N N N N N EART 2025-5A N/A 30166VAE8 10600000.00000000 PA USD 10600698.54000000 0.237769147686 Long ABS-CBDO CORP US N 2 2029-11-15 Fixed 0.04240000 N N N N N N PRPM 2025-RCF5 LLC N/A 69384AAA6 1020163.37000000 PA USD 1015749.84000000 0.022782835754 Long ABS-CBDO CORP US N 2 2055-10-25 Fixed 0.04839000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FUE91 2267398.40300000 PA USD 2180007.65000000 0.048896641946 Long ABS-CBDO USGSE US N 2 2044-01-25 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WG36 1936336.31200000 PA USD 1659151.71000000 0.037214065325 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H050664 -68250000.00000000 PA USD -67414469.85000000 -1.51207781048 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5C72 3740102.66300000 PA USD 3833087.23000000 0.085974511985 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 0.06000000 N N N N N N MSRM 2025-NQM3 N/A 61778LAA3 1542076.96600000 PA USD 1548143.34000000 0.034724194925 Long ABS-CBDO CORP US N 2 2070-05-25 Variable 0.05530000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QPHP5 2738654.75700000 PA USD 2522408.93000000 0.056576556642 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 3133CJKZ3 26434.29500000 PA USD 28276.82000000 0.000634237014 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H4UB4 3717533.36400000 PA USD 3325564.45000000 0.074590992458 Long ABS-CBDO USGSE US N 2 2048-06-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDS49 182359.39600000 PA USD 149262.62000000 0.003347896914 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 3140QRYK3 45589.06100000 PA USD 48920.58000000 0.001097267747 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBKY5 18528.86300000 PA USD 16338.06000000 0.000366455718 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.03000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0L94 15598104.04600000 PA USD 13329954.10000000 0.298985186032 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 3136BVFK9 8379102.75000000 PA USD 8454382.28000000 0.189628189250 Long ABS-CBDO USGSE US N 2 2055-03-25 Variable 0.05012100 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FCJK1 3900000.00000000 PA USD 3851377.53000000 0.086384755614 Long ABS-MBS USGSE US N 2 2027-11-25 Fixed 0.03303000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQN4 7970000.00000000 PA USD 7895281.25000000 0.177087791570 Long DBT UST US N 2 2033-04-30 Fixed 0.04125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XFC5 128040.88600000 PA USD 105248.74000000 0.002360684355 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DYX4 4283605.15000000 PA USD 3460651.78000000 0.077620943663 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJEZ6 4927020.77000000 PA USD 4961474.93000000 0.111283766906 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04762100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133BE7E7 154446.72400000 PA USD 147126.24000000 0.003299978822 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DY22 20146503.82000000 PA USD 18138294.28000000 0.406834205798 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.01500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -29000000.00000000 NC USD -1714855.55000000 -0.03846347870 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written 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 2041-05-07 0.00000000 USD 0.00000000 USD -29000000.00000000 USD 1.00000000 4.45000000 USD 2031-05-05 XXXX 65744.45000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KM4Y8 283649.00900000 PA USD 231105.30000000 0.005183593326 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA N/A 44989YAA6 1637000.00000000 PA USD 1636743.65000000 0.036711462095 Long ABS-MBS CORP US N 2 2037-11-05 Variable 0.04878830 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BKCE2 57370.03800000 PA USD 61499.73000000 0.001379412717 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XFF8 6465295.60500000 PA USD 5884785.76000000 0.131993235086 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 3140XTDR9 7596029.14000000 PA USD 6924466.48000000 0.155312830274 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 3140QVMP6 4347696.57000000 PA USD 4401754.96000000 0.098729486666 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.05500000 N N N N N N HILTON USA TR 2016-HHV N/A 43300LAG5 1456000.00000000 PA USD 1453119.45000000 0.032592849594 Long ABS-MBS CORP US N 2 2038-11-05 Variable 0.04333283 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRU94 1090801.55100000 PA USD 892829.80000000 0.020025791675 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N ONEMAIN FINL ISSUANCE TR 2020-2 N/A 682696AA7 6541646.67000000 PA USD 6467012.37000000 0.145052329663 Long ABS-CBDO CORP US N 2 2035-09-14 Fixed 0.01750000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050668 -103900000.00000000 PA USD -102260333.32000000 -2.29365566843 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B97A6 282991.09200000 PA USD 269144.54000000 0.006036797258 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 3140XKDX5 17153.22500000 PA USD 16945.59000000 0.000380082357 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCGT9 107159.13700000 PA USD 87275.28000000 0.001957547312 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 CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8P62 2169887.79400000 PA USD 2150718.79000000 0.048239705306 Long ABS-CBDO USGSE US N 2 2052-08-25 Variable 0.04282100 N N N N N N ALA TRUST 2025-OANA N/A 009920AA7 17948000.00000000 PA USD 18020913.75000000 0.404201410566 Long ABS-MBS CORP US N 2 2040-06-15 Variable 0.05370630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDY67 4348195.04100000 PA USD 3707762.87000000 0.083163540034 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUBP7 6238595.79000000 PA USD 6468882.32000000 0.145094271844 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 700000.00000000 NC USD 106024.52000000 0.002378084770 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 101452.17000000 USD 0.00000000 USD 700000.00000000 USD 4572.35000000 N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 2100000.00000000 NC USD -5840.31000000 -0.00013099566 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 2673.19000000 USD 2100000.00000000 USD -3167.12000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPRT7 952440.00000000 PA USD 776901.02000000 0.017425558576 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 3140QTVE6 2680817.41700000 PA USD 2878399.56000000 0.064561274664 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTEA0 614886.59600000 PA USD 651400.78000000 0.014610641711 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 3140A5SJ8 309226.09400000 PA USD 329253.03000000 0.007385005056 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 3140W2JJ1 17626093.94900000 PA USD 15101607.22000000 0.338722610009 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H052678 206125000.00000000 PA USD 207059776.88000000 4.644262496764 Long ABS-MBS USGA US N 2 2056-07-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNS52 11253398.72200000 PA USD 10024810.04000000 0.224852214213 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.03000000 N N N N N N BANK 2017-BNK8 N/A 06650AAD9 2506122.46800000 PA USD 2464065.47000000 0.055267937715 Long ABS-MBS CORP US N 2 2050-11-15 Fixed 0.03229000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L5G26 1312218.18900000 PA USD 1078161.77000000 0.024182708729 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 3132DM2S3 1396995.20800000 PA USD 1140395.83000000 0.025578592156 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N CFMT 2024-HB15 LLC N/A 15723AAA9 45749.39000000 PA USD 45599.92000000 0.001022786759 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 3140XHKK2 3973660.37500000 PA USD 3506308.64000000 0.078645007563 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.03000000 N N N N N N PRPM 2025-RCF3 LLC N/A 69392PAA3 1772807.48000000 PA USD 1772988.84000000 0.039767383607 Long ABS-CBDO CORP US N 2 2055-07-25 Variable 0.05250000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F4D41 3661396.85000000 PA USD 3622259.81000000 0.081245742860 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 0.03600000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CKX8 5000.00000000 PA USD 5027.13000000 0.000112756382 Long DBT UST US N 2 2029-06-30 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DMYM1 1236188.29800000 PA USD 1016465.72000000 0.022798892637 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 3140W2VD0 5392404.45400000 PA USD 4621765.69000000 0.103664233519 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 3140QN7A4 2702578.04400000 PA USD 2490025.42000000 0.055850208323 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.03500000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GCP0 2700000.00000000 PA USD 2684575.98000000 0.060213894419 Long ABS-CBDO CORP US N 2 2040-09-18 Fixed 0.04080000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MN72 5342313.52300000 PA USD 4567147.04000000 0.102439160491 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N CROSS 2025-H4 MTG TR N/A 22790AAA3 6453118.77000000 PA USD 6492295.01000000 0.145619408497 Long ABS-CBDO CORP US N 2 2070-06-25 Variable 0.05596000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVRW6 781391.53400000 PA USD 812982.26000000 0.018234845403 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 3140XBJ68 6883759.92000000 PA USD 5912895.76000000 0.132623730399 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 3136BBQT2 910490.35200000 PA USD 848428.87000000 0.019029897749 Long ABS-CBDO USGSE US N 2 2043-05-25 Fixed 0.02000000 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2026-A N/A 142929AD0 715000.00000000 PA USD 708799.95000000 0.015898080617 Long ABS-CBDO CORP US N 2 2032-05-17 Fixed 0.03990000 N N N N N N EFF 2026-1 N/A 29376JAC7 4700000.00000000 PA USD 4667886.31000000 0.104698699357 Long ABS-CBDO CORP US N 2 2030-03-20 Fixed 0.04120000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRML6 10113023.44500000 PA USD 9120755.83000000 0.204574663808 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 3132E06X5 1095029.80600000 PA USD 1171886.22000000 0.026284908174 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 3132DV6Q3 40216.30700000 PA USD 32578.04000000 0.000730711544 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 3140XQVC8 6803379.64300000 PA USD 6043612.90000000 0.135555660106 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.03000000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 19700000.00000000 NC USD 498641.28000000 0.011184311269 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 33721.28000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GS5P9 9293624.87300000 PA USD 9452743.81000000 0.212021012626 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.05500000 N N N N N N ENTERPRISE FLEET FINANCING 2024-4 LLC N/A 29374MAC2 340000.00000000 PA USD 341222.50000000 0.007653475163 Long ABS-CBDO CORP US N 2 2028-11-20 Fixed 0.04560000 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2026-XL6 N/A 12433NAA9 5396873.24000000 PA USD 5390127.15000000 0.120898253406 Long ABS-MBS CORP US N 2 2043-03-15 Variable 0.04827090 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XCR72 1834097.57700000 PA USD 1698820.23000000 0.038103813313 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FUAS3 12163812.21100000 PA USD 10162029.45000000 0.227929987063 Long ABS-CBDO USGSE US N 2 2050-07-25 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AKQL2 330274.96900000 PA USD 346765.76000000 0.007777808121 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06500000 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2026-A N/A 142929AB4 2170000.00000000 PA USD 2165944.70000000 0.048581215974 Long ABS-CBDO CORP US N 2 2029-12-17 Fixed 0.04030000 N N N N N N EXTENDED STAY AMERICA TRUST 2025-ESH N/A 30227TAC4 958317.67000000 PA USD 960413.99000000 0.021541676236 Long ABS-MBS CORP US N 2 2042-10-15 Variable 0.05227090 N N N N N N SHOPS COML MTG TR 2026-CSTL N/A 82510YAA4 3073000.00000000 PA USD 3055882.78000000 0.068542147603 Long ABS-MBS CORP US N 2 2039-05-05 Variable 0.04970880 N N N N N N PEAC SOLUTIONS RECEIVABLES 2025-1 LLC N/A 69392HAB9 613278.18000000 PA USD 615699.95000000 0.013809887319 Long ABS-CBDO CORP US N 2 2028-10-20 Fixed 0.04940000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3622ADQ27 4626668.24500000 PA USD 4581189.95000000 0.102754136974 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM2T1 81661.73900000 PA USD 66764.23000000 0.001497493207 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 3140XLTZ1 3727418.74400000 PA USD 3865009.70000000 0.086690519374 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 3140BKUM4 65904.34800000 PA USD 70694.71000000 0.001585652198 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KKQG7 44037.43900000 PA USD 35632.15000000 0.000799213929 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N AUTONATION FINANCE TRUST 2025-1 N/A 05330QAB8 422402.32000000 PA USD 422707.72000000 0.009481153899 Long ABS-CBDO CORP US N 2 2028-04-10 Fixed 0.04720000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140NPMP2 250148.45000000 PA USD 268811.65000000 0.006029330677 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.07000000 N N N N N N VERUS 2025-4 N/A 92540UAC1 11113052.85200000 PA USD 11160999.01000000 0.250336448293 Long ABS-CBDO CORP US N 2 2070-05-25 Fixed 0.05448000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CJKC4 33417.54300000 PA USD 35773.97000000 0.000802394891 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N UPG HI 2025-2 ISSUER TR N/A 90321EAA0 5242846.54000000 PA USD 5228509.98000000 0.117273249203 Long ABS-CBDO CORP US N 2 2047-09-25 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QADB3 10456.25000000 PA USD 10226.40000000 0.000229373791 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 700000.00000000 NC USD 106024.52000000 0.002378084770 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 48506.63000000 USD 0.00000000 USD 700000.00000000 USD 57517.89000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427JJ82 87809.54400000 PA USD 93599.41000000 0.002099394851 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GCE5 8642053.59000000 PA USD 8672675.84000000 0.194524420711 Long ABS-CBDO CORP US N 2 2040-01-18 Fixed 0.04570000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7VJ5 2332776.02800000 PA USD 2150036.62000000 0.048224404524 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179Y5D2 183754.31400000 PA USD 150858.18000000 0.003383684645 Long ABS-MBS USGA US N 2 2054-07-20 Fixed 0.02000000 N N N N N N VERUS SECURITIZATION TR 2026-R2 N/A 92541GAD9 3098685.39000000 PA USD 3104677.32000000 0.069636588327 Long ABS-CBDO CORP US N 2 2067-10-25 Variable 0.05282000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVRY2 5228755.93800000 PA USD 5430344.35000000 0.121800308052 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 18500000.00000000 NC USD -70688.50000000 -0.00158551291 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S18 PRC INDX CZ030005 Y 2057-12-17 33545.83000000 USD 0.00000000 USD 18500000.00000000 USD -104234.33000000 N N N CARVANA AUTO RECEIVABLES TRUST 2024-N2 N/A 14687VAC6 3929124.02000000 PA USD 3932929.77000000 0.088213937580 Long ABS-CBDO CORP US N 2 2028-07-10 Fixed 0.05710000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6TH6 40781.74900000 PA USD 41110.40000000 0.000922088740 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 3133AJFA6 26665.05800000 PA USD 21750.57000000 0.000487856009 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N OPORTUN FUNDING TRUST 2025-1 N/A 68377PAA4 271123.06000000 PA USD 271177.96000000 0.006082406001 Long ABS-CBDO CORP US N 2 2032-08-16 Fixed 0.04960000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 350000.00000000 NC USD -77552.89000000 -0.00173947825 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX BB CDSI S17 PRC CORP CY885801 Y 2056-12-15 0.00000000 USD 73509.88000000 USD 350000.00000000 USD -4043.01000000 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6JS3 158554.88600000 PA USD 170240.73000000 0.003818426976 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.07000000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 1300000.00000000 NC USD 88767.77000000 0.001991023226 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX BBB- CDSI S19 PRC CORP INDEX CZ039900 Y 2058-12-17 97985.24000000 USD 0.00000000 USD 1300000.00000000 USD -9217.47000000 N N N DELL EQUIPMENT FINANCE TRUST 2025-2 N/A 24703VAC5 15300000.00000000 PA USD 15301000.62000000 0.343194918941 Long ABS-CBDO CORP US N 2 2028-02-22 Fixed 0.04100000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133D4Z22 99698.28000000 PA USD 105955.81000000 0.002376543634 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5A25 32215110.55000000 PA USD 31069512.23000000 0.696875910023 Long ABS-MBS USGA US N 2 2054-11-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B0DU9 242698.85000000 PA USD 256030.42000000 0.005742653138 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050460 -22775000.00000000 PA USD -22892432.46000000 -0.51346749781 Short ABS-MBS USGA US N 2 2041-06-01 Fixed 0.05000000 N N N N N N BENCHMARK 2024-V9 MORTGAGE TRUST N/A 081919AN2 5400000.00000000 PA USD 5519332.98000000 0.123796285074 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 0.05601900 N N N N N N WELLS FARGO COML MTG TR 2018-C47 N/A 95002DBA6 1531750.15700000 PA USD 1528711.16000000 0.034288339414 Long ABS-MBS CORP US N 2 2061-09-15 Fixed 0.04365000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AAJX1 29711.82200000 PA USD 24068.67000000 0.000539850004 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N FORD CR FLOORPLN MAST OWN TR A 5493001DTG5N7T8BG747 34528QJB1 2400000.00000000 PA USD 2406787.68000000 0.053983221310 Long ABS-CBDO CORP US N 2 2029-04-15 Variable 0.04392850 N N N N N N BANK5 2026-5YR21 N/A 06644BAM6 900000.00000000 PA USD 923875.47000000 0.020722132814 Long ABS-MBS CORP US N 2 2059-04-15 Fixed 0.05844000 N N N N N N TCO COML MTG TR 2024-DPM N/A 87231EAA5 9227000.00000000 PA USD 9232775.18000000 0.207087210059 Long ABS-MBS CORP US N 2 2039-12-15 Variable 0.04870000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AVVS7 291905.05400000 PA USD 306311.27000000 0.006870431162 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 3140XNWY6 2252947.62700000 PA USD 2412658.41000000 0.054114899281 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 15730000.00000000 NC USD 940531.94000000 0.021095730333 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 2041-04-02 0.00000000 USD 0.00000000 USD 15730000.00000000 USD 1.00000000 4.37300000 USD 2031-03-31 XXXX -20571.06000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y8TK2 4593094.88900000 PA USD 4787759.44000000 0.107387402545 Long ABS-MBS USGSE US N 2 2056-04-01 Fixed 0.06000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UQ9 2390000.00000000 PA USD 2283943.75000000 0.051227884346 Long DBT UST US N 2 2045-11-15 Fixed 0.04625000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142JCB74 5800210.92700000 PA USD 5741401.43000000 0.128777185709 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG5F7 3421231.63600000 PA USD 3301954.50000000 0.074061431348 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CPT2 40730000.00000000 PA USD 40181099.71000000 0.901244931651 Long DBT UST US N 2 2029-01-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140ACAL7 70793.56100000 PA USD 75388.44000000 0.001690930560 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.07000000 N N N N N N SCLP 2025-1 N/A 83406YAA9 3425552.07000000 PA USD 3434801.06000000 0.077041123037 Long ABS-CBDO CORP US N 2 2034-02-27 Fixed 0.04800000 N N N N N N ONEMAIN FINL ISSUANCE TR 2019-2 N/A 68269BAA6 27800000.00000000 PA USD 27449341.92000000 0.615677033757 Long ABS-CBDO CORP US N 2 2036-10-14 Fixed 0.03140000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AC7D6 3184974.92100000 PA USD 3232503.35000000 0.072503671670 Long ABS-MBS USGA US N 2 2054-03-20 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUHG4 41647.55500000 PA USD 42152.38000000 0.000945459907 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.05500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQD6 10010000.00000000 PA USD 9740199.27000000 0.218468516011 Long DBT UST US N 2 2031-02-28 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVL60 3678828.19900000 PA USD 3007701.41000000 0.067461460020 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 3140W2N80 14362686.84800000 PA USD 12256227.91000000 0.274901965470 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N BX TRUST 2025-ROIC N/A 05593VAG8 627534.47000000 PA USD 625182.66000000 0.014022580460 Long ABS-MBS CORP US N 2 2030-03-15 Variable 0.05020570 N N N N N N BMO 2025-5C9 MTG TR N/A 096933AE6 12992690.32000000 PA USD 316694.23000000 0.007103316527 Long ABS-MBS CORP US N 2 2058-04-15 Variable 0.00922841 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBQ37 4390654.03200000 PA USD 3749456.53000000 0.084098711048 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 3140XJM67 23010707.34400000 PA USD 20563233.29000000 0.461224553701 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31426TS32 42662.03100000 PA USD 45839.65000000 0.001028163801 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.07000000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 33200000.00000000 NC USD 1137334.39000000 0.025509925362 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 -143189.61000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFAC5 15695.90800000 PA USD 13840.06000000 0.000310426643 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HB2L7 3600000.00000000 PA USD 3593950.56000000 0.080610778455 Long ABS-MBS USGSE US N 2 2030-10-25 Fixed 0.04400000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBH5 481374.99100000 PA USD 388894.67000000 0.008722741607 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H6ZM0 21200000.00000000 PA USD 18877459.44000000 0.423413365127 Long ABS-MBS USGSE US N 2 2032-02-25 Fixed 0.02250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AHRR5 110617.89900000 PA USD 119271.92000000 0.002675218303 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31425WLC3 35688.72800000 PA USD 38322.97000000 0.000859567874 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.07000000 N N N N N N CFMT 2025-HB16 N/A 12531BAA6 286829.02000000 PA USD 282802.26000000 0.006343134093 Long ABS-CBDO CORP US N 2 2035-03-25 Variable 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBL24 75494.95600000 PA USD 68323.48000000 0.001532466520 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XMNV4 415424.26900000 PA USD 335614.20000000 0.007527683386 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02000000 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 N/A 78397XAC8 373789.48000000 PA USD 376482.52000000 0.008444342376 Long ABS-CBDO CORP US N 2 2029-11-20 Fixed 0.05330000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F85N9 1792868.14800000 PA USD 1382105.92000000 0.031000046399 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 3133W9MN8 63625.62200000 PA USD 68282.16000000 0.001531539730 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVKQ7 4928323.88400000 PA USD 4548421.08000000 0.102019145193 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03500000 N N N N N N PRPM 2024-RCF6 LLC N/A 74390FAA7 1285708.33000000 PA USD 1264060.22000000 0.028352331688 Long ABS-CBDO CORP US N 2 2064-10-25 Variable 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DES7 15282672.59000000 PA USD 13561654.15000000 0.304182119347 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRMK8 4151431.39700000 PA USD 3737615.47000000 0.083833121121 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BQ4N8 36761.27800000 PA USD 39031.25000000 0.000875454292 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUGA2 1947495.62300000 PA USD 1959544.39000000 0.043951745038 Long ABS-CBDO USGSE US N 2 2054-06-25 Variable 0.04812100 N N N N N N KUBOTA CREDIT OWNER TRUST 2024-2 N/A 50117DAB2 2336.85000000 PA USD 2338.29000000 0.000052446847 Long ABS-CBDO CORP US N 2 2027-04-15 Fixed 0.05450000 N N N N N N AFFIRM ASSET SECURITIZATION TR 2025-X1 N/A 00834MAB9 573981.06000000 PA USD 574389.39000000 0.012883309074 Long ABS-CBDO CORP US N 2 2030-04-15 Fixed 0.05190000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABFG2 3132691.17300000 PA USD 2689144.39000000 0.060316361907 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140APCY8 147457.01400000 PA USD 158248.89000000 0.003549455118 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FBBX3 9800000.00000000 PA USD 9690999.50000000 0.217364986151 Long ABS-MBS USGSE US N 2 2027-08-25 Fixed 0.03244000 N N N N N N ARES COMMERCIAL MORTGAGE TRUST N/A 04021QAA7 1490000.00000000 PA USD 1490467.26000000 0.033430545046 Long ABS-MBS CORP US N 2 2043-02-15 Variable 0.04877090 N N N N N N BHG SECURITIZATION TR 2026-1CON N/A 05494TAA6 2200000.00000000 PA USD 2189827.20000000 0.049116890265 Long ABS-CBDO CORP US N 2 2036-06-17 Fixed 0.04810000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UF3 34870000.00000000 PA USD 33442509.38000000 0.750101224156 Long DBT UST US N 2 2044-11-15 Fixed 0.04625000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427SMD7 19168686.49000000 PA USD 17601203.57000000 0.394787490210 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3622ADP28 3340706.37800000 PA USD 3394734.62000000 0.076142449874 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 3140XLTR9 557313.16200000 PA USD 516568.00000000 0.011586399954 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.03500000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 400000.00000000 NC USD 31825.76000000 0.000713838225 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 28101.71000000 USD 0.00000000 USD 400000.00000000 USD 3724.05000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMNF7 1303798.06700000 PA USD 1242306.13000000 0.027864396726 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 3140XQHN0 716477.18800000 PA USD 578829.74000000 0.012982904231 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UR7 2160000.00000000 PA USD 2081700.00000000 0.046691643279 Long DBT UST US N 2 2056-02-15 Fixed 0.04750000 N N N N N N BBCMS MTG TR 2020-C7 N/A 05492VAF2 4675000.00000000 PA USD 4211978.65000000 0.094472884961 Long ABS-MBS CORP US N 2 2053-04-15 Fixed 0.02037000 N N N N N N WELLS FARGO COML MTG TR 2024-GRP N/A 95003YAC6 2500000.00000000 PA USD 2491551.75000000 0.055884443254 Long ABS-MBS CORP US N 2 2041-10-15 Variable 0.05917700 N N N N N N FED HOME LN MTG CORP MTN S6XOOCT0IEG5ABCC6L87 31425X2S7 42981.78100000 PA USD 45968.31000000 0.001031049590 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MJ2 302818.39200000 PA USD 323338.79000000 0.007252351174 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 3133KGNJ3 82034.65700000 PA USD 73257.98000000 0.001643145251 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03000000 N N N N N N SBNA AUTO LEASE TRUST 2024-A N/A 78414SAG9 4597361.17000000 PA USD 4601083.19000000 0.103200333863 Long ABS-CBDO CORP US N 2 2029-01-22 Fixed 0.05240000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRZH1 3812893.67000000 PA USD 3251304.38000000 0.072925370755 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTD23 5524467.54000000 PA USD 5841740.47000000 0.131027747587 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.06500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030660 175000.00000000 PA USD 152906.25000000 0.003429621982 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DYT3 6099852.01300000 PA USD 5463223.88000000 0.122537781889 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.01500000 N N N N N N GS MTG SECS TR 2019-GSA1 N/A 36261PAT9 100000.00000000 PA USD 94747.58000000 0.002125147815 Long ABS-MBS CORP US N 2 2052-11-10 Fixed 0.03047900 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KKS75 709713.72500000 PA USD 608952.54000000 0.013658545790 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVFQ2 2062107.48900000 PA USD 2212800.53000000 0.049632172260 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 3140XCZ68 960290.83400000 PA USD 821853.48000000 0.018433823084 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 3140Y6DW7 7134158.18700000 PA USD 7409207.09000000 0.166185355443 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 800000.00000000 NC USD 112527.52000000 0.002523944287 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 111776.36000000 USD 0.00000000 USD 800000.00000000 USD 751.16000000 N N N DLLMT 2026-1 LLC N/A 23347JAC6 1355000.00000000 PA USD 1348248.71000000 0.030240643617 Long ABS-CBDO CORP US N 2 2029-12-20 Fixed 0.04200000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133L8EX9 43054039.37800000 PA USD 38896943.69000000 0.872441859738 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.01500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180AB36 1207609.91100000 PA USD 991420.69000000 0.022237143294 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEA69 147930.57200000 PA USD 127066.90000000 0.002850056380 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02500000 N N N N N N BANK 2021-BNK33 N/A 06541CBL9 3325548.00000000 PA USD 2995838.54000000 0.067195380905 Long ABS-MBS CORP US N 2 2064-05-15 Fixed 0.02556000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRM28 9526612.57800000 PA USD 8435935.47000000 0.189214435168 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -9600000.00000000 NC USD -536556.96000000 -0.01203474380 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written 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 2041-03-24 0.00000000 USD 0.00000000 USD -9600000.00000000 USD 1.00000000 4.36000000 USD 2031-03-20 XXXX 73043.04000000 N N N WORLD OMNI AUTO RECEIVABLES TR 2023-B N/A 98164QAD0 406.00000000 PA USD 406.58000000 0.000009119416 Long ABS-CBDO CORP US N 2 2028-05-15 Fixed 0.04660000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SSP3 8550234.30100000 PA USD 7722998.28000000 0.173223558021 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 0.03000000 N N N N N N CARMAX AUTO OWNER TRUST 2024-4 N/A 14290DAC5 6800000.00000000 PA USD 6826579.16000000 0.153117259429 Long ABS-CBDO CORP US N 2 2029-10-15 Fixed 0.04600000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSD33 4492179.33100000 PA USD 4731777.35000000 0.106131748139 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 3136BBB76 471065.51000000 PA USD 435638.75000000 0.009771191388 Long ABS-CBDO USGSE US N 2 2045-09-25 Fixed 0.02000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032666 -7600000.00000000 PA USD -6911843.56000000 -0.15502970356 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUWL0 2940616.65000000 PA USD 2966185.90000000 0.066530284835 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.05012100 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HKGX6 17372984.28500000 PA USD 17571043.26000000 0.394111007319 Long ABS-CBDO USGSE US N 2 2055-03-25 Variable 0.04962100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNFX6 17760.77600000 PA USD 15616.39000000 0.000350268968 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KLVJ3 16153069.89400000 PA USD 13160842.92000000 0.295192094380 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N ANGEL OAK MORTGAGE TRUST 2026-2 N/A 03466LAA2 1554633.75000000 PA USD 1533500.68000000 0.034395766305 Long ABS-CBDO CORP US N 2 2071-02-25 Variable 0.04694000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUZ90 18597.92000000 PA USD 19613.70000000 0.000439926926 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0DV4 5774047.00200000 PA USD 5145470.39000000 0.115410706611 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N BANK 2018-BNK15 N/A 06036FBA8 653509.30600000 PA USD 652355.34000000 0.014632052085 Long ABS-MBS CORP US N 2 2061-11-15 Fixed 0.04285000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QRQX4 21933.06000000 PA USD 23580.42000000 0.000528898764 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BMGV4 2462725.99200000 PA USD 2326950.49000000 0.052192507185 Long ABS-CBDO USGSE US N 2 2046-07-25 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140APGT5 98586.98000000 PA USD 105475.66000000 0.002365774074 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 3140QEZ39 1472745.88600000 PA USD 1362440.02000000 0.030558948649 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPN96 3517229.96800000 PA USD 3348046.99000000 0.075095266243 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMA0 16806693.60000000 PA USD 14940311.96000000 0.335104826110 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6JH7 144589.06400000 PA USD 155674.85000000 0.003491720499 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.07000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 1400000.00000000 NC USD 196923.16000000 0.004416902502 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 154726.64000000 USD 0.00000000 USD 1400000.00000000 USD 42196.52000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVKP9 2764066.07200000 PA USD 2543222.44000000 0.057043394796 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRDP7 8244537.25400000 PA USD 7435601.40000000 0.166777368561 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GVZ87 391672.39600000 PA USD 420845.53000000 0.009439385772 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTZ78 2909505.19300000 PA USD 3136216.75000000 0.070344004292 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 3136BURK8 10884657.65000000 PA USD 10925417.43000000 0.245052453915 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04712100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KQGP5 2290534.02300000 PA USD 2375800.76000000 0.053288197909 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 3140XRLC7 10770651.43700000 PA USD 10180036.30000000 0.228333873030 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.04000000 N N N N N N BANK5 2025-5YR14 N/A 06604MAE8 74200000.00000000 PA USD 878060.54000000 0.019694523471 Long ABS-MBS CORP US N 2 2058-04-15 Variable 0.00488936 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQF1 500000.00000000 PA USD 499218.75000000 0.011197263675 Long DBT UST US N 2 2033-03-31 Fixed 0.04250000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31425YAN7 49241.90700000 PA USD 52605.70000000 0.001179923417 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCWH7 18583700.60300000 PA USD 16531597.32000000 0.370796678146 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 3140QMWW0 748745.42600000 PA USD 713431.82000000 0.016001971486 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 3140BWSK5 65088.25500000 PA USD 69374.87000000 0.001556048749 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QQNK7 37149.46600000 PA USD 37090.99000000 0.000831935088 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XX43 20155.76500000 PA USD 19535.06000000 0.000438163065 Long ABS-MBS USGA US N 2 2053-04-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427JJX7 36975.48500000 PA USD 39479.96000000 0.000885518666 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N HAVN TR 2025-MOB N/A 40408XAA9 605000.00000000 PA USD 603109.38000000 0.013527486203 Long ABS-MBS CORP US N 3 2035-10-15 Variable 0.05327090 N N N N N N BX TRUST 2025-ROIC N/A 05593VAJ2 884910.37000000 PA USD 881593.99000000 0.019773777248 Long ABS-MBS CORP US N 2 2030-03-15 Floating 0.05170360 N N N N N N ENTERPRISE FLEET FINANCING LLC 2024-1 N/A 29375PAB6 258632.87700000 PA USD 259869.37000000 0.005828759150 Long ABS-CBDO CORP US N 2 2030-03-20 Fixed 0.05230000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTLF5 6298243.47700000 PA USD 5567332.95000000 0.124872903932 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.03000000 N N N N N N ENTERPRISE FLEET FINANCING 2024-3 LLC N/A 29375QAC2 414000.00000000 PA USD 416932.36000000 0.009351615037 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 3132DWBB8 9729128.91300000 PA USD 7866078.56000000 0.176432787687 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 3140Y6EJ5 2776053.02700000 PA USD 2928543.01000000 0.065685970865 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XGXG9 17429419.37800000 PA USD 16542023.15000000 0.371030525067 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.04000000 N N N N N N DELL EQUIPMENT FINANCE TRUST 2025-2 N/A 24703VAE1 2900000.00000000 PA USD 2892071.69000000 0.064867934710 Long ABS-CBDO CORP US N 2 2031-03-24 Fixed 0.04120000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNW42 4713335.45900000 PA USD 5034574.25000000 0.112923353481 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 3142JNAN6 40420.37100000 PA USD 42900.50000000 0.000962239920 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N AJAX MTG LN TR 2021-E N/A 009740AA9 55798.67000000 PA USD 49294.24000000 0.001105648782 Long ABS-CBDO CORP US N 2 2060-12-25 Fixed 0.01740000 N N N N N N MSC 2021-L6 N/A 61692CBE7 3435715.00000000 PA USD 3068310.63000000 0.068820898979 Long ABS-MBS CORP US N 2 2054-06-15 Variable 0.02444000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKJH4 3166230.25600000 PA USD 2582679.77000000 0.057928405882 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 1927940.77700000 PA USD 1947673.64000000 0.043685489178 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 0.05500000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2026-5C9 N/A 94990LAC2 5600000.00000000 PA USD 5744818.80000000 0.128853835861 Long ABS-MBS CORP US N 2 2059-05-15 Fixed 0.05486000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2018-H4 N/A 61691RAE6 3405000.00000000 PA USD 3362230.82000000 0.075413403501 Long ABS-MBS CORP US N 2 2051-12-15 Fixed 0.04310000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BNY75 13185767.40000000 PA USD 13086710.64000000 0.293529338953 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04412100 N N N N N N WESTF 2025-A N/A 97063RAA8 2134366.62000000 PA USD 2143298.94000000 0.048073281234 Long ABS-CBDO CORP US N 2 2050-06-15 Fixed 0.05582000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133D4ZX4 63183.27500000 PA USD 67425.38000000 0.001512322520 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KNAB9 36101.23000000 PA USD 29312.23000000 0.000657460818 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUDJ9 803328.74000000 PA USD 847455.99000000 0.019008076466 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6ZA1 6204767.29300000 PA USD 6563049.17000000 0.147206394133 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSA44 21420.27400000 PA USD 17251.52000000 0.000386944236 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427R7A2 1564392.84300000 PA USD 1439400.83000000 0.032285146798 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.03500000 N N N N N N WELLS FARGO COML MTG TR 2019-C50 N/A 95001XAZ9 970548.50200000 PA USD 957868.67000000 0.021484585794 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 3140BDZE3 417193.21600000 PA USD 440892.09000000 0.009889021564 Long ABS-MBS USGSE US N 2 2055-06-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CTXC8 99422.14100000 PA USD 106462.38000000 0.002387905783 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.07000000 N N N N N N POST ROAD EQUIPMENT FINANCE 2026-1 LLC N/A 73747RAB1 2900000.00000000 PA USD 2898292.77000000 0.065007470881 Long ABS-CBDO CORP US N 2 2033-01-18 Fixed 0.04470000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 11720000.00000000 NC USD 235765.97000000 0.005288130166 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 -128726.03000000 N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136ARGN2 21217034.32500000 PA USD 18507184.09000000 0.415108246927 Long ABS-CBDO USGSE US N 2 2046-02-25 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBP7 2557619.85300000 PA USD 2066257.60000000 0.046345276832 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 3132DUW86 8608094.34800000 PA USD 8787756.47000000 0.197105630167 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AUJ46 74590.01300000 PA USD 79930.12000000 0.001792798506 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DX80 2862429.78500000 PA USD 2577101.93000000 0.057803297309 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.01500000 N N N N N N 3650R 2021-PF1 COMMERCIAL MORTGAGE TRUST N/A 88581EAE1 1400000.00000000 PA USD 1329523.58000000 0.029820646936 Long ABS-MBS CORP US N 2 2054-11-15 Fixed 0.02372000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BBGJ5 6591415.66100000 PA USD 6272904.61000000 0.140698575382 Long ABS-CBDO USGSE US N 2 2044-06-25 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427NAS8 21825872.06600000 PA USD 18699874.63000000 0.419430213568 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 3140XF7L9 2160655.48000000 PA USD 1899783.56000000 0.042611335106 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTZ86 1825013.87500000 PA USD 1957240.15000000 0.043900061918 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N ARI FLEET LEASE TRUST 2025-A N/A 04033CAD8 1100000.00000000 PA USD 1096931.33000000 0.024603701956 Long ABS-CBDO CORP US N 2 2034-01-17 Fixed 0.04700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W4GQ4 10838040.90100000 PA USD 11234720.78000000 0.251989996156 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 3133KKK24 18972739.51900000 PA USD 16279096.21000000 0.365133185926 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02500000 N N N N N N TOWD PT MTG TR 2017-6 N/A 89175JAB6 5700000.00000000 PA USD 5490865.29000000 0.123157766927 Long ABS-CBDO CORP US N 2 2057-10-25 Fixed 0.03000000 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2024-2 N/A 17331XAD3 975.56000000 PA USD 979.91000000 0.000021978963 Long ABS-CBDO CORP US N 2 2028-08-15 Fixed 0.05330000 N N N N N N DTP COML MTG TR 2023-STE2 N/A 23346GAA7 2420000.00000000 PA USD 2433552.73000000 0.054583549968 Long ABS-MBS CORP US N 2 2041-01-15 Variable 0.06038046 N N N N N N HONDA AUTO RECEIVABLES 2024-1 OWNER TR N/A 437918AC9 1625641.81000000 PA USD 1635383.63000000 0.036680957427 Long ABS-CBDO CORP US N 2 2028-08-15 Fixed 0.05210000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FKSH0 2700000.00000000 PA USD 2669441.13000000 0.059874426188 Long ABS-MBS USGSE US N 2 2028-11-25 Fixed 0.03859000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABCA8 2446529.90600000 PA USD 2100134.30000000 0.047105116766 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DMN9 4814328.27900000 PA USD 4093204.97000000 0.091808841969 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X42P0 33638.81000000 PA USD 32349.97000000 0.000725596031 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLC7 2786454.01700000 PA USD 2388236.58000000 0.053567128048 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 0.02500000 N N N N N N WILLIS ENGINE SECURITIZATION TRUST 2025-B N/A 970910AA3 4658776.58000000 PA USD 4608104.46000000 0.103357817955 Long ABS-CBDO CORP US N 2 2050-12-15 Fixed 0.05159000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133USJU6 147060.92500000 PA USD 119129.72000000 0.002672028817 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N BMO 2024-C9 MTG TR N/A 05593MAD5 18034000.00000000 PA USD 18820145.34000000 0.422127834305 Long ABS-MBS CORP US N 2 2057-07-15 Fixed 0.05759200 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KJ4H2 445859.03100000 PA USD 363406.54000000 0.008151053720 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N BOFA AUTO TRUST 2025-1 N/A 05594BAD8 2700000.00000000 PA USD 2704633.47000000 0.060663775367 Long ABS-CBDO CORP US N 2 2029-11-20 Fixed 0.04350000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3622AD6T0 15377984.15100000 PA USD 13923931.16000000 0.312307838192 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 3140QNEL2 2474865.94600000 PA USD 2020283.81000000 0.045314104327 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNTK4 10800000.00000000 PA USD 10698791.04000000 0.239969320630 Long ABS-MBS USGSE US N 2 2032-09-25 Fixed 0.04360000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MH6 887439.73700000 PA USD 944540.09000000 0.021185631428 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050478 9275000.00000000 PA USD 9310867.35000000 0.208838784130 Long ABS-MBS USGA US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKYL8 3190152.54600000 PA USD 2597208.46000000 0.058254278203 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 3140XQXA0 973637.00800000 PA USD 827190.42000000 0.018553528373 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 3132E06F4 16424376.42300000 PA USD 15132630.42000000 0.339418447155 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 3140QNN81 13250252.79700000 PA USD 11778813.55000000 0.264193764964 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2 N/A 92867YAD6 423189.09000000 PA USD 426874.18000000 0.009574605821 Long ABS-CBDO CORP US N 2 2028-12-20 Fixed 0.05480000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -3610000.00000000 NC USD -198790.79000000 -0.00445879264 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written 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 2041-03-24 0.00000000 USD 0.00000000 USD -3610000.00000000 USD 1.00000000 4.34000000 USD 2031-03-20 XXXX 28187.96000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUK97 6601326.86400000 PA USD 6978381.45000000 0.156522120059 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133W7BX2 29532.44200000 PA USD 31506.01000000 0.000706666368 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GT6J0 1614253.44700000 PA USD 1710618.08000000 0.038368434057 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 3132DWCK7 8058295.62700000 PA USD 7085357.96000000 0.158921557559 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KMSU0 31524.71700000 PA USD 25704.72000000 0.000576545908 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F2LJ3 2762061.31000000 PA USD 2734553.67000000 0.061334872693 Long ABS-MBS USGSE US N 2 2027-06-25 Fixed 0.03117000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GV2F7 165613.79600000 PA USD 178803.23000000 0.004010480199 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CGS65 966422.51900000 PA USD 1034931.92000000 0.023213081628 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 3132DSD41 5100632.30400000 PA USD 5361685.22000000 0.120260313045 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 3140XQSJ7 3493580.67000000 PA USD 3685812.15000000 0.082671194745 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142JCCM0 10973420.29900000 PA USD 10862158.60000000 0.243633585334 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XND27 4393516.63900000 PA USD 4704971.72000000 0.105530509289 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N MHP 2025-MHIL2 N/A 59317DAA3 2512000.00000000 PA USD 2507290.00000000 0.056237445490 Long ABS-MBS CORP US N 2 2040-09-15 Variable 0.05127090 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQME4 857141.39200000 PA USD 870477.48000000 0.019524438669 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.05500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 300000.00000000 NC USD 20484.87000000 0.000459466898 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S19 PRC CORP INDEX CZ039900 Y 2058-12-17 23734.56000000 USD 0.00000000 USD 300000.00000000 USD -3249.69000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QV4N1 6490446.63300000 PA USD 6857111.43000000 0.153802085225 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06500000 N N N N N N EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 N/A 30185EAC7 305000.00000000 PA USD 305452.07000000 0.006851159672 Long ABS-CBDO CORP US N 2 2030-08-15 Fixed 0.04430000 N N N N N N BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC 25-5C38 N/A 05556RAH0 24896000.00000000 PA USD 928700.47000000 0.020830355506 Long ABS-MBS CORP US N 2 2058-11-15 Variable 0.01108547 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427HEX6 38164.92900000 PA USD 41007.59000000 0.000919782756 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B4K87 136399.26500000 PA USD 129753.05000000 0.002910305579 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 3140W2VC2 7069132.88000000 PA USD 6056660.56000000 0.135848313556 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 3140QVEX8 734675.58000000 PA USD 764607.22000000 0.017149813885 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 2700000.00000000 NC USD -24185.79000000 -0.00054247695 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 20427.16000000 USD 2700000.00000000 USD -3758.63000000 N N N PEAC SOLUTIONS RECEIVABLES 2026-1 LLC N/A 704583AC7 620000.00000000 PA USD 616136.59000000 0.013819680968 Long ABS-CBDO CORP US N 2 2033-07-20 Fixed 0.04390000 N N N N N N WELLS FARGO COML MTG TR 2025-VTT N/A 94990GAA7 1226000.00000000 PA USD 1225735.06000000 0.027492714692 Long ABS-MBS CORP US N 2 2038-03-15 Variable 0.05270382 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VVX5 8426613.69900000 PA USD 6925961.04000000 0.155346352617 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 0.02000000 N N N N N N REACH ABS TR 2026-2 N/A 754923AB6 800000.00000000 PA USD 800076.64000000 0.017945377850 Long ABS-CBDO CORP US N 2 2035-02-15 Fixed 0.04810000 N N N N N N BX TRUST 2025-ROIC N/A 05593VAA1 7531377.63700000 PA USD 7519616.64000000 0.168661794566 Long ABS-MBS CORP US N 2 2030-03-15 Variable 0.04770920 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BQ7F2 46890.09100000 PA USD 49888.08000000 0.001118968360 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 25000000.00000000 NC USD -223942.50000000 -0.00502293477 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 333952.73000000 USD 25000000.00000000 USD 110010.23000000 N N N BMW VEHICLE OWNER TRUST 2024-A N/A 096919AD7 1148598.89000000 PA USD 1155863.43000000 0.025925523828 Long ABS-CBDO CORP US N 2 2029-02-26 Fixed 0.05180000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNUF8 27379462.67800000 PA USD 27286906.40000000 0.612033674312 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6 N/A 48128KBA8 13545.39500000 PA USD 13488.12000000 0.000302532779 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 3137F72B0 100000.00000000 PA USD 96672.86000000 0.002168331024 Long ABS-MBS USGSE US N 2 2027-09-25 Fixed 0.01470000 N N N N N N BLP COML MTG 2024-INDS N/A 05625AAA9 1522034.33000000 PA USD 1523936.87000000 0.034181254125 Long ABS-MBS CORP US N 2 2041-03-15 Variable 0.04969240 N N N N N N JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020 N/A 46652JAW2 100000.00000000 PA USD 85670.54000000 0.001921553678 Long ABS-MBS CORP US N 2 2053-05-13 Fixed 0.02179800 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H65X9 18157117.32000000 PA USD 17111309.12000000 0.383799366608 Long ABS-CBDO USGSE US N 2 2048-04-25 Fixed 0.03000000 N N N N N N GMF FLOORPLAN OWNER REVOLVING TR N/A 361886CS1 9320000.00000000 PA USD 9322796.00000000 0.209106338663 Long ABS-CBDO CORP US N 2 2028-06-15 Variable 0.04792850 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABJF0 1370150.75400000 PA USD 1175299.56000000 0.026361467935 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PX66 16062630.43500000 PA USD 16975076.19000000 0.380743720083 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06500000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 3700000.00000000 NC USD -33143.49000000 -0.00074339434 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 44314.60000000 USD 3700000.00000000 USD 11171.11000000 N N N BRAVO RESIDENTIAL FDG TR 2026-NQM3 N/A 10571LAC5 2978890.55000000 PA USD 2970560.08000000 0.066628395827 Long ABS-CBDO CORP US N 2 2065-11-25 Variable 0.04922000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FJXV6 2200000.00000000 PA USD 2184414.76000000 0.048995491544 Long ABS-MBS USGSE US N 2 2028-09-25 Fixed 0.04050000 N N N N N N FIDIUM FIBER FINANCE HOLDCO LLC N/A 315961AG7 3820000.00000000 PA USD 3763496.47000000 0.084413620915 Long ABS-CBDO CORP US N 2 2056-03-20 Fixed 0.05079000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142JNAM8 47184.13000000 PA USD 50101.39000000 0.001123752812 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9EH3 72332.04200000 PA USD 63261.81000000 0.001418935420 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 3138WHEU2 2979523.75200000 PA USD 2875639.08000000 0.064499358275 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N DBJPM 2020-C9 N/A 233063AT3 2000000.00000000 PA USD 1786757.00000000 0.040076197564 Long ABS-MBS CORP US N 2 2053-08-15 Fixed 0.01926000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 200000.00000000 NC USD 30292.72000000 0.000679452791 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 28621.34000000 USD 0.00000000 USD 200000.00000000 USD 1671.38000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFUZ2 24705.52100000 PA USD 20213.95000000 0.000453390278 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 3132DVMJ1 1668660.60300000 PA USD 1579140.13000000 0.035419439706 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MPQ8 15284492.44100000 PA USD 15897649.73000000 0.356577504043 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FKUP9 1062384.06000000 PA USD 1048715.43000000 0.023522239880 Long ABS-MBS USGSE US N 2 2028-12-25 Fixed 0.03771000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B5LN0 116686.14500000 PA USD 111182.79000000 0.002493782566 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 3140XKW71 52195.89700000 PA USD 42575.96000000 0.000954960626 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N RCO MORTGAGE LLC N/A 74940DAA7 5369904.19000000 PA USD 5344144.76000000 0.119866888007 Long ABS-CBDO CORP US N 2 2031-03-25 Variable 0.05535800 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSQK1 584120.42800000 PA USD 471718.43000000 0.010580443225 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 3133A96N0 495977.48300000 PA USD 401776.73000000 0.009011680720 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N BENCHMARK 2021 MORTGAGE TRUST N/A 08163DAF4 5205858.82000000 PA USD 4933597.09000000 0.110658478843 Long ABS-MBS CORP US N 2 2054-04-15 Fixed 0.02271000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427SQB7 1002814.29300000 PA USD 924571.61000000 0.020737746937 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140MHHF9 163615.32100000 PA USD 155860.27000000 0.003495879390 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 31427C5Z2 44093.92600000 PA USD 47326.52000000 0.001061513661 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 0.07000000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 200000.00000000 NC USD 30292.72000000 0.000679452791 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 12945.40000000 USD 0.00000000 USD 200000.00000000 USD 17347.32000000 N N N PEAC SOLUTIONS RECEIVABLES 2026-1 LLC N/A 704583AB9 2760000.00000000 PA USD 2753065.50000000 0.061750085146 Long ABS-CBDO CORP US N 2 2028-10-20 Fixed 0.04270000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUDH3 744574.06000000 PA USD 786637.28000000 0.017643938736 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HN4R6 4800000.00000000 PA USD 4789453.44000000 0.107425398242 Long ABS-MBS USGSE US N 2 2030-05-25 Variable 0.04361000 N N N N N N BENCHMARK 2018-B6 MORTGAGE TRUST N/A 08162CAC4 1300000.00000000 PA USD 1282698.95000000 0.028770390453 Long ABS-MBS CORP US N 2 2051-10-10 Fixed 0.03995000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWA45 28048.02800000 PA USD 21493.39000000 0.000482087572 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CW7F5 6053189.40000000 PA USD 6128207.18000000 0.137453073732 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032666 17200000.00000000 PA USD 15642593.32000000 0.350856697533 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.03500000 N N N N N N BRIDGE COML MTG TR 2026-MF N/A 10804AAA2 6400000.00000000 PA USD 6400000.00000000 0.143549270781 Long ABS-MBS CORP US N 2 2039-06-15 Variable 0.04850000 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 N/A 802920AD0 2968135.80000000 PA USD 2970656.64000000 0.066630561627 Long ABS-CBDO CORP US N 2 2028-11-15 Fixed 0.04620000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BQ7G0 41884.27000000 PA USD 44523.59000000 0.000998645137 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MHB0 15098550.91000000 PA USD 12884168.75000000 0.288986410732 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXG22 1610148.16500000 PA USD 1664828.31000000 0.037341389043 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRCH6 13004856.42300000 PA USD 12112097.74000000 0.271669187220 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.03500000 N N N N N N BX 2024-CNYN N/A 05612HAA9 4213232.58200000 PA USD 4218499.12000000 0.094619136323 Long ABS-MBS CORP US N 2 2041-04-15 Variable 0.05068968 N N N N N N RKTL 2026-1A N/A 74990JAB1 1200000.00000000 PA USD 1190152.44000000 0.026694611700 Long ABS-CBDO CORP US N 2 2035-02-26 Fixed 0.04330000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUDY0 6473597.20900000 PA USD 6737339.97000000 0.151115662453 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06000000 N N N N N N REACH ABS TR 2025-2 N/A 75525QAA8 1447842.41000000 PA USD 1452724.39000000 0.032583988567 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 3140QTQJ1 2110517.03200000 PA USD 2270353.87000000 0.050923069133 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 3142GSVE5 3576600.83500000 PA USD 3644543.02000000 0.081745545758 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 3140XDXZ4 38388275.66800000 PA USD 32854148.91000000 0.736904549714 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQ6C0 17698135.66000000 PA USD 17687407.05000000 0.396720997506 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.04149170 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQX51 2219960.08000000 PA USD 1919631.67000000 0.043056519749 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNQZ0 3362896.13600000 PA USD 3593146.24000000 0.080592737900 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 3133USHP9 29180.63900000 PA USD 23638.37000000 0.000530198558 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 500000.00000000 NC USD 39782.20000000 0.000892297781 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 18821.29000000 USD 0.00000000 USD 500000.00000000 USD 20960.91000000 N N N GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2 N/A 39571VAB4 248542.16000000 PA USD 249279.63000000 0.005591235797 Long ABS-CBDO CORP US N 2 2060-06-25 Fixed 0.04930000 N N N N N N OCWEN LOAN INVESTMENT TRUST N/A 68279MAA0 2185000.00000000 PA USD 2140426.00000000 0.048008842415 Long ABS-CBDO CORP US N 2 2039-05-25 Variable 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QHPZ2 14366.88000000 PA USD 13601.85000000 0.000305083695 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136B3DE7 917717.30100000 PA USD 896343.48000000 0.020104602019 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 0.03751340 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUDE0 225524.44000000 PA USD 239128.32000000 0.005363546243 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6Y46 10669112.28000000 PA USD 10952160.63000000 0.245652292487 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 31427SSP4 7388483.62700000 PA USD 5973648.12000000 0.133986379926 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y8CE4 6903293.83900000 PA USD 7158655.65000000 0.160565593489 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQP43 12735553.22000000 PA USD 13507755.66000000 0.302973199201 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F052664 7300000.00000000 PA USD 7335359.74000000 0.164528990874 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.05500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020679 140650000.00000000 PA USD 112498030.47000000 2.523282849736 Long ABS-MBS USGA US N 2 2056-07-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HFYT6 1918020.38500000 PA USD 1929265.55000000 0.043272603569 Long ABS-CBDO USGSE US N 2 2054-10-25 Variable 0.04612100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXRU8 996644.23500000 PA USD 1028745.85000000 0.023074330716 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 3138WG3V4 3800444.12700000 PA USD 3665871.54000000 0.082223935366 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H6UX1 2030488.94200000 PA USD 1857868.14000000 0.041671190110 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 3137HRVC0 21200000.00000000 PA USD 21199885.52000000 0.475504391725 Long ABS-MBS USGSE US N 2 2031-03-25 Variable 0.04149170 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BKMN1 56228.91900000 PA USD 59955.79000000 0.001344782802 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.07000000 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-1 N/A 96043BAD4 7600000.00000000 PA USD 7581092.72000000 0.170040676825 Long ABS-CBDO CORP US N 2 2029-07-16 Fixed 0.04010000 N N N N N N BX COML MTG TR 2024-XL5 N/A 05612GAA1 7762436.09400000 PA USD 7774564.90000000 0.174380175318 Long ABS-MBS CORP US N 2 2041-03-15 Variable 0.05018740 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BFPS6 74081114.49300000 PA USD 57811812.76000000 1.296694306914 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 3140Q7U96 84149.92000000 PA USD 77847.25000000 0.001746080620 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 3137HN6B9 5200000.00000000 PA USD 5200057.72000000 0.116635077144 Long ABS-MBS USGSE US N 2 2030-05-25 Fixed 0.04421000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FUBJ2 235496.24000000 PA USD 225822.34000000 0.005065098786 Long ABS-CBDO USGSE US N 2 2044-03-25 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AKT70 153761.81800000 PA USD 164325.59000000 0.003685752908 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 3140BUJ94 53106.20000000 PA USD 56623.61000000 0.001270043425 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KKHK3 521267.85400000 PA USD 422516.21000000 0.009476858412 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 31418CQA5 171080.88300000 PA USD 157679.16000000 0.003536676318 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 3138WHD74 3128630.31300000 PA USD 3016220.50000000 0.067652539576 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427JFB9 74924.20600000 PA USD 79973.33000000 0.001793767688 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W1AD5 16406492.70000000 PA USD 14102825.89000000 0.316320370697 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 3132DNEP4 3064165.22300000 PA USD 2736338.15000000 0.061374897819 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N BBCMS Mortgage Trust 2022-C14 N/A 07336AAF4 600000.00000000 PA USD 568651.02000000 0.012754599882 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 3132CXU42 8684515.53300000 PA USD 7805270.86000000 0.175068896906 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140NM4F1 788965.86000000 PA USD 829148.29000000 0.018597442562 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.06500000 N N N N N N TOYOTA LEASE OWNER TR 2026-A N/A 89240MAB0 26025000.00000000 PA USD 25954633.61000000 0.582151363767 Long ABS-CBDO CORP US N 2 2028-02-22 Fixed 0.03700000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133BFC65 254079.47800000 PA USD 242036.59000000 0.005428777499 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 3132DWBT9 25397.77800000 PA USD 20518.43000000 0.000460219635 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 36179WFH6 7920380.96400000 PA USD 7055078.55000000 0.158242403305 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 0.03000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050460 36525000.00000000 PA USD 36713330.21000000 0.823464340563 Long ABS-MBS USGA US N 2 2041-06-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV6R1 25004731.50600000 PA USD 20255595.35000000 0.454324365896 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 3140W3JC4 24236777.76200000 PA USD 25108712.81000000 0.563177720958 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133GAVD5 395157.20900000 PA USD 356385.25000000 0.007993569180 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.01500000 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2019 N/A 90278PBA7 1700000.00000000 PA USD 1593130.01000000 0.035733226749 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 0.03035200 N N N N N N EXTENDED STAY AMERICA TRUST 2025-ESH N/A 30227TAA8 5398362.33000000 PA USD 5405110.28000000 0.121234318623 Long ABS-MBS CORP US N 2 2042-10-15 Variable 0.04927090 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5WR4 5652339.46100000 PA USD 5038433.22000000 0.113009908533 Long ABS-CBDO USGSE US N 2 2052-02-25 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPZ51 1047067.08500000 PA USD 1102619.75000000 0.024731290790 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 0.06500000 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1 N/A 81885FAD8 2300000.00000000 PA USD 2274596.73000000 0.051018234673 Long ABS-CBDO CORP US N 2 2031-07-21 Fixed 0.03960000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DYB2 4885195.88600000 PA USD 3946666.71000000 0.088522051287 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 3132DUK63 11601043.52300000 PA USD 12293580.58000000 0.275739769929 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KML37 33103.91000000 PA USD 30417.59000000 0.000682253572 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BXNE0 5800000.00000000 PA USD 5673995.00000000 0.127265288229 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 0.04389000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BPBP5 19233221.22600000 PA USD 19087117.98000000 0.428115916773 Long ABS-CBDO USGSE US N 2 2052-10-25 Variable 0.04412100 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WG44 2099038.55500000 PA USD 1868734.35000000 0.041914914566 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XHHT7 220821.29800000 PA USD 178328.77000000 0.003999838264 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H060663 132225000.00000000 PA USD 134701111.46000000 3.021288488051 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.06000000 N N N N N N BX TRUST 2025-DIME N/A 05613UAA9 5616000.00000000 PA USD 5587920.00000000 0.125334662685 Long ABS-MBS CORP US N 2 2035-02-15 Variable 0.04777090 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2MT5 10629730.28700000 PA USD 8660657.79000000 0.194254860975 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 3133AF6L0 16242.44500000 PA USD 13248.89000000 0.000297166952 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 3132DV3Z6 4482062.23000000 PA USD 3961919.36000000 0.088864161722 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNN53 6194747.64700000 PA USD 6190082.38000000 0.138840908082 Long ABS-MBS USGSE US N 2 2030-07-25 Variable 0.04179170 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133BJC59 156303.90400000 PA USD 148895.40000000 0.003339660326 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.04000000 N N N N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2026-NQM3 N/A 617960AA7 1623686.26000000 PA USD 1619890.57000000 0.036333454698 Long ABS-CBDO CORP US N 2 2071-03-25 Variable 0.05134000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QTDB2 3658032.85600000 PA USD 3735523.89000000 0.083786207874 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.05500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 1345000.00000000 NC USD 189186.89000000 0.004243381265 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 182044.84000000 USD 0.00000000 USD 1345000.00000000 USD 7142.05000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133G8VY4 62960.99400000 PA USD 58191.76000000 0.001305216361 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLE46 5871075.34900000 PA USD 4755984.94000000 0.106674714060 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02000000 N N N N N N SCMS 2025-BNC1 N/A 78398LAC3 4970612.48000000 PA USD 4942108.50000000 0.110849386140 Long ABS-MBS CORP US N 2 2057-12-15 Fixed 0.04501600 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSRB0 6824301.70500000 PA USD 7292080.29000000 0.163558251267 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N DBJPM 2020-C9 N/A 233063AQ9 2100000.00000000 PA USD 1908366.39000000 0.042803844323 Long ABS-MBS CORP US N 2 2053-08-15 Fixed 0.01644000 N N N N N N DLLMT 2023-1 LLC N/A 232989AC7 87501.12000000 PA USD 87640.48000000 0.001965738592 Long ABS-CBDO CORP US N 2 2027-03-22 Fixed 0.05340000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QS4U2 16989.44500000 PA USD 17896.14000000 0.000401402788 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.06500000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 15700000.00000000 NC USD 944215.43000000 0.021178349443 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 2041-04-03 0.00000000 USD 0.00000000 USD 15700000.00000000 USD 1.00000000 4.35100000 USD 2031-04-01 XXXX 17915.43000000 N N N BENCHMARK 2019-B10 MTG TR N/A 08162VAE8 750000.00000000 PA USD 729362.93000000 0.016359299490 Long ABS-MBS CORP US N 2 2062-03-15 Fixed 0.03717000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNF73 31482.35400000 PA USD 25670.18000000 0.000575771190 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 3132DSYQ9 401854.07100000 PA USD 414683.54000000 0.009301174964 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HMC65 4700000.00000000 PA USD 4683575.38000000 0.105050598507 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 0.04329000 N N N N N N CARVANA AUTO RECEIVABLES TR 2025-P1 N/A 14689MAB6 22985.70000000 PA USD 22989.12000000 0.000515636158 Long ABS-CBDO CORP US N 2 2028-06-12 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B9WC9 86266.75600000 PA USD 92503.50000000 0.002074814057 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2 N/A 30168JAC7 3342091.97000000 PA USD 3347146.88000000 0.075075077159 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 3140BUTE2 43688.20700000 PA USD 46632.34000000 0.001045943500 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJYG6 6329362.26000000 PA USD 6362130.00000000 0.142699862830 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04762100 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QV5K6 181006.80000000 PA USD 193654.49000000 0.004343587628 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QM4P6 2442122.61400000 PA USD 2074798.31000000 0.046536841315 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 3133CQ6B6 69537.18600000 PA USD 74167.86000000 0.001663553471 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 3140XNVQ4 2047820.68400000 PA USD 2188190.60000000 0.049080182025 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 3140XR6J9 510566.39800000 PA USD 417424.03000000 0.009362642986 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BNBG0 738225.87600000 PA USD 718319.39000000 0.016111597597 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 3140BWR75 43672.61100000 PA USD 46796.53000000 0.001049626211 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137H3EQ1 6484786.19400000 PA USD 5221575.78000000 0.117117718054 Long ABS-CBDO USGSE US N 2 2051-10-25 Fixed 0.01750000 N N N N N N BX COML MTG TR 2024-GPA3 N/A 123910AA9 4762775.64600000 PA USD 4771705.85000000 0.107027327367 Long ABS-MBS CORP US N 2 2039-12-15 Variable 0.04919910 N N N N N N EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 N/A 30185AAB7 72600.37000000 PA USD 72680.88000000 0.001630201144 Long ABS-CBDO CORP US N 2 2028-10-16 Fixed 0.04830000 N N N N N N PLYM COMMERCIAL MORTGAGE TRUST 2026-IND N/A 69292BAA5 6465000.00000000 PA USD 6469040.63000000 0.145097822670 Long ABS-MBS CORP US N 2 2043-03-15 Variable 0.04877090 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMS1 10114459.68400000 PA USD 10507571.31000000 0.235680343630 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 3140W4QU4 14709573.48000000 PA USD 15517577.71000000 0.348052650713 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.06500000 N N N N N N BANK 2017-BNK9 N/A 06540RAC8 289553.35000000 PA USD 287518.28000000 0.006448912410 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 3137H7ZT3 943272.94000000 PA USD 934729.91000000 0.020965593274 Long ABS-CBDO USGSE US N 2 2052-07-25 Variable 0.04162100 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DXK3 6577162.99700000 PA USD 5317688.90000000 0.119273494349 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 3140W2Z53 3513561.74600000 PA USD 3640991.25000000 0.081665881071 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.06000000 N N N N N N PLYM COMMERCIAL MORTGAGE TRUST 2026-IND N/A 69292BAC1 1303000.00000000 PA USD 1303000.00000000 0.029225734348 Long ABS-MBS CORP US N 2 2043-03-15 Variable 0.05077090 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HAT48 1224444.34100000 PA USD 1242711.34000000 0.027873485413 Long ABS-CBDO USGSE US N 2 2053-10-25 Variable 0.05062100 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABKA9 1565503.84900000 PA USD 1342871.20000000 0.030120028361 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XJBR3 32514.28400000 PA USD 29222.45000000 0.000655447091 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A4QP9 165049.23900000 PA USD 175818.55000000 0.003943535100 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 3140QNN32 3010787.71500000 PA USD 2566397.25000000 0.057563195902 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 3140B0NZ7 324981.66100000 PA USD 341949.51000000 0.007669781688 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 3138WGV35 3126320.50700000 PA USD 3018978.29000000 0.067714395630 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 0.02500000 N N N N N N DBGS 2018-C1 MTG TR N/A 23307DAY9 336330.57500000 PA USD 336333.30000000 0.007543812492 Long ABS-MBS CORP US N 2 2051-10-15 Fixed 0.04302000 N N N N N N GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 N/A 39154GAQ9 430000.00000000 PA USD 431378.11000000 0.009675627050 Long ABS-CBDO CORP US N 2 2030-09-16 Fixed 0.04760000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AR4L6 182230.37900000 PA USD 148587.55000000 0.003332755382 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQRD3 7872970.52100000 PA USD 7987213.62000000 0.179149795426 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05062100 N N N N N N GMF FLOORPLAN OWNER REVOLVING TR N/A 361886CR3 11378000.00000000 PA USD 11385178.38000000 0.255364695963 Long ABS-CBDO CORP US N 2 2028-06-15 Fixed 0.05340000 N N N N N N JOHN DEERE OWNER TRUST 2025 N/A 47800DAB0 1224216.56000000 PA USD 1225419.60000000 0.027485639059 Long ABS-CBDO CORP US N 2 2028-03-15 Fixed 0.04230000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133ASJZ7 311277.19100000 PA USD 296596.21000000 0.006652526509 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BSMZ5 1258410.20900000 PA USD 1273111.21000000 0.028555341534 Long ABS-CBDO USGSE US N 2 2054-07-25 Variable 0.05142100 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BPDD0 7399311.05600000 PA USD 7352716.85000000 0.164918303449 Long ABS-CBDO USGSE US N 2 2052-10-25 Variable 0.04412100 N N N N N N GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 N/A 39154GAH9 4161690.72000000 PA USD 4168463.87000000 0.093496867002 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 3140BRNU9 68565.23300000 PA USD 73365.81000000 0.001645563832 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRY33 1908785.90400000 PA USD 1631822.21000000 0.036601076295 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N GS MTG SECS CORP TR 2019 5493005BBCF84ICNQ550 36257HBP0 4850000.00000000 PA USD 4615535.00000000 0.103524481799 Long ABS-MBS CORP US N 2 2052-07-10 Fixed 0.03160000 N N N N N N JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2 N/A 46590SAC1 2141786.25000000 PA USD 2151312.06000000 0.048253012099 Long ABS-CBDO CORP US N 2 2065-09-25 Variable 0.05567000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLH6 2429337.79300000 PA USD 1987673.25000000 0.044582663373 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 3132DTJQ4 2168646.10600000 PA USD 2316450.83000000 0.051957004288 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N BANK 2019-BNK19 N/A 06540WBB8 192327.95100000 PA USD 188850.30000000 0.004235831695 Long ABS-MBS CORP US N 2 2061-08-15 Fixed 0.03071000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AA4S0 61434.96900000 PA USD 52736.61000000 0.001182859673 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137BEAB0 5393624.00000000 PA USD 4799997.97000000 0.107661907554 Long ABS-CBDO USGSE US N 2 2044-09-15 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNNS7 875439.99800000 PA USD 716554.64000000 0.016072015007 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 30000000.00000000 NC USD -83433.00000000 -0.00187136661 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 44656.82000000 USD 30000000.00000000 USD -38776.18000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDCE4 1508798.48600000 PA USD 1281857.24000000 0.028751511257 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 31418FUB1 418850.39100000 PA USD 414603.58000000 0.009299381495 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DTQ5 813080.35900000 PA USD 658652.41000000 0.014773292680 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427NGV5 7133258.37900000 PA USD 7266534.75000000 0.162985275698 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLW3 892554.79300000 PA USD 730563.24000000 0.016386221931 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BTXR9 7330704.54400000 PA USD 7379528.50000000 0.165519677325 Long ABS-CBDO USGSE US N 2 2054-12-25 Variable 0.04812100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV7K5 793842.73300000 PA USD 643068.58000000 0.014423754018 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 3140W5UK8 6312238.58400000 PA USD 5174508.08000000 0.116062009615 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 3140XQ3S4 2150111.52000000 PA USD 1852241.74000000 0.041544992357 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQSW2 15799093.56000000 PA USD 15792734.42000000 0.354224298380 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.04149170 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 2626.00000000 NC USD 615975.40000000 0.013816065545 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long UST NOTES UST NOTES 0% 06/30/2040 2026-09-30 541981274.60000000 USD 615975.40000000 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJZC4 1962588.93000000 PA USD 1967728.17000000 0.044135303734 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04812100 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HPUB7 17392441.05000000 PA USD 17368762.98000000 0.389573946899 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04149170 N N N N N N CIM TRUST 2025-R1 N/A 12575LAA1 6071505.88000000 PA USD 6004633.10000000 0.134681359814 Long ABS-CBDO CORP US N 2 2099-02-25 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXK43 3676462.15700000 PA USD 3787526.98000000 0.084952615006 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133W8KA0 31523.95000000 PA USD 33630.61000000 0.000754320240 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 3140QUNN2 18931.29900000 PA USD 19420.10000000 0.000435584561 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMG7 35177.28500000 PA USD 35944.46000000 0.000806218909 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179Y2D5 149430.00200000 PA USD 122772.08000000 0.002753725399 Long ABS-MBS USGA US N 2 2054-06-20 Fixed 0.02000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 700000.00000000 NC USD -155105.79000000 -0.00347895672 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BB CDSI S17 PRC CORP CY885801 Y 2056-12-15 0.00000000 USD 150381.78000000 USD 700000.00000000 USD -4724.01000000 N N N OWN EQUIPMENT FUND I LLC N/A 69121NAA6 9706621.69000000 PA USD 9807382.25000000 0.219975401603 Long ABS-CBDO CORP US N 2 2032-12-20 Fixed 0.05700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X96G5 456122.47700000 PA USD 372057.05000000 0.008345080971 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 3140N85H7 108785.43100000 PA USD 116063.75000000 0.002603260418 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 3132DVMU6 19300345.67600000 PA USD 20360523.31000000 0.456677855293 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H4R36 2200000.00000000 PA USD 1961438.60000000 0.043994231361 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 3132DQKC9 2568400.85700000 PA USD 2201345.81000000 0.049375247775 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 400000.00000000 NC USD 31825.76000000 0.000713838225 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 14145.88000000 USD 0.00000000 USD 400000.00000000 USD 17679.88000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 24220000.00000000 NC USD 894477.78000000 0.020062755163 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 101272.78000000 N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 900000.00000000 NC USD -213577.65000000 -0.00479045561 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BB CDSI S15 PRC Corp CY562348 Y 2064-11-18 0.00000000 USD 215054.89000000 USD 900000.00000000 USD 1477.24000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131XW4R1 317548.76500000 PA USD 292772.63000000 0.006566765240 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.03500000 N N N N N N HOUSTON GALLERIA MALL TRUST N/A 44216XAA3 3120000.00000000 PA USD 3189516.72000000 0.071539499890 Long ABS-MBS CORP US N 2 2045-02-05 Variable 0.05643912 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUVP9 4889566.75500000 PA USD 4506539.61000000 0.101079761681 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABCD2 3699447.09500000 PA USD 3176811.41000000 0.071254525205 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QRK93 65038.89200000 PA USD 69923.87000000 0.001568362585 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L6TA2 119223.02200000 PA USD 97957.57000000 0.002197146522 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F060667 23975000.00000000 PA USD 24480723.86000000 0.549092196610 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMB8 21765223.07700000 PA USD 18607102.27000000 0.417349369095 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 3140Y6NW6 5226941.08500000 PA USD 5421517.63000000 0.121602328486 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 0.06000000 N N N N N N BARINGS ISSUER LLC 2026-SBP N/A 06764UAA4 3204864.83000000 PA USD 3167715.00000000 0.071050496608 Long ABS-MBS CORP US N 2 2059-02-26 Fixed 0.04820000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPW96 1776387.15100000 PA USD 1448991.01000000 0.032500250445 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 3132DV7B5 15323248.09400000 PA USD 12412911.25000000 0.278416305970 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6V59 5079894.82700000 PA USD 5262647.60000000 0.118038941462 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140YWUS0 67896.13400000 PA USD 72417.53000000 0.001624294316 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0M28 5366614.60900000 PA USD 4342304.98000000 0.097396048967 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N TOWD PT MTG TR 2018-1 N/A 89176EAB6 2466711.00000000 PA USD 2426242.14000000 0.054419576552 Long ABS-CBDO CORP US N 2 2058-01-25 Fixed 0.03250000 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2017-C34 N/A 61767EAE4 5210000.00000000 PA USD 5148003.61000000 0.115467525655 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 0.03536000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427JRX8 68568.00900000 PA USD 73129.86000000 0.001640271574 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DV66 27890.14900000 PA USD 21372.41000000 0.000479374042 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 3140L7M41 131709.04400000 PA USD 108216.50000000 0.002427249947 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 3140XN5W0 1495539.69600000 PA USD 1576498.64000000 0.035360192212 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.06500000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GAS6 815448.43300000 PA USD 818416.26000000 0.018356727706 Long ABS-CBDO CORP US N 2 2038-04-18 Fixed 0.05800000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 5200000.00000000 NC USD -46580.04000000 -0.00104477043 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 67102.85000000 USD 5200000.00000000 USD 20522.81000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNW26 1895672.62900000 PA USD 2028723.45000000 0.045503401853 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022667 -2100000.00000000 PA USD -1758667.89000000 -0.03944617080 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.02500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 800000.00000000 NC USD 54626.32000000 0.001225245062 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S19 PRC CORP INDEX CZ039900 Y 2058-12-17 73263.18000000 USD 0.00000000 USD 800000.00000000 USD -18636.86000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133WFVC8 26117.50400000 PA USD 27873.07000000 0.000625181073 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.07000000 N N N N N N BX 2021-BXMF N/A 05609RAA2 803605.28000000 PA USD 803354.15000000 0.018018891001 Long ABS-MBS CORP US N 2 2026-10-15 Variable 0.04377410 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140ATT89 32619.29500000 PA USD 34874.07000000 0.000782210518 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QWC34 9278590.26400000 PA USD 9621092.72000000 0.215797006886 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 3140XABM3 121912.24700000 PA USD 99443.27000000 0.002230470139 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 3132DUXZ5 2169817.32500000 PA USD 2319058.01000000 0.052015482224 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 3142GVZ61 264163.03300000 PA USD 284705.59000000 0.006385824973 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DQ70 10869965.10300000 PA USD 8805438.07000000 0.197502220915 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 3140XNHB3 1866238.64600000 PA USD 1969976.69000000 0.044185737079 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 3132AEPW0 56962.42600000 PA USD 52571.44000000 0.001179154980 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QV5L4 327189.34700000 PA USD 349923.61000000 0.007848637350 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N BANK5 2025-5YR14 N/A 06604MAD0 29743258.52000000 PA USD 1000093.27000000 0.022431665565 Long ABS-MBS CORP US N 2 2058-04-15 Variable 0.00982677 N N N N N N SOFI CONSUMER LOAN PROGRAM TRUST N/A 83408AAB7 1800000.00000000 PA USD 1786329.18000000 0.040066601744 Long ABS-CBDO CORP US N 2 2035-12-26 Fixed 0.04440000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H050672 68250000.00000000 PA USD 67329157.35000000 1.510164287487 Long ABS-MBS USGA US N 2 2056-07-01 Fixed 0.05000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0ET8 16499210.61200000 PA USD 14569010.86000000 0.326776700774 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912810UJ5 20990000.00000000 PA USD 20438192.63000000 0.458419945019 Long DBT UST US N 2 2045-02-15 Fixed 0.04750000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136ADR27 3733164.43000000 PA USD 3381970.35000000 0.075856152741 Long ABS-CBDO USGSE US N 2 2043-02-25 Fixed 0.01750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AFRZ6 53287.50800000 PA USD 43782.78000000 0.000982029084 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HRKE8 16697254.52000000 PA USD 16702287.07000000 0.374625176450 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 0.04169170 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F062663 -22200000.00000000 PA USD -23067187.50000000 -0.51738717884 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEWH1 52259269.53000000 PA USD 44872453.14000000 1.006469988503 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02500000 N N N N N N SCLP 2025-2 N/A 83407HAA5 2759373.29000000 PA USD 2766711.29000000 0.062056154397 Long ABS-CBDO CORP US N 2 2034-06-25 Fixed 0.04820000 N N N N N N EXTENDED STAY AMER TR 2026-ESH2 N/A 30227WAA1 8181188.45600000 PA USD 8188858.32000000 0.183672600057 Long ABS-MBS CORP US N 2 2043-02-15 Variable 0.04827090 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AJ6U2 54215.06700000 PA USD 44544.89000000 0.000999122886 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VHS2 1269195.66500000 PA USD 1132519.03000000 0.025401918891 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DS5L2 9644930.28700000 PA USD 8613044.27000000 0.193186910026 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 3140QLWH5 47833705.70100000 PA USD 40937907.80000000 0.918219814376 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02500000 N N N N N N CSTL COMMERCIAL MORTGAGE TRUST 2026-GATE3 N/A 228920AA2 2000000.00000000 PA USD 1976200.80000000 0.044325341212 Long ABS-MBS CORP US N 2 2043-02-10 Variable 0.04850983 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HN4S4 20762709.64300000 PA USD 20737948.04000000 0.465143331038 Long ABS-MBS USGSE US N 2 2030-03-25 Variable 0.04179170 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 N/A 17326DAC6 2600000.00000000 PA USD 2567567.08000000 0.057589434690 Long ABS-MBS CORP US N 2 2050-09-15 Fixed 0.03203000 N N N N N N GS MTG SECS TR 2020-GSA2 N/A 36264KAV2 3018000.00000000 PA USD 2645093.20000000 0.059328312501 Long ABS-MBS CORP US N 2 2053-12-12 Fixed 0.02012000 N N N N N N POST ROAD EQUIPMENT FINANCE 2025-1 LLC N/A 73747LAB4 303737.74000000 PA USD 305388.49000000 0.006849733600 Long ABS-CBDO CORP US N 2 2031-05-15 Fixed 0.04900000 N N N N N N MERCHANTS FLEET FUNDING LLC N/A 588926AF2 3760283.96000000 PA USD 3782054.88000000 0.084829878137 Long ABS-CBDO CORP US N 2 2037-04-20 Fixed 0.05820000 N N N N N N JPMDB COML MTG SECS TR 2019 N/A 48129RAX3 14477167.00000000 PA USD 13177917.99000000 0.295575080919 Long ABS-MBS CORP US N 2 2052-11-13 Fixed 0.03056500 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMX0 6290166.48000000 PA USD 6516459.62000000 0.146161410394 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 31427PE83 61241082.15300000 PA USD 52412451.39000000 1.175588933890 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 N/A 949931AD1 21300955.79000000 PA USD 817926.88000000 0.018345751121 Long ABS-MBS CORP US N 2 2058-05-15 Variable 0.01345128 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVGT5 700457.17900000 PA USD 709166.52000000 0.015906302626 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.05500000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C60 N/A 95003DBQ0 25751000.00000000 PA USD 1299192.03000000 0.029140323204 Long ABS-MBS CORP US N 2 2054-08-15 Variable 0.01209519 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVAT2 4279497.59500000 PA USD 4579860.98000000 0.102724328743 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 200000.00000000 NC USD 28635.72000000 0.000642286988 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 MARKIT CMBX.NA.BBB 15 CY562349 Y 2064-11-18 29239.05000000 USD 0.00000000 USD 200000.00000000 USD -603.33000000 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HPEY5 16289620.98000000 PA USD 16267090.81000000 0.364863909923 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04189170 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QLJB3 16822.77000000 PA USD 15494.43000000 0.000347533457 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.03500000 N N N N N N DLLAA 2025-1 LLC N/A 233249AC5 5800000.00000000 PA USD 5849833.60000000 0.131209273042 Long ABS-CBDO CORP US N 2 2029-09-20 Fixed 0.04950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W45B9 5841190.85000000 PA USD 6062740.21000000 0.135984677512 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140M7PW5 111059.97600000 PA USD 90417.59000000 0.002028027985 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050668 270650000.00000000 PA USD 266378818.22000000 5.974763297984 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.05000000 N N N N N N PRPM 2026-RCF2 LLC N/A 74449JAA0 3878561.40000000 PA USD 3885678.17000000 0.087154104342 Long ABS-CBDO CORP US N 2 2056-03-25 Variable 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XN5K6 4298458.72600000 PA USD 3668038.60000000 0.082272541598 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N DEXT ABS 2025-2 LLC N/A 252153AB7 1018699.89000000 PA USD 1018563.18000000 0.022845937770 Long ABS-CBDO CORP US N 2 2028-04-17 Fixed 0.04100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140LNH75 92323.25900000 PA USD 87968.95000000 0.001973106034 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 3140XPZH5 284289.26000000 PA USD 242417.18000000 0.005437313970 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 3140Y6YQ7 18703137.19700000 PA USD 19447593.13000000 0.436201220666 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 3140QTDT3 1318752.51900000 PA USD 1411311.27000000 0.031655109945 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 3140BKPE8 58332.02200000 PA USD 62163.65000000 0.001394304160 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KMDK3 21685.77400000 PA USD 17688.99000000 0.000396756502 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 3140QGLW5 56939.88000000 PA USD 46445.60000000 0.001041755001 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 3140XGGW3 20318191.34200000 PA USD 16668698.77000000 0.373871805204 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 3140BWY69 39888.90600000 PA USD 42342.66000000 0.000949727807 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.07000000 N N N N N N CARMAX SELECT RECEIVABLES TR 2025-A N/A 14319UAC4 1425000.00000000 PA USD 1432504.05000000 0.032130454963 Long ABS-CBDO CORP US N 2 2029-09-17 Fixed 0.04770000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810US5 4420000.00000000 PA USD 4193146.47000000 0.094050487195 Long DBT UST US N 2 2056-02-15 Fixed 0.02375000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F062663 22200000.00000000 PA USD 23067187.50000000 0.517387178844 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.06500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022667 2100000.00000000 PA USD 1758667.89000000 0.039446170805 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GVER8 9385624.94100000 PA USD 9741610.43000000 0.218500167728 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427KFQ3 34331.77200000 PA USD 36803.09000000 0.000825477614 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PQZ0 7290567.70300000 PA USD 7429061.51000000 0.166630681617 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKJ68 1730575.94800000 PA USD 1524334.73000000 0.034190177955 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 3140L4CZ0 16303.54600000 PA USD 13298.73000000 0.000298284842 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N WELLS FARGO COML MTG TR 2024-GRP N/A 95003YAA0 603000.00000000 PA USD 600491.28000000 0.013468763336 Long ABS-MBS CORP US N 2 2041-10-15 Variable 0.05418410 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWA52 8161995.20200000 PA USD 6599038.42000000 0.148013617664 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 3140XPL49 3288886.32800000 PA USD 3519722.08000000 0.078945865302 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N BANK 2018-BNK10 N/A 065404AZ8 330369.50900000 PA USD 328731.04000000 0.007373297043 Long ABS-MBS CORP US N 2 2061-02-15 Fixed 0.03641000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H052660 308725000.00000000 PA USD 310643633.26000000 6.967604223026 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMKY9 18801.52300000 PA USD 16283.00000000 0.000365220746 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W04U6 18447903.61400000 PA USD 14903747.72000000 0.334284705799 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 3140X6W98 35962.49000000 PA USD 35523.88000000 0.000796785479 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133WGKC8 25342.04600000 PA USD 27083.10000000 0.000607462383 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 3132DVMN2 3802709.23200000 PA USD 3876277.59000000 0.086943253342 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.05500000 N N N N N N WELLS FARGO COML MTG TR 2019-C51 N/A 95001VAS9 91492.28000000 PA USD 89899.55000000 0.002016408569 Long ABS-MBS CORP US N 2 2052-06-15 Fixed 0.03160000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QTVF3 8308021.26600000 PA USD 8912551.94000000 0.199904739341 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 3133AHB63 236482.23100000 PA USD 192897.49000000 0.004326608441 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 3133W8QL0 40112.76500000 PA USD 42699.38000000 0.000957728884 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CE4C3 34400.01000000 PA USD 36518.27000000 0.000819089223 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.07000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 1200000.00000000 NC USD 181756.32000000 0.004076716749 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 76165.78000000 USD 0.00000000 USD 1200000.00000000 USD 105590.54000000 N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BMBT4 3360210.62700000 PA USD 3085077.92000000 0.069196982143 Long ABS-CBDO USGSE US N 2 2046-09-25 Fixed 0.02250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AFXA4 54105.48700000 PA USD 44454.85000000 0.000997103328 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 3132D9FB5 18363.39000000 PA USD 15964.89000000 0.000358085674 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02000000 N N N N N N LONDON CLEARING HOUSE N/A N/A -694833000.00000000 NC USD 6427964.27000000 0.144176497432 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2028-06-17 0.00000000 USD 0.00000000 USD -689652292.06000000 USD 6427964.27000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRVF9 15508478.64600000 PA USD 13282439.70000000 0.297919458302 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 3140A77D0 82375.23100000 PA USD 87459.25000000 0.001961673681 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 3140XQEV5 2538363.19500000 PA USD 2735361.76000000 0.061352997808 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 3140W2R78 4830587.05900000 PA USD 5003689.70000000 0.112230626195 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG3U6 3389263.48200000 PA USD 3269244.92000000 0.073327769417 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 800000.00000000 NC USD 63651.52000000 0.001427676450 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 60408.46000000 USD 0.00000000 USD 800000.00000000 USD 3243.06000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBXK1 1047125.42400000 PA USD 967479.49000000 0.021700152388 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AK3J2 160294.04200000 PA USD 172834.41000000 0.003876602112 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 3140X9UX1 25389.29200000 PA USD 20709.93000000 0.000464514898 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 31635A105 157028051.41100000 NS USD 157059457.02000000 3.522776644460 Long STIV RF US N 1 N N N CENT TRUST 2025-CITY N/A 12517TAA5 6547000.00000000 PA USD 6552026.79000000 0.146959166850 Long ABS-MBS CORP US N 2 2040-07-10 Variable 0.05090927 N N N N N N ARI FLEET LEASE TR 2025-B N/A 00193GAB7 5849334.37000000 PA USD 5863883.42000000 0.131524404513 Long ABS-CBDO CORP US N 2 2034-03-15 Fixed 0.04590000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 5000.00000000 NC USD 703.30000000 0.000015774719 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 765.03000000 USD 0.00000000 USD 5000.00000000 USD -61.73000000 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WJR0 62663.05000000 PA USD 53692.90000000 0.001204308850 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 0.02500000 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-PAC N/A 05609PAA6 2461000.00000000 PA USD 2460230.94000000 0.055181930842 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.04430580 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31425YAP2 27474.65600000 PA USD 29299.98000000 0.000657186056 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W3XF1 2842251.78600000 PA USD 2935621.75000000 0.065844743984 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F042665 -34700000.00000000 PA USD -33322843.75000000 -0.74741717510 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWAW3 9715428.55800000 PA USD 7855001.71000000 0.176184338665 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 3132DTFN5 9251701.86300000 PA USD 8227192.45000000 0.184532418246 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMH80 263407.74500000 PA USD 215189.77000000 0.004826614775 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N NYMT LOAN TRUST 2025-CP1 N/A 67121VAA2 5785506.66070000 PA USD 5612325.62000000 0.125882070334 Long ABS-CBDO CORP US N 2 2069-11-25 Fixed 0.03750000 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1 N/A 80288FAC5 2925000.00000000 PA USD 2904481.42000000 0.065146279662 Long ABS-CBDO CORP US N 2 2030-07-15 Fixed 0.03930000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM6A8 1029470.58000000 PA USD 939625.49000000 0.021075399046 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQRH2 9879657.65100000 PA USD 10419264.79000000 0.233699666044 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 152391.25700000 PA USD 161488.42000000 0.003622116395 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022663 151075000.00000000 PA USD 129299532.94000000 2.900133385299 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XA5H1 13503161.41400000 PA USD 12415845.00000000 0.278482108732 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 3140X83P0 45939.59800000 PA USD 37601.93000000 0.000843395254 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HRKQ1 10599886.06000000 PA USD 10599871.22000000 0.237750591251 Long ABS-MBS USGSE US N 2 2031-02-25 Variable 0.04159170 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F042665 34700000.00000000 PA USD 33322843.75000000 0.747417175105 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.04500000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 244.00000000 NC USD 313542.32000000 0.007032620530 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 2026-09-21 27639707.68000000 USD 313542.32000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y8UR5 2222422.70400000 PA USD 2316613.42000000 0.051960651113 Long ABS-MBS USGSE US N 2 2056-04-01 Fixed 0.06000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 1000000.00000000 NC USD 79564.40000000 0.001784595562 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 48931.91000000 USD 0.00000000 USD 1000000.00000000 USD 30632.49000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWC27 4879796.01800000 PA USD 4118367.77000000 0.092373232842 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 31418DVZ2 6947306.93200000 PA USD 5876264.94000000 0.131802116727 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.01500000 N N N N N N VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 N/A 92887QAB3 308299.45000000 PA USD 308392.90000000 0.006917121235 Long ABS-CBDO CORP US N 2 2027-05-17 Fixed 0.04560000 N N N N N N PRPM 2024-RPL1 LLC N/A 69380XAA0 1377472.61300000 PA USD 1350430.76000000 0.030289586068 Long ABS-CBDO CORP US N 2 2064-12-25 Variable 0.04200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DU42 27899555.57400000 PA USD 23616295.83000000 0.529703444524 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.01500000 N N N N N N ARI FLEET LEASE TRUST N/A 00218KAB9 1948409.44000000 PA USD 1954991.56000000 0.043849627003 Long ABS-CBDO CORP US N 2 2032-11-15 Fixed 0.05300000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 784000.00000000 NC USD -143697.56000000 -0.00322307499 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 125469.31000000 USD 784000.00000000 USD -18228.25000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AMA27 33774.21000000 PA USD 36215.95000000 0.000812308314 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 3133CNJ94 57611.18700000 PA USD 61582.71000000 0.001381273923 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 31418DV74 11251274.75000000 PA USD 9096745.65000000 0.204036125709 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 3133KNGT4 2169319.34200000 PA USD 1766114.46000000 0.039613194195 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 3140L3G88 19467.67100000 PA USD 15879.69000000 0.000356174674 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 3140GYGZ6 290967.97800000 PA USD 268174.83000000 0.006015047076 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N AFFIRM MASTER TRUST N/A 00833BAU2 7020000.00000000 PA USD 6981034.79000000 0.156581633344 Long ABS-CBDO CORP US N 2 2034-02-15 Fixed 0.04370000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFF97 368766.19600000 PA USD 315604.16000000 0.007078866722 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 3132DWAF0 46984207.88100000 PA USD 38016473.08000000 0.852693279424 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H6V28 2030488.94200000 PA USD 1857868.14000000 0.041671190110 Long ABS-CBDO USGSE US N 2 2050-08-25 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133KRMW1 6011813.21200000 PA USD 6114743.27000000 0.137151083972 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSRC8 4381498.15400000 PA USD 4681489.69000000 0.105003817370 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 3140J9W64 33989.15000000 PA USD 29897.94000000 0.000670598044 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.02500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UH9 14000000.00000000 PA USD 13634207.40000000 0.305809457805 Long DBT UST US N 2 2055-02-15 Fixed 0.02375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRT96 868747.49600000 PA USD 785408.29000000 0.017616373014 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H020667 165325000.00000000 PA USD 135678028.25000000 3.043200315054 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.02000000 N N N N N N OPORTUN ISSUANCE TRUST 2025-B N/A 68378QAA1 3200000.00000000 PA USD 3202759.36000000 0.071836526658 Long ABS-CBDO CORP US N 2 2033-05-09 Fixed 0.04880000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QM7H1 1000007.60700000 PA USD 952843.55000000 0.021371874495 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 3140XPMG1 2982233.33200000 PA USD 3087236.87000000 0.069245406471 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABFC1 2920271.04800000 PA USD 2506800.09000000 0.056226457017 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137BSRE5 12884522.71000000 PA USD 12825713.88000000 0.287675292925 Long ABS-MBS USGSE US N 2 2026-09-25 Variable 0.03120000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRVG7 15316772.32500000 PA USD 13132609.78000000 0.294558837090 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNWW4 27287324.90000000 PA USD 27239389.26000000 0.610967885125 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04199170 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QWCX8 3417694.43400000 PA USD 3561207.87000000 0.079876373881 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06000000 N N N N N N CFMT 2024-R1 LLC N/A 12530YAA7 2975405.75000000 PA USD 2923991.63000000 0.065583885352 Long ABS-CBDO CORP US N 2 2054-10-25 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XHW9 2685726.21100000 PA USD 2442900.04000000 0.054793206145 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 3140QU6W1 2579817.31800000 PA USD 2635273.85000000 0.059108068668 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 3140X7EQ8 2144714.02800000 PA USD 1838208.87000000 0.041230241067 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 3140XATV4 127610.72300000 PA USD 104450.40000000 0.002342777930 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F052664 -81600000.00000000 PA USD -81995254.08000000 -1.83911858292 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.05500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BTF81 2511919.10800000 PA USD 2531915.49000000 0.056789784729 Long ABS-CBDO USGSE US N 2 2054-12-25 Variable 0.04712100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133A9RU1 20858.29800000 PA USD 16896.69000000 0.000378985551 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WJS8 2655715.39200000 PA USD 2365578.22000000 0.053058910696 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 0.03000000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GBM8 8209455.60400000 PA USD 8280932.05000000 0.185737774557 Long ABS-CBDO CORP US N 2 2039-02-18 Fixed 0.05490000 N N N N N N LONDON CLEARING HOUSE N/A N/A 17383000.00000000 NC USD -270725.28000000 -0.00607225258 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2030-06-17 0.00000000 USD 0.00000000 USD 17267216.01000000 USD -270725.28000000 N N N CITIGROUP COML MTG TR 2019-C7 N/A 17328CAD4 2450626.00000000 PA USD 2317920.68000000 0.051989972397 Long ABS-MBS CORP US N 2 2072-12-15 Fixed 0.03102000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNNT5 279584.03700000 PA USD 228230.18000000 0.005119105610 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 3618N5AV1 186629.35100000 PA USD 153189.35000000 0.003435971794 Long ABS-MBS USGA US N 2 2053-08-20 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BH3A7 37863.13900000 PA USD 40242.56000000 0.000902623459 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 0.07000000 N N N N N N BANKERS HEALTHCARE GROUP SECURITIZATION TRUST N/A 08860AAA7 2858115.12000000 PA USD 2845749.77000000 0.063828953798 Long ABS-CBDO CORP US N 2 2036-04-17 Fixed 0.04820000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W3KN8 3817537.59600000 PA USD 3437004.30000000 0.077090540771 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUVZ7 8327646.52900000 PA USD 6766799.90000000 0.151776436120 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 3140X54P5 1737830.54800000 PA USD 1487301.59000000 0.033359540418 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BQ7H8 109537.85200000 PA USD 116310.27000000 0.002608789756 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QQJK2 540316.59800000 PA USD 535177.27000000 0.012003797944 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H060671 87025000.00000000 PA USD 88607079.69000000 1.987419011808 Long ABS-MBS USGA US N 2 2056-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A4F94 46977.40000000 PA USD 41342.45000000 0.000927293523 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM5R2 331379.33700000 PA USD 267197.95000000 0.005993136074 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02000000 N N N N N N BANK5 2025-5YR19 N/A 05494RBS0 12200000.00000000 PA USD 324903.08000000 0.007287437532 Long ABS-MBS CORP US N 2 2058-12-15 Variable 0.00809692 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2017 N/A 17326FAD9 7609000.00000000 PA USD 7508041.51000000 0.168402169337 Long ABS-MBS CORP US N 2 2050-10-12 Fixed 0.03471000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0B95 12165772.94700000 PA USD 10373913.96000000 0.232682466266 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 3136BUVN7 2514628.63500000 PA USD 2533499.16000000 0.056825305772 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04812100 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2VB4 6593187.91800000 PA USD 5626218.45000000 0.126193680586 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H050664 189550000.00000000 PA USD 187229490.99000000 4.199477640686 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPZN2 1730059.05800000 PA USD 1481731.74000000 0.033234611057 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 3140A3RQ8 192213.24000000 PA USD 204887.13000000 0.004595530953 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQSQ5 13399301.10000000 PA USD 13399282.34000000 0.300540188890 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 0.04149170 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUWD8 2640799.54000000 PA USD 2659582.23000000 0.059653295265 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04762100 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UP1 9950000.00000000 PA USD 9393421.88000000 0.210690447033 Long DBT UST US N 2 2055-11-15 Fixed 0.04625000 N N N N N N EVERGREEN CR CARD TR N/A 30023JCX4 1200000.00000000 PA USD 1208264.76000000 0.027100863313 Long ABS-CBDO CORP CA N 2 2029-05-15 Fixed 0.05240000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418EAN0 39227.03600000 PA USD 33106.17000000 0.000742557275 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 3140QRLA9 57292.80800000 PA USD 61479.61000000 0.001378961434 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 0.07000000 N N N N N N AFFIRM MASTER TR SER 2026-2 N/A 00833KAA6 5780000.00000000 PA USD 5770597.10000000 0.129432032137 Long ABS-CBDO CORP US N 2 2035-04-16 Fixed 0.04670000 N N N N N N SCG 2025-FLWR N/A 78438AAA3 11500000.00000000 PA USD 11507187.50000000 0.258101308495 Long ABS-MBS CORP US N 2 2042-08-15 Variable 0.04877090 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FUFC3 743606.28000000 PA USD 712628.83000000 0.015983960763 Long ABS-CBDO USGSE US N 2 2044-01-25 Fixed 0.02000000 N N N N N N WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A N/A 98164PAF7 2750000.00000000 PA USD 2756827.15000000 0.061834457352 Long ABS-CBDO CORP US N 2 2030-05-15 Fixed 0.04680000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHEV0 4901505.31700000 PA USD 4728008.20000000 0.106047207712 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VN30 65731.17700000 PA USD 58652.74000000 0.001315555946 Long ABS-MBS USGA US N 2 2050-06-20 Fixed 0.03000000 N N N N N N EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 N/A 30185AAC5 325000.00000000 PA USD 326113.35000000 0.007314583372 Long ABS-CBDO CORP US N 2 2030-04-15 Fixed 0.04690000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQVT3 9616826.00500000 PA USD 9756924.89000000 0.218843664535 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05112100 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 800000.00000000 NC USD 121170.88000000 0.002717811166 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 112278.18000000 USD 0.00000000 USD 800000.00000000 USD 8892.70000000 N N N BENCHMARK 2025-V16 MORTGAGE TRUST N/A 08164RAE5 45400000.00000000 PA USD 615714.80000000 0.013810220398 Long ABS-MBS CORP US N 2 2058-08-15 Variable 0.00326703 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BKCD4 45114.50500000 PA USD 48534.71000000 0.001088612848 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.07000000 N N N N N N AVIS BUDGET RENT CAR FDG AESOP LLC IHXLB8SL0QWSSG2VG640 05377REZ3 6000000.00000000 PA USD 5967222.00000000 0.133842244795 Long ABS-CBDO CORP US N 2 2028-08-21 Fixed 0.03830000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L5BJ4 54902.16000000 PA USD 44783.44000000 0.001004473461 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UN6 5440000.00000000 PA USD 5371787.51000000 0.120486903102 Long DBT UST US N 2 2045-08-15 Fixed 0.04875000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5KC0 17206.43100000 PA USD 15736.33000000 0.000352959171 Long ABS-CBDO USGSE US N 2 2047-11-25 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VSF8 3880739.53200000 PA USD 3189638.42000000 0.071542229569 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 0.02000000 N N N N N N AFFIRM MASTER TRUST N/A 00833BAN8 6600000.00000000 PA USD 6559560.48000000 0.147128144304 Long ABS-CBDO CORP US N 2 2034-10-16 Fixed 0.04450000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AM2V2 102191.40600000 PA USD 109962.65000000 0.002466415346 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 3142GQYQ9 4566616.38000000 PA USD 4888558.72000000 0.109648287410 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 3132A5H40 3095717.87000000 PA USD 2853212.95000000 0.063996349743 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 3137HMCE8 3200000.00000000 PA USD 3180908.48000000 0.071346420738 Long ABS-MBS USGSE US N 2 2030-07-25 Variable 0.04266000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PYB4 3246831.05400000 PA USD 3421122.57000000 0.076734320340 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H4BY5 7600000.00000000 PA USD 7223543.12000000 0.162020991770 Long ABS-MBS USGSE US N 2 2028-09-25 Fixed 0.02031000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W4GW1 10140206.14400000 PA USD 10496610.05000000 0.235434487242 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A5GW9 40429.95800000 PA USD 37300.76000000 0.000836640140 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 3132DPJM1 34078.57600000 PA USD 27606.05000000 0.000619191929 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427H2G6 157302.16000000 PA USD 167634.80000000 0.003759977077 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AAXL3 20732.33200000 PA USD 17790.43000000 0.000399031758 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 3140QNEK4 126646.76700000 PA USD 103542.66000000 0.002322417709 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N CIM TRUST N/A 12566LAB0 3591030.93300000 PA USD 3358719.60000000 0.075334648334 Long ABS-CBDO CORP US N 2 2057-06-25 Fixed 0.01951000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GR3T5 10437926.79400000 PA USD 10816700.37000000 0.242613976621 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W1C92 10084026.10200000 PA USD 8212889.68000000 0.184211613214 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTWB8 1456831.93400000 PA USD 1543799.12000000 0.034626755923 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FVHP0 9935460.47500000 PA USD 9588214.14000000 0.215059554358 Long ABS-CBDO USGSE US N 2 2043-04-25 Fixed 0.02000000 N N N N N N LIFE FINANCIAL SERVICES TRUST 2022 N/A 53218DAA6 6100000.00000000 PA USD 5863625.00000000 0.131518608263 Long ABS-MBS CORP US N 2 2039-05-15 Variable 0.04922330 N N N N N N MORGAN STANLEY CAPITAL I N/A 61767FBA8 10000.00000000 PA USD 9957.71000000 0.000223347188 Long ABS-MBS CORP US N 2 2049-08-15 Fixed 0.02782000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0VX0 9798229.88300000 PA USD 9954352.92000000 0.223271891057 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.05500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQDN8 18999461.92000000 PA USD 18978030.53000000 0.425669131788 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 0.04139170 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QPYC5 268239.03700000 PA USD 268319.72000000 0.006018296897 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N BMO MORTGAGE TRUST N/A 09664JAB2 7300000.00000000 PA USD 7268196.82000000 0.163022555219 Long ABS-MBS CORP US N 2 2058-12-15 Fixed 0.04735500 N N N N N N PRESTON RIDGE PARTNERS MORTGAGE N/A 69383VAA1 4593816.28000000 PA USD 4542013.65000000 0.101875429271 Long ABS-CBDO CORP US N 2 2056-01-25 Variable 0.04845000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6P31 242615.20300000 PA USD 259719.36000000 0.005825394489 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 3140QL3M6 945337.12200000 PA USD 900751.53000000 0.020203472701 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.04000000 N N N N N N CROSS 2026-NQM2 MTG TR N/A 227924AA5 2906702.69000000 PA USD 2884166.73000000 0.064690629828 Long ABS-CBDO CORP US N 2 2061-03-25 Variable 0.04735000 N N N N N N ENTERPRISE FLEET FING 2023-3 LLC N/A 29374LAB6 462699.58000000 PA USD 466337.65000000 0.010459754624 Long ABS-CBDO CORP US N 2 2030-03-20 Fixed 0.06400000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F4F76 2807101.06800000 PA USD 2710574.13000000 0.060797021837 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-H6 N/A 61769JAY7 173560.94900000 PA USD 171061.15000000 0.003836828647 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 3132DMSD8 8161245.65400000 PA USD 7214133.91000000 0.161809947203 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03000000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 1000000.00000000 NC USD 79564.40000000 0.001784595562 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 48187.78000000 USD 0.00000000 USD 1000000.00000000 USD 31376.62000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 56200000.00000000 NC USD 627363.97000000 0.014071506313 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 2029-04-12 0.00000000 USD 0.00000000 USD 56200000.00000000 USD 1.00000000 3.46600000 USD 2027-04-08 XXXX 227219.97000000 N N N WELLS FARGO COML MTG TR 2019-C54 N/A 95001YAC8 337440.46000000 PA USD 330754.75000000 0.007418687995 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 0.03063000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BQ7K1 41026.38300000 PA USD 43540.49000000 0.000976594623 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DVA7 1111313.96200000 PA USD 899200.80000000 0.020168690488 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 3132DVLM5 34044.35000000 PA USD 27929.41000000 0.000626444756 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N DLLMT 2026-1 LLC N/A 23347JAB8 2675000.00000000 PA USD 2672428.52000000 0.059941432072 Long ABS-CBDO CORP US N 2 2028-07-20 Fixed 0.04030000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUPN7 3563682.45000000 PA USD 3693002.07000000 0.082832461584 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31426GJF3 144969.94200000 PA USD 154506.11000000 0.003465506159 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.07000000 N N N N N N DEXT ABS 2025-1 LLC N/A 252154AC3 2340000.00000000 PA USD 2352194.91000000 0.052758728760 Long ABS-CBDO CORP US N 2 2035-08-15 Fixed 0.04770000 N N N N N N AUTONATION FINANCE TRUST 2026-1 N/A 05330WAC3 2400000.00000000 PA USD 2388534.24000000 0.053573804435 Long ABS-CBDO CORP US N 2 2030-08-12 Fixed 0.04030000 N N N N N N SOFI CONSUMER LOAN PROGRAM TRUST N/A 83408AAA9 11892310.90000000 PA USD 11877834.39000000 0.266414760179 Long ABS-CBDO CORP US N 2 2035-12-26 Fixed 0.04060000 N N N N N N TESLA FINANCE LLC N/A 881938AA2 5600000.00000000 PA USD 5621466.48000000 0.126087095925 Long ABS-CBDO CORP US N 2 2052-05-20 Fixed 0.05310000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CY3P1 5736123.53200000 PA USD 5848673.73000000 0.131183257653 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.05500000 N N N N N N CARVANA AUTO RECEIVABLES TR 2025-P1 N/A 14689MAE0 2800000.00000000 PA USD 2817461.08000000 0.063194450545 Long ABS-CBDO CORP US N 2 2031-05-12 Fixed 0.04980000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MD5 565099.42600000 PA USD 601697.92000000 0.013495827757 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A N/A 81378RAB0 261630.33000000 PA USD 263643.18000000 0.005913404099 Long ABS-CBDO CORP CA N 2 2031-07-25 Fixed 0.05038000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HCTM4 8758283.73100000 PA USD 8736579.83000000 0.195957759956 Long ABS-MBS USGSE US N 2 2029-03-25 Variable 0.04169170 N N N N N N VCAT ASSET SECURITIZATION LLC N/A 921968AA1 3370846.84000000 PA USD 3370839.42000000 0.075606490728 Long ABS-CBDO CORP US N 2 2056-02-25 Variable 0.05062000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BV4T2 15900000.00000000 PA USD 15981530.43000000 0.358458912374 Long ABS-MBS USGSE US N 2 2030-04-25 Fixed 0.04620000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AGRB7 187921.06800000 PA USD 153286.37000000 0.003438147911 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 31425UMH5 3569307.67700000 PA USD 3695485.20000000 0.082888157131 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.06000000 N N N N N N AVIS BUDGET RENT CAR FDG AESOP LLC IHXLB8SL0QWSSG2VG640 05377RJG0 11095000.00000000 PA USD 11190320.47000000 0.250994116137 Long ABS-CBDO CORP US N 2 2028-10-20 Fixed 0.05130000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRUZ6 746993.09800000 PA USD 641406.07000000 0.014386464628 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1 N/A 81885FAB2 2000000.00000000 PA USD 1995266.60000000 0.044752978975 Long ABS-CBDO CORP US N 2 2029-08-20 Fixed 0.03910000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CLM52 372045.34000000 PA USD 396140.74000000 0.008885267867 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 3132DPPP7 473131.64000000 PA USD 383269.98000000 0.008596582209 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31426FVK0 86943.94100000 PA USD 92607.44000000 0.002077145387 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNNX6 191994.06800000 PA USD 156968.69000000 0.003520740778 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 3140XDCS3 120345.12400000 PA USD 98127.37000000 0.002200955063 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N BX COML MTG TR 2024-MDHS N/A 12433BAA5 745273.42400000 PA USD 745972.12000000 0.016731836538 Long ABS-MBS CORP US N 2 2041-05-15 Floating 0.05268390 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418D4X7 36149.55300000 PA USD 29193.31000000 0.000654793494 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020661 -194650000.00000000 PA USD -155742812.98000000 -3.49324488011 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.02000000 N N N N N N CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7 N/A 12532BAB3 340009.33200000 PA USD 339634.00000000 0.007617845786 Long ABS-MBS CORP US N 2 2054-12-10 Fixed 0.03643600 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XALE0 3251613.65000000 PA USD 2636068.55000000 0.059125893450 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133CKJU3 63442.94400000 PA USD 67785.75000000 0.001520405465 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N PRET 2025-RPL2 N/A 69392LAA2 13621645.65000000 PA USD 13204208.96000000 0.296164776164 Long ABS-CBDO CORP US N 2 2064-08-25 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H060663 -87975000.00000000 PA USD -89622463.84000000 -2.01019364529 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31425UFE0 45695.40800000 PA USD 48508.49000000 0.001088024744 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.07000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0S97 5546682.87100000 PA USD 4743595.85000000 0.106396832054 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 3140XGPU7 21276.28400000 PA USD 17188.75000000 0.000385536332 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N RCKTL 2025-2 N/A 74939HAA1 822341.92000000 PA USD 823338.68000000 0.018467135487 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 3140XQAJ6 4561964.24500000 PA USD 3871513.69000000 0.086836401096 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WLQ9 3156172.29100000 PA USD 2811360.15000000 0.063057609286 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MMP3 10889636.35600000 PA USD 11546511.20000000 0.258983322317 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.06500000 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM7 N/A 64831YAA4 2756092.83000000 PA USD 2748100.16000000 0.061638714687 Long ABS-CBDO CORP US N 2 2065-10-26 Variable 0.04949000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31426YMC7 39006.36400000 PA USD 41408.88000000 0.000928783519 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 0.07000000 N N N N N N CARMX 2026-1 N/A 14320XAD3 5600000.00000000 PA USD 5559402.24000000 0.124695021489 Long ABS-CBDO CORP US N 2 2031-03-17 Fixed 0.04040000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCB56 21712799.12600000 PA USD 18602996.50000000 0.417257278425 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 3140U0Q59 47649.64100000 PA USD 50885.30000000 0.001141335579 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 0.07000000 N N N N N N BMO 2025-5C11 MTG TR N/A 096941AE9 39396000.00000000 PA USD 917966.20000000 0.020589590408 Long ABS-MBS CORP US N 2 2058-07-15 Variable 0.00806295 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X9X67 23443175.44800000 PA USD 21106352.69000000 0.473406490235 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTGD6 4312383.68300000 PA USD 3690702.26000000 0.082780877827 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 31427RFR6 7546749.29600000 PA USD 7958937.65000000 0.178515577476 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 3140Y6HT0 54466951.17500000 PA USD 55467579.88000000 1.244114163091 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.05500000 N N N N N N PRET 2025-RPL3 N/A 69382RAA1 3349565.38000000 PA USD 3255093.57000000 0.073010360671 Long ABS-CBDO CORP US N 2 2065-04-25 Variable 0.04150000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136AST63 3512816.92700000 PA USD 3271729.49000000 0.073383497263 Long ABS-CBDO USGSE US N 2 2044-11-25 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133ABWH9 66351.90300000 PA USD 53687.51000000 0.001204187954 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N OCWEN LOAN INVESTMENT TRUST N/A 68278FAA6 625539.30000000 PA USD 611338.74000000 0.013712067238 Long ABS-CBDO CORP US N 2 2038-11-25 Variable 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427NUK3 17121875.95400000 PA USD 13950185.41000000 0.312896709823 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FBU79 62549.14600000 PA USD 61736.32000000 0.001384719330 Long ABS-MBS USGSE US N 2 2027-09-25 Fixed 0.03187000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLQ6 3200543.00800000 PA USD 2744147.50000000 0.061550058209 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02500000 N N N N N N GREENSKY HOME IMPROVEMENT 2025-3A N/A 39571WAC0 2475800.64700000 PA USD 2462076.05000000 0.055223315872 Long ABS-CBDO CORP US N 2 2060-12-27 Fixed 0.04520000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLE3 4751068.59700000 PA USD 4079507.90000000 0.091501622530 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02500000 N N N N N N BENCHMARK 2019-B12 MTG TR N/A 08162FAE3 10895000.00000000 PA USD 10382681.15000000 0.232879110599 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 0.03115600 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVL94 122862.51500000 PA USD 104996.84000000 0.002355034346 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N VERUS 2026-R3 N/A 92541HAC9 2235619.44000000 PA USD 2234506.33000000 0.050119024098 Long ABS-CBDO CORP US N 2 2068-02-27 Variable 0.05190000 N N N N N N BRAVO RESIDENTIAL FUNDING TRUST 2025-NQM4 25490082TY9NA9XBGW19 10570QAE1 6094634.40000000 PA USD 6131604.45000000 0.137529273049 Long ABS-CBDO CORP US N 2 2065-02-25 Variable 0.05613000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVRX4 1936257.43200000 PA USD 2013327.84000000 0.045158084886 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 31418EBJ8 1700765.72500000 PA USD 1468807.81000000 0.032944732819 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.02000000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 10820000.00000000 NC USD 658733.39000000 0.014775109027 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 2041-03-27 0.00000000 USD 0.00000000 USD 10820000.00000000 USD 1.00000000 4.34000000 USD 2031-03-25 XXXX -14270.61000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XDC7 8346971.34700000 PA USD 7597508.48000000 0.170408875321 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXLU4 6159758.05900000 PA USD 6355467.12000000 0.142550417273 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.06000000 N N N N N N BENCHMARK 2025-V16 MORTGAGE TRUST N/A 08164RAH8 9700000.00000000 PA USD 619878.50000000 0.013903610413 Long ABS-MBS CORP US N 2 2058-08-15 Variable 0.01765248 N N N N N N CCG RECEIVABLES TRUST. N/A 12515XAC4 1000000.00000000 PA USD 1002586.40000000 0.022487585408 Long ABS-CBDO CORP US N 2 2032-10-14 Fixed 0.04690000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPBC2 4382311.79300000 PA USD 3563676.23000000 0.079931738143 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8V81 2325633.73400000 PA USD 2296168.88000000 0.051502088799 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04312100 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDKE5 135203.55800000 PA USD 120273.72000000 0.002697688250 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 3140XRMS1 2850825.57700000 PA USD 2325405.59000000 0.052157855736 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 3132DVMT9 6254132.90200000 PA USD 6508934.41000000 0.145992623143 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 0.06000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BNS31 6558844.80000000 PA USD 6509572.13000000 0.146006926931 Long ABS-CBDO USGSE US N 2 2052-08-25 Variable 0.04412100 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVLS1 810819.80300000 PA USD 843093.51000000 0.018910227900 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 3137HNN46 8700000.00000000 PA USD 8662995.42000000 0.194307293019 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 0.04320000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUHC4 15064463.42700000 PA USD 14256283.59000000 0.319762361468 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 3140XRYF6 5206222.45000000 PA USD 4637833.63000000 0.104024630561 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 3138WG5A8 3361784.47100000 PA USD 3242803.86000000 0.072734707717 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N VERUS SECURITIZATION TRUST 2025-5 N/A 92540XAA9 2769398.02000000 PA USD 2779845.30000000 0.062350744640 Long ABS-CBDO CORP US N 2 2070-06-25 Variable 0.05427000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L4HK8 357774.82500000 PA USD 291835.31000000 0.006545741552 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 3132DVL52 80546021.15600000 PA USD 69009865.60000000 1.547861856813 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 3133CLMR4 490112.61200000 PA USD 521647.83000000 0.011700338375 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 3140MUX39 163044.84100000 PA USD 155316.83000000 0.003483690263 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 3140XMAW6 2610002.39000000 PA USD 2227214.48000000 0.049955471012 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 7400000.00000000 NC USD 235046.94000000 0.005272002630 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 -60398.06000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFGG0 13581.26600000 PA USD 13225.08000000 0.000296632904 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 3133KYUY3 28727216.81200000 PA USD 24277307.73000000 0.544529659559 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KJJB9 416868.71800000 PA USD 340037.94000000 0.007626905988 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 3132DVD93 5585645.21100000 PA USD 4554440.15000000 0.102154150367 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEN32 48565399.13700000 PA USD 41700709.11000000 0.935329122470 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 3140QKP51 21702886.80400000 PA USD 18560593.10000000 0.416306188246 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02500000 N N N N N N ARI FLEET LEASE TRUST 2024-B N/A 04033HAC9 2670000.00000000 PA USD 2701458.47000000 0.060592561471 Long ABS-CBDO CORP US N 2 2033-04-15 Fixed 0.05260000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A9FA3 44371.28100000 PA USD 47371.16000000 0.001062514917 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.07000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 25610000.00000000 NC USD 1087200.59000000 0.024385445607 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 394770.21000000 N N N ONITY LOAN INVESTMENT TRUST 2024-HB2 N/A 68278DAA1 1860460.86000000 PA USD 1860541.05000000 0.041731142341 Long ABS-CBDO CORP US N 2 2037-08-25 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A7GJ7 22048.35800000 PA USD 23557.62000000 0.000528387370 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 3132DVAU9 3810404.01600000 PA USD 4072782.72000000 0.091350779610 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 3132DPUG1 3676638.81700000 PA USD 3388627.11000000 0.076005461029 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 3132DSJW3 2511434.72400000 PA USD 2684368.35000000 0.060209237367 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N OPTN 2026-A N/A 68390VAA4 985000.00000000 PA USD 977415.20000000 0.021923006126 Long ABS-CBDO CORP US N 2 2034-01-09 Fixed 0.04320000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6HB9 17801862.36900000 PA USD 17746023.27000000 0.398035734324 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 3132DM7D1 222733.36900000 PA USD 182309.04000000 0.004089114023 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02000000 N N N N N N REACH ABS TR 2026-1A N/A 75526XAB0 3100000.00000000 PA USD 3084936.17000000 0.069193802751 Long ABS-CBDO CORP US N 2 2033-02-15 Fixed 0.04370000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HPU68 6903861.00000000 PA USD 6894428.25000000 0.154639085584 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04189170 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWAV5 27608.21100000 PA USD 21156.36000000 0.000474528132 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.01500000 N N N N N N NISSAN AUTO LEASE TR 2026-A N/A 65481HAD5 1960000.00000000 PA USD 1945065.00000000 0.043626978495 Long ABS-CBDO CORP US N 2 2029-03-15 Fixed 0.03870000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BWR83 63830.71100000 PA USD 68132.24000000 0.001528177088 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.07000000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 133540000.00000000 NC USD 965293.89000000 0.021651130312 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 2029-04-19 0.00000000 USD 0.00000000 USD 133540000.00000000 USD 1.00000000 3.39500000 USD 2028-04-17 XXXX 327640.39000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QQFK6 1667743.97400000 PA USD 1588696.08000000 0.035633775590 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.04000000 N N N N N N OPORTUN ISSUANCE TRUST 2025-D N/A 68379HAA0 6800000.00000000 PA USD 6769512.20000000 0.151837271852 Long ABS-CBDO CORP US N 2 2033-02-08 Fixed 0.04530000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNW34 2168491.75900000 PA USD 2317133.20000000 0.051972309556 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 3140XQW29 5456954.84700000 PA USD 4451213.51000000 0.099838820852 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 3133AXLZ3 282331.66000000 PA USD 269015.85000000 0.006033910796 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 3140XMRT5 2669064.80300000 PA USD 2852018.52000000 0.063969559187 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 31418D3G5 27337.27000000 PA USD 22076.77000000 0.000495172536 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F060667 -87425000.00000000 PA USD -89269125.47000000 -2.00226841633 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVFP4 784408.12900000 PA USD 842465.86000000 0.018896149978 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.07000000 N N N N N N GREATAMERICA LEASING RECEIV- ABLES FDG LLC N/A 39154TCP1 13400000.00000000 PA USD 13408890.90000000 0.300755704794 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 3140QNHA3 667049.51900000 PA USD 635589.00000000 0.014255990229 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 31427DSK8 67093.37700000 PA USD 71943.96000000 0.001613672342 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A -205.00000000 NC USD -19519.08000000 -0.00043780464 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short UST NOTES UST NOTES 0% 06/30/2040 2026-09-21 -22508059.05000000 USD -19519.08000000 N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BLES5 17125.13900000 PA USD 15264.92000000 0.000342385646 Long ABS-CBDO USGSE US N 2 2047-10-25 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AARN9 34695.66300000 PA USD 37062.52000000 0.000831296518 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.07000000 N N N N N N BENCHMARK 2019-B9 MTG TR N/A 08160KAF1 346161.81000000 PA USD 337743.43000000 0.007575441107 Long ABS-MBS CORP US N 2 2072-12-15 Fixed 0.02859000 N N N N N N UPG HI 2026-1 ISSUER TR N/A 90321BAA6 1400000.00000000 PA USD 1396289.02000000 0.031318167284 Long ABS-CBDO CORP US N 2 2048-02-25 Fixed 0.05030000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133ARAC9 182503.59400000 PA USD 148810.33000000 0.003337752243 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 3132DWBG7 41134.30100000 PA USD 31482.93000000 0.000706148694 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 3140XJSH7 344497.82000000 PA USD 283050.78000000 0.006348708291 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FK4M5 5000000.00000000 PA USD 4964754.50000000 0.111357326263 Long ABS-MBS USGSE US N 2 2028-10-25 Fixed 0.04060000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8VP3 3668640.58400000 PA USD 3635899.80000000 0.081551682019 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04362100 N N N N N N OPORTUN ISSUANCE TRUST 2025-C N/A 68378RAA9 2510000.00000000 PA USD 2501074.19000000 0.056098027522 Long ABS-CBDO CORP US N 2 2033-07-08 Fixed 0.04490000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140M4V96 154209.25800000 PA USD 146936.18000000 0.003295715857 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQJ3 26860000.00000000 PA USD 26731995.45000000 0.599587258340 Long DBT UST US N 2 2029-04-15 Fixed 0.03875000 N N N N N N RCO VIII MORTGAGE LLC 2025-3 N/A 74939GAA3 832342.18000000 PA USD 832936.81000000 0.018682417450 Long ABS-CBDO CORP US N 2 2030-05-25 Variable 0.06434500 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427QSJ2 1852868.76200000 PA USD 1708881.22000000 0.038329477028 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QV5J9 237146.45900000 PA USD 253957.70000000 0.005696162913 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 N/A 92887TAB7 3796585.00000000 PA USD 3800864.89000000 0.085251778640 Long ABS-CBDO CORP US N 2 2027-11-15 Fixed 0.04410000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLVZ8 419487.07800000 PA USD 338896.48000000 0.007601303527 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 3140YW5N9 30026.03400000 PA USD 32148.94000000 0.000721087014 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XBS4 14016395.72200000 PA USD 12757883.17000000 0.286153879026 Long ABS-MBS USGA US N 2 2052-07-20 Fixed 0.03500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0A62 2449439.41100000 PA USD 2579395.64000000 0.057854744246 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 3140B65N1 42744.32100000 PA USD 45747.74000000 0.001026102299 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQC96 13498912.07000000 PA USD 10913978.40000000 0.244795881350 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137AVJY4 2599667.69900000 PA USD 2316189.79000000 0.051951149272 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 3137FRDX6 904081.51500000 PA USD 731566.22000000 0.016408718345 Long ABS-CBDO USGSE US N 2 2050-02-25 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179W5C8 36633641.51500000 PA USD 32619964.50000000 0.731651893264 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 3140XCW61 1201986.74900000 PA USD 1027203.57000000 0.023039738033 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02500000 N N N N N N OBX 2025-NQM19 TR N/A 67449LAA9 2728397.36000000 PA USD 2711354.15000000 0.060814517353 Long ABS-CBDO CORP US N 2 2065-10-25 Variable 0.04869000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3132E0EK4 6513983.79500000 PA USD 5599342.95000000 0.125590874582 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31426LRG1 56002.42100000 PA USD 59690.66000000 0.001338836049 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABLA8 2325716.51900000 PA USD 1994972.88000000 0.044746390961 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FU4N1 7787436.27700000 PA USD 7360082.02000000 0.165083501072 Long ABS-CBDO USGSE US N 2 2045-01-25 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VTV2 7963776.48600000 PA USD 6545548.15000000 0.146813853718 Long ABS-MBS USGA US N 2 2050-09-20 Fixed 0.02000000 N N N N N N GS MTG-BACKED SECS TR 2024-RPL2 N/A 36269MAA9 13612667.36800000 PA USD 13306929.58000000 0.298468755867 Long ABS-CBDO CORP US N 2 2061-07-25 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KKTJ3 11613.65300000 PA USD 9524.01000000 0.000213619482 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 3132DTJP6 4193908.53200000 PA USD 4491213.45000000 0.100736002448 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 3140W24M0 5878521.52500000 PA USD 5292548.74000000 0.118709611281 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 0.01500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BMAZ1 1409889.69500000 PA USD 1314617.10000000 0.029486300947 Long ABS-CBDO USGSE US N 2 2049-03-25 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQHG5 1748945.95400000 PA USD 1567296.23000000 0.035153786080 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03000000 N N N N N N BX TRUST 2026-LP3 N/A 05620HAA9 4665775.82000000 PA USD 4678898.31000000 0.104945693822 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 0.05007090 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUYT7 37542.80500000 PA USD 38705.72000000 0.000868152793 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GS5C8 664630.84000000 PA USD 691085.67000000 0.015500756871 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.06000000 N N N N N N JPMDB COML MTG SECS TR 2017-C5 N/A 46590TAF2 101654.55500000 PA USD 101328.72000000 0.002272759978 Long ABS-MBS CORP US N 2 2050-03-15 Fixed 0.03491900 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L3JA0 24799.25500000 PA USD 20228.64000000 0.000453719768 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 3132DVMC6 10772948.88300000 PA USD 9579980.53000000 0.214874877997 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XF6S5 2638562.43500000 PA USD 2247463.10000000 0.050409638923 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTBS4 680562.77000000 PA USD 705471.84000000 0.015823432529 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 N/A 949931AE9 57043000.00000000 PA USD 1148537.99000000 0.025761217332 Long ABS-MBS CORP US N 2 2058-05-15 Variable 0.00738955 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HN4L9 4000000.00000000 PA USD 3974359.20000000 0.089143182028 Long ABS-MBS USGSE US N 2 2032-06-25 Fixed 0.04400000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYU80 14858046.82400000 PA USD 12537854.35000000 0.281218726422 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140YW3H4 100974.45500000 PA USD 107774.36000000 0.002417332935 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N BX TR 2025-TAIL N/A 123912AA5 1026000.00000000 PA USD 1026960.85000000 0.023034293927 Long ABS-MBS CORP US N 2 2035-06-15 Variable 0.05027090 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H052660 -206125000.00000000 PA USD -207406005.04000000 -4.65202824674 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.05500000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 700000.00000000 NC USD 55695.08000000 0.001249216893 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 27314.49000000 USD 0.00000000 USD 700000.00000000 USD 28380.59000000 N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTVA1 6718805.33000000 PA USD 7073175.28000000 0.158648305242 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 3140Y8US3 4680549.56700000 PA USD 4871607.26000000 0.109268073391 Long ABS-MBS USGSE US N 2 2056-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG4L5 3968134.85300000 PA USD 3831859.18000000 0.085946967347 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 3136BVVD7 4057903.13000000 PA USD 4123585.97000000 0.092490274843 Long ABS-CBDO USGSE US N 2 2054-08-25 Variable 0.05212100 N N N N N N REACH ABS TRUST 2025-1 N/A 75525PAA0 5767802.86000000 PA USD 5776328.83000000 0.129560592396 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 3136BUWX4 3547201.59000000 PA USD 3576724.95000000 0.080224415368 Long ABS-CBDO USGSE US N 2 2054-09-25 Variable 0.05012100 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DUA8 47017.56700000 PA USD 41065.53000000 0.000921082325 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.02000000 N N N N N N MERCHANTS FLEET FUNDING LLC N/A 588926AL9 4245000.00000000 PA USD 4247664.59000000 0.095273305377 Long ABS-CBDO CORP US N 2 2039-01-20 Fixed 0.04490000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MAC5 7018625.96900000 PA USD 7138793.97000000 0.160120104476 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.05500000 N N N N N N LONDON CLEARING HOUSE N/A N/A 2700000.00000000 NC USD -6797.60000000 -0.00015246726 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2056-06-17 0.00000000 USD 0.00000000 USD 2589969.41000000 USD -6797.60000000 N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BJTS4 482275.58100000 PA USD 400737.20000000 0.008988364505 Long ABS-CBDO USGSE US N 2 2050-08-25 Fixed 0.01500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQE4 2250000.00000000 PA USD 2217832.02000000 0.049745026435 Long DBT UST US N 2 2029-03-15 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNNC8 2600000.00000000 PA USD 2590967.34000000 0.058114292543 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 3622ADQU5 2700761.40700000 PA USD 2741064.06000000 0.061480897965 Long ABS-MBS USGA US N 2 2055-01-20 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427Q2H4 2887389.41700000 PA USD 3000513.87000000 0.067300246563 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5JE8 2301427.92000000 PA USD 2093493.91000000 0.046956175650 Long ABS-CBDO USGSE US N 2 2052-01-25 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DB92 3549217.41300000 PA USD 3264532.55000000 0.073222072967 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVFN9 1099019.19100000 PA USD 1182595.20000000 0.026525106029 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BJZQ1 500000.00000000 PA USD 440681.00000000 0.009884286905 Long ABS-MBS USGSE US N 2 2031-10-25 Variable 0.01807306 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWMS9 883895.22400000 PA USD 891018.36000000 0.019985161848 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.05500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020661 197500000.00000000 PA USD 158023147.00000000 3.544391799755 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179W2V9 51741979.91400000 PA USD 46052783.65000000 1.032944298502 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KN4L4 1989431.18600000 PA USD 1821153.96000000 0.040847706709 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 3140QRC84 2697813.08700000 PA USD 2846848.38000000 0.063853595152 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUW22 2392707.42000000 PA USD 2407355.10000000 0.053995948299 Long ABS-CBDO USGSE US N 2 2054-09-25 Variable 0.04812100 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AN3F4 34159.76900000 PA USD 36549.32000000 0.000819785661 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 3140XMCY0 2514277.79300000 PA USD 2310248.93000000 0.051817898316 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSD25 1739528.92900000 PA USD 1836223.60000000 0.041185712308 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.06500000 N N N N N N TCO COML MTG TR 2024-DPM N/A 87231EAC1 1000000.00000000 PA USD 999998.90000000 0.022429548887 Long ABS-MBS CORP US N 2 2039-12-15 Variable 0.05219510 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAB0 63756.03000000 PA USD 63827.04000000 0.001431613288 Long ABS-CBDO CORP US N 2 2059-10-27 Fixed 0.05250000 N N N N N N MORGAN STANLEY CAP I TR 2024-NSTB N/A 61690BAA0 953031.49000000 PA USD 935106.49000000 0.020974039803 Long ABS-MBS CORP US N 2 2057-09-24 Variable 0.03900000 N N N N N N GMF FLOORPLAN OWNER REVOLVING TR N/A 361886DZ4 2000000.00000000 PA USD 2006468.40000000 0.045004230572 Long ABS-CBDO CORP US N 2 2029-03-15 Fixed 0.04790000 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TR N/A 80288DAC0 630926.69000000 PA USD 631938.25000000 0.014174105463 Long ABS-CBDO CORP US N 2 2029-01-16 Fixed 0.04740000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B9TC8 208644.53400000 PA USD 198435.70000000 0.004450828130 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 3140XNHC1 4184105.43500000 PA USD 4413940.44000000 0.099002801786 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.06500000 N N N N N N BENCHMARK 2018-B4 MTG TR N/A 08161HAD2 2156628.09800000 PA USD 2150890.60000000 0.048243558931 Long ABS-MBS CORP US N 2 2051-07-15 Fixed 0.04059000 N N N N N N BENCHMARK 2018-B8 MTG TR N/A 08162UAW0 970000.00000000 PA USD 953347.04000000 0.021383167561 Long ABS-MBS CORP US N 2 2052-01-15 Fixed 0.04231700 N N N N N N DEXT ABS 2025-1 LLC N/A 252154AB5 626491.43000000 PA USD 627377.79000000 0.014071816290 Long ABS-CBDO CORP US N 2 2027-08-16 Fixed 0.04590000 N N N N N N GS MTG SECS TR 2018-GS10 N/A 36250SAE9 400000.00000000 PA USD 395675.16000000 0.008874825106 Long ABS-MBS CORP US N 2 2051-07-10 Fixed 0.04155000 N N N N N N MERCEDES-BENZ AUTO LEASE TR 2024-B N/A 58769GAD5 492882.07000000 PA USD 493256.41000000 0.011063530931 Long ABS-CBDO CORP US N 2 2028-02-15 Fixed 0.04230000 N N N N N N 2026-06-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer XXXX