NPORT-P false 0000764624 XXXXXXXX S000016649 C000046506 C000046508 C000046509 C000046510 C000088509 C000118880 Legg Mason Partners Income Trust 811-04254 0000764624 549300Y1U2UCLTK83X35 620 Eighth Avenue 47th Floor New York 10018 1-877-656-3863 Western Asset Mortgage Total Return Fund S000016649 549300GQXDFRVF4XT215 2025-12-31 2025-03-31 N 588672449.31 216885304.92 371787144.39 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 202116621.29000000 0.00000000 808509.54000000 USD N Bloomberg US Mortgage Backed Securities NA BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -149.00000000 NC USD -112765.35000000 -0.03033062108 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2025-06-18 -16458828.40000000 USD -112765.35000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KA68 1064.75000000 PA USD 1108.79000000 0.000298232474 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B6HG1 1569654.03000000 PA USD 171545.29000000 0.046140726646 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 1.54583000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31395Q3F5 5372340.34000000 PA USD 900482.03000000 0.242203648939 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 3.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31424UBD7 1569592.42000000 PA USD 284669.04000000 0.076567746974 Long ABS-MBS USGSE US N 2 2052-09-25 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622A3CN8 1088543.88000000 PA USD 1021090.67000000 0.274643888420 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ARUW4 114693.20000000 PA USD 1635.44000000 0.000439886108 Long ABS-MBS USGSE US N 2 2027-06-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36208AZY0 1290.85000000 PA USD 1297.01000000 0.000348858216 Long ABS-MBS USGA US N 2 2058-08-20 Floating 5.34300000 N N N N N N CoreVest American Finance Ltd N/A 124762AB1 1140000.00000000 PA USD 1159587.48000000 0.311895528798 Long ABS-MBS CORP US N 2 2030-12-28 Variable 9.30000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F042640 5500000.00000000 PA USD 5261430.19000000 1.415172705509 Long ABS-MBS USGSE US N 2 2055-04-15 Fixed 4.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F042640 -3800000.00000000 PA USD -3635169.95000000 -0.97775568758 Short ABS-MBS USGSE US N 2 2055-04-15 Fixed 4.50000000 N N N N N N Verus Securitization Trust N/A 92538WAE7 400000.00000000 PA USD 300216.92000000 0.080749677478 Long ABS-MBS CORP US N 2 2067-01-25 Variable 4.00700000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617JYLP6 494013.02000000 PA USD 452364.62000000 0.121673012858 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A35F4 20426.20000000 PA USD 20945.47000000 0.005633726264 Long ABS-MBS USGSE US N 2 2039-06-25 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385H5H1 117.95000000 PA USD 118.57000000 0.000031891904 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B5PY5 1694386.42000000 PA USD 174726.48000000 0.046996374844 Long ABS-MBS USGSE US N 2 2049-08-25 Floating 1.59583000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BHK40 3272942.01000000 PA USD 466047.63000000 0.125353347212 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 2.50000000 N N N N N N Renew Financial N/A 75973HAA5 1458924.98000000 PA USD 1457771.41000000 0.392098390704 Long ABS-O CORP US N 2 2058-11-20 Fixed 5.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132L6ZW4 2243225.10000000 PA USD 2190654.13000000 0.589222667608 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379U5F9 7335773.31000000 PA USD 253408.42000000 0.068159543390 Long ABS-MBS USGA US N 2 2058-10-16 Variable 0.61446000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBYB2 1501970.38000000 PA USD 183679.86000000 0.049404575379 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FRK34 1357003.91000000 PA USD 161921.23000000 0.043552132569 Long ABS-MBS USGSE US N 2 2050-03-25 Floating 1.59583000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381H8D6 1989614.84000000 PA USD 112277.75000000 0.030199470770 Long ABS-MBS USGA US N 2 2064-06-16 Variable 0.61107000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FFNR6 31704.02000000 PA USD 5001.02000000 0.001345129888 Long ABS-MBS USGSE US N 2 2037-07-25 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378NF99 928922.28000000 PA USD 18154.11000000 0.004882931073 Long ABS-MBS USGA US N 2 2055-09-16 Variable 0.58843000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXLU4 584026.25000000 PA USD 559528.45000000 0.150496986903 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ADGQ5 668916.76000000 PA USD 623515.01000000 0.167707522814 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FG4Z7 16476.74000000 PA USD 2585.18000000 0.000695338727 Long ABS-MBS USGSE US N 2 2038-01-25 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H3WN8 4847872.74000000 PA USD 695702.22000000 0.187123796639 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FFNP0 42416.40000000 PA USD 7056.27000000 0.001897932757 Long ABS-MBS USGSE US N 2 2038-01-25 Fixed 5.50000000 N N N N N N Sierra Receivables Funding Co N/A 82650DAD4 1694631.19000000 PA USD 1724889.00000000 0.463945304733 Long ABS-O CORP US N 2 2041-06-20 Fixed 7.48000000 N N N N N N Social Professional Loan Progr N/A 83406TAC6 3200000.00000000 PA USD 2721021.76000000 0.731876236459 Long ABS-O CORP US N 2 2046-05-15 Fixed 3.12000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384VNK4 715.22000000 PA USD 718.34000000 0.000193212705 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380CK51 2925769.98000000 PA USD 568261.48000000 0.152845919654 Long ABS-MBS USGA US N 2 2040-02-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXKP6 999151.33000000 PA USD 959715.66000000 0.258135784004 Long ABS-MBS USGSE US N 2 2058-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38377FWL1 190863.20000000 PA USD 12559.62000000 0.003378174901 Long ABS-MBS USGA US N 2 2040-05-16 Floating 1.56634000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397UUU1 113096.12000000 PA USD 116002.74000000 0.031201385456 Long ABS-MBS USGSE US N 2 2041-07-25 Fixed 5.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FWHV5 1081926.90000000 PA USD 64337.00000000 0.017304794146 Long ABS-MBS USGSE US N 2 2030-07-25 Variable 1.41685300 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H0GP7 6113597.54000000 PA USD 83052.61000000 0.022338752496 Long ABS-MBS USGSE US N 2 2028-03-25 Variable 0.76923500 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380PCQ5 6450508.96000000 PA USD 386204.23000000 0.103877779484 Long ABS-MBS USGA US N 2 2062-04-16 Variable 0.81920000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382M5G0 4416837.73000000 PA USD 773188.65000000 0.207965407536 Long ABS-MBS USGA US N 2 2051-01-16 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B0UH7 3522790.64000000 PA USD 710358.76000000 0.191065982436 Long ABS-MBS USGSE US N 2 2048-02-25 Fixed 4.00000000 N N N N N N Freddie Mac - STACR 529900WZAMS87JCAOC53 35564NGA5 920000.00000000 PA USD 911518.52000000 0.245172145878 Long ABS-MBS CORP US N 2 2045-01-25 Floating 5.68969000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XQQ91 20245892.75000000 PA USD 17249053.39000000 4.639496994523 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A22Z5 181589.00000000 PA USD 226163.91000000 0.060831557360 Long ABS-MBS USGSE US N 2 2038-01-25 Variable 11.98154700 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5S4 86239.65000000 PA USD 81533.97000000 0.021930282213 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BAS21 1209529.09000000 PA USD 726266.82000000 0.195344790953 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371H6S2 922.78000000 PA USD 954.09000000 0.000256622644 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 7.50000000 N N N N N N ONNI Commercial Mortgage Trust N/A 682939AG8 1200000.00000000 PA USD 1235607.84000000 0.332342809224 Long ABS-MBS CORP US N 2 2039-07-15 Variable 6.53684300 N N N N N N Goodgreen Trust N/A 38217UAC6 555793.36000000 PA USD 463066.96000000 0.124551633101 Long ABS-O CORP US N 2 2056-10-15 Fixed 5.74000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3620AL7M0 96733.94000000 PA USD 98054.98000000 0.026373956571 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FUNG5 3738544.46000000 PA USD 2286548.00000000 0.615015348029 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375KW40 281172.43000000 PA USD 17539.70000000 0.004717672535 Long ABS-MBS USGA US N 2 2037-07-20 Floating 2.16615000 N N N N N N Fannie Mae - CAS N/A 20753UAJ9 1000000.00000000 PA USD 1044030.70000000 0.280814093696 Long ABS-MBS CORP US N 2 2044-01-25 Floating 8.33969000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MQCZ7 424043.41000000 PA USD 358356.36000000 0.096387507047 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DTDT4 2078647.42000000 PA USD 2016303.86000000 0.542327482384 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABP55 2873142.02000000 PA USD 2530261.57000000 0.680567256877 Long ABS-MBS USGA US N 2 2052-02-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AWSU0 702584.65000000 PA USD 41137.46000000 0.011064788178 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381HDN8 800000.00000000 PA USD 387375.84000000 0.104192908723 Long ABS-MBS USGA US N 2 2063-10-16 Variable 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BN3N4 747883.83000000 PA USD 709339.62000000 0.190791863221 Long ABS-MBS USGSE US N 2 2052-09-25 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ABQF3 122314.46000000 PA USD 129085.31000000 0.034720218799 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FPWG6 3458599.37000000 PA USD 2529146.79000000 0.680267413266 Long ABS-MBS USGSE US N 2 2049-11-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H9F46 10527084.76000000 PA USD 1780501.64000000 0.478903498108 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.50000000 N N N N N N AGNC INVESTMENT CORP 5TRACI5HRMELWV32OF39 00123Q872 79062.00000000 NS USD 1997106.12000000 0.537163844994 Long EP CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A6X74 837188.31000000 PA USD 104307.97000000 0.028055830217 Long ABS-MBS USGSE US N 2 2042-07-25 Floating 2.14583000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B4C71 11092443.91000000 PA USD 349392.02000000 0.093976358589 Long ABS-MBS USGSE US N 2 2029-06-25 Variable 0.79897300 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397PM49 189379.56000000 PA USD 20423.58000000 0.005493352932 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 2.53685000 N N N N N N SESAC Finance, LLC N/A 78396YAD5 1386000.00000000 PA USD 1402248.91000000 0.377164442385 Long ABS-O CORP US N 2 2054-01-25 Fixed 6.42100000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380L7G2 6849654.80000000 PA USD 282848.96000000 0.076078198040 Long ABS-MBS USGA US N 2 2070-04-01 Variable 0.99988000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617Q0FV6 671516.64000000 PA USD 641518.46000000 0.172549930700 Long ABS-MBS USGA US N 2 2050-07-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKK99 527664.64000000 PA USD 496346.31000000 0.133502816729 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 4.00000000 N N N N N N Dividend Solar Loans LLC N/A 255388AA8 600915.87000000 PA USD 538468.93000000 0.144832584484 Long ABS-O CORP US N 2 2039-08-22 Fixed 3.67000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H0YV4 2151072.19000000 PA USD 276195.30000000 0.074288555741 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 2.50000000 N N N N N N SMB Private Education Loan Tru 549300XC4C7GRVLU6076 784456105 22179.00000000 PA USD 1067936.66000000 0.287244106235 Long ABS-O CORP US N 2 2045-09-15 None 0.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABU83 527382.85000000 PA USD 464937.33000000 0.125054708592 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKDU9 280663.56000000 PA USD 248804.72000000 0.066921281102 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 2.50000000 N N N N N N CSAIL Commercial Mortgage Trus 549300ZAGI6FKGY8O078 12635FAZ7 1100000.00000000 PA USD 974433.57000000 0.262094476558 Long ABS-MBS CORP US N 2 2048-08-15 Variable 4.36175600 N N N N N N Structured Asset Securities Co N/A 86358LAA8 1350448.65000000 PA USD 25154.81000000 0.006765917105 Long ABS-O CORP US N 2 2036-02-25 Floating 4.65459000 N N N N N N Freddie Mac - STACR N/A 3137G1CG0 1809069.06000000 PA USD 1339027.87000000 0.360159809236 Long ABS-MBS CORP US N 2 2047-09-25 Variable 4.11061400 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3620E0DH6 803313.52000000 PA USD 813647.35000000 0.218847628885 Long ABS-MBS USGA US N 2 2060-06-20 Floating 6.27600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FXSE9 16053365.43000000 PA USD 2668029.20000000 0.717622768903 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XB4K3 143530.98000000 PA USD 121802.55000000 0.032761366776 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BGCD1 7596795.90000000 PA USD 1081264.12000000 0.290828807912 Long ABS-MBS USGSE US N 2 2048-11-25 Fixed 2.50000000 N N N N N N BHMS Mortgage Trust N/A 05549GAS0 1070000.00000000 PA USD 1051313.09000000 0.282772846200 Long ABS-MBS CORP US N 2 2025-07-15 Floating 11.25269000 N N N N N N Western Asset Premier Institutional Government Reserves 549300WB3XRN9YTWFB76 52470G494 9864911.60000000 NS USD 9864911.60000000 2.653376198949 Long STIV RF US N 1 N N N Thrust Engine Leasing 254900X0E0PUM0VQBP74 88603UAA7 1111651.06000000 PA USD 1076420.39000000 0.289525984489 Long ABS-O CORP US N 2 2040-07-15 Fixed 4.16300000 N N N N N N Boca Commercial Mortgage Trust N/A 096817AJ0 920000.00000000 PA USD 921292.51000000 0.247801066793 Long ABS-MBS CORP US N 2 2041-08-15 Floating 8.75621000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H1RF5 6769456.63000000 PA USD 977005.21000000 0.262786173417 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 2.50000000 N N N N N N MULTIFAMILY CONNECTICUT AVENUE 5493002KQF9IH3CTQZ40 62548QAF8 2250000.00000000 PA USD 2357837.33000000 0.634190118076 Long ABS-MBS CORP US N 2 2050-03-25 Floating 11.95417000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398G4Z9 180596.70000000 PA USD 25130.88000000 0.006759480627 Long ABS-MBS USGSE US N 2 2040-02-25 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FUWV2 2004638.78000000 PA USD 298143.11000000 0.080191882505 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.50000000 N N N N N N College Ave Student Loans N/A 19424WAE7 1271586.92000000 PA USD 1199597.04000000 0.322656944464 Long ABS-O CORP US N 2 2055-07-26 Fixed 4.11000000 N N N N N N BX Trust N/A 05612TAJ4 1200000.00000000 PA USD 1185424.68000000 0.318844989098 Long ABS-MBS CORP US N 2 2029-07-15 Floating 7.20858400 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378KQR3 7292376.99000000 PA USD 140287.83000000 0.037733373011 Long ABS-MBS USGA US N 2 2047-11-16 Variable 0.56919000 N N N N N N JPMDB Commercial Mortgage Secu N/A 46648KAZ9 420000.00000000 PA USD 387053.73000000 0.104106270440 Long ABS-MBS CORP US N 2 2050-10-15 Fixed 3.98540000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UPD8 191094.10000000 PA USD 194826.59000000 0.052402723692 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 5.50000000 N N N N N N Sunnova Hestia I Issuer, LLC N/A 86746BAA1 1975768.55000000 PA USD 1999928.05000000 0.537922862631 Long ABS-MBS CORP US N 2 2050-12-20 Fixed 5.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB4M8 339248.10000000 PA USD 314471.73000000 0.084583809511 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.00000000 N N N N N N TICP CLO Ltd N/A 87248TAS4 1000000.00000000 PA USD 1002622.19000000 0.269676400900 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 7.76359000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380RTP5 2865796.96000000 PA USD 2118383.07000000 0.569783840556 Long ABS-MBS USGA US N 2 2063-06-16 Fixed 1.40000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617B9A63 2742937.09000000 PA USD 2542292.48000000 0.683803224065 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BMY69 6886363.18000000 PA USD 5019952.17000000 1.350222095020 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 1.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AB4Z2 165991.01000000 PA USD 164521.03000000 0.044251403654 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396QRA9 193679.75000000 PA USD 195436.85000000 0.052566866000 Long ABS-MBS USGSE US N 2 2039-08-25 Variable 4.63539500 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H9ZX0 21050914.44000000 PA USD 437871.65000000 0.117774822665 Long ABS-MBS USGSE US N 2 2033-04-25 Variable 0.26460400 N N N N N N Hartwick Park CLO, Ltd. 2549003E1ZAWJG55NM75 417402AE4 590000.00000000 PA USD 588171.24000000 0.158201069852 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 9.14317000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383ASM7 4351872.19000000 PA USD 707725.39000000 0.190357681990 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385H2H4 1205.53000000 PA USD 1206.61000000 0.000324543228 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 8.50000000 N N N N N N Social Professional Loan Progr N/A 83401B106 25000.00000000 PA USD 188557.45000000 0.050716506163 Long ABS-O CORP US N 2 2041-01-25 None 0.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5P0 51310.58000000 PA USD 48503.16000000 0.013045948664 Long ABS-MBS USGA US N 2 2050-03-15 Fixed 4.00000000 N N N N N N Verus Securitization Trust 984500A3F1D749452747 92540EAD5 1650000.00000000 PA USD 1661354.31000000 0.446856308796 Long ABS-MBS CORP US N 2 2069-01-25 Variable 6.66800000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -183.00000000 NC USD -74660.34000000 -0.02008147433 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2025-06-30 -19717933.41000000 USD -74660.34000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BCD80 946977.22000000 PA USD 151806.22000000 0.040831487126 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.50000000 N N N N N N Goodgreen Trust N/A 38218JAC0 217798.42000000 PA USD 219056.99000000 0.058920001217 Long ABS-O CORP KY N 2 2056-10-15 Fixed 7.01000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F9Y21 4198181.78000000 PA USD 582309.64000000 0.156624468808 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381D6B1 2263481.31000000 PA USD 160494.18000000 0.043168297350 Long ABS-MBS USGA US N 2 2063-11-16 Variable 0.91413000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382LXR7 1028438.47000000 PA USD 122359.39000000 0.032911140647 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382X4G7 6968813.19000000 PA USD 1019126.91000000 0.274115693718 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617B83A4 423722.36000000 PA USD 392726.54000000 0.105632092428 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 3.50000000 N N N N N N Renew Financial N/A 75973VAB2 1288146.09000000 PA USD 1284112.90000000 0.345389268934 Long ABS-O CORP US N 2 2059-11-20 Fixed 7.50600000 N N N N N N Wells Fargo Commercial Mortgag N/A 95001VAU4 1370000.00000000 PA USD 1269421.59000000 0.341437731012 Long ABS-MBS CORP US N 2 2052-06-15 Fixed 3.31100000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383M3M8 1200000.00000000 PA USD 1083045.36000000 0.291307910007 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AJ6U2 392082.47000000 PA USD 317031.14000000 0.085272216854 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Natixis Commercial Mortgage Se N/A 63873VAN3 2077000.00000000 PA USD 1028902.81000000 0.276745128368 Long ABS-MBS CORP US N 2 2036-08-15 Variable 4.39750000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FL2N3 39729542.79000000 PA USD 1186252.63000000 0.319067683727 Long ABS-MBS USGSE US N 2 2034-01-25 Variable 0.48091300 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WDG0 435255.75000000 PA USD 347396.80000000 0.093439702055 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617VKGV5 64301.51000000 PA USD 54322.88000000 0.014611285198 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H73R2 17064937.82000000 PA USD 315023.87000000 0.084732319219 Long ABS-MBS USGSE US N 2 2032-03-25 Variable 0.29669000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F022642 34600000.00000000 PA USD 28775788.57000000 7.739855722341 Long ABS-MBS USGSE US N 2 2055-04-15 Fixed 2.50000000 N N N N N N Wave USA N/A 94354KAA8 350722.60000000 PA USD 327064.26000000 0.087970836252 Long ABS-O CORP US N 2 2044-09-15 Fixed 3.59700000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B9J99 5034830.10000000 PA USD 394455.78000000 0.106097208026 Long ABS-MBS USGSE US N 2 2037-01-25 Variable 1.59891000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B1W73 3496021.39000000 PA USD 2862515.74000000 0.769934028971 Long ABS-MBS USGSE US N 2 2043-05-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ABQH9 936859.50000000 PA USD 959976.32000000 0.258205894013 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H2TB0 901733.84000000 PA USD 136038.27000000 0.036590364151 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31387N3T2 799.26000000 PA USD 809.27000000 0.000217670248 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HBJB5 444595.66000000 PA USD 434843.14000000 0.116960240976 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.50000000 N N N N N N Trinitas CLO Ltd N/A 89642FAU7 830000.00000000 PA USD 832408.17000000 0.223893747419 Long ABS-CBDO CORP BM N 2 2033-10-20 Floating 7.24317000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396Q3B3 496891.70000000 PA USD 505344.23000000 0.135922997237 Long ABS-MBS USGSE US N 2 2039-09-25 Fixed 5.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 929227R65 13524.29000000 PA USD 13572.28000000 0.003650551183 Long ABS-MBS CORP US N 2 2033-06-25 Variable 6.18811300 N N N N N N Wells Fargo Commercial Mortgag N/A 95003CBU3 12237502.22000000 PA USD 788916.28000000 0.212195685597 Long ABS-MBS CORP US N 2 2054-04-15 Variable 1.49875600 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31325UST4 921588.90000000 PA USD 93057.88000000 0.025029881049 Long ABS-MBS USGSE US N 2 2043-09-15 Floating 1.48685000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DN5A7 2824991.49000000 PA USD 2796250.96000000 0.752110717703 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UZW5 579765.09000000 PA USD 579106.73000000 0.155762978558 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622A3CG3 163450.56000000 PA USD 153595.56000000 0.041312767888 Long ABS-MBS USGA US N 2 2048-06-15 Fixed 3.50000000 N N N N N N SMB Private Education Loan Tru N/A 78449UAD0 2000000.00000000 PA USD 1840513.80000000 0.495045035249 Long ABS-O CORP US N 2 2045-08-15 Fixed 3.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46591EAY3 14870894.29000000 PA USD 666577.43000000 0.179290069615 Long ABS-MBS CORP US N 2 2052-06-13 Variable 1.45150400 N N N N N N Goodgreen Trust N/A 38217TAC9 1850102.29000000 PA USD 1534298.15000000 0.412681872719 Long ABS-O CORP US N 2 2055-04-15 Fixed 5.53000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WPG24 877914.62000000 PA USD 789998.39000000 0.212486741922 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382VNB1 2670623.88000000 PA USD 476337.82000000 0.128121111014 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 3.00000000 N N N N N N Blue Stream Issuer, LLC N/A 09606BAL8 1500000.00000000 PA USD 1562788.80000000 0.420345034405 Long ABS-O CORP US N 2 2054-11-20 Fixed 8.71000000 N N N N N N Castlelake Aircraft Securitiza N/A 14856GAA8 264364.15000000 PA USD 255642.86000000 0.068760543191 Long ABS-O CORP US N 2 2046-01-15 Fixed 3.47400000 N N N N N N FULL HOUSE RESORTS INC 5493009DKIWW0H901Y82 359678AC3 1200000.00000000 PA USD 1187007.00000000 0.319270587461 Long DBT CORP US N 2 2028-02-15 Fixed 8.25000000 N N N N N N American Money Management Corp N/A 03165UAJ7 750000.00000000 PA USD 760348.39000000 0.204511748583 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 8.80198000 N N N N N N The Huntington National Bank N/A 44644NAK5 1481548.85000000 PA USD 1489954.42000000 0.400754690548 Long ABS-O CORP US N 2 2032-10-20 Floating 8.34436000 N N N N N N SMRT N/A 78457JAQ5 1400000.00000000 PA USD 1328447.26000000 0.357313930845 Long ABS-MBS CORP US N 2 2039-01-15 Floating 7.67000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AKTJ2 888572.64000000 PA USD 52297.92000000 0.014066629465 Long ABS-MBS USGSE US N 2 2044-08-25 Variable 2.22250700 N N N N N N JP Morgan Chase Commercial Mor N/A 46644PAG4 2873011.62000000 PA USD 2260324.65000000 0.607962024536 Long ABS-MBS CORP US N 2 2028-05-15 Floating 8.19300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXTS1 774347.19000000 PA USD 627211.06000000 0.168701653476 Long ABS-MBS USGSE US N 2 2061-09-01 Fixed 2.50000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 3142G6FR2 3619400.07000000 PA USD 485336.94000000 0.130541614287 Long ABS-MBS USGSE US N 2 2052-03-25 Fixed 2.00000000 N N N N N N GoodLeap Sustainable Home Impr N/A 38237HAC1 1372661.89000000 PA USD 913296.33000000 0.245650325402 Long ABS-O CORP US N 2 2048-10-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382EDT1 183915.62000000 PA USD 34597.95000000 0.009305848930 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 3.50000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31352DC24 177585.60000000 PA USD 9758.44000000 0.002624738414 Long ABS-MBS USGSE US N 2 2038-02-15 Variable 2.26693000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KYDF8 142528.72000000 PA USD 120925.80000000 0.032525546357 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B45U8 2426053.42000000 PA USD 1726899.76000000 0.464486141077 Long ABS-MBS USGSE US N 2 2049-07-25 Fixed 2.75000000 N N N N N N ExteNet Systems N/A 30227XAJ0 1000000.00000000 PA USD 1010376.00000000 0.271761951763 Long ABS-O CORP US N 2 2054-07-25 Fixed 6.15000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FPHB4 2617250.50000000 PA USD 344547.68000000 0.092673371093 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 1.59583000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378YJ59 724056.26000000 PA USD 169757.02000000 0.045659733684 Long ABS-MBS USGA US N 2 2044-01-20 Fixed 4.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FWG95 1284187.84000000 PA USD 72646.12000000 0.019539707355 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 1.31834600 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H6V44 2800000.00000000 PA USD 2109968.84000000 0.567520655794 Long ABS-MBS USGSE US N 2 2052-04-25 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382VLQ0 10098243.08000000 PA USD 1466774.86000000 0.394520058622 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378K2R9 1662012.70000000 PA USD 27919.15000000 0.007509444697 Long ABS-MBS USGA US N 2 2051-09-16 Variable 0.97991000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AURP6 1112214.22000000 PA USD 90192.23000000 0.024259103995 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3620AMA44 211931.82000000 PA USD 214586.82000000 0.057717654641 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5B1 320913.38000000 PA USD 303403.42000000 0.081606753912 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.00000000 N N N N N N Renew Financial N/A 75975DAC8 962167.15000000 PA USD 949008.26000000 0.255255802767 Long ABS-O CORP KY N 2 2060-11-20 Fixed 8.22300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XPZE2 271862.53000000 PA USD 264977.18000000 0.071271205580 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382EG84 970790.44000000 PA USD 182367.06000000 0.049051470109 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4.00000000 N N N N N N Stonepeak N/A 78433XAC4 1124006.30000000 PA USD 1071619.85000000 0.288234777928 Long ABS-O CORP US N 2 2033-02-28 Fixed 3.82100000 N N N N N N BHMS Mortgage Trust N/A 05549GAJ0 2250000.00000000 PA USD 2243790.00000000 0.603514681413 Long ABS-MBS CORP US N 2 2035-07-15 Floating 6.51618000 N N N N N N MF1 Multifamily Housing Mortga N/A 55287EAA5 1980000.00000000 PA USD 1981607.74000000 0.532995228560 Long ABS-CBDO CORP US N 2 2039-11-18 Floating 5.85740000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213QCY3 16154.00000000 PA USD 16216.83000000 0.004361858726 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXG89 1325476.74000000 PA USD 1273150.71000000 0.342440756548 Long ABS-MBS USGSE US N 2 2057-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380QDH2 48085.80000000 PA USD 47587.42000000 0.012799641062 Long ABS-MBS USGA US N 2 2070-07-20 Floating 4.92309000 N N N N N N NRZ Excess Spread Collateraliz N/A 64832EAA7 925000.00000000 PA USD 927569.65000000 0.249489436091 Long ABS-MBS CORP US N 2 2032-03-25 Variable 6.54500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KDN8 886.05000000 PA USD 903.52000000 0.000243020775 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 7.50000000 N N N N N N Ocean Trails CLO 254900TWRKR5CRS1OX19 67515MAG3 900000.00000000 PA USD 907555.32000000 0.244106159584 Long ABS-CBDO CORP JE N 2 2038-01-20 Floating 10.63317000 N N N N N N New Residential Mortgage Loan N/A 64828AAA1 361498.97000000 PA USD 349344.83000000 0.093963665842 Long ABS-MBS CORP US N 2 2054-01-25 Variable 3.75000000 N N N N N N Balboa Bay Loan Funding Ltd 254900FG1DS8PNX30R63 05765BAA7 790000.00000000 PA USD 799857.83000000 0.215138646418 Long ABS-CBDO CORP KY N 2 2038-01-20 Floating 10.06571000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213S4X0 3843.27000000 PA USD 3861.95000000 0.001038752968 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 7.50000000 N N N N N N BXHPP Trust N/A 05609JAL6 2540000.00000000 PA USD 2345155.84000000 0.630779163665 Long ABS-MBS CORP US N 2 2036-08-15 Floating 5.53348000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153BU5 820000.00000000 PA USD 827994.82000000 0.222706683782 Long DBT CORP LR N 2 2032-03-15 Fixed 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BGNQ0 8083805.34000000 PA USD 1146512.37000000 0.308378701980 Long ABS-MBS USGSE US N 2 2047-12-25 Fixed 2.50000000 N N N N N N Morgan Stanley Mortgage Loan T N/A 61749LAB7 28997.85000000 PA USD 5625.43000000 0.001513078137 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.57459000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36212QR36 1347.72000000 PA USD 1361.81000000 0.000366287543 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380PTL8 11641959.52000000 PA USD 932866.72000000 0.250914194876 Long ABS-MBS USGA US N 2 2062-04-16 Variable 1.16821000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXET5 997217.59000000 PA USD 894837.17000000 0.240685344693 Long ABS-MBS USGSE US N 2 2057-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BDCD8 1758367.49000000 PA USD 277023.94000000 0.074511435960 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.50000000 N N N N N N Avenue of Americas N/A 00192NAA5 670000.00000000 PA USD 647494.50000000 0.174157312798 Long ABS-MBS CORP US N 2 2038-10-15 Floating 5.30888000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288QFW5 394372.46000000 PA USD 392265.67000000 0.105508131714 Long ABS-MBS USGSE US N 2 2050-02-01 Floating 3.10800000 N N N N N N Freddie Mac - STACR 5493005LAQ76UDHPEE03 35565CBE5 1240000.00000000 PA USD 1374773.12000000 0.369774248718 Long ABS-MBS CORP US N 2 2049-11-25 Floating 11.05417000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BDVZ8 4996931.73000000 PA USD 722593.81000000 0.194356857385 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BH3Z0 5039634.78000000 PA USD 735884.45000000 0.197931655546 Long ABS-MBS USGSE US N 2 2048-12-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UH70 234995.46000000 PA USD 239855.53000000 0.064514207556 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AJ6W8 68974.00000000 PA USD 55563.74000000 0.014945040687 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BGVA6 985247.65000000 PA USD 149773.90000000 0.040284851765 Long ABS-MBS USGSE US N 2 2049-04-25 Fixed 2.50000000 N N N N N N EXPAND ENERGY CORP X2MT1W32SPAZ9WSKLE78 845467AT6 1100000.00000000 PA USD 1041427.66000000 0.280113951145 Long DBT CORP US N 2 2032-02-01 Fixed 4.75000000 N N N N N N RIDE 2025-SHRE N/A 765692AG3 370000.00000000 PA USD 375236.87000000 0.100927876518 Long ABS-MBS CORP US N 2 2047-02-14 Variable 6.29690100 N N N N N N Citigroup Commercial Mortgage N/A 17323VAA3 2000000.00000000 PA USD 1601019.00000000 0.430627853641 Long ABS-MBS CORP US N 2 2048-04-10 Fixed 3.11000000 N N N N N N MSWF Commercial Mortgage Trust N/A 55376CBN2 1939000.00000000 PA USD 1403729.55000000 0.377562691766 Long ABS-MBS CORP US N 2 2056-05-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388XKY9 6125.00000000 PA USD 6144.59000000 0.001652717177 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 7.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H4C73 14666638.06000000 PA USD 410856.53000000 0.110508535918 Long ABS-MBS USGSE US N 2 2031-10-25 Variable 0.53204000 N N N N N N Freddie Mac - SCRT N/A 35563PAE9 788843.30000000 PA USD 721417.94000000 0.194040582329 Long ABS-MBS CORP US N 2 2055-09-25 Variable 3.75000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F060642 20400000.00000000 PA USD 20722283.89000000 5.573695648890 Long ABS-MBS USGSE US N 2 2055-04-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H032647 1000000.00000000 PA USD 915082.85000000 0.246130847665 Long ABS-MBS USGA US N 2 2055-04-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACCK4 248727.47000000 PA USD 246682.49000000 0.066350462548 Long ABS-MBS USGA US N 2 2053-01-20 Fixed 5.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31424U8E9 4146446.57000000 PA USD 940397.25000000 0.252939689870 Long ABS-MBS USGSE US N 2 2053-10-25 Fixed 4.50000000 N N N N N N MASTR Adjustable Rate Mortgage N/A 576433G42 216730.06000000 PA USD 195451.94000000 0.052570924774 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.64459000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B5UN3 1604036.41000000 PA USD 184348.54000000 0.049584430979 Long ABS-MBS USGSE US N 2 2049-08-25 Floating 1.59583000 N N N N N N Progress Residential Trust N/A 74331QAG2 1000000.00000000 PA USD 933764.00000000 0.251155537271 Long ABS-O CORP US N 2 2041-02-17 Fixed 3.75000000 N N N N N N Pear LLC N/A 704933AA8 738899.52000000 PA USD 747662.72000000 0.201099669873 Long ABS-O CORP US N 2 2036-02-15 Fixed 6.95000000 N N N N N N Aqua Finance Trust N/A 038413AC4 2055249.52000000 PA USD 1971317.45000000 0.530227437862 Long ABS-O CORP US N 2 2046-07-17 Fixed 3.97000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379EHN5 434081.23000000 PA USD 49464.86000000 0.013304618179 Long ABS-MBS USGA US N 2 2044-08-20 Floating 1.76615000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FTYH4 5176064.09000000 PA USD 1204033.77000000 0.323850296646 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36210Y2E4 2166.84000000 PA USD 2185.54000000 0.000587847114 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVS5 515869.73000000 PA USD 439557.51000000 0.118228270297 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179V6V7 494250.72000000 PA USD 394485.42000000 0.106105180330 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.00000000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36269JAL2 2015000.00000000 PA USD 2085714.41000000 0.560996914893 Long ABS-MBS CORP US N 2 2041-03-10 Variable 8.36690400 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376G5V8 2353794.52000000 PA USD 23.54000000 0.000006331579 Long ABS-MBS USGA US N 2 2046-09-16 Variable 0.01000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HKV4 802.81000000 PA USD 828.77000000 0.000222915184 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 7.50000000 N N N N N N New Residential Mortgage Loan 213800CVLC5IFCJL6C96 64831PAB1 1250000.00000000 PA USD 1265158.00000000 0.340290948487 Long ABS-MBS CORP US N 2 2039-03-25 Variable 7.10100000 N N N N N N Freddie Mac - STACR 549300EUJICRX5L38Y52 35564XBE0 860000.00000000 PA USD 981250.88000000 0.263928135979 Long ABS-MBS CORP US N 2 2049-09-25 Floating 11.95417000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9NP2 1042300.84000000 PA USD 971936.52000000 0.261422842254 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H3EX6 11378238.77000000 PA USD 305708.24000000 0.082226683900 Long ABS-MBS USGSE US N 2 2031-08-25 Variable 0.50705900 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31393ANU7 34637.47000000 PA USD 5041.80000000 0.001356098530 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 6.00000000 N N N N N N Applebees/IHOP Funding LLC N/A 03789XAE8 298980.00000000 PA USD 293557.76000000 0.078958555837 Long ABS-O CORP US N 2 2049-06-05 Fixed 4.72300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383D7E2 3900842.04000000 PA USD 704007.59000000 0.189357701206 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.00000000 N N N N N N MFA FINANCIAL INC YW72IMH2RRC8Z1TGLG58 55272X508 52662.00000000 NS USD 1306017.60000000 0.351281000353 Long EP CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389QPB8 1098.29000000 PA USD 1098.66000000 0.000295507797 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AXDQ3 1163760.48000000 PA USD 88392.73000000 0.023775090487 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 3.50000000 N N N N N N Multifamily Trust N/A 62547L103 568823.80000000 PA USD 567864.76000000 0.152739213436 Long ABS-MBS CORP US N 2 2046-04-25 Variable 14.05951000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381JZQ3 8030168.82000000 PA USD 347886.99000000 0.093571549003 Long ABS-MBS USGA US N 2 2063-09-16 Variable 0.60967000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FUXW9 10317993.70000000 PA USD 1564842.40000000 0.420897393471 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380QGQ9 678706.07000000 PA USD 672131.17000000 0.180783865214 Long ABS-MBS USGA US N 2 2070-07-20 Floating 4.87309000 N N N N N N Hertz Vehicle Financing LLC 549300MNOMKDMDFI8J66 42806MCG2 1750000.00000000 PA USD 1834349.30000000 0.493386962857 Long ABS-O CORP US N 2 2030-03-25 Fixed 7.51000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MYQZ5 916190.75000000 PA USD 858430.27000000 0.230892940477 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380R4W7 4590852.27000000 PA USD 294196.50000000 0.079130358442 Long ABS-MBS USGA US N 2 2062-10-16 Variable 0.87328000 N N N N N N Tricon Residential N/A 895975AD2 1170000.00000000 PA USD 1149244.43000000 0.309113547184 Long ABS-O CORP US N 2 2041-11-17 Fixed 5.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WTZS8 1993924.10000000 PA USD 1918653.27000000 0.516062295039 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12651YAS1 1218894.00000000 PA USD 1187806.60000000 0.319485656759 Long ABS-MBS CORP US N 2 2057-08-01 Variable 4.52970000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385HU42 553.35000000 PA USD 555.39000000 0.000149383863 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7.50000000 N N N N N N MFRA Trust N/A 59319PAA4 1170000.00000000 PA USD 1176718.14000000 0.316503181391 Long ABS-MBS CORP US N 2 2039-11-25 Variable 5.91300000 N N N N N N SMB Private Education Loan Tru 549300GD7VLLBVPDNJ81 78448R106 2751.00000000 PA USD 712496.00000000 0.191640838246 Long ABS-O CORP US N 2 2046-09-18 None 0.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FCVW3 393808.28000000 PA USD 50943.09000000 0.013702219339 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 5.00000000 N N N N N N Hardee's Funding LLC and Carls N/A 411707AH5 1915000.00000000 PA USD 1825451.73000000 0.490993773599 Long ABS-O CORP US N 2 2050-12-20 Fixed 3.98100000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WGQ6 118306.90000000 PA USD 106088.55000000 0.028534754792 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.00000000 N N N N N N Conseco Financial Corp N/A 393505UW0 217480.16000000 PA USD 221012.08000000 0.059445863939 Long ABS-O CORP US N 2 2029-02-15 Variable 7.22000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617GSZQ5 72645.26000000 PA USD 69847.90000000 0.018787067023 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225AFB1 3.26000000 PA USD 3.25000000 0.000000874156 Long ABS-MBS USGA US N 2 2025-06-15 Fixed 8.50000000 N N N N N N BX Trust N/A 12433FAJ7 1300000.00000000 PA USD 1303929.38000000 0.350719329507 Long ABS-MBS CORP US N 2 2040-04-15 Floating 8.01018000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FTLA3 953733.31000000 PA USD 220673.00000000 0.059354661216 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FGKF1 975989.81000000 PA USD 118269.47000000 0.031811070335 Long ABS-MBS USGSE US N 2 2048-07-15 Floating 1.73685000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380BB46 5417124.00000000 PA USD 3876756.12000000 1.042735387303 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31392XUX4 32479.66000000 PA USD 32492.53000000 0.008739551781 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 4.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FG2G1 1174039.20000000 PA USD 199000.01000000 0.053525253092 Long ABS-MBS USGSE US N 2 2041-02-25 Fixed 4.00000000 N N N N N N Mosaic Solar Loans LLC N/A 618937AB2 1054525.81000000 PA USD 1020529.59000000 0.274492974111 Long ABS-O CORP US N 2 2049-09-20 Fixed 6.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HBZS7 1632555.18000000 PA USD 1563172.74000000 0.420448303172 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.00000000 N N N N N N La Hipotecaria SA N/A 50346WAA5 1106938.24000000 PA USD 1054534.68000000 0.283639360831 Long ABS-MBS NUSS PA N 2 2046-09-29 Fixed 4.25000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F032641 8500000.00000000 PA USD 7666641.73000000 2.062105117318 Long ABS-MBS USGSE US N 2 2055-04-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A54N3 124087.94000000 PA USD 133228.00000000 0.035834482716 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389FXQ0 6776.16000000 PA USD 6775.55000000 0.001822427187 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376TX56 499438.33000000 PA USD 3945.16000000 0.001061134054 Long ABS-MBS USGA US N 2 2034-11-16 Floating 1.66634000 N N N N N N GS Mortgage Securities Trust N/A 36256AAS1 1070000.00000000 PA USD 1074348.91000000 0.288968816219 Long ABS-MBS CORP US N 2 2032-11-15 Floating 9.06618000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380JKP2 1375246.20000000 PA USD 53512.07000000 0.014393200735 Long ABS-MBS USGA US N 2 2060-03-16 Variable 0.61849000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380N4W6 8797586.22000000 PA USD 554280.48000000 0.149085434599 Long ABS-MBS USGA US N 2 2060-01-16 Variable 0.93167000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31386NCC0 615.90000000 PA USD 615.43000000 0.000165532888 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36212CKK6 2044.13000000 PA USD 2048.51000000 0.000550990003 Long ABS-MBS USGA US N 2 2030-10-15 Fixed 7.50000000 N N N N N N Mach I N/A 55446MAA5 351911.71000000 PA USD 338970.54000000 0.091173281571 Long ABS-O CORP KY N 2 2039-10-15 Fixed 3.47400000 N N N N N N JP Morgan Mortgage Trust N/A 46653QBZ7 21315088.63000000 PA USD 618143.96000000 0.166262865547 Long ABS-MBS CORP US N 2 2052-05-25 Variable 0.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F032641 -2000000.00000000 PA USD -1803915.70000000 -0.48520120375 Short ABS-MBS USGSE US N 2 2055-04-15 Fixed 3.50000000 N N N N N N Freddie Mac - STACR 549300D2VO9JVX6KU482 3137G0VB2 2046620.77000000 PA USD 2463634.49000000 0.662646497377 Long ABS-MBS CORP US N 2 2043-05-25 Floating 16.20417000 N N N N N N MetroNet Infrastructure Issuer 5493000BIROCAEATAQ61 59170JAG3 1200000.00000000 PA USD 1228967.04000000 0.330556625893 Long ABS-O CORP US N 2 2054-04-20 Fixed 6.23000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371JDS0 490.53000000 PA USD 506.27000000 0.000136172002 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AA3G8 518526.41000000 PA USD 10957.91000000 0.002947361189 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380R4L1 4557476.26000000 PA USD 283262.64000000 0.076189466008 Long ABS-MBS USGA US N 2 2063-05-16 Variable 0.82615000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382KK44 4584591.02000000 PA USD 732691.92000000 0.197072957216 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BASJ4 17103579.86000000 PA USD 817927.40000000 0.219998838674 Long ABS-MBS USGSE US N 2 2032-12-25 Variable 1.21246000 N N N N N N BX Trust N/A 05608BAS9 1500000.00000000 PA USD 1444288.05000000 0.388471756431 Long ABS-MBS CORP US N 2 2034-04-15 Floating 7.96530000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMT62 123275.67000000 PA USD 100361.96000000 0.026994467537 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATLX0 4033984.10000000 PA USD 522310.58000000 0.140486455188 Long ABS-MBS USGSE US N 2 2038-06-25 Fixed 4.50000000 N N N N N N Wells Fargo Commercial Mortgag N/A 94990FAE1 280000.00000000 PA USD 285511.07000000 0.076794228716 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 5.30900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H022648 4700000.00000000 PA USD 4009459.27000000 1.078428700534 Long ABS-MBS USGA US N 2 2055-04-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X92S3 326380.67000000 PA USD 264179.53000000 0.071056660776 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H6ZT5 34174334.61000000 PA USD 654178.78000000 0.175955190993 Long ABS-MBS USGSE US N 2 2032-02-25 Variable 0.30461000 N N N N N N JP Morgan Mortgage Trust N/A 46657QBB6 35742678.11000000 PA USD 705944.70000000 0.189878727829 Long ABS-MBS CORP US N 2 2054-05-25 Variable 0.33251700 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36212J4T0 1952.00000000 PA USD 1960.02000000 0.000527188750 Long ABS-MBS USGA US N 2 2030-10-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WDN6 139310.66000000 PA USD 126471.04000000 0.034017055701 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F040644 3800000.00000000 PA USD 3541100.34000000 0.952453680400 Long ABS-MBS USGSE US N 2 2055-04-15 Fixed 4.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F040644 -3400000.00000000 PA USD -3168352.93000000 -0.85219539669 Short ABS-MBS USGSE US N 2 2055-04-15 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225BHH4 256.50000000 PA USD 262.10000000 0.000070497327 Long ABS-MBS USGA US N 2 2030-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225BKN7 2974.22000000 PA USD 2986.75000000 0.000803349455 Long ABS-MBS USGA US N 2 2030-08-15 Fixed 7.50000000 N N N N N N Extended Stay America Trust N/A 30227FAN0 1299225.55000000 PA USD 1300906.49000000 0.349906259436 Long ABS-MBS CORP US N 2 2038-07-15 Floating 8.13348000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31395QC40 2255390.61000000 PA USD 360309.68000000 0.096912893691 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617Q6VQ6 1235038.94000000 PA USD 1080210.65000000 0.290545454919 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 3.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46652DAQ8 2106000.00000000 PA USD 156.48000000 0.000042088598 Long ABS-MBS CORP US N 2 2036-12-15 Floating 11.68348000 N N N N N N BRAVO Residential Funding Trus 254900RBHU9OC1RNXD92 105925AC5 853848.80000000 PA USD 856078.11000000 0.230260277397 Long ABS-MBS CORP US N 2 2064-06-25 Variable 6.15800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABUF7 917492.66000000 PA USD 808281.51000000 0.217404372958 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385JBM9 74.77000000 PA USD 76.72000000 0.000020635463 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383YKD3 5861763.78000000 PA USD 4157252.56000000 1.118180825434 Long ABS-MBS USGA US N 2 2064-08-16 Fixed 2.10000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378CMW4 153249.09000000 PA USD 11816.85000000 0.003178391232 Long ABS-MBS USGA US N 2 2041-02-20 Floating 2.21615000 N N N N N N Bayview Opportunity Master Fun N/A 07336PAD6 1535038.94000000 PA USD 1568858.15000000 0.421977514196 Long ABS-O CORP US N 2 2047-06-25 Floating 7.08969000 N N N N N N Fannie Mae - CAS N/A 20754RAJ5 1190000.00000000 PA USD 1240568.81000000 0.333677166819 Long ABS-MBS CORP US N 2 2041-10-25 Floating 10.33969000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FLVX9 1316652.18000000 PA USD 135497.47000000 0.036444904576 Long ABS-MBS USGSE US N 2 2049-05-15 Floating 1.58685000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9F74 2160298.89000000 PA USD 1906904.28000000 0.512902156186 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KNJ6 794.48000000 PA USD 813.49000000 0.000218805306 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AS82 1451912.21000000 PA USD 1388453.72000000 0.373453934852 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4.00000000 N N N N N N Freddie Mac Multiclass Certifi N/A 3137FQ3M3 2400000.00000000 PA USD 94671.12000000 0.025463795999 Long ABS-MBS USGSE US N 2 2028-06-25 Variable 1.53400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BJK95 11232660.24000000 PA USD 1922007.01000000 0.516964354201 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 2.50000000 N N N N N N NRZ Excess Spread Collateraliz N/A 62956YAA7 879871.46000000 PA USD 891897.02000000 0.239894529291 Long ABS-O CORP US N 2 2031-11-25 Variable 7.39800000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F052649 22800000.00000000 PA USD 22773254.46000000 6.125347474659 Long ABS-MBS USGSE US N 2 2055-04-15 Fixed 5.50000000 N N N N N N New York Mortgage Trust N/A 62956MAA3 1000000.00000000 PA USD 1012733.60000000 0.272396078046 Long ABS-MBS CORP US N 2 2029-02-25 Variable 7.15400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AW2C8 2266051.22000000 PA USD 349912.53000000 0.094116360740 Long ABS-MBS USGSE US N 2 2042-11-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381E2F4 1911210.33000000 PA USD 810616.74000000 0.218032482357 Long ABS-MBS USGA US N 2 2063-10-16 Variable 2.00000000 N N N N N N 280 Park Avenue Mortgage Trust N/A 90205FAQ3 2500000.00000000 PA USD 2400434.25000000 0.645647458827 Long ABS-MBS CORP US N 2 2034-09-15 Floating 7.44899000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCRW7 7913678.70000000 PA USD 7046881.92000000 1.895407634807 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382DV48 5055290.34000000 PA USD 685992.28000000 0.184512103323 Long ABS-MBS USGA US N 2 2050-03-20 Floating 1.66615000 N N N N N N GS Mortgage Securities Trust N/A 36258RBC6 16889569.16000000 PA USD 776827.29000000 0.208944096567 Long ABS-MBS CORP US N 2 2053-05-12 Variable 1.12367300 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BK3H3 1842877.30000000 PA USD 271799.52000000 0.073106217926 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H052645 12600000.00000000 PA USD 12627863.89000000 3.396530536503 Long ABS-MBS USGA US N 2 2055-04-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H53L9 4400000.00000000 PA USD 3038478.96000000 0.817263051143 Long ABS-MBS USGSE US N 2 2042-01-25 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382WKF3 7152345.88000000 PA USD 1305149.35000000 0.351047466189 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 3.00000000 N N N N N N VR Funding LLC N/A 91835CAB9 501511.15000000 PA USD 493259.74000000 0.132672618578 Long ABS-O CORP US N 2 2050-11-15 Fixed 4.22000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388DW38 26386.90000000 PA USD 26482.75000000 0.007123094598 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVML6 336501.88000000 PA USD 327503.71000000 0.088089035605 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4.50000000 N N N N N N Sierra Receivables Funding Co N/A 826935AD0 830147.69000000 PA USD 850550.73000000 0.228773571876 Long ABS-O CORP US N 2 2043-01-20 Fixed 8.02000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H1X92 7192902.52000000 PA USD 1032789.31000000 0.277790484578 Long ABS-MBS USGSE US N 2 2048-07-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385JBP2 660.30000000 PA USD 677.65000000 0.000182268271 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 7.50000000 N N N N N N Starwood Mortgage Residential N/A 85573PAH5 1490000.00000000 PA USD 890751.06000000 0.239586299160 Long ABS-MBS CORP US N 2 2056-08-25 Variable 4.67800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379FFB0 1627595.36000000 PA USD 320527.40000000 0.086212609778 Long ABS-MBS USGA US N 2 2045-04-16 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381B4T8 582334.16000000 PA USD 525643.41000000 0.141382890164 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382MKC2 3668324.33000000 PA USD 598676.40000000 0.161026654372 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKDE5 69747.45000000 PA USD 61658.07000000 0.016584239377 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381H8H7 2884941.52000000 PA USD 2196495.81000000 0.590793910748 Long ABS-MBS USGA US N 2 2064-06-16 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382FVN1 1115712.94000000 PA USD 207878.30000000 0.055913256586 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 3.50000000 N N N N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAB9 930000.00000000 PA USD 845658.02000000 0.227457574249 Long DBT CORP US N 2 2031-08-15 Fixed 4.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BDQ84 659929.67000000 PA USD 100779.97000000 0.027106900149 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380PWC4 4458762.90000000 PA USD 264309.22000000 0.071091543639 Long ABS-MBS USGA US N 2 2060-05-16 Variable 0.83527000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417EY21 2311243.74000000 PA USD 2079810.61000000 0.559408963269 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WDM8 96822.21000000 PA USD 87955.82000000 0.023657574321 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.00000000 N N N N N N Saluda Grade Alternative Mortg N/A 79584CAB7 1140000.00000000 PA USD 1133209.25000000 0.304800547060 Long ABS-MBS CORP US N 2 2030-02-25 Variable 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BGKD2 730410.24000000 PA USD 100245.52000000 0.026963148541 Long ABS-MBS USGSE US N 2 2049-05-25 Fixed 2.50000000 N N N N N N BFLD Trust N/A 08861RAJ0 1170000.00000000 PA USD 1174792.55000000 0.315985253316 Long ABS-MBS CORP US N 2 2041-11-15 Floating 7.95871000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FF2J5 4888353.77000000 PA USD 502769.14000000 0.135230372428 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 1.50000000 N N N N N N GS Mortgage Securities Trust N/A 36262MAA6 360000.00000000 PA USD 357521.51000000 0.096162956518 Long ABS-MBS CORP US N 2 2036-10-15 Floating 5.38448000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381ATU0 1837370.40000000 PA USD 198216.62000000 0.053314543816 Long ABS-MBS USGA US N 2 2048-10-20 Floating 1.76615000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382KS87 205214.83000000 PA USD 29697.48000000 0.007987764087 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N CHIMERA INVESTMENT CORP 2JBBQFJOL123LOUBE657 16934Q505 61325.00000000 NS USD 1381039.00000000 0.371459589401 Long EP CORP US N 1 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378TZT0 1377268.80000000 PA USD 47387.27000000 0.012745806495 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 3.50000000 N N N N N N Countrywide Asset-Backed Certi N/A 126671RX6 53.94000000 PA USD 27.01000000 0.000007264909 Long ABS-O CORP US N 2 2032-05-25 Variable 4.80000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382EDP9 430234.12000000 PA USD 82667.94000000 0.022235287380 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 3.50000000 N N N N N N Freddie Mac - STACR 549300MHCI0CUXMJQS62 35564PAC2 2810000.00000000 PA USD 3336816.55000000 0.897507243149 Long ABS-MBS CORP US N 2 2048-01-25 Floating 12.80417000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXFC1 3231321.26000000 PA USD 3267583.92000000 0.878885665979 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 5.00000000 N N N N N N SUNRUN VULCAN ISSUER LLC N/A 86773QAA4 665302.57000000 PA USD 582595.02000000 0.156701227783 Long ABS-O CORP US N 2 2052-01-30 Fixed 2.46000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BR2 820000.00000000 PA USD 814769.24000000 0.219149384881 Long DBT CORP PA N 2 2029-05-01 Fixed 6.00000000 N N N N N N DK Trust N/A 23292KAA2 599929.79000000 PA USD 626471.60000000 0.168502760101 Long ABS-MBS CORP US N 2 2066-04-28 Fixed 7.08600000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379JHX2 586466.97000000 PA USD 96930.03000000 0.026071377524 Long ABS-MBS USGA US N 2 2045-02-20 Fixed 3.50000000 N N N N N N SEB Funding LLC N/A 78433DAC8 1870000.00000000 PA USD 1920798.92000000 0.516639412896 Long ABS-O CORP US N 2 2054-04-30 Fixed 7.38600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388NC53 1196.05000000 PA USD 1210.72000000 0.000325648699 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BDBZ8 2618038.50000000 PA USD 2123445.21000000 0.571145409958 Long ABS-MBS USGSE US N 2 2044-08-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381HMU2 6500000.00000000 PA USD 4609328.75000000 1.239776258956 Long ABS-MBS USGA US N 2 2063-10-16 Fixed 2.20000000 N N N N N N Freddie Mac - STACR 5493000ISE4NWBTOSK36 35564KPP8 2240000.00000000 PA USD 2383742.14000000 0.641157763513 Long ABS-MBS CORP US N 2 2041-12-25 Floating 11.33969000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B5EN1 3046668.58000000 PA USD 359892.30000000 0.096800630530 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 1.58351000 N N N N N N BENCHMARK Mortgage Trust N/A 08163DAG2 16647658.05000000 PA USD 799630.30000000 0.215077447422 Long ABS-MBS CORP US N 2 2054-04-15 Variable 1.07785600 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178DH20 89135.78000000 PA USD 81083.30000000 0.021809065004 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H63C7 1569537.52000000 PA USD 201892.12000000 0.054303147122 Long ABS-MBS USGSE US N 2 2046-08-25 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36211FRS6 346.86000000 PA USD 348.45000000 0.000093722982 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382HJ27 3941125.46000000 PA USD 557763.45000000 0.150022252898 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F86B4 995028.67000000 PA USD 168547.31000000 0.045334356645 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B6LX9 3330994.27000000 PA USD 357019.96000000 0.096028054059 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 1.54583000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGFZ6 118695.19000000 PA USD 115379.65000000 0.031033792249 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.50000000 N N N N N N Credit Suisse First Boston Mor N/A 22540VQ47 104059.73000000 PA USD 109132.49000000 0.029353486705 Long ABS-MBS CORP US N 2 2032-05-25 Fixed 7.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F062648 9300000.00000000 PA USD 9590864.48000000 2.579665441562 Long ABS-MBS USGSE US N 2 2055-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H030641 3100000.00000000 PA USD 2746166.06000000 0.738639326678 Long ABS-MBS USGA US N 2 2055-04-15 Fixed 3.00000000 N N N N N N CIM Trust N/A 12566PCU7 77405391.68000000 PA USD 751428.32000000 0.202112507475 Long ABS-MBS CORP US N 2 2051-07-01 Variable 0.19000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AGRE1 68760.61000000 PA USD 55964.14000000 0.015052736718 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381BDT8 810798.51000000 PA USD 770446.61000000 0.207227878001 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38374JQT6 247380.64000000 PA USD 8822.56000000 0.002373013734 Long ABS-MBS USGA US N 2 2034-10-16 Floating 1.76634000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H74C4 66247407.07000000 PA USD 1431301.73000000 0.384978811558 Long ABS-MBS USGSE US N 2 2055-04-25 Variable 0.34254600 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31387VS91 1282.38000000 PA USD 1285.58000000 0.000345783876 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379WWN8 1386479.38000000 PA USD 163461.76000000 0.043966490629 Long ABS-MBS USGA US N 2 2046-04-20 Floating 1.61615000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36207LFG8 1211.90000000 PA USD 1237.76000000 0.000332921678 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 7.50000000 N N N N N N J.G. Wentworth XLI LLC N/A 46651TAB7 1651906.82000000 PA USD 1458846.16000000 0.392387467402 Long ABS-O CORP US N 2 2074-10-15 Fixed 4.70000000 N N N N N N Bayview Opportunity Master Fun 254900S53K9VTUR1UX42 07336QAE2 938599.06000000 PA USD 948001.01000000 0.254984881619 Long ABS-O CORP US N 2 2031-12-26 Floating 7.93969000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36212EGD3 153.31000000 PA USD 153.13000000 0.000041187545 Long ABS-MBS USGA US N 2 2030-08-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410LVE9 1607768.83000000 PA USD 1473689.80000000 0.396379977693 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382JZK5 134066.63000000 PA USD 19079.32000000 0.005131785831 Long ABS-MBS USGA US N 2 2050-09-20 Fixed 2.50000000 N N N N N N The Huntington National Bank N/A 446438TA1 1120000.00000000 PA USD 1118032.05000000 0.300718318766 Long ABS-O CORP US N 2 2033-03-21 Floating 7.85100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBA93 1511008.95000000 PA USD 107230.87000000 0.028842005867 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133D3X67 64911.44000000 PA USD 57415.86000000 0.015443207455 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137HBP99 25684784.06000000 PA USD 758729.81000000 0.204076397328 Long ABS-MBS USGSE US N 2 2033-12-25 Variable 0.36987800 N N N N N N BMP Trust N/A 05593JAJ9 1420000.00000000 PA USD 1406775.40000000 0.378381937414 Long ABS-MBS CORP US N 2 2041-06-15 Floating 7.70823000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B86Y0 5959704.60000000 PA USD 283199.20000000 0.076172402481 Long ABS-MBS USGSE US N 2 2029-01-25 Variable 1.76683000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKP78 63388.04000000 PA USD 53593.02000000 0.014414973946 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N Mosaic Solar Loans LLC N/A 618934AC7 2160000.00000000 PA USD 1995814.30000000 0.536816382738 Long ABS-O CORP US N 2 2053-05-20 Fixed 8.80000000 N N N N N N Structured Asset Mortgage Inve N/A 86360UAA4 61576.19000000 PA USD 53560.64000000 0.014406264661 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.79459000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FGSM8 283793.40000000 PA USD 248018.06000000 0.066709692290 Long ABS-MBS USGSE US N 2 2048-08-15 Fixed 3.00000000 N N N N N N GS Mortgage Securities Trust N/A 36260JAF4 34327423.55000000 PA USD 1314400.48000000 0.353535752871 Long ABS-MBS CORP US N 2 2052-05-10 Variable 1.08674000 N N N N N N BX Trust N/A 05613GAG7 1020000.00000000 PA USD 1012622.95000000 0.272366316393 Long ABS-MBS CORP US N 2 2041-08-13 Variable 7.71271000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382MTZ2 668464.01000000 PA USD 662315.61000000 0.178143763170 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAZZ0 303052.67000000 PA USD 244292.44000000 0.065707608153 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 2.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H8UB5 25456126.23000000 PA USD 461679.94000000 0.124178564796 Long ABS-MBS USGSE US N 2 2032-07-25 Variable 0.24957600 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BHUP2 873915.39000000 PA USD 117801.96000000 0.031685323652 Long ABS-MBS USGSE US N 2 2047-05-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376ETM7 66068.37000000 PA USD 66508.73000000 0.017888926769 Long ABS-MBS USGA US N 2 2059-11-20 Floating 5.58385000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380LU50 738566.16000000 PA USD 739157.16000000 0.198811919979 Long ABS-MBS USGA US N 2 2070-01-20 Floating 5.02309000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288QFS4 290784.10000000 PA USD 294167.06000000 0.079122439933 Long ABS-MBS USGSE US N 2 2047-11-01 Floating 3.14100000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H020642 2200000.00000000 PA USD 1799633.24000000 0.484049345749 Long ABS-MBS USGA US N 2 2055-04-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371JXA7 1020.57000000 PA USD 1056.64000000 0.000284205631 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 7.50000000 N N N N N N Magnetite CLO Ltd 529900728SHVCI48J015 559923AE7 800000.00000000 PA USD 799625.56000000 0.215076172499 Long ABS-CBDO CORP KY N 2 2037-01-25 Floating 9.20007000 N N N N N N GSMPS Mortgage Loan Trust N/A 36298XAA0 852971.79000000 PA USD 731747.10000000 0.196818827934 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.83459000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179USX1 133016.04000000 PA USD 135456.59000000 0.036433909037 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F6P92 125751.64000000 PA USD 17598.01000000 0.004733356240 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FYTY2 14876937.00000000 PA USD 524901.48000000 0.141183332431 Long ABS-MBS USGSE US N 2 2036-02-25 Variable 0.47059600 N N N N N N GS Mortgage-Backed Securities N/A 36264EBG8 1450489.98000000 PA USD 1230462.11000000 0.330958756526 Long ABS-MBS CORP US N 2 2062-05-25 Variable 4.21947000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BAM4 234847.84000000 PA USD 235238.44000000 0.063272343745 Long ABS-MBS USGA US N 2 2060-02-20 Floating 5.11800000 N N N N N N LITHIA MOTORS INC SE8N1EZEHPZQBCBVKD53 536797AF0 1000000.00000000 PA USD 906777.86000000 0.243897045307 Long DBT CORP US N 2 2031-01-15 Fixed 4.37500000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F050643 9300000.00000000 PA USD 9115922.50000000 2.451919771178 Long ABS-MBS USGSE US N 2 2055-04-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383FF40 3436836.98000000 PA USD 634409.86000000 0.170637922685 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213T5Z2 1134.77000000 PA USD 1137.66000000 0.000305997670 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 7.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FTZS9 1220774.67000000 PA USD 80078.30000000 0.021538749041 Long ABS-MBS USGSE US N 2 2030-04-25 Variable 1.65484000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H042646 6000000.00000000 PA USD 5757187.50000000 1.548517098256 Long ABS-MBS USGA US N 2 2055-04-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H042646 -2000000.00000000 PA USD -1919062.50000000 -0.51617236608 Short ABS-MBS USGA US N 2 2055-04-15 Fixed 4.50000000 N N N N N N RAAC Series N/A 74978AAF7 1027465.12000000 PA USD 802424.16000000 0.215828915041 Long ABS-O CORP US N 2 2037-03-25 Floating 5.93459000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FCYW0 31132.49000000 PA USD 4133.38000000 0.001111759796 Long ABS-MBS USGSE US N 2 2035-09-25 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288QFR6 1425703.94000000 PA USD 1393449.90000000 0.374797762920 Long ABS-MBS USGSE US N 2 2048-11-01 Floating 3.00800000 N N N N N N Natixis Commercial Mortgage Se N/A 63873VAL7 1950000.00000000 PA USD 1287739.64000000 0.346364757208 Long ABS-MBS CORP US N 2 2036-08-15 Variable 4.39750000 N N N N N N SOLRR Aircraft 2021-1 Limited N/A 83438LAB7 980581.08000000 PA USD 908039.46000000 0.244236379256 Long ABS-O CORP IE N 2 2046-10-15 Fixed 3.43200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BGV57 766741.53000000 PA USD 93778.24000000 0.025223637077 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F7PV1 4638857.73000000 PA USD 595029.99000000 0.160045875436 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382HMZ0 2088628.67000000 PA USD 298946.05000000 0.080407850166 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 85571XAN7 2324000.00000000 PA USD 75530.00000000 0.020315387753 Long ABS-MBS CORP US N 2 2027-11-15 Floating 7.50000000 N N N N N N Capital Automotive Reit N/A 12510HAS9 1184400.00000000 PA USD 1193317.94000000 0.320968047982 Long ABS-O CORP US N 2 2053-09-15 Fixed 5.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HHNF4 399497.51000000 PA USD 400851.49000000 0.107817469228 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.63969000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AKTB9 487487.58000000 PA USD 31794.13000000 0.008551702359 Long ABS-MBS USGSE US N 2 2044-08-25 Variable 2.28993000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBYG9 512574.22000000 PA USD 436171.99000000 0.117317663233 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371HVD7 1577.98000000 PA USD 1606.71000000 0.000432158568 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382MZ77 19153330.92000000 PA USD 1184279.18000000 0.318536882694 Long ABS-MBS USGA US N 2 2050-12-20 Floating 1.30000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UQ88 194206.26000000 PA USD 197999.56000000 0.053256160947 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385H7C0 2098.32000000 PA USD 2111.18000000 0.000567846422 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31386HMR9 169.85000000 PA USD 169.32000000 0.000045542187 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 7.50000000 N N N N N N GS Mortgage Securities Trust N/A 36255TAN2 4450677.70000000 PA USD 546804.92000000 0.147074724947 Long ABS-MBS CORP US N 2 2031-09-15 Floating 10.86700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BCAY6 137316.49000000 PA USD 23597.28000000 0.006346986536 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 2.50000000 N N N N N N SMB Private Education Loan Tru N/A 78448YAE1 3395134.30000000 PA USD 2937327.26000000 0.790056166363 Long ABS-O CORP US N 2 2053-01-15 Fixed 2.99000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382DWM7 759698.24000000 PA USD 100650.14000000 0.027071979631 Long ABS-MBS USGA US N 2 2047-07-20 Floating 1.71615000 N N N N N N Freddie Mac - SCRT N/A 35563PAF6 4388702.31000000 PA USD 634032.31000000 0.170536372644 Long ABS-MBS CORP US N 2 2055-09-25 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A4XC8 102592.33000000 PA USD 522.95000000 0.000140658440 Long ABS-MBS USGSE US N 2 2040-12-25 Floating 2.09583000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABUA8 666016.79000000 PA USD 585536.16000000 0.157492309466 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380RRS1 1121550.02000000 PA USD 826448.90000000 0.222290875967 Long ABS-MBS USGA US N 2 2063-06-16 Fixed 1.34000000 N N N N N N Structured Asset Securities Co N/A 86359DMC8 117923.79000000 PA USD 103919.69000000 0.027951394115 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.78459000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HHLW9 432246.03000000 PA USD 431672.70000000 0.116107484218 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.63969000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133A4XP6 158754.71000000 PA USD 141293.40000000 0.038003842287 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H4HJ2 4700000.00000000 PA USD 3174453.79000000 0.853836351767 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AYYC9 772041.93000000 PA USD 35600.32000000 0.009575457499 Long ABS-MBS USGSE US N 2 2033-01-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FYCR5 7041368.71000000 PA USD 854423.62000000 0.229815267389 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FUZK3 4318215.45000000 PA USD 474863.79000000 0.127724639532 Long ABS-MBS USGSE US N 2 2035-05-25 Variable 1.50847200 N N N N N N Freddie Mac - SCRT N/A 35563PAG4 7267819.10000000 PA USD 887520.63000000 0.238717406825 Long ABS-MBS CORP US N 2 2055-09-25 Variable 1.43281900 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382XHX6 2909530.59000000 PA USD 556093.93000000 0.149573200254 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398TUX7 453248.50000000 PA USD 37354.07000000 0.010047165579 Long ABS-MBS USGSE US N 2 2040-08-25 Floating 2.10583000 N N N N N N Bank N/A 06542BBN6 6044744.46000000 PA USD 198076.60000000 0.053276882482 Long ABS-MBS CORP US N 2 2054-04-15 Variable 0.76452400 N N N N N N Morgan Stanley Capital I Trust N/A 61772WAG2 2000000.00000000 PA USD 1905674.60000000 0.512571407794 Long ABS-MBS CORP US N 2 2038-12-15 Floating 5.88256000 N N N N N N Dividend Solar Loans LLC N/A 255396AB9 464593.68000000 PA USD 423193.23000000 0.113826751781 Long ABS-O CORP US N 2 2038-07-20 Fixed 4.29000000 N N N N N N Countrywide Alternative Loan T N/A 02146YAD8 61195.50000000 PA USD 51973.67000000 0.013979415583 Long ABS-MBS CORP US N 2 2046-07-20 Floating 4.83385000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379RPH0 423016.44000000 PA USD 11431.13000000 0.003074643696 Long ABS-MBS USGA US N 2 2058-07-16 Variable 0.56270000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H060648 10100000.00000000 PA USD 10251978.34000000 2.757485968704 Long ABS-MBS USGA US N 2 2055-04-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H4VF4 3055313.63000000 PA USD 620187.11000000 0.166812413865 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 3.00000000 N N N N N N TWO HARBORS INV CORP 549300ZUIBT6KH4HU823 90187BAB7 1600000.00000000 PA USD 1588000.00000000 0.427126118791 Long DBT CORP US N 2 2026-01-15 Fixed 6.25000000 N N N N N TWO HARBORS INVESTMENT CORP USD XXXX N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B9NK9 40279243.94000000 PA USD 763855.58000000 0.205455081362 Long ABS-MBS USGSE US N 2 2032-04-25 Variable 0.46049000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382NZ83 1005193.32000000 PA USD 997386.69000000 0.268268202666 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKQY7 573880.79000000 PA USD 507020.99000000 0.136373997232 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H050649 9600000.00000000 PA USD 9443503.39000000 2.540029565974 Long ABS-MBS USGA US N 2 2055-04-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H050649 -2000000.00000000 PA USD -1967396.54000000 -0.52917282635 Short ABS-MBS USGA US N 2 2055-04-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F8D59 1931859.45000000 PA USD 278022.59000000 0.074780043956 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XQFP7 6301682.45000000 PA USD 5226413.52000000 1.405754232996 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371JL36 731.34000000 PA USD 751.28000000 0.000202072613 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BGZ61 5062582.35000000 PA USD 794066.04000000 0.213580822247 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384VUX8 447.06000000 PA USD 447.45000000 0.000120351122 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 7.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F030645 23600000.00000000 PA USD 20456421.47000000 5.502186339326 Long ABS-MBS USGSE US N 2 2055-04-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKMK2 1648023.60000000 PA USD 1546156.92000000 0.415871539220 Long ABS-MBS USGA US N 2 2050-06-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3HQ6 1246230.04000000 PA USD 1151057.94000000 0.309601328977 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178NF95 54016.03000000 PA USD 49070.07000000 0.013198431075 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38377UJK5 1183.94000000 PA USD 0.27000000 0.000000072622 Long ABS-MBS USGA US N 2 2025-12-16 Fixed 4.00000000 N N N N N N BX Trust N/A 05608RAQ8 1070000.00000000 PA USD 1047903.11000000 0.281855660103 Long ABS-MBS CORP US N 2 2036-10-15 Floating 7.57558000 N N N N N N Pear LLC N/A 70472TAA6 590375.94000000 PA USD 584137.26000000 0.157116045784 Long ABS-O CORP US N 2 2034-01-15 Fixed 2.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AKWC3 766599.12000000 PA USD 46104.65000000 0.012400818773 Long ABS-MBS USGSE US N 2 2044-08-25 Variable 2.25046700 N N N N N N Freddie Mac - SCRT N/A 35563PAH2 46162156.22000000 PA USD 186910.57000000 0.050273543025 Long ABS-MBS CORP US N 2 2055-09-25 Variable 0.07500000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F020646 19300000.00000000 PA USD 15341379.12000000 4.126387733274 Long ABS-MBS USGSE US N 2 2055-04-15 Fixed 2.00000000 N N N N N N Fannie Mae - CAS N/A 20754TAH5 600000.00000000 PA USD 600450.60000000 0.161503862911 Long ABS-MBS CORP US N 2 2045-02-25 Floating 6.28566000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382HYG9 5762088.61000000 PA USD 849438.46000000 0.228474403383 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAKS2 54530.38000000 PA USD 47639.20000000 0.012813568386 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H062644 2000000.00000000 PA USD 2047608.24000000 0.550747456144 Long ABS-MBS USGA US N 2 2055-04-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384SPY9 2541.98000000 PA USD 2557.12000000 0.000687791398 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617Q0FZ7 955564.34000000 PA USD 898857.26000000 0.241766632752 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 4.00000000 N N N N N N ZF NA CAPITAL 529900JYGMS9CW9IQX78 98877DAG0 650000.00000000 PA USD 603823.16000000 0.162410984110 Long DBT CORP US N 2 2032-04-23 Fixed 6.87500000 N N N N N N Verus Securitization Trust 2138005NRONUFED1TZ38 92540MAC9 582576.77000000 PA USD 589608.94000000 0.158587769614 Long ABS-MBS CORP US N 2 2069-04-25 Variable 6.84500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382X6W0 4582757.52000000 PA USD 688195.90000000 0.185104813435 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N Peace Park CLO, Ltd. 549300XHXTUZ93V6SK42 70470MAL9 475000.00000000 PA USD 477338.82000000 0.128390351092 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 7.50478000 N N N N N N 2025-05-23 Legg Mason Partners Income Trust Christopher Berarducci Christopher Berarducci Principal Financial Officer XXXX