NPORT-P false 0000795422 XXXXXXXX S000005133 C000014045 C000014046 C000014129 C000014042 C000204997 C000014044 Fidelity Advisor Series II 811-04707 0000795422 EIVUM2R16VT371T5KS40 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Advisor Mortgage Securities Fund S000005133 WIIX6BNCF8B12FQGCD90 2026-08-31 2026-05-31 N 1348636230.83 581878092.91 766758137.92 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 346396001.99000000 0.00000000 0.00000000 0.00000000 USD N Bloomberg US MBS Index 19808147 FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJRY6 121495.80600000 PA USD 116780.97000000 0.015230483280 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140LPTT9 105100.90920000 PA USD 85697.49000000 0.011176599994 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJQ26 462129.08000000 PA USD 465535.34000000 0.060714756971 Long ABS-CBDO USGSE US N 2 2054-10-25 Variable 0.04862100 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193VFQ0 22666.34700000 PA USD 20898.56000000 0.002725573941 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0YY8 16537.87960000 PA USD 16341.00000000 0.002131180510 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQNC9 142057.37800000 PA USD 144125.38000000 0.018796719965 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05112100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307TN31 3459.81570000 PA USD 3368.92000000 0.000439371926 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.03000000 N N N N N N BX COML MTG TR 2024-XL4 N/A 05611VAA9 1011765.83600000 PA USD 1014253.97000000 0.132278213929 Long ABS-MBS CORP US N 2 2039-02-15 Variable 0.05069120 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WAU7 455259.00000000 PA USD 431348.80000000 0.056256175013 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 0.04247500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A8Z62 20658.06000000 PA USD 21979.51000000 0.002866550599 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 3138EEAV1 39995.22290000 PA USD 38584.04000000 0.005032100487 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QD5C4 7229582.73300000 PA USD 6681949.07000000 0.871454600811 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A9SS7 99587.18300000 PA USD 95904.59000000 0.012507802037 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.02500000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 6900000.00000000 NC USD 163439.68000000 0.021315675950 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2037-01-25 0.00000000 USD 0.00000000 USD 6900000.00000000 USD 1.00000000 3.99600000 USD 2027-01-21 XXXX -7939.07000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207N4U5 37.47730000 PA USD 37.87000000 0.000004938975 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142JCAT7 3377317.62100000 PA USD 3399120.23000000 0.443310616724 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RYC1 35185.19320000 PA USD 33839.05000000 0.004413262582 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N TOWD PT MTG TR 2018-5 N/A 89176VAK8 506941.07800000 PA USD 503876.57000000 0.065715190368 Long ABS-CBDO CORP US N 2 2058-07-25 Fixed 0.03250000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300LCZ6 46392.52840000 PA USD 48116.13000000 0.006275268252 Long ABS-MBS USGSE US N 2 2037-06-01 Variable 0.06260000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAA6 187308.04000000 PA USD 183129.38000000 0.023883591310 Long ABS-MBS CORP US N 2 2032-11-05 Fixed 0.03112000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GVZ79 97048.02000000 PA USD 104367.48000000 0.013611525569 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FX84 323228.52870000 PA USD 310529.53000000 0.040499019787 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J9PW2 1809.14130000 PA USD 1740.23000000 0.000226959443 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBS82 807758.70560000 PA USD 718562.03000000 0.093714301089 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HNMM8 7206.18860000 PA USD 6945.56000000 0.000905834533 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNLT7 199922.81380000 PA USD 162638.81000000 0.021211227107 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 3132A37A2 316874.56300000 PA USD 297282.21000000 0.038771314616 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RUT8 126302.48580000 PA USD 121292.39000000 0.015818859168 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FMA1 156286.31650000 PA USD 150360.63000000 0.019609916421 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RPS2 1186.18830000 PA USD 1217.67000000 0.000158807574 Long ABS-MBS USGSE US N 2 2035-01-01 Variable 0.05960000 N N N N N N ARI FLEET LEASE TRUST 2025-A N/A 04033CAB2 94091.46000000 PA USD 94177.55000000 0.012282562824 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 3140W23W9 741994.47800000 PA USD 653567.36000000 0.085237746778 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.03000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 350000.00000000 NC USD 64150.70000000 0.008366484400 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S16 PRC CORP CY873248 Y 2065-04-17 81407.69000000 USD 0.00000000 USD 350000.00000000 USD -17256.99000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3140KVXR6 107804.47900000 PA USD 87160.78000000 0.011367441138 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 3138MA5J3 15709.66070000 PA USD 14742.34000000 0.001922684516 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133KR5R1 359195.17300000 PA USD 370686.29000000 0.048344617639 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.06000000 N N N N N N GS MTG SECS TR 2015-GC34 54930070360RBP384M53 36250VAF9 188176.93360000 PA USD 107.64000000 0.000014038325 Long ABS-MBS CORP US N 3 2048-10-10 Variable 0.00789190 N N N N N N LONDON CLEARING HOUSE N/A N/A 10950000.00000000 NC USD -60197.43000000 -0.00785090200 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2036-06-17 0.00000000 USD 0.00000000 USD 10746285.79000000 USD -60197.43000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193GKX2 5197.34250000 PA USD 4796.87000000 0.000625604054 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 70000.00000000 NC USD 12830.14000000 0.001673296880 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S16 PRC CORP CY873248 Y 2065-04-17 14865.67000000 USD 0.00000000 USD 70000.00000000 USD -2035.53000000 N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BNY91 1648220.91000000 PA USD 1631756.34000000 0.212812392761 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04312100 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31396HLM9 8815.04090000 PA USD 695.59000000 0.000090718306 Long ABS-CBDO USGSE US N 2 2036-02-15 Variable 0.02842670 N N N N N N UPX HIL 2025-1 ISSUER TR N/A 916925AB6 200000.00000000 PA USD 199098.76000000 0.025966305429 Long ABS-CBDO CORP US N 2 2047-01-25 Fixed 0.06070000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DQGL4 1076716.94500000 PA USD 872216.63000000 0.113753814516 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 36230SPQ1 6307.25120000 PA USD 6053.93000000 0.000789548842 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5J57 132237.67580000 PA USD 120413.23000000 0.015704199804 Long ABS-CBDO USGSE US N 2 2047-11-25 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MFUA4 220690.99270000 PA USD 214049.36000000 0.027916151053 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.03500000 N N N N N N EXETER AUTOMOBILE RECEIVABLES TR 2026-1 N/A 30168HAC1 155000.00000000 PA USD 154445.81000000 0.020142702419 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 82448.98000000 PA USD 82758.16000000 0.010793254861 Long ABS-MBS CORP US N 2 2043-02-15 Variable 0.05027090 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04V7 53131.99910000 PA USD 52506.31000000 0.006847832113 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177RCF6 204304.36370000 PA USD 191067.67000000 0.024918896918 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 0.03500000 N N N N N N OBX 2025-NQM10 N/A 67121LAA4 663150.49000000 PA USD 665810.32000000 0.086834464099 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 3542817.44390000 PA USD 3032078.15000000 0.395441274118 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 3128M9CJ9 474620.26640000 PA USD 457918.52000000 0.059721377231 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DRX1 5256.32630000 PA USD 5436.46000000 0.000709018884 Long ABS-MBS USGA US N 2 2032-02-20 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030660 -12400000.00000000 PA USD -10834500.00000000 -1.41302706344 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 3138EDEA5 84795.25100000 PA USD 81827.37000000 0.010671861954 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9MT8 1373184.27000000 PA USD 1236443.27000000 0.161255969627 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J4MR7 72311.31760000 PA USD 70859.96000000 0.009241500871 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FBH8 2680.86770000 PA USD 2646.50000000 0.000345154471 Long ABS-MBS USGA US N 2 2039-09-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230KL66 3146.47700000 PA USD 3032.61000000 0.000395510637 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N WELLS FARGO COML MTG TR 2018-C46 N/A 95001QAV3 3580102.55820000 PA USD 45676.02000000 0.005957031003 Long ABS-MBS CORP US N 2 2051-08-15 Variable 0.01065759 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXTH5 876151.40500000 PA USD 901798.28000000 0.117611830302 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 0.06000000 N N N N N N BANK 2020-BNK25 N/A 06539WBD7 7140322.00000000 PA USD 113913.13000000 0.014856461818 Long ABS-MBS CORP US N 2 2063-01-15 Variable 0.00528616 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PR22 746623.80800000 PA USD 663477.99000000 0.086530283434 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 3140Q9V26 717602.19930000 PA USD 701603.47000000 0.091502578884 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDBT2 781733.65950000 PA USD 692723.59000000 0.090344471840 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 3133KMUX1 1047276.06300000 PA USD 927376.15000000 0.120947676214 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38374GZM7 22413.07780000 PA USD 1035.72000000 0.000135077796 Long ABS-CBDO USGA US N 2 2034-05-16 Variable 0.02760460 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9GT5 2673119.38900000 PA USD 2387070.75000000 0.311319910666 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02500000 N N N N N N CSMC SER 2015-1R N/A 12649MBC6 16228.67320000 PA USD 16201.74000000 0.002113018329 Long ABS-CBDO CORP US N 2 2037-05-27 Variable 0.04478060 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A4T4 177.29440000 PA USD 178.84000000 0.000023324173 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.08500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GQF72 132821.38600000 PA USD 137070.51000000 0.017876629307 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180B4B4 136369.36000000 PA USD 127958.14000000 0.016688201099 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133GAS72 14259.29000000 PA USD 12860.20000000 0.001677217281 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.01500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176DQK2 24781.38460000 PA USD 23921.90000000 0.003119875592 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GRCZ2 27005.36600000 PA USD 26125.88000000 0.003407316950 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136AWQD2 75679.20120000 PA USD 9573.54000000 0.001248573640 Long ABS-CBDO USGSE US N 2 2047-05-25 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABKS0 711559.05100000 PA USD 607921.19000000 0.079284608787 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204DT82 261428.44390000 PA USD 258118.92000000 0.033663668793 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140M9VK0 30369.75300000 PA USD 24326.42000000 0.003172632776 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296QY29 1787.76640000 PA USD 1768.01000000 0.000230582489 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.04500000 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1 N/A 68270DAA9 5000000.00000000 PA USD 5011627.00000000 0.653612495538 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 245010.97800000 PA USD 243276.40000000 0.031727918879 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04262100 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WAW3 3909453.00000000 PA USD 85501.69000000 0.011151063910 Long ABS-MBS CORP US N 2 2033-07-05 Variable 0.01294783 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DS2X9 489381.04000000 PA USD 495328.24000000 0.064600323818 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179KP24 17017.43660000 PA USD 16304.95000000 0.002126478897 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WGTP2 24437.59360000 PA USD 22742.07000000 0.002966003081 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427C5Y5 24883.25900000 PA USD 26674.44000000 0.003478859718 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36181LT32 3292.17240000 PA USD 3154.87000000 0.000411455691 Long ABS-MBS USGA US N 2 2043-08-15 Fixed 0.04000000 N N N N N N DEXT ABS 2025-2 LLC N/A 252153AC5 100000.00000000 PA USD 99683.25000000 0.013000611936 Long ABS-CBDO CORP US N 2 2036-04-15 Fixed 0.04230000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31398SE82 25074.11460000 PA USD 24158.03000000 0.003150671483 Long ABS-CBDO USGSE US N 2 2040-12-25 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140N0PL3 750413.54740000 PA USD 709920.78000000 0.092587315985 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AMMM4 5481.46620000 PA USD 5406.55000000 0.000705118046 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDT22 2190378.66340000 PA USD 1789419.99000000 0.233374763371 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 3140A3RT2 74025.06800000 PA USD 79070.27000000 0.010312283116 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 31412D2G2 4490.16030000 PA USD 4776.16000000 0.000622903072 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J62X1 23863.98980000 PA USD 21945.12000000 0.002862065482 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MK9 85982.67800000 PA USD 91715.23000000 0.011961428964 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N DLLAD 2023-1A N/A 233258AC6 168385.88000000 PA USD 168762.51000000 0.022009875298 Long ABS-CBDO CORP US N 2 2028-01-20 Fixed 0.04790000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410EM88 552.20650000 PA USD 567.80000000 0.000074052034 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 0.06178000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JNVR5 582.84110000 PA USD 572.34000000 0.000074644137 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M4QA6 22891.38500000 PA USD 21993.10000000 0.002868322996 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136AWGE1 591509.89300000 PA USD 537579.45000000 0.070110693765 Long ABS-CBDO USGSE US N 2 2046-09-25 Fixed 0.02550000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131XX2V2 6485.14000000 PA USD 6027.79000000 0.000786139683 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 3138MAF45 5487.40600000 PA USD 5142.40000000 0.000670667808 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XF5A5 148496.73500000 PA USD 130567.63000000 0.017028528755 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295R5T1 10850.90970000 PA USD 10440.83000000 0.001361684928 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNWV6 500000.00000000 PA USD 494602.35000000 0.064505653809 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.04165000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AJA86 26904.84900000 PA USD 20844.38000000 0.002718507827 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.01500000 N N N N N N VERUS SECURITIZATION TR 2026-R1 N/A 924932AD8 2359621.11000000 PA USD 2344273.90000000 0.305738378774 Long ABS-CBDO CORP US N 2 2067-10-25 Variable 0.04675000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FXT4 2.52660000 PA USD 2.55000000 0.000000332569 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.07500000 N N N N N N ONSLOW BAY FINANCIAL N/A 67124FAA4 584621.30000000 PA USD 583430.19000000 0.076090511615 Long ABS-CBDO CORP US N 2 2066-02-25 Variable 0.05082000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUWP8 855320.88300000 PA USD 896116.61000000 0.116870831319 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 3132GSS67 5394.72780000 PA USD 5189.63000000 0.000676827508 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPMY1 202658.02260000 PA USD 201895.68000000 0.026331077560 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.05000000 N N N N N N WELLS FARGO COML MTG TR 2017 N/A 95001GAG8 6272634.73620000 PA USD 64707.25000000 0.008439069218 Long ABS-MBS CORP US N 2 2050-12-15 Variable 0.00959696 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137BGB32 28444.32600000 PA USD 588.66000000 0.000076772579 Long ABS-CBDO USGSE US N 2 2034-02-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9X55 169004.41940000 PA USD 166825.06000000 0.021757194576 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCVQ6 494264.42310000 PA USD 439221.95000000 0.057282985113 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AXRW0 2151.73140000 PA USD 2175.01000000 0.000283663112 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31397R3R5 9917.68290000 PA USD 10016.28000000 0.001306315447 Long ABS-CBDO USGSE US N 2 2037-12-15 Fixed 0.05000000 N N N N N N WELLS FARGO MTG BACKED SECS 2003-I TR N/A 949802AA0 17278.70460000 PA USD 17219.88000000 0.002245803356 Long ABS-CBDO CORP US N 2 2033-09-25 Variable 0.06338500 N N N N N N PRPM 2025-RCF5 LLC N/A 69384AAA6 170027.23000000 PA USD 169291.64000000 0.022078884021 Long ABS-CBDO CORP US N 2 2055-10-25 Fixed 0.04839000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945R42 174874.20640000 PA USD 169353.36000000 0.022086933496 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X8S81 127880.82990000 PA USD 111960.13000000 0.014601753077 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177Q2N2 7370.90110000 PA USD 7064.67000000 0.000921368766 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H050664 -8275000.00000000 PA USD -8173695.80000000 -1.06600704912 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 1283915.84700000 PA USD 1315835.92000000 0.171610297292 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7DA8 46.17710000 PA USD 46.15000000 0.000006018847 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210BTU9 3796.86900000 PA USD 3902.06000000 0.000508903630 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07500000 N N N N N N MSRM 2025-NQM3 N/A 61778LAA3 235350.50000000 PA USD 236276.35000000 0.030814977802 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 1341381.97900000 PA USD 1235465.65000000 0.161128469187 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 3132CWVN1 19604.71600000 PA USD 19161.72000000 0.002499056619 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CJKZ3 13889.39400000 PA USD 14857.52000000 0.001937706202 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 3138A7CA4 7929.48980000 PA USD 7822.11000000 0.001020153502 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.04500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 790000.00000000 NC USD 25821.84000000 0.003367664289 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 2035-05-06 0.00000000 USD 0.00000000 USD 790000.00000000 USD 1.00000000 4.06500000 USD 2030-05-02 XXXX -5857.16000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDS49 33345.31900000 PA USD 27293.41000000 0.003559585304 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 19040.18700000 PA USD 20431.59000000 0.002664672077 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 3140X5V91 1330567.00450000 PA USD 1184886.68000000 0.154531999257 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SLU9 2222.93000000 PA USD 2189.20000000 0.000285513761 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FW57 48597.46670000 PA USD 49826.48000000 0.006498330768 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427RN22 874631.21800000 PA USD 887146.14000000 0.115700909599 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 0.05500000 N N N N N N PRPM 2024-RCF3 LLC N/A 74390BAA6 523091.24000000 PA USD 517099.54000000 0.067439719831 Long ABS-CBDO CORP US N 2 2054-05-25 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARHT1 3108.79500000 PA USD 2995.78000000 0.000390707297 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31396VYS1 6664.84460000 PA USD 533.70000000 0.000069604738 Long ABS-CBDO USGSE US N 2 2037-05-25 Variable 0.02713420 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177PB53 4646.46470000 PA USD 4461.38000000 0.000581849709 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQTU3 1610334.47000000 PA USD 1639596.98000000 0.213834962932 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05162100 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A -7000000.00000000 NC USD -198030.63000000 -0.02582700074 N/A DIR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 Put Written CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A N/A NC USD N/A N/A DIR CORP US 2036-03-07 0.00000000 USD 0.00000000 USD -7000000.00000000 USD 1.00000000 3.99000000 USD 2031-03-05 XXXX 36119.37000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AVW56 40594.57000000 PA USD 42042.30000000 0.005483124067 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUVX1 420626.82200000 PA USD 438112.74000000 0.057138322807 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X8YM3 82885.23600000 PA USD 67453.70000000 0.008797259091 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 3132HPYW8 21445.33770000 PA USD 20637.96000000 0.002691586691 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176Q6C3 13753.02680000 PA USD 13209.77000000 0.001722807929 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQN4 2280000.00000000 PA USD 2258625.00000000 0.294568115850 Long DBT UST US N 2 2033-04-30 Fixed 0.04125000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133D1DV8 102779.27900000 PA USD 107259.09000000 0.013988647096 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312938BB8 5466.78590000 PA USD 5404.52000000 0.000704853295 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDZH2 115805.86400000 PA USD 111369.78000000 0.014524760089 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJEZ6 492702.18000000 PA USD 496147.60000000 0.064707184112 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04762100 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FCYM0 79118.27800000 PA USD 77100.98000000 0.010055449846 Long ABS-CBDO USGSE US N 2 2047-02-15 Fixed 0.04000000 N N N N N N GS MTG SECS TR 2020-GC45 N/A 36258YBH0 215790.45000000 PA USD 209798.66000000 0.027361778065 Long ABS-MBS CORP US N 2 2053-02-13 Fixed 0.02842800 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNGQ9 176763.02270000 PA USD 161866.65000000 0.021110522600 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -3000000.00000000 NC USD -177398.85000000 -0.02313622004 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 -3000000.00000000 USD 1.00000000 4.45000000 USD 2031-05-05 XXXX 6801.15000000 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5J24 155629.97400000 PA USD 138497.06000000 0.018062678848 Long ABS-CBDO USGSE US N 2 2049-06-25 Fixed 0.02500000 N N N N N N INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA N/A 44989YAA6 268000.00000000 PA USD 267958.03000000 0.034946877867 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 21820.33800000 PA USD 23391.04000000 0.003050641244 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 2367173.36200000 PA USD 2154628.18000000 0.281004931469 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 3140QUH33 1008690.16000000 PA USD 1035443.25000000 0.135041703347 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 3140AVW64 91985.03400000 PA USD 95222.40000000 0.012418831348 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06000000 N N N N N N RMF BUYOUT ISSUANCE TRUST 2020-2 N/A 76971EAA2 197650.05630000 PA USD 186153.72000000 0.024278023381 Long ABS-CBDO CORP US N 2 2050-10-25 Fixed 0.01718800 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H1GF1 6295.29280000 PA USD 6004.29000000 0.000783074831 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FTL0 118171.84610000 PA USD 116528.30000000 0.015197530255 Long ABS-MBS USGA US N 2 2041-05-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133GDCY4 1134147.90300000 PA USD 1024639.91000000 0.133632740146 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 3133KT3P3 33054.19500000 PA USD 29525.51000000 0.003850694050 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.02500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050668 -18625000.00000000 PA USD -18331075.15000000 -2.39072456403 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.05000000 N N N N N N AVIS BUDGET RENT CAR FDG AESOP LLC IHXLB8SL0QWSSG2VG640 05377RKL7 345000.00000000 PA USD 345866.50000000 0.045107639931 Long ABS-CBDO CORP US N 2 2029-08-20 Fixed 0.04800000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GSLX5 28799.27620000 PA USD 27781.73000000 0.003623271619 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KRC7 718.52480000 PA USD 755.21000000 0.000098493900 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945QT8 8966.68460000 PA USD 8857.79000000 0.001155226082 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWJL8 154114.23000000 PA USD 155597.01000000 0.020292841028 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.05500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8P62 349981.88000000 PA USD 346890.11000000 0.045241138351 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 1310000.00000000 PA USD 1315321.88000000 0.171543256595 Long ABS-MBS CORP US N 2 2040-06-15 Variable 0.05370630 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WXH6 8508507.99700000 PA USD 6987953.38000000 0.911363444926 Long ABS-MBS USGA US N 2 2052-02-20 Fixed 0.02000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 100000.00000000 NC USD 15146.36000000 0.001975376491 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 14490.66000000 USD 0.00000000 USD 100000.00000000 USD 655.70000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SW47 11111.93570000 PA USD 10245.30000000 0.001336184057 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPRT7 155120.96300000 PA USD 126531.47000000 0.016502135907 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 31292LYR0 215871.47130000 PA USD 197848.41000000 0.025803235755 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38380GF25 28656.83820000 PA USD 26317.51000000 0.003432309185 Long ABS-CBDO USGA US N 2 2046-11-20 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTEA0 171255.10100000 PA USD 181424.85000000 0.023661287833 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287SCS4 925.92180000 PA USD 961.81000000 0.000125438512 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5BQ9 1139520.72300000 PA USD 1020320.36000000 0.133069387795 Long ABS-CBDO USGSE US N 2 2048-10-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A5SJ8 50407.07500000 PA USD 53671.67000000 0.006999817458 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 3129455M6 18242.13970000 PA USD 18035.72000000 0.002352204575 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H052678 36125000.00000000 PA USD 36288826.88000000 4.732760577988 Long ABS-MBS USGA US N 2 2056-07-01 Fixed 0.05500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 30000.00000000 NC USD 5498.63000000 0.000717127048 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S16 PRC CORP CY873248 Y 2065-04-17 7847.18000000 USD 0.00000000 USD 30000.00000000 USD -2348.55000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNS52 801148.42100000 PA USD 713683.12000000 0.093077997442 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.03000000 N N N N N N LONDON CLEARING HOUSE N/A N/A 2390000.00000000 NC USD -20808.15000000 -0.00271378273 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2041-06-17 0.00000000 USD 0.00000000 USD 2354259.96000000 USD -20808.15000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBTH3 6846836.98300000 PA USD 5484371.20000000 0.715267426424 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 3133AEML5 51171.49700000 PA USD 41628.42000000 0.005429146159 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 31292GXH4 433.26630000 PA USD 442.49000000 0.000057709201 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JNMC8 12665.64570000 PA USD 12150.31000000 0.001584633980 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QJT9 55757.31440000 PA USD 53276.64000000 0.006948297952 Long ABS-MBS USGA US N 2 2044-07-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DMSE6 550450.20300000 PA USD 486570.51000000 0.063458147483 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM2S3 21028.99400000 PA USD 17166.40000000 0.002238828536 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292GSM9 135.05220000 PA USD 136.56000000 0.000017810048 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133D4JL8 76494.76000000 PA USD 68489.62000000 0.008932362972 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208VZT5 61.18730000 PA USD 61.74000000 0.000008052082 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210AJX6 358.89070000 PA USD 365.83000000 0.000047711264 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 0.07500000 N N N N N N CFMT 2024-HB15 LLC N/A 15723AAA9 54441.72000000 PA USD 54263.85000000 0.007077049113 Long ABS-CBDO CORP US N 2 2034-08-25 Variable 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946Q25 8820.55990000 PA USD 8718.10000000 0.001137007821 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D6FK1 174830.59300000 PA USD 180166.81000000 0.023497215235 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 0.06000000 N N N N N N CITIGROUP COML MTG TR 2016-P4 N/A 29429EAD3 3265937.15000000 PA USD 3259174.05000000 0.425058944772 Long ABS-MBS CORP US N 2 2049-07-10 Fixed 0.02902000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DVW9 921939.64690000 PA USD 831480.96000000 0.108441100117 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.01500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F4D41 989566.72000000 PA USD 978989.14000000 0.127679002228 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 0.03600000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MPB1 504077.42000000 PA USD 444634.14000000 0.057988838723 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2VD0 1351877.03100000 PA USD 1158677.72000000 0.151113847078 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 3140XNKT0 348728.72800000 PA USD 279334.50000000 0.036430588237 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 3140BETL2 36722.49200000 PA USD 38150.34000000 0.004975537671 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 3140XQY84 1868589.73900000 PA USD 1945302.45000000 0.253704832566 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177L3E2 1557.68220000 PA USD 1496.90000000 0.000195224533 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5KJ2 348836.18300000 PA USD 308571.80000000 0.040243694163 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N GS MORTGAGE SECURITIES CORP N/A 36228F6Y7 10813.57920000 PA USD 8922.41000000 0.001163653772 Long ABS-CBDO CORP US N 2 2034-06-25 Variable 0.05500000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GCP0 400000.00000000 PA USD 397714.96000000 0.051869675759 Long ABS-CBDO CORP US N 2 2040-09-18 Fixed 0.04080000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFGQ4 13559.58840000 PA USD 12697.91000000 0.001656051546 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211DUZ1 9.75180000 PA USD 9.89000000 0.000001289846 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31329N6Q6 328357.72360000 PA USD 312358.10000000 0.040737500464 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417G5U6 551551.09620000 PA USD 502000.57000000 0.065470523907 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31426GMF9 58210.19100000 PA USD 61222.16000000 0.007984546491 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MN72 395726.77500000 PA USD 338307.06000000 0.044121743646 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 3140Y6UU2 356874.91400000 PA USD 376589.75000000 0.049114542301 Long ABS-MBS USGSE US N 2 2055-06-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BDY46 80916.48000000 PA USD 84162.55000000 0.010976414313 Long ABS-MBS USGSE US N 2 2055-06-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211CWR9 577.49330000 PA USD 594.46000000 0.000077529010 Long ABS-MBS USGA US N 2 2029-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287PHP1 63898.84430000 PA USD 67177.80000000 0.008761276428 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVRW6 105593.12900000 PA USD 109862.13000000 0.014328133549 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 31418DXQ0 124670.59630000 PA USD 105295.43000000 0.013732548086 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CQUP8 95566.23300000 PA USD 100166.18000000 0.013063595291 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBJ68 1784678.51700000 PA USD 1532972.99000000 0.199929145083 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31397CDM8 74086.96390000 PA USD 75244.58000000 0.009813339601 Long ABS-CBDO USGSE US N 2 2036-11-15 Fixed 0.05500000 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2026-A N/A 142929AD0 105000.00000000 PA USD 104089.50000000 0.013575271634 Long ABS-CBDO CORP US N 2 2032-05-17 Fixed 0.03990000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140LNSG3 87048.23940000 PA USD 66624.04000000 0.008689055479 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.01500000 N N N N N N EFF 2026-1 N/A 29376JAC7 800000.00000000 PA USD 794533.84000000 0.103622485462 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 3132E06X5 177841.22700000 PA USD 190323.30000000 0.024821816761 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 3138MFFL6 12310.55670000 PA USD 11515.97000000 0.001501903850 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KQWY3 106147.72600000 PA USD 85821.29000000 0.011192745894 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.02000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 100000.00000000 NC USD 14065.94000000 0.001834468954 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 14123.19000000 USD 0.00000000 USD 100000.00000000 USD -57.25000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BCN6 208.41970000 PA USD 210.76000000 0.000027487155 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384V2T8 73.56480000 PA USD 76.50000000 0.000009977070 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QS4H1 220772.53600000 PA USD 227835.34000000 0.029714107843 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J85G1 251008.70600000 PA USD 235444.81000000 0.030706529002 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176TLV8 13556.89910000 PA USD 12998.06000000 0.001695196875 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296X6L3 28936.66960000 PA USD 29255.68000000 0.003815503031 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N ENTERPRISE FLEET FINANCING 2024-4 LLC N/A 29374MAC2 355000.00000000 PA USD 356276.44000000 0.046465296210 Long ABS-CBDO CORP US N 2 2028-11-20 Fixed 0.04560000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BLW0 3333.75180000 PA USD 3331.08000000 0.000434436862 Long ABS-CBDO USGA US N 2 2061-04-20 Variable 0.04275150 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2026-XL6 N/A 12433NAA9 887599.86000000 PA USD 886490.36000000 0.115615383281 Long ABS-MBS CORP US N 2 2043-03-15 Variable 0.04827090 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177PAH8 36287.73600000 PA USD 33175.16000000 0.004326678565 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180HJ33 5074.64480000 PA USD 4846.56000000 0.000632084585 Long ABS-MBS USGA US N 2 2043-08-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EFA2 4386.95330000 PA USD 4205.40000000 0.000548464997 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312943WK5 426146.52810000 PA USD 412374.11000000 0.053781510701 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N HYUNDAI AUTO RECEIVABLES TR 2024-A N/A 448973AD9 162819.51000000 PA USD 163644.16000000 0.021342344072 Long ABS-CBDO CORP US N 2 2029-02-15 Fixed 0.04990000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W1YX5 578311.74400000 PA USD 510295.11000000 0.066552291363 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FUAS3 61217.71900000 PA USD 51143.20000000 0.006670056367 Long ABS-CBDO USGSE US N 2 2050-07-25 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMGV8 9274.44680000 PA USD 8691.12000000 0.001133489110 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPLH0 337832.51700000 PA USD 275568.46000000 0.035939424229 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 31418DUJ9 98524.81020000 PA USD 86906.28000000 0.011334249446 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31349SY31 293.57600000 PA USD 301.67000000 0.000039343566 Long ABS-MBS USGSE US N 2 2034-05-01 Variable 0.06231000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L6BT7 11248.40600000 PA USD 10781.28000000 0.001406086152 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131XXPX3 21251.52700000 PA USD 19752.80000000 0.002576144813 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.03500000 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2026-A N/A 142929AB4 360000.00000000 PA USD 359327.23000000 0.046863177869 Long ABS-CBDO CORP US N 2 2029-12-17 Fixed 0.04030000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417B6R3 12972.26350000 PA USD 12179.59000000 0.001588452655 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292SCG3 1227.29900000 PA USD 1175.01000000 0.000153243890 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04000000 N N N N N N EXTENDED STAY AMERICA TRUST 2025-ESH N/A 30227TAC4 154101.33000000 PA USD 154438.43000000 0.020141739925 Long ABS-MBS CORP US N 2 2042-10-15 Variable 0.05227090 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209D6A7 3615.00240000 PA USD 3661.80000000 0.000477569108 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMD74 202959.66140000 PA USD 205136.65000000 0.026753762347 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N SHOPS COML MTG TR 2026-CSTL N/A 82510YAA4 534000.00000000 PA USD 531025.51000000 0.069255934008 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 171717.89000000 PA USD 172395.99000000 0.022483750934 Long ABS-CBDO CORP US N 2 2028-10-20 Fixed 0.04940000 N N N N N N STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-C N/A 85855EAC0 1800000.00000000 PA USD 1790094.42000000 0.233462722007 Long ABS-CBDO CORP US N 2 2029-04-20 Fixed 0.04110000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XC4X3 27514.68600000 PA USD 26879.23000000 0.003505568271 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3622ADQ27 771110.91200000 PA USD 763531.20000000 0.099579145266 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 17732.19100000 PA USD 14497.32000000 0.001890729199 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 3140BKUM4 24335.10600000 PA USD 26103.94000000 0.003404455552 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38379WN73 80305.33770000 PA USD 75102.78000000 0.009794846156 Long ABS-CBDO USGA US N 2 2046-02-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140NPMP2 40849.72400000 PA USD 43897.46000000 0.005725072591 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DMQB4 1090105.95140000 PA USD 931591.57000000 0.121497448012 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133APLG2 179826.18600000 PA USD 145222.32000000 0.018939782027 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PB78 285873.59700000 PA USD 296247.44000000 0.038636360717 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241L6P6 1693.10400000 PA USD 1669.78000000 0.000217771408 Long ABS-MBS USGA US N 2 2041-05-20 Fixed 0.04500000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 100000.00000000 NC USD 15146.36000000 0.001975376491 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 6928.32000000 USD 0.00000000 USD 100000.00000000 USD 8218.04000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427JJ82 25229.67700000 PA USD 26893.24000000 0.003507395444 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 3133ANTU8 129684.53990000 PA USD 105742.57000000 0.013790863737 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 31416CAH9 938.79750000 PA USD 968.04000000 0.000126251023 Long ABS-MBS USGSE US N 2 2036-05-01 Variable 0.06076000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208HPY6 5.81920000 PA USD 5.88000000 0.000000766865 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GCE5 2053557.29000000 PA USD 2060833.86000000 0.268772349203 Long ABS-CBDO CORP US N 2 2040-01-18 Fixed 0.04570000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GFJL2 8008.08940000 PA USD 8076.54000000 0.001053336065 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JBHW6 15086.84920000 PA USD 14592.05000000 0.001903083812 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.04000000 N N N N N N VERUS SECURITIZATION TR 2026-R2 N/A 92541GAD9 521100.25000000 PA USD 522107.90000000 0.068092906247 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 720498.15500000 PA USD 748276.10000000 0.097589586988 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 3140HJL33 23262.93990000 PA USD 22543.58000000 0.002940116170 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418B6J0 20206.90900000 PA USD 19052.46000000 0.002484807015 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31296KYZ0 2307.36130000 PA USD 2308.91000000 0.000301126246 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BASY1 374403.95100000 PA USD 340475.43000000 0.044404540775 Long ABS-CBDO USGSE US N 2 2046-06-25 Fixed 0.02000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6JS3 41844.58900000 PA USD 44928.63000000 0.005859556981 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 3133KYWE5 384460.53600000 PA USD 332061.03000000 0.043307141271 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133D4Z22 17742.32900000 PA USD 18855.92000000 0.002459174421 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 8868541.89300000 PA USD 8553168.56000000 1.115497591352 Long ABS-MBS USGA US N 2 2054-11-20 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179T7K5 1042272.91320000 PA USD 988223.25000000 0.128883307672 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050460 -3200000.00000000 PA USD -3216499.84000000 -0.41949340749 Short ABS-MBS USGA US N 2 2041-06-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194PRG1 7797.97820000 PA USD 7189.80000000 0.000937688124 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XGLQ0 66177.46600000 PA USD 64908.35000000 0.008465296524 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AX6L7 10037.84020000 PA USD 10145.63000000 0.001323185173 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401H5M0 14364.32210000 PA USD 14450.73000000 0.001884652967 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QKQZ4 84060.76000000 PA USD 75763.47000000 0.009881012832 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JPXP2 9755.75160000 PA USD 9398.85000000 0.001225790707 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N TCO COML MTG TR 2024-DPM N/A 87231EAA5 574000.00000000 PA USD 574359.27000000 0.074907489284 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 3140X6T35 127124.93810000 PA USD 112968.00000000 0.014733198698 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNWY6 365600.38700000 PA USD 391517.69000000 0.051061432626 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 2710000.00000000 NC USD 162036.97000000 0.021132735602 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 2710000.00000000 USD 1.00000000 4.37300000 USD 2031-03-31 XXXX -3544.03000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QHML6 94684.49800000 PA USD 85573.58000000 0.011160439748 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HMA9 1387.11850000 PA USD 1451.48000000 0.000189300892 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293TF28 14.50410000 PA USD 14.81000000 0.000001931508 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UQ9 920000.00000000 PA USD 879175.00000000 0.114661319720 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 3132M5FL1 8284.12800000 PA USD 7972.80000000 0.001039806375 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N ENTERPRISE FLEET FING 2022-3 LLC N/A 29374FAC7 215023.15000000 PA USD 215058.39000000 0.028047747961 Long ABS-CBDO CORP US N 2 2029-07-20 Fixed 0.04290000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XMK2 11565.02270000 PA USD 10663.05000000 0.001390666687 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5A74 21710.71780000 PA USD 21448.09000000 0.002797243216 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KNRU9 162958.79500000 PA USD 149429.45000000 0.019488472649 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31336SRL4 12496.63990000 PA USD 12836.20000000 0.001674087220 Long ABS-MBS USGSE US N 2 2033-06-01 Variable 0.06711000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945NL8 14414.02450000 PA USD 14233.87000000 0.001856370254 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176KD87 5536.61160000 PA USD 5328.24000000 0.000694904916 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31396LZK9 9742.39600000 PA USD 778.71000000 0.000101558752 Long ABS-CBDO USGSE US N 2 2036-12-25 Variable 0.02913420 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140ACAL7 10787.45800000 PA USD 11487.62000000 0.001498206465 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M8TQ9 4017.68490000 PA USD 3851.97000000 0.000502370931 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XAY97 123585.24800000 PA USD 98992.77000000 0.012910560071 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5T79 293721.03600000 PA USD 263030.89000000 0.034304284101 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 3140XGZM4 891589.60340000 PA USD 843687.88000000 0.110033117129 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 3133WEGP9 22171.23800000 PA USD 23385.65000000 0.003049938284 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31425WJ28 41350.25100000 PA USD 43502.11000000 0.005673511352 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYVZ9 186609.98850000 PA USD 166457.45000000 0.021709251166 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.02500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UM8 230000.00000000 PA USD 221455.86000000 0.028882101023 Long DBT UST US N 2 2055-08-15 Fixed 0.04750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211C3T7 93.83840000 PA USD 95.47000000 0.000012451123 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5JV7 2861807.65700000 PA USD 2560996.19000000 0.334003131280 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TJA60 5109.28130000 PA USD 5189.60000000 0.000676823595 Long ABS-CBDO USGSE US N 2 2029-02-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128KMYZ2 1208.24510000 PA USD 1270.63000000 0.000165714576 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBRH3 167512.18940000 PA USD 162542.25000000 0.021198633827 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKDD4 9373.91810000 PA USD 9443.67000000 0.001231636096 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AC7D6 876598.69000000 PA USD 889679.91000000 0.116031361912 Long ABS-MBS USGA US N 2 2054-03-20 Fixed 0.05500000 N N N N N N BBCMS MTG TR 2026-5C41 N/A 055292AU0 1400000.00000000 PA USD 1434610.52000000 0.187100788247 Long ABS-MBS CORP US N 2 2069-05-15 Fixed 0.05438000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJAU4 4409.55320000 PA USD 4660.14000000 0.000607771834 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CQQW8 212636.62600000 PA USD 222227.05000000 0.028982679023 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 3133KH6N1 1789866.77810000 PA USD 1459986.28000000 0.190410275130 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176M6R9 59887.29770000 PA USD 58152.57000000 0.007584212951 Long ABS-MBS USGA US N 2 2041-05-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVL60 110267.11600000 PA USD 90151.14000000 0.011757441563 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 3140QK2W7 127348.00610000 PA USD 98662.13000000 0.012867438259 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2N80 3600729.50300000 PA USD 3072639.67000000 0.400731276010 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ALTL8 5859.96680000 PA USD 5800.38000000 0.000756481048 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VSG6 100046.83900000 PA USD 85740.87000000 0.011182257580 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RGA1 1011190.53770000 PA USD 964141.76000000 0.125742618476 Long ABS-MBS USGA US N 2 2045-06-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3132E0LR1 309434.08200000 PA USD 324135.76000000 0.042273533722 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DN4S9 543480.10390000 PA USD 542624.56000000 0.070768673087 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.05000000 N N N N N N BMO 2025-5C9 MTG TR N/A 096933AE6 2998313.15000000 PA USD 73083.28000000 0.009531464536 Long ABS-MBS CORP US N 2 2058-04-15 Variable 0.00922841 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQTW2 967289.13450000 PA USD 901259.17000000 0.117541519995 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WDBQ6 414800.10110000 PA USD 384827.60000000 0.050188916291 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X8YU5 2585541.90000000 PA USD 2072655.71000000 0.270314145686 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 312943MK6 60856.42230000 PA USD 60171.51000000 0.007847521535 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390RTR4 4532.36530000 PA USD 4786.91000000 0.000624305079 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31329JLH8 329492.65300000 PA USD 309400.59000000 0.040351784310 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFAC5 113252.34000000 PA USD 99861.68000000 0.013023882637 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCEA0 46532.47140000 PA USD 44163.33000000 0.005759747150 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SW54 22913.66910000 PA USD 21126.59000000 0.002755313436 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31329NPK8 115162.70400000 PA USD 107149.04000000 0.013974294461 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L7Q44 450983.12570000 PA USD 405482.90000000 0.052882764452 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TJWJ8 5012.46310000 PA USD 5099.86000000 0.000665119774 Long ABS-CBDO USGSE US N 2 2029-03-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X9S63 55327.74200000 PA USD 44853.95000000 0.005849817273 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 3140AHRR5 18170.77800000 PA USD 19592.34000000 0.002555217744 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 31307RAA3 20476.41920000 PA USD 19811.33000000 0.002583778250 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 3132JPX49 28080.04380000 PA USD 26958.86000000 0.003515953553 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N CFMT 2025-HB16 N/A 12531BAA6 65285.18000000 PA USD 64368.65000000 0.008394909270 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 3140QMMQ4 669176.57540000 PA USD 590682.23000000 0.077036317032 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVK79 886654.34990000 PA USD 788745.63000000 0.102867591616 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136AQCV0 161973.42440000 PA USD 155140.40000000 0.020233290307 Long ABS-CBDO USGSE US N 2 2045-10-25 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FY59 165954.66250000 PA USD 156299.02000000 0.020384396626 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137H3SE3 132999.17600000 PA USD 118369.84000000 0.015437702470 Long ABS-CBDO USGSE US N 2 2047-11-25 Fixed 0.02000000 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 N/A 78397XAC8 103417.34000000 PA USD 104162.43000000 0.013584783108 Long ABS-CBDO CORP US N 2 2029-11-20 Fixed 0.05330000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QKDW5 43755.68400000 PA USD 38254.72000000 0.004989150829 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXV82 339727.05800000 PA USD 352325.73000000 0.045950047684 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 0.06000000 N N N N N N MSC 2021-L6 N/A 61692CBK3 988523.02970000 PA USD 34262.21000000 0.004468450780 Long ABS-MBS CORP US N 2 2054-06-15 Variable 0.01255941 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E5GU6 12932.00250000 PA USD 12440.56000000 0.001622488159 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7ZG7 4438896.56350000 PA USD 3804525.42000000 0.496183246299 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F85N9 361063.73100000 PA USD 278340.78000000 0.036300988047 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 18532.87800000 PA USD 19889.24000000 0.002593939211 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.07000000 N N N N N N BANK 2017-BNKS N/A 06541WAX0 1519217.00000000 PA USD 1504513.71000000 0.196217507919 Long ABS-MBS CORP US N 2 2060-06-15 Fixed 0.03390000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DQF84 771177.15500000 PA USD 783657.73000000 0.102204031655 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H2FQ6 3.79900000 PA USD 3.79000000 0.000000494288 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418EES5 39500.84950000 PA USD 37123.32000000 0.004841594521 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.04000000 N N N N N N PRPM 2024-RCF6 LLC N/A 74390FAA7 75629.94000000 PA USD 74356.52000000 0.009697519507 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 1039770.79300000 PA USD 922679.71000000 0.120335170162 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 3136BUGA2 976344.46800000 PA USD 982384.92000000 0.128121877214 Long ABS-CBDO USGSE US N 2 2054-06-25 Variable 0.04812100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GEQJ2 2973.56970000 PA USD 2948.27000000 0.000384511080 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GQ4W9 63205.30200000 PA USD 63833.17000000 0.008325072385 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5JJ4 479724.70000000 PA USD 427800.55000000 0.055793415008 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HAXC5 1617135.68800000 PA USD 1639142.96000000 0.213775749996 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05062100 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BWC2 101.51000000 PA USD 102.10000000 0.000013315802 Long ABS-CBDO USGA US N 2 2061-05-20 Variable 0.04425150 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QR29 1863.31700000 PA USD 1832.22000000 0.000238956707 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QM6R0 69146.60640000 PA USD 63427.45000000 0.008272158698 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140APCY8 24015.02400000 PA USD 25772.60000000 0.003361242447 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EDD8 5820.92670000 PA USD 5767.50000000 0.000752192864 Long ABS-MBS USGA US N 2 2035-04-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JBRJ4 7138.13290000 PA USD 6846.82000000 0.000892956939 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N ARES COMMERCIAL MORTGAGE TRUST N/A 04021QAA7 250000.00000000 PA USD 250078.40000000 0.032615030429 Long ABS-MBS CORP US N 2 2043-02-15 Variable 0.04877090 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UF3 8360000.00000000 PA USD 8017762.50000000 1.045670349420 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 3133KNEF6 1096699.82330000 PA USD 931743.12000000 0.121517213045 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427SMD7 3122952.99800000 PA USD 2867579.45000000 0.373987481603 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 919461.13500000 PA USD 934331.30000000 0.121854761468 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946QN9 40955.75910000 PA USD 40482.97000000 0.005279757461 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HKUC6 598601.86400000 PA USD 600655.73000000 0.078337053145 Long ABS-CBDO USGSE US N 2 2055-04-25 Variable 0.04662100 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FPF7 685821.79060000 PA USD 659837.99000000 0.086055557465 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31393UNH2 19024.19460000 PA USD 1971.25000000 0.000257088891 Long ABS-CBDO USGSE US N 2 2033-12-25 Variable 0.04373420 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPB72 556443.03120000 PA USD 556262.63000000 0.072547339570 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NJA7 4860.35400000 PA USD 4554.52000000 0.000593996956 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 0.03500000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 200000.00000000 NC USD 15912.88000000 0.002075345433 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 14048.42000000 USD 0.00000000 USD 200000.00000000 USD 1864.46000000 N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133THQB6 1782.85400000 PA USD 1811.37000000 0.000236237466 Long ABS-CBDO USGSE US N 2 2029-01-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209M4D3 173.35240000 PA USD 175.69000000 0.000022913353 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMNF7 31527.79100000 PA USD 30040.82000000 0.003917900380 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128LXK41 20743.49300000 PA USD 21473.08000000 0.002800502392 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.07500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RCQ7 1027.89400000 PA USD 968.00000000 0.000126245807 Long ABS-CBDO USGA US N 2 2064-08-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ECZ1 1157589.35100000 PA USD 1030331.85000000 0.134375078534 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PQQ2 41156.23220000 PA USD 39556.42000000 0.005158917531 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQ6D9 33705.16430000 PA USD 32373.29000000 0.004222099303 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N FED HOME LN MTG CORP MTN S6XOOCT0IEG5ABCC6L87 31425X2S7 20466.73800000 PA USD 21888.84000000 0.002854725488 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 31418DWQ1 1822752.70820000 PA USD 1396787.61000000 0.182167953742 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MJ2 19018.86700000 PA USD 20307.67000000 0.002648510527 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 3140XQRB5 773254.97100000 PA USD 796614.77000000 0.103893878734 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 3133KGNJ3 8929.26900000 PA USD 7973.95000000 0.001039956357 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335CAW4 540660.64970000 PA USD 528918.15000000 0.068981093755 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417AJS9 84287.90280000 PA USD 81389.90000000 0.010614807456 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRZH1 1525157.97300000 PA USD 1300522.18000000 0.169613091232 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 230185.79800000 PA USD 243405.48000000 0.031744753392 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 12400000.00000000 PA USD 10834500.00000000 1.413027063448 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 31390KCN6 287.07590000 PA USD 301.37000000 0.000039304441 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJD88 115510.75200000 PA USD 111243.40000000 0.014508277708 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CCJW7 73561.10600000 PA USD 77601.85000000 0.010120772922 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0ZB7 75953.64340000 PA USD 75059.20000000 0.009789162486 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YDME6 209518.49430000 PA USD 200232.59000000 0.026114178656 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194A5E3 6158.91480000 PA USD 5666.06000000 0.000738963138 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVFQ2 127033.10800000 PA USD 136316.33000000 0.017778269738 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 384116.42300000 PA USD 328741.47000000 0.042874206838 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3129366F9 6054.77200000 PA USD 5992.65000000 0.000781556752 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N CHESAPEAKE FUNDING II LLC 5493000HT7H4OFOD6Z12 165183DE1 98454.09000000 PA USD 99298.19000000 0.012950392710 Long ABS-CBDO CORP US N 2 2036-05-15 Fixed 0.05520000 N N N N N N MORGAN STANLEY CAP I TR 2018-BOP N/A 61768FAA8 723006.38870000 PA USD 588093.40000000 0.076698683837 Long ABS-MBS CORP US N 2 2033-08-15 Variable 0.04525000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ALSX3 3423.53840000 PA USD 3379.78000000 0.000440788278 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QGE5 2115.16100000 PA USD 2082.17000000 0.000271554991 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31397CDA4 28986.56430000 PA USD 2286.74000000 0.000298234852 Long ABS-CBDO USGSE US N 2 2036-11-15 Variable 0.02902670 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FQ66 36833.27040000 PA USD 35430.64000000 0.004620836512 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.04000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -1900000.00000000 NC USD -106193.57000000 -0.01384968280 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 -1900000.00000000 USD 1.00000000 4.36000000 USD 2031-03-20 XXXX 14456.43000000 N N N CARMX 2025-2 N/A 14320AAB7 419354.98000000 PA USD 420070.02000000 0.054785205298 Long ABS-CBDO CORP US N 2 2028-07-17 Fixed 0.04590000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179N2J6 2134.88000000 PA USD 1995.48000000 0.000260248949 Long ABS-MBS USGA US N 2 2044-02-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SSP3 534389.70900000 PA USD 482687.45000000 0.062951721817 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 200000.00000000 PA USD 200781.74000000 0.026185798372 Long ABS-CBDO CORP US N 2 2029-10-15 Fixed 0.04600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X93D5 967785.59380000 PA USD 861825.27000000 0.112398581427 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FRQ73 50455.60680000 PA USD 46865.79000000 0.006112199881 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032666 -1775000.00000000 PA USD -1614279.25000000 -0.21053304427 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 372853.32000000 PA USD 376095.35000000 0.049050063038 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.05012100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNFX6 130968.05100000 PA USD 115155.31000000 0.015018465967 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 3580304.40900000 PA USD 2917081.66000000 0.380443521331 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FV86 6869.65750000 PA USD 6600.43000000 0.000860822947 Long ABS-MBS USGA US N 2 2041-08-20 Fixed 0.04000000 N N N N N N ANGEL OAK MORTGAGE TRUST 2026-2 N/A 03466LAA2 291493.83000000 PA USD 287531.38000000 0.037499618951 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 3273297.08800000 PA USD 3452078.03000000 0.450217331812 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 3140QQVW2 912675.77670000 PA USD 912379.89000000 0.118991875648 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8HT1 521075.33100000 PA USD 513295.16000000 0.066943555550 Long ABS-CBDO USGSE US N 2 2048-04-15 Fixed 0.04000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 4930000.00000000 NC USD 297039.01000000 0.038739596661 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 2041-04-02 0.00000000 USD 0.00000000 USD 4930000.00000000 USD 1.00000000 4.36250000 USD 2031-03-31 XXXX -8127.99000000 N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BMGV4 417410.89700000 PA USD 394398.12000000 0.051437096066 Long ABS-CBDO USGSE US N 2 2046-07-25 Fixed 0.03250000 N N N N N N CSMC SER 2014-3R N/A 12648GAJ6 72121.41710000 PA USD 7.21000000 0.000000940322 Long ABS-CBDO CORP US N 3 2037-05-27 Variable 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ETWB8 12302.23560000 PA USD 12696.10000000 0.001655815487 Long ABS-MBS USGSE US N 2 2039-02-01 Variable 0.06777000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140APGT5 14507.64500000 PA USD 15521.35000000 0.002024282395 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31359VSD6 7447.50280000 PA USD 7525.00000000 0.000981404647 Long ABS-CBDO USGSE US N 2 2029-04-25 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128K6NK2 8835.75340000 PA USD 9049.64000000 0.001180247010 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMA0 3083891.88400000 PA USD 2741426.00000000 0.357534646770 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411HT42 1850.20950000 PA USD 1937.95000000 0.000252745931 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBKV1 2897248.91410000 PA USD 2477765.23000000 0.323148214210 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.02500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6JH7 38138.98500000 PA USD 41063.14000000 0.005355422781 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 100000.00000000 NC USD 14065.94000000 0.001834468954 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 11049.92000000 USD 0.00000000 USD 100000.00000000 USD 3016.02000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287P6S7 1673.87570000 PA USD 1738.75000000 0.000226766422 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.06500000 N N N N N N TOYOTA LEASE OWNER TRUST 2024-B N/A 891943AD4 755573.87000000 PA USD 755938.81000000 0.098588951667 Long ABS-CBDO CORP US N 2 2027-09-20 Fixed 0.04210000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3136BM7C6 625463.58740000 PA USD 615258.21000000 0.080241497230 Long ABS-CBDO USGSE US N 2 2048-07-25 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307U5S3 63492.61940000 PA USD 61554.98000000 0.008027952617 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407G6Q6 3009.57780000 PA USD 3150.85000000 0.000410931406 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XPH6 13321.08460000 PA USD 12282.15000000 0.001601828450 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9BS9 108967.25540000 PA USD 107624.55000000 0.014036310105 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142J6DY6 8649998.62200000 PA USD 8517444.31000000 1.110838462452 Long ABS-MBS USGSE US N 2 2056-05-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176ND57 85991.70700000 PA USD 82675.28000000 0.010782445716 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GVZ87 120153.84700000 PA USD 129103.33000000 0.016837555888 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 472085.92300000 PA USD 508871.33000000 0.066366603083 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 31329NP36 179411.13500000 PA USD 166926.70000000 0.021770450386 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.03500000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCJB3 5823.52780000 PA USD 750.10000000 0.000097827458 Long ABS-CBDO USGSE US N 2 2034-04-25 Variable 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P75Z2 96797.23470000 PA USD 94225.09000000 0.012288762954 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.03500000 N N N N N N BANK5 2025-5YR14 N/A 06604MAE8 13100000.00000000 PA USD 155021.47000000 0.020217779549 Long ABS-MBS CORP US N 2 2058-04-15 Variable 0.00488936 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210FBC9 158.13900000 PA USD 160.19000000 0.000020891855 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137A7WV8 131575.94880000 PA USD 132855.02000000 0.017326848380 Long ABS-CBDO USGSE US N 2 2041-03-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407NH97 6269.60850000 PA USD 6564.26000000 0.000856105683 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292LH99 25382.21330000 PA USD 24527.42000000 0.003198847040 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQF1 1900000.00000000 PA USD 1897031.25000000 0.247409340205 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 19734.02400000 PA USD 21082.09000000 0.002749509781 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131XXGT2 13533.91000000 PA USD 12592.14000000 0.001642257105 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DU67 13744.17200000 PA USD 11996.14000000 0.001564527248 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CYVD7 443701.79100000 PA USD 447039.01000000 0.058302479998 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C02Z0 78561.48180000 PA USD 77641.41000000 0.010125932306 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMWW0 19161.07000000 PA USD 18257.36000000 0.002381110691 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XUJ48 19661.89320000 PA USD 19151.30000000 0.002497697651 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BWSK5 24891.10400000 PA USD 26530.39000000 0.003460072829 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 3140XAJE3 16134.36300000 PA USD 13085.10000000 0.001706548565 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 3138M8VX8 29378.60030000 PA USD 27540.42000000 0.003591800156 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0W53 25878.10890000 PA USD 25576.72000000 0.003335695930 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335CAG9 54181.76200000 PA USD 52375.93000000 0.006830828055 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140K5JZ1 95012.02960000 PA USD 90012.03000000 0.011739298945 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUAP1 272348.18600000 PA USD 283542.35000000 0.036979372761 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.06500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179W5B0 2938234.77000000 PA USD 2516711.20000000 0.328227517327 Long ABS-MBS USGA US N 2 2052-05-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QQNK7 639630.95050000 PA USD 638624.04000000 0.083288850605 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31395RA81 48526.22530000 PA USD 50037.93000000 0.006525907913 Long ABS-CBDO USGSE US N 2 2035-03-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XX43 1782401.94900000 PA USD 1727512.35000000 0.225300817111 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 21256.13300000 PA USD 22695.89000000 0.002959980322 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 100000.00000000 PA USD 99687.50000000 0.013001166217 Long ABS-MBS CORP US N 3 2035-10-15 Variable 0.05327090 N N N N N N CCUBS COML MTG TR 2017-C1 N/A 12508GAS5 302020.87600000 PA USD 300124.15000000 0.039141958220 Long ABS-MBS CORP US N 2 2050-11-15 Fixed 0.03462000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CWA79 156094.95110000 PA USD 151858.89000000 0.019805318325 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179R4G1 3248.77920000 PA USD 3196.44000000 0.000416877218 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSKD3 45411.84900000 PA USD 47718.31000000 0.006223384877 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJMS6 489672.03130000 PA USD 484579.05000000 0.063198422818 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J92P2 11660.98130000 PA USD 11205.48000000 0.001461409986 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WH3U4 25877.84360000 PA USD 24935.16000000 0.003252024173 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HHF97 1182262.39500000 PA USD 1190929.21000000 0.155320061320 Long ABS-CBDO USGSE US N 2 2054-11-25 Variable 0.04712100 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QSBV7 17415.06480000 PA USD 17818.13000000 0.002323826656 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 0.05850000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DRR5 338042.25000000 PA USD 312118.97000000 0.040706313316 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136AA4A0 14465.00190000 PA USD 13401.02000000 0.001747750605 Long ABS-CBDO USGSE US N 2 2043-01-25 Fixed 0.01750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBB8 1254602.11200000 PA USD 1014355.84000000 0.132291499735 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 396545.04200000 PA USD 418327.46000000 0.054557941978 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KNW41 4412926.45600000 PA USD 3592709.05000000 0.468558320065 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N DELL EQUIPMENT FINANCE TRUST 2025-2 N/A 24703VAE1 500000.00000000 PA USD 498633.05000000 0.065031334568 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 764585.84400000 PA USD 816696.42000000 0.106512911909 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 140000.00000000 NC USD 25660.28000000 0.003346593760 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BBB- CDSI S16 PRC CORP CY873248 Y 2065-04-17 33692.23000000 USD 0.00000000 USD 140000.00000000 USD -8031.95000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GDZS4 12500.13020000 PA USD 12354.85000000 0.001611309927 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04500000 N N N N N N AJAX MTG LN TR 2021-E N/A 009740AA9 1441095.08910000 PA USD 1273107.07000000 0.166037633908 Long ABS-CBDO CORP US N 2 2060-12-25 Fixed 0.01740000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKJH4 513165.43500000 PA USD 418586.74000000 0.054591757074 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 3142GUKM4 479140.64800000 PA USD 503794.30000000 0.065704460779 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.06500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5C64 226828.79600000 PA USD 229150.43000000 0.029885620858 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 1000000.00000000 PA USD 1025860.50000000 0.133791928545 Long ABS-MBS CORP US N 2 2059-05-15 Fixed 0.05486000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BNY75 1384505.56800000 PA USD 1374104.61000000 0.179209654523 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04412100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GJMF3 26478.58480000 PA USD 25601.98000000 0.003338990319 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N WESTF 2025-A N/A 97063RAA8 343628.19000000 PA USD 345066.27000000 0.045003274557 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 11217.51000000 PA USD 11970.65000000 0.001561202862 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.07000000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUDJ9 730324.45000000 PA USD 770441.54000000 0.100480386434 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312944WL1 116339.05390000 PA USD 115054.86000000 0.015005365357 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312933CQ5 6545.09560000 PA USD 6476.91000000 0.000844713564 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133WNH60 372383.99800000 PA USD 374787.96000000 0.048879554251 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y8UB0 1170711.27000000 PA USD 1196243.08000000 0.156013092113 Long ABS-MBS USGSE US N 2 2056-04-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JMMF3 7029.41830000 PA USD 6744.03000000 0.000879551147 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQYC1 18327.43380000 PA USD 18121.20000000 0.002363352810 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31392JY37 3880.82040000 PA USD 358.49000000 0.000046753986 Long ABS-CBDO USGSE US N 2 2033-03-25 Variable 0.04373420 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NA70 193.78660000 PA USD 193.96000000 0.000025296112 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427R7A2 782196.42100000 PA USD 719700.41000000 0.093862767723 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.03500000 N N N N N N SBNA AUTO LEASE TRUST 2024-C N/A 78398DAC1 117702.99000000 PA USD 117853.13000000 0.015370313554 Long ABS-CBDO CORP US N 2 2028-02-22 Fixed 0.04560000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DW65 14732.73200000 PA USD 12833.58000000 0.001673745522 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H4N30 842809.08200000 PA USD 739862.40000000 0.096492278778 Long ABS-CBDO USGSE US N 2 2050-04-25 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYWB1 385928.69600000 PA USD 343790.72000000 0.044836918318 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.02500000 N N N N N N POST ROAD EQUIPMENT FINANCE 2026-1 LLC N/A 73747RAB1 500000.00000000 PA USD 499705.65000000 0.065171222226 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 2850000.00000000 NC USD 57332.17000000 0.007477217021 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 2850000.00000000 USD 1.00000000 3.83700000 USD 2026-07-22 XXXX -31302.83000000 N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136ARGN2 2294811.83500000 PA USD 2001717.32000000 0.261062416035 Long ABS-CBDO USGSE US N 2 2046-02-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VB4 448864.07020000 PA USD 436683.69000000 0.056951947218 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N UBS COML MTG TR 2017-C7 N/A 90276WAT4 4884949.94280000 PA USD 57472.41000000 0.007495507012 Long ABS-MBS CORP US N 2 2050-12-15 Variable 0.01114893 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142J6DG5 12024999.55300000 PA USD 11840726.05000000 1.544258282294 Long ABS-MBS USGSE US N 2 2056-03-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AUJ46 18778.24300000 PA USD 20122.63000000 0.002624377754 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 3140XMRQ1 806824.22200000 PA USD 844672.10000000 0.110161478336 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5UV4 492166.94500000 PA USD 421215.22000000 0.054934561391 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 31418DX80 13398.35800000 PA USD 12062.81000000 0.001573222298 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 3132WDCX0 82183.97990000 PA USD 76378.15000000 0.009961178919 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GEKV1 13094.95620000 PA USD 12956.59000000 0.001689788390 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 140000.00000000 NC USD 25660.28000000 0.003346593760 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 34106.24000000 USD 0.00000000 USD 140000.00000000 USD -8445.96000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTZ86 481111.14500000 PA USD 515968.71000000 0.067292237862 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ATYB7 15876.90680000 PA USD 16047.75000000 0.002092935073 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KNKS6 161807.73100000 PA USD 130923.97000000 0.017075002341 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 3140W4GQ4 1806343.21800000 PA USD 1872456.64000000 0.244204338682 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 3132Y4BD3 110517.77820000 PA USD 105537.71000000 0.013764146056 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427SJN9 509679.75100000 PA USD 451964.94000000 0.058944915958 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 3133KKK24 1154678.79500000 PA USD 990743.97000000 0.129212058014 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 3132A9RL3 21065.85700000 PA USD 20558.45000000 0.002681217059 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209NDK5 47.09650000 PA USD 47.63000000 0.000006211867 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312943FB4 11833.65800000 PA USD 11691.46000000 0.001524791120 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QSQD6 1407926.25900000 PA USD 1463087.12000000 0.190814684271 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMP7 37553.20800000 PA USD 39709.91000000 0.005178935577 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293R3X7 738.52510000 PA USD 754.25000000 0.000098368698 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133ASQX4 1774624.22900000 PA USD 1421488.20000000 0.185389385478 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02000000 N N N N N N WORLD OMNI SELECT AUTO TRUST 2025-A N/A 98164UAE9 285000.00000000 PA USD 282463.87000000 0.036838718238 Long ABS-CBDO CORP US N 2 2031-08-15 Fixed 0.04080000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QSLY5 359042.05900000 PA USD 366423.53000000 0.047788671796 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.05500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0MY8 2076872.36100000 PA USD 1772274.31000000 0.231138637120 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 3140XG7M5 39442.91000000 PA USD 38473.20000000 0.005017644821 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31397QAV0 197344.64250000 PA USD 190386.90000000 0.024830111424 Long ABS-CBDO USGSE US N 2 2041-01-25 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DMN9 454181.83600000 PA USD 386151.35000000 0.050361558737 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 1603173.47610000 PA USD 1541749.17000000 0.201073727653 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193YPG5 12989.92410000 PA USD 11976.82000000 0.001562007549 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FGD2 9532.91070000 PA USD 9406.93000000 0.001226844494 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WDWH3 116328.10010000 PA USD 107840.83000000 0.014064517175 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CX2J8 222045.46300000 PA USD 223861.26000000 0.029195811420 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418EAQ3 198651.83970000 PA USD 181724.60000000 0.023700380995 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.03500000 N N N N N N WILLIS ENGINE SECURITIZATION TRUST 2025-B N/A 970910AA3 756008.01000000 PA USD 747785.14000000 0.097525556367 Long ABS-CBDO CORP US N 2 2050-12-15 Fixed 0.05159000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNEL2 51847.21500000 PA USD 42323.94000000 0.005519855337 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N AJAXM 2021-C N/A 009733AA4 122194.63200000 PA USD 122297.79000000 0.015949982654 Long ABS-CBDO CORP US N 2 2061-01-25 Fixed 0.06115000 N N N N N N GMF FLOORPLAN OWNER REVOLVING TR N/A 361886DV3 235000.00000000 PA USD 235772.30000000 0.030749239993 Long ABS-CBDO CORP US N 2 2029-03-15 Fixed 0.04590000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MH6 54891.41700000 PA USD 58423.28000000 0.007619518738 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 3140KRNY1 476485.91620000 PA USD 429734.17000000 0.056045596224 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.01500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050478 200000.00000000 PA USD 200773.42000000 0.026184713284 Long ABS-MBS USGA US N 2 2041-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210K5Z4 295.47690000 PA USD 304.16000000 0.000039668310 Long ABS-MBS USGA US N 2 2029-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HQBX9 9821.96400000 PA USD 9445.39000000 0.001231860417 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418D6M9 248194.16740000 PA USD 221380.11000000 0.028872221767 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178WGJ2 5629.90840000 PA USD 5396.92000000 0.000703862108 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31394KF41 276171.92960000 PA USD 280998.34000000 0.036647584955 Long ABS-CBDO USGSE US N 2 2033-10-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131XKFP9 408175.66200000 PA USD 382860.81000000 0.049932409069 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QLFQ4 88862.88100000 PA USD 79750.50000000 0.010400998183 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNN81 943196.00100000 PA USD 838454.18000000 0.109350542046 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -610000.00000000 NC USD -33590.69000000 -0.00438087166 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 -610000.00000000 USD 1.00000000 4.34000000 USD 2031-03-20 XXXX 4763.06000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUK97 275055.63700000 PA USD 290766.26000000 0.037921509485 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 15168.18100000 PA USD 16181.83000000 0.002110421683 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.07000000 N N N N N N CHESAPEAKE FUNDING II LLC 5493000HT7H4OFOD6Z12 165183CZ5 36515.80000000 PA USD 36649.62000000 0.004779814936 Long ABS-CBDO CORP US N 2 2035-10-15 Fixed 0.06160000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GT6J0 449592.72300000 PA USD 476431.66000000 0.062135846551 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 31292HP40 762.55010000 PA USD 792.11000000 0.000103306370 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.06500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BG6Y2 180023.60900000 PA USD 152861.79000000 0.019936115763 Long ABS-CBDO USGSE US N 2 2048-01-25 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XG7B9 441951.37600000 PA USD 414594.10000000 0.054071040070 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.03500000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A -7000000.00000000 NC USD -260335.32000000 -0.03395272995 N/A DIR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 Call Written CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A N/A NC USD N/A N/A DIR CORP US 2036-03-07 0.00000000 USD 0.00000000 USD -7000000.00000000 USD 1.00000000 3.99000000 USD 2031-03-05 XXXX -26185.32000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EPH64 63940.87190000 PA USD 64088.51000000 0.008358373629 Long ABS-MBS USGSE US N 2 2041-08-01 Variable 0.05309000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GV2F7 49128.97400000 PA USD 53041.59000000 0.006917642914 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 156987.84000000 PA USD 168116.66000000 0.021925644044 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 3133KYU56 124826.00290000 PA USD 105409.93000000 0.013747481087 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RQ36 3605.34800000 PA USD 3433.52000000 0.000447797007 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XND27 270127.58400000 PA USD 289276.85000000 0.037727261791 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 411000.00000000 PA USD 410229.38000000 0.053501796682 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 599999.15100000 PA USD 609334.42000000 0.079468921145 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AAGN8 99158.03200000 PA USD 99860.99000000 0.013023792648 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.05000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 50000.00000000 NC USD 3414.15000000 0.000445270787 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S19 PRC CORP INDEX CZ039900 Y 2058-12-17 3955.09000000 USD 0.00000000 USD 50000.00000000 USD -540.94000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QV4N1 241880.47900000 PA USD 255545.03000000 0.033327984061 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427SJQ2 238246.54700000 PA USD 210374.70000000 0.027436904754 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 N/A 30185EAC7 50000.00000000 PA USD 50074.11000000 0.006530626480 Long ABS-CBDO CORP US N 2 2030-08-15 Fixed 0.04430000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFDL2 661286.52270000 PA USD 572818.75000000 0.074706575864 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02000000 N N N N N N BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC 25-5C38 N/A 05556RAH0 4800000.00000000 PA USD 179055.36000000 0.023352260790 Long ABS-MBS CORP US N 2 2058-11-15 Variable 0.01108547 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293TGN1 72.40570000 PA USD 73.95000000 0.000009644501 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FX76 4375.51780000 PA USD 4120.35000000 0.000537372842 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427HEX6 24835.31700000 PA USD 26685.14000000 0.003480255204 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 3140W2VC2 1772233.90000000 PA USD 1518406.76000000 0.198029428695 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 571414.50400000 PA USD 594694.67000000 0.077559616336 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300LKD6 46145.80520000 PA USD 48025.14000000 0.006263401407 Long ABS-MBS USGSE US N 2 2040-12-01 Variable 0.06211000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 500000.00000000 NC USD -4478.85000000 -0.00058412813 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 3782.13000000 USD 500000.00000000 USD -696.72000000 N N N PEAC SOLUTIONS RECEIVABLES 2026-1 LLC N/A 704583AC7 105000.00000000 PA USD 104345.71000000 0.013608686343 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 340000.00000000 PA USD 339926.53000000 0.044332953664 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 36179QBF7 1971.95990000 PA USD 1841.91000000 0.000240220469 Long ABS-MBS USGA US N 2 2044-04-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VVX5 4636729.62800000 PA USD 3810998.10000000 0.497027408191 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TUUS5 13429.04380000 PA USD 13874.44000000 0.001809493673 Long ABS-CBDO USGSE US N 2 2031-09-15 Fixed 0.06500000 N N N N N N BX TRUST 2025-ROIC N/A 05593VAA1 1550039.07100000 PA USD 1547618.53000000 0.201839205019 Long ABS-MBS CORP US N 2 2030-03-15 Variable 0.04770920 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLV5 1021679.89190000 PA USD 874392.58000000 0.114037600223 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BQ7F2 24800.64600000 PA USD 26386.31000000 0.003441282028 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 31419HC42 245006.12050000 PA USD 236887.87000000 0.030894731765 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MGD3 1720.35170000 PA USD 1801.64000000 0.000234968487 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335BP42 216488.33700000 PA USD 206259.54000000 0.026900208788 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GDDT6 16133.45590000 PA USD 15930.75000000 0.002077676024 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6 N/A 48128KBA8 27090.76000000 PA USD 26976.21000000 0.003518216327 Long ABS-MBS CORP US N 2 2050-07-15 Fixed 0.03282900 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XJUV3 2133290.37830000 PA USD 2126598.89000000 0.277349373267 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 0.05000000 N N N N N N BLP COML MTG 2024-INDS N/A 05625AAA9 152203.44000000 PA USD 152393.69000000 0.019875066525 Long ABS-MBS CORP US N 2 2041-03-15 Variable 0.04969240 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMCJ1 102778.76300000 PA USD 90626.47000000 0.011819433732 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 31292J4F4 43792.75150000 PA USD 45438.72000000 0.005926082522 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MCXY5 5591.42340000 PA USD 5244.77000000 0.000684018824 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N CITIGROUP COML MTG TR 2019-GC41 N/A 17328FBB0 4689746.33830000 PA USD 121172.73000000 0.015803253204 Long ABS-MBS CORP US N 2 2056-08-10 Variable 0.01131891 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J6DM3 7192.22160000 PA USD 6907.11000000 0.000900819914 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P76T5 165252.47530000 PA USD 160779.83000000 0.020968780381 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 500000.00000000 NC USD -4478.85000000 -0.00058412813 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S17 PRC CORP CY885799 Y 2056-12-15 0.00000000 USD 7034.28000000 USD 500000.00000000 USD 2555.43000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WC2Q5 6574.67310000 PA USD 6362.07000000 0.000829736221 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H2UY8 201928.60100000 PA USD 171070.98000000 0.022310944160 Long ABS-CBDO USGSE US N 2 2051-10-25 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XAPT3 64604.13100000 PA USD 62216.04000000 0.008114167548 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CQUE3 79525.35400000 PA USD 83186.69000000 0.010849143411 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180KJU6 3442.19360000 PA USD 3305.08000000 0.000431045963 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.04000000 N N N N N N BRAVO RESIDENTIAL FDG TR 2026-NQM3 N/A 10571LAC5 499820.25000000 PA USD 498422.50000000 0.065003874801 Long ABS-CBDO CORP US N 2 2065-11-25 Variable 0.04922000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASAG4 5045.95730000 PA USD 4860.07000000 0.000633846549 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179BPF5 48182.19960000 PA USD 44393.67000000 0.005789787914 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03000000 N N N N N N FIDIUM FIBER FINANCE HOLDCO LLC N/A 315961AG7 640000.00000000 PA USD 630533.44000000 0.082233680846 Long ABS-CBDO CORP US N 2 2056-03-20 Fixed 0.05079000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390KRR1 249.00060000 PA USD 262.35000000 0.000034215482 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205TGC1 145.99290000 PA USD 147.00000000 0.000019171625 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9EH3 101113.85800000 PA USD 88434.46000000 0.011533553493 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128CUKL9 265.28320000 PA USD 265.36000000 0.000034608044 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ER2J8 255562.40410000 PA USD 237060.17000000 0.030917202997 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N DBJPM 2020-C9 N/A 233063AT3 400000.00000000 PA USD 357351.40000000 0.046605491657 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 50000.00000000 NC USD 7573.18000000 0.000987688245 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 7154.09000000 USD 0.00000000 USD 50000.00000000 USD 419.09000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A7F42 1011.25500000 PA USD 1022.04000000 0.000133293661 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DYX3 4082.91770000 PA USD 3992.55000000 0.000520705265 Long ABS-MBS USGA US N 2 2033-07-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X9Y82 15291.19800000 PA USD 14443.68000000 0.001883733512 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HPPE8 24632.26610000 PA USD 23768.41000000 0.003099857546 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B5LN0 12413.78800000 PA USD 11828.31000000 0.001542638990 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 3132DUXW2 2248379.82700000 PA USD 2339981.74000000 0.305178598605 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06000000 N N N N N N RCO MORTGAGE LLC N/A 74940DAA7 958911.46000000 PA USD 954311.56000000 0.124460571437 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 3128MJTC4 2589.12750000 PA USD 2488.96000000 0.000324608227 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133A96N0 413314.87500000 PA USD 334814.19000000 0.043666206257 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HX75 18319.89510000 PA USD 18834.79000000 0.002456418663 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176W2N0 29976.77740000 PA USD 28782.70000000 0.003753817348 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BSJ6 4875.18300000 PA USD 4644.66000000 0.000605752944 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KSAU1 499319.89390000 PA USD 450327.72000000 0.058731390999 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FUF1 4977.65740000 PA USD 4907.79000000 0.000640070154 Long ABS-MBS USGA US N 2 2041-06-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JBF81 23021.83630000 PA USD 22166.46000000 0.002890932473 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SYD5 15831.35180000 PA USD 14596.64000000 0.001903682436 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQ7C1 25236.17140000 PA USD 25507.16000000 0.003326623968 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BL6J4 210215.08200000 PA USD 196217.05000000 0.025590475052 Long ABS-CBDO USGSE US N 2 2048-05-25 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292G6T8 658.63630000 PA USD 681.79000000 0.000088918521 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137BJGM9 45884.12940000 PA USD 45189.37000000 0.005893562489 Long ABS-CBDO USGSE US N 2 2040-12-15 Fixed 0.04000000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 200000.00000000 NC USD 30292.72000000 0.003950752982 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 12943.15000000 USD 0.00000000 USD 200000.00000000 USD 17349.57000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M4WF8 15207.67690000 PA USD 14613.14000000 0.001905834353 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WMWJ6 97571.51930000 PA USD 91290.02000000 0.011905973407 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PX58 1238322.80900000 PA USD 1287999.74000000 0.167979924346 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06000000 N N N N N N PEAC SOLUTIONS RECEIVABLES 2026-1 LLC N/A 704583AB9 460000.00000000 PA USD 458844.25000000 0.059842110218 Long ABS-CBDO CORP US N 2 2028-10-20 Fixed 0.04270000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D56P2 491760.05820000 PA USD 443509.64000000 0.057842182308 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 0.01500000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUDH3 676912.88000000 PA USD 715153.72000000 0.093269791950 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 600000.00000000 PA USD 598681.68000000 0.078079599079 Long ABS-MBS USGSE US N 2 2030-05-25 Variable 0.04361000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWA45 2275713.97910000 PA USD 1743894.87000000 0.227437412628 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 3132DVMV4 198879.59000000 PA USD 208605.28000000 0.027206138374 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133KRM76 378972.23400000 PA USD 392961.31000000 0.051249708423 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193PJB2 9889.74000000 PA USD 9118.42000000 0.001189217244 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BLRV4 325580.22340000 PA USD 303830.65000000 0.039625357068 Long ABS-CBDO USGSE US N 2 2048-05-25 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307TPN5 5272.85810000 PA USD 5138.08000000 0.000670104397 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.03000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032666 2300000.00000000 PA USD 2091742.13000000 0.272803381738 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 1100000.00000000 PA USD 1100000.00000000 0.143461144473 Long ABS-MBS CORP US N 2 2039-06-15 Variable 0.04850000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DQZ7 148013.72380000 PA USD 134579.82000000 0.017551795454 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03000000 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 N/A 802920AD0 676284.10000000 PA USD 676858.47000000 0.088275355229 Long ABS-CBDO CORP US N 2 2028-11-15 Fixed 0.04620000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QT50 383948.60570000 PA USD 366423.58000000 0.047788678316 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7DP5 90.26640000 PA USD 90.55000000 0.000011809460 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BQ7G0 24893.18300000 PA USD 26461.82000000 0.003451129983 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 3140QFD55 855915.78810000 PA USD 702981.18000000 0.091682258750 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 31427MHB0 1124614.74400000 PA USD 959676.61000000 0.125160277085 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.02500000 N N N N N N BX 2024-CNYN N/A 05612HAA9 739359.76600000 PA USD 740283.97000000 0.096547259610 Long ABS-MBS CORP US N 2 2041-04-15 Variable 0.05068968 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JP6N7 12543.76640000 PA USD 12023.69000000 0.001568120298 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213EZT6 37243.50300000 PA USD 35824.38000000 0.004672187777 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N MFA 2022-RPL1 TR N/A 55285TAA4 707567.25740000 PA USD 664766.87000000 0.086698378161 Long ABS-CBDO CORP US N 2 2061-08-25 Fixed 0.03300000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUDY0 647359.82300000 PA USD 673734.10000000 0.087867877324 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 3133KNVT7 40640.97600000 PA USD 35734.09000000 0.004660412225 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBNZ9 8646.76700000 PA USD 8326.93000000 0.001085991734 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209W3G5 43.46680000 PA USD 44.03000000 0.000005742358 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N REACH ABS TR 2025-2 N/A 75525QAA8 234246.47000000 PA USD 235036.33000000 0.030653255358 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 351752.84200000 PA USD 378392.32000000 0.049349632079 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 31416XJZ4 300334.67190000 PA USD 290349.02000000 0.037867093368 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180B3A7 24765.54330000 PA USD 22573.82000000 0.002944060047 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202ED30 1054.73440000 PA USD 1044.89000000 0.000136273741 Long ABS-MBS USGA US N 2 2035-06-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418EXG0 52774.31300000 PA USD 54385.10000000 0.007092862443 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390HD51 337.87110000 PA USD 353.18000000 0.000046061460 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQ6C0 2999684.01000000 PA USD 2997865.60000000 0.390979299956 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.04149170 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427RFQ8 1207406.26800000 PA USD 1274559.79000000 0.166227096520 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 31419FET9 10864.74680000 PA USD 10531.87000000 0.001373558294 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FM60 2010.45100000 PA USD 1898.54000000 0.000247606110 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNQZ0 886592.64100000 PA USD 947295.69000000 0.123545567128 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N OCWEN LOAN INVESTMENT TRUST N/A 68279MAA0 375000.00000000 PA USD 367350.00000000 0.047909501292 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 3140Q7JB4 137712.75300000 PA USD 128000.82000000 0.016693767391 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307UGP7 11709.10080000 PA USD 11375.32000000 0.001483560387 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179V7D6 504966.78600000 PA USD 414882.02000000 0.054108590373 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GT6K7 167999.87500000 PA USD 177648.19000000 0.023168738773 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06500000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUDE0 204973.27000000 PA USD 217337.48000000 0.028344985106 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131Y3BX3 39574.52720000 PA USD 37596.74000000 0.004903337589 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6Y46 1778184.90000000 PA USD 1825359.61000000 0.238061980659 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 3140KVXM7 222893.40300000 PA USD 180211.10000000 0.023502991502 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 3140Y8CE4 1095005.02200000 PA USD 1135510.68000000 0.148092419740 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193VFY3 5522.68980000 PA USD 5091.97000000 0.000664090767 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F052664 3000000.00000000 PA USD 3014531.40000000 0.393152840630 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 61750000.00000000 PA USD 49390354.65000000 6.441451640015 Long ABS-MBS USGA US N 2 2056-07-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYVP1 492609.69700000 PA USD 439858.74000000 0.057366034769 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HFYT6 574659.80700000 PA USD 578028.98000000 0.075386090008 Long ABS-CBDO USGSE US N 2 2054-10-25 Variable 0.04612100 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38374H2N9 8309.56640000 PA USD 689.08000000 0.000089869277 Long ABS-CBDO USGA US N 2 2034-08-17 Variable 0.03460460 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKJK7 51811.77880000 PA USD 51035.14000000 0.006655963266 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179V4V9 8675552.60700000 PA USD 7444500.37000000 0.970905948281 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 31371MDV6 632.31870000 PA USD 661.58000000 0.000086282749 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GERN2 26771.83470000 PA USD 26497.70000000 0.003455809425 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H6UX1 344151.00400000 PA USD 314893.21000000 0.041068127539 Long ABS-CBDO USGSE US N 2 2050-08-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EEX79 23917.10630000 PA USD 23061.88000000 0.003007712453 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HRVC0 2300000.00000000 PA USD 2299987.58000000 0.299962591364 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 20265.30500000 PA USD 21608.50000000 0.002818163763 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NF94 1689.04800000 PA USD 1666.05000000 0.000217284945 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJN53 215154.03000000 PA USD 206805.24000000 0.026971378557 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 0.02500000 N N N N N N BX COML MTG TR 2024-XL5 N/A 05612GAA1 678496.20000000 PA USD 679556.35000000 0.088627210640 Long ABS-MBS CORP US N 2 2041-03-15 Variable 0.05018740 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMSJ4 659537.85490000 PA USD 562808.78000000 0.073401083362 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3140KYF82 99860.42070000 PA USD 89270.43000000 0.011642580050 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31395MT74 96095.71220000 PA USD 96323.98000000 0.012562498555 Long ABS-CBDO USGSE US N 2 2035-02-15 Fixed 0.05750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209PML8 218.50830000 PA USD 222.39000000 0.000029003930 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q7U96 2343771.83630000 PA USD 2168227.78000000 0.282778580724 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 900000.00000000 PA USD 900009.99000000 0.117378602911 Long ABS-MBS USGSE US N 2 2030-05-25 Fixed 0.04421000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AKT70 22689.35100000 PA USD 24248.16000000 0.003162426168 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 24817.84000000 PA USD 26461.61000000 0.003451102595 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 84711.64800000 PA USD 68663.44000000 0.008955032441 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 3138MSBR9 15259.43440000 PA USD 14308.74000000 0.001866134742 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GE5T3 17779.79370000 PA USD 17561.64000000 0.002290375430 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 3140EVQG5 132865.26440000 PA USD 123018.62000000 0.016043992742 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BKXA5 1179476.51100000 PA USD 1054098.39000000 0.137474692196 Long ABS-CBDO USGSE US N 2 2049-03-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403CW80 13906.40470000 PA USD 14318.32000000 0.001867384158 Long ABS-MBS USGSE US N 2 2035-08-01 Variable 0.06361000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131XDBE4 554342.32420000 PA USD 536789.63000000 0.070007686055 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427JFB9 24572.72400000 PA USD 26228.67000000 0.003420722742 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 1219725.00000000 PA USD 1048461.10000000 0.136739481219 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136AHTW0 25337.50650000 PA USD 2379.18000000 0.000310290805 Long ABS-CBDO USGSE US N 2 2044-01-25 Variable 0.02323420 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GKGW0 12101.22580000 PA USD 11700.83000000 0.001526013148 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HAFW1 652297.98500000 PA USD 654845.60000000 0.085404453844 Long ABS-CBDO USGSE US N 2 2053-08-25 Variable 0.04662100 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A15M9 6500.57830000 PA USD 6277.83000000 0.000818749706 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YYEZ2 68438.14520000 PA USD 63371.24000000 0.008264827833 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HCYX4 438803.80300000 PA USD 442015.01000000 0.057647253826 Long ABS-CBDO USGSE US N 2 2054-06-25 Variable 0.04812100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J8Z60 5958.10360000 PA USD 5589.95000000 0.000729036931 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WFH6 1057025.98900000 PA USD 941545.79000000 0.122795669642 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 3500000.00000000 PA USD 3518046.70000000 0.458820914446 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 6448220.22000000 PA USD 5223512.98000000 0.681246500254 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 3140JPJM8 23793.46540000 PA USD 21907.28000000 0.002857130419 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427SFU7 233352.65100000 PA USD 200076.70000000 0.026093847603 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 100000.00000000 NC USD -23730.85000000 -0.00309495900 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 23345.09000000 USD 100000.00000000 USD -385.76000000 N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUDG5 145466.20000000 PA USD 153820.40000000 0.020061136933 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 3140W3JC4 4055180.32000000 PA USD 4201068.27000000 0.547900056384 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133KRJX3 438986.16000000 PA USD 454367.44000000 0.059258248139 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FTV40 52706.25070000 PA USD 48956.30000000 0.006384842570 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133THA56 3979.37180000 PA USD 4040.69000000 0.000526983647 Long ABS-CBDO USGSE US N 2 2028-12-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEDW9 2458329.88020000 PA USD 2182259.68000000 0.284608610209 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.03000000 N N N N N N EXTENDED STAY AMERICA TRUST 2025-ESH N/A 30227TAA8 1940713.67000000 PA USD 1943139.56000000 0.253422750134 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 1046729.61600000 PA USD 933043.27000000 0.121686777597 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 31406PCX5 1106.23040000 PA USD 1140.50000000 0.000148743122 Long ABS-MBS USGSE US N 2 2035-03-01 Variable 0.05708000 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1 N/A 81885FAD8 400000.00000000 PA USD 395582.04000000 0.051591501992 Long ABS-CBDO CORP US N 2 2031-07-21 Fixed 0.03960000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31394DTZ3 42382.40310000 PA USD 42865.85000000 0.005590530818 Long ABS-CBDO USGSE US N 2 2035-05-25 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DYB2 5722928.51800000 PA USD 4623456.66000000 0.602987621695 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 3138W4P54 66972.16030000 PA USD 62554.42000000 0.008158298804 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6QM6 221663.06800000 PA USD 204872.31000000 0.026719287330 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177LQG2 9808.61190000 PA USD 9394.82000000 0.001225265117 Long ABS-MBS USGA US N 2 2042-04-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUK63 3231059.53000000 PA USD 3423941.18000000 0.446547745719 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNF49 1010036.34060000 PA USD 891243.54000000 0.116235289320 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 31419LLU5 11325.78220000 PA USD 10955.35000000 0.001428788226 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NDR6 28036.85670000 PA USD 26163.59000000 0.003412235059 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M5J43 5515.77380000 PA USD 5829.22000000 0.000760242338 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BPBP5 1597443.60000000 PA USD 1585308.78000000 0.206754738110 Long ABS-CBDO USGSE US N 2 2052-10-25 Variable 0.04412100 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418M4E9 5069.74660000 PA USD 5275.72000000 0.000688055299 Long ABS-MBS USGSE US N 2 2040-03-01 Variable 0.06079000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WG44 280848.48000000 PA USD 250034.09000000 0.032609251553 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 3140J5MF3 1910431.49350000 PA USD 1763315.28000000 0.229970207395 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 0.02500000 N N N N N N NYMT LN TR 2022-CP1 N/A 62955VAA4 600539.49490000 PA USD 563343.82000000 0.073470862862 Long ABS-CBDO CORP US N 2 2061-07-25 Fixed 0.02042400 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AMZX2 31658.43700000 PA USD 32918.56000000 0.004293212992 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RXZ1 1987.52670000 PA USD 1905.60000000 0.000248526869 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H060663 22375000.00000000 PA USD 22794005.44000000 2.972776461405 Long 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 31391C4B8 17782.44880000 PA USD 18730.79000000 0.002442855063 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131XYYB9 11191.63700000 PA USD 10402.37000000 0.001356669004 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N BX TRUST 2025-DIME N/A 05613UAA9 214000.00000000 PA USD 212930.00000000 0.027770164993 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 31410DB82 8585.13670000 PA USD 8970.21000000 0.001169887811 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31426G6G5 66728.18000000 PA USD 70711.59000000 0.009222150571 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177WTW0 2278.93170000 PA USD 2183.15000000 0.000284724725 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J66H2 22424.07050000 PA USD 21166.46000000 0.002760513250 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371H4K1 12.35600000 PA USD 12.72000000 0.000001658932 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV3Z6 304941.40300000 PA USD 269552.98000000 0.035154890006 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 1099068.12800000 PA USD 1098240.42000000 0.143231661417 Long ABS-MBS USGSE US N 2 2030-07-25 Variable 0.04179170 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179N5V6 2160.43900000 PA USD 2019.35000000 0.000263362056 Long ABS-MBS USGA US N 2 2044-03-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A4CV8 225342.39100000 PA USD 211452.17000000 0.027577427554 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31426ARB6 316010.18400000 PA USD 332509.61000000 0.043365644726 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06500000 N N N N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2026-NQM3 N/A 617960AA7 286532.87000000 PA USD 285863.04000000 0.037282035346 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 894183.95700000 PA USD 913126.17000000 0.119089204905 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WY85 666735.86700000 PA USD 547583.57000000 0.071415423315 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7KK4 318863.27950000 PA USD 260095.34000000 0.033921431953 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABKC5 378687.31300000 PA USD 323531.88000000 0.042194776162 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 3140XLE46 1724650.34200000 PA USD 1397088.36000000 0.182207177323 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 809453.26000000 PA USD 804811.45000000 0.104962883365 Long ABS-MBS CORP US N 2 2057-12-15 Fixed 0.04501600 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386L4H2 11437.80620000 PA USD 12036.81000000 0.001569831398 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 0.09000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSRB0 419277.34600000 PA USD 448017.13000000 0.058430045648 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 400000.00000000 NC USD 31825.76000000 0.004150690866 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 41517.83000000 USD 0.00000000 USD 400000.00000000 USD -9692.07000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQ5U2 83347.93130000 PA USD 80015.96000000 0.010435619270 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VXX3 2683344.01200000 PA USD 2205480.96000000 0.287637111486 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQ3M3 30088.97990000 PA USD 29736.59000000 0.003878222940 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKN5 48579.74020000 PA USD 47922.87000000 0.006250063433 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417SBL3 82332.76330000 PA USD 81366.74000000 0.010611786947 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131XXWA5 5045.25800000 PA USD 4689.45000000 0.000611594421 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QS4U2 475639.32600000 PA USD 501023.25000000 0.065343062593 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 2730000.00000000 NC USD 164185.23000000 0.021412910001 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 2730000.00000000 USD 1.00000000 4.35100000 USD 2031-04-01 XXXX 3115.23000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211ERY6 902.90910000 PA USD 917.48000000 0.000119657028 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AX44 60312.79540000 PA USD 59556.56000000 0.007767320234 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMTC8 455850.99160000 PA USD 372690.32000000 0.048605981673 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136AA2T1 21197.82380000 PA USD 19929.11000000 0.002599139026 Long ABS-CBDO USGSE US N 2 2042-06-25 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416T3P2 1563.47250000 PA USD 1518.03000000 0.000197980291 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLED6 825445.67700000 PA USD 838804.52000000 0.109396233116 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6S36 196782.96880000 PA USD 179277.04000000 0.023381172123 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380HES7 337569.11780000 PA USD 308231.46000000 0.040199307285 Long ABS-CBDO USGA US N 2 2047-09-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L6FD8 1776.90360000 PA USD 1751.38000000 0.000228413617 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J95F4 794720.39090000 PA USD 772894.43000000 0.100800290440 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7DY6 79.76850000 PA USD 79.79000000 0.000010406149 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31394YPA6 20039.79050000 PA USD 20498.64000000 0.002673416685 Long ABS-CBDO USGSE US N 2 2034-05-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSYQ9 468828.57000000 PA USD 483796.25000000 0.063096330651 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 31383LQB4 1054.95920000 PA USD 1090.54000000 0.000142227378 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ECHT3 17368.58980000 PA USD 16736.43000000 0.002182752183 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371HF29 363.63090000 PA USD 369.10000000 0.000048137734 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQMX7 16945.92960000 PA USD 15862.29000000 0.002068747524 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HMC65 700000.00000000 PA USD 697553.78000000 0.090974421463 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 0.04329000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHVQ2 88357.31170000 PA USD 82070.86000000 0.010703617730 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03500000 N N N N N N CARVANA AUTO RECEIVABLES TR 2025-P1 N/A 14689MAB6 5885.98000000 PA USD 5886.86000000 0.000767759702 Long ABS-CBDO CORP US N 2 2028-06-12 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PQZ2 19104.00320000 PA USD 18358.50000000 0.002394301291 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XJL50 865766.82160000 PA USD 863051.17000000 0.112558462351 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B9WC9 26823.28300000 PA USD 28762.50000000 0.003751182879 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 642824.46000000 PA USD 643796.73000000 0.083963468812 Long ABS-CBDO CORP US N 2 2029-01-16 Fixed 0.04740000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31396WYZ3 1954.34720000 PA USD 2149.34000000 0.000280315251 Long ABS-CBDO USGSE US N 2 2037-07-25 Variable 0.17240521 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140LYNN9 89072.54070000 PA USD 79658.24000000 0.010388965706 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 3140BUTE2 24846.55500000 PA USD 26520.96000000 0.003458842976 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 31418DUG5 103278.77300000 PA USD 83566.26000000 0.010898646635 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 3137HJYG6 732322.86000000 PA USD 736114.17000000 0.096003437537 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 55931.36400000 PA USD 59839.52000000 0.007804223658 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CQ6B6 21681.30300000 PA USD 23125.12000000 0.003015960164 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N BHG 2025-2CON N/A 05494LAA3 364689.42000000 PA USD 363473.65000000 0.047403950740 Long ABS-CBDO CORP US N 2 2036-09-17 Fixed 0.04840000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNVQ4 539862.58000000 PA USD 576868.00000000 0.075234675899 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 185640.36200000 PA USD 151774.08000000 0.019794257471 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A N/A 98164PAB6 260075.10000000 PA USD 260334.84000000 0.033952667356 Long ABS-CBDO CORP US N 2 2027-12-15 Fixed 0.04350000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5SM7 3554454.24700000 PA USD 2906016.94000000 0.379000469154 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 31418DRW4 89962.68800000 PA USD 72876.12000000 0.009504446890 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 3140AMBD2 24574.72600000 PA USD 25652.73000000 0.003345609095 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B2NY6 32737.91300000 PA USD 34061.47000000 0.004442270426 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06000000 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 N/A 80287NAC9 600000.00000000 PA USD 601479.48000000 0.078444485979 Long ABS-CBDO CORP US N 2 2029-08-15 Fixed 0.04670000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176XCE7 14062.54910000 PA USD 13504.72000000 0.001761275079 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QFPA1 536558.11720000 PA USD 436662.00000000 0.056949118425 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N BX COML MTG TR 2024-GPA3 N/A 123910AA9 3540324.67500000 PA USD 3546962.78000000 0.462592127110 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 12257.21000000 PA USD 12270.80000000 0.001600348192 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 1084000.00000000 PA USD 1084677.50000000 0.141462795940 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 3128MJXR6 43976.85030000 PA USD 40808.38000000 0.005322197180 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMS1 1845967.53300000 PA USD 1917713.46000000 0.250106697948 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 3140QL7M2 1833682.06250000 PA USD 1502029.49000000 0.195893517879 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENDS5 43712.19540000 PA USD 43000.36000000 0.005608073507 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H7ZT3 188654.59000000 PA USD 186945.98000000 0.024381349314 Long ABS-CBDO USGSE US N 2 2052-07-25 Variable 0.04162100 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137BYNZ9 161659.78900000 PA USD 156603.57000000 0.020424115800 Long ABS-CBDO USGSE US N 2 2046-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VCC6 20779.56370000 PA USD 20904.34000000 0.002726327764 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.05000000 N N N N N N AFFIRM MASTER TRUST N/A 00833BAA6 1800000.00000000 PA USD 1809787.50000000 0.236031078184 Long ABS-CBDO CORP US N 2 2033-02-15 Fixed 0.04990000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DW40 122149.19160000 PA USD 103236.50000000 0.013464024037 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2Z53 2219091.61800000 PA USD 2299573.41000000 0.299908575634 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DYY2 2690514.60200000 PA USD 2274058.19000000 0.296580900486 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31395WMR5 25107.48790000 PA USD 25408.50000000 0.003313756808 Long ABS-CBDO USGSE US N 2 2035-07-15 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HAT48 459167.19600000 PA USD 466017.33000000 0.060777617732 Long ABS-CBDO USGSE US N 2 2053-10-25 Variable 0.05062100 N N N N N N RCO IX MORTGAGE LLC 2026-2 N/A 74940MAA7 1200000.00000000 PA USD 1203739.44000000 0.156990761554 Long ABS-CBDO CORP US N 2 2031-05-25 Variable 0.05764600 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XJBR3 872661.45490000 PA USD 784310.77000000 0.102289200624 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 26999.25600000 PA USD 28760.93000000 0.003750978121 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 3140QRGJ6 295918.63830000 PA USD 300245.35000000 0.039157765030 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128K8UH7 12432.30150000 PA USD 13138.79000000 0.001713550773 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.07000000 N N N N N N GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 N/A 39154GAQ9 75000.00000000 PA USD 75240.37000000 0.009812790537 Long ABS-CBDO CORP US N 2 2030-09-16 Fixed 0.04760000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQRD3 1076645.27700000 PA USD 1092268.26000000 0.142452776955 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05062100 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FCN4 1429.95550000 PA USD 1411.54000000 0.000184091948 Long ABS-MBS USGA US N 2 2039-11-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L3GJ4 13276.77800000 PA USD 11953.34000000 0.001558945306 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E6TA4 4894.84450000 PA USD 5112.11000000 0.000666717410 Long ABS-MBS USGSE US N 2 2042-02-01 Variable 0.05963000 N N N N N N JOHN DEERE OWNER TRUST 2025 N/A 47800DAB0 342780.65000000 PA USD 343117.50000000 0.044749117489 Long ABS-CBDO CORP US N 2 2028-03-15 Fixed 0.04230000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137BE3R3 257865.40250000 PA USD 253800.46000000 0.033100458599 Long ABS-CBDO USGSE US N 2 2040-11-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133ASJZ7 12828.18600000 PA USD 12223.16000000 0.001594135020 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 3140XEAV6 489323.81120000 PA USD 431926.18000000 0.056331476464 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BSMZ5 382870.93900000 PA USD 387343.71000000 0.050517065400 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 466623.20200000 PA USD 463684.83000000 0.060473414896 Long ABS-CBDO USGSE US N 2 2052-10-25 Variable 0.04412100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292LPX7 28498.24760000 PA USD 26819.91000000 0.003497831802 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BRNU9 22963.16200000 PA USD 24570.92000000 0.003204520276 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230NNW1 6213.44230000 PA USD 6006.58000000 0.000783373491 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B3L54 21682.03000000 PA USD 17462.34000000 0.002277424801 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 N/A 17291EBB6 5607582.12940000 PA USD 4035.78000000 0.000526343288 Long ABS-MBS CORP US N 2 2049-12-10 Variable 0.00677220 N N N N N N JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2 N/A 46590SAC1 382461.84000000 PA USD 384162.88000000 0.050102224026 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 15118.00500000 PA USD 12369.48000000 0.001613217961 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 3133ADKZ8 52892.84860000 PA USD 40912.31000000 0.005335751650 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPNB0 680226.97590000 PA USD 678093.31000000 0.088436402101 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MMJ7 2698567.62600000 PA USD 2813570.59000000 0.366943688088 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTJQ4 571721.21800000 PA USD 610687.05000000 0.079645330098 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292LGU3 524596.60020000 PA USD 495430.08000000 0.064613605711 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BLMF4 230536.53730000 PA USD 214974.26000000 0.028036775792 Long ABS-CBDO USGSE US N 2 2048-05-25 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31395UZR5 58636.56930000 PA USD 58513.78000000 0.007631321678 Long ABS-CBDO USGSE US N 2 2035-06-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDCE4 180155.05400000 PA USD 153057.59000000 0.019961651846 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 3138WF5Y8 3199.70940000 PA USD 2963.87000000 0.000386545620 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DTQ5 49689.92400000 PA USD 40252.34000000 0.005249678876 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVT51 30148.78210000 PA USD 29789.86000000 0.003885170372 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLW3 20692.68600000 PA USD 16937.13000000 0.002208927321 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 3131XXS51 5364.03300000 PA USD 4985.74000000 0.000650236333 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FJJ2 102008.94060000 PA USD 100828.28000000 0.013149945858 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKL9 4532.50880000 PA USD 4276.77000000 0.000557773017 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV7D1 15846.15230000 PA USD 13977.50000000 0.001822934678 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BTXR9 1289660.97200000 PA USD 1298250.37000000 0.169316803538 Long ABS-CBDO USGSE US N 2 2054-12-25 Variable 0.04812100 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARUP4 3234.97700000 PA USD 3114.25000000 0.000406158062 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P74W0 82585.45240000 PA USD 80543.39000000 0.010504406281 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DQ2W5 529689.12100000 PA USD 430078.70000000 0.056090529559 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 3132GR6X4 28158.39770000 PA USD 27202.79000000 0.003547766714 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136AECM7 14892.99070000 PA USD 397.51000000 0.000051842945 Long ABS-CBDO USGSE US N 2 2032-10-25 Fixed 0.03000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RV60 47706.86120000 PA USD 47647.89000000 0.006214200755 Long ABS-CBDO USGA US N 2 2066-08-20 Variable 0.04140000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J8CS0 87828.42250000 PA USD 85058.50000000 0.011093263415 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5UF2 191113.88680000 PA USD 170128.19000000 0.022187986222 Long ABS-CBDO USGSE US N 2 2049-05-25 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KJR20 70596.39400000 PA USD 57541.04000000 0.007504457684 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 31418DZ62 16169.89800000 PA USD 14044.53000000 0.001831676679 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5UK8 986287.80100000 PA USD 808517.32000000 0.105446200048 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 31419KFF7 10177.17530000 PA USD 9877.31000000 0.001288191088 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XGFQ7 499785.26900000 PA USD 445377.45000000 0.058085780635 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 3132DPB80 1256601.68680000 PA USD 1254623.54000000 0.163627026301 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQSW2 899948.37000000 PA USD 899586.14000000 0.117323324724 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 3140Y8S80 1136616.68000000 PA USD 1162470.50000000 0.151608498496 Long ABS-MBS USGSE US N 2 2056-04-01 Fixed 0.05500000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 453.00000000 NC USD 112342.68000000 0.014651644950 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long UST NOTES UST NOTES 0% 06/30/2040 2026-09-30 93488782.32000000 USD 112342.68000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J7T44 19240.53800000 PA USD 17629.97000000 0.002299286975 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412QST7 36052.19830000 PA USD 35688.44000000 0.004654458588 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJZC4 253237.28000000 PA USD 253900.41000000 0.033113494000 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 2898740.18000000 PA USD 2894793.84000000 0.377536761181 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 1341379.21000000 PA USD 1326604.99000000 0.173014791026 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 1925765.48900000 PA USD 1983942.29000000 0.258744210447 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E1JB4 10830.29030000 PA USD 11309.65000000 0.001474995756 Long ABS-MBS USGSE US N 2 2042-01-01 Variable 0.06070000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUNN2 1476631.12200000 PA USD 1514757.00000000 0.197553429835 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 3132JBJJ3 9964.19320000 PA USD 9561.61000000 0.001247017739 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WDQ8 206591.69170000 PA USD 169736.27000000 0.022136872320 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31393NA66 6938.64040000 PA USD 904.68000000 0.000117987661 Long ABS-CBDO USGSE US N 2 2033-03-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMG7 2743378.84910000 PA USD 2803208.65000000 0.365592291932 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427RNR7 1892836.10200000 PA USD 1927018.45000000 0.251320247506 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JBDB6 25875.60670000 PA USD 24866.69000000 0.003243094369 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140N85H7 28717.47700000 PA USD 30638.83000000 0.003995892379 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 3140QLGT7 17354.39400000 PA USD 14058.28000000 0.001833469943 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMU6 1153182.79000000 PA USD 1216527.70000000 0.158658596477 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 300000.00000000 PA USD 267468.90000000 0.034883085913 Long ABS-MBS USGSE US N 2 2031-10-25 Fixed 0.02154000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XJJ32 38523.46880000 PA USD 37319.54000000 0.004867185381 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 600000.00000000 NC USD 47738.64000000 0.006226036299 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 21215.14000000 USD 0.00000000 USD 600000.00000000 USD 26523.50000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WDBV2 31203.64320000 PA USD 30693.48000000 0.004003019789 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QRK93 19923.94600000 PA USD 21420.40000000 0.002793631908 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F060667 10575000.00000000 PA USD 10798066.94000000 1.408275492098 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NLE6 20789.78100000 PA USD 19899.75000000 0.002595309917 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HYW9 93899.11090000 PA USD 94598.46000000 0.012337457579 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMB8 1003556.26000000 PA USD 857940.85000000 0.111891978391 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 16630000.00000000 NC USD 131178.44000000 0.017108190120 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 2029-03-14 0.00000000 USD 0.00000000 USD 16630000.00000000 USD 1.00000000 3.27500000 USD 2028-03-10 XXXX 50107.19000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6NW6 818130.05300000 PA USD 848585.52000000 0.110671863529 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 537455.63000000 PA USD 531225.61000000 0.069282030894 Long ABS-MBS CORP US N 2 2059-02-26 Fixed 0.04820000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV7B5 1380195.92000000 PA USD 1118056.00000000 0.145815993949 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140YWUS0 22410.92400000 PA USD 23903.33000000 0.003117453707 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L6US1 117964.28500000 PA USD 95301.34000000 0.012429126642 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UHEK7 10013.93490000 PA USD 10426.25000000 0.001359783415 Long ABS-MBS USGSE US N 2 2041-09-01 Variable 0.06434000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FQ74 8784.78310000 PA USD 8663.78000000 0.001129923449 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J9WZ7 5495.19320000 PA USD 5273.26000000 0.000687734467 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M9J52 1313278.50470000 PA USD 1267537.54000000 0.165311260137 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283H6B6 9213.21330000 PA USD 9570.30000000 0.001248151082 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLFC7 575422.10800000 PA USD 607210.15000000 0.079191875504 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYV48 497879.57620000 PA USD 430809.12000000 0.056185790367 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427JRX8 24874.84400000 PA USD 26529.77000000 0.003459991969 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 2259636.41580000 PA USD 1731574.52000000 0.225830602163 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128K5WC2 4975.19970000 PA USD 5257.93000000 0.000685735141 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.07000000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GAS6 134368.45200000 PA USD 134857.49000000 0.017588008960 Long ABS-CBDO CORP US N 2 2038-04-18 Fixed 0.05800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A5P55 34041.80500000 PA USD 33565.04000000 0.004377526411 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TNM84 2296.74320000 PA USD 2328.51000000 0.000303682463 Long ABS-CBDO USGSE US N 2 2030-03-15 Fixed 0.06000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 90000.00000000 NC USD 16495.89000000 0.002151381144 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BBB- CDSI S16 PRC CORP CY873248 Y 2065-04-17 19708.69000000 USD 0.00000000 USD 90000.00000000 USD -3212.80000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNW26 499746.58200000 PA USD 534822.10000000 0.069751082323 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 3140XDRW8 181391.95500000 PA USD 147677.18000000 0.019259942959 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 01F022667 -4975000.00000000 PA USD -4166367.98000000 -0.54337447155 Short 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 312936C70 9269.94750000 PA USD 9167.61000000 0.001195632566 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9UW9 1236734.02400000 PA USD 1158096.29000000 0.151038017430 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133WFVC8 12011.80700000 PA USD 12819.21000000 0.001671871398 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 214867.73500000 PA USD 214800.59000000 0.028014125886 Long ABS-MBS CORP US N 2 2026-10-15 Variable 0.04377410 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5VK0 185392.82400000 PA USD 165029.15000000 0.021522973391 Long ABS-CBDO USGSE US N 2 2049-05-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QWC34 1035749.35100000 PA USD 1073982.17000000 0.140067919319 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GJSS9 4822.88430000 PA USD 4768.87000000 0.000621952316 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUXZ5 572031.82600000 PA USD 611376.35000000 0.079735228067 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 31418DVD1 913249.12110000 PA USD 805554.31000000 0.105059766588 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GVZ61 81628.74500000 PA USD 87976.58000000 0.011473837139 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 3132DNB36 9481384.01740000 PA USD 8723839.45000000 1.137756356087 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 31416CAF3 987.48860000 PA USD 1017.06000000 0.000132644174 Long ABS-MBS USGSE US N 2 2036-11-01 Variable 0.06099000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5MS3 197103.82700000 PA USD 173068.04000000 0.022571399172 Long ABS-CBDO USGSE US N 2 2050-04-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DQ70 969811.01000000 PA USD 785615.29000000 0.102459335108 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 200000.00000000 NC USD 15912.88000000 0.002075345433 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 7527.22000000 USD 0.00000000 USD 200000.00000000 USD 8385.66000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9RA1 164569.11570000 PA USD 158702.39000000 0.020697842272 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QV5L4 101051.07100000 PA USD 108072.45000000 0.014094724875 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 31371M7A9 81.50660000 PA USD 81.50000000 0.000010629166 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GTMQ7 29410.99730000 PA USD 28472.04000000 0.003713301312 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.04000000 N N N N N N BANK5 2025-5YR14 N/A 06604MAD0 5289908.40000000 PA USD 177868.94000000 0.023197528816 Long ABS-MBS CORP US N 2 2058-04-15 Variable 0.00982677 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XGFK0 274939.25100000 PA USD 220228.54000000 0.028722034903 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 3140XJTE3 458366.49690000 PA USD 457644.94000000 0.059685697140 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403EDZ7 1501.42020000 PA USD 1544.32000000 0.000201409013 Long ABS-MBS USGSE US N 2 2033-10-01 Variable 0.06377000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H050672 8275000.00000000 PA USD 8163352.05000000 1.064658025299 Long ABS-MBS USGA US N 2 2056-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J4HK8 181062.06400000 PA USD 178044.79000000 0.023220463037 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.04000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0ET8 148197.03000000 PA USD 130859.84000000 0.017066638556 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912810UJ5 2470000.00000000 PA USD 2405066.02000000 0.313666839783 Long DBT UST US N 2 2045-02-15 Fixed 0.04750000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133TGWC9 11278.55710000 PA USD 11442.74000000 0.001492353251 Long ABS-CBDO USGSE US N 2 2028-11-15 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179M5M8 105088.92470000 PA USD 98526.51000000 0.012849750805 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0XL7 50067.44700000 PA USD 49458.63000000 0.006450356058 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DU75 491620.74780000 PA USD 443384.00000000 0.057825796437 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 0.01500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HRKE8 1499753.40000000 PA USD 1500205.43000000 0.195655625393 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 0.04169170 N N N N N N EXTENDED STAY AMER TR 2026-ESH2 N/A 30227WAA1 801066.90000000 PA USD 801817.90000000 0.104572466902 Long ABS-MBS CORP US N 2 2043-02-15 Variable 0.04827090 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VHS2 481355.73600000 PA USD 429519.69000000 0.056017623910 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 0.03000000 N N N N N N CSTL COMMERCIAL MORTGAGE TRUST 2026-GATE3 N/A 228920AA2 300000.00000000 PA USD 296430.12000000 0.038660185701 Long ABS-MBS CORP US N 2 2043-02-10 Variable 0.04850983 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWNJ8 94129.40200000 PA USD 94770.31000000 0.012359870122 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.05500000 N N N N N N BRAVO RESIDENTIAL FDG TR 2025-NQM5 N/A 10569RAC6 330608.36000000 PA USD 332176.17000000 0.043322157740 Long ABS-CBDO CORP US N 2 2065-02-25 Variable 0.05496000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFVZ1 624721.44450000 PA USD 551246.46000000 0.071893134580 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 3133AKVF4 236546.44340000 PA USD 192949.87000000 0.025164371978 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N MERCHANTS FLEET FUNDING LLC N/A 588926AF2 156363.63000000 PA USD 157268.93000000 0.020510891534 Long ABS-CBDO CORP US N 2 2037-04-20 Fixed 0.05820000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMX0 157254.15600000 PA USD 162911.48000000 0.021246788516 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06000000 N N N N N N MFRA TRST N/A 55287AAA3 243303.43000000 PA USD 232430.08000000 0.030313350260 Long ABS-CBDO CORP US N 2 2066-02-25 Variable 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200NVS7 16378.88030000 PA USD 17143.44000000 0.002235834111 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.06500000 N N N N N N THORNBURG MTG SECS TR N/A 885220DW0 163898.18180000 PA USD 159974.66000000 0.020863770736 Long ABS-CBDO CORP US N 2 2043-09-25 Variable 0.04338800 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213J7F6 946.74890000 PA USD 970.03000000 0.000126510558 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVAT2 1128259.41400000 PA USD 1207448.11000000 0.157474443411 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 31287QND9 1047.11490000 PA USD 1087.70000000 0.000141856988 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HPEY5 2698280.77000000 PA USD 2694548.78000000 0.351420956197 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04189170 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GCZ1 1239.78870000 PA USD 1225.35000000 0.000159809193 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XM4D5 655640.93700000 PA USD 599773.38000000 0.078221977744 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W45B9 1882697.87000000 PA USD 1954106.34000000 0.254853029053 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 31411WPK7 9814.30870000 PA USD 10121.93000000 0.001320094238 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 0.06218000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XTNN4 8973.79830000 PA USD 8773.29000000 0.001144205658 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04500000 N N N N N N BX COML MTG TR 2024-XL4 N/A 05612GAC7 132999.99000000 PA USD 133207.80000000 0.017372857673 Long ABS-MBS CORP US N 2 2041-03-15 Variable 0.05318320 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312933G73 76056.36840000 PA USD 75360.89000000 0.009828508661 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H22J2 156628.23700000 PA USD 133774.45000000 0.017446759725 Long ABS-CBDO USGSE US N 2 2051-04-25 Fixed 0.01500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050668 17025000.00000000 PA USD 16756325.07000000 2.185346883367 Long 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 3132WDKY9 70693.63080000 PA USD 63534.26000000 0.008286088775 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 760000.00000000 NC USD -5515.40000000 -0.00071931417 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S13 PRC INDX CY451600 Y 2072-12-16 11654.81000000 USD 0.00000000 USD 760000.00000000 USD -17170.21000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MAEW5 143261.87440000 PA USD 137787.16000000 0.017970094242 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HPXJ8 838.85050000 PA USD 823.80000000 0.000107439355 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVAV9 25161.32250000 PA USD 24314.32000000 0.003171054703 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N MERRILL LYNCH CAPITAL SERVICES , INC. GDWTXX036O1TB7DW3U69 N/A 720000.00000000 NC USD -5225.11000000 -0.00068145478 N/A DCR CORP US N 2 MERRILL LYNCH CAPITAL SERVICES , INC. GDWTXX036O1TB7DW3U69 CMBX AAA CDSI S13 PRC INDX CY451600 Y 2072-12-16 11496.81000000 USD 0.00000000 USD 720000.00000000 USD -16721.92000000 N N N CARMAX AUTO OWNER TR 2024-2 N/A 14319EAE6 115548.64000000 PA USD 116539.20000000 0.015198951825 Long ABS-CBDO CORP US N 2 2029-01-16 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36294SAU1 312.80990000 PA USD 330.52000000 0.000043106161 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 0.06500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179V4U1 8836040.50200000 PA USD 7259713.85000000 0.946806234061 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 0.02000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CPJ4 2020000.00000000 PA USD 1953718.75000000 0.254802479866 Long DBT UST US N 2 2035-11-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D56A5 188808.25800000 PA USD 170813.83000000 0.022277406857 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y65H3 140449.60710000 PA USD 134488.35000000 0.017539866008 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140LNH75 7542.82800000 PA USD 7187.08000000 0.000937333383 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4ER7 3510.42100000 PA USD 3366.87000000 0.000439104566 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209UGF7 364.73650000 PA USD 368.25000000 0.000048026878 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPZH5 94763.07700000 PA USD 80805.72000000 0.010538619155 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 3140QTDT3 347631.33500000 PA USD 372030.40000000 0.048519915420 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 17858.41300000 PA USD 19031.47000000 0.002482069515 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7TY9 331339.14450000 PA USD 324502.33000000 0.042321341496 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BKJA1 149116.09500000 PA USD 132830.37000000 0.017323633546 Long ABS-CBDO USGSE US N 2 2048-08-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GPDN5 6786.36350000 PA USD 6632.94000000 0.000865062876 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FY75 1079.11400000 PA USD 1063.90000000 0.000138753010 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 0.04500000 N N N N N N BMO 2025-5C12 MTG TR N/A 09663VAE0 4600000.00000000 PA USD 143962.98000000 0.018775539884 Long ABS-MBS CORP US N 2 2058-10-15 Variable 0.00967931 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3132E06G2 117447.52400000 PA USD 122502.44000000 0.015976672948 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 3131XYQN2 47641.22000000 PA USD 44281.41000000 0.005775147052 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389XL27 1182.24190000 PA USD 1245.35000000 0.000162417578 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07500000 N N N N N N CARMAX SELECT RECEIVABLES TR 2025-A N/A 14319UAC4 325000.00000000 PA USD 326711.45000000 0.042609453208 Long ABS-CBDO CORP US N 2 2029-09-17 Fixed 0.04770000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MFWM6 196708.65540000 PA USD 189820.59000000 0.024756253714 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.03500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810US5 950000.00000000 PA USD 901241.89000000 0.117539266351 Long DBT UST US N 2 2056-02-15 Fixed 0.02375000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137AFZS4 17419.91380000 PA USD 17331.82000000 0.002260402484 Long ABS-CBDO USGSE US N 2 2034-10-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180AAF0 534488.60100000 PA USD 539917.46000000 0.070415615211 Long ABS-MBS USGA US N 2 2054-09-20 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBE22 1420916.05140000 PA USD 1213409.88000000 0.158251972817 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NTD0 3983.21660000 PA USD 3726.61000000 0.000486021577 Long ABS-MBS USGA US N 2 2043-11-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AJSY9 6613.83070000 PA USD 6661.60000000 0.000868800690 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022667 4975000.00000000 PA USD 4166367.98000000 0.543374471551 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 31371L5W5 606.46000000 PA USD 631.79000000 0.000082397560 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.06500000 N N N N N N GS MTG SECS TR 2018-GS10 N/A 36250SAD1 2200000.00000000 PA USD 2170341.14000000 0.283054203492 Long ABS-MBS CORP US N 2 2051-07-10 Fixed 0.03890000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176KDN4 8053.58420000 PA USD 7758.20000000 0.001011818410 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GVER8 4515501.99700000 PA USD 4686769.57000000 0.611244842175 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCZQ4 337950.91290000 PA USD 301903.11000000 0.039373968800 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLPG7 2548470.47200000 PA USD 2264666.68000000 0.295356067057 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211JLK1 70.57490000 PA USD 71.77000000 0.000009360187 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335APZ5 604799.62980000 PA USD 563843.39000000 0.073536016393 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PQZ0 1798339.80000000 PA USD 1832501.60000000 0.238993433440 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 3138MQ2L6 4749.69160000 PA USD 4441.26000000 0.000579225675 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FP75 89207.86540000 PA USD 87979.30000000 0.011474191879 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293RUJ8 169.51380000 PA USD 173.12000000 0.000022578175 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ERRK8 86924.05510000 PA USD 80630.92000000 0.010515821875 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293YAH9 135.16310000 PA USD 138.34000000 0.000018042195 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38382AFL4 105715.24030000 PA USD 104653.27000000 0.013648798079 Long ABS-CBDO USGA US N 2 2049-10-20 Variable 0.04217120 N N N N N N WELLS FARGO COML MTG TR 2024-GRP N/A 95003YAA0 637000.00000000 PA USD 634349.83000000 0.082731411461 Long ABS-MBS CORP US N 2 2041-10-15 Variable 0.05418410 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F7YH6 49236.86330000 PA USD 45764.53000000 0.005968574409 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWA52 1153493.14100000 PA USD 932608.43000000 0.121630066102 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 202332.53700000 PA USD 216533.57000000 0.028240139790 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GUST2 263051.57070000 PA USD 253356.20000000 0.033042518555 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HRVH9 2700000.00000000 PA USD 2700847.26000000 0.352242399060 Long ABS-MBS USGSE US N 2 2031-03-25 Variable 0.04149170 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133WGXM2 22070.60000000 PA USD 23338.13000000 0.003043740763 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BNE69 188826.91180000 PA USD 185128.30000000 0.024144288902 Long ABS-CBDO USGSE US N 2 2048-12-25 Fixed 0.04000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 150000.00000000 NC USD 21098.91000000 0.002751703432 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 18333.12000000 USD 0.00000000 USD 150000.00000000 USD 2765.79000000 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H052660 54150000.00000000 PA USD 54486526.01000000 7.106090345230 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GGEW1 2054.78200000 PA USD 2031.42000000 0.000264936216 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XPJ2 14452.95780000 PA USD 13325.75000000 0.001737933950 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMKY9 521881.98500000 PA USD 451974.17000000 0.058946119727 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENRB7 23745.25720000 PA USD 23445.50000000 0.003057743875 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W04U6 1456822.65100000 PA USD 1176942.25000000 0.153495892876 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 3133AEDE1 33884.95220000 PA USD 26209.81000000 0.003418263035 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q7SQ1 207785.06200000 PA USD 193131.42000000 0.025188049588 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133W93Q2 69864.41400000 PA USD 73691.18000000 0.009610746382 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418D6K3 2469591.49230000 PA USD 2071318.74000000 0.270139779098 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M9A51 10292.40440000 PA USD 10372.01000000 0.001352709477 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KPU9 3201.02690000 PA USD 3362.46000000 0.000438529418 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133WGKC8 13890.31100000 PA USD 14844.61000000 0.001936022490 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LKA3 97453.54900000 PA USD 96287.13000000 0.012557692607 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0DH5 1525474.53800000 PA USD 1590484.62000000 0.207429767138 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335AU48 467669.50380000 PA USD 434211.07000000 0.056629470040 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133W9GE5 145227.52800000 PA USD 152433.43000000 0.019880249385 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QTVF3 1347507.22500000 PA USD 1445558.18000000 0.188528573550 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LUU8 47188.76720000 PA USD 46565.14000000 0.006072989342 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418FWP8 2424997.73900000 PA USD 2387836.59000000 0.311419790923 Long ABS-MBS USGSE US N 2 2056-05-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDRX6 2132187.90350000 PA USD 1819477.17000000 0.237294797409 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 3133W8QL0 21668.51800000 PA USD 23065.78000000 0.003008221088 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 3138W3QM8 10708.10150000 PA USD 10039.94000000 0.001309401166 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E94A5 7685.07470000 PA USD 7419.17000000 0.000967602381 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QSHQ7 769240.75100000 PA USD 797635.89000000 0.104027052411 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2HP0 8332.08630000 PA USD 8423.94000000 0.001098643703 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BSV1 17647.02880000 PA USD 18251.80000000 0.002380385560 Long ABS-MBS USGA US N 2 2032-04-20 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HRGD6 42711.25940000 PA USD 39121.85000000 0.005102241249 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E75J9 6126.19960000 PA USD 5926.27000000 0.000772899524 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABDF6 4020970.08600000 PA USD 3430293.60000000 0.447376223394 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9FB5 1540684.78880000 PA USD 1339451.17000000 0.174690179830 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQLB6 452136.54410000 PA USD 455009.96000000 0.059342045098 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.05000000 N N N N N N LONDON CLEARING HOUSE N/A N/A -129010000.00000000 NC USD 1146745.77000000 0.149557691439 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2028-06-17 0.00000000 USD 0.00000000 USD -128001357.64000000 USD 1146745.77000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A77D0 13632.74500000 PA USD 14474.13000000 0.001887704777 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 411907.87000000 PA USD 443875.42000000 0.057889887051 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.07000000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCJC1 9069.25950000 PA USD 1305.92000000 0.000170317070 Long ABS-CBDO USGSE US N 2 2034-03-25 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04R6 29735.84080000 PA USD 29385.67000000 0.003832456226 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X9UJ2 52940.76500000 PA USD 43133.91000000 0.005625490994 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 3138E5VC9 20391.94940000 PA USD 19682.99000000 0.002567040247 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291QSF2 37496.89200000 PA USD 34879.22000000 0.004548920745 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBA0 931109.61930000 PA USD 713515.54000000 0.093056141788 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.01500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LP42 29196.43980000 PA USD 28125.60000000 0.003668118877 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AK3J2 20625.81900000 PA USD 22239.45000000 0.002900451772 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208VXY6 10.08800000 PA USD 10.18000000 0.000001327667 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283GW60 4.04990000 PA USD 4.07000000 0.000000530806 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AJQ30 21010.19800000 PA USD 16829.34000000 0.002194869433 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 31635A105 26504709.10500000 NS USD 26510010.05000000 3.457414892512 Long STIV RF US N 1 N N N CENT TRUST 2025-CITY N/A 12517TAA5 605000.00000000 PA USD 605464.52000000 0.078964211797 Long ABS-MBS CORP US N 2 2040-07-10 Variable 0.05090927 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TR4H5 3700.43630000 PA USD 3759.61000000 0.000490325412 Long ABS-CBDO USGSE US N 2 2031-01-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287MT59 10853.67010000 PA USD 11274.34000000 0.001470390654 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.06500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 100000.00000000 NC USD 14065.94000000 0.001834468954 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 15297.87000000 USD 0.00000000 USD 100000.00000000 USD -1231.93000000 N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31359SXB1 13280.43610000 PA USD 13483.00000000 0.001758442373 Long ABS-CBDO USGSE US N 2 2031-05-25 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M7SM9 23659.40250000 PA USD 23438.02000000 0.003056768339 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EHVP4 113395.64250000 PA USD 109258.05000000 0.014249349905 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WJR0 192902.53100000 PA USD 165288.73000000 0.021556827612 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212WPT8 16879.64300000 PA USD 16672.26000000 0.002174383182 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W3XF1 3387016.49600000 PA USD 3498282.36000000 0.456243264595 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 -2400000.00000000 PA USD -2304750.00000000 -0.30058370247 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARMG3 74257.28110000 PA USD 71497.95000000 0.009324707031 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FLN4 276877.38190000 PA USD 266460.26000000 0.034751539869 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31394D4V9 30674.91930000 PA USD 1695.88000000 0.000221175350 Long ABS-CBDO USGSE US N 2 2035-06-25 Variable 0.02993420 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MBXL5 48111.41840000 PA USD 45137.43000000 0.005886788514 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31392XV96 17903.95320000 PA USD 18415.32000000 0.002401711711 Long ABS-CBDO USGSE US N 2 2032-11-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWAW3 8434860.60100000 PA USD 6819652.27000000 0.889413745056 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DSD4 2724.72940000 PA USD 2818.11000000 0.000367535714 Long ABS-MBS USGA US N 2 2032-03-20 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D56U1 502135.27800000 PA USD 452866.87000000 0.059062544967 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GGAW5 2850.69060000 PA USD 2754.54000000 0.000359244964 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377YTR1 2186.86590000 PA USD 47.61000000 0.000006209259 Long ABS-CBDO USGA US N 2 2040-05-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMH80 47815.55800000 PA USD 39062.70000000 0.005094526952 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 3140LNRM1 287412.49200000 PA USD 232105.85000000 0.030271064436 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 3138M6XV4 12468.86370000 PA USD 11738.31000000 0.001530901260 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9DY7 285803.83610000 PA USD 256507.20000000 0.033453469525 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WLXZ4 10658.26100000 PA USD 10453.42000000 0.001363326906 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136AWLF2 2914434.74700000 PA USD 2670831.72000000 0.348327795678 Long ABS-CBDO USGSE US N 2 2047-05-25 Fixed 0.02700000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WMS39 8224.66030000 PA USD 8066.59000000 0.001052038393 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.04500000 N N N N N N NYMT LOAN TRUST 2025-CP1 N/A 67121VAA2 979085.73700000 PA USD 949778.18000000 0.123869331543 Long ABS-CBDO CORP US N 2 2069-11-25 Fixed 0.03750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HMHP9 15546.41500000 PA USD 15049.52000000 0.001962746693 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B1XC0 80801.35600000 PA USD 71045.61000000 0.009265713200 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBGV6 850112.06200000 PA USD 680946.56000000 0.088808520747 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KQVE8 104008.37300000 PA USD 84156.61000000 0.010975639623 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178VBM2 6377.58660000 PA USD 6121.44000000 0.000798353443 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377VGY6 66749.05080000 PA USD 6413.64000000 0.000836461940 Long ABS-CBDO USGA US N 2 2041-04-16 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8LJ0 391259.29500000 PA USD 386567.67000000 0.050415854867 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XYLA3 4672.35390000 PA USD 4450.13000000 0.000580382493 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427P4V3 1601984.32400000 PA USD 1366033.02000000 0.178156964033 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 31371M3Q8 75.01330000 PA USD 75.01000000 0.000009782745 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDTQ9 399534.39510000 PA USD 356011.91000000 0.046430796413 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022663 3625000.00000000 PA USD 3102504.10000000 0.404626171743 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 3132WGQ67 107461.62350000 PA USD 99938.57000000 0.013033910571 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYUN7 71479.29350000 PA USD 60504.21000000 0.007890912010 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.01500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HRKQ1 2099977.43000000 PA USD 2099974.49000000 0.273877039726 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 12300000.00000000 PA USD 11811843.75000000 1.540491475192 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBXV7 31367.58300000 PA USD 27419.10000000 0.003575977696 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.02000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 38.00000000 NC USD 63069.04000000 0.008225415144 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 4290305.96000000 USD 63069.04000000 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WLP1 8645315.41700000 PA USD 7407747.16000000 0.966112623218 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C16L5 6501.49790000 PA USD 6272.70000000 0.000818080655 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F8AX1 474529.99300000 PA USD 412802.51000000 0.053837382296 Long ABS-CBDO USGSE US N 2 2050-11-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DVZ2 119388.38370000 PA USD 100982.69000000 0.013170083890 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QWF4 10381.05680000 PA USD 9907.22000000 0.001292091927 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 0.04000000 N N N N N N PRPM 2024-RPL1 LLC N/A 69380XAA0 229578.76900000 PA USD 225071.79000000 0.029353687801 Long ABS-CBDO CORP US N 2 2064-12-25 Variable 0.04200000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NQ43 3603.25800000 PA USD 3372.00000000 0.000439773617 Long ABS-MBS USGA US N 2 2043-10-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DU42 118795.34240000 PA USD 100557.37000000 0.013114613986 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NBB3 167552.32420000 PA USD 157053.11000000 0.020482744457 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F5CP6 448655.97040000 PA USD 416174.13000000 0.054277106354 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AMA27 20227.95300000 PA USD 21690.35000000 0.002828838577 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 3138WHLP5 660808.97100000 PA USD 592382.27000000 0.077258034927 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CNJ94 16549.02200000 PA USD 17689.86000000 0.002307097782 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 3140EXCQ4 36162.35870000 PA USD 34899.99000000 0.004551629552 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DV74 759296.10300000 PA USD 613896.97000000 0.080063965367 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 3140Q8C45 228018.37600000 PA USD 211937.81000000 0.027640764345 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133D4CW1 60943.06200000 PA USD 54507.19000000 0.007108785326 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KNGT4 350944.19700000 PA USD 285715.25000000 0.037262760689 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179AGC4 15391.68880000 PA USD 14405.29000000 0.001878726718 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 0.03500000 N N N N N N AFFIRM MASTER TRUST N/A 00833BAU2 1165000.00000000 PA USD 1158533.55000000 0.151095044539 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 147506.06000000 PA USD 126241.31000000 0.016464293465 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31396WJV9 19890.95990000 PA USD 25134.40000000 0.003278008899 Long ABS-CBDO USGSE US N 2 2037-06-25 Variable 0.18260520 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWAF0 4217700.95700000 PA USD 3412681.03000000 0.445079205713 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427NZT9 1071322.94700000 PA USD 1087991.45000000 0.141894998721 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.05500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H6V28 344151.00400000 PA USD 314893.21000000 0.041068127539 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 949234.88500000 PA USD 965487.02000000 0.125918066239 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 1155154.34000000 PA USD 1234245.22000000 0.160969301655 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 3140XBND8 112108.05100000 PA USD 100522.35000000 0.013110046705 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.02500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UH9 2190000.00000000 PA USD 2132779.59000000 0.278155455354 Long DBT UST US N 2 2055-02-15 Fixed 0.02375000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133D3YA7 569093.07000000 PA USD 480714.00000000 0.062694346003 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H020667 7775000.00000000 PA USD 6380745.02000000 0.832171802872 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QM7H1 24811.16900000 PA USD 23640.98000000 0.003083238224 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.04000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 40000.00000000 NC USD 7331.51000000 0.000956169832 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S16 PRC CORP CY873248 Y 2065-04-17 10875.66000000 USD 0.00000000 USD 40000.00000000 USD -3544.15000000 N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GBT3 255551.06000000 PA USD 257095.69000000 0.033530219933 Long ABS-CBDO CORP US N 2 2039-06-21 Fixed 0.04870000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JNYA9 19356.01910000 PA USD 18619.36000000 0.002428322449 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335BNW2 482000.00160000 PA USD 459226.13000000 0.059891914710 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137BUF78 25176.66000000 PA USD 25107.71000000 0.003274528010 Long ABS-CBDO USGSE US N 2 2045-09-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193NX21 41317.27920000 PA USD 38094.87000000 0.004968303317 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWAQ6 550662.14650000 PA USD 485725.37000000 0.063347924981 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296Q6K0 67075.43890000 PA USD 66320.65000000 0.008649487591 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GFYG6 2862.30290000 PA USD 2831.22000000 0.000369245510 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193TDY0 12065.76600000 PA USD 11124.41000000 0.001450836900 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M7ME3 31690.75200000 PA USD 31407.09000000 0.004096088250 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E6YX8 6754.38500000 PA USD 6569.33000000 0.000856766909 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418E2E9 187297.90000000 PA USD 191724.12000000 0.025004510616 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179YYQ1 381524.29100000 PA USD 326969.10000000 0.042643055721 Long ABS-MBS USGA US N 2 2054-06-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5JH8 1948493.48000000 PA USD 1733331.28000000 0.226059717436 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNWW4 4397957.13000000 PA USD 4390231.24000000 0.572570543810 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04199170 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31397QKY3 91472.35580000 PA USD 90757.13000000 0.011836474308 Long ABS-CBDO USGSE US N 2 2041-02-25 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AU2T3 11221.98230000 PA USD 10820.53000000 0.001411205106 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 600000.00000000 NC USD -5374.62000000 -0.00070095376 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S17 PRC CORP CY885799 Y 2056-12-15 0.00000000 USD 8943.97000000 USD 600000.00000000 USD 3569.35000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XHW9 537145.38400000 PA USD 488580.14000000 0.063720241864 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 676673.80100000 PA USD 691219.78000000 0.090148346110 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 3138WB3H6 10515.26310000 PA USD 10181.02000000 0.001327800710 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293SRE1 1447.68790000 PA USD 1478.51000000 0.000192826124 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377NRP1 59734.91430000 PA USD 58390.33000000 0.007615221425 Long ABS-CBDO USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N ARI FLEET LEASE TRUST 2024-B N/A 04033HAB1 35366.82000000 PA USD 35529.90000000 0.004633781924 Long ABS-CBDO CORP US N 2 2033-04-15 Fixed 0.05540000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133D4KQ5 121520.43080000 PA USD 108670.20000000 0.014172682965 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 3140XATV4 23475.24000000 PA USD 19214.67000000 0.002505962317 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 31397J7J7 24170.23680000 PA USD 2082.22000000 0.000271561512 Long ABS-CBDO USGSE US N 2 2037-06-15 Variable 0.02822670 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FMB9 111817.79490000 PA USD 110292.07000000 0.014384205989 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QLFK7 422144.89490000 PA USD 366633.35000000 0.047816036357 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L24V2 172530.69400000 PA USD 139384.61000000 0.018178432429 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 31427MNQ0 252485.81200000 PA USD 264224.63000000 0.034459970743 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F052664 -20000000.00000000 PA USD -20096876.00000000 -2.62101893753 Short 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 3138A9AV6 55649.73540000 PA USD 54940.90000000 0.007165349447 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BTF81 732643.05700000 PA USD 738475.34000000 0.096311379492 Long ABS-CBDO USGSE US N 2 2054-12-25 Variable 0.04712100 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297JPL2 16537.69020000 PA USD 16713.29000000 0.002179734283 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31298GCJ7 6757.50480000 PA USD 7141.51000000 0.000931390179 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378UQY6 50858.56830000 PA USD 50476.24000000 0.006583071962 Long ABS-CBDO USGA US N 2 2040-05-20 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WJS8 355063.59100000 PA USD 316272.86000000 0.041248060419 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5F77 174419.32300000 PA USD 158695.23000000 0.020696908471 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 36179RLQ0 248489.96900000 PA USD 236721.78000000 0.030873070436 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M7LC8 37251.10240000 PA USD 37546.71000000 0.004896812716 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KZA9 957.60950000 PA USD 980.51000000 0.000127877351 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNNT5 50715.25900000 PA USD 41399.91000000 0.005399344063 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N SANTANDER MTG ASSET RECEIVABLES TR 2025-NQM3 N/A 80263AAA9 1153683.43000000 PA USD 1159488.07000000 0.151219532295 Long ABS-CBDO CORP US N 2 2065-05-25 Fixed 0.05599000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131Y3CE4 201070.66530000 PA USD 191021.92000000 0.024912930238 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EFB0 91861.68160000 PA USD 88290.85000000 0.011514823988 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M3AY3 141912.71290000 PA USD 136756.33000000 0.017835654196 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36184HKH6 22313.64060000 PA USD 20105.35000000 0.002622124110 Long ABS-MBS USGA US N 2 2045-04-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WN2K7 139147.61940000 PA USD 132790.49000000 0.017318432427 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BH3A7 21543.00700000 PA USD 22896.83000000 0.002986186760 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133WNM64 2422804.49900000 PA USD 2438445.16000000 0.318020121262 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.05000000 N N N N N N BANKERS HEALTHCARE GROUP SECURITIZATION TRUST N/A 08860AAA7 363760.12000000 PA USD 362186.35000000 0.047236062075 Long ABS-CBDO CORP US N 2 2036-04-17 Fixed 0.04820000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUVZ7 1391765.12300000 PA USD 1130907.28000000 0.147492047892 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQPN7 53533.59470000 PA USD 52899.72000000 0.006899140339 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.04500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 1620000.00000000 NC USD -11756.50000000 -0.00153327358 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S13 PRC INDX CY451600 Y 2072-12-16 16680.58000000 USD 0.00000000 USD 1620000.00000000 USD -28437.08000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QLHU3 532637.99500000 PA USD 471990.55000000 0.061556640439 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BQ7H8 31936.48300000 PA USD 33911.03000000 0.004422650158 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H060671 14725000.00000000 PA USD 14992694.61000000 1.955335570440 Long ABS-MBS USGA US N 2 2056-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DMP4 296776.60490000 PA USD 268144.73000000 0.034971227136 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 0.02500000 N N N N N N BANK5 2025-5YR19 N/A 05494RBS0 2000000.00000000 PA USD 53262.80000000 0.006946492950 Long ABS-MBS CORP US N 2 2058-12-15 Variable 0.00809692 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBZH6 24649.23200000 PA USD 19744.23000000 0.002575027120 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 7760000.00000000 NC USD 232209.62000000 0.030284598038 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 2036-09-14 0.00000000 USD 0.00000000 USD 7760000.00000000 USD 1.00000000 3.73750000 USD 2026-09-10 XXXX 91753.62000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUVN7 718465.72400000 PA USD 723857.31000000 0.094404907388 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 1652913.81300000 PA USD 1410494.33000000 0.183955573504 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 23000000.00000000 PA USD 22718429.40000000 2.962919893048 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 3140J6EZ6 106301.53430000 PA USD 98044.14000000 0.012786840484 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MC32 8233.43970000 PA USD 8118.27000000 0.001058778459 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200MT78 213.44010000 PA USD 212.14000000 0.000027667133 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A3RQ8 12740.82900000 PA USD 13580.92000000 0.001771213023 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 3140XCC89 94132.62500000 PA USD 75400.99000000 0.009833738472 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 3138XBBR4 6852.65870000 PA USD 6736.72000000 0.000878597782 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQSQ5 2299880.04000000 PA USD 2299876.82000000 0.299948146131 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 335339.70000000 PA USD 337724.80000000 0.044045805749 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 140000.00000000 PA USD 132168.75000000 0.017237345580 Long DBT UST US N 2 2055-11-15 Fixed 0.04625000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KLH26 359412.04000000 PA USD 305239.88000000 0.039809147748 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QRLA9 17585.49700000 PA USD 18870.60000000 0.002461088975 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 980000.00000000 PA USD 978405.74000000 0.127602915653 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 500000.00000000 PA USD 500312.50000000 0.065250367131 Long ABS-MBS CORP US N 2 2042-08-15 Variable 0.04877090 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HP57 12563.67670000 PA USD 12889.13000000 0.001680990310 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MY35 68.72860000 PA USD 68.66000000 0.000008954583 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389YU58 1069.21200000 PA USD 1119.05000000 0.000145945630 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9DU2 72031.76330000 PA USD 69974.18000000 0.009125978133 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176K2B2 9107.85020000 PA USD 8756.59000000 0.001142027657 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 2750000.00000000 NC USD 65782.09000000 0.008579249015 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 2036-08-12 0.00000000 USD 0.00000000 USD 2750000.00000000 USD 1.00000000 3.80000000 USD 2026-08-10 XXXX -15549.16000000 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VN30 9972.18800000 PA USD 8898.31000000 0.001160510669 Long ABS-MBS USGA US N 2 2050-06-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946ZF6 13931.66040000 PA USD 13771.63000000 0.001796085273 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XXWB1 4352.69910000 PA USD 4145.68000000 0.000540676361 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 N/A 30185AAC5 55000.00000000 PA USD 55188.41000000 0.007197629509 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 915888.04500000 PA USD 929230.79000000 0.121189556920 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05112100 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FM78 2125.06380000 PA USD 2044.87000000 0.000266690354 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N VERD 2025-1A A2 N/A 92340GAB6 131032.56000000 PA USD 131400.83000000 0.017137194051 Long ABS-CBDO CORP US N 2 2028-03-13 Fixed 0.04850000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9HZ0 498268.66200000 PA USD 447220.04000000 0.058326089790 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QWYP8 28158.60640000 PA USD 25344.65000000 0.003305429541 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N FNMA STRIPPED MTG BKD SECS N/A 3136FER61 18023.75420000 PA USD 2691.67000000 0.000351045507 Long ABS-CBDO USGSE US N 2 2037-07-25 Fixed 0.05000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UN6 710000.00000000 PA USD 701097.27000000 0.091436560673 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 621357.76440000 PA USD 568269.39000000 0.074113251871 Long ABS-CBDO USGSE US N 2 2047-11-25 Fixed 0.02500000 N N N N N N AFFIRM MASTER TRUST N/A 00833BAN8 2000000.00000000 PA USD 1987745.60000000 0.259240235179 Long ABS-CBDO CORP US N 2 2034-10-16 Fixed 0.04450000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GQYQ9 280718.32300000 PA USD 300508.71000000 0.039192112237 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 3128KG6J2 2937.99110000 PA USD 3104.95000000 0.000404945164 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWAH6 67244.10020000 PA USD 59314.35000000 0.007735731395 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HMCE8 500000.00000000 PA USD 497016.95000000 0.064820564063 Long ABS-MBS USGSE US N 2 2030-07-25 Variable 0.04266000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133KRVL5 1075445.95000000 PA USD 1096211.52000000 0.142967053857 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 0.05500000 N N N N N N PRMI SECURITIZATION TR 2024-CMG1 N/A 74275VAA2 504163.67000000 PA USD 503194.01000000 0.065626171424 Long ABS-CBDO CORP US N 2 2054-07-25 Variable 0.05099170 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176LEH4 13769.24790000 PA USD 13218.49000000 0.001723945185 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WMW64 10686.31880000 PA USD 10007.02000000 0.001305107765 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EBDP7 17981.63060000 PA USD 17329.36000000 0.002260081653 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WLN6 296329.55500000 PA USD 243372.53000000 0.031740456079 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0XX1 73464.19200000 PA USD 72603.82000000 0.009468933736 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNGG3 837222.29000000 PA USD 861515.38000000 0.112358165814 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CDH4 76680.73200000 PA USD 73846.76000000 0.009631037004 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W4GW1 1690032.01800000 PA USD 1749432.59000000 0.228159637763 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QPH96 6314.78770000 PA USD 6559.79000000 0.000855522709 Long ABS-MBS USGSE US N 2 2036-07-01 Variable 0.06684000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBHF0 53179.86170000 PA USD 48111.54000000 0.006274669627 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.01500000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCEU6 9467.41370000 PA USD 1377.98000000 0.000179715079 Long ABS-CBDO USGSE US N 2 2034-08-25 Variable 0.06500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133KRJV7 495352.91000000 PA USD 513637.97000000 0.066988264564 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DU83 927294.07970000 PA USD 855024.02000000 0.111511567691 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D56B3 392616.91250000 PA USD 354830.36000000 0.046276699581 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.01500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427H2G6 46409.28400000 PA USD 49457.75000000 0.006450241289 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 3132GJWC9 63304.74080000 PA USD 62540.39000000 0.008156469022 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNEK4 23099.87800000 PA USD 18885.78000000 0.002463068739 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 3133TKW97 10974.76770000 PA USD 11126.07000000 0.001451053396 Long ABS-CBDO USGSE US N 2 2029-05-15 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H62Q7 141787.07040000 PA USD 129273.06000000 0.016859691942 Long ABS-CBDO USGSE US N 2 2047-10-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DSH6 95141.50700000 PA USD 77071.33000000 0.010051582916 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XYDJ3 10772.88770000 PA USD 10260.52000000 0.001338169038 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7TM5 332019.44390000 PA USD 325259.36000000 0.042420072760 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31394FGT6 42082.40810000 PA USD 42097.54000000 0.005490328425 Long ABS-CBDO USGSE US N 2 2035-09-25 Fixed 0.05900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QLGU4 31086.68400000 PA USD 25182.41000000 0.003284270326 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RV92 187.93430000 PA USD 190.98000000 0.000024907463 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W1C92 753946.29400000 PA USD 614048.17000000 0.080083684754 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 405749.11200000 PA USD 429970.75000000 0.056076450804 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLA1 1933684.79310000 PA USD 1660963.88000000 0.216621617411 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KMFP5 1546398.95370000 PA USD 1319601.14000000 0.172101354356 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38375KNC2 14165.63960000 PA USD 1021.30000000 0.000133197151 Long ABS-CBDO USGA US N 2 2037-06-16 Variable 0.02950460 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5JX2 3867217.39330000 PA USD 3449848.34000000 0.449926537377 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EHJ1 8732.06010000 PA USD 8627.67000000 0.001125214011 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQDN8 1799949.03000000 PA USD 1797918.69000000 0.234483157215 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 0.04139170 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2BE1 178536.38870000 PA USD 163358.74000000 0.021305119818 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMKN3 324051.68840000 PA USD 296641.58000000 0.038687764150 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03500000 N N N N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4 N/A 617945AA8 1135474.24000000 PA USD 1140934.62000000 0.148799805776 Long ABS-CBDO CORP US N 2 2070-06-25 Fixed 0.05588000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 300000.00000000 NC USD 54986.31000000 0.007171271784 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S16 PRC CORP CY873248 Y 2065-04-17 50540.93000000 USD 0.00000000 USD 300000.00000000 USD 4445.38000000 N N N BMO MORTGAGE TRUST N/A 09664JAB2 500000.00000000 PA USD 497821.70000000 0.064925518932 Long ABS-MBS CORP US N 2 2058-12-15 Fixed 0.04735500 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5ZA8 110328.97200000 PA USD 102550.88000000 0.013374606010 Long ABS-CBDO USGSE US N 2 2049-01-25 Fixed 0.03000000 N N N N N N PRESTON RIDGE PARTNERS MORTGAGE N/A 69383VAA1 735010.60000000 PA USD 726722.18000000 0.094778541506 Long ABS-CBDO CORP US N 2 2056-01-25 Variable 0.04845000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GD49 160888.16090000 PA USD 158993.51000000 0.020735809916 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AMPQ3 31857.80470000 PA USD 24681.65000000 0.003218961596 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.01500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6P31 18789.26100000 PA USD 20113.89000000 0.002623237890 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617K53Y8 154974.95690000 PA USD 145727.60000000 0.019005680252 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WTY4 530785.10790000 PA USD 454637.88000000 0.059293518714 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 3140QL3M6 23424.71500000 PA USD 22319.92000000 0.002910946607 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.04000000 N N N N N N BENCHMARK 2019-B14 MTG TR N/A 08162YAK8 11362864.46540000 PA USD 199523.95000000 0.026021758378 Long ABS-MBS CORP US N 2 2062-12-15 Variable 0.00879245 N N N N N N CROSS 2026-NQM2 MTG TR N/A 227924AA5 484450.44000000 PA USD 480694.45000000 0.062691796308 Long ABS-CBDO CORP US N 2 2061-03-25 Variable 0.04735000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131Y7M20 38222.52600000 PA USD 36312.31000000 0.004735823228 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QB3Q9 980829.82280000 PA USD 873441.32000000 0.113913537633 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9F25 131573.74500000 PA USD 118096.78000000 0.015402090197 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M7YR0 8984.43540000 PA USD 8387.97000000 0.001093952523 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABKD3 469007.23100000 PA USD 400110.54000000 0.052182105440 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133ACBY3 59637.86600000 PA USD 47789.04000000 0.006232609428 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 3132DMSD8 555258.45500000 PA USD 490820.77000000 0.064012463086 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 100000.00000000 NC USD 7956.44000000 0.001037672716 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 4817.95000000 USD 0.00000000 USD 100000.00000000 USD 3138.49000000 N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31359WKN0 9780.78180000 PA USD 9908.66000000 0.001292279730 Long ABS-CBDO USGSE US N 2 2029-07-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390MVU5 152.41780000 PA USD 160.10000000 0.000020880117 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KL2U0 76224.80300000 PA USD 61771.28000000 0.008056162294 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 3128MFY28 74992.47330000 PA USD 72356.29000000 0.009436651066 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DVA7 926094.32800000 PA USD 749333.48000000 0.097727489666 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 31307UCF3 7902.43710000 PA USD 7679.82000000 0.001001596151 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQF98 155652.52470000 PA USD 145314.36000000 0.018951785812 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J62W3 12500.20080000 PA USD 11460.81000000 0.001494709926 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WPZC4 9568.10200000 PA USD 9363.28000000 0.001221151695 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BG6S5 169400.19700000 PA USD 143841.23000000 0.018759661343 Long ABS-CBDO USGSE US N 2 2048-01-25 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312944LX7 11167.65410000 PA USD 11034.63000000 0.001439127862 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31359WHX2 13072.06300000 PA USD 13248.95000000 0.001727917754 Long ABS-CBDO USGSE US N 2 2029-07-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31426GJF3 44983.36600000 PA USD 47942.39000000 0.006252609216 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AJXT4 1191.34950000 PA USD 1199.94000000 0.000156495241 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389W4G7 6512.90880000 PA USD 6867.73000000 0.000895684005 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07500000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 400000.00000000 NC USD 31825.76000000 0.004150690866 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 14853.57000000 USD 0.00000000 USD 400000.00000000 USD 16972.19000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378PTA1 17.77870000 PA USD 17.95000000 0.000002341025 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AC3F9 16492.25290000 PA USD 16667.62000000 0.002173778037 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390FLR8 1359.90540000 PA USD 1433.28000000 0.000186927262 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VA6 485076.48720000 PA USD 469712.51000000 0.061259540234 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31426JCF4 141262.34900000 PA USD 148613.63000000 0.019382074040 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 31371GDB3 50.84650000 PA USD 51.40000000 0.000006703548 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSA36 1986496.62400000 PA USD 1591199.69000000 0.207523026011 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 3132WDFF6 28772.91230000 PA USD 25846.86000000 0.003370927378 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M9QV7 125575.75370000 PA USD 121333.77000000 0.015824255915 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418D5G3 888535.07520000 PA USD 769656.28000000 0.100377973436 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQY76 1247499.53500000 PA USD 1298324.29000000 0.169326444127 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 3133D1HB8 147945.53900000 PA USD 155656.16000000 0.020300555325 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 3140W4US4 49742.53200000 PA USD 39844.17000000 0.005196445662 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 3132DQJY3 12982.74100000 PA USD 13629.96000000 0.001777608782 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MD5 91902.52800000 PA USD 97854.57000000 0.012762116912 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RNX3 2769.60700000 PA USD 2638.03000000 0.000344049820 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HFQB8 1917974.15350000 PA USD 1706182.05000000 0.222518935974 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9HN7 1051442.36000000 PA USD 949044.60000000 0.123773658610 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9ER8 71988.05600000 PA USD 71440.57000000 0.009317223576 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04500000 N N N N N N BANK 2021-BNK33 N/A 06541CBR6 4501648.58620000 PA USD 162423.98000000 0.021183209146 Long ABS-MBS CORP US N 2 2064-05-15 Variable 0.01136320 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HCTM4 1393363.31600000 PA USD 1389910.42000000 0.181271035971 Long ABS-MBS USGSE US N 2 2029-03-25 Variable 0.04169170 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180MYH4 40320.63430000 PA USD 36720.29000000 0.004789031662 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JPDD1 7280.28450000 PA USD 6979.26000000 0.000910229661 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YWH42 69103.52740000 PA USD 64221.76000000 0.008375751990 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A6S4 335.50460000 PA USD 340.51000000 0.000044409049 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.08500000 N N N N N N VCAT ASSET SECURITIZATION LLC N/A 921968AA1 546623.81000000 PA USD 546622.61000000 0.071290095659 Long ABS-CBDO CORP US N 2 2056-02-25 Variable 0.05062000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BKWX6 233704.63300000 PA USD 207457.50000000 0.027056445799 Long ABS-CBDO USGSE US N 2 2050-02-25 Fixed 0.02500000 N N N N N N LONDON CLEARING HOUSE N/A N/A 11460000.00000000 NC USD -37602.22000000 -0.00490405228 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2029-06-17 0.00000000 USD 0.00000000 USD 11302649.40000000 USD -37602.22000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H8L86 14358.57680000 PA USD 13876.66000000 0.001809783204 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.03000000 N N N N N N NYMT LOAN TRUST 2024-CP1 N/A 67118PAA0 313248.60000000 PA USD 290433.36000000 0.037878092926 Long ABS-CBDO CORP US N 2 2068-02-25 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411Y3V3 6240.77090000 PA USD 6403.69000000 0.000835164269 Long ABS-MBS USGSE US N 2 2037-04-01 Variable 0.05570000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQ6N8 64016.26160000 PA USD 64700.51000000 0.008438190193 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1 N/A 81885FAB2 300000.00000000 PA USD 299289.99000000 0.039033167722 Long ABS-CBDO CORP US N 2 2029-08-20 Fixed 0.03910000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X9H57 211209.94000000 PA USD 179375.45000000 0.023394006679 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CLM52 23269.64600000 PA USD 24776.70000000 0.003231357943 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5A58 79928.58900000 PA USD 78982.18000000 0.010300794487 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPPP7 188786.52600000 PA USD 152930.40000000 0.019945063826 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVCN3 326150.09600000 PA USD 344009.55000000 0.044865457956 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 3132L7VF3 453492.61700000 PA USD 407031.94000000 0.053084789044 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A22Y7 727534.86230000 PA USD 672237.70000000 0.087672717999 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31426FVK0 24910.10300000 PA USD 26532.74000000 0.003460379314 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 35055.93400000 PA USD 28660.70000000 0.003737906203 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 312936JP3 131229.98410000 PA USD 129774.17000000 0.016925046319 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKM7 217197.42870000 PA USD 209016.10000000 0.027259717199 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QP5H3 813486.86450000 PA USD 757389.95000000 0.098778208217 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N BX COML MTG TR 2024-MDHS N/A 12433BAA5 498993.89700000 PA USD 499461.70000000 0.065139406456 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 3140BY4U5 974109.08000000 PA USD 979484.31000000 0.127743581914 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128LXR44 59090.99180000 PA USD 59606.38000000 0.007773817720 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020661 -79825000.00000000 PA USD -63869355.49000000 -8.32979166849 Short ABS-MBS USGA US N 2 2056-06-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31392UTM6 13092.75010000 PA USD 13469.30000000 0.001756655630 Long ABS-CBDO USGSE US N 2 2032-09-15 Fixed 0.06000000 N N N N N N STORE MASTER FUNDING N/A 86190BAA2 987913.71780000 PA USD 929668.70000000 0.121246668802 Long ABS-CBDO CORP US N 2 2051-06-20 Fixed 0.02120000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133CKJU3 17768.35600000 PA USD 18984.64000000 0.002475961983 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 3140XD2K1 342547.88100000 PA USD 303009.33000000 0.039518241152 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N PRET 2025-RPL2 N/A 69392LAA2 1391458.53000000 PA USD 1348817.14000000 0.175911682353 Long ABS-CBDO CORP US N 2 2064-08-25 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPD54 1284397.94260000 PA USD 1282376.04000000 0.167246485766 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QFZT9 253943.72000000 PA USD 229027.32000000 0.029869564947 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H060663 -14900000.00000000 PA USD -15179024.85000000 -1.97963661542 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 3133C4TM6 83644.12100000 PA USD 87602.25000000 0.011425017312 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.06500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BJHA6 206308.30000000 PA USD 175188.03000000 0.022847886619 Long ABS-CBDO USGSE US N 2 2051-10-25 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179M2Q2 138604.40210000 PA USD 129978.98000000 0.016951757480 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31425UFE0 24643.20300000 PA USD 26160.28000000 0.003411803371 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5QL1 800004.59500000 PA USD 677424.37000000 0.088349159467 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312935GN3 1660.98610000 PA USD 1646.23000000 0.000214700036 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M2A4 205.68740000 PA USD 205.68000000 0.000026824625 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31425VFN8 724215.53500000 PA USD 734578.19000000 0.095803116220 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.05500000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 3100000.00000000 NC USD 22497.01000000 0.002934042547 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S13 PRC INDX CY451600 Y 2072-12-16 0.00000000 USD 69272.95000000 USD 3100000.00000000 USD 91769.96000000 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WLQ9 421803.06300000 PA USD 375721.04000000 0.049001245819 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BLGX2 200847.33000000 PA USD 174465.23000000 0.022753619605 Long ABS-CBDO USGSE US N 2 2049-12-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QL3Z7 1366966.22900000 PA USD 1232094.92000000 0.160688861202 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XC5A2 78553.34800000 PA USD 76855.66000000 0.010023455402 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FVH33 44949.27030000 PA USD 41751.22000000 0.005445161640 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M73U7 70954.85340000 PA USD 66576.88000000 0.008682904909 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM7 N/A 64831YAA4 444531.11000000 PA USD 443241.97000000 0.057807272995 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 21755.76800000 PA USD 23095.77000000 0.003012132360 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140U0Q59 24650.61900000 PA USD 26324.53000000 0.003433224728 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 6600000.00000000 PA USD 153786.60000000 0.020056728764 Long ABS-MBS CORP US N 2 2058-07-15 Variable 0.00806295 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMGZ9 45086.82100000 PA USD 43283.39000000 0.005644986060 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N PRET 2025-RPL3 N/A 69382RAA1 543172.78000000 PA USD 527853.03000000 0.068842181633 Long ABS-CBDO CORP US N 2 2065-04-25 Variable 0.04150000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H2UC6 205957.39200000 PA USD 176098.02000000 0.022966566807 Long ABS-CBDO USGSE US N 2 2051-10-25 Fixed 0.01500000 N N N N N N OCWEN LOAN INVESTMENT TRUST N/A 68278FAA6 101641.96000000 PA USD 99334.56000000 0.012955136057 Long ABS-CBDO CORP US N 2 2038-11-25 Variable 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GMJF0 94814.31390000 PA USD 91573.88000000 0.011942994207 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137H3V82 254859.62300000 PA USD 218637.24000000 0.028514498795 Long ABS-CBDO USGSE US N 2 2051-11-25 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NWAR0 40723.45490000 PA USD 37198.91000000 0.004851452910 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCCN6 47062.43600000 PA USD 38476.86000000 0.005018122155 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 3137FBU79 192458.95000000 PA USD 189957.95000000 0.024774168098 Long ABS-MBS USGSE US N 2 2027-09-25 Fixed 0.03187000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A -900000.00000000 NC USD -45039.58000000 -0.00587402699 N/A DIR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A NC USD N/A N/A DIR CORP US 2041-03-12 0.00000000 USD 0.00000000 USD -900000.00000000 USD 1.00000000 4.20800000 USD 2031-03-10 XXXX 9387.92000000 N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377RLW3 269550.73450000 PA USD 263531.40000000 0.034369560225 Long ABS-CBDO USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N CFMT 2024-HB13 LLC N/A 12530VAA3 101846.88000000 PA USD 101846.88000000 0.013282790878 Long ABS-CBDO CORP US N 2 2034-05-25 Variable 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M8W75 18773.07210000 PA USD 19755.24000000 0.002576463036 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YPNK4 73612.63450000 PA USD 70246.90000000 0.009161546063 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3133KTYF1 83765.17900000 PA USD 74928.51000000 0.009772117998 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416BT65 951.28720000 PA USD 978.89000000 0.000127666072 Long ABS-MBS USGSE US N 2 2035-07-01 Variable 0.06095000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AXAK8 39495.18700000 PA USD 31635.96000000 0.004125937298 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7RY1 99302.43930000 PA USD 97363.10000000 0.012698019777 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLQ6 6569573.16930000 PA USD 5632755.98000000 0.734619654025 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4PY6 435863.51320000 PA USD 423694.33000000 0.055257884989 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.04500000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 42700000.00000000 NC USD 298908.54000000 0.038983419310 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 2029-04-19 0.00000000 USD 0.00000000 USD 42700000.00000000 USD 1.00000000 3.43600000 USD 2028-04-17 XXXX 93948.54000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ACUU6 20306.22280000 PA USD 20524.27000000 0.002676759330 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DT93 116895.78460000 PA USD 99027.29000000 0.012915062143 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QSVD0 1218046.82600000 PA USD 1242707.77000000 0.162072980845 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KNSD6 21764.75300000 PA USD 17433.74000000 0.002273694811 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 31418CMJ0 306350.16030000 PA USD 296873.43000000 0.038718001846 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31392FRK5 501.14510000 PA USD 8.99000000 0.000001172468 Long ABS-CBDO USGSE US N 2 2032-11-25 Variable 0.03823420 N N N N N N DLLAA 2023-1A N/A 23292HAC5 52582.79000000 PA USD 52973.36000000 0.006908744411 Long ABS-CBDO CORP US N 2 2028-02-22 Fixed 0.05640000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVL94 1476653.89000000 PA USD 1261930.84000000 0.164580038683 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 3132J6NS9 16586.12260000 PA USD 15942.84000000 0.002079252793 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A7FW3 120762.94150000 PA USD 119257.63000000 0.015553487351 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3129413N5 68454.25290000 PA USD 67693.13000000 0.008828485366 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128K6NL0 19328.44790000 PA USD 20077.59000000 0.002618503672 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D56J6 465282.62390000 PA USD 419630.12000000 0.054727833882 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVRX4 267780.56900000 PA USD 278439.25000000 0.036313830428 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 3132J8YQ7 11519.51570000 PA USD 11099.20000000 0.001447549031 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFMC2 356068.69500000 PA USD 285213.87000000 0.037197371099 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 2910000.00000000 NC USD 177163.97000000 0.023105587177 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 2910000.00000000 USD 1.00000000 4.34000000 USD 2031-03-25 XXXX -3838.03000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VCD4 36200.11250000 PA USD 36432.27000000 0.004751468318 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XDC7 1686768.69500000 PA USD 1535316.10000000 0.200234731667 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31339GVS7 5436.26730000 PA USD 224.47000000 0.000029275202 Long ABS-CBDO USGSE US N 2 2031-11-15 Variable 0.04442670 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38381BSP0 55272.87100000 PA USD 55260.80000000 0.007207070556 Long ABS-CBDO USGA US N 2 2049-01-20 Variable 0.04117120 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128K8AJ5 5312.93250000 PA USD 5276.85000000 0.000688202672 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283H6W0 9110.80330000 PA USD 9322.36000000 0.001215814940 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X3BP2 56695.69910000 PA USD 54451.18000000 0.007101480546 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FP67 46657.91250000 PA USD 44882.31000000 0.005853515962 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDKE5 16418.00300000 PA USD 14605.05000000 0.001904779261 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NX52 10455.02890000 PA USD 9774.95000000 0.001274841376 Long ABS-MBS USGA US N 2 2044-01-20 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQC8 280000.00000000 PA USD 271523.44000000 0.035411875866 Long DBT UST US N 2 2033-02-28 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRMS1 461548.82400000 PA USD 376483.30000000 0.049100659175 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 1960102.28500000 PA USD 2039959.40000000 0.266049918365 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 655884.48000000 PA USD 650957.21000000 0.084897333045 Long ABS-CBDO USGSE US N 2 2052-08-25 Variable 0.04412100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133BC4V6 134959.27900000 PA USD 122868.87000000 0.016024462463 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVLS1 648655.50500000 PA USD 674474.46000000 0.087964434499 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KNXR9 86062.72130000 PA USD 75671.73000000 0.009869048172 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 3133KQF92 145337.65770000 PA USD 144790.94000000 0.018883521783 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNN46 1400000.00000000 PA USD 1394045.24000000 0.181810295979 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 0.04320000 N N N N N N BLOX 2021-BLOX N/A 055522AA4 772269.00000000 PA USD 769682.28000000 0.100381364335 Long ABS-MBS CORP US N 2 2026-09-15 Variable 0.04742480 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410KLL6 683.07830000 PA USD 717.00000000 0.000093510582 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRYF6 884075.78000000 PA USD 787556.90000000 0.102712558374 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N WORLD OMNI AUTO RECEIVABLES TRUST 2023-C N/A 98164FAD4 44853.19000000 PA USD 45015.44000000 0.005870878673 Long ABS-CBDO CORP US N 2 2028-11-15 Fixed 0.05150000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177NVM9 62643.09060000 PA USD 60189.10000000 0.007849815609 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.04000000 N N N N N N VERUS SECURITIZATION TRUST 2025-5 N/A 92540XAA9 461566.34000000 PA USD 463307.55000000 0.060424210332 Long ABS-CBDO CORP US N 2 2070-06-25 Variable 0.05427000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYVK2 16073.24900000 PA USD 13948.06000000 0.001819095137 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CLMR4 129161.66700000 PA USD 137472.29000000 0.017929029142 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTWC6 163672.93400000 PA USD 173072.75000000 0.022572013447 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06500000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 2000000.00000000 NC USD 63526.20000000 0.008285037596 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 2000000.00000000 USD 1.00000000 4.01000000 USD 2029-12-20 XXXX -16323.80000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYUY3 123542.52710000 PA USD 104405.52000000 0.013616486716 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QKP51 1070546.05100000 PA USD 915545.01000000 0.119404668137 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BFQ0 10260.00420000 PA USD 10217.96000000 0.001332618396 Long ABS-CBDO USGA US N 2 2060-08-20 Variable 0.04075150 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4KG0 333504.11300000 PA USD 330862.86000000 0.043150876872 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HHG3 147.07560000 PA USD 153.07000000 0.000019963270 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 0.07500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 313920CW8 4046.42220000 PA USD 4112.56000000 0.000536356876 Long ABS-CBDO USGSE US N 2 2031-07-25 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M8KV7 3891.27220000 PA USD 3755.85000000 0.000489835035 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A9FA3 20150.44000000 PA USD 21512.78000000 0.002805680035 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 3960000.00000000 NC USD 168110.67000000 0.021924862833 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 3960000.00000000 USD 1.00000000 3.56500000 USD 2026-09-15 XXXX 61042.17000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LKV7 78131.01060000 PA USD 77072.68000000 0.010051758982 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E7ZV9 28508.36280000 PA USD 27555.99000000 0.003593830784 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N MHP COML MTG TR 2021-STOR N/A 55293BAB1 340811.00000000 PA USD 340597.99000000 0.044420524955 Long ABS-MBS CORP US N 3 2038-07-15 Variable 0.04442480 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31298MDZ7 2116.02920000 PA USD 2198.04000000 0.000286666667 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A5J97 613103.64720000 PA USD 546742.90000000 0.071305783787 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.03000000 N N N N N N ONITY LOAN INVESTMENT TRUST 2024-HB2 N/A 68278DAA1 145348.50000000 PA USD 145354.76000000 0.018957054749 Long ABS-CBDO CORP US N 2 2037-08-25 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5BG1 165904.01500000 PA USD 151040.52000000 0.019698587146 Long ABS-CBDO USGSE US N 2 2047-10-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A7GJ7 11362.55900000 PA USD 12140.35000000 0.001583335004 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 1004581.73700000 PA USD 1073755.73000000 0.140038387191 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 3138WN5F2 71092.54640000 PA USD 66472.02000000 0.008669229149 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GVEQ0 1679077.00000000 PA USD 1744861.22000000 0.227563443243 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.06000000 N N N N N N PRPM 2024-RPL2 LLC N/A 69381DAA3 487738.92000000 PA USD 474740.97000000 0.061915348076 Long ABS-CBDO CORP US N 2 2054-05-25 Variable 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSJW3 154542.69900000 PA USD 165184.28000000 0.021543205325 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38374F2L7 38423.78120000 PA USD 38702.37000000 0.005047532994 Long ABS-CBDO USGA US N 2 2034-04-20 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQY60 2131259.16600000 PA USD 2148246.15000000 0.280172592080 Long ABS-CBDO USGSE US N 2 2053-09-25 Variable 0.04812100 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XTDK4 2787596.35200000 PA USD 2356112.95000000 0.307282418467 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300MH89 5352.93100000 PA USD 5598.90000000 0.000730204183 Long ABS-MBS USGSE US N 2 2042-10-01 Variable 0.06493000 N N N N N N OPTN 2026-A N/A 68390VAA4 165000.00000000 PA USD 163729.45000000 0.021353467528 Long ABS-CBDO CORP US N 2 2034-01-09 Fixed 0.04320000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296XYZ1 26128.62540000 PA USD 26406.07000000 0.003443859112 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5LD4 98438.10400000 PA USD 84523.94000000 0.011023546516 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31392CVK7 4654.86310000 PA USD 4806.23000000 0.000626824778 Long ABS-CBDO USGSE US N 2 2032-04-25 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM7D1 40559.83800000 PA USD 33198.55000000 0.004329729070 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 3140QEY22 344198.64400000 PA USD 295546.37000000 0.038544927713 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HPU68 1212448.73000000 PA USD 1210792.16000000 0.157910571811 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 2232942.57380000 PA USD 1711118.86000000 0.223162790895 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RXE4 18021.40510000 PA USD 17157.78000000 0.002237704323 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQA2 9776000.00000000 PA USD 9639288.70000000 1.257148535279 Long DBT UST US N 2 2029-02-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XYLF2 21483.96910000 PA USD 20462.17000000 0.002668660296 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N NISSAN AUTO LEASE TR 2026-A N/A 65481HAD5 330000.00000000 PA USD 327485.43000000 0.042710395078 Long ABS-CBDO CORP US N 2 2029-03-15 Fixed 0.03870000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133BVH40 18282.32600000 PA USD 19183.17000000 0.002501854111 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BWR83 24869.36500000 PA USD 26545.30000000 0.003462017380 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 31418FA23 70067.40200000 PA USD 70629.21000000 0.009211406636 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VZQ6 3852934.18260000 PA USD 3166784.78000000 0.413009608035 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QQFK6 39599.95900000 PA USD 37723.00000000 0.004919804320 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946LH7 16542.33010000 PA USD 16350.87000000 0.002132467748 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N OPORTUN ISSUANCE TRUST 2025-D N/A 68379HAA0 1100000.00000000 PA USD 1095068.15000000 0.142817936431 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 133526.73900000 PA USD 142679.46000000 0.018608144203 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 3140JWBD1 44117.22280000 PA USD 42808.30000000 0.005583025191 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133WDZV7 41994.48900000 PA USD 44514.52000000 0.005805549077 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208MZ24 34.40240000 PA USD 34.67000000 0.000004521634 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137BYKR0 137377.12430000 PA USD 132791.30000000 0.017318538067 Long ABS-CBDO USGSE US N 2 2047-05-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQW29 933991.49800000 PA USD 761852.66000000 0.099360231384 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136ANY68 116667.21900000 PA USD 15579.93000000 0.002031922353 Long ABS-CBDO USGSE US N 2 2045-06-25 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DYH4 8862.78080000 PA USD 8081.42000000 0.001053972511 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJQU5 207935.91950000 PA USD 195136.82000000 0.025449592296 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QKE38 86159.53800000 PA USD 69014.48000000 0.009000814805 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 3140XMRT5 164293.85600000 PA USD 175555.54000000 0.022895816988 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 3132D9JP0 84721.44030000 PA USD 75510.31000000 0.009847995901 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.02500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F060667 -7075000.00000000 PA USD -7224238.64000000 -0.94217958476 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 3140W5J96 393385.00800000 PA USD 337165.61000000 0.043972876625 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 3140QVFP4 206744.08600000 PA USD 222046.19000000 0.028959091402 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 31335ARH3 60432.82410000 PA USD 58440.09000000 0.007621711085 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNHA3 17591.49500000 PA USD 16761.82000000 0.002186063527 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 3140ACBM4 141069.89400000 PA USD 143046.55000000 0.018656019796 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207UGA0 3.15770000 PA USD 3.16000000 0.000000412124 Long ABS-MBS USGA US N 2 2026-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427DSK8 20098.50500000 PA USD 21551.55000000 0.002810736389 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 -126.00000000 NC USD -62096.98000000 -0.00809863983 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short UST NOTES UST NOTES 0% 06/30/2040 2026-09-21 -13784121.77000000 USD -62096.98000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEFC1 170718.91820000 PA USD 153725.81000000 0.020048800579 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XAB6 109441.53440000 PA USD 105816.27000000 0.013800475634 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BLES5 1838529.02460000 PA USD 1638818.26000000 0.213733402875 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 3138XPDT7 20223.45050000 PA USD 19599.38000000 0.002556135896 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYVY2 16748.28200000 PA USD 14498.67000000 0.001890905265 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.02000000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3133TDML7 4023.24830000 PA USD 4072.36000000 0.000531114023 Long ABS-CBDO USGSE US N 2 2028-04-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AARN9 16813.50400000 PA USD 17960.48000000 0.002342391832 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARLM1 6776.91050000 PA USD 6527.26000000 0.000851280172 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AWP8 96302.34820000 PA USD 100712.41000000 0.013134834182 Long ABS-MBS USGSE US N 2 2040-12-01 Variable 0.06392000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BLYE4 169563.58500000 PA USD 151246.38000000 0.019725435247 Long ABS-CBDO USGSE US N 2 2049-05-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XMUT1 563595.04400000 PA USD 502064.61000000 0.065478875954 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBG7 1765286.20450000 PA USD 1351095.69000000 0.176208849072 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.01500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5AR0 40154.23970000 PA USD 39689.19000000 0.005176233291 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QU2H8 483978.23400000 PA USD 504097.74000000 0.065744035187 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SYE3 11180.67400000 PA USD 10308.67000000 0.001344448723 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202F3P9 1334.44400000 PA USD 1315.45000000 0.000171559965 Long ABS-MBS USGA US N 2 2042-02-20 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8VP3 589602.95600000 PA USD 584341.04000000 0.076209303964 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 410000.00000000 PA USD 408542.00000000 0.053281729895 Long ABS-CBDO CORP US N 2 2033-07-08 Fixed 0.04490000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133TLBA5 1125.17770000 PA USD 1138.92000000 0.000148537060 Long ABS-CBDO USGSE US N 2 2029-06-15 Fixed 0.06000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQJ3 6120000.00000000 PA USD 6090834.41000000 0.794361886594 Long DBT UST US N 2 2029-04-15 Fixed 0.03875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RVC0 23098.48360000 PA USD 21997.83000000 0.002868939879 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 0.04000000 N N N N N N RCO VIII MORTGAGE LLC 2025-3 N/A 74939GAA3 118906.82000000 PA USD 118991.77000000 0.015518814097 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 31307UH50 6845.61930000 PA USD 6650.31000000 0.000867328257 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QFA74 420782.35420000 PA USD 360647.55000000 0.047035372976 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QV5J9 70997.26900000 PA USD 76030.24000000 0.009915804768 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 226661.79000000 PA USD 226917.31000000 0.029594379084 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 3140YW5N9 16776.56600000 PA USD 17962.71000000 0.002342682667 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 2948432.63200000 PA USD 2683696.99000000 0.350005674185 Long ABS-MBS USGA US N 2 2052-07-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QYU9 2256.53000000 PA USD 2220.09000000 0.000289542411 Long ABS-MBS USGA US N 2 2045-01-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQC96 2134779.40500000 PA USD 1725986.23000000 0.225101781727 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SCA3 3324.85100000 PA USD 3271.08000000 0.000426611709 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AR3K5 11879.05720000 PA USD 11437.64000000 0.001491688113 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDSF4 948335.31840000 PA USD 805694.40000000 0.105078037017 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 3140KVSL5 20259.28100000 PA USD 15689.43000000 0.002046203258 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179W5C8 7750739.05700000 PA USD 6901547.93000000 0.900094513339 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 3140QD6M1 580964.45150000 PA USD 473526.99000000 0.061757021749 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 31394EB64 802.56470000 PA USD 823.13000000 0.000107351974 Long ABS-CBDO USGSE US N 2 2035-08-25 Variable 0.07860892 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31387QL81 14655.53940000 PA USD 15488.37000000 0.002019981169 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GQAB8 243364.84000000 PA USD 256352.73000000 0.033433323667 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.06500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38381RQS1 197165.13480000 PA USD 195527.88000000 0.025500594037 Long ABS-CBDO USGA US N 2 2049-02-20 Variable 0.04167120 N N N N N N OBX 2025-NQM19 TR N/A 67449LAA9 413393.54000000 PA USD 410811.24000000 0.053577682411 Long ABS-CBDO CORP US N 2 2065-10-25 Variable 0.04869000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DZK0 97494.69930000 PA USD 88687.81000000 0.011566595203 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31426LRG1 22188.32000000 PA USD 23649.61000000 0.003084363742 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FU4N1 127076.53800000 PA USD 120102.91000000 0.015663728111 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 1410724.87200000 PA USD 1159496.07000000 0.151220575649 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 235540.45000000 PA USD 230250.26000000 0.030029059831 Long ABS-CBDO CORP US N 2 2061-07-25 Fixed 0.03750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTJP6 1105688.25400000 PA USD 1184070.16000000 0.154425509354 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 3138A2XL8 4376.32540000 PA USD 4240.95000000 0.000553101400 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N PRET 2024-RPL1 TR N/A 693989AA3 443554.67000000 PA USD 420818.06000000 0.054882764093 Long ABS-CBDO CORP US N 2 2063-10-25 Fixed 0.03900000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5FF9 155629.08000000 PA USD 138496.67000000 0.018062627985 Long ABS-CBDO USGSE US N 2 2049-05-25 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BMAZ1 238963.93400000 PA USD 222816.07000000 0.029059498553 Long ABS-CBDO USGSE US N 2 2049-03-25 Fixed 0.03250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NNA2 26883.58660000 PA USD 25159.84000000 0.003281326764 Long ABS-MBS USGA US N 2 2043-09-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M3RR7 11666.28310000 PA USD 10929.21000000 0.001425379067 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQHG5 800722.16900000 PA USD 717557.24000000 0.093583257159 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 812300.67000000 PA USD 814585.27000000 0.106237577368 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 3138YM5W5 50184.61050000 PA USD 47897.37000000 0.006246737743 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N LONDON CLEARING HOUSE N/A N/A 560000.00000000 NC USD -13428.34000000 -0.00175131365 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2046-06-17 0.00000000 USD 0.00000000 USD 551345.26000000 USD -13428.34000000 N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136A8PY0 15469.23100000 PA USD 178.90000000 0.000023331998 Long ABS-CBDO USGSE US N 2 2027-09-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X2JG0 46163.78180000 PA USD 42074.40000000 0.005487310524 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GS5C8 707510.29000000 PA USD 735671.89000000 0.095945755723 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTBS4 577447.35000000 PA USD 598582.33000000 0.078066641930 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 312945T99 20277.41960000 PA USD 20057.84000000 0.002615927892 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133KRB37 1376750.01800000 PA USD 1404193.88000000 0.183133873715 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AN2M4 7325.85830000 PA USD 7647.75000000 0.000997413606 Long ABS-MBS USGSE US N 2 2041-08-01 Variable 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FFNR8 32808.80150000 PA USD 31281.92000000 0.004079763676 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GQYC0 734612.52000000 PA USD 773587.75000000 0.100890712695 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 31418EWF3 134891.46700000 PA USD 139008.65000000 0.018129400018 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31396UAR1 27628.44960000 PA USD 28537.34000000 0.003721817687 Long ABS-CBDO USGSE US N 2 2036-07-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WBGV1 14966.78560000 PA USD 14503.40000000 0.001891522147 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NLD8 9783.02650000 PA USD 9160.77000000 0.001194740498 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 0.03500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J8DB6 66287.16950000 PA USD 64397.75000000 0.008398704469 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYU80 127148.66480000 PA USD 107293.47000000 0.013993130909 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.01500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 313921MN5 2455.62970000 PA USD 2516.71000000 0.000328227360 Long ABS-CBDO USGSE US N 2 2031-10-25 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSBA9 23683.71500000 PA USD 24717.86000000 0.003223684076 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 3140QEAN2 822199.19450000 PA USD 729866.31000000 0.095188596495 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140YW3H4 16489.61100000 PA USD 17600.07000000 0.002295387440 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 3132GDY97 20783.89130000 PA USD 20521.83000000 0.002676441107 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QL66 24831.48190000 PA USD 23712.60000000 0.003092578849 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 0.04000000 N N N N N N BX TR 2025-TAIL N/A 123912AA5 168000.00000000 PA USD 168157.33000000 0.021930948193 Long ABS-MBS CORP US N 2 2035-06-15 Variable 0.05027090 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EDEK3 119295.12660000 PA USD 115107.76000000 0.015012264533 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205YBM3 110.88740000 PA USD 111.70000000 0.000014567827 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H052660 -36125000.00000000 PA USD -36349506.04000000 -4.74067430684 Short 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 3140XFG21 1888608.31530000 PA USD 1742597.17000000 0.227268167603 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293KQ33 443.98760000 PA USD 453.44000000 0.000059137292 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTVA1 411355.41000000 PA USD 433051.53000000 0.056478243735 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPJR0 158335.81700000 PA USD 128906.41000000 0.016811873735 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128KLR66 841.11990000 PA USD 873.72000000 0.000113949882 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BVVD7 901756.28000000 PA USD 916352.47000000 0.119509976442 Long ABS-CBDO USGSE US N 2 2054-08-25 Variable 0.05212100 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3140KUKN1 35579.42400000 PA USD 28944.15000000 0.003774873531 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.02000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 80000.00000000 NC USD 14663.02000000 0.001912339664 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 20014.36000000 USD 0.00000000 USD 80000.00000000 USD -5351.34000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUWX4 449764.81000000 PA USD 453508.20000000 0.059146186727 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 13457.87100000 PA USD 11754.21000000 0.001532974926 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31425WTU5 79679.50600000 PA USD 83616.86000000 0.010905245848 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABLL4 465864.61100000 PA USD 398011.90000000 0.051908402443 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 0.02500000 N N N N N N MERCHANTS FLEET FUNDING LLC N/A 588926AL9 690000.00000000 PA USD 690433.11000000 0.090045749220 Long ABS-CBDO CORP US N 2 2039-01-20 Fixed 0.04490000 N N N N N N LONDON CLEARING HOUSE N/A N/A 440000.00000000 NC USD -10722.67000000 -0.00139844228 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2056-06-17 0.00000000 USD 0.00000000 USD 431684.00000000 USD -10722.67000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XYJF5 18343.92290000 PA USD 17471.46000000 0.002278614224 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BJTS4 89310.06200000 PA USD 74210.40000000 0.009678462650 Long ABS-CBDO USGSE US N 2 2050-08-25 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B2NZ3 33865.33800000 PA USD 35213.31000000 0.004592492502 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 31406UNE4 394.39310000 PA USD 411.07000000 0.000053611429 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.06500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQE4 30000.00000000 PA USD 29571.09000000 0.003856638558 Long DBT UST US N 2 2029-03-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FCZM3 61540.86150000 PA USD 57200.81000000 0.007460085152 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03500000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCUL8 5309.21730000 PA USD 838.42000000 0.000109346084 Long ABS-CBDO USGSE US N 2 2035-07-25 Variable 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMRK2 1426216.16200000 PA USD 1211696.28000000 0.158028486438 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WJSM4 82459.94300000 PA USD 76584.10000000 0.009988038758 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNNC8 200000.00000000 PA USD 199305.18000000 0.025993226565 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 743328.38600000 PA USD 754420.85000000 0.098390980504 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 1164459.30800000 PA USD 1210081.43000000 0.157817878957 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBLF3 132740.92850000 PA USD 128802.62000000 0.016798337523 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDR32 719151.62530000 PA USD 610982.66000000 0.079683883324 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVFN9 289699.38600000 PA USD 311729.87000000 0.040655567196 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020661 82200000.00000000 PA USD 65769633.84000000 8.577624492961 Long ABS-MBS USGA US N 2 2056-06-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EJU4 25644.49400000 PA USD 25318.84000000 0.003302063421 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335ATJ7 887663.49640000 PA USD 826295.24000000 0.107764782548 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BEPA0 76578.47800000 PA USD 79578.73000000 0.010378596074 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179W2V9 6907716.05000000 PA USD 6148190.57000000 0.801842232373 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137AXRF2 10634.09800000 PA USD 621.91000000 0.000081109018 Long ABS-CBDO USGSE US N 2 2033-01-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUW22 302236.58000000 PA USD 304086.81000000 0.039658765256 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 3140QMZD9 1208952.92400000 PA USD 1030512.20000000 0.134398599641 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 31418DRS3 1635892.32300000 PA USD 1386767.35000000 0.180861119226 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210APP6 417.58510000 PA USD 420.13000000 0.000054793027 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137AWAE5 16474.08870000 PA USD 15550.91000000 0.002028137587 Long ABS-CBDO USGSE US N 2 2042-06-15 Fixed 0.01750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DWP8 30078.10090000 PA USD 27498.16000000 0.003586288640 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31426HAA1 121236.74000000 PA USD 121965.60000000 0.015906658693 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.05500000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 200000.00000000 NC USD 28131.88000000 0.003668937909 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 28241.13000000 USD 0.00000000 USD 200000.00000000 USD -109.25000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNHC1 682191.16900000 PA USD 719664.27000000 0.093858054373 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.06500000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 150000.00000000 NC USD 10242.44000000 0.001335811058 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX BBB- CDSI S19 PRC CORP INDEX CZ039900 Y 2058-12-17 10647.48000000 USD 0.00000000 USD 150000.00000000 USD -405.04000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W43F2 250540.20700000 PA USD 260042.90000000 0.033914592769 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DN6H1 944275.15220000 PA USD 895387.10000000 0.116775689193 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140K0JB5 1382726.43180000 PA USD 1228742.70000000 0.160251667277 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03000000 N N N N N N GS MTG SECS TR 2018-GS10 N/A 36250SAE9 200000.00000000 PA USD 197837.58000000 0.025801823315 Long ABS-MBS CORP US N 2 2051-07-10 Fixed 0.04155000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DV90 500173.28240000 PA USD 441190.40000000 0.057539708831 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.03000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31398NFC3 413763.79450000 PA USD 412439.63000000 0.053790055768 Long ABS-CBDO USGSE US N 2 2040-09-25 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFDS7 173713.25100000 PA USD 168998.53000000 0.022040656843 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J82L3 26721.79580000 PA USD 25100.68000000 0.003273611163 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 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