NPORT-P false 0000810893 XXXXXXXX S000009845 C000027273 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Short-Term Portfolio S000009845 7BT1PG61KEUH42XHGX37 2020-03-31 2019-09-30 N 869574181.180000 309472085.910000 560102095.270000 0.000000 0.000000 7102812.430000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 131430.550000 USD N ARGENT SECURITIES INC 2003-W8 N/A 040104DQ1 3330461.610000 PA USD 3367788.090000 0.6012811 Long ABS-MBS CORP US N 2 2033-12-25 Floating 3.06838 N N N N N N N/A N/A 000000000 1.000000 NC USD 43844.930000 0.0078280 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-06-22 342814.580000 USD 0.000000 USD 21400000.000000 USD -298969.650000 N N N N/A N/A 000000000 1.000000 NC USD 48182.680000 0.0086025 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-06-21 272339.400000 USD 0.000000 USD 10900000.000000 USD -224156.720000 N N N N/A N/A 000000000 1.000000 NC USD -4650.190000 0.0008302 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-21 200870.760000 USD 0.000000 USD 2900000.000000 USD -205520.950000 N N N N/A N/A 000000000 1.000000 NC USD 2185.260000 0.0003902 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -1423.420000 USD 100000.000000 USD 3608.680000 N N N N/A N/A 000000000 1.000000 NC USD 6516.810000 0.0011635 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-02-03 0.000000 USD -819.080000 USD 300000.000000 USD 7335.890000 N N N N/A N/A 000000000 1.000000 NC USD -108907.470000 0.0194442 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-01-15 0.000000 USD -74922.390000 USD 6300000.000000 USD -33985.080000 N N N N/A N/A 000000000 1.000000 NC USD -5820.500000 0.0010392 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-24 0.000000 USD -4180.590000 USD 700000.000000 USD -1639.910000 N N N N/A N/A 000000000 1.000000 NC USD -180519.060000 0.0322297 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 412782.300000 USD 0.000000 USD 9100000.000000 USD -593301.360000 N N N N/A N/A 000000000 1.000000 NC USD -287796.940000 0.0513829 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 616754.010000 USD 0.000000 USD 14300000.000000 USD -904550.950000 N N N N/A N/A 000000000 1.000000 NC USD -6854.460000 0.0012238 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -719.940000 USD 100000.000000 USD -6134.520000 N N N N/A N/A 000000000 1.000000 NC USD -154509.520000 0.0275860 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-02-12 0.000000 USD -67091.770000 USD 3800000.000000 USD -87417.750000 N N N N/A N/A 000000000 1.000000 NC USD -73334.340000 0.0130930 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-03-11 0.000000 USD -1706.930000 USD 1800000.000000 USD -71627.410000 N N N N/A N/A 000000000 1.000000 NC USD -76459.040000 0.0136509 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-12-10 0.000000 USD -3228.150000 USD 1900000.000000 USD -73230.890000 N N N N/A N/A 000000000 1.000000 NC USD -4111.710000 0.0007341 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2019-12-16 0.000000 USD -3738.930000 USD 900000.000000 USD -372.780000 N N N N/A N/A 000000000 1.000000 NC USD -37708.290000 0.0067324 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2048-06-22 24036.860000 USD 0.000000 USD 200000.000000 USD -61745.150000 N N N N/A N/A 000000000 1.000000 NC USD -1757753.360000 0.3138273 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2045-12-18 0.000000 USD -260746.650000 USD 7600000.000000 USD -1497006.710000 N N N N/A N/A 000000000 1.000000 NC USD -2600129.640000 0.4642242 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-19 0.000000 USD -898837.680000 USD 25300000.000000 USD -1701291.960000 N N N N/A 254900HROIFWPRGM1V77 000000000 273.000000 NC USD -406564.980000 0.0725877 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2019-12-19 35575312.500000 USD -406564.980000 N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAG4 400000.000000 PA USD 400030.080000 0.0714209 Long ABS-MBS CORP US N 2 2035-05-15 Floating 3.4775 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAJ8 300000.000000 PA USD 300504.900000 0.0536518 Long ABS-MBS CORP US N 2 2035-05-15 Floating 3.8775 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAL3 400000.000000 PA USD 401224.400000 0.0716342 Long ABS-MBS CORP US N 2 2035-05-15 Floating 4.7775 N N N N N N ASSET BACKED FUNDING CERT 2004-OPT4 N/A 04542BHB1 1273798.050000 PA USD 1278553.390000 0.2282715 Long ABS-MBS CORP US N 2 2034-04-25 Floating 2.63838 N N N N N N B2R MORTGAGE TRUST 2016-1 N/A 05605LAA9 2251028.320000 PA USD 2245491.690000 0.4009076 Long ABS-MBS CORP US N 2 2049-06-15 Fixed 2.5672 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT N/A 05525DAA4 100000.000000 PA USD 100386.980000 0.0179230 Long ABS-MBS CORP US N 2 2034-03-15 Floating 3.2275 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT N/A 05525DAG1 3170000.000000 PA USD 3185504.790000 0.5687365 Long ABS-MBS CORP US N 2 2034-03-15 Floating 3.6275 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2006-3 N/A 05948K4R7 38395.750000 PA USD 38893.890000 0.0069441 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6 N N N N N N BANC OF AMERICA FUNDING CORP 2004-D N/A 05946XMY6 166744.400000 PA USD 166713.570000 0.0297649 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.34885 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 12485799.520000 PA USD 12830608.610000 2.2907625 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.80848 N N N N N N BANC OF AMERICA FUNDING CORP 2005-E N/A 05946XXQ1 3563.180000 PA USD 3597.410000 0.0006423 Long ABS-MBS CORP US N 2 2035-03-20 Floating 4.67676 N N N N N N BANC OF AMERICA FUNDING CORP 2005-H N/A 05946XJ38 291831.000000 PA USD 282929.450000 0.0505139 Long ABS-MBS CORP US N 2 2035-11-20 Floating 4.73218 N N N N N N BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2 N/A 05972AAA8 793006.050000 PA USD 793138.640000 0.1416061 Long ABS-MBS CORP US N 2 2032-08-15 Floating 2.8775 N N N N N N BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2 N/A 05972AAC4 1400000.000000 PA USD 1406836.480000 0.2511750 Long ABS-MBS CORP US N 2 2032-08-15 Floating 3.2275 N N N N N N BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2 N/A 05972AAE0 1000000.000000 PA USD 1006481.200000 0.1796960 Long ABS-MBS CORP US N 2 2032-08-15 Floating 3.6275 N N N N N N BANK OF AMERICA MTG SEC 2005-I N/A 05949CHX7 51813.510000 PA USD 50286.150000 0.0089780 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.73306 Y N N N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBS9 136208.170000 PA USD 140175.700000 0.0250268 Long ABS-MBS CORP US N 2 2033-05-25 Floating 5.17776 N N N N N N BANK OF AMERICA MTGE SEC 2003-H N/A 05948XTL5 80425.660000 PA USD 81934.990000 0.0146286 Long ABS-MBS CORP US N 2 2033-09-25 Floating 4.32177 N N N N N N BANK OF AMERICA MTGE SEC 2003-J N/A 05948XYD7 50337.280000 PA USD 51222.950000 0.0091453 Long ABS-MBS CORP US N 2 2033-11-25 Floating 4.59232 N N N N N N BANK OF AMERICA MTGE SEC 2003-L N/A 05948XR29 37640.750000 PA USD 38818.780000 0.0069307 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.88595 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT50 341603.270000 PA USD 354354.300000 0.0632660 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.01648 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-E N/A 05949AGR5 24379.770000 PA USD 24802.500000 0.0044282 Long ABS-MBS CORP US N 2 2034-06-25 Fixed 4.82559 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-L N/A 05949AZB9 13568.980000 PA USD 13970.250000 0.0024942 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.0828 N N N N N N BARINGS BDC STATIC CLO LTD 2019-1A N/A 06761QAA6 2339596.110000 PA USD 2339521.100000 0.4176955 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 3.32338 N N N N N N BAYVIEW KOITERE FUND TRUST 2019-RN3 N/A 07334FAA6 117316.160000 PA USD 117749.430000 0.0210229 Long ABS-MBS CORP US N 2 2033-07-28 Fixed 3.9671 N N N N N N BCAP LLC TRUST 2010-RR3 N/A 05532WBS3 1779573.850000 PA USD 1540851.140000 0.2751018 Long ABS-MBS CORP US N 2 2036-02-26 Variable 6.5 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB27 440837.580000 PA USD 441315.540000 0.0787920 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.70277 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MC75 68423.780000 PA USD 68973.700000 0.0123145 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.53782 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-3 N/A 07384MUM2 267.250000 PA USD 270.970000 0.0000484 Long ABS-MBS CORP US N 2 2033-05-25 Floating 4.91923 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7 N/A 07384MYS5 15633.860000 PA USD 16007.870000 0.0028580 Long ABS-MBS CORP US N 2 2033-10-25 Floating 4.56126 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7 N/A 07384MYX4 46.250000 PA USD 46.220000 0.0000083 Long ABS-MBS CORP US N 2 2033-10-25 Floating 4.2268 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7 N/A 07384MYY2 626.050000 PA USD 638.060000 0.0001139 Long ABS-MBS CORP US N 2 2033-10-25 Floating 4.07181 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZS4 108403.310000 PA USD 113651.290000 0.0202912 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.88566 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 318210.980000 PA USD 329796.340000 0.0588815 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.6703 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M5Y4 42801.290000 PA USD 44117.970000 0.0078768 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.22231 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4J8 43463.420000 PA USD 44273.130000 0.0079045 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.60322 N N N N N N BEAR STEARNS ADJUSTABLE RATE MTGE 20 N/A 07384MS78 29902.870000 PA USD 30249.420000 0.0054007 Long ABS-MBS CORP US N 2 2034-07-25 Floating 4.47294 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HXZ9 33.280000 PA USD 31.520000 0.0000056 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.09205 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AA9 7096.610000 PA USD 5937.410000 0.0010601 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.35838 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868BE0 343177.270000 PA USD 287130.070000 0.0512639 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.82536 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 351454.400000 PA USD 348252.330000 0.0621766 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.17838 N N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 44097.740000 PA USD 45970.540000 0.0082075 Long ABS-MBS CORP US N 2 2033-04-25 Floating 5.03307 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 4349.130000 PA USD 4474.720000 0.0007989 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.70246 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 2939.900000 PA USD 2805.500000 0.0005009 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.43289 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A 07384YGX8 190338.520000 PA USD 190959.940000 0.0340938 Long ABS-MBS CORP US N 2 2042-11-25 Floating 3.01838 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-EC1 N/A 07387UAD3 820.500000 PA USD 822.640000 0.0001469 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.42838 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1 N/A 07389QAL2 1457224.100000 PA USD 1221928.160000 0.2181617 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 3.86456 Y N N N N N BUSINESS JET SECURITIES LLC 2018-2 N/A 12326RAA0 2142156.530000 PA USD 2181724.950000 0.3895227 Long ABS-O CORP US N 2 2033-06-15 Fixed 4.447 N N N N N N CALIFORNIA REPUBLIC AUTO RECEIVABLES TRUST 2016-2 N/A 13057YAD2 1352073.870000 PA USD 1349850.930000 0.2410009 Long ABS-O CORP US N 2 2021-12-15 Fixed 1.83 N N N N N N CENT CLO LTD 2015-24A N/A 15137KAE9 2900000.000000 PA USD 2900000.000000 0.5177627 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 3.37338 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPE3 44531.390000 PA USD 43807.380000 0.0078213 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.25579 Y N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPJ2 63623.860000 PA USD 62227.040000 0.0111099 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.22764 Y N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AB4 616590.010000 PA USD 615137.200000 0.1098259 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.7108 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AC2 20553.000000 PA USD 21181.910000 0.0037818 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.7108 N N N N N N CHESAPEAKE FUNDING II LLC 2019-1A N/A 165183BY9 3674605.700000 PA USD 3722716.580000 0.6646496 Long ABS-O CORP US N 2 2031-04-15 Fixed 2.95 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB2 N/A 17307GEB0 39136.830000 PA USD 40039.870000 0.0071487 Long ABS-MBS CORP US N 2 2034-03-25 Floating 5.02221 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-UST1 N/A 17307GKZ0 2102.370000 PA USD 2075.700000 0.0003706 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.61764 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 69184.160000 PA USD 70469.560000 0.0125816 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.81 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW95 141051.960000 PA USD 142986.780000 0.0255287 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.99 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-12 N/A 17307GY69 275637.570000 PA USD 257301.880000 0.0459384 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.81838 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXP8 108994.530000 PA USD 112270.360000 0.0200446 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.68 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAA8 1068684.910000 PA USD 1059409.370000 0.1891458 Long ABS-O CORP US N 2 2047-12-26 Floating 3.21838 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAB6 1469441.760000 PA USD 1558266.580000 0.2782112 Long ABS-O CORP US N 2 2047-12-26 Fixed 4.13 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2019-A N/A 19421UAB0 2568162.820000 PA USD 2597465.040000 0.4637485 Long ABS-O CORP US N 2 2048-12-28 Fixed 3.28 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-43 N/A 12667G5V1 37355.170000 PA USD 32743.100000 0.0058459 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.97534 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4 N/A 02150QAB2 337350.900000 PA USD 37655.920000 0.0067230 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 3.94178 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6 N/A 02150PAB4 1280290.970000 PA USD 1237477.270000 0.2209378 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.21838 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL92 2050533.260000 PA USD 2046056.540000 0.3653006 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.96414 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-5 N/A 1266716D3 25268.520000 PA USD 25330.470000 0.0045225 Long ABS-MBS CORP US N 2 2034-09-25 Floating 2.47838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673AW2 2374177.450000 PA USD 2377270.050000 0.4244351 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.55838 N N N N N N COUNTRYWIDE HOME LOANS 2003-56 N/A 12669FBQ5 58480.790000 PA USD 58541.690000 0.0104520 Long ABS-MBS CORP US N 2 2033-12-25 Floating 4.45362 N N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN90 543985.380000 PA USD 510161.080000 0.0910836 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.12705 Y N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Y4 23465.050000 PA USD 23757.090000 0.0042416 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.24106 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 1768336.910000 PA USD 1790345.100000 0.3196462 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.24106 N N N N N N COUNTRYWIDE HOME LOANS 2005-19 N/A 126694AN8 112266.260000 PA USD 51729.550000 0.0092357 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.36838 Y N N N N N COUNTRYWIDE HOME LOANS 2005-25 N/A 126694HQ4 160532.510000 PA USD 144124.060000 0.0257317 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE HOME LOANS 2005-HYB3 N/A 12669GA76 128367.410000 PA USD 131879.290000 0.0235456 Long ABS-MBS CORP US N 2 2035-06-20 Floating 4.14881 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 33808.410000 PA USD 33495.010000 0.0059802 Long ABS-MBS CORP US N 2 2036-02-20 Floating 4.66738 Y N N N N N CREDIT ACCEPTANCE AUTO LOAN TRUST 2017-3A N/A 22534UAC6 500000.000000 PA USD 506098.800000 0.0903583 Long ABS-O CORP US N 2 2026-08-17 Fixed 3.21 N N N N N N CREDIT-BASED ASSET SERV & SEC 2004-CB4 N/A 12489WJP0 561546.530000 PA USD 582039.950000 0.1039168 Long ABS-MBS CORP US N 2 2035-05-25 Variable 6.78 Y N N N N N CS FIRST BOSTON MTGE SEC CORP 2002-AR21 N/A 22540V4S8 2937.610000 PA USD 2954.670000 0.0005275 Long ABS-MBS CORP US N 2 2032-06-25 Floating 5.32945 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFC1 145521.020000 PA USD 149761.100000 0.0267382 Long ABS-MBS CORP US N 2 2033-07-25 Floating 4.19818 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFE7 317024.790000 PA USD 319559.970000 0.0570539 Long ABS-MBS CORP US N 2 2033-07-25 Floating 4.23087 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR24 N/A 22541QUQ3 172484.520000 PA USD 177298.740000 0.0316547 Long ABS-MBS CORP US N 2 2033-10-25 Floating 4.76069 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR30 N/A 22541Q2A9 379247.220000 PA USD 394224.530000 0.0703844 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.26905 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2004-CF1 N/A 22541SBX5 759222.210000 PA USD 759449.520000 0.1355913 Long ABS-MBS CORP US N 2 2043-05-25 Floating 3.66838 N N N N N N CS FIRST BOSTON MTGE SEC. CORP 2002-AR28 N/A 22541NNN5 8284.400000 PA USD 8413.200000 0.0015021 Long ABS-MBS CORP US N 2 2032-11-25 Floating 4.15721 N N N N N N DISCOVER CARD EXECUTION NOTE TRUST 2019-A1 N/A 254683CK9 900000.000000 PA USD 924027.840000 0.1649749 Long ABS-MBS CORP US N 2 2024-07-15 Fixed 3.04 N N N N N N DRYDEN XXV SENIOR LOAN FUND 2012-25A N/A 26250JAS9 5100000.000000 PA USD 5097629.980000 0.9101251 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 3.20338 N N N N N N DT AUTO OWNER TRUST 2019-1A N/A 23343GAA0 5946507.370000 PA USD 5968788.930000 1.0656609 Long ABS-O CORP US N 2 2022-09-15 Fixed 3.08 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2019-1A N/A 26829XAB7 975639.120000 PA USD 974758.800000 0.1740323 Long ABS-O CORP US N 2 2069-07-25 Floating 3.01838 N N N N N N ENTERPRISE FLEET FINANCING LLC 2018-2 N/A 29373FAB0 3096154.800000 PA USD 3119754.310000 0.5569974 Long ABS-O CORP US N 2 2024-02-20 Fixed 3.14 N N N N N N EQUIFIRST MORTGAGE LOAN TRUST N/A 29445FAH1 88142.800000 PA USD 87544.200000 0.0156300 Long ABS-MBS CORP US N 2 2033-09-25 Floating 3.1525 N N N N N N EXANTAS CAPITAL CORP 2019-RSO7 N/A 30069LAA6 2399384.570000 PA USD 2404400.360000 0.4292789 Long ABS-MBS CORP KY N 2 2036-04-15 Floating 3.02475 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2019-1A N/A 30167DAA5 4565649.800000 PA USD 4578637.250000 0.8174648 Long ABS-O CORP US N 2 2022-04-15 Fixed 3.2 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2019-2A N/A 30167LAA7 1793472.260000 PA USD 1800507.690000 0.3214606 Long ABS-O CORP US N 2 2022-07-15 Fixed 2.93 N N N N N N FANNIE MAE 1990-28 N/A 313603R87 526.770000 PA USD 511.410000 0.0000913 Long ABS-MBS USGSE US N 2 2020-03-25 Fixed 9 N N N N N N FANNIE MAE 1990-93 N/A 31358ED82 1212.690000 PA USD 1216.990000 0.0002173 Long ABS-MBS USGSE US N 2 2020-08-25 Fixed 5.5 N N N N N N FANNIE MAE 1991-86 N/A 31358HUZ6 37036.590000 PA USD 38048.790000 0.0067932 Long ABS-MBS USGSE US N 2 2021-07-25 Fixed 6.5 N N N N N N FANNIE MAE 1992-39 N/A 31358MCA0 1718.060000 PA USD 1713.120000 0.0003059 Long ABS-MBS USGSE US N 2 2022-03-25 Floating 1.64 N N N N N N FANNIE MAE 1993-165 N/A 31359D5L3 9833.050000 PA USD 10004.870000 0.0017863 Long ABS-MBS USGSE US N 2 2023-09-25 Floating 3.16838 N N N N N N FANNIE MAE 1993-179 N/A 31359EGE5 7960.920000 PA USD 8103.070000 0.0014467 Long ABS-MBS USGSE US N 2 2023-10-25 Floating 3.16838 N N N N N N FANNIE MAE 1993-230 N/A 31359FD96 100242.450000 PA USD 101865.710000 0.0181870 Long ABS-MBS USGSE US N 2 2023-12-25 Floating 3.01838 N N N N N N FANNIE MAE 1993-230 N/A 31359FE38 85801.150000 PA USD 86396.270000 0.0154251 Long ABS-MBS USGSE US N 2 2023-12-25 Floating 2.74525 N N N N N N FANNIE MAE 1993-62 N/A 31358UVC7 3563.370000 PA USD 3580.920000 0.0006393 Long ABS-MBS USGSE US N 2 2023-04-25 Floating 2.355 N N N N N N FANNIE MAE 1994-22 N/A 31359GRR9 45389.240000 PA USD 45669.080000 0.0081537 Long ABS-MBS USGSE US N 2 2024-01-25 Floating 3.21838 N N N N N N FANNIE MAE 1999-37 N/A 31359V6Z1 20709.450000 PA USD 20726.100000 0.0037004 Long ABS-MBS USGSE US N 2 2029-06-25 Floating 2.41838 N N N N N N FANNIE MAE 2000-32 N/A 31358SNY3 30413.800000 PA USD 30567.320000 0.0054575 Long ABS-MBS USGSE US N 2 2030-10-18 Floating 2.49088 N N N N N N FANNIE MAE 2000-34 N/A 31358SSV4 26188.800000 PA USD 26005.320000 0.0046430 Long ABS-MBS USGSE US N 2 2030-10-25 Floating 2.46838 N N N N N N FANNIE MAE 2000-45 N/A 31358SZS3 632.820000 PA USD 627.560000 0.0001120 Long ABS-MBS USGSE US N 2 2030-11-17 Floating 2.42475 N N N N N N FANNIE MAE 2000-47 N/A 31358SH87 20635.600000 PA USD 20821.540000 0.0037175 Long ABS-MBS USGSE US N 2 2030-12-25 Floating 2.56838 N N N N N N FANNIE MAE 2001-38 N/A 313920QJ2 30868.950000 PA USD 31004.080000 0.0055354 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 2.51838 N N N N N N FANNIE MAE 2001-62 N/A 31392ADL9 34705.900000 PA USD 35154.900000 0.0062765 Long ABS-MBS USGSE US N 2 2031-11-25 Floating 2.66838 N N N N N N FANNIE MAE 2002-15 N/A 31392CKL7 29962.800000 PA USD 29693.900000 0.0053015 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 2.71838 N N N N N N FANNIE MAE 2002-25 N/A 31392C6T6 18955.320000 PA USD 19476.950000 0.0034774 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 3.01838 N N N N N N FANNIE MAE 2002-34 N/A 31392CQ31 42146.510000 PA USD 42267.350000 0.0075464 Long ABS-MBS USGSE US N 2 2032-05-18 Floating 2.44088 N N N N N N FANNIE MAE 2002-60 N/A 31392EVN7 2604.510000 PA USD 2547.270000 0.0004548 Long ABS-MBS USGSE US N 2 2032-06-25 Floating 2.41838 N N N N N N FANNIE MAE 2002-95 N/A 31392HGV9 24235.900000 PA USD 24419.700000 0.0043599 Long ABS-MBS USGSE US N 2 2033-01-25 Floating 2.51838 N N N N N N FANNIE MAE 2003-118 N/A 31393UMM2 13608.040000 PA USD 13655.930000 0.0024381 Long ABS-MBS USGSE US N 2 2033-12-25 Floating 2.41838 N N N N N N FANNIE MAE 2003-124 N/A 31393USE4 17206.250000 PA USD 17180.040000 0.0030673 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 2.31838 N N N N N N FANNIE MAE 2003-21 N/A 31392JY29 8923.310000 PA USD 8955.940000 0.0015990 Long ABS-MBS USGSE US N 2 2033-03-25 Floating 2.41838 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 49402.880000 PA USD 49218.240000 0.0087874 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 2.13838 N N N N N N FANNIE MAE 2006-118 N/A 31396L4R8 3629.540000 PA USD 3608.560000 0.0006443 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 2.20525 N N N N N N FANNIE MAE 2006-118 N/A 31396L4T4 90081.160000 PA USD 89175.280000 0.0159213 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 2.20525 N N N N N N FANNIE MAE 2006-30 N/A 31395B6R9 8779.950000 PA USD 8715.710000 0.0015561 Long ABS-MBS USGSE US N 2 2036-05-25 Floating 2.45838 N N N N N N FANNIE MAE G93-3 N/A 31358TKQ1 4093.510000 PA USD 4267.590000 0.0007619 Long ABS-MBS USGSE US N 2 2023-02-25 Fixed 7 N N N N N N FANNIE MAE G93-35 N/A 31359FJJ8 3447.710000 PA USD 3640.300000 0.0006499 Long ABS-MBS USGSE US N 2 2023-11-25 Fixed 6.5 N N N N N N FANNIE MAE GRANTOR TR 2004-T1 N/A 31393XFT9 362243.900000 PA USD 415544.320000 0.0741908 Long ABS-MBS USGSE US N 2 2044-01-25 Fixed 6.5 N N N N N N FANNIE MAE REMICS 1990-104 N/A 31358E4G4 1476.800000 PA USD 1480.450000 0.0002643 Long ABS-MBS USGSE US N 2 2020-09-25 Floating 2.81838 N N N N N N FANNIE MAE REMICS 2000-38 N/A 31358SVW8 28242.500000 PA USD 28438.140000 0.0050773 Long ABS-MBS USGSE US N 2 2030-11-18 Floating 2.54088 N N N N N N FANNIE MAE-1992-146 N/A 31358P2A4 7246.690000 PA USD 7681.620000 0.0013715 Long ABS-MBS USGSE US N 2 2022-08-25 Fixed 8 N N N N N N FANNIE MAE-1992-73 N/A 31358MZ98 17497.400000 PA USD 17611.910000 0.0031444 Long ABS-MBS USGSE US N 2 2022-05-25 Floating 2.76838 N N N N N N FANNIE MAE-1992-82 N/A 31358NCN0 2927.160000 PA USD 2938.030000 0.0005246 Long ABS-MBS USGSE US N 2 2022-05-25 Floating 3.21838 N N N N N N FANNIE MAE-1996-39 N/A 31359KRY5 4200.800000 PA USD 4490.810000 0.0008018 Long ABS-MBS USGSE US N 2 2023-11-25 Fixed 8 N N N N N N FANNIE MAE-1997-20 N/A 31359N4G3 38149.920000 PA USD 38355.120000 0.0068479 Long ABS-MBS USGSE US N 2 2027-03-25 Floating 2.99499 N N N N N N FANNIE MAE-1997-20 N/A 31359N4R9 20505.700000 PA USD 20472.120000 0.0036551 Long ABS-MBS USGSE US N 2 2027-03-25 Floating 3.018 N N N N N N FANNIE MAE-1997-65 N/A 31359QF33 29080.700000 PA USD 29159.110000 0.0052060 Long ABS-MBS USGSE US N 2 2027-09-17 Floating 2.632 N N N N N N FANNIE MAE-2000-13 N/A 31359X2A6 2991.680000 PA USD 3008.120000 0.0005371 Long ABS-MBS USGSE US N 2 2023-09-25 Floating 2.66838 N N N N N N FANNIE MAE-G-32 N/A 31358J5D9 1749.260000 PA USD 1748.910000 0.0003122 Long ABS-MBS USGSE US N 2 2021-10-25 Floating 1.74 N N N N N N FANNIE MAE-G-49 N/A 31358KVA3 32.900000 PA USD 32.910000 0.0000059 Long ABS-MBS USGSE US N 2 2021-12-25 Floating 2.56838 N N N N N N FANNIE MAE-G92-21 N/A 31358MHM9 351.900000 PA USD 352.290000 0.0000629 Long ABS-MBS USGSE US N 2 2022-04-25 Floating 2.61838 N N N N N N FANNIE MAE-G92-52 N/A 31358QTK1 2844.410000 PA USD 2865.130000 0.0005115 Long ABS-MBS USGSE US N 2 2022-09-25 Floating 2.84525 N N N N N N FANNIE MAE-G92-61 N/A 31358QU60 9921.230000 PA USD 9992.210000 0.0017840 Long ABS-MBS USGSE US N 2 2022-10-25 Floating 2.66838 N N N N N N FANNIE MAE-G92-8 N/A 31358LMS2 3806.700000 PA USD 3826.630000 0.0006832 Long ABS-MBS USGSE US N 2 2022-01-25 Floating 2.84838 N N N N N N FANNIE MAE-G93-17 N/A 31358UVY9 17543.550000 PA USD 17551.880000 0.0031337 Long ABS-MBS USGSE US N 2 2023-04-25 Floating 3.16838 N N N N N N FANNIEMAE GRANTOR TRUST 2004-T3 N/A 31393YU52 6504.870000 PA USD 7447.270000 0.0013296 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 6 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CX40 19484.370000 PA USD 19591.840000 0.0034979 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 2.36838 N N N N N N FANNIEMAE WHOLE LOAN 2003-W1 N/A 31392GVX0 108215.470000 PA USD 118390.490000 0.0211373 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 5.31283 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BW76 22469.560000 PA USD 23117.430000 0.0041274 Long ABS-MBS USGSE US N 2 2042-08-25 Floating 4.4568 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 156662.410000 PA USD 155216.740000 0.0277122 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 2.49525 N N N N N N FANNIEMAE WHOLE LOAN 2004-W15 N/A 31394BZ64 31158.400000 PA USD 35097.890000 0.0062663 Long ABS-MBS USGSE US N 2 2044-08-25 Fixed 6 N N N N N N FANNIEMAE WHOLE LOAN 2004-W2 N/A 31393XGQ4 7876.870000 PA USD 9036.300000 0.0016133 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 7 N N N N N N FANNIEMAE WHOLE LOAN 2005-W2 N/A 31394DJP6 13402.260000 PA USD 13378.710000 0.0023886 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 2.21838 N N N N N N FANNIEMAE WHOLE LOAN-2002-W4 N/A 31392DUF7 23190.290000 PA USD 26426.930000 0.0047182 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 6.25 N N N N N N FANNIEMAE WHOLE LOAN-2002-W4 N/A 31392DUA8 24300.290000 PA USD 28932.560000 0.0051656 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 7.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128NFLN5 50647.500000 PA USD 51425.920000 0.0091815 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 4.165 N N N N N N FHLMC PASS THRU POOLS N/A 3128JMNB9 1835.260000 PA USD 1930.190000 0.0003446 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.291 N N N N N N FHLMC PASS THRU POOLS N/A 3128JMN94 8508.800000 PA USD 8947.420000 0.0015975 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.105 N N N N N N FHLMC PASS THRU POOLS N/A 3128JNXL4 83785.600000 PA USD 83695.640000 0.0149429 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 4.557 N N N N N N FHLMC PASS THRU POOLS N/A 3128QPGM8 105996.500000 PA USD 106582.400000 0.0190291 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 4.511 N N N N N N FHLMC PASS THRU POOLS N/A 3128QPUG5 148550.510000 PA USD 149186.030000 0.0266355 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.79 N N N N N N FHLMC PASS THRU POOLS N/A 3128QPUK6 102901.800000 PA USD 104569.640000 0.0186697 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.29 N N N N N N FHLMC PASS THRU POOLS N/A 3128HLFR7 203298.960000 PA USD 213434.930000 0.0381064 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 4.75 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCB37 4418.820000 PA USD 4652.010000 0.0008306 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 4.861 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCCU6 20931.360000 PA USD 21702.960000 0.0038748 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.453 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCHJ6 126252.900000 PA USD 133103.400000 0.0237641 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 4.636 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCTE4 8300.850000 PA USD 8785.930000 0.0015686 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 4.679 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCYH1 14708.650000 PA USD 15601.720000 0.0027855 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.954 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCY40 16013.790000 PA USD 16923.150000 0.0030214 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.988 N N N N N N FHLMC PASS THRU POOLS N/A 3128NC2K9 107195.580000 PA USD 112926.150000 0.0201617 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 4.851 N N N N N N FHLMC PASS THRU POOLS N/A 3128NC6C3 102180.230000 PA USD 107427.330000 0.0191800 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.224 N N N N N N FHLMC PASS THRU POOLS N/A 3128NC6V1 28318.950000 PA USD 28853.350000 0.0051514 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 4.795 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJFP6 434.000000 PA USD 444.470000 0.0000794 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 4.36 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJUA2 4822.030000 PA USD 5112.960000 0.0009129 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 4.968 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJ4L7 2613.600000 PA USD 2748.530000 0.0004907 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.489 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJ5H5 5932.220000 PA USD 6203.650000 0.0011076 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.09 N N N N N N FHLMC PASS THRU POOLS N/A 3128QSLH7 79035.230000 PA USD 81355.720000 0.0145252 Long ABS-MBS USGSE US N 2 2037-08-01 Floating 4.71 N N N N N N FHLMC PASS THRU POOLS N/A 3128QS2Z8 25327.780000 PA USD 26593.930000 0.0047481 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 4.705 N N N N N N FHLMC PASS THRU POOLS N/A 3128NGBF1 3448.280000 PA USD 3645.100000 0.0006508 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 4.819 N N N N N N FHLMC PASS THRU POOLS N/A 3128NGC29 65492.980000 PA USD 69081.550000 0.0123337 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.743 N N N N N N FHLMC PASS THRU POOLS N/A 3128NGDQ5 2342.670000 PA USD 2466.920000 0.0004404 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.865 N N N N N N FHLMC PASS THRU POOLS N/A 3128NGRV9 4747.670000 PA USD 4936.220000 0.0008813 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 4.711 N N N N N N FHLMC PASS THRU POOLS N/A 3128QLQU8 22918.610000 PA USD 24270.690000 0.0043333 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.625 N N N N N N FHLMC PASS THRU POOLS N/A 3128QLRA1 23353.170000 PA USD 24666.590000 0.0044039 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.829 N N N N N N FHLMC PASS THRU POOLS N/A 3128QLRW3 4185.580000 PA USD 4426.940000 0.0007904 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 4.891 N N N N N N FHLMC PASS THRU POOLS N/A 3128QLTY7 272038.040000 PA USD 284738.240000 0.0508368 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 4.605 N N N N N N FHLMC PASS THRU POOLS N/A 3128QLU58 77790.380000 PA USD 79385.700000 0.0141734 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 4.54 N N N N N N FHLMC PASS THRU POOLS N/A 3128LUKS4 6318.290000 PA USD 6631.130000 0.0011839 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 4.741 N N N N N N FHLMC PASS THRU POOLS N/A 3128NKHZ2 237410.710000 PA USD 241791.600000 0.0431692 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 3.78 N N N N N N FHLMC PASS THRU POOLS N/A 3128NVLF7 3178.050000 PA USD 3354.130000 0.0005988 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.921 N N N N N N FHLMC PASS THRU POOLS N/A 3128NVMC3 6202.450000 PA USD 6556.850000 0.0011707 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 4.78 N N N N N N FHLMC PASS THRU POOLS N/A 3128Q2C92 61566.940000 PA USD 63813.820000 0.0113932 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.922 N N N N N N FHLMC PASS THRU POOLS N/A 3128Q2FY4 13199.560000 PA USD 13927.280000 0.0024866 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.353 N N N N N N FHLMC PASS THRU POOLS N/A 3128QGDW9 15181.430000 PA USD 15684.970000 0.0028004 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 4.123 N N N N N N FHLMC PASS THRU POOLS N/A 3128QGHT2 210229.990000 PA USD 210143.650000 0.0375188 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 4.365 N N N N N N FHLMC PASS THRU POOLS N/A 3128S4AA5 4089.780000 PA USD 4293.690000 0.0007666 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.546 N N N N N N FHLMC PASS THRU POOLS N/A 31346VHH5 22515.400000 PA USD 22272.950000 0.0039766 Long ABS-MBS USGSE US N 2 2030-01-01 Floating 2.345 N N N N N N FHLMC PASS THRU POOLS N/A 31348MWV5 130879.530000 PA USD 136583.770000 0.0243855 Long ABS-MBS USGSE US N 2 2030-09-01 Floating 3.476 N N N N N N FHLMC PASS THRU POOLS N/A 31348QFS2 34803.480000 PA USD 34529.580000 0.0061649 Long ABS-MBS USGSE US N 2 2024-12-01 Floating 2.448 N N N N N N FHLMC PASS THRU POOLS N/A 31348QFT0 13940.110000 PA USD 13911.170000 0.0024837 Long ABS-MBS USGSE US N 2 2024-11-01 Floating 2.781 N N N N N N FHLMC PASS THRU POOLS N/A 31342AB57 9528.060000 PA USD 10045.310000 0.0017935 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 4.865 N N N N N N FHLMC PASS THRU POOLS N/A 31342ASB6 1150.120000 PA USD 1217.580000 0.0002174 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 4.786 N N N N N N FHLMC PASS THRU POOLS N/A 31342AXG9 1708.370000 PA USD 1808.470000 0.0003229 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 4.695 N N N N N N FHLMC PASS THRU POOLS N/A 31342AYG8 7027.840000 PA USD 7099.790000 0.0012676 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 4.575 N N N N N N FHLMC PASS THRU POOLS N/A 31349SEZ2 78002.380000 PA USD 82097.700000 0.0146576 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 4.721 N N N N N N FHLMC PASS THRU POOLS N/A 31349SUX9 99400.080000 PA USD 104082.140000 0.0185827 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 4.872 N N N N N N FHLMC PASS THRU POOLS N/A 31349TVP3 135859.600000 PA USD 142884.230000 0.0255104 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 4.575 N N N N N N FHLMC PASS THRU POOLS N/A 31349TWL1 318.930000 PA USD 332.490000 0.0000594 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 4.725 N N N N N N FHLMC PASS THRU POOLS N/A 31349UB56 2246.470000 PA USD 2376.720000 0.0004243 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 4.532 N N N N N N FHLMC PASS THRU POOLS N/A 31349UJ66 95353.040000 PA USD 99790.180000 0.0178164 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 5.278 N N N N N N FHLMC PASS THRU POOLS N/A 31349UMJ4 50396.550000 PA USD 53089.720000 0.0094786 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 5.212 N N N N N N FHLMC PASS THRU POOLS N/A 31295KDH4 10754.760000 PA USD 10970.420000 0.0019586 Long ABS-MBS USGSE US N 2 2027-10-01 Floating 4.403 N N N N N N FHLMC PASS THRU POOLS N/A 31295KYU2 62452.920000 PA USD 63497.460000 0.0113368 Long ABS-MBS USGSE US N 2 2030-03-01 Floating 4.891 N N N N N N FHLMC PASS THRU POOLS N/A 31295NEY0 45658.100000 PA USD 47513.400000 0.0084830 Long ABS-MBS USGSE US N 2 2032-03-01 Floating 4.907 N N N N N N FHLMC PASS THRU POOLS N/A 31295NJV1 8567.050000 PA USD 8923.050000 0.0015931 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 4.75 N N N N N N FHLMC PASS THRU POOLS N/A 31295NLN6 121668.900000 PA USD 128853.540000 0.0230054 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 4.778 N N N N N N FHLMC PASS THRU POOLS N/A 31288VBR9 3455.220000 PA USD 3504.760000 0.0006257 Long ABS-MBS USGSE US N 2 2023-08-01 Floating 4.754 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDNX3 39915.580000 PA USD 40184.080000 0.0071744 Long ABS-MBS USGSE US N 2 2029-11-01 Floating 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDZB8 86799.500000 PA USD 90267.290000 0.0161162 Long ABS-MBS USGSE US N 2 2030-01-01 Floating 4.864 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRCM6 3761.350000 PA USD 3932.890000 0.0007022 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 4.992 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRHC3 8495.670000 PA USD 8924.560000 0.0015934 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 4.495 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRHJ8 15136.480000 PA USD 15463.590000 0.0027609 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.393 N N N N N N FHLMC PASS THRU POOLS N/A 31348UHU6 204853.250000 PA USD 205959.280000 0.0367717 Long ABS-MBS USGSE US N 2 2030-04-01 Floating 4.288 N N N N N N FHLMC PASS THRU POOLS N/A 31348ULR8 26976.150000 PA USD 27021.310000 0.0048244 Long ABS-MBS USGSE US N 2 2027-01-01 Floating 5.065 N N N N N N FHLMC PASS THRU POOLS N/A 31336CLF8 15671.470000 PA USD 16420.370000 0.0029317 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 4.35 N N N N N N FHLMC PASS THRU POOLS N/A 31336CLM3 29217.040000 PA USD 30765.440000 0.0054928 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 4.703 N N N N N N FHLMC PASS THRU POOLS N/A 31336CL35 63097.070000 PA USD 66264.440000 0.0118308 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 4.865 N N N N N N FHLMC PASS THRU POOLS N/A 31336CNW9 134507.640000 PA USD 138072.340000 0.0246513 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 4.78 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PE2 27510.530000 PA USD 31696.930000 0.0056591 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ3H1 11602833.010000 PA USD 11856950.830000 2.1169267 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ3R9 1737715.730000 PA USD 1773943.120000 0.3167178 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ4R8 430947.240000 PA USD 447604.350000 0.0799148 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ4U1 86928.180000 PA USD 88550.810000 0.0158098 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 31334XEQ8 2977781.330000 PA USD 3065928.180000 0.5473874 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31329QC66 468913.620000 PA USD 493364.360000 0.0880847 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5J63 437721.160000 PA USD 454379.570000 0.0811244 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5KB0 245644.630000 PA USD 254904.380000 0.0455103 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132ACYH7 255324.000000 PA USD 265633.260000 0.0474259 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132ADPD4 477827.480000 PA USD 496137.000000 0.0885797 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132AD3K2 948925.100000 PA USD 986056.830000 0.1760495 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-16 N/A 3133TKPF1 67355.170000 PA USD 69049.960000 0.0123281 Long ABS-MBS USGSE US N 2 2029-06-25 Floating 2.11838 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 213430.040000 PA USD 215362.760000 0.0384506 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 3.49173 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-32 N/A 3133TSQG1 372364.610000 PA USD 370973.310000 0.0662332 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 2.14838 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-35 N/A 313398VT3 217351.790000 PA USD 215297.580000 0.0384390 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 2.15838 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-56 N/A 31393RG38 964384.540000 PA USD 960720.750000 0.1715260 Long ABS-MBS USGSE US N 2 2043-05-25 Floating 2.41838 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A 31395A3J2 2477684.630000 PA USD 2558658.830000 0.4568201 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 3.84605 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 511556.080000 PA USD 517432.070000 0.0923817 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 3.64605 N N N N N N FIRST HORIZON ALT MTG SEC 2005-AA5 N/A 32051GPJ8 125467.940000 PA USD 102947.080000 0.0183801 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.25585 Y N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA2 N/A 32051D4S8 171011.130000 PA USD 172983.200000 0.0308842 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.42975 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2004-FL1 N/A 32051GDV4 82224.370000 PA USD 78631.270000 0.0140387 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.28838 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2004-FL1 N/A 32051GDX0 285028.550000 PA USD 274638.030000 0.0490336 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.52013 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2018-4 N/A 33845DAA9 2084430.990000 PA USD 2104298.540000 0.3756991 Long ABS-O CORP US N 2 2023-05-15 Fixed 3.41 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2019-1 N/A 33844RAA9 7371971.900000 PA USD 7445990.180000 1.3293987 Long ABS-O CORP US N 2 2023-08-15 Fixed 3.11 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2019-2 N/A 33845WAA7 2998086.450000 PA USD 3019762.020000 0.5391449 Long ABS-O CORP US N 2 2023-10-16 Fixed 2.83 N N N N N N FNMA PASS THRU POOLS N/A 31365WEP4 1297.920000 PA USD 1295.420000 0.0002313 Long ABS-MBS USGSE US N 2 2021-06-01 Floating 3.99 N N N N N N FNMA PASS THRU POOLS N/A 31366MKJ2 2333.340000 PA USD 2342.500000 0.0004182 Long ABS-MBS USGSE US N 2 2022-11-01 Floating 4.4 N N N N N N FNMA PASS THRU POOLS N/A 31371G3F5 4768.500000 PA USD 4786.670000 0.0008546 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31371HR75 40256.660000 PA USD 41990.540000 0.0074969 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 8 N N N N N N FNMA PASS THRU POOLS N/A 31371LK99 27381.860000 PA USD 28368.260000 0.0050648 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 4.75 N N N N N N FNMA PASS THRU POOLS N/A 31371LLA5 69698.100000 PA USD 73338.010000 0.0130937 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 4.726 N N N N N N FNMA PASS THRU POOLS N/A 31371L5U9 8947.500000 PA USD 9314.680000 0.0016630 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 4.75 N N N N N N FNMA PASS THRU POOLS N/A 31371MFZ5 29600.120000 PA USD 31213.260000 0.0055728 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.463 N N N N N N FNMA PASS THRU POOLS N/A 31371MGP6 60199.980000 PA USD 61009.720000 0.0108926 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MQL4 36952.320000 PA USD 39265.820000 0.0070105 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.775 N N N N N N FNMA PASS THRU POOLS N/A 31373NAU7 2322.920000 PA USD 2301.060000 0.0004108 Long ABS-MBS USGSE US N 2 2024-10-01 Floating 2.375 N N N N N N FNMA PASS THRU POOLS N/A 31373UJA6 1785.020000 PA USD 1817.610000 0.0003245 Long ABS-MBS USGSE US N 2 2024-08-01 Floating 3.615 N N N N N N FNMA PASS THRU POOLS N/A 31374GRC3 47198.880000 PA USD 48447.810000 0.0086498 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 3.329 N N N N N N FNMA PASS THRU POOLS N/A 31376PMV4 139142.430000 PA USD 143929.360000 0.0256970 Long ABS-MBS USGSE US N 2 2026-07-01 Floating 4.915 N N N N N N FNMA PASS THRU POOLS N/A 31378A3P9 95993.290000 PA USD 97806.490000 0.0174623 Long ABS-MBS USGSE US N 2 2026-11-01 Floating 4.402 N N N N N N FNMA PASS THRU POOLS N/A 31378C4V1 3796.250000 PA USD 3764.190000 0.0006721 Long ABS-MBS USGSE US N 2 2027-07-01 Floating 2.405 N N N N N N FNMA PASS THRU POOLS N/A 31378VKH2 8631.850000 PA USD 8701.390000 0.0015535 Long ABS-MBS USGSE US N 2 2027-06-01 Floating 4.615 N N N N N N FNMA PASS THRU POOLS N/A 31380GSD2 42909.750000 PA USD 44011.570000 0.0078578 Long ABS-MBS USGSE US N 2 2029-09-01 Floating 4.368 N N N N N N FNMA PASS THRU POOLS N/A 31381JRF1 208763.100000 PA USD 218290.030000 0.0389733 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 4.225 N N N N N N FNMA PASS THRU POOLS N/A 31381JRV6 71874.860000 PA USD 71837.240000 0.0128257 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 4.814 N N N N N N FNMA PASS THRU POOLS N/A 31381JU75 172266.550000 PA USD 177546.550000 0.0316990 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 5.072 N N N N N N FNMA PASS THRU POOLS N/A 31381R4L5 437004.980000 PA USD 498821.550000 0.0890590 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 4.766 N N N N N N FNMA PASS THRU POOLS N/A 31384QRC9 9946.060000 PA USD 10143.950000 0.0018111 Long ABS-MBS USGSE US N 2 2029-07-01 Floating 4.674 N N N N N N FNMA PASS THRU POOLS N/A 31384VYH9 12037.890000 PA USD 12150.390000 0.0021693 Long ABS-MBS USGSE US N 2 2030-06-01 Floating 4.757 N N N N N N FNMA PASS THRU POOLS N/A 31384WE71 166667.070000 PA USD 171183.790000 0.0305630 Long ABS-MBS USGSE US N 2 2030-03-01 Floating 4.515 N N N N N N FNMA PASS THRU POOLS N/A 31385CDK6 16802.370000 PA USD 16896.680000 0.0030167 Long ABS-MBS USGSE US N 2 2030-05-01 Floating 4.4 N N N N N N FNMA PASS THRU POOLS N/A 31385HN32 31052.840000 PA USD 32543.280000 0.0058102 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.113 N N N N N N FNMA PASS THRU POOLS N/A 31385HU59 87730.250000 PA USD 88536.980000 0.0158073 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 3.495 N N N N N N FNMA PASS THRU POOLS N/A 31385HZV7 19609.290000 PA USD 20614.030000 0.0036804 Long ABS-MBS USGSE US N 2 2031-11-01 Floating 4.55 N N N N N N FNMA PASS THRU POOLS N/A 31385WTG4 8703.680000 PA USD 9132.150000 0.0016304 Long ABS-MBS USGSE US N 2 2032-11-01 Floating 3.953 N N N N N N FNMA PASS THRU POOLS N/A 31385WXC8 9482.960000 PA USD 9867.310000 0.0017617 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 4.742 N N N N N N FNMA PASS THRU POOLS N/A 31385WXE4 4129.460000 PA USD 4289.270000 0.0007658 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 4.744 N N N N N N FNMA PASS THRU POOLS N/A 31385WZU6 183836.600000 PA USD 193525.860000 0.0345519 Long ABS-MBS USGSE US N 2 2040-04-01 Floating 4.549 N N N N N N FNMA PASS THRU POOLS N/A 31385XCM7 945.100000 PA USD 998.650000 0.0001783 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 4.744 N N N N N N FNMA PASS THRU POOLS N/A 31386C2X9 3256.010000 PA USD 3233.740000 0.0005773 Long ABS-MBS USGSE US N 2 2040-09-01 Floating 3.847 N N N N N N FNMA PASS THRU POOLS N/A 31386G7J6 3765.360000 PA USD 3722.860000 0.0006647 Long ABS-MBS USGSE US N 2 2040-11-01 Floating 2.405 N N N N N N FNMA PASS THRU POOLS N/A 31386QEQ0 2355.740000 PA USD 2322.820000 0.0004147 Long ABS-MBS USGSE US N 2 2031-01-01 Floating 2.405 N N N N N N FNMA PASS THRU POOLS N/A 31387UEQ0 2535.600000 PA USD 2570.790000 0.0004590 Long ABS-MBS USGSE US N 2 2030-12-01 Floating 4.763 N N N N N N FNMA PASS THRU POOLS N/A 31387UES6 1544.520000 PA USD 1565.370000 0.0002795 Long ABS-MBS USGSE US N 2 2030-06-01 Floating 4.407 N N N N N N FNMA PASS THRU POOLS N/A 31389AZC0 1551.980000 PA USD 1552.460000 0.0002772 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.405 N N N N N N FNMA PASS THRU POOLS N/A 31389AZG1 442.460000 PA USD 440.250000 0.0000786 Long ABS-MBS USGSE US N 2 2022-07-01 Floating 2.394 N N N N N N FNMA PASS THRU POOLS N/A 31389AZQ9 3260.960000 PA USD 3213.680000 0.0005738 Long ABS-MBS USGSE US N 2 2032-08-01 Floating 2.394 N N N N N N FNMA PASS THRU POOLS N/A 31389AZ22 4274.970000 PA USD 4237.340000 0.0007565 Long ABS-MBS USGSE US N 2 2027-11-01 Floating 2.405 N N N N N N FNMA PASS THRU POOLS N/A 31389AZ55 6186.980000 PA USD 6145.380000 0.0010972 Long ABS-MBS USGSE US N 2 2038-01-01 Floating 2.405 N N N N N N FNMA PASS THRU POOLS N/A 31389F3V2 29376.050000 PA USD 30155.860000 0.0053840 Long ABS-MBS USGSE US N 2 2028-04-01 Floating 3.997 N N N N N N FNMA PASS THRU POOLS N/A 31389GYC8 8021.020000 PA USD 8285.170000 0.0014792 Long ABS-MBS USGSE US N 2 2032-02-01 Floating 4.504 N N N N N N FNMA PASS THRU POOLS N/A 31389L4R7 48758.090000 PA USD 49005.140000 0.0087493 Long ABS-MBS USGSE US N 2 2032-05-01 Floating 4.75 N N N N N N FNMA PASS THRU POOLS N/A 31390NJT0 3205.900000 PA USD 3158.500000 0.0005639 Long ABS-MBS USGSE US N 2 2032-06-01 Floating 2.405 N N N N N N FNMA PASS THRU POOLS N/A 31390Q3F0 41015.400000 PA USD 41299.280000 0.0073735 Long ABS-MBS USGSE US N 2 2032-10-01 Floating 3.715 N N N N N N FNMA PASS THRU POOLS N/A 31390RUZ4 3863.590000 PA USD 3932.760000 0.0007022 Long ABS-MBS USGSE US N 2 2032-09-01 Floating 4.275 N N N N N N FNMA PASS THRU POOLS N/A 31390RWU3 14987.050000 PA USD 15232.810000 0.0027196 Long ABS-MBS USGSE US N 2 2032-10-01 Floating 3.665 N N N N N N FNMA PASS THRU POOLS N/A 31390STH4 62883.260000 PA USD 64178.330000 0.0114583 Long ABS-MBS USGSE US N 2 2042-07-01 Floating 3.647 N N N N N N FNMA PASS THRU POOLS N/A 31390S3K5 33242.100000 PA USD 34687.470000 0.0061931 Long ABS-MBS USGSE US N 2 2032-05-01 Floating 3.834 N N N N N N FNMA PASS THRU POOLS N/A 31390WRA2 24116.210000 PA USD 24827.830000 0.0044327 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 3.765 N N N N N N FNMA PASS THRU POOLS N/A 31391MFS7 30292.770000 PA USD 31868.830000 0.0056898 Long ABS-MBS USGSE US N 2 2032-11-01 Floating 4.775 N N N N N N FNMA PASS THRU POOLS N/A 31391MKY8 17242.420000 PA USD 17933.570000 0.0032018 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 4.04 N N N N N N FNMA PASS THRU POOLS N/A 31391MLM3 3391.150000 PA USD 3493.340000 0.0006237 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 4.9 N N N N N N FNMA PASS THRU POOLS N/A 31391XDM8 22817.760000 PA USD 23267.930000 0.0041542 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 3.697 N N N N N N FNMA PASS THRU POOLS N/A 31400AMS4 4864.430000 PA USD 5111.640000 0.0009126 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 4.339 N N N N N N FNMA PASS THRU POOLS N/A 31400ANH7 19724.000000 PA USD 20345.740000 0.0036325 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 4.75 N N N N N N FNMA PASS THRU POOLS N/A 31400HFH1 4105.950000 PA USD 4287.600000 0.0007655 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 4.7 N N N N N N FNMA PASS THRU POOLS N/A 31400H5W9 75364.110000 PA USD 75918.370000 0.0135544 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 4.808 N N N N N N FNMA PASS THRU POOLS N/A 31400KBW5 2832.690000 PA USD 2956.880000 0.0005279 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 3.95 N N N N N N FNMA PASS THRU POOLS N/A 31400QX81 11393.280000 PA USD 11922.220000 0.0021286 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 4.628 N N N N N N FNMA PASS THRU POOLS N/A 31400SJE0 37312.260000 PA USD 38589.620000 0.0068897 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 3.663 N N N N N N FNMA PASS THRU POOLS N/A 31400SJN0 92670.540000 PA USD 94493.210000 0.0168707 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 4.078 N N N N N N FNMA PASS THRU POOLS N/A 31400YDR4 10666.680000 PA USD 11059.920000 0.0019746 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 4.58 N N N N N N FNMA PASS THRU POOLS N/A 31401CCQ4 8080.090000 PA USD 8495.860000 0.0015168 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 4.402 N N N N N N FNMA PASS THRU POOLS N/A 31401G4N1 36575.970000 PA USD 37975.520000 0.0067801 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 4.27 N N N N N N FNMA PASS THRU POOLS N/A 31401L6D0 27774.620000 PA USD 28911.270000 0.0051618 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 4.753 N N N N N N FNMA PASS THRU POOLS N/A 31401YR31 204500.710000 PA USD 204520.670000 0.0365149 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 3.929 N N N N N N FNMA PASS THRU POOLS N/A 31401Y6R1 60494.030000 PA USD 62057.270000 0.0110796 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 3.663 N N N N N N FNMA PASS THRU POOLS N/A 31402CN65 109748.460000 PA USD 109621.630000 0.0195717 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 5.23 N N N N N N FNMA PASS THRU POOLS N/A 31402CUL4 3457.890000 PA USD 3639.380000 0.0006498 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 4.559 N N N N N N FNMA PASS THRU POOLS N/A 31402CVD1 29986.020000 PA USD 31958.380000 0.0057058 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 4.869 N N N N N N FNMA PASS THRU POOLS N/A 31402DKS8 28187.290000 PA USD 29117.170000 0.0051985 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 4.087 N N N N N N FNMA PASS THRU POOLS N/A 31402DLH1 19660.880000 PA USD 20159.430000 0.0035992 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 3.938 N N N N N N FNMA PASS THRU POOLS N/A 31402DLJ7 6466.860000 PA USD 6821.570000 0.0012179 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 4.875 N N N N N N FNMA PASS THRU POOLS N/A 31402DRT9 3449.070000 PA USD 3599.920000 0.0006427 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.415 N N N N N N FNMA PASS THRU POOLS N/A 31402LCR1 83383.860000 PA USD 87970.660000 0.0157062 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 4.308 N N N N N N FNMA PASS THRU POOLS N/A 31402QUH2 40381.680000 PA USD 42316.040000 0.0075551 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 4.549 N N N N N N FNMA PASS THRU POOLS N/A 31402QX48 26969.410000 PA USD 28230.550000 0.0050403 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 4.543 N N N N N N FNMA PASS THRU POOLS N/A 31402RBC2 11715.710000 PA USD 12395.400000 0.0022131 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.716 N N N N N N FNMA PASS THRU POOLS N/A 31402RPT0 67968.150000 PA USD 68998.600000 0.0123189 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 3.525 N N N N N N FNMA PASS THRU POOLS N/A 31402RTV1 14963.330000 PA USD 15757.800000 0.0028134 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 4.128 N N N N N N FNMA PASS THRU POOLS N/A 31402RTX7 20711.820000 PA USD 21050.730000 0.0037584 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 4.703 N N N N N N FNMA PASS THRU POOLS N/A 31402TAD7 1149.120000 PA USD 1210.800000 0.0002162 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 3.989 N N N N N N FNMA PASS THRU POOLS N/A 31402TLV5 10238.180000 PA USD 10561.700000 0.0018857 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 3.802 N N N N N N FNMA PASS THRU POOLS N/A 31402TQD0 125752.250000 PA USD 130480.660000 0.0232959 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 3.718 N N N N N N FNMA PASS THRU POOLS N/A 31402W5X2 115296.300000 PA USD 118943.460000 0.0212360 Long ABS-MBS USGSE US N 2 2028-08-01 Floating 3.598 N N N N N N FNMA PASS THRU POOLS N/A 31402XBT2 141653.020000 PA USD 145436.350000 0.0259660 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 3.91 N N N N N N FNMA PASS THRU POOLS N/A 31403A5J0 27580.800000 PA USD 28942.270000 0.0051673 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 4.005 N N N N N N FNMA PASS THRU POOLS N/A 31403CWW7 75649.650000 PA USD 79464.620000 0.0141875 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.654 N N N N N N FNMA PASS THRU POOLS N/A 31403CZ87 1579.710000 PA USD 1657.130000 0.0002959 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.656 N N N N N N FNMA PASS THRU POOLS N/A 31403DLG2 859.420000 PA USD 905.150000 0.0001616 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 4.525 N N N N N N FNMA PASS THRU POOLS N/A 31403DUV9 1135.810000 PA USD 1183.650000 0.0002113 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 4.301 N N N N N N FNMA PASS THRU POOLS N/A 31403EJX6 7989.650000 PA USD 8251.730000 0.0014733 Long ABS-MBS USGSE US N 2 2043-10-01 Floating 4.115 N N N N N N FNMA PASS THRU POOLS N/A 31403EJ24 106821.050000 PA USD 109484.670000 0.0195473 Long ABS-MBS USGSE US N 2 2043-11-01 Floating 4.635 N N N N N N FNMA PASS THRU POOLS N/A 31403GCN0 19967.960000 PA USD 20844.190000 0.0037215 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 4.361 N N N N N N FNMA PASS THRU POOLS N/A 31403GDA7 157347.900000 PA USD 165754.040000 0.0295935 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 4.464 N N N N N N FNMA PASS THRU POOLS N/A 31403GWC2 38363.320000 PA USD 39659.970000 0.0070808 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 3.862 N N N N N N FNMA PASS THRU POOLS N/A 31403GZT2 19146.890000 PA USD 19164.190000 0.0034216 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31403H3P3 20631.600000 PA USD 21640.260000 0.0038636 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 4.457 N N N N N N FNMA PASS THRU POOLS N/A 31403KDN0 99515.840000 PA USD 103689.090000 0.0185125 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 3.883 N N N N N N FNMA PASS THRU POOLS N/A 31403NSL2 135567.350000 PA USD 141702.510000 0.0252994 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 4.17 N N N N N N FNMA PASS THRU POOLS N/A 31404AUB8 110364.140000 PA USD 113964.770000 0.0203471 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 4.759 N N N N N N FNMA PASS THRU POOLS N/A 31404CGB0 248454.830000 PA USD 257835.770000 0.0460337 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 3.768 N N N N N N FNMA PASS THRU POOLS N/A 31404ECQ7 147870.510000 PA USD 156293.850000 0.0279045 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 4.735 N N N N N N FNMA PASS THRU POOLS N/A 31404EQE9 12603.200000 PA USD 12655.380000 0.0022595 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 4.78 N N N N N N FNMA PASS THRU POOLS N/A 31404GV40 1971.340000 PA USD 2070.820000 0.0003697 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 4.715 N N N N N N FNMA PASS THRU POOLS N/A 31404JS97 29308.580000 PA USD 30355.060000 0.0054196 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 4.726 N N N N N N FNMA PASS THRU POOLS N/A 31404J2J3 19030.520000 PA USD 19768.900000 0.0035295 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 4.376 N N N N N N FNMA PASS THRU POOLS N/A 31404MPT9 156605.970000 PA USD 162569.350000 0.0290249 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 4.774 N N N N N N FNMA PASS THRU POOLS N/A 31404Q5M7 75773.980000 PA USD 77464.790000 0.0138305 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 3.647 N N N N N N FNMA PASS THRU POOLS N/A 31404SCY9 119491.450000 PA USD 125379.710000 0.0223852 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 4.331 N N N N N N FNMA PASS THRU POOLS N/A 31404WPZ3 1877.530000 PA USD 1992.820000 0.0003558 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 4.625 N N N N N N FNMA PASS THRU POOLS N/A 31404XJD7 14461.490000 PA USD 15174.300000 0.0027092 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 4.401 N N N N N N FNMA PASS THRU POOLS N/A 31405ARU9 19863.330000 PA USD 20962.580000 0.0037426 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.767 N N N N N N FNMA PASS THRU POOLS N/A 31405ARX3 1234.890000 PA USD 1282.900000 0.0002290 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.96 N N N N N N FNMA PASS THRU POOLS N/A 31405DVG9 54373.560000 PA USD 57670.890000 0.0102965 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 4.143 N N N N N N FNMA PASS THRU POOLS N/A 31405GQ37 21600.940000 PA USD 22528.680000 0.0040222 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 4.445 N N N N N N FNMA PASS THRU POOLS N/A 31405MA23 96814.080000 PA USD 100322.280000 0.0179114 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 4.102 N N N N N N FNMA PASS THRU POOLS N/A 31405MA56 107281.830000 PA USD 111124.540000 0.0198401 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 4.155 N N N N N N FNMA PASS THRU POOLS N/A 31405PD98 126924.720000 PA USD 130088.140000 0.0232258 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 4.59 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 267854.410000 PA USD 273842.710000 0.0488916 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 3.647 N N N N N N FNMA PASS THRU POOLS N/A 31405ULQ0 10291.010000 PA USD 10782.370000 0.0019251 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.507 N N N N N N FNMA PASS THRU POOLS N/A 31405U6G9 9390.000000 PA USD 9731.790000 0.0017375 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 4.287 N N N N N N FNMA PASS THRU POOLS N/A 31406AV66 34500.120000 PA USD 36536.370000 0.0065232 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 4.575 N N N N N N FNMA PASS THRU POOLS N/A 31406DG67 23845.840000 PA USD 24888.940000 0.0044436 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.466 N N N N N N FNMA PASS THRU POOLS N/A 31406DJP2 47300.280000 PA USD 49151.570000 0.0087755 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.464 N N N N N N FNMA PASS THRU POOLS N/A 31406GD55 10390.940000 PA USD 10720.690000 0.0019141 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.429 N N N N N N FNMA PASS THRU POOLS N/A 31406H3D7 52553.570000 PA USD 54348.360000 0.0097033 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 4.095 N N N N N N FNMA PASS THRU POOLS N/A 31406KA26 12441.260000 PA USD 13200.910000 0.0023569 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.945 N N N N N N FNMA PASS THRU POOLS N/A 31406L2T4 1364.870000 PA USD 1375.100000 0.0002455 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.8 N N N N N N FNMA PASS THRU POOLS N/A 31406L3G1 190007.720000 PA USD 201141.600000 0.0359116 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.795 N N N N N N FNMA PASS THRU POOLS N/A 31406MEP7 2880.070000 PA USD 2973.470000 0.0005309 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 4.011 N N N N N N FNMA PASS THRU POOLS N/A 31406MER3 16761.240000 PA USD 17349.870000 0.0030976 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 4.106 N N N N N N FNMA PASS THRU POOLS N/A 31406NL93 5326.480000 PA USD 5579.820000 0.0009962 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.416 N N N N N N FNMA PASS THRU POOLS N/A 31406PBQ1 96115.040000 PA USD 97900.080000 0.0174790 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.659 N N N N N N FNMA PASS THRU POOLS N/A 31406PD63 3682.420000 PA USD 3694.480000 0.0006596 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.773 N N N N N N FNMA PASS THRU POOLS N/A 31406P4P1 97542.150000 PA USD 99253.770000 0.0177207 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 4.09 N N N N N N FNMA PASS THRU POOLS N/A 31406QGB7 41848.080000 PA USD 43271.070000 0.0077256 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 3.958 N N N N N N FNMA PASS THRU POOLS N/A 31406Q7B7 73019.760000 PA USD 76141.990000 0.0135943 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 4.032 N N N N N N FNMA PASS THRU POOLS N/A 31406VBG0 104306.040000 PA USD 104894.370000 0.0187277 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.9 N N N N N N FNMA PASS THRU POOLS N/A 31406WEF7 11208.700000 PA USD 11762.020000 0.0021000 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 4.384 N N N N N N FNMA PASS THRU POOLS N/A 31406XWR9 29449.250000 PA USD 30819.130000 0.0055024 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.365 N N N N N N FNMA PASS THRU POOLS N/A 31406X7H9 95443.590000 PA USD 97363.940000 0.0173832 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 4.565 N N N N N N FNMA PASS THRU POOLS N/A 31406YTJ9 192869.910000 PA USD 195095.960000 0.0348322 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 4.774 N N N N N N FNMA PASS THRU POOLS N/A 31407ANB3 40873.230000 PA USD 42062.340000 0.0075098 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 4.458 N N N N N N FNMA PASS THRU POOLS N/A 31407A7K1 22260.420000 PA USD 23495.930000 0.0041949 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.598 N N N N N N FNMA PASS THRU POOLS N/A 31407CD95 1199.770000 PA USD 1258.910000 0.0002248 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.352 N N N N N N FNMA PASS THRU POOLS N/A 31407CEH6 7613.620000 PA USD 7999.920000 0.0014283 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.325 N N N N N N FNMA PASS THRU POOLS N/A 31407EV42 203384.740000 PA USD 209682.380000 0.0374365 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 4.216 N N N N N N FNMA PASS THRU POOLS N/A 31407EZG1 147782.480000 PA USD 155901.460000 0.0278345 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.005 N N N N N N FNMA PASS THRU POOLS N/A 31407EZZ9 36559.560000 PA USD 37955.160000 0.0067765 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 3.978 N N N N N N FNMA PASS THRU POOLS N/A 31407JXG2 113137.410000 PA USD 119164.430000 0.0212755 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.055 N N N N N N FNMA PASS THRU POOLS N/A 31407K6Q7 82129.990000 PA USD 88536.960000 0.0158073 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.819 N N N N N N FNMA PASS THRU POOLS N/A 31407MSF3 13576.040000 PA USD 14078.660000 0.0025136 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.127 N N N N N N FNMA PASS THRU POOLS N/A 31407MSU0 10827.590000 PA USD 11203.840000 0.0020003 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.134 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 9237.840000 PA USD 9804.260000 0.0017504 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.708 N N N N N N FNMA PASS THRU POOLS N/A 31407XWM9 12976.560000 PA USD 13636.100000 0.0024346 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 4.344 N N N N N N FNMA PASS THRU POOLS N/A 31407X3X7 26408.800000 PA USD 27131.060000 0.0048439 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 4.385 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 25300.720000 PA USD 26421.300000 0.0047172 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 4.234 N N N N N N FNMA PASS THRU POOLS N/A 31408BQ50 12125.900000 PA USD 12305.770000 0.0021971 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 4.737 N N N N N N FNMA PASS THRU POOLS N/A 31408FPH6 35090.880000 PA USD 36748.710000 0.0065611 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.21 N N N N N N FNMA PASS THRU POOLS N/A 31408GJF5 15909.260000 PA USD 16728.050000 0.0029866 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 4.616 N N N N N N FNMA PASS THRU POOLS N/A 31408JAX9 5525.040000 PA USD 5795.980000 0.0010348 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.942 N N N N N N FNMA PASS THRU POOLS N/A 31408XS68 2708.470000 PA USD 2844.250000 0.0005078 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 4.634 N N N N N N FNMA PASS THRU POOLS N/A 31409D6U2 56781.330000 PA USD 57138.290000 0.0102014 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 4.795 N N N N N N FNMA PASS THRU POOLS N/A 31409FVH8 188481.280000 PA USD 198460.700000 0.0354330 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.781 N N N N N N FNMA PASS THRU POOLS N/A 31409GR32 89371.900000 PA USD 93601.400000 0.0167115 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 4.409 N N N N N N FNMA PASS THRU POOLS N/A 31409JLH1 50383.030000 PA USD 53039.680000 0.0094696 Long ABS-MBS USGSE US N 2 2036-06-01 Floating 4.67 N N N N N N FNMA PASS THRU POOLS N/A 31409UUP8 58423.810000 PA USD 61358.040000 0.0109548 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.514 N N N N N N FNMA PASS THRU POOLS N/A 31409U6W0 186726.710000 PA USD 191256.130000 0.0341467 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 4.73 N N N N N N FNMA PASS THRU POOLS N/A 31409XDV8 161743.710000 PA USD 169723.680000 0.0303023 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.81 N N N N N N FNMA PASS THRU POOLS N/A 31409X2M0 210521.760000 PA USD 208046.680000 0.0371444 Long ABS-MBS USGSE US N 2 2024-09-01 Floating 6.209 N N N N N N FNMA PASS THRU POOLS N/A 31410FWC5 1958.900000 PA USD 2052.490000 0.0003664 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 4.614 N N N N N N FNMA PASS THRU POOLS N/A 31410F3M5 3365.230000 PA USD 3376.480000 0.0006028 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 4.007 N N N N N N FNMA PASS THRU POOLS N/A 31410GDL4 29626.460000 PA USD 31154.110000 0.0055622 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.827 N N N N N N FNMA PASS THRU POOLS N/A 31410GEU3 21244.640000 PA USD 22153.610000 0.0039553 Long ABS-MBS USGSE US N 2 2037-06-01 Floating 4.564 N N N N N N FNMA PASS THRU POOLS N/A 31410GG56 41365.550000 PA USD 43149.800000 0.0077039 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 4.291 N N N N N N FNMA PASS THRU POOLS N/A 31410UGH9 150997.420000 PA USD 153963.170000 0.0274884 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 4 N N N N N N FNMA PASS THRU POOLS N/A 31411DCZ0 6819.340000 PA USD 7179.030000 0.0012817 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 4.621 N N N N N N FNMA PASS THRU POOLS N/A 31411N6Y8 193712.060000 PA USD 199097.980000 0.0355467 Long ABS-MBS USGSE US N 2 2037-05-01 Floating 4.797 N N N N N N FNMA PASS THRU POOLS N/A 31411SM86 26560.400000 PA USD 27507.370000 0.0049111 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 3.88 N N N N N N FNMA PASS THRU POOLS N/A 31412YTJ1 341330.480000 PA USD 356188.170000 0.0635934 Long ABS-MBS USGSE US N 2 2037-08-01 Floating 4.565 N N N N N N FNMA PASS THRU POOLS N/A 31413BD65 86571.030000 PA USD 87276.830000 0.0155823 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.62 N N N N N N FNMA PASS THRU POOLS N/A 31413BEG2 179224.240000 PA USD 182323.810000 0.0325519 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 4.62 N N N N N N FNMA PASS THRU POOLS N/A 31413FYF3 63521.360000 PA USD 67321.810000 0.0120196 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 4.618 N N N N N N FNMA PASS THRU POOLS N/A 31413YWD9 121157.740000 PA USD 122228.310000 0.0218225 Long ABS-MBS USGSE US N 2 2047-11-01 Floating 4.7 N N N N N N FNMA PASS THRU POOLS N/A 31415XZQ7 118527.700000 PA USD 124173.600000 0.0221698 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.087 N N N N N N FNMA PASS THRU POOLS N/A 3138L5P95 113822.690000 PA USD 125622.530000 0.0224285 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 3.855 N N N N N N FNMA PASS THRU POOLS N/A 3138L6BR8 444623.830000 PA USD 506198.260000 0.0903761 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 4.06 N N N N N N FNMA PASS THRU POOLS N/A 3138W9B74 141110.230000 PA USD 144972.820000 0.0258833 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138WDD65 1849939.380000 PA USD 1932157.990000 0.3449653 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138YEGY7 233098.760000 PA USD 239483.810000 0.0427572 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140H3W85 27963.860000 PA USD 29423.000000 0.0052531 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H3YY6 62197.580000 PA USD 65443.020000 0.0116841 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HBJA7 3547033.260000 PA USD 3696117.230000 0.6599006 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J9UZ2 880313.820000 PA USD 926218.370000 0.1653660 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JANZ7 937483.970000 PA USD 967628.050000 0.1727592 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 4505478.870000 PA USD 4667036.330000 0.8332474 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CZH0 479081.360000 PA USD 497435.530000 0.0888116 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CZ98 1000000.030000 PA USD 1041236.610000 0.1859012 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418C3D4 499596.860000 PA USD 520163.630000 0.0928694 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418C4E1 461601.180000 PA USD 473684.710000 0.0845711 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418C4W1 427334.060000 PA USD 444388.580000 0.0793406 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4 N N N N N N FORD CREDIT AUTO OWNER TRUST 2015-1 N/A 34530RAA6 5500000.000000 PA USD 5498086.550000 0.9816222 Long ABS-O CORP US N 2 2026-07-15 Fixed 2.12 N N N N N N FREDDIE MAC 1256 N/A 312909D84 1851.860000 PA USD 1857.820000 0.0003317 Long ABS-MBS USGSE US N 2 2022-04-15 Floating 2.7275 N N N N N N FREDDIE MAC 1363 N/A 312911YJ3 17231.550000 PA USD 17318.820000 0.0030921 Long ABS-MBS USGSE US N 2 2022-08-15 Floating 2.6275 N N N N N N FREDDIE MAC 1885 N/A 3133T83D7 17464.360000 PA USD 17531.700000 0.0031301 Long ABS-MBS USGSE US N 2 2026-09-15 Floating 2.4775 N N N N N N FREDDIE MAC 1900 N/A 3133T8EM5 2796.640000 PA USD 2633.310000 0.0004701 Long ABS-MBS USGSE US N 2 2023-05-15 Floating 2.5275 N N N N N N FREDDIE MAC 1968 N/A 3133TAC42 33497.250000 PA USD 33673.340000 0.0060120 Long ABS-MBS USGSE US N 2 2026-10-15 Floating 2.5275 N N N N N N FREDDIE MAC 1980 N/A 3133TAG22 21970.420000 PA USD 24745.730000 0.0044181 Long ABS-MBS USGSE US N 2 2027-07-15 Fixed 7 N N N N N N FREDDIE MAC 204 N/A 3129087D2 1083.950000 PA USD 1084.100000 0.0001936 Long ABS-MBS USGSE US N 2 2023-05-15 Floating 2.5275 N N N N N N FREDDIE MAC 2115 N/A 3133THXQ5 3003.760000 PA USD 3243.850000 0.0005792 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 6 N N N N N N FREDDIE MAC 2129 N/A 3133TJFT5 7559.620000 PA USD 7557.560000 0.0013493 Long ABS-MBS USGSE US N 2 2029-02-15 Floating 2.3775 N N N N N N FREDDIE MAC 2395 N/A 31339LN71 46783.270000 PA USD 47233.910000 0.0084331 Long ABS-MBS USGSE US N 2 2029-06-15 Floating 2.6275 N N N N N N FREDDIE MAC 2400 N/A 31339NC79 9024.630000 PA USD 9070.090000 0.0016194 Long ABS-MBS USGSE US N 2 2032-01-15 Floating 2.5275 N N N N N N FREDDIE MAC 2413 N/A 31339NE85 39946.200000 PA USD 39463.760000 0.0070458 Long ABS-MBS USGSE US N 2 2032-02-15 Floating 2.5775 N N N N N N FREDDIE MAC 2417 N/A 31339D7C6 18202.800000 PA USD 18006.900000 0.0032149 Long ABS-MBS USGSE US N 2 2031-12-15 Floating 2.6275 N N N N N N FREDDIE MAC 2451 N/A 31392KGB6 10199.800000 PA USD 10297.080000 0.0018384 Long ABS-MBS USGSE US N 2 2032-03-15 Floating 2.5775 N N N N N N FREDDIE MAC 2490 N/A 31392RUA7 33266.500000 PA USD 33352.270000 0.0059547 Long ABS-MBS USGSE US N 2 2026-07-15 Floating 2.4275 N N N N N N FREDDIE MAC 2509 N/A 31392WJU5 9262.400000 PA USD 10194.990000 0.0018202 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 5.5 N N N N N N FREDDIE MAC 2525 N/A 31392XUX4 248664.850000 PA USD 270275.860000 0.0482547 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 4.5 N N N N N N FREDDIE MAC 2526 N/A 31393FGG5 21036.900000 PA USD 21110.350000 0.0037690 Long ABS-MBS USGSE US N 2 2032-11-15 Floating 2.4275 N N N N N N FREDDIE MAC 2557 N/A 31393JPL6 44788.740000 PA USD 43584.880000 0.0077816 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 2.4275 N N N N N N FREDDIE MAC 2559 N/A 31393HM41 56.510000 PA USD 56.680000 0.0000101 Long ABS-MBS USGSE US N 2 2030-08-15 Fixed 5.5 N N N N N N FREDDIE MAC 3134 N/A 31396J4X0 2875.920000 PA USD 2867.280000 0.0005119 Long ABS-MBS USGSE US N 2 2036-03-15 Floating 2.3275 N N N N N N FREDDIE MAC-1166 N/A 312907UE6 8478.550000 PA USD 8801.520000 0.0015714 Long ABS-MBS USGSE US N 2 2021-11-15 Fixed 8.5 N N N N N N FREDDIE MAC-121 N/A 312903NJ2 103.810000 PA USD 103.960000 0.0000186 Long ABS-MBS USGSE US N 2 2021-03-15 Fixed 4.5 N N N N N N FREDDIE MAC-1396 N/A 312912D47 15826.940000 PA USD 16569.520000 0.0029583 Long ABS-MBS USGSE US N 2 2022-10-15 Fixed 7 N N N N N N FREDDIE MAC-1482 N/A 312914V43 24530.300000 PA USD 24672.470000 0.0044050 Long ABS-MBS USGSE US N 2 2023-03-15 Floating 2.79513 N N N N N N FREDDIE MAC-1628 N/A 3133T3KF4 2678.460000 PA USD 2828.930000 0.0005051 Long ABS-MBS USGSE US N 2 2023-12-15 Fixed 6.25 N N N N N N FREDDIE MAC-1644 N/A 3133T3CJ5 38466.350000 PA USD 38681.950000 0.0069062 Long ABS-MBS USGSE US N 2 2023-12-15 Floating 2.5275 N N N N N N FREDDIE MAC-1691 N/A 3133T4GV2 45520.620000 PA USD 45648.460000 0.0081500 Long ABS-MBS USGSE US N 2 2024-03-15 Floating 2.4775 N N N N N N FREDDIE MAC-2130 N/A 3133TJN58 28320.630000 PA USD 28307.480000 0.0050540 Long ABS-MBS USGSE US N 2 2029-03-15 Floating 2.3775 N N N N N N FREDDIE MAC-2177 N/A 3133TLPF9 30080.700000 PA USD 29918.460000 0.0053416 Long ABS-MBS USGSE US N 2 2029-08-15 Floating 2.4775 N N N N N N FREDDIE MAC-2177 N/A 3133TLPG7 46720.500000 PA USD 47044.160000 0.0083992 Long ABS-MBS USGSE US N 2 2029-08-15 Floating 2.5775 N N N N N N FREMONT HOME LOAN TRUST 2005-1 N/A 35729PJE1 258773.260000 PA USD 260205.260000 0.0464568 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.03838 N N N N N N GLS AUTO RECEIVABLES TRUST 2018-2A N/A 36249EAA2 2314096.160000 PA USD 2320446.500000 0.4142899 Long ABS-O CORP US N 2 2022-04-18 Fixed 3.25 N N N N N N GLS AUTO RECEIVABLES TRUST 2019-1A N/A 36256DAA4 1474859.460000 PA USD 1486666.890000 0.2654278 Long ABS-O CORP US N 2 2023-01-17 Fixed 3.37 N N N N N N GLS AUTO RECEIVABLES TRUST 2019-2A N/A 36257NAA1 25013331.610000 PA USD 25169982.600000 4.4938205 Long ABS-O CORP US N 2 2023-04-17 Fixed 3.06 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2005-AR6 N/A 36185MBL5 130007.770000 PA USD 125381.310000 0.0223854 Long ABS-MBS CORP US N 2 2035-11-19 Floating 4.03639 Y N N N N N GMF FLOORPLAN OWNER REVOLVING TRUST 2019-1 N/A 361886BZ6 1400000.000000 PA USD 1422528.520000 0.2539766 Long ABS-O CORP US N 2 2024-04-15 Fixed 2.7 N N N N N N GMF FLOORPLAN OWNER REVOLVING TRUST 2019-2 N/A 361886CD4 3500000.000000 PA USD 3606840.300000 0.6439612 Long ABS-O CORP US N 2 2026-04-15 Fixed 2.9 N N N N N N GNMA PASS THRU POOLS N/A 36202KRQ0 5363.640000 PA USD 5505.690000 0.0009830 Long ABS-MBS USGSE US N 2 2025-02-20 Floating 4 N N N N N N GNMA PASS THRU POOLS N/A 36202K3W3 7135.520000 PA USD 7366.860000 0.0013153 Long ABS-MBS USGSE US N 2 2026-07-20 Floating 3.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CA89 154028.620000 PA USD 158960.800000 0.0283807 Long ABS-MBS USGSE US N 2 2027-01-20 Floating 4 N N N N N N GNMA PASS THRU POOLS N/A 36225CK70 47669.400000 PA USD 48427.310000 0.0086462 Long ABS-MBS USGSE US N 2 2029-09-20 Floating 3.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CLH7 348381.120000 PA USD 360952.530000 0.0644441 Long ABS-MBS USGSE US N 2 2029-10-20 Floating 4.125 N N N N N N GNMA PASS THRU POOLS N/A 36225CMN3 3509.730000 PA USD 3641.370000 0.0006501 Long ABS-MBS USGSE US N 2 2030-01-20 Floating 4 N N N N N N GNMA PASS THRU POOLS N/A 36225CSN7 196148.250000 PA USD 204337.910000 0.0364823 Long ABS-MBS USGSE US N 2 2031-07-20 Floating 3.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CVW3 49288.760000 PA USD 51436.160000 0.0091834 Long ABS-MBS USGSE US N 2 2032-08-20 Floating 3.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CV52 58538.750000 PA USD 61005.110000 0.0108918 Long ABS-MBS USGSE US N 2 2032-09-20 Floating 3.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CXP6 42971.450000 PA USD 44779.340000 0.0079949 Long ABS-MBS USGSE US N 2 2033-04-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A 36179RJ42 493169.440000 PA USD 506530.350000 0.0904354 Long ABS-MBS USGSE US N 2 2045-07-20 Floating 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36179RPM5 668735.750000 PA USD 684371.350000 0.1221869 Long ABS-MBS USGSE US N 2 2045-09-20 Floating 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36179RV22 573414.190000 PA USD 594733.450000 0.1061830 Long ABS-MBS USGSE US N 2 2045-12-20 Floating 2.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 13477769.070000 PA USD 133335569.460000 23.8055831 Long STIV RF US N 1 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H18 N/A 38376R6V3 11079746.730000 PA USD 11272381.420000 2.0125583 Long ABS-MBS USGSE US N 2 2067-09-20 Floating 2.91588 N N N N N N GOVERNMENT NATL MTGE ASSOC 2002-76 N/A 38373V4K3 2029.880000 PA USD 2029.890000 0.0003624 Long ABS-MBS USGSE US N 2 2031-01-16 Floating 2.2275 N N N N N N GREENTREE FINANCIAL CORP 1998-2 N/A 393505A69 18070.920000 PA USD 18212.550000 0.0032516 Long ABS-O CORP US N 2 2028-12-01 Fixed 6.24 N N N N N N GS MORTGAGE SECURITIES CORP II 2017-SLP N/A 36255MAJ6 1700000.000000 PA USD 1755770.880000 0.3134734 Long ABS-MBS CORP US N 2 2032-10-10 Fixed 3.924 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX N/A 36257CAG2 2100000.000000 PA USD 2105535.180000 0.3759199 Long ABS-MBS CORP US N 2 2034-05-10 Fixed 3.10392 N N N N N N GSAMP TRUST-2005-SEA2 N/A 362341TQ2 1078000.000000 PA USD 1086239.800000 0.1939360 Long ABS-MBS CORP US N 2 2045-01-25 Floating 2.86838 N N N N N N GSR MORTGAGE LOAN TRUST 2003-1 N/A 36229RJJ9 9546.110000 PA USD 9717.820000 0.0017350 Long ABS-MBS CORP US N 2 2033-03-25 Floating 4.3 N N N N N N GSR MORTGAGE LOAN TRUST 2004-11 N/A 36242DFP3 2639397.040000 PA USD 2774860.660000 0.4954205 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.63535 N N N N N N GSR MORTGAGE LOAN TRUST 2004-2F N/A 36229RLG2 138186.140000 PA USD 136149.760000 0.0243080 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.36838 N N N N N N GSR MORTGAGE LOAN TRUST 2004-9 N/A 36242DBM4 82227.420000 PA USD 82072.250000 0.0146531 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.46652 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR3 N/A 36242D4W0 93779.200000 PA USD 92148.800000 0.0164521 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.42722 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 4897413.990000 PA USD 5052598.350000 0.9020852 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.47963 N N N N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 4781.040000 PA USD 5110.750000 0.0009125 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4P8 11997.780000 PA USD 12002.950000 0.0021430 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.91572 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4R4 47188.270000 PA USD 47187.830000 0.0084249 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.05854 N N N N N N GSRPM MORTGAGE LOAN TRUST 2006-1 N/A 362334QG2 941925.670000 PA USD 941229.120000 0.1680460 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.52838 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 41070.900000 PA USD 40022.200000 0.0071455 Long ABS-MBS CORP US N 2 2035-05-19 Floating 2.497 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-BU1 N/A 41161PG72 749966.130000 PA USD 751680.930000 0.1342043 Long ABS-MBS CORP US N 2 2046-02-19 Floating 2.247 N N N N N N HERTZ FLEET LEASE FUNDING LP 2016-1 N/A 428041AQ0 216918.180000 PA USD 216954.230000 0.0387348 Long ABS-O CORP US N 2 2030-04-10 Floating 3.149 N N N N N N HOME EQUITY MORTGAGE TR 2004-6 N/A 22541S3C0 29855.210000 PA USD 29844.200000 0.0053284 Long ABS-MBS CORP US N 2 2035-04-25 Fixed 5.321 N N N N N N HOME EQUITY PASS-THRU CERTS 2002-1 N/A 22541NAD1 7954.480000 PA USD 7801.790000 0.0013929 Long ABS-MBS CORP US N 2 2032-11-25 Floating 2.61838 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE1 N/A 44328AAB6 7517.640000 PA USD 3913.690000 0.0006987 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.06838 N N N N N N IHPT-2018-STAY N/A 46117MAA2 600000.000000 PA USD 599532.060000 0.1070398 Long ABS-MBS CORP US N 2 2033-01-15 Floating 2.7275 N N N N N N IHPT-2018-STAY N/A 46117MAJ3 300000.000000 PA USD 299964.540000 0.0535553 Long ABS-MBS CORP US N 2 2033-01-15 Floating 3.0775 N N N N N N IHPT-2018-STAY N/A 46117MAL8 400000.000000 PA USD 400088.880000 0.0714314 Long ABS-MBS CORP US N 2 2033-01-15 Floating 3.2775 N N N N N N IHPT-2018-STAY N/A 46117MAN4 1000000.000000 PA USD 1001152.900000 0.1787447 Long ABS-MBS CORP US N 2 2033-01-15 Floating 4.0775 N N N N N N IMPAC CMB TR 2005-5 N/A 45254NPU5 1263358.780000 PA USD 1263609.180000 0.2256034 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.65838 N N N N N N INDYMAC ARM TRUST 2001-H2 N/A 45660UAT6 19574.670000 PA USD 19644.270000 0.0035073 Long ABS-MBS CORP US N 2 2032-01-25 Floating 3.6713 N N N N N N INDYMAC HOME EQUITY LOAN 2002-A N/A 43708AAD4 763786.800000 PA USD 811472.450000 0.1448794 Long ABS-MBS CORP US N 2 2033-05-25 Fixed 6.372 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 413959.980000 PA USD 397742.680000 0.0710125 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.20838 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR10 N/A 45660N2Y0 62954.010000 PA USD 61069.870000 0.0109033 Long ABS-MBS CORP US N 2 2034-05-25 Floating 2.79838 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2005-C N/A 456606HW5 1600000.000000 PA USD 1535096.640000 0.2740744 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.53838 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AK9 19754.000000 PA USD 15035.580000 0.0026844 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.5 Y N N N N N JP MORGAN MORTGAGE TRUST 2003-A2 N/A 466247AZ6 12987.240000 PA USD 13455.990000 0.0024024 Long ABS-MBS CORP US N 2 2033-11-25 Floating 4.2465 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 15907.150000 PA USD 16144.850000 0.0028825 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.41986 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YS6 157128.950000 PA USD 152933.480000 0.0273046 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.16113 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A2 N/A 466247K77 18903.280000 PA USD 19846.940000 0.0035435 Long ABS-MBS CORP US N 2 2033-11-25 Floating 4.51929 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAJ4 310502.620000 PA USD 322574.150000 0.0575920 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.50792 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAW5 288960.540000 PA USD 291160.510000 0.0519835 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.62724 N N N N N N JP MORGAN MORTGAGE TRUST-2004-A4 N/A 466247EH2 1063.580000 PA USD 1100.890000 0.0001966 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.35578 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NZ2 188074.490000 PA USD 192325.990000 0.0343377 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.43293 N N N N N N JP MORGAN MTGE TRUST 2005-A7 N/A 466247WQ2 232030.240000 PA USD 223509.090000 0.0399051 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.16837 N N N N N N JP MORGAN MTGGE ACQUIS CORP 2005-OPT2 N/A 46626LEL0 608780.360000 PA USD 610342.060000 0.1089698 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.44838 N N N N N N LANARK MASTER ISSUER PLC 19-1A N/A 513770BB2 2613333.380000 PA USD 2620028.740000 0.4677770 Long ABS-MBS CORP GB N 2 2069-12-22 Floating 2.90225 N N N N N N LEGACY MORTGAGE ASSET TRUST 2019-GS3 N/A 52474WAA5 606593.970000 PA USD 620172.090000 0.1107248 Long ABS-MBS CORP US N 2 2059-04-25 Fixed 3.75 N N N N N N LEHMAN BROTHERS HOLDINGS INC 549300FDK6ZP3YIHRJ47 525ESC6Y0 2000000.000000 PA USD 30250.000000 0.0054008 Long DBT CORP US N 2 2027-09-27 None 7 Y Y N N N N LEHMAN XS TRUST 2007-9 N/A 52524MAT6 769332.100000 PA USD 744936.270000 0.1330001 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.16838 Y N N N N N LONG BEACH MORTGAGE LOAN TR 2004-3 N/A 542514GM0 301032.090000 PA USD 299646.710000 0.0534986 Long ABS-MBS CORP US N 2 2034-07-25 Floating 2.87338 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-4 N/A 542514BQ6 20416.820000 PA USD 20556.680000 0.0036702 Long ABS-MBS CORP US N 2 2032-03-25 Floating 2.71838 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 735959.830000 PA USD 723170.690000 0.1291141 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.57838 N N N N N N MARLETTE FUNDING TRUST 2018-2A N/A 57109EAA7 277533.810000 PA USD 277803.910000 0.0495988 Long ABS-O CORP US N 2 2028-07-17 Fixed 3.06 N N N N N N MARLETTE FUNDING TRUST 2019-1A N/A 57109XAA5 7145574.850000 PA USD 7198587.160000 1.2852277 Long ABS-O CORP US N 2 2029-04-16 Fixed 3.44 N N N N N N MARLETTE FUNDING TRUST 2019-2 N/A 57109HAA0 2208187.720000 PA USD 2225679.660000 0.3973704 Long ABS-O CORP US N 2 2029-07-16 Fixed 3.13 N N N N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GC4 75516.810000 PA USD 74867.360000 0.0133667 Long ABS-MBS CORP US N 2 2033-12-25 Floating 4.15331 N N N N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GH3 12640.680000 PA USD 12795.190000 0.0022844 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.25654 N N N N N N MASTR ADJUSTABLE RATE MTGE TRUST 2006-2 N/A 576438AD7 74416.950000 PA USD 74081.810000 0.0132265 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.45226 Y N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-1 N/A 576433JG2 199182.950000 PA USD 193686.020000 0.0345805 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.48281 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433WL6 65466.980000 PA USD 67927.660000 0.0121277 Long ABS-MBS CORP US N 2 2034-11-21 Floating 4.73419 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-6 N/A 576433PD2 845626.400000 PA USD 818272.750000 0.1460935 Long ABS-MBS CORP US N 2 2034-07-25 Floating 4.71977 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2003-3 N/A 576433DY9 321469.890000 PA USD 329502.200000 0.0588290 Long ABS-MBS CORP US N 2 2033-09-25 Floating 5.08117 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2004-7 N/A 576433PQ3 490485.900000 PA USD 507675.470000 0.0906398 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.57563 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2004-8 N/A 576433QU3 966809.240000 PA USD 1001249.110000 0.1787619 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.66686 N N N N N N MERRILL LYNCH MORTGAGE INV INC 2004-WMC5 N/A 59020UMG7 333278.440000 PA USD 336769.730000 0.0601265 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.03838 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS TRUST 2003-A6 N/A 5899294G0 5804.650000 PA USD 5717.490000 0.0010208 Long ABS-MBS CORP US N 2 2033-09-25 Floating 4.42913 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A2 N/A 59020USJ5 97414.790000 PA USD 99089.580000 0.0176913 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.44811 N N N N N N MERRILL LYNCH MTGE INVESTORS 2004-A1 N/A 59020UAA3 19584.190000 PA USD 18883.130000 0.0033714 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.24998 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-1 N/A 59020UVJ1 342463.480000 PA USD 341196.980000 0.0609169 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.12844 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-A N/A 589929G36 166108.180000 PA USD 168439.380000 0.0300730 Long ABS-MBS CORP US N 2 2028-03-25 Floating 2.8625 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-C N/A 589929S41 143672.450000 PA USD 144321.160000 0.0257669 Long ABS-MBS CORP US N 2 2028-06-25 Floating 2.67838 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-D N/A 589929V21 52611.250000 PA USD 52324.540000 0.0093420 Long ABS-MBS CORP US N 2 2028-08-25 Floating 2.63838 N N N N N N MORGAN STANLEY CAPITAL I 2007-T27 N/A 61754JAK4 2200000.000000 PA USD 2342615.880000 0.4182480 Long ABS-MBS CORP US N 2 2042-06-11 Variable 6.1439 N N N N N N MORGAN STANLEY DEAN WITT CAP I 2003-NC2 N/A 61746WA75 123124.310000 PA USD 123831.310000 0.0221087 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.36838 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2004-11AR N/A 61748HGR6 625053.470000 PA USD 625878.600000 0.1117437 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.33838 N N N N N N MOTEL 6 TRUST 2017-MTL6 N/A 61975FAA7 2269257.480000 PA USD 2272312.350000 0.4056961 Long ABS-MBS CORP US N 2 2034-08-15 Floating 2.9475 N N N N N N MOTEL 6 TRUST 2017-MTL6 N/A 61975FAG4 2017117.760000 PA USD 2019884.840000 0.3606280 Long ABS-MBS CORP US N 2 2034-08-15 Floating 3.2175 N N N N N N MOTEL 6 TRUST 2017-MTL6 N/A 61975FAL3 168093.150000 PA USD 168759.080000 0.0301301 Long ABS-MBS CORP US N 2 2034-08-15 Floating 4.1775 N N N N N N MOUNTAIN VIEW CLO LTD 15-10A N/A 62432CAQ4 1100000.000000 PA USD 1096614.260000 0.1957883 Long ABS-CBDO CORP KY N 2 2027-10-13 Floating 3.12338 N N N N N N NATIONSTAR NIM LTD 2007-C N/A 63860MAA6 23958.280000 PA USD 0.000000 0.0000000 Long ABS-MBS CORP KY N 2 2037-06-25 Fixed 8 N N N N N N NAVIENT STUDENT LOAN TRUST 2017-5A N/A 63940CAA2 3725220.480000 PA USD 3715374.350000 0.6633388 Long ABS-O CORP US N 2 2066-07-26 Floating 2.81838 N N N N N N NELNET STUDENT LOAN TRUST 2016-1A N/A 64033UAA8 3997722.390000 PA USD 4015594.610000 0.7169398 Long ABS-O CORP US N 2 2065-09-25 Floating 2.81838 N N N N N N NELNET STUDENT LOAN TRUST 2019-2 N/A 64034NAA3 5646928.660000 PA USD 5641509.300000 1.0072287 Long ABS-O CORP US N 2 2067-06-27 Floating 3.04525 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AR5 N/A 65535VPU6 28476.440000 PA USD 28410.720000 0.0050724 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.72592 N N N N N N NORTHWEST AIRLINES 2000-1 CLASS G PASS THROUGH TRUST N/A 667294AT9 871671.890000 PA USD 871764.720000 0.1556439 Long DBT CORP US N 2 2021-04-01 Variable 7.15 N N N N N N OCEAN TRAILS CLO VI 2016-6A N/A 67515UAQ3 500000.000000 PA USD 500247.490000 0.0893136 Long ABS-CBDO CORP KY N 2 2028-07-15 Floating 3.45338 N N N N N N OCTAGON INVESTMENT PARTNERS LTD 2015-1A N/A 67590WCE2 900000.000000 PA USD 897707.250000 0.1602756 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 3.15338 N N N N N N OPTION ONE MORTGAGE LN TRUST 2003-4 N/A 68389FDT8 150768.870000 PA USD 149921.460000 0.0267668 Long ABS-MBS CORP US N 2 2033-07-25 Floating 2.65838 N N N N N N OSCAR US FUNDING TRUST VIII LLC 2018-1A N/A 68784CAB8 221504.000000 PA USD 221785.980000 0.0395974 Long ABS-O CORP JP N 2 2021-04-12 Fixed 2.91 N N N N N N OSCAR US FUNDING TRUST VIII LLC 2018-1A N/A 68784CAC6 664512.000000 PA USD 664890.750000 0.1187088 Long ABS-O CORP JP N 2 2021-04-12 Floating 2.539 N N N N N N OSCAR US FUNDING TRUST XI LLC 2019-2A N/A 68784EAA6 388500.000000 PA USD 389506.600000 0.0695421 Long ABS-O CORP JP N 2 2020-08-10 Fixed 2.36908 N N N N N N OSCAR US FUNDING TRUST XI LLC 2019-2A N/A 68784EAB4 800000.000000 PA USD 801975.700000 0.1431838 Long ABS-O CORP JP N 2 2022-08-10 Fixed 2.49 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ2 N/A 70069FEK9 673989.260000 PA USD 677117.380000 0.1208918 Long ABS-MBS CORP US N 2 2035-02-25 Floating 3.05338 N N N N N N PEPPER RESIDENTIAL SECURITIES TRUST 22A N/A 71338AAA9 2697649.180000 PA USD 2701266.890000 0.4822812 Long ABS-MBS CORP AU N 2 2060-06-20 Floating 3.04425 N N N N N N PEPPER RESIDENTIAL SECURITIES TRUST 24A N/A 71338CAA5 1203720.000000 PA USD 1205450.830000 0.2152198 Long ABS-MBS CORP AU N 2 2060-11-18 Floating 2.94088 N N N N N N PRESTIGE AUTO RECEIVABLES TRUST 2018-1A N/A 74114NAC1 2100756.240000 PA USD 2103831.330000 0.3756157 Long ABS-O CORP US N 2 2021-12-15 Fixed 2.97 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDK5 12532.250000 PA USD 13464.640000 0.0024040 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 6 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 30077.410000 PA USD 28532.760000 0.0050942 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.41838 N N N N N N PROSPER MARKETPLACE ISSUANCE TRUST SERIES 2018-2A N/A 74360PAA1 291195.380000 PA USD 292034.580000 0.0521395 Long ABS-O CORP US N 2 2024-10-15 Fixed 3.35 N N N N N N PROVIDENT FUNDING MTGE LOAN TRUST 2005-1 N/A 743873AW1 7845.790000 PA USD 8019.340000 0.0014318 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.44769 N N N N N N RBSSP RESECURITIZATION TRUST 2010-2 N/A 74929CDA1 167371.160000 PA USD 166508.380000 0.0297282 Long ABS-MBS CORP US N 2 2045-08-26 Floating 2.87809 N N N N N N READY CAPTIAL MORTGAGE FINANCING LLC 2019-FL3 N/A 75574XAA3 6000000.000000 PA USD 5997536.400000 1.0707934 Long ABS-MBS CORP US N 2 2034-03-25 Floating 3.01838 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 3778974.250000 PA USD 2083698.060000 0.3720211 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.11838 N N N N N N RENAISSANCE HOME EQUITY LOAN TRUST 2002-2 N/A 759950AG3 9528.050000 PA USD 9208.560000 0.0016441 Long ABS-MBS CORP US N 2 2032-08-25 Floating 2.71838 N N N N N N RESIDENTIAL ASSET MTGE PROD INC 2004-SL3 N/A 76112BBQ2 2951.200000 PA USD 2955.630000 0.0005277 Long ABS-MBS CORP US N 2 2031-12-25 Fixed 6.5 N N N N N N RESIDENTIAL ASSET MTGE PROD INC 2004-SL3 N/A 76112BBR0 285804.590000 PA USD 291934.980000 0.0521217 Long ABS-MBS CORP US N 2 2031-12-25 Fixed 7.5 Y N N N N N RESIDENTIAL ASSET MTGE PROD INC 2004-SL3 N/A 76112BBS8 992871.990000 PA USD 657327.620000 0.1173585 Long ABS-MBS CORP US N 2 2031-12-25 Fixed 8.5 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2004-A1 N/A 45660NZE8 11456.280000 PA USD 11477.270000 0.0020491 Long ABS-MBS CORP US N 2 2034-04-25 Fixed 5.25 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 8151.510000 PA USD 8483.700000 0.0015147 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6.5 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-SA1 N/A 76111XG98 153563.770000 PA USD 140944.420000 0.0251641 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.1076 Y N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2015-3 N/A 80284LAG7 1132378.100000 PA USD 1133676.030000 0.2024052 Long ABS-O CORP US N 2 2021-05-17 Fixed 3.49 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAA1 104964.950000 PA USD 104835.320000 0.0187172 Long ABS-MBS CORP US N 2 2027-10-20 Floating 2.84425 N N N N N N SEQUOIA MORTGAGE TRUST 2003-1 N/A 81743PAA4 29760.460000 PA USD 29534.410000 0.0052730 Long ABS-MBS CORP US N 2 2033-04-20 Floating 2.80425 N N N N N N SEQUOIA MORTGAGE TRUST 2004-3 N/A 81744FAZ0 670281.580000 PA USD 663212.590000 0.1184092 Long ABS-MBS CORP US N 2 2034-05-20 Floating 3.13363 N N N N N N SEQUOIA MORTGAGE TRUST 2004-6 N/A 81744FCG0 27439.470000 PA USD 27466.710000 0.0049039 Long ABS-MBS CORP US N 2 2034-07-20 Floating 3.79026 N N N N N N SEQUOIA MORTGAGE TRUST 2005-2 N/A 81744FGZ4 253087.380000 PA USD 245026.930000 0.0437468 Long ABS-MBS CORP US N 2 2035-03-20 Floating 2.26675 N N N N N N SHACKLETON CLO LTD 2016-9A N/A 81882LAN6 1500000.000000 PA USD 1499949.810000 0.2677994 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 3.40763 N N N N N N SLC STUDENT LOAN TRUST 2005-2 N/A 784420AH4 685530.720000 PA USD 683739.360000 0.1220741 Long ABS-O CORP US N 2 2027-03-15 Floating 2.2285 N N N N N N SLC STUDENT LOAN TRUST-2006-2 N/A 784428AE4 2366192.870000 PA USD 2362777.030000 0.4218476 Long ABS-O CORP US N 2 2026-09-15 Floating 2.2185 N N N N N N ACCREDITED MORTGAGE LN TR 2004-4 N/A 004375CG4 754344.460000 PA USD 757311.150000 0.1352095 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.88838 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2015-A N/A 78448PAB6 919843.340000 PA USD 922895.750000 0.1647728 Long ABS-O CORP US N 2 2027-06-15 Fixed 2.49 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2017-A N/A 78448WAB1 330781.780000 PA USD 335984.710000 0.0599863 Long ABS-O CORP US N 2 2034-09-15 Fixed 2.88 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2003-3 N/A 004375AT8 105552.500000 PA USD 103916.590000 0.0185532 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.77838 N N N N N N SOFI CONSUMER LOAN PROGRAM LLC 2016-1 N/A 78471DAA5 550140.920000 PA USD 555904.030000 0.0992505 Long ABS-O CORP US N 2 2025-08-25 Fixed 3.26 N N N N N N SOFI CONSUMER LOAN PROGRAM LLC 2017-3 N/A 83404JAA4 1912865.290000 PA USD 1919168.560000 0.3426462 Long ABS-O CORP US N 2 2026-05-25 Fixed 2.77 N N N N N N SOFI CONSUMER LOAN PROGRAM LLC 2017-4 N/A 83405JAA3 1819576.820000 PA USD 1822310.190000 0.3253532 Long ABS-O CORP US N 2 2026-05-26 Fixed 2.5 N N N N N N SOFI CONSUMER LOAN PROGRAM LLC 2018-1 N/A 83405RAA5 210479.060000 PA USD 210519.030000 0.0375858 Long ABS-O CORP US N 2 2027-02-25 Fixed 2.55 N N N N N N SOFI CONSUMER LOAN PROGRAM LLC 2019-2 N/A 83406CAA7 1428277.330000 PA USD 1440577.370000 0.2571991 Long ABS-O CORP US N 2 2028-04-25 Fixed 3.01 N N N N N N SOFI CONSUMER LOAN PROGRAM TRUST 2018-2 N/A 78471WAA3 779730.660000 PA USD 780470.080000 0.1393443 Long ABS-O CORP US N 2 2027-04-26 Fixed 2.93 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2016-D N/A 83404LAC5 3336594.440000 PA USD 3346653.600000 0.5975078 Long ABS-O CORP US N 2 2033-04-25 Fixed 2.34 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2016-E N/A 78470RAC1 2840951.120000 PA USD 2853654.150000 0.5094882 Long ABS-O CORP US N 2 2036-01-25 Fixed 2.49 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B N/A 83403YAB0 4727840.040000 PA USD 4780689.730000 0.8535390 Long ABS-O CORP US N 2 2040-05-25 Fixed 2.74 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C N/A 83405DAB4 651050.960000 PA USD 650330.510000 0.1161093 Long ABS-O CORP US N 2 2040-07-25 Fixed 1.75 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C N/A 83405DAC2 5628000.000000 PA USD 5665454.340000 1.0115039 Long ABS-O CORP US N 2 2040-07-25 Fixed 2.63 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D N/A 78471CAA7 251269.100000 PA USD 251082.810000 0.0448280 Long ABS-O CORP US N 2 2040-09-25 Fixed 1.72 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-E N/A 83404KAB9 1842850.590000 PA USD 1837708.480000 0.3281024 Long ABS-O CORP US N 2 2040-11-26 Fixed 1.86 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2018-A N/A 83406EAB1 712466.910000 PA USD 713724.340000 0.1274275 Long ABS-O CORP US N 2 2042-02-25 Fixed 2.39 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2019-B N/A 83404WAA5 8151079.480000 PA USD 8216840.760000 1.4670255 Long ABS-O CORP US N 2 2048-08-17 Fixed 2.78 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM TRUST 2018-D N/A 83401AAA6 313493.500000 PA USD 316063.580000 0.0564296 Long ABS-O CORP US N 2 2048-02-25 Fixed 3.12 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2003-2 N/A 83611MAQ1 59226.990000 PA USD 60242.670000 0.0107557 Long ABS-MBS CORP US N 2 2033-11-25 Floating 3.31838 N N N N N N ACE SECURITIES CORP 2003-HS1 N/A 004421CG6 174962.190000 PA USD 175494.230000 0.0313325 Long ABS-MBS CORP US N 2 2033-06-25 Floating 4.64338 Y N N N N N SPRINGLEAF FUNDING TRUST 2017-AA N/A 85172PAA5 5240000.000000 PA USD 5254057.870000 0.9380536 Long ABS-O CORP US N 2 2030-07-15 Fixed 2.68 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1 N/A 78485WAA7 2800000.000000 PA USD 2803328.160000 0.5005031 Long ABS-O CORP KY N 2 2038-07-15 Floating 3.369 N N N N N N STRUCTURED ADJUST RATE MTG LN 2004-13 N/A 863579BZ0 134422.200000 PA USD 130100.460000 0.0232280 Long ABS-MBS CORP US N 2 2034-09-25 Floating 0.49003 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2004-4 N/A 007036DN3 36987.080000 PA USD 37829.440000 0.0067540 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.24015 N N N N N N STRUCTURED ARM LOAN TRUST 2004-12 N/A 863579AQ1 123008.170000 PA USD 126112.480000 0.0225160 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.22486 N N N N N N STRUCTURED ARM LOAN TRUST 2005-16XS N/A 863579WU8 237535.630000 PA USD 237920.680000 0.0424781 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.45838 N N N N N N STRUCTURED ARM LOAN TRUST 2005-4 N/A 863579NA2 116741.380000 PA USD 111666.810000 0.0199369 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.25838 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR6 N/A 86359LEW5 2420452.380000 PA USD 2422198.490000 0.4324566 Long ABS-MBS CORP US N 2 2035-02-19 Floating 2.757 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR8 N/A 86359LGE3 183165.200000 PA USD 184283.530000 0.0329018 Long ABS-MBS CORP US N 2 2035-05-19 Floating 2.737 N N N N N N STRUCTURED ASSET MTGE INV 2003-AR3 N/A 86358HUT4 30011.540000 PA USD 29951.420000 0.0053475 Long ABS-MBS CORP US N 2 2033-11-19 Floating 2.737 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-7 N/A 007036ND4 4088.240000 PA USD 4121.140000 0.0007358 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.51838 N N N N N N STRUCTURED ASSET SEC CORP 2003-34A N/A 86359A4Z3 38163.660000 PA USD 38881.370000 0.0069418 Long ABS-MBS CORP US N 2 2033-11-25 Floating 4.23456 N N N N N N STRUCTURED ASSET SEC CORP 2003-6A N/A 86359AMR1 314163.790000 PA USD 322016.630000 0.0574925 Long ABS-MBS CORP US N 2 2033-03-25 Floating 4.57392 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-8 N/A 007036QH2 162501.740000 PA USD 148338.920000 0.0264843 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.47494 Y N N N N N STRUCTURED ASSET SECURITIES CP 2002-14A N/A 86358RR66 1001.890000 PA USD 961.700000 0.0001717 Long ABS-MBS CORP US N 2 2032-07-25 Floating 4.30947 N N N N N N STRUCTURED ASSET SECURITIES CRP 2003-22A N/A 86359AYX5 1181447.740000 PA USD 1172142.890000 0.2092731 Long ABS-MBS CORP US N 2 2033-06-25 Floating 4.40398 N N N N N N STRUCTURED ASSET SECURITIES CRP 2003-26A N/A 86359AS46 25437.760000 PA USD 25910.710000 0.0046261 Long ABS-MBS CORP US N 2 2033-09-25 Floating 4.66794 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 835481.710000 PA USD 842724.750000 0.1504591 Long ABS-MBS CORP US N 2 2058-05-25 Floating 3.01838 N N N N N N TRALEE CLO III LTD 2014-3A N/A 89300ABA4 5200000.000000 PA USD 5200998.660000 0.9285805 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 3.30763 N N N N N N TRICON AMERICAN HOMES TRUST 2017-SFR1 N/A 89613DAA1 1493282.880000 PA USD 1503758.560000 0.2684794 Long ABS-MBS CORP US N 2 2034-09-17 Fixed 2.716 N N N N N N TRICON AMERICAN HOMES TRUST 2017-SFR1 N/A 89613DAB9 1100000.000000 PA USD 1102424.400000 0.1968256 Long ABS-MBS CORP US N 2 2034-09-17 Fixed 2.916 N N N N N N TRICON AMERICAN HOMES TRUST 2017-SFR1 N/A 89613DAC7 100000.000000 PA USD 101000.440000 0.0180325 Long ABS-MBS CORP US N 2 2034-09-17 Fixed 3.215 N N N N N N TRILLIUM CREDIT CARD TRUST II 2019-2A N/A 89621AAP4 5000000.000000 PA USD 5067578.000000 0.9047597 Long ABS-MBS CORP CA N 2 2024-01-26 Fixed 3.038 N N N N N N TRUPS FINANCIALS NOTE SECURITIZATION 2017-2A N/A 898203AA2 3621862.500000 PA USD 3585643.880000 0.6401768 Long ABS-CBDO CORP KY N 2 2039-09-20 Floating 3.72588 N N N N N N UAL 2007-1 PASS-THROUGH TRUST N/A 909287AA2 631376.120000 PA USD 668816.720000 0.1194098 Long DBT CORP US N 2 2024-01-02 Fixed 6.636 N N N N N N UMBS PASS THRU POOLS N/A 01F0224A0 3000000.000000 PA USD 3026074.200000 0.5402719 Long ABS-MBS USGSE US N 2 2034-10-17 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0304A3 8000000.000000 PA USD 8179062.560000 1.4602807 Long ABS-MBS USGSE US N 2 2034-10-17 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0306B9 2000000.000000 PA USD 2029374.980000 0.3623223 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0306B9 -7000000.000000 PA USD -7102812.430000 1.2681282 Short ABS-MBS USGSE US N 2 2049-11-13 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0326B5 40700000.000000 PA USD 41767579.720000 7.4571368 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0406A0 18000000.000000 PA USD 18682031.340000 3.3354689 Long ABS-MBS USGSE US N 2 2049-10-10 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0406B8 35900000.000000 PA USD 37278503.640000 6.6556622 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0426B4 17000000.000000 PA USD 17915078.210000 3.1985380 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QZ4 4730000.000000 PA USD 5646622.250000 1.0081416 Long DBT UST US N 2 2043-02-15 Fixed 3.125 N N N N N N ALLEGRO CLO I LTD 2013-1A N/A 01749GAJ7 972366.520000 PA USD 972949.770000 0.1737094 Long ABS-CBDO CORP KY N 2 2026-01-30 Floating 3.48575 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 141260.250000 PA USD 139498.890000 0.0249060 Long ABS-MBS CORP US N 2 2042-11-25 Floating 3.64605 N N N N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 12975.050000 PA USD 12747.150000 0.0022759 Long ABS-MBS CORP US N 2 2042-08-25 Floating 3.84605 N N N N N N WASHINGTON MUTUAL 2003-AR10 N/A 92922FEB0 193378.400000 PA USD 197431.170000 0.0352491 Long ABS-MBS CORP US N 2 2033-10-25 Floating 4.41576 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X81 1134779.250000 PA USD 1132670.150000 0.2022257 Long ABS-MBS CORP US N 2 2045-01-25 Floating 2.81838 N N N N N N WASHINGTON MUTUAL 2005-AR10 N/A 92922FW46 371152.000000 PA USD 378037.390000 0.0674944 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.17593 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3K2 403267.550000 PA USD 182316.740000 0.0325506 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.87561 Y N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 2712744.960000 PA USD 2697458.370000 0.4816012 Long ABS-MBS CORP US N 2 2045-10-25 Floating 2.30838 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5T1 5075825.890000 PA USD 5149086.300000 0.9193121 Long ABS-MBS CORP US N 2 2045-11-25 Floating 2.27838 N N N N N N WASHINGTON MUTUAL 2005-AR17 N/A 92922F7P7 2560580.010000 PA USD 2620713.700000 0.4678993 Long ABS-MBS CORP US N 2 2045-12-25 Floating 2.28838 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBB7 2151335.460000 PA USD 2147147.670000 0.3833493 Long ABS-MBS CORP US N 2 2045-12-25 Floating 2.30838 N N N N N N WASHINGTON MUTUAL 2005-AR8 N/A 92922FR75 5943555.630000 PA USD 5930307.440000 1.0587904 Long ABS-MBS CORP US N 2 2045-07-25 Floating 2.59838 N N N N N N WASHINGTON MUTUAL 2006-AR11 N/A 93363TAB8 4103087.540000 PA USD 4214526.990000 0.7524569 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.655 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAA5 59796.450000 PA USD 56290.860000 0.0100501 Long ABS-MBS CORP US N 2 2046-08-25 Floating 3.44605 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 1697506.110000 PA USD 1667162.170000 0.2976533 Long ABS-MBS CORP US N 2 2046-08-25 Floating 2.655 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PL1 23076.310000 PA USD 23857.260000 0.0042594 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.40509 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PM9 12481.750000 PA USD 12296.560000 0.0021954 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.82584 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3 N/A 939336G49 20680.530000 PA USD 20856.570000 0.0037237 Long ABS-MBS CORP US N 2 2033-06-25 Floating 4.26838 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2004-RA1 N/A 939336P80 49626.730000 PA USD 53506.120000 0.0095529 Long ABS-MBS CORP US N 2 2034-03-25 Fixed 7 N N N N N N WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1 N/A 939335N68 143839.790000 PA USD 148416.920000 0.0264982 Long ABS-MBS CORP US N 2 2030-11-25 Floating 4.3017 N N N N N N WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1 N/A 939335N84 416.710000 PA USD 424.330000 0.0000758 Long ABS-MBS CORP US N 2 2031-02-25 Floating 4.395 N N N N N N WASHINGTON MUTUAL MTGE 2003-AR8 N/A 92922FAV0 519998.300000 PA USD 496810.120000 0.0886999 Long ABS-MBS CORP US N 2 2033-08-25 Floating 4.40134 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB N/A 95001EAA6 2815000.000000 PA USD 2809535.240000 0.5016113 Long ABS-MBS CORP US N 2 2031-12-13 Floating 2.88588 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB N/A 95001EAG3 2335000.000000 PA USD 2325920.590000 0.4152673 Long ABS-MBS CORP US N 2 2031-12-13 Floating 3.13588 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB N/A 95001EAL2 160000.000000 PA USD 158525.570000 0.0283030 Long ABS-MBS CORP US N 2 2031-12-13 Floating 3.88055 N N N N N N WELLS FARGO MORT BACKED SEC TR 2004-E N/A 94981DAA5 1830.340000 PA USD 1911.790000 0.0003413 Long ABS-MBS CORP US N 2 2034-05-25 Floating 5.06854 N N N N N N WELLS FARGO MORT BACKED SEC TR 2004-E N/A 94981DAB3 5765.570000 PA USD 6030.990000 0.0010768 Long ABS-MBS CORP US N 2 2034-05-25 Floating 5.06854 N N N N N N WELLS FARGO MORT BACKED SEC TR 2004-EE N/A 949779AB8 114995.540000 PA USD 119745.290000 0.0213792 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.94516 N N N N N N WELLS FARGO MORT BACKED SEC TR 2004-EE N/A 949779AH5 156001.900000 PA USD 159244.740000 0.0284314 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.94516 N N N N N N WELLS FARGO MORTGAGE BACK SEC TR 2003-O N/A 94979YBB0 55695.060000 PA USD 58797.680000 0.0104977 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.84838 N N N N N N WELLS FARGO MORTGAGE BACKED SEC 2003-N N/A 94980XAA2 35757.970000 PA USD 37177.080000 0.0066376 Long ABS-MBS CORP US N 2 2033-12-25 Floating 4.82655 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES 2005-AR14 N/A 94982DAA4 14547.120000 PA USD 15046.200000 0.0026863 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.85236 N N N N N N WELLS FARGO MTG BKD SEC 2007-10 N/A 949837AX6 122650.060000 PA USD 109081.250000 0.0194752 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.51838 Y N N N N N WELLS FARGO MTGE BACKED SEC 2004-G N/A 94978JAC3 30631.420000 PA USD 31536.710000 0.0056305 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.99113 N N N N N N WELLS FARGO MTGE BACKED SEC 2004-R N/A 94981GAF7 77450.290000 PA USD 80899.290000 0.0144437 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.74317 N N N N N N WELLS FARGO MTGE BACKED SEC TR 2005-AR16 N/A 94981QAA6 96309.660000 PA USD 97285.120000 0.0173692 Long ABS-MBS CORP US N 2 2033-08-25 Floating 4.96972 N N N N N N WELLS FARGO MTGE BACKED SEC TR 2005-AR16 N/A 94981QAV0 41990.590000 PA USD 42495.060000 0.0075870 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.60621 Y N N N N N WELLS FARGO MTGE BACKED SEC TR 2005-AR8 N/A 94982BAC4 28141.260000 PA USD 28588.720000 0.0051042 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.99185 N N N N N N WELLS FARGO MTGE BK SEC TRUST 2003-J N/A 949808AV1 16539.100000 PA USD 17051.280000 0.0030443 Long ABS-MBS CORP US N 2 2033-10-25 Floating 4.37801 N N N N N N WELLS FARGO MTGE BK SEC TRUST 2003-M N/A 94980DAB4 79602.390000 PA USD 83399.170000 0.0148900 Long ABS-MBS CORP US N 2 2033-12-25 Floating 4.88653 N N N N N N WELLS FARGO MTGE BKD SEC TR 2005-AR10 N/A 94983CAE7 31665.370000 PA USD 33198.150000 0.0059272 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.96832 N N N N N N WELLS FARGO MTGE BKD SEC TR 2005-AR10 N/A 94983CAJ6 6138.180000 PA USD 6429.380000 0.0011479 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.96832 N N N N N N WELLS FARGO MTGE BKD SEC TR 2005-AR4 N/A 94981NAH8 72956.930000 PA USD 74378.560000 0.0132795 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.08829 N N N N N N N/A N/A 000000000 917000.000000 PA USD 917000.000000 0.1637202 Long RA US N 2 Repurchase N 1.5000000 2019-10-01 930000.000000 USD 936938.730000 USD UST N N N AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2018-3 N/A 02530AAA0 45814.980000 PA USD 45830.530000 0.0081825 Long ABS-O CORP US N 2 2021-08-12 Fixed 2.92 N N N N N N AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST 2019-1 N/A 02588QAB4 9100000.000000 PA USD 9334606.190000 1.6665901 Long ABS-MBS CORP US N 2 2024-10-15 Fixed 2.87 N N N N N N AMERICAN HOME MTGE INV TRUST 2004-3 N/A 02660TBP7 15351.810000 PA USD 15391.300000 0.0027479 Long ABS-MBS CORP US N 2 2034-10-25 Floating 3.68463 N N N N N N N/A N/A 000000000 1.000000 NC USD 1283.680000 0.0002292 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.AAA-9 N/A N/A Y Single Leg Swap 2058-09-18 0.000000 USD -4197.910000 USD 100000.000000 USD 5481.590000 N N N N/A N/A 000000000 1.000000 NC USD 329373.040000 0.0588059 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -646885.800000 USD 36050000.000000 USD 976258.840000 N N N N/A N/A 000000000 1.000000 NC USD 16445.810000 0.0029362 N/A DCR US N 2 Signature Bank VLP5AP0XK2GM6GKD1007 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -39207.770000 USD 1800000.000000 USD 55653.580000 N N N N/A N/A 000000000 1.000000 NC USD -2839.290000 0.0005069 N/A DCR US N 2 Credit Suisse International DL6FFRRLF74S01HE2M14 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-18 0.000000 USD -6287.930000 USD 900000.000000 USD 3448.640000 N N N N/A N/A 000000000 1.000000 NC USD -26184.590000 0.0046750 N/A DCR US N 2 Signature Bank VLP5AP0XK2GM6GKD1007 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-18 0.000000 USD -17635.560000 USD 8300000.000000 USD -8549.030000 N N N N/A N/A 000000000 1.000000 NC USD 98604.220000 0.0176047 N/A DCR US N 2 Bank of America, N.A. 9DJT3UXIJIZJI4WXO774 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 0.000000 USD -211994.930000 USD 11398456.850000 USD 310599.150000 N N N N/A N/A 000000000 1.000000 NC USD 36154.890000 0.0064551 N/A DCR US N 2 Credit Suisse International DL6FFRRLF74S01HE2M14 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 0.000000 USD -70201.400000 USD 4179434.180000 USD 106356.290000 N N N N/A N/A 000000000 1.000000 NC USD 17255.740000 0.0030808 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 10728.510000 USD 0.000000 USD 1994729.950000 USD 6527.230000 N N N N/A N/A 000000000 1.000000 NC USD 82170.180000 0.0146706 N/A DCR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 0.000000 USD -183657.430000 USD 9498714.040000 USD 265827.610000 N N N N/A N/A 000000000 1.000000 NC USD 271764.980000 0.0485206 N/A DCR US N 2 Bank of America, N.A. 9DJT3UXIJIZJI4WXO774 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-18 0.000000 USD -658583.940000 USD 22896369.380000 USD 930348.920000 N N N N/A N/A 000000000 1.000000 NC USD 42537.130000 0.0075945 N/A DCR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-18 0.000000 USD -95023.080000 USD 3583779.560000 USD 137560.210000 N N N N/A N/A 000000000 1.000000 NC USD 40576.990000 0.0072446 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.AAA.8 N/A N/A Y Single Leg Swap 2057-10-18 0.000000 USD -183227.440000 USD 3150000.000000 USD 223804.430000 N N N AMERIQUEST MTGE SEC 2003-1 N/A 03072SEY7 619896.290000 PA USD 622586.140000 0.1111558 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.36838 N N N N N N 2019-11-13 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer