NPORT-P false 0000810893 XXXXXXXX S000009844 C000027272 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO ABS and Short-Term Investments Portfolio S000009844 TQNOV3FW01CZTFL8YK48 2022-03-31 2022-03-31 N 8269111960.230000 3337023858.910000 4932088101.320000 0.000000 0.000000 122138117.820000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 3669099.670000 USD N ATLAS SENIOR LOAN FUND LTD 2017-8A N/A 04943AAC3 1000000.000000 PA USD 996686.740000 0.0202082 Long ABS-CBDO CORP KY N 2 2030-01-16 Floating 1.39129 N N N N N N N/A N/A 000000000 1.000000 NC USD 487385.410000 0.0098819 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 -5063342.830000 USD 81682401.530000 USD 5550728.240000 N N N N/A N/A 000000000 1.000000 NC USD 638436.120000 0.0129445 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 -2202449.460000 USD 105850000.000000 USD 2840885.580000 N N N N/A N/A 000000000 1.000000 NC USD 23522.920000 0.0004769 N/A DCR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -73151.840000 USD 3900000.000000 USD 96674.760000 N N N N/A N/A 000000000 1.000000 NC USD 370938.320000 0.0075209 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -588086.310000 USD 61500000.000000 USD 959024.630000 N N N N/A N/A 000000000 1.000000 NC USD 137869.070000 0.0027953 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.11 N/A N/A Y Single Leg Swap 2054-11-19 231594.900000 USD 0.000000 USD 30000000.000000 USD -93725.830000 N N N N/A N/A 000000000 1.000000 NC USD 253219.520000 0.0051341 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.11 N/A N/A Y Single Leg Swap 2054-11-19 196705.730000 USD 0.000000 USD 55100000.000000 USD 56513.790000 N N N N/A N/A 000000000 1.000000 NC USD 7980.020000 0.0001618 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-18 0.000000 USD -27946.360000 USD 4000000.000000 USD 35926.380000 N N N N/A N/A 000000000 1.000000 NC USD 26932.570000 0.0005461 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-18 0.000000 USD -37547.770000 USD 13500000.000000 USD 64480.340000 N N N N/A N/A 000000000 1.000000 NC USD 261345.700000 0.0052989 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-18 0.000000 USD -339336.180000 USD 131000000.000000 USD 600681.880000 N N N N/A N/A 000000000 1.000000 NC USD -174201.200000 -0.0035320 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A CMBX.NA.AAA.13 Y Single Leg Swap 2072-12-17 0.000000 USD -84094.520000 USD 160600000.000000 USD -90106.680000 N N N N/A N/A 000000000 1.000000 NC USD -12907.800000 -0.0002617 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A CMBX.NA.AAA.13 Y Single Leg Swap 2072-12-17 0.000000 USD -4563.650000 USD 11900000.000000 USD -8344.150000 N N N N/A N/A 000000000 1.000000 NC USD -81351.740000 -0.0016494 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 N/A CMBX.NA.AAA.13 Y Single Leg Swap 2072-12-17 300012.750000 USD 0.000000 USD 75000000.000000 USD -381364.490000 N N N N/A N/A 000000000 1.000000 NC USD 9665.690000 0.0001960 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 0.000000 USD -253093.210000 USD 10828350.800000 USD 262758.900000 N N N N/A N/A 000000000 1.000000 NC USD 3926.680000 0.0000796 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 0.000000 USD -95243.740000 USD 4399017.510000 USD 99170.420000 N N N N/A N/A 000000000 1.000000 NC USD 100.690000 0.0000020 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 606.660000 USD 0.000000 USD 112795.320000 USD -505.970000 N N N N/A N/A 000000000 1.000000 NC USD 12585.520000 0.0002552 N/A DCR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 0.000000 USD -305268.380000 USD 14099415.100000 USD 317853.900000 N N N N/A N/A 000000000 1.000000 NC USD 2819.160000 0.0000572 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 0.000000 USD -68452.520000 USD 3158268.980000 USD 71271.680000 N N N N/A N/A 000000000 1.000000 NC USD 11450.630000 0.0002322 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-18 0.000000 USD -105600.210000 USD 3032784.570000 USD 117050.840000 N N N N/A N/A 000000000 1.000000 NC USD 9175.320000 0.0001860 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 -70627.470000 USD 1650000.000000 USD 79802.790000 N N N N/A N/A 000000000 1.000000 NC USD 397041.120000 0.0080502 N/A DCR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX.NA.AAA.8 N/A N/A Y Single Leg Swap 2057-10-18 0.000000 USD -3276101.300000 USD 71400000.000000 USD 3673142.420000 N N N N/A N/A 000000000 -1500000.000000 NC USD -370.200000 -0.0000075 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written GNMA PASS THRU POOLS GNMA II TBA 3.0% APR 30YR JMBO N/A 101.190000 USD 2022-04-14 XXXX 5137.610000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT N/A 05525DAA4 900000.000000 PA USD 892312.830000 0.0180920 Long ABS-MBS CORP US N 2 2034-03-15 Floating 1.597 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ N/A 05492HAA4 3500000.000000 PA USD 3483384.450000 0.0706270 Long ABS-MBS CORP US N 2 2036-04-15 Floating 1.447 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2007-1 N/A 059496BF5 1700547.840000 PA USD 1611884.680000 0.0326816 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 Y N N N N N BANC OF AMERICA COMM MRTG INC 2007-5 N/A 05952CAH3 42352722.550000 PA USD 42530290.570000 0.8623181 Long ABS-MBS CORP US N 2 2051-02-10 Variable 5.82291 Y N N N N N BANC OF AMERICA FUNDING CORP 2005-B N/A 05946XSG9 294814.650000 PA USD 295120.580000 0.0059837 Long ABS-MBS CORP US N 2 2035-04-20 Floating 1.12357 N N N N N N N/A N/A 000000000 1.000000 NC USD 218.470000 0.0000044 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 LONG BEACH MORTGAGE LOAN TRUST 2003-3 LBMLT 2003-3 M3 1MLIB+350 Y Single Leg Swap 2033-07-26 0.000000 USD 0.000000 USD 77602.070000 USD 218.470000 N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAA1 664050.820000 PA USD 662465.660000 0.0134317 Long ABS-MBS CORP US N 2 2046-09-20 Floating 2.68645 Y N N N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAU7 3053969.680000 PA USD 2532464.350000 0.0513467 Long ABS-MBS CORP US N 2 2036-10-20 Floating 0.82857 N N N N N N BANC OF AMERICA FUNDING CORP 2006-I N/A 05951VAJ8 213334.940000 PA USD 188804.810000 0.0038281 Long ABS-MBS CORP US N 2 2046-10-20 Floating 2.39533 Y N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 5892.890000 PA USD 5720.860000 0.0001160 Long ABS-MBS CORP US N 2 2047-01-20 Floating 3.48177 Y N N N N N BANC OF AMERICA FUNDING TRUST 2015-R5 N/A 05990WAD2 78289840.000000 PA USD 73784048.330000 1.4960002 Long ABS-MBS CORP US N 2 2036-10-26 Floating 0.31686 N N N N N N BANC OF AMERICA MORTGAGE SECURITIES 2003-K N/A 05948XZB0 48732.080000 PA USD 49237.330000 0.0009983 Long ABS-MBS CORP US N 2 2033-12-25 Floating 2.12149 N N N N N N N/A N/A 000000000 1.000000 NC USD 5.440000 0.0000001 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 STRUCTURED ASSET INVST LN TR 2004-10 SAIL 2004-10 M3 1MLIB+130 Y Single Leg Swap 2034-11-28 0.000000 USD -413.950000 USD 440.370000 USD 419.390000 N N N N/A N/A 000000000 -23300000.000000 NC USD -625537.430000 -0.0126830 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.817 04/05/22 LCH 2032-04-05 0.000000 USD 0.000000 USD N/A USD N/A 1.820000 USD 2022-04-01 XXXX -510435.430000 N N N N/A N/A 000000000 -23300000.000000 NC USD -2.330000 0.0000000 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.417 04/05/22 LCH 2032-04-05 0.000000 USD 0.000000 USD N/A USD N/A 1.420000 USD 2022-04-01 XXXX 115099.670000 N N N N/A N/A 000000000 -11800000.000000 NC USD -259212.960000 -0.0052556 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.872 04/06/22 LCH 2032-04-06 0.000000 USD 0.000000 USD N/A USD N/A 1.870000 USD 2022-04-04 XXXX -198442.960000 N N N N/A N/A 000000000 -11800000.000000 NC USD -1.180000 0.0000000 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.472 04/06/22 LCH 2032-04-06 0.000000 USD 0.000000 USD N/A USD N/A 1.470000 USD 2022-04-04 XXXX 60768.820000 N N N N/A N/A 000000000 -17800000.000000 NC USD -203454.000000 -0.0041251 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.25 06/17/22 LCH 2027-06-17 0.000000 USD 0.000000 USD N/A USD N/A 2.250000 USD 2022-06-15 XXXX -132476.500000 N N N N/A N/A 000000000 -17800000.000000 NC USD -20968.400000 -0.0004251 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.55 06/17/22 LCH 2027-06-17 0.000000 USD 0.000000 USD N/A USD N/A 1.550000 USD 2022-06-15 XXXX 50009.100000 N N N N/A N/A 000000000 -12300000.000000 NC USD -22199.040000 -0.0004501 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.67 06/21/22 LCH 2027-06-21 0.000000 USD 0.000000 USD N/A USD N/A 1.670000 USD 2022-06-16 XXXX 28230.960000 N N N N/A N/A 000000000 -12300000.000000 NC USD -108397.440000 -0.0021978 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.37 06/21/22 LCH 2027-06-21 0.000000 USD 0.000000 USD N/A USD N/A 2.370000 USD 2022-06-16 XXXX -57967.440000 N N N N/A N/A 000000000 -7400000.000000 NC USD -3930.880000 -0.0000797 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.785 04/21/22 LCH 2029-04-21 0.000000 USD 0.000000 USD N/A USD N/A 1.780000 USD 2022-04-19 XXXX 15401.620000 N N N N/A N/A 000000000 -7400000.000000 NC USD -45868.160000 -0.0009300 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.185 04/21/22 LCH 2029-04-21 0.000000 USD 0.000000 USD N/A USD N/A 2.190000 USD 2022-04-19 XXXX -26535.660000 N N N N/A N/A 000000000 -12100000.000000 NC USD -63741.590000 -0.0012924 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.605 06/28/22 LCH 2027-06-28 0.000000 USD 0.000000 USD N/A USD N/A 2.610000 USD 2022-06-24 XXXX -3211.340000 N N N N/A N/A 000000000 -12100000.000000 NC USD -49257.890000 -0.0009987 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.905 06/28/22 LCH 2027-06-28 0.000000 USD 0.000000 USD N/A USD N/A 1.910000 USD 2022-06-24 XXXX 11272.360000 N N N N/A N/A 000000000 -10700000.000000 NC USD -63647.880000 -0.0012905 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.955 10/04/22 LCH 2027-10-04 0.000000 USD 0.000000 USD N/A USD N/A 2.960000 USD 2022-09-30 XXXX 11252.120000 N N N N/A N/A 000000000 -10700000.000000 NC USD -58315.000000 -0.0011824 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.755 10/04/22 LCH 2027-10-04 0.000000 USD 0.000000 USD N/A USD N/A 1.750000 USD 2022-09-30 XXXX 9095.000000 N N N N/A N/A 000000000 -10700000.000000 NC USD -320269.190000 -0.0064936 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.62 04/18/22 LCH 2027-04-18 0.000000 USD 0.000000 USD N/A USD N/A 1.620000 USD 2022-04-13 XXXX -286296.690000 N N N N/A N/A 000000000 -10700000.000000 NC USD -5.350000 -0.0000001 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.17 04/18/22 LCH 2027-04-18 0.000000 USD 0.000000 USD N/A USD N/A 1.170000 USD 2022-04-13 XXXX 33967.150000 N N N N/A N/A 000000000 -8000000.000000 NC USD -42.400000 -0.0000009 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.2825 04/22/22 LCH 2027-04-22 0.000000 USD 0.000000 USD N/A USD N/A 1.280000 USD 2022-04-20 XXXX 27597.600000 N N N N/A N/A 000000000 -8000000.000000 NC USD -181043.200000 -0.0036707 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.7825 04/22/22 LCH 2027-04-22 0.000000 USD 0.000000 USD N/A USD N/A 1.780000 USD 2022-04-20 XXXX -153403.200000 N N N N/A N/A 000000000 -8100000.000000 NC USD -187803.360000 -0.0038078 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.7875 05/03/22 LCH 2027-05-03 0.000000 USD 0.000000 USD N/A USD N/A 1.790000 USD 2022-04-28 XXXX -159757.110000 N N N N/A N/A 000000000 -8100000.000000 NC USD -183.060000 -0.0000037 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.2875 05/03/22 LCH 2027-05-03 0.000000 USD 0.000000 USD N/A USD N/A 1.290000 USD 2022-04-28 XXXX 27863.190000 N N N N/A N/A 000000000 -363700000.000000 NC USD -5998685.950000 -0.1216257 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.27000 11/04/22-1Y (RED) LCH N/A N/A 2023-11-04 0.000000 USD 0.000000 USD N/A USD N/A 1.270000 USD 2022-11-02 XXXX -5274178.450000 N N N N/A N/A 000000000 -363700000.000000 NC USD -13820.600000 -0.0002802 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 0.87000 11/04/22-1Y (RED) LCH N/A N/A 2023-11-04 0.000000 USD 0.000000 USD N/A USD N/A 0.870000 USD 2022-11-02 XXXX 710686.900000 N N N N/A N/A 000000000 1.000000 NC USD 87729.410000 0.0017787 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.90000 10/04/22-5Y MYC 2027-10-04 0.000000 USD 0.000000 USD N/A USD N/A USD 2.900000 USD 2022-10-04 Y 2027-10-04 3615.000000 USD 0.000000 USD 48200000.000000 USD 84114.410000 N N N N/A N/A 000000000 1.000000 NC USD -12180713.530000 -0.2469687 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-16 0.000000 USD -4150111.090000 USD 149200000.000000 USD -8030602.440000 N N N N/A N/A 000000000 1.000000 NC USD -14543431.860000 -0.2948737 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-16 0.000000 USD -7148874.540000 USD 128949000.000000 USD -7394557.320000 N N N N/A N/A 000000000 1.000000 NC USD -6085383.280000 -0.1233835 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-06-16 0.000000 USD -3914049.050000 USD 44422000.000000 USD -2171334.230000 N N N N/A N/A 000000000 1.000000 NC USD 610081.560000 0.0123696 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-05-06 0.000000 USD -13887.500000 USD 10100000.000000 USD 623969.060000 N N N N/A N/A 000000000 1.000000 NC USD -262568.310000 -0.0053237 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-01-26 0.000000 USD -12150.000000 USD 10800000.000000 USD -250418.310000 N N N N/A N/A 000000000 1.000000 NC USD -99655.880000 -0.0020206 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-17 442535.400000 USD 0.000000 USD 37900000.000000 USD -542191.280000 N N N N/A N/A 000000000 1.000000 NC USD 1002010.400000 0.0203161 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-12-16 40454.860000 USD 0.000000 USD 9102000.000000 USD 961555.540000 N N N N/A N/A 000000000 1.000000 NC USD 14345944.390000 0.2908696 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-16 13167798.390000 USD 0.000000 USD 65800000.000000 USD 1178146.000000 N N N N/A N/A 000000000 1.000000 NC USD 27326541.650000 0.5540562 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 13562788.920000 USD 0.000000 USD 320180000.000000 USD 13763752.730000 N N N N/A N/A 000000000 1.000000 NC USD 134571.500000 0.0027285 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-15 0.000000 USD -53986.420000 USD 2500000.000000 USD 188557.920000 N N N N/A N/A 000000000 1.000000 NC USD -585789.310000 -0.0118771 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-09-28 0.000000 USD -16119.000000 USD 8100000.000000 USD -569670.310000 N N N N/A N/A 000000000 1.000000 NC USD 497317.840000 0.0100833 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-12-22 0.000000 USD -18408.000000 USD 7800000.000000 USD 515725.840000 N N N N/A N/A 000000000 1.000000 NC USD -703910.980000 -0.0142721 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-01-04 0.000000 USD -32625.000000 USD 14500000.000000 USD -671285.980000 N N N N/A N/A 000000000 1.000000 NC USD 859925.030000 0.0174353 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-09-08 0.000000 USD -49490.000000 USD 10100000.000000 USD 909415.030000 N N N N/A N/A 000000000 1.000000 NC USD -238678.590000 -0.0048393 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-01-20 0.000000 USD -8125.000000 USD 5000000.000000 USD -230553.590000 N N N N/A N/A 000000000 1.000000 NC USD -482425.310000 -0.0097814 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-01-19 0.000000 USD -25882.500000 USD 10200000.000000 USD -456542.810000 N N N N/A N/A 000000000 1.000000 NC USD 613576.860000 0.0124405 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-21 1178479.670000 USD 0.000000 USD 13600000.000000 USD -564902.810000 N N N N/A N/A 000000000 1.000000 NC USD -437478.310000 -0.0088700 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-10-06 0.000000 USD -17651.880000 USD 6100000.000000 USD -419826.430000 N N N N/A N/A 000000000 1.000000 NC USD -1966341.650000 -0.0398683 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-12-15 706463.600000 USD 0.000000 USD 35446000.000000 USD -2672805.250000 N N N N/A N/A 000000000 1.000000 NC USD 740294.090000 0.0150097 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-12-18 367060.600000 USD 0.000000 USD 11800000.000000 USD 373233.490000 N N N N/A N/A 000000000 1.000000 NC USD -168661.230000 -0.0034197 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-01-22 0.000000 USD -6825.000000 USD 3000000.000000 USD -161836.230000 N N N N/A N/A 000000000 1.000000 NC USD -3832713.700000 -0.0777098 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-01-19 0.000000 USD -186825.000000 USD 23500000.000000 USD -3645888.700000 N N N N/A N/A 000000000 1.000000 NC USD -419860.110000 -0.0085128 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-10-15 0.000000 USD -14335.000000 USD 6100000.000000 USD -405525.110000 N N N N/A N/A 000000000 1.000000 NC USD -276692.340000 -0.0056100 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-10-22 0.000000 USD -11400.000000 USD 4000000.000000 USD -265292.340000 N N N N/A N/A 000000000 1.000000 NC USD -273924.610000 -0.0055539 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-10-27 0.000000 USD -10750.000000 USD 4000000.000000 USD -263174.610000 N N N N/A N/A 000000000 1.000000 NC USD -4063469.030000 -0.0823884 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-01-11 0.000000 USD -216140.000000 USD 101000000.000000 USD -3847329.030000 N N N N/A N/A 000000000 1.000000 NC USD -213421.660000 -0.0043272 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-01-12 0.000000 USD -10891.500000 USD 5300000.000000 USD -202530.160000 N N N N/A N/A 000000000 1.000000 NC USD -433328.210000 -0.0087859 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-02-16 0.000000 USD -28080.000000 USD 10400000.000000 USD -405248.210000 N N N N/A N/A 000000000 1.000000 NC USD -250982.120000 -0.0050888 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-01-26 0.000000 USD -13145.250000 USD 5100000.000000 USD -237836.870000 N N N N/A N/A 000000000 1.000000 NC USD -320364.150000 -0.0064955 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2032-01-26 0.000000 USD -16625.000000 USD 5000000.000000 USD -303739.150000 N N N N/A N/A 000000000 1.000000 NC USD -1369714.500000 -0.0277715 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-03-06 0.000000 USD -122821.880000 USD 99000000.000000 USD -1246892.620000 N N N N/A N/A 000000000 1.000000 NC USD -225602.620000 -0.0045742 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2032-01-12 0.000000 USD -12710.000000 USD 4000000.000000 USD -212892.620000 N N N N/A N/A 000000000 1.000000 NC USD 2259356.990000 0.0458093 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 -587371.760000 USD 49400000.000000 USD 2846728.750000 N N N N/A N/A 000000000 1.000000 NC USD 1237052.320000 0.0250817 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 2399280.920000 USD 0.000000 USD 40500000.000000 USD -1162228.600000 N N N N/A N/A 000000000 1.000000 NC USD 1956189.950000 0.0396625 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 3695783.210000 USD 0.000000 USD 64900000.000000 USD -1739593.260000 N N N N/A N/A 000000000 1.000000 NC USD -198015.160000 -0.0040148 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2032-02-02 0.000000 USD -13775.000000 USD 3800000.000000 USD -184240.160000 N N N N/A N/A 000000000 1.000000 NC USD -99693.050000 -0.0020213 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2052-01-24 0.000000 USD -8500.000000 USD 1000000.000000 USD -91193.050000 N N N N/A N/A 000000000 1.000000 NC USD -88182.470000 -0.0017879 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2052-01-26 0.000000 USD -9300.000000 USD 1000000.000000 USD -78882.470000 N N N N/A N/A 000000000 1.000000 NC USD 1492859.740000 0.0302683 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-23 0.000000 USD -171750.000000 USD 22900000.000000 USD 1664609.740000 N N N N/A N/A 000000000 1.000000 NC USD 4482927.180000 0.0908931 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-23 0.000000 USD -521640.000000 USD 69000000.000000 USD 5004567.180000 N N N N/A N/A 000000000 1.000000 NC USD 62416.540000 0.0012655 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2032-02-09 11875.000000 USD 0.000000 USD 1900000.000000 USD 50541.540000 N N N N/A N/A 000000000 1.000000 NC USD 829017.680000 0.0168087 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 -504953.870000 USD 28600000.000000 USD 1333971.550000 N N N N/A N/A 000000000 1.000000 NC USD 432577.350000 0.0087707 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 -13370.920000 USD 14100000.000000 USD 445948.270000 N N N N/A N/A 000000000 1.000000 NC USD -181727.170000 -0.0036846 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-06-15 434178.050000 USD 0.000000 USD 42500000.000000 USD -615905.220000 N N N N/A N/A 000000000 1.000000 NC USD 371403.690000 0.0075304 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 -25145.620000 USD 14800000.000000 USD 396549.310000 N N N N/A N/A 000000000 1.000000 NC USD 103457.290000 0.0020976 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2032-02-09 14105.000000 USD 0.000000 USD 3100000.000000 USD 89352.290000 N N N N/A N/A 000000000 1.000000 NC USD -4471943.520000 -0.0906704 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 -6234285.400000 USD 176400000.000000 USD 1762341.880000 N N N BANK OF AMERICA MTG SEC 2005-3 N/A 05949A6L9 237570.440000 PA USD 229855.820000 0.0046604 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.97284 N N N N N N BANK OF AMERICA MTG SEC 2005-I N/A 05949CHQ2 266980.590000 PA USD 267329.050000 0.0054202 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.74732 Y N N N N N BANK OF AMERICA MTGE SEC 2003-J N/A 05948XYQ8 10911.550000 PA USD 11161.770000 0.0002263 Long ABS-MBS CORP US N 2 2033-11-25 Floating 2.39927 N N N N N N N/A N/A 000000000 1.000000 NC USD 772138.080000 0.0156554 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-06-15 501192.040000 USD 0.000000 USD 12600000.000000 USD 270946.040000 N N N N/A N/A 000000000 1.000000 NC USD -320714.710000 -0.0065026 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -164653.440000 USD 4100000.000000 USD -156061.270000 N N N N/A N/A 000000000 1.000000 NC USD -3483730.780000 -0.0706340 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -3537958.350000 USD 41770000.000000 USD 54227.570000 N N N N/A N/A 000000000 1.000000 NC USD -1801422.300000 -0.0365245 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -1049077.030000 USD 22250000.000000 USD -752345.270000 N N N N/A N/A 000000000 1.000000 NC USD -202699.820000 -0.0041098 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-02-26 0.000000 USD -12367.500000 USD 6800000.000000 USD -190332.320000 N N N N/A N/A 000000000 1.000000 NC USD -3341927.460000 -0.0677589 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2029-02-09 0.000000 USD -243525.000000 USD 102000000.000000 USD -3098402.460000 N N N N/A N/A 000000000 1.000000 NC USD -251537.190000 -0.0051000 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-02-09 0.000000 USD -24000.000000 USD 6400000.000000 USD -227537.190000 N N N N/A N/A 000000000 1.000000 NC USD -200811.280000 -0.0040715 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-02-24 0.000000 USD -22570.000000 USD 6100000.000000 USD -178241.280000 N N N N/A N/A 000000000 1.000000 NC USD -423948.860000 -0.0085957 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -488231.050000 USD 11010000.000000 USD 64282.190000 N N N N/A N/A 000000000 1.000000 NC USD -1329749.730000 -0.0269612 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -1680034.490000 USD 36870000.000000 USD 350284.760000 N N N N/A N/A 000000000 1.000000 NC USD 5011654.720000 0.1016132 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2052-06-17 8314923.480000 USD 0.000000 USD 92800000.000000 USD -3303268.760000 N N N N/A N/A 000000000 1.000000 NC USD -64776.890000 -0.0013134 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-03-16 0.000000 USD -9875.250000 USD 2100000.000000 USD -54901.640000 N N N N/A N/A 000000000 1.000000 NC USD -164042.690000 -0.0033260 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-02-17 0.000000 USD -20306.250000 USD 5700000.000000 USD -143736.440000 N N N N/A N/A 000000000 1.000000 NC USD -146860.190000 -0.0029776 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2029-03-22 0.000000 USD -22737.500000 USD 8500000.000000 USD -124122.690000 N N N N/A N/A 000000000 1.000000 NC USD -163648.670000 -0.0033180 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-03-25 0.000000 USD -23661.250000 USD 11500000.000000 USD -139987.420000 N N N N/A N/A 000000000 1.000000 NC USD -90293.300000 -0.0018307 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-10-04 0.000000 USD 0.000000 USD 16870000.000000 USD -90293.300000 N N N BANK OF AMERICA MTGE SECURITIES 2004-E N/A 05949AHA1 126768.270000 PA USD 127949.030000 0.0025942 Long ABS-MBS CORP US N 2 2034-06-25 Floating 2.75917 N N N N N N N/A N/A 000000000 -3500000.000000 NC USD -110190.500000 -0.0022342 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.590000 USD 2022-04-06 XXXX -96518.620000 N N N N/A N/A 000000000 1900000.000000 NC USD 64864.100000 0.0013151 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.850000 USD 2022-04-06 XXXX 50762.540000 N N N N/A N/A 000000000 3000000.000000 NC USD 109212.900000 0.0022143 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 99.080000 USD 2022-04-06 XXXX 86947.270000 N N N N/A N/A 000000000 -2800000.000000 NC USD -56774.480000 -0.0011511 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% APR 30YR N/A 99.880000 USD 2022-04-06 XXXX -48461.980000 N N N N/A N/A 000000000 2500000.000000 NC USD 72852.750000 0.0014771 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.0% APR 30YR N/A 100.770000 USD 2022-04-06 XXXX 57227.750000 N N N N/A N/A 000000000 -2500000.000000 NC USD -41916.750000 -0.0008499 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 98.920000 USD 2022-05-05 XXXX -28733.160000 N N N N/A N/A 000000000 -1500000.000000 NC USD -32958.900000 -0.0006683 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.590000 USD 2022-05-05 XXXX -27099.520000 N N N N/A N/A 000000000 -9000000.000000 NC USD -155007.900000 -0.0031428 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 98.980000 USD 2022-05-05 XXXX -113523.520000 N N N N/A N/A 000000000 -1000000.000000 NC USD -22975.100000 -0.0004658 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 97.730000 USD 2022-04-06 XXXX -18912.600000 N N N N/A N/A 000000000 -500000.000000 NC USD -10942.700000 -0.0002219 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 97.630000 USD 2022-04-06 XXXX -9067.700000 N N N N/A N/A 000000000 -3000000.000000 NC USD -134712.300000 -0.0027313 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 97.320000 USD 2022-04-06 XXXX -119477.920000 N N N N/A N/A 000000000 -5000000.000000 NC USD -100427.500000 -0.0020362 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.360000 USD 2022-05-05 XXXX -80896.250000 N N N N/A N/A 000000000 -2500000.000000 NC USD -76168.500000 -0.0015443 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.480000 USD 2022-04-06 XXXX -66695.840000 N N N N/A N/A 000000000 -1900000.000000 NC USD -55216.850000 -0.0011195 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.340000 USD 2022-04-06 XXXX -48091.850000 N N N N/A N/A 000000000 -3500000.000000 NC USD -73791.550000 -0.0014962 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.480000 USD 2022-05-05 XXXX -57385.300000 N N N N/A N/A 000000000 -1500000.000000 NC USD -22953.450000 -0.0004654 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 96.340000 USD 2022-05-05 XXXX -14281.570000 N N N N/A N/A 000000000 -8000000.000000 NC USD -377480.000000 -0.0076536 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 100.160000 USD 2022-04-06 XXXX -339980.000000 N N N N/A N/A 000000000 -9000000.000000 NC USD -189749.700000 -0.0038472 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.480000 USD 2022-05-05 XXXX -130687.200000 N N N N/A N/A 000000000 -3000000.000000 NC USD -140805.900000 -0.0028549 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 97.520000 USD 2022-04-06 XXXX -126391.840000 N N N N/A N/A 000000000 -3000000.000000 NC USD -94214.100000 -0.0019102 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.580000 USD 2022-04-06 XXXX -77573.470000 N N N N/A N/A 000000000 -3000000.000000 NC USD -78751.800000 -0.0015967 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.060000 USD 2022-04-06 XXXX -66798.670000 N N N N/A N/A 000000000 -3900000.000000 NC USD -128510.850000 -0.0026056 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 96.130000 USD 2022-04-06 XXXX -109620.220000 N N N N/A N/A 000000000 -700000.000000 NC USD -21873.950000 -0.0004435 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.560000 USD 2022-04-06 XXXX -19248.950000 N N N N/A N/A 000000000 -1500000.000000 NC USD -1079.250000 -0.0000219 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.520000 USD 2022-05-05 XXXX 5776.220000 N N N N/A N/A 000000000 2500000.000000 NC USD 75439.250000 0.0015296 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 100.540000 USD 2022-05-05 XXXX 54345.500000 N N N N/A N/A 000000000 -3500000.000000 NC USD -88411.050000 -0.0017926 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.980000 USD 2022-05-05 XXXX -66262.610000 N N N N/A N/A 000000000 -1500000.000000 NC USD -46404.150000 -0.0009409 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.530000 USD 2022-04-06 XXXX -40603.370000 N N N N/A N/A 000000000 -2500000.000000 NC USD -67187.750000 -0.0013623 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.130000 USD 2022-04-06 XXXX -57422.120000 N N N N/A N/A 000000000 -900000.000000 NC USD -27210.690000 -0.0005517 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% APR 30YR N/A 100.880000 USD 2022-04-06 XXXX -24679.440000 N N N N/A N/A 000000000 -4000000.000000 NC USD -206333.200000 -0.0041835 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 97.990000 USD 2022-04-06 XXXX -182270.700000 N N N N/A N/A 000000000 -1500000.000000 NC USD -33294.900000 -0.0006751 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 97.660000 USD 2022-04-06 XXXX -27611.310000 N N N N/A N/A 000000000 -900000.000000 NC USD -26577.090000 -0.0005389 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.390000 USD 2022-04-06 XXXX -23202.090000 N N N N/A N/A 000000000 -1900000.000000 NC USD -31749.380000 -0.0006437 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 98.910000 USD 2022-05-05 XXXX -21655.630000 N N N N/A N/A 000000000 -8000000.000000 NC USD -337481.600000 -0.0068426 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 99.660000 USD 2022-04-06 XXXX -309981.600000 N N N N/A N/A 000000000 3000000.000000 NC USD 164710.800000 0.0033396 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 98.320000 USD 2022-04-06 XXXX 140335.800000 N N N N/A N/A 000000000 3500000.000000 NC USD 145188.050000 0.0029437 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 99.590000 USD 2022-04-06 XXXX 119211.490000 N N N N/A N/A 000000000 8000000.000000 NC USD 417477.600000 0.0084645 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 100.660000 USD 2022-04-06 XXXX 367477.600000 N N N N/A N/A 000000000 -1000000.000000 NC USD -0.010000 0.0000000 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 99.730000 USD 2022-04-06 XXXX 2812.490000 N N N N/A N/A 000000000 6000000.000000 NC USD 179530.800000 0.0036401 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.0% APR 30YR N/A 100.840000 USD 2022-04-06 XXXX 145780.800000 N N N N/A N/A 000000000 3500000.000000 NC USD 103880.700000 0.0021062 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 100.480000 USD 2022-05-05 XXXX 74349.450000 N N N N/A N/A 000000000 -1000000.000000 NC USD -19454.700000 -0.0003945 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.5% APR 30YR N/A 102.140000 USD 2022-04-06 XXXX -17814.070000 N N N N/A N/A 000000000 -1500000.000000 NC USD -1135.800000 -0.0000230 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.470000 USD 2022-05-05 XXXX 5778.260000 N N N N/A N/A 000000000 -1500000.000000 NC USD -56247.000000 -0.0011404 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 99.190000 USD 2022-04-06 XXXX -50153.250000 N N N N/A N/A 000000000 -1900000.000000 NC USD -3117.330000 -0.0000632 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 3.5% MAY 30YR N/A 101.000000 USD 2022-05-05 XXXX -148.580000 N N N N/A N/A 000000000 -4000000.000000 NC USD -203052.400000 -0.0041170 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 97.910000 USD 2022-04-06 XXXX -179302.400000 N N N N/A N/A 000000000 -2800000.000000 NC USD -70675.920000 -0.0014330 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% APR 30YR N/A 100.380000 USD 2022-04-06 XXXX -59300.920000 N N N N/A N/A 000000000 -6000000.000000 NC USD -149579.400000 -0.0030328 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% APR 30YR N/A 100.340000 USD 2022-04-06 XXXX -125204.400000 N N N N/A N/A 000000000 -3000000.000000 NC USD -149711.700000 -0.0030355 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 97.820000 USD 2022-04-06 XXXX -131664.820000 N N N N/A N/A 000000000 -1000000.000000 NC USD -450.700000 -0.0000091 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 99.010000 USD 2022-05-05 XXXX 3768.050000 N N N N/A N/A 000000000 4000000.000000 NC USD 226332.400000 0.0045890 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 98.490000 USD 2022-04-06 XXXX 193832.400000 N N N N/A N/A 000000000 -2500000.000000 NC USD -64333.000000 -0.0013044 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 100.040000 USD 2022-05-05 XXXX -48512.690000 N N N N/A N/A 000000000 -900000.000000 NC USD -14088.150000 -0.0002856 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 98.770000 USD 2022-05-05 XXXX -9306.900000 N N N N/A N/A 000000000 -1500000.000000 NC USD -1275.150000 -0.0000259 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.340000 USD 2022-05-05 XXXX 5521.730000 N N N N/A N/A 000000000 -4000000.000000 NC USD -183053.600000 -0.0037115 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 97.410000 USD 2022-04-06 XXXX -163053.600000 N N N N/A N/A 000000000 9000000.000000 NC USD 227342.700000 0.0046095 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.980000 USD 2022-05-05 XXXX 151405.200000 N N N N/A N/A 000000000 -3000000.000000 NC USD -92105.700000 -0.0018675 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.510000 USD 2022-04-06 XXXX -79918.200000 N N N N/A N/A 000000000 3000000.000000 NC USD 170804.400000 0.0034631 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 98.520000 USD 2022-04-06 XXXX 145257.520000 N N N N/A N/A 000000000 -6000000.000000 NC USD -119811.000000 -0.0024292 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% APR 30YR N/A 99.840000 USD 2022-04-06 XXXX -101998.500000 N N N N/A N/A 000000000 -1900000.000000 NC USD -1626.780000 -0.0000330 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 100.780000 USD 2022-05-05 XXXX 5498.220000 N N N N/A N/A 000000000 -2800000.000000 NC USD -1505.560000 -0.0000305 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.830000 USD 2022-05-05 XXXX 10744.440000 N N N N/A N/A 000000000 -2500000.000000 NC USD -64077.500000 -0.0012992 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% APR 30YR N/A 100.410000 USD 2022-04-06 XXXX -56265.000000 N N N N/A N/A 000000000 -2500000.000000 NC USD -39407.500000 -0.0007990 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 98.780000 USD 2022-05-05 XXXX -25637.970000 N N N N/A N/A 000000000 -2500000.000000 NC USD -2140.500000 -0.0000434 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 100.780000 USD 2022-05-05 XXXX 7234.500000 N N N N/A N/A 000000000 4000000.000000 NC USD 223051.200000 0.0045224 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 98.410000 USD 2022-04-06 XXXX 190551.200000 N N N N/A N/A 000000000 -3500000.000000 NC USD -70515.550000 -0.0014297 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.370000 USD 2022-05-05 XXXX -46999.920000 N N N N/A N/A 000000000 -2500000.000000 NC USD -51454.500000 -0.0010433 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.420000 USD 2022-05-05 XXXX -34852.940000 N N N N/A N/A 000000000 -1900000.000000 NC USD -45873.980000 -0.0009301 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 97.850000 USD 2022-04-06 XXXX -38452.100000 N N N N/A N/A 000000000 -2500000.000000 NC USD -60378.750000 -0.0012242 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% APR 30YR N/A 100.270000 USD 2022-04-06 XXXX -48660.000000 N N N N/A N/A 000000000 -3000000.000000 NC USD -79220.100000 -0.0016062 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.080000 USD 2022-04-06 XXXX -67501.350000 N N N N/A N/A 000000000 -2800000.000000 NC USD -83121.640000 -0.0016853 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.410000 USD 2022-04-06 XXXX -71746.640000 N N N N/A N/A 000000000 -3500000.000000 NC USD -108823.050000 -0.0022064 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.550000 USD 2022-04-06 XXXX -95151.170000 N N N N/A N/A 000000000 -1900000.000000 NC USD -55365.430000 -0.0011226 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.350000 USD 2022-04-06 XXXX -44826.370000 N N N N/A N/A 000000000 -4000000.000000 NC USD -186334.400000 -0.0037780 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 97.490000 USD 2022-04-06 XXXX -166021.900000 N N N N/A N/A 000000000 -3500000.000000 NC USD -127688.750000 -0.0025889 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 99.090000 USD 2022-04-06 XXXX -109095.000000 N N N N/A N/A 000000000 2800000.000000 NC USD 84655.480000 0.0017164 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.0% APR 30YR N/A 100.880000 USD 2022-04-06 XXXX 68796.100000 N N N N/A N/A 000000000 -1900000.000000 NC USD -40899.780000 -0.0008293 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.540000 USD 2022-05-05 XXXX -31993.530000 N N N N/A N/A 000000000 -1000000.000000 NC USD -33693.700000 -0.0006832 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 96.200000 USD 2022-04-06 XXXX -29123.390000 N N N N/A N/A 000000000 -2500000.000000 NC USD -48000.000000 -0.0009732 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% APR 30YR N/A 99.770000 USD 2022-04-06 XXXX -40187.500000 N N N N/A N/A 000000000 -16000000.000000 NC USD -482480.000000 -0.0097825 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.450000 USD 2022-04-06 XXXX -414980.000000 N N N N/A N/A 000000000 -1900000.000000 NC USD -34381.260000 -0.0006971 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.100000 USD 2022-05-05 XXXX -24287.510000 N N N N/A N/A 000000000 -3000000.000000 NC USD -155805.000000 -0.0031590 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 98.020000 USD 2022-04-06 XXXX -137406.560000 N N N N/A N/A 000000000 -1900000.000000 NC USD -29949.700000 -0.0006072 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 98.780000 USD 2022-05-05 XXXX -20152.820000 N N N N/A N/A 000000000 3500000.000000 NC USD 84899.500000 0.0017214 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.870000 USD 2022-05-05 XXXX 55368.250000 N N N N/A N/A 000000000 -1000000.000000 NC USD -658.500000 -0.0000134 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.620000 USD 2022-05-05 XXXX 3872.750000 N N N N/A N/A 000000000 -3500000.000000 NC USD -57304.100000 -0.0011619 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 98.870000 USD 2022-05-05 XXXX -41171.290000 N N N N/A N/A 000000000 -1000000.000000 NC USD -814.200000 -0.0000165 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.390000 USD 2022-05-05 XXXX 3795.180000 N N N N/A N/A 000000000 -3000000.000000 NC USD -107291.700000 -0.0021754 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 96.410000 USD 2022-04-06 XXXX -92291.700000 N N N N/A N/A 000000000 -1500000.000000 NC USD -1095.150000 -0.0000222 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.510000 USD 2022-05-05 XXXX 6170.480000 N N N N/A N/A 000000000 -2500000.000000 NC USD -53815.500000 -0.0010911 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.540000 USD 2022-05-05 XXXX -42096.750000 N N N N/A N/A 000000000 2500000.000000 NC USD 61808.500000 0.0012532 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.920000 USD 2022-05-05 XXXX 39542.870000 N N N N/A N/A 000000000 -73.000000 NC USD -33078.490000 -0.0006707 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/21/22 2022-06-22 N/A USD N/A 125.000000 USD 2022-05-20 XXXX 10034.580000 N N N N/A N/A 000000000 -73.000000 NC USD -31479.640000 -0.0006383 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/21/22 2022-06-22 N/A USD N/A 120.000000 USD 2022-05-20 XXXX 7427.900000 N N N N/A N/A 000000000 -2189.000000 NC USD 8445126.980000 0.1712282 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-21 -268682649.530000 USD 8445126.980000 N N N N/A N/A 000000000 809.000000 NC USD -2342297.320000 -0.0474910 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-30 171340511.110000 USD -2342297.320000 N N N N/A N/A 000000000 -172.000000 NC USD 553090.770000 0.0112141 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-30 -19702734.330000 USD 553090.770000 N N N N/A N/A 000000000 488.000000 NC USD -2174853.500000 -0.0440960 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-21 73268625.000000 USD -2174853.500000 N N N BEAR STEARNS MTGE SEC INC 1997-6 N/A 073914WC3 3455.150000 PA USD 3521.910000 0.0000714 Long ABS-MBS CORP US N 2 2030-06-25 Floating 1.98164 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 2602671.350000 PA USD 2242043.130000 0.0454583 Long ABS-MBS CORP US N 2 2036-01-26 Floating 2.72768 Y N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 3053400.760000 PA USD 2621659.660000 0.0531552 Long ABS-MBS CORP US N 2 2046-12-26 Floating 2.33951 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-3 N/A 07384MUW0 92122.720000 PA USD 87032.680000 0.0017646 Long ABS-MBS CORP US N 2 2033-05-25 Floating 2.7684 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN57 52007.220000 PA USD 49327.230000 0.0010001 Long ABS-MBS CORP US N 2 2034-05-25 Floating 3.00096 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-7 N/A 07384MX98 42346.010000 PA USD 28298.220000 0.0005738 Long ABS-MBS CORP US N 2 2034-10-25 Floating 0 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2005-6 N/A 07387ADJ1 606488.520000 PA USD 600743.130000 0.0121803 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.33694 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-3 N/A 073881AA2 282880.360000 PA USD 277286.370000 0.0056221 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.13275 Y N N N N N BEAR STEARNS ADJUST RT MTGE TR 2000- N/A 07384MAA0 26607.470000 PA USD 26269.710000 0.0005326 Long ABS-MBS CORP US N 2 2030-11-25 Floating 2.77891 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZS4 22057.810000 PA USD 21750.110000 0.0004410 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.08981 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1 N/A 07384MH70 51585.280000 PA USD 49278.300000 0.0009991 Long ABS-MBS CORP US N 2 2034-04-25 Floating 2.42788 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-12 N/A 07384M6Q0 143322.680000 PA USD 143531.010000 0.0029101 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.86021 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGC3 75310.520000 PA USD 74238.540000 0.0015052 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.26059 Y N N N N N BEAR STEARNS ALT-A TR 2005-3 N/A 07386HSN2 27294.160000 PA USD 27579.320000 0.0005592 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.48303 N N N N N N BEAR STEARNS ALT-A TRUST 2003-5 N/A 07386HDM0 201641.000000 PA USD 206530.650000 0.0041875 Long ABS-MBS CORP US N 2 2033-12-25 Fixed 2.59339 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HZJ3 514043.810000 PA USD 511387.030000 0.0103686 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 2.59063 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-5 N/A 07386HUJ8 9127830.240000 PA USD 7176815.860000 0.1455127 Long ABS-MBS CORP US N 2 2035-07-25 Variable 2.55151 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYB1 936377.490000 PA USD 644965.770000 0.0130769 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.7488 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-1 N/A 07386HB75 3150008.980000 PA USD 2592090.410000 0.0525556 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.93126 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AN5 1879733.560000 PA USD 1366307.460000 0.0277024 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.69441 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AK7 1027827.390000 PA USD 636798.890000 0.0129113 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.29161 Y N N N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MQ70 256.340000 PA USD 244.950000 0.0000050 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.03904 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384MZ96 111061.380000 PA USD 106691.530000 0.0021632 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.60159 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 2141.370000 PA USD 1961.160000 0.0000398 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.83814 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005-HE4 N/A 073879TU2 194523.130000 PA USD 194345.300000 0.0039404 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.41657 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC4 N/A 07388WAA4 13175869.070000 PA USD 11999036.020000 0.2432851 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.70657 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A 07384YGX8 83817.410000 PA USD 82263.590000 0.0016679 Long ABS-MBS CORP US N 2 2042-11-25 Floating 1.45657 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A 07384YGY6 51276.540000 PA USD 50700.230000 0.0010280 Long ABS-MBS CORP US N 2 2042-11-25 Floating 1.95657 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A 07384YHA7 281322.280000 PA USD 305321.260000 0.0061905 Long ABS-MBS CORP US N 2 2042-11-25 Floating 2.10657 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-3 N/A 07384YLS3 401994.590000 PA USD 390392.100000 0.0079154 Long ABS-MBS CORP US N 2 2043-06-25 Floating 1.63657 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC5 N/A 07384YMA1 134055.150000 PA USD 139794.040000 0.0028344 Long ABS-MBS CORP US N 2 2033-10-25 Variable 5.75 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC7 N/A 07384YPH3 23368.220000 PA USD 22898.670000 0.0004643 Long ABS-MBS CORP US N 2 2034-01-25 Variable 5.5 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE10 N/A 073879X45 947432.360000 PA USD 922676.620000 0.0187076 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.50657 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE3 N/A 073879SA7 3000000.000000 PA USD 2975013.300000 0.0603195 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.57157 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC1 N/A 07387UCT6 68933.200000 PA USD 56375.260000 0.0011430 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.5 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE1 N/A 0738796R4 6462000.000000 PA USD 6442685.080000 0.1306279 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.14657 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3 N/A 073888BF5 216163.410000 PA USD 215194.950000 0.0043632 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 2.67009 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6 N/A 07387YAA1 1791963.250000 PA USD 1787225.660000 0.0362367 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.70657 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7 N/A 07387VAD1 3566515.560000 PA USD 3332405.200000 0.0675658 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.45657 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7 N/A 07387VAF6 1830416.370000 PA USD 1752872.240000 0.0355402 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.45657 N N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 414972.380000 PA USD 403787.380000 0.0081869 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.77657 N N N N N N BEAR STEARNS ASSETBACKED SEC 2001-3 N/A 07384YBM7 12827.440000 PA USD 12680.920000 0.0002571 Long ABS-MBS CORP US N 2 2032-10-27 Floating 1.25657 N N N N N N BEAR STEARNS ASSETBACKED SEC 2003-S N/A 07384YKL9 270532.010000 PA USD 262369.360000 0.0053196 Long ABS-MBS CORP US N 2 2033-12-25 Floating 1.35657 N N N N N N BEAR STEARNS ASSETBACKED SEC 2004-AC3 N/A 073879BN7 232874.850000 PA USD 234626.770000 0.0047571 Long ABS-MBS CORP US N 2 2034-06-25 Variable 5.5 N N N N N N BEAR STEARNS ASSETBACKED SEC 2005-C N/A 073879V21 39276.290000 PA USD 38106.020000 0.0007726 Long ABS-MBS CORP US N 2 2034-09-25 Floating 0.95657 N N N N N N BEAR STEARNS ASSETBACKED SEC 2006-4 N/A 07389LAD1 4128000.000000 PA USD 3847675.360000 0.0780131 Long ABS-MBS CORP US N 2 2036-10-25 Variable 1.00657 Y N N N N N BEAR STEARNS ASSETBK SEC 2005-AQ2 N/A 0738792V9 337776.790000 PA USD 337364.740000 0.0068402 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.19157 Y N N N N N BEAR STEARNS ASSETBK SECU INC 2002- N/A 07384YEM4 10784.510000 PA USD 10696.740000 0.0002169 Long ABS-MBS CORP US N 2 2032-10-25 Floating 1.11657 N N N N N N BEAR STEARNS ASSETBK SECU INC 2002- N/A 07384YEN2 34510.470000 PA USD 34327.520000 0.0006960 Long ABS-MBS CORP US N 2 2032-10-25 Floating 1.65657 N N N N N N BELLA VISTA MORTGAGE TRUST 2004-2 N/A 07820QAY1 2371758.910000 PA USD 1738479.830000 0.0352484 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.19657 Y N N N N N BELLA VISTA MORTGAGE TRUST 2005-2 N/A 07820QCD5 1554929.600000 PA USD 1073711.390000 0.0217699 Long ABS-MBS CORP US N 2 2045-05-20 Floating 0.94857 Y N N N N N BENCHMARK MORTGAGE TRUST 2021-B25 N/A 08163DBV8 8809000.000000 PA USD 7950962.880000 0.1612089 Long ABS-MBS CORP US N 2 2054-04-15 Variable 2.99421 N N N N N N BENEFIT STREET PARTNERS CLO XVI LTD N/A 08181VAN5 7600000.000000 PA USD 7540908.330000 0.1528948 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 1.27129 N N N N N N BNC MORTGAGE LOAN TRUST 2007-3 N/A 05568QAA3 74895594.990000 PA USD 70242863.430000 1.4242013 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.66657 N N N N N N BXMT 2020-FL3 LTD N/A 05608XAA0 23500000.000000 PA USD 23360266.650000 0.4736385 Long ABS-MBS CORP KY N 2 2037-11-15 Floating 1.56448 N N N N N N CARLYLE US CLO LTD 2017-1A N/A 14314BAL1 8100000.010000 PA USD 8047350.010000 0.1631631 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.254 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2019-3A N/A 14686XAD1 501346.360000 PA USD 501566.100000 0.0101694 Long ABS-O CORP US N 2 2024-04-15 Fixed 2.51 N N N N N N CBAM 2018-5 LTD 5A N/A 12481QAC9 52680000.000000 PA USD 52337148.020000 1.0611560 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 1.26129 N N N N N N CDC MORTGAGE CAPITAL TRUST 2002-HE1 N/A 12506YAF6 6587.160000 PA USD 6516.870000 0.0001321 Long ABS-MBS CORP US N 2 2033-01-25 Floating 1.07657 N N N N N N CDC MORTGAGE CAPITAL TRUST 2002-HE2 N/A 12506YAL3 79129.800000 PA USD 80868.190000 0.0016396 Long ABS-MBS CORP US N 2 2033-01-25 Floating 1.50657 N N N N N N CENTEX HOME EQUITY 2004-C N/A 152314KR0 305078.330000 PA USD 296485.800000 0.0060114 Long ABS-MBS CORP US N 2 2034-06-25 Floating 1.17657 N N N N N N CENTEX HOME EQUITY 2004-D N/A 152314LM0 540711.950000 PA USD 543318.510000 0.0110160 Long ABS-MBS CORP US N 2 2034-09-25 Fixed 5.66 N N N N N N CENTEX HOME EQUITY 2004-D N/A 152314LR9 72045.430000 PA USD 73025.550000 0.0014806 Long ABS-MBS CORP US N 2 2034-09-25 Floating 1.49157 Y N N N N N CENTEX HOME EQUITY 2005-B N/A 152314NF3 1412577.990000 PA USD 1352525.490000 0.0274230 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.47657 N N N N N N CHASE FUND MTGE LN ASSET-BACKED 2003-3 N/A 161546FH4 1084.610000 PA USD 1022.280000 0.0000207 Long ABS-MBS CORP US N 2 2032-09-25 Fixed 4.537 N N N N N N CHASE FUND MTGE LN ASSET-BACKED 2003-3 N/A 161546FM3 482.950000 PA USD 475.820000 0.0000096 Long ABS-MBS CORP US N 2 2033-04-25 Floating 0.99657 N N N N N N CHASE FUNDING MTGE LN ASSET-BKD 2003-5 N/A 161546GS9 2291668.960000 PA USD 2245376.100000 0.0455259 Long ABS-MBS CORP US N 2 2033-05-25 Floating 1.35657 N N N N N N CHASE FUNDING MTGE LN ASSET-BKD 2003-6 N/A 161546HH2 1677.140000 PA USD 1638.350000 0.0000332 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.03657 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPJ2 681837.300000 PA USD 647647.050000 0.0131313 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.87751 Y N N N N N CHESAPEAKE FUNDING II LLC 2020-1A N/A 165183CJ1 710610.450000 PA USD 705029.810000 0.0142948 Long ABS-O CORP US N 2 2032-08-15 Fixed 0.87 N N N N N N CHESAPEAKE FUNDING II LLC 2020-1A N/A 165183CK8 710610.390000 PA USD 710778.240000 0.0144113 Long ABS-O CORP US N 2 2032-08-15 Floating 1.04657 N N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-1A N/A 16678RAV9 449208.000000 PA USD 440398.990000 0.0089293 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.687948 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 2900000.000000 PA USD 2883511.410000 0.0584643 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 1.20886 N N N N N N CIT GROUP HOME EQUITY LOAN TRUS 2002-2 N/A 12558MBC5 130802.320000 PA USD 130013.010000 0.0026361 Long ABS-MBS CORP US N 2 2031-12-25 Floating 1.43157 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1 N/A 17290YAR9 700000.000000 PA USD 695554.300000 0.0141026 Long ABS-MBS CORP US N 2 2049-05-10 Fixed 3.209 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37 N/A 17290XAU4 17313884.110000 PA USD 17341814.870000 0.3516120 Long ABS-MBS CORP US N 2 2049-04-10 Fixed 3.098 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-TBR N/A 17326MAA0 9200000.000000 PA USD 9074082.360000 0.1839805 Long ABS-MBS CORP US N 2 2036-12-15 Floating 1.227 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-TBR N/A 17326MAG7 2653000.000000 PA USD 2604105.740000 0.0527993 Long ABS-MBS CORP US N 2 2036-12-15 Floating 1.547 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB4 N/A 17307GMC9 92842.500000 PA USD 95496.910000 0.0019362 Long ABS-MBS CORP US N 2 2034-12-25 Floating 0.78657 N N N N N N CITIGROUP MORTGAGE LOAN TR 2006-AMC1 N/A 17309PAB2 10969921.920000 PA USD 10159233.720000 0.2059824 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.77657 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2013-A N/A 17320XAC8 683208.680000 PA USD 672469.190000 0.0136346 Long ABS-MBS CORP US N 2 2042-05-25 Variable 2.53645 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2015-3 N/A 17323LAQ0 600000.000000 PA USD 568370.880000 0.0115239 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.58657 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-C N/A 17328GAA1 476084.990000 PA USD 476104.560000 0.0096532 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3.228 N N N N N N CITIGROUP MTGE LOAN TR INC 2005-WF2 N/A 17307GVL9 1468502.720000 PA USD 1431519.800000 0.0290246 Long ABS-MBS CORP US N 2 2035-08-25 Variable 6.129 N N N N N N CITIGROUP MTGE LOAN TR INC 2005-WF2 N/A 17307GVM7 264404.520000 PA USD 259751.740000 0.0052666 Long ABS-MBS CORP US N 2 2035-08-25 Variable 6.05 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR6 N/A 17309RAJ1 5413369.040000 PA USD 5276524.480000 0.1069836 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.95657 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-SHL1 N/A 17309UAB1 610865.380000 PA USD 609827.400000 0.0123645 Long ABS-MBS CORP US N 2 2045-11-25 Floating 1.13157 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAT2 13435941.140000 PA USD 12495427.950000 0.2533497 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.59657 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAA3 652633.690000 PA USD 542827.420000 0.0110060 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.53657 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-WFH3 N/A 17313CAE9 24348000.000000 PA USD 22962435.670000 0.4655723 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.45686 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 4536.660000 PA USD 4520.460000 0.0000917 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.47 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 12467.890000 PA USD 12468.830000 0.0002528 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.47 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW95 369913.610000 PA USD 367457.310000 0.0074503 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.48 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-12 N/A 17307GY69 106730.020000 PA USD 102034.750000 0.0020688 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.25657 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTJ7 118908.280000 PA USD 121938.400000 0.0024723 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.82072 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 371933.720000 PA USD 373169.880000 0.0075662 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.86 N N N N N N CITYLINE COMMERCIAL MORTGAGE TRUST 2016-CLNE N/A 178772AA7 800000.000000 PA USD 792559.360000 0.0160694 Long ABS-MBS CORP US N 2 2031-11-10 Variable 2.7781 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAA8 4994583.380000 PA USD 4952072.980000 0.1004052 Long ABS-O CORP US N 2 2047-12-26 Floating 1.65657 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAB6 6815525.250000 PA USD 6774296.770000 0.1373515 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 12438728.450000 PA USD 12198092.540000 0.2473211 Long ABS-O CORP US N 2 2048-12-28 Fixed 3.28 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2021-A N/A 19424KAA1 7394550.720000 PA USD 7366259.910000 0.1493538 Long ABS-O CORP US N 2 2051-07-25 Floating 1.55657 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2021-A N/A 19424KAB9 12396746.040000 PA USD 11470730.190000 0.2325735 Long ABS-O CORP US N 2 2051-07-25 Fixed 1.6 N N N N N N COLONY AMERICAN FINANCE LTD 2020 3 N/A 21873CAA1 14009080.670000 PA USD 12973151.180000 0.2630357 Long ABS-MBS CORP US N 2 2053-08-15 Fixed 1.358 N N N N N N COMM MORTGAGE TRUST 2016-787S N/A 12635WAA5 3800000.000000 PA USD 3736085.140000 0.0757506 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 3.545 N N N N N N COMM MORTGAGE TRUST 2019-GC44 N/A 12655TBM0 1000000.000000 PA USD 970601.900000 0.0196793 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 2.95 N N N N N N COMMUNITY PROGRAM LOAN TRUST-1987-A N/A 204012AE8 16376.060000 PA USD 16224.500000 0.0003290 Long ABS-MBS CORP US N 2 2029-04-01 Fixed 4.5 N N N N N N CONSECO FINANCE SECURITIZATION 2000-3 N/A 20846QDJ4 22743048.570000 PA USD 7615723.600000 0.1544118 Long ABS-O CORP US N 2 2030-12-01 Variable 8.26 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA17 N/A 12668PAA0 6866033.500000 PA USD 6021908.920000 0.1220965 Long ABS-MBS CORP US N 2 2046-12-20 Floating 0.64357 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2004-J6 N/A 12667FRG2 23370.790000 PA USD 23441.780000 0.0004753 Long ABS-MBS CORP US N 2 2031-11-25 Fixed 6.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-14 N/A 12667GCC5 99011.050000 PA USD 83105.790000 0.0016850 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.95657 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-44 N/A 12667G3L5 2991978.440000 PA USD 2353418.730000 0.0477165 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.11657 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-44 N/A 12667G3S0 306744.390000 PA USD 301191.030000 0.0061068 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.07657 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACG8 178815.740000 PA USD 171631.070000 0.0034799 Long ABS-MBS CORP US N 2 2035-11-20 Floating 1.08657 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AGW9 299523.330000 PA USD 343621.550000 0.0069671 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.03657 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AHF5 1716418.450000 PA USD 1546610.940000 0.0313581 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.99657 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A 12668AVP7 453530.260000 PA USD 446628.160000 0.0090556 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.01657 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDE0 563485.860000 PA USD 532651.410000 0.0107997 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.14113 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-82 N/A 12668A5X9 84161.230000 PA USD 70434.820000 0.0014281 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.99657 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J4 N/A 12667GNH2 181517.310000 PA USD 181428.280000 0.0036785 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.41657 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB N/A 12668BLY7 69172.920000 PA USD 39971.810000 0.0008104 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19 N/A 12668RAA6 1534297.820000 PA USD 1254749.680000 0.0254405 Long ABS-MBS CORP US N 2 2047-02-20 Floating 0.62857 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OC6 N/A 23243DAC4 8959.000000 PA USD 49480.150000 0.0010032 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.77657 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB N/A 02149HAN0 279460.370000 PA USD 196945.310000 0.0039931 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.75 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-6 N/A 02150AAD3 383860.530000 PA USD 299264.620000 0.0060677 Long ABS-MBS CORP US N 2 2047-04-25 Fixed 5.75 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA2 N/A 02149LAA9 2649098.880000 PA USD 2394647.900000 0.0485524 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.98113 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6 N/A 02150PAB4 518110.180000 PA USD 495689.320000 0.0100503 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.85657 N N N N N N COUNTRYWIDE ALTERNATIVE LN TRUST 9CB N/A 12667GEP4 173839.350000 PA USD 163228.930000 0.0033095 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.95657 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL92 2567922.400000 PA USD 2516468.680000 0.0510224 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.94937 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 268705.810000 PA USD 263708.900000 0.0053468 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.83657 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAD8 584107.340000 PA USD 450222.580000 0.0091284 Long ABS-MBS CORP US N 2 2046-07-20 Floating 0.64857 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11 N/A 02151WAA0 7119972.990000 PA USD 6489391.870000 0.1315749 Long ABS-MBS CORP US N 2 2047-11-25 Floating 1.52113 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11 N/A 02151WAT9 3903836.270000 PA USD 3535523.760000 0.0716841 Long ABS-MBS CORP US N 2 2047-11-25 Floating 1.39113 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2003-J3 N/A 12669FFD0 15039.890000 PA USD 15014.970000 0.0003044 Long ABS-MBS CORP US N 2 2033-12-25 Fixed 6.25 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-16 N/A 12667GME0 1544410.970000 PA USD 1412763.530000 0.0286443 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.95657 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11 N/A 12668ART4 789665.290000 PA USD 564842.450000 0.0114524 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 261117.070000 PA USD 217714.710000 0.0044143 Long ABS-MBS CORP US N 2 2046-03-20 Floating 0.86857 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8 N/A 02147CAA1 2701735.300000 PA USD 2478638.430000 0.0502554 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.83657 N N N N N N COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC2 N/A 12668BRG0 218057.440000 PA USD 210916.320000 0.0042764 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.03657 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-22 N/A 12666BAA3 19903989.270000 PA USD 18991168.440000 0.3850533 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.59657 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2002-BC3 N/A 126671RE8 165640.750000 PA USD 162139.770000 0.0032874 Long ABS-MBS CORP US N 2 2032-05-25 Floating 1.35657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673AX0 16579.640000 PA USD 16182.600000 0.0003281 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.19657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BR2 292325.360000 PA USD 290339.010000 0.0058867 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.23657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BD3 1663586.740000 PA USD 1643475.470000 0.0333221 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.43157 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-9 N/A 126673GB2 2458362.500000 PA USD 2438418.790000 0.0494399 Long ABS-MBS CORP US N 2 2034-12-25 Fixed 5.125 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-10 N/A 126670AZ1 9500000.010000 PA USD 9290289.410000 0.1883642 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.41657 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-11 N/A 126670DC9 829654.280000 PA USD 829390.040000 0.0168162 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.25157 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-14 N/A 126670LS5 5499999.990000 PA USD 5438754.190000 0.1102729 Long ABS-MBS CORP US N 2 2036-04-25 Floating 1.55157 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-11 N/A 12666TAG1 8132407.950000 PA USD 8101285.220000 0.1642567 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.60657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-13 N/A 23242EAG4 8851225.430000 PA USD 8776624.650000 0.1779495 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.60657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-13 N/A 23242EAK5 5164904.120000 PA USD 5084896.660000 0.1030983 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.70657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-17 N/A 12666VAA9 1532812.910000 PA USD 1517801.150000 0.0307740 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.59657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAE1 18740000.000000 PA USD 17891554.000000 0.3627582 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.67657 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-3 N/A 126670WD6 14975000.000000 PA USD 14567542.230000 0.2953626 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.04157 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-6 N/A 126670ZJ0 1209014.070000 PA USD 1206975.910000 0.0244719 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.99657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 765821.420000 PA USD 747876.310000 0.0151635 Long ABS-MBS CORP US N 2 2047-08-25 Floating 1.19657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-7 N/A 12669VAE8 39229000.000000 PA USD 36812442.600000 0.7463866 Long ABS-MBS CORP US N 2 2047-10-25 Floating 0.74657 N N N N N N COUNTRYWIDE ASSET-BACKED CERTI 2003-SD2 N/A 126671ZD1 152151.110000 PA USD 149896.460000 0.0030392 Long ABS-MBS CORP US N 2 2032-09-25 Floating 1.45657 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7 N/A 232422AE5 8470436.830000 PA USD 8200337.470000 0.1662650 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.95657 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8 N/A 12669WAE6 97029.630000 PA USD 96821.310000 0.0019631 Long ABS-MBS CORP US N 2 2037-11-25 Floating 0.64657 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670HK7 6475000.000000 PA USD 6321271.850000 0.1281662 Long ABS-MBS CORP US N 2 2036-04-25 Floating 1.14657 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-15 N/A 126670MG0 40325.320000 PA USD 40336.440000 0.0008178 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.82657 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-17 N/A 126670QU5 306625.630000 PA USD 283565.330000 0.0057494 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.547 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-17 N/A 126670RE0 50400000.000000 PA USD 49259518.560000 0.9987559 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.17657 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-17 N/A 126670RF7 32300000.000000 PA USD 30497834.420000 0.6183554 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.23657 Y N N N N N COUNTRYWIDE HOME LOANS 2001-HYB1 N/A 12669B2X9 1542.300000 PA USD 1542.660000 0.0000313 Long ABS-MBS CORP US N 2 2031-06-19 Floating 2.0118 N N N N N N COUNTRYWIDE HOME LOANS 2003-58 N/A 12669FDH3 8362.940000 PA USD 8592.980000 0.0001742 Long ABS-MBS CORP US N 2 2034-02-19 Floating 2.47528 N N N N N N COUNTRYWIDE HOME LOANS 2003-58 N/A 12669E6K7 10787.610000 PA USD 10382.810000 0.0002105 Long ABS-MBS CORP US N 2 2034-02-19 Floating 2.41343 N N N N N N COUNTRYWIDE HOME LOANS 2003-60 N/A 12669FJC8 29348.930000 PA USD 29443.280000 0.0005970 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.16893 N N N N N N COUNTRYWIDE HOME LOANS 2003-HYB1 N/A 12669DC89 8586.580000 PA USD 8319.870000 0.0001687 Long ABS-MBS CORP US N 2 2033-05-19 Floating 2.99133 N N N N N N COUNTRYWIDE HOME LOANS 2003-HYB2 N/A 12669D2Y3 50407.310000 PA USD 51321.010000 0.0010406 Long ABS-MBS CORP US N 2 2033-07-19 Floating 3.03358 N N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN66 31629.560000 PA USD 32026.540000 0.0006494 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.09475 N N N N N N COUNTRYWIDE HOME LOANS 2004-16 N/A 12669FY31 78406.700000 PA USD 64635.320000 0.0013105 Long ABS-MBS CORP US N 2 2034-09-25 Floating 1.37657 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GKC4 440910.190000 PA USD 411906.810000 0.0083516 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.15657 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GKF7 51204.500000 PA USD 47388.500000 0.0009608 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.13657 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GKG5 73149.300000 PA USD 67346.340000 0.0013655 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.23657 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 50463.830000 PA USD 50840.950000 0.0010308 Long ABS-MBS CORP US N 2 2035-02-20 Floating 2.50455 N N N N N N COUNTRYWIDE HOME LOANS 2005-11 N/A 12669GUN9 9063.010000 PA USD 636.620000 0.0000129 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.5315 Y N N N N N COUNTRYWIDE HOME LOANS 2005-11 N/A 12669GUX7 23013.820000 PA USD 17999.880000 0.0003650 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.05657 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPN5 403240.740000 PA USD 353250.220000 0.0071623 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.09657 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 978362.310000 PA USD 945183.300000 0.0191640 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.09657 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTV3 13952.900000 PA USD 13080.210000 0.0002652 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.03657 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 67524.500000 PA USD 58868.330000 0.0011936 Long ABS-MBS CORP US N 2 2036-02-20 Floating 1.98513 Y N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 126830.040000 PA USD 126000.000000 0.0025547 Long ABS-MBS CORP US N 2 2036-02-20 Floating 1.99063 Y N N N N N COUNTRYWIDE HOME LOANS 2006-3 N/A 126694YJ1 10377885.030000 PA USD 9645042.380000 0.1955570 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.93657 N N N N N N COUNTRYWIDE HOME LOANS 2007-18 N/A 12544JAA4 99766.540000 PA USD 68927.430000 0.0013975 Long ABS-MBS CORP US N 2 2037-11-25 Fixed 6 Y N N N N N CREDIT ACCEPTANCE AUTO LOAN TRUST 2020-2 N/A 22535MAA7 8400000.000000 PA USD 8321586.840000 0.1687234 Long ABS-O CORP US N 2 2029-07-16 Fixed 1.37 N N N N N N CREDIT ACCEPTANCE AUTO LOAN TRUST 2020-2 N/A 22535MAC3 5200000.000000 PA USD 5089075.160000 0.1031830 Long ABS-O CORP US N 2 2029-09-17 Fixed 1.93 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB3 N/A 12489WQX5 5205670.550000 PA USD 5028736.050000 0.1019596 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.97657 N N N N N N CREDIT SUISSE ABS TRUST 2020-AT1 N/A 22551XAA2 7022850.900000 PA USD 6929197.670000 0.1404922 Long ABS-O CORP US N 2 2026-10-15 Fixed 2.61 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 57498.710000 PA USD 55000.120000 0.0011151 Long ABS-MBS CORP US N 2 2032-03-25 Floating 0.419662 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-AR28 N/A 22541QT85 80549.110000 PA USD 80276.040000 0.0016276 Long ABS-MBS CORP US N 2 2033-12-25 Floating 3.04911 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2005-1R N/A 22546MAQ9 201192.490000 PA USD 166078.040000 0.0033673 Long ABS-MBS CORP US N 2 2035-12-26 Fixed 5.75 Y N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-6 N/A 12639PAA6 210259.190000 PA USD 168325.100000 0.0034129 Long ABS-MBS CORP US N 2 2037-10-25 Variable 6.4205 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-13R N/A 12646ADL3 4205044.330000 PA USD 3382969.100000 0.0685910 Long ABS-MBS CORP US N 2 2036-02-27 Variable 3.09842 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP10 N/A 12597FAC4 716052.290000 PA USD 710694.360000 0.0144096 Long ABS-MBS CORP US N 2 2059-12-26 Fixed 2.942 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-NET N/A 126438AA8 1174600.630000 PA USD 1118256.090000 0.0226731 Long ABS-MBS CORP US N 2 2037-08-15 Fixed 2.2569 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL4 N/A 126405AE9 9794500.000000 PA USD 8757076.350000 0.1775531 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.75 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL4 N/A 126405AF6 7373425.000000 PA USD 6579960.410000 0.1334113 Long ABS-MBS CORP US N 2 2060-01-25 Variable 3.25 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9 N/A 12658XAC1 5514763.710000 PA USD 5267413.320000 0.1067988 Long ABS-MBS CORP US N 2 2061-02-25 Fixed 2.43639 N N N N N N CREDIT-BASED ASSET SER SEC 2001-CB4 N/A 12489WDY7 77430.710000 PA USD 77231.120000 0.0015659 Long ABS-MBS CORP US N 2 2033-11-25 Floating 1.35657 N N N N N N CREDIT-BASED ASSET SERV & SEC 2004-CB4 N/A 12489WJP0 253761.450000 PA USD 240351.250000 0.0048732 Long ABS-MBS CORP US N 2 2035-05-25 Variable 6.78 Y N N N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB8 N/A 59020UPS8 1377232.430000 PA USD 1356873.900000 0.0275111 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.77657 N N N N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4 N/A 12498QAC0 5417096.040000 PA USD 4185772.230000 0.0848682 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.75657 N N N N N N CS FIRST BOSTON MTG SEC 2003-1 N/A 2254W0FJ9 11650.830000 PA USD 12139.640000 0.0002461 Long ABS-MBS CORP US N 2 2033-02-25 Fixed 7 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 5391.740000 PA USD 5252.800000 0.0001065 Long ABS-MBS CORP US N 2 2032-01-25 Floating 1.07657 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-8 N/A 22541NT58 6921.870000 PA USD 6826.420000 0.0001384 Long ABS-MBS CORP US N 2 2033-04-25 Fixed 5.75 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR15 N/A 22541QCT7 109867.250000 PA USD 109325.320000 0.0022166 Long ABS-MBS CORP US N 2 2033-06-25 Floating 2.49712 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFC1 4584.460000 PA USD 4707.740000 0.0000955 Long ABS-MBS CORP US N 2 2033-07-25 Floating 2.10324 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR24 N/A 22541QUN0 64981.750000 PA USD 64115.860000 0.0013000 Long ABS-MBS CORP US N 2 2033-10-25 Floating 2.54709 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2004-AR8 N/A 22541SXR4 683121.950000 PA USD 768773.830000 0.0155872 Long ABS-MBS CORP US N 2 2034-09-25 Floating 1.60657 Y N N N N N CS FIRST BOSTON MTGE SEC CORP 2005-10 N/A 225470EH2 159248.330000 PA USD 143018.360000 0.0028998 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N CS FIRST BOSTON MTGE SEC. CORP 2002-AR33 N/A 22541NXW4 27341.600000 PA USD 24726.790000 0.0005013 Long ABS-MBS CORP US N 2 2032-12-25 Floating 2.34466 N N N N N N CSFB MORTGAGE SECURITIES CORP 2005-5 N/A 225458UE6 183734.890000 PA USD 189029.580000 0.0038326 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 6.25 N N N N N N CSMC 2020-FACT TRUST N/A 126395AA0 1000000.000000 PA USD 998215.800000 0.0202392 Long ABS-MBS CORP US N 2 2037-10-15 Floating 1.747 N N N N N N CSMC 2021-JR2 TRUST N/A 12659NAA6 1488386.610000 PA USD 1451101.190000 0.0294216 Long ABS-MBS CORP US N 2 2061-11-25 Variable 2.215 N N N N N N CSMC 2021-RPL2 TRUST N/A 12656TAD0 5626018.000000 PA USD 5060085.880000 0.1025952 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.75 N N N N N N CSMC 2021-RPL2 TRUST N/A 12656TAE8 3775397.000000 PA USD 3437038.370000 0.0696873 Long ABS-MBS CORP US N 2 2060-01-25 Variable 3.25 N N N N N N CSMC 2021-RPL2 TRUST N/A 12656TAF5 3343098.000000 PA USD 2910589.710000 0.0590133 Long ABS-MBS CORP US N 2 2060-01-25 Variable 3.44527 N N N N N N CSMC 2021-RPL7 TRUST N/A 12598JAC5 11410372.870000 PA USD 10857542.590000 0.2201409 Long ABS-MBS CORP US N 2 2061-07-27 Fixed 1.92598 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BC3 799097.080000 PA USD 852670.890000 0.0172882 Long DBT CORP US N 2 2028-01-10 Fixed 5.88 N N N N N N CWHEQ REVOLVING HOME EQUITY LOAN TRUST SERIES 2006-A N/A 126685CE4 540257.880000 PA USD 537424.880000 0.0108965 Long ABS-MBS CORP US N 2 2032-04-15 Floating 0.58657 N N N N N N DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-2 N/A 24380XAA5 2300000.000000 PA USD 2299944.800000 0.0466323 Long ABS-MBS CORP US N 2 2067-03-25 Variable 4.3 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR1 N/A 25151RAB0 4698517.780000 PA USD 4580776.680000 0.0928770 Long ABS-MBS CORP US N 2 2047-01-25 Floating 0.81657 N N N N N N DRYDEN 36 SENIOR LOAN FUND 2014-36A N/A 26249KAZ4 1152788.230000 PA USD 1149489.750000 0.0233064 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.26129 N N N N N N DSLA MORTGAGE LOAN TRUST 2006-AR1 N/A 23332UGM0 297218.580000 PA USD 283376.580000 0.0057456 Long ABS-MBS CORP US N 2 2046-04-19 Floating 1.08113 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2020-2A N/A 26829HAA4 8005777.580000 PA USD 7961105.340000 0.1614145 Long ABS-O CORP US N 2 2069-11-25 Floating 1.60657 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2020-3A N/A 26833BAB9 11334399.610000 PA USD 11365274.510000 0.2304354 Long ABS-O CORP US N 2 2070-01-27 Floating 1.45657 N N N N N N ELEVATION CLO LTD 2017-8A N/A 28622VAN0 15450000.000000 PA USD 15321054.300000 0.3106403 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 1.20771 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-2 N/A 288547AE2 2069000.000000 PA USD 2050277.210000 0.0415702 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.95657 N N N N N N EMCM MORTGAGE LOAN TRUST 2003-A N/A 268668BU3 155897.030000 PA USD 155635.260000 0.0031556 Long ABS-MBS CORP US N 2 2040-08-25 Floating 1.95657 N N N N N N ENCORE CREDIT RECEIVABLES TR 2005-1 N/A 126673VQ2 420964.850000 PA USD 414943.660000 0.0084131 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.14657 N N N N N N ENCORE CREDIT RECEIVABLES TRUST 2005-2 N/A 126673J45 11430000.000000 PA USD 11245733.540000 0.2280116 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.38657 N N N N N N EQUIFIRST MORTGAGE LOAN TRUST N/A 29445FAG3 145523.620000 PA USD 141104.840000 0.0028610 Long ABS-MBS CORP US N 2 2033-09-25 Variable 4.25 N N N N N N EQUITY ONE ABS INC 2004-3 N/A 294751EY4 3848.720000 PA USD 3768.300000 0.0000764 Long ABS-MBS CORP US N 2 2034-07-25 Floating 1.13657 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2018-1A N/A 301656AG9 3202290.850000 PA USD 3220447.200000 0.0652958 Long ABS-O CORP US N 2 2023-11-15 Fixed 3.53 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 46613119.090000 PA USD 46120017.550000 0.9351013 Long ABS-MBS CORP US N 2 2038-07-15 Floating 1.477 N N N N N N FANNIE MAE 1993-165 N/A 31359D5Q2 523.950000 PA USD 528.210000 0.0000107 Long ABS-MBS USGSE US N 2 2023-09-25 Floating 1.60657 N N N N N N FANNIE MAE 1995-2 N/A 31359LMW2 1294.890000 PA USD 1372.770000 0.0000278 Long ABS-MBS USGSE US N 2 2025-01-25 Fixed 8.5 N N N N N N FANNIE MAE 2001-61 N/A 313921R26 1140.500000 PA USD 1149.190000 0.0000233 Long ABS-MBS USGSE US N 2 2031-11-18 Floating 1.06757 N N N N N N FANNIE MAE 2001-62 N/A 31392ADL9 20737.200000 PA USD 20952.470000 0.0004248 Long ABS-MBS USGSE US N 2 2031-11-25 Floating 1.10657 N N N N N N FANNIE MAE 2002-25 N/A 31392C6T6 2644.490000 PA USD 2700.310000 0.0000547 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 1.45657 N N N N N N FANNIE MAE 2002-71 N/A 31392FDZ7 433000.000000 PA USD 476669.000000 0.0096646 Long ABS-MBS USGSE US N 2 2032-11-25 Fixed 5 N N N N N N FANNIE MAE 2003-116 N/A 31393T5D4 52978.290000 PA USD 54470.310000 0.0011044 Long ABS-MBS USGSE US N 2 2033-11-25 Fixed 4 N N N N N N FANNIE MAE 2003-55 N/A 31393CPD9 664.680000 PA USD 672.860000 0.0000136 Long ABS-MBS USGSE US N 2 2023-06-25 Fixed 5 N N N N N N FANNIE MAE 2006-15 N/A 31395BVE0 7793.530000 PA USD 7757.690000 0.0001573 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 0.31686 N N N N N N FANNIE MAE 2007-73 N/A 31396V4Q8 683331.140000 PA USD 668718.580000 0.0135585 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.24686 N N N N N N FANNIE MAE REMIC-1997-76 N/A 31359QT20 741.280000 PA USD 741.830000 0.0000150 Long ABS-MBS USGSE US N 2 2027-09-17 Floating 0.84143 N N N N N N FANNIE MAE REMICS 2019-62 N/A 3136B62S1 625838.210000 PA USD 119391.410000 0.0024207 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 5.54343 N N N N N N FANNIE MAE WHOLE LOAN N/A 31359UPD1 10442.660000 PA USD 10918.450000 0.0002214 Long ABS-MBS USGSE US N 2 2028-06-25 Fixed 6.5 N N N N N N FANNIE MAE WHOLE LOAN 2001-W1 N/A 31359S2J8 60821.230000 PA USD 57541.020000 0.0011667 Long ABS-O USGSE US N 2 2031-08-25 Floating 0.42686 N N N N N N FANNIE MAE-1992-123 N/A 31358N4F6 407.780000 PA USD 409.290000 0.0000083 Long ABS-MBS USGSE US N 2 2022-07-25 Fixed 7.5 N N N N N N FANNIE MAE-1992-177 N/A 31358QD85 165.260000 PA USD 162.700000 0.0000033 Long ABS-MBS USGSE US N 2 2022-10-25 Floating 1.60657 N N N N N N FANNIE MAE-1992-73 N/A 31358MZ80 41.850000 PA USD 41.840000 0.0000008 Long ABS-MBS USGSE US N 2 2022-05-25 Floating 1.20657 N N N N N N FANNIE MAE-1993-149 N/A 31359B6W2 1246.760000 PA USD 1250.980000 0.0000254 Long ABS-MBS USGSE US N 2 2023-08-25 Floating 1.35657 N N N N N N FANNIE MAE-1993-247 N/A 31359FP77 1710.720000 PA USD 1720.880000 0.0000349 Long ABS-MBS USGSE US N 2 2023-12-25 Floating 1.45657 N N N N N N FANNIE MAE-1993-247 N/A 31359FP93 2138.380000 PA USD 2148.140000 0.0000436 Long ABS-MBS USGSE US N 2 2023-12-25 Floating 1.75 N N N N N N FANNIE MAE-2005-74 N/A 31394FDX0 1902826.150000 PA USD 2305413.170000 0.0467431 Long ABS-MBS USGSE US N 2 2035-09-25 Fixed 5.5 N N N N N N FANNIEMAE GRANTOR TRUST 2002-T19 N/A 31392GVR3 3544.140000 PA USD 3932.110000 0.0000797 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 7 N N N N N N FANNIEMAE GRANTOR TRUST 2002-T5 N/A 31392CXY5 697.700000 PA USD 696.800000 0.0000141 Long ABS-MBS USGSE US N 2 2032-05-25 Floating 0.69657 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KC01 N/A 3137BNNA8 28737604.820000 PA USD 69329.470000 0.0014057 Long ABS-MBS USGSE US N 2 2022-12-25 Variable 0.416962 N N N N N N FHLMC PASS THRU POOLS N/A 3128JM4H7 5120.690000 PA USD 5115.330000 0.0001037 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 1.987 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCBF0 3957.590000 PA USD 4021.640000 0.0000815 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 1.939 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCBW3 4399.280000 PA USD 4490.440000 0.0000910 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 2.038 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCDH4 1067.340000 PA USD 1067.090000 0.0000216 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 2 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJ5H5 1335.780000 PA USD 1336.360000 0.0000271 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.09 N N N N N N FHLMC PASS THRU POOLS N/A 3128LUSW7 1477.760000 PA USD 1478.740000 0.0000300 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 2.117 N N N N N N FHLMC PASS THRU POOLS N/A 3128NHK36 3833.730000 PA USD 3950.190000 0.0000801 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 1.595 N N N N N N FHLMC PASS THRU POOLS N/A 31346AGV1 10258.580000 PA USD 11530.330000 0.0002338 Long ABS-MBS USGSE US N 2 2031-08-01 Floating 5.814 N N N N N N FHLMC PASS THRU POOLS N/A 31342AMT3 1575.440000 PA USD 1581.980000 0.0000321 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 2.348 N N N N N N FHLMC PASS THRU POOLS N/A 31342A6F1 10265.000000 PA USD 10784.130000 0.0002187 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 2.234 N N N N N N FHLMC PASS THRU POOLS N/A 31349SCC5 319.530000 PA USD 319.650000 0.0000065 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 2.206 N N N N N N FHLMC PASS THRU POOLS N/A 31349SF32 15415.810000 PA USD 15453.550000 0.0003133 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 2.355 N N N N N N FHLMC PASS THRU POOLS N/A 31349SNK5 8606.860000 PA USD 8876.240000 0.0001800 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 2.445 N N N N N N FHLMC PASS THRU POOLS N/A 31349SSF1 5504.960000 PA USD 5557.580000 0.0001127 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 2.355 N N N N N N FHLMC PASS THRU POOLS N/A 31349T5E7 2134.090000 PA USD 2133.930000 0.0000433 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 2.52 N N N N N N FHLMC PASS THRU POOLS N/A 31349UCW6 7870.050000 PA USD 8262.760000 0.0001675 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 2.213 N N N N N N FHLMC PASS THRU POOLS N/A 31349UDH8 6016.730000 PA USD 6321.290000 0.0001282 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.362 N N N N N N FHLMC PASS THRU POOLS N/A 31349UEJ3 13364.230000 PA USD 13960.860000 0.0002831 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.375 N N N N N N FHLMC PASS THRU POOLS N/A 31349ULB2 9456.850000 PA USD 9847.770000 0.0001997 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 2.478 N N N N N N FHLMC PASS THRU POOLS N/A 31349ULF3 9062.100000 PA USD 9484.000000 0.0001923 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 2.237 N N N N N N FHLMC PASS THRU POOLS N/A 31348SGJ7 315.450000 PA USD 315.270000 0.0000064 Long ABS-MBS USGSE US N 2 2026-02-01 Floating 2.271 N N N N N N FHLMC PASS THRU POOLS N/A 31348S5M2 2792.350000 PA USD 2791.190000 0.0000566 Long ABS-MBS USGSE US N 2 2028-03-01 Floating 2.3 N N N N N N FHLMC PASS THRU POOLS N/A 31295KFM1 2474.940000 PA USD 2475.280000 0.0000502 Long ABS-MBS USGSE US N 2 2028-09-01 Floating 2.348 N N N N N N FHLMC PASS THRU POOLS N/A 31295NKL1 21595.500000 PA USD 21654.640000 0.0004391 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 2.333 N N N N N N FHLMC PASS THRU POOLS N/A 31295NXV5 350.850000 PA USD 350.860000 0.0000071 Long ABS-MBS USGSE US N 2 2032-08-01 Floating 2.25 N N N N N N FHLMC PASS THRU POOLS N/A 31288VBJ7 1432.500000 PA USD 1433.500000 0.0000291 Long ABS-MBS USGSE US N 2 2023-08-01 Floating 2.576 N N N N N N FHLMC PASS THRU POOLS N/A 31288VGJ2 108.130000 PA USD 108.060000 0.0000022 Long ABS-MBS USGSE US N 2 2023-11-01 Floating 2.365 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDT25 2249.680000 PA USD 2248.250000 0.0000456 Long ABS-MBS USGSE US N 2 2030-03-01 Floating 2.54 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDX87 17612.230000 PA USD 17626.810000 0.0003574 Long ABS-MBS USGSE US N 2 2032-03-01 Floating 2.504 N N N N N N FHLMC PASS THRU POOLS N/A 31336CJM6 3989.250000 PA USD 4001.960000 0.0000811 Long ABS-MBS USGSE US N 2 2026-05-01 Floating 4.341 N N N N N N FHLMC PASS THRU POOLS N/A 31336CMM2 3716.160000 PA USD 3908.720000 0.0000793 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 2.289 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJYT1 39875.970000 PA USD 39657.840000 0.0008041 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2F6 26842.200000 PA USD 26723.670000 0.0005418 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2V1 44523.120000 PA USD 43952.310000 0.0008912 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ3H1 11279003.790000 PA USD 11134594.530000 0.2257582 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ3M0 1233893.990000 PA USD 1218072.620000 0.0246969 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132WFDU0 68747.710000 PA USD 70107.740000 0.0014215 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132WGYK7 443772.200000 PA USD 441342.180000 0.0089484 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWN56 102577.790000 PA USD 104024.890000 0.0021091 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYRX9 3390468.740000 PA USD 3501458.820000 0.0709934 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYR50 2836893.140000 PA USD 2918795.750000 0.0591797 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131Y1EA4 108194.110000 PA USD 111076.520000 0.0022521 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131Y1R85 16026.470000 PA USD 16440.470000 0.0003333 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5GX7 627995.230000 PA USD 650350.000000 0.0131861 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5G33 619419.130000 PA USD 639998.470000 0.0129762 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132AEDA1 244796.130000 PA USD 251909.930000 0.0051076 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132AEDT0 1488192.920000 PA USD 1524579.880000 0.0309114 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 8555.990000 PA USD 8656.290000 0.0001755 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 1.30417 N N N N N N FHLMC STRUCTURED PASS THROUGH T-21 N/A 3133TMGL4 227.640000 PA USD 227.480000 0.0000046 Long ABS-MBS USGSE US N 2 2029-10-25 Floating 0.81657 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-32 N/A 3133TSQG1 36415.990000 PA USD 35684.190000 0.0007235 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 0.71657 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A 31394JD87 325317.460000 PA USD 363405.500000 0.0073682 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 6.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A 31395A3J2 288913.280000 PA USD 296935.360000 0.0060205 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 1.54113 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 1335155.250000 PA USD 1361623.370000 0.0276074 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 1.34113 N N N N N N FHLMC-GNMA 18 N/A 3133T0S47 28499.900000 PA USD 28359.620000 0.0005750 Long ABS-MBS USGSE US N 2 2023-09-25 Fixed 1.18037 N N N N N N FIRST FRANKLIN MTG LN ASSET BC 2005-FFH4 N/A 32027NXE6 21677480.810000 PA USD 21198217.720000 0.4298021 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.20657 N N N N N N FIRST FRANKLIN MTG LOAN 2005-FF11 N/A 362341YG8 2058682.000000 PA USD 2039047.530000 0.0413425 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.13157 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF18 N/A 32029AAA5 38912330.290000 PA USD 37749252.410000 0.7653807 Long ABS-MBS CORP US N 2 2037-12-25 Floating 0.56657 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF18 N/A 32029AAC1 14167888.010000 PA USD 13187055.040000 0.2673727 Long ABS-MBS CORP US N 2 2037-12-25 Floating 0.56657 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAA3 44380179.060000 PA USD 41622403.610000 0.8439104 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.57657 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAF2 25256000.000000 PA USD 23328209.520000 0.4729885 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.76657 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF9 N/A 320276AE8 13814621.300000 PA USD 13560182.220000 0.2749380 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.77657 N N N N N N FIRST FRANKLIN MTG LOAN ASSET 2004-FF6 N/A 32027NKK6 2771210.830000 PA USD 2784718.820000 0.0564613 Long ABS-MBS CORP US N 2 2034-07-25 Floating 2.33157 N N N N N N FIRST HORIZON ALT MTG SEC 2005-AA5 N/A 32051GPM1 4443364.310000 PA USD 4305467.160000 0.0872950 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.41874 Y N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA1 N/A 32051D3G5 962949.800000 PA USD 971197.470000 0.0196914 Long ABS-MBS CORP US N 2 2034-06-25 Fixed 2.13392 N N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA3 N/A 32051D6B3 459674.180000 PA USD 451487.240000 0.0091541 Long ABS-MBS CORP US N 2 2034-09-25 Floating 2.37063 N N N N N N FIRST HORIZON ALT MTGE SEC 2005-AA1 N/A 32051GGD1 99687.910000 PA USD 71123.210000 0.0014421 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.77063 Y N N N N N FIRST NLC TRUST 2007-1 N/A 32115BAB6 28318505.250000 PA USD 17611159.480000 0.3570731 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.59657 N N N N N N FIRST NLC TRUST 2007-1 N/A 32115BAD2 1546805.100000 PA USD 978259.720000 0.0198346 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.73657 N N N N N N FIRSTKEY HOMES 2020-SFR1 TRUST N/A 33767MAA3 3094827.970000 PA USD 2894975.740000 0.0586968 Long ABS-MBS CORP US N 2 2037-08-17 Fixed 1.339 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2020-3 N/A 33844TAA5 292929.420000 PA USD 291789.370000 0.0059161 Long ABS-O CORP US N 2 2025-04-15 Fixed 0.7 N N N N N N FNMA PASS THRU POOLS N/A 31362L4N7 600.940000 PA USD 615.560000 0.0000125 Long ABS-MBS USGSE US N 2 2027-10-01 Floating 4.25 N N N N N N FNMA PASS THRU POOLS N/A 31363AXT5 1617.310000 PA USD 1622.950000 0.0000329 Long ABS-MBS USGSE US N 2 2028-10-01 Floating 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31371JL51 3343.590000 PA USD 3558.440000 0.0000721 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 8.5 N N N N N N FNMA PASS THRU POOLS N/A 31371KM81 3150.700000 PA USD 3182.100000 0.0000645 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 8.5 N N N N N N FNMA PASS THRU POOLS N/A 31371LBY4 6314.200000 PA USD 6321.560000 0.0001282 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 2 N N N N N N FNMA PASS THRU POOLS N/A 31374GQX8 4.770000 PA USD 4.810000 0.0000001 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 8.5 N N N N N N FNMA PASS THRU POOLS N/A 31374J6Y2 1259.090000 PA USD 1260.700000 0.0000256 Long ABS-MBS USGSE US N 2 2025-05-01 Floating 1.823 N N N N N N FNMA PASS THRU POOLS N/A 31374TXT1 4503.450000 PA USD 4648.050000 0.0000942 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 3.872 N N N N N N FNMA PASS THRU POOLS N/A 31382PPZ4 4023.280000 PA USD 4018.700000 0.0000815 Long ABS-MBS USGSE US N 2 2029-03-01 Floating 2.375 N N N N N N FNMA PASS THRU POOLS N/A 31384VVZ2 3323.490000 PA USD 3746.000000 0.0000760 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 8.5 N N N N N N FNMA PASS THRU POOLS N/A 31384V7K2 13932.620000 PA USD 14041.630000 0.0002847 Long ABS-MBS USGSE US N 2 2040-10-01 Floating 1.542 N N N N N N FNMA PASS THRU POOLS N/A 31385XK48 2998.570000 PA USD 3092.970000 0.0000627 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 2.32 N N N N N N FNMA PASS THRU POOLS N/A 31385XPA9 2911.330000 PA USD 2912.920000 0.0000591 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 2.291 N N N N N N FNMA PASS THRU POOLS N/A 31387E3N5 11806.070000 PA USD 11809.610000 0.0002394 Long ABS-MBS USGSE US N 2 2030-09-01 Floating 2.245 N N N N N N FNMA PASS THRU POOLS N/A 31388NF76 3971.570000 PA USD 3978.670000 0.0000807 Long ABS-MBS USGSE US N 2 2031-10-01 Floating 2.22 N N N N N N FNMA PASS THRU POOLS N/A 31388RN78 8560.460000 PA USD 8621.940000 0.0001748 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 1.965 N N N N N N FNMA PASS THRU POOLS N/A 31389LSU4 2802.330000 PA USD 2800.120000 0.0000568 Long ABS-MBS USGSE US N 2 2032-03-01 Floating 2.765 N N N N N N FNMA PASS THRU POOLS N/A 31389L3H0 10653.130000 PA USD 10638.470000 0.0002157 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31390PV87 11894.680000 PA USD 11899.880000 0.0002413 Long ABS-MBS USGSE US N 2 2032-09-01 Floating 2.375 N N N N N N FNMA PASS THRU POOLS N/A 31390WRA2 14355.950000 PA USD 14364.390000 0.0002912 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 1.756 N N N N N N FNMA PASS THRU POOLS N/A 31391EUJ8 5265.410000 PA USD 5269.870000 0.0001068 Long ABS-MBS USGSE US N 2 2032-10-01 Floating 2.248 N N N N N N FNMA PASS THRU POOLS N/A 31391T4G0 12646.410000 PA USD 12648.340000 0.0002565 Long ABS-MBS USGSE US N 2 2032-11-01 Floating 2.241 N N N N N N FNMA PASS THRU POOLS N/A 31400JYB9 41849.340000 PA USD 42296.860000 0.0008576 Long ABS-MBS USGSE US N 2 2033-02-01 Floating 1.591 N N N N N N FNMA PASS THRU POOLS N/A 31400QJ87 795.900000 PA USD 797.270000 0.0000162 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 2.318 N N N N N N FNMA PASS THRU POOLS N/A 31400XZG6 4262.160000 PA USD 4273.230000 0.0000866 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 1.881 N N N N N N FNMA PASS THRU POOLS N/A 31400YDJ2 59568.830000 PA USD 59726.420000 0.0012110 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 2.911 N N N N N N FNMA PASS THRU POOLS N/A 31402CUL4 2738.980000 PA USD 2742.900000 0.0000556 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 1.971 N N N N N N FNMA PASS THRU POOLS N/A 31402RBR9 2651.840000 PA USD 2754.000000 0.0000558 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 2.325 N N N N N N FNMA PASS THRU POOLS N/A 31402RCB3 5531.930000 PA USD 5650.390000 0.0001146 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 1.701 N N N N N N FNMA PASS THRU POOLS N/A 31402RH69 4411.090000 PA USD 4504.080000 0.0000913 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 1.342 N N N N N N FNMA PASS THRU POOLS N/A 31402RH77 13251.030000 PA USD 13545.960000 0.0002746 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 1.342 N N N N N N FNMA PASS THRU POOLS N/A 31402VMV9 3513.110000 PA USD 3514.450000 0.0000713 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 1.878 N N N N N N FNMA PASS THRU POOLS N/A 31403DFG9 11904.200000 PA USD 11935.160000 0.0002420 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 2.217 N N N N N N FNMA PASS THRU POOLS N/A 31404NBN5 3195.640000 PA USD 3280.070000 0.0000665 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 2.117 N N N N N N FNMA PASS THRU POOLS N/A 31404QGF0 12265.180000 PA USD 12322.150000 0.0002498 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 2.067 N N N N N N FNMA PASS THRU POOLS N/A 31404Q5M7 1506.750000 PA USD 1539.700000 0.0000312 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 1.342 N N N N N N FNMA PASS THRU POOLS N/A 31404YDZ2 6192.450000 PA USD 6198.630000 0.0001257 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.285 N N N N N N FNMA PASS THRU POOLS N/A 31405UMM8 2500.790000 PA USD 2508.490000 0.0000509 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 1.825 N N N N N N FNMA PASS THRU POOLS N/A 31405UTZ2 1419.920000 PA USD 1421.450000 0.0000288 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 1.597 N N N N N N FNMA PASS THRU POOLS N/A 31406BXP0 3422.400000 PA USD 3487.550000 0.0000707 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 1.673 N N N N N N FNMA PASS THRU POOLS N/A 31406DAF3 5866.760000 PA USD 5996.190000 0.0001216 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 1.342 N N N N N N FNMA PASS THRU POOLS N/A 31406GD55 2471.150000 PA USD 2474.560000 0.0000502 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 1.691 N N N N N N FNMA PASS THRU POOLS N/A 31406MYP5 6042.450000 PA USD 6210.130000 0.0001259 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 2.058 N N N N N N FNMA PASS THRU POOLS N/A 31407MSQ9 4253.100000 PA USD 4414.240000 0.0000895 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 1.807 N N N N N N FNMA PASS THRU POOLS N/A 31407RKJ2 926.450000 PA USD 927.170000 0.0000188 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 2.23 N N N N N N FNMA PASS THRU POOLS N/A 31407X3X7 946.930000 PA USD 958.040000 0.0000194 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 1.976 N N N N N N FNMA PASS THRU POOLS N/A 31408XS68 1948.240000 PA USD 1948.890000 0.0000395 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 2.173 N N N N N N FNMA PASS THRU POOLS N/A 31410BG57 4866.890000 PA USD 4890.810000 0.0000992 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 2.183 N N N N N N FNMA PASS THRU POOLS N/A 31410GDF7 3839.420000 PA USD 3943.410000 0.0000800 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 1.679 N N N N N N FNMA PASS THRU POOLS N/A 31410GD83 1056.130000 PA USD 1103.670000 0.0000224 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 2.426 N N N N N N FNMA PASS THRU POOLS N/A 31410MHH6 1278.830000 PA USD 1333.780000 0.0000270 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 1.929 N N N N N N FNMA PASS THRU POOLS N/A 31411EGB7 4792.470000 PA USD 5005.570000 0.0001015 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 2.068 N N N N N N FNMA PASS THRU POOLS N/A 31411EJC2 2164.620000 PA USD 2227.470000 0.0000452 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 1.99 N N N N N N FNMA PASS THRU POOLS N/A 31411E2N6 3335.500000 PA USD 3344.970000 0.0000678 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 2.089 N N N N N N FNMA PASS THRU POOLS N/A 31417AXF1 87044.380000 PA USD 87972.030000 0.0017837 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31417DAV5 49655.750000 PA USD 50665.780000 0.0010273 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ABKB4 16568.870000 PA USD 16796.390000 0.0003406 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138E9P20 33946.430000 PA USD 34638.980000 0.0007023 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EJVL9 74953.630000 PA USD 76277.260000 0.0015466 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EQA93 8344.330000 PA USD 8505.040000 0.0001724 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EQLM2 127631.050000 PA USD 128964.090000 0.0026148 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138LRCL4 76852.360000 PA USD 77086.930000 0.0015630 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138M8HY2 67008.330000 PA USD 67713.930000 0.0013729 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138MQKD4 128602.600000 PA USD 131202.150000 0.0026602 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138NWEC9 17778.240000 PA USD 18136.780000 0.0003677 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WD5R8 812501.630000 PA USD 827879.820000 0.0167856 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WEB24 132848.470000 PA USD 134956.320000 0.0027363 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WFGG5 1808492.390000 PA USD 1884007.130000 0.0381990 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WGEJ9 1177416.270000 PA USD 1189045.430000 0.0241084 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138WGF74 5547.040000 PA USD 5760.440000 0.0001168 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WJAU2 29344.030000 PA USD 29151.880000 0.0005911 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138WVX55 49161.810000 PA USD 50135.840000 0.0010165 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 74132464.760000 PA USD 719826232.800000 14.5947562 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3138XCCG5 93539.890000 PA USD 94482.750000 0.0019157 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138XHG21 86331.790000 PA USD 87849.350000 0.0017812 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138XSP84 1011463.460000 PA USD 1055954.560000 0.0214099 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138XYCC6 98899.480000 PA USD 99894.460000 0.0020254 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138YF2H6 12178.900000 PA USD 12216.070000 0.0002477 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138YKM59 94198.490000 PA USD 95983.840000 0.0019461 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138YR4S4 15583.310000 PA USD 16203.950000 0.0003285 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140E1BC6 167271.050000 PA USD 167805.560000 0.0034023 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140E2LS8 5063.400000 PA USD 5184.400000 0.0001051 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140E5TF1 77786.880000 PA USD 81046.040000 0.0016432 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140E7K74 409761.550000 PA USD 425593.260000 0.0086291 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140E9JL1 47321.600000 PA USD 48709.440000 0.0009876 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140EAP80 90047.420000 PA USD 92013.580000 0.0018656 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140EUUY3 21559.080000 PA USD 22450.820000 0.0004552 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140EWDJ1 38697.950000 PA USD 39546.350000 0.0008018 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140F0N67 72734.910000 PA USD 74504.630000 0.0015106 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140F3XV5 302277.210000 PA USD 315602.130000 0.0063990 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FACN0 86044.240000 PA USD 89826.530000 0.0018213 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FNCC6 21527.530000 PA USD 22082.020000 0.0004477 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FS4T7 46773.280000 PA USD 48084.340000 0.0009749 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FUJ58 51845.720000 PA USD 53367.210000 0.0010820 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FXLS9 307265.020000 PA USD 321820.410000 0.0065250 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GPQG6 108730.420000 PA USD 112893.690000 0.0022890 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GRFU3 510539.780000 PA USD 529887.210000 0.0107437 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GTYF1 148317.180000 PA USD 151673.570000 0.0030752 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GUMA2 514842.230000 PA USD 520723.340000 0.0105579 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GVZY4 11733487.090000 PA USD 11845764.950000 0.2401775 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 3140H56U0 2061.280000 PA USD 2106.220000 0.0000427 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H7ZB6 881975.600000 PA USD 886063.080000 0.0179653 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H7Z91 8106.050000 PA USD 8162.670000 0.0001655 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HBFK9 44761.930000 PA USD 45932.690000 0.0009313 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HDJF2 30765.140000 PA USD 31549.720000 0.0006397 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HDJ47 279389.080000 PA USD 286695.100000 0.0058129 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HEAK8 475120.860000 PA USD 486526.560000 0.0098645 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HFHS1 1401059.550000 PA USD 1436675.530000 0.0291292 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HHTP0 25626.910000 PA USD 26391.320000 0.0005351 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HJZU8 1835885.990000 PA USD 1882160.080000 0.0381615 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HJ2Q3 235580.820000 PA USD 241585.100000 0.0048982 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HNUK6 11291.660000 PA USD 11569.890000 0.0002346 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HPMS3 490289.310000 PA USD 502571.520000 0.0101898 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GM3 234141.920000 PA USD 241719.310000 0.0049010 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J7P66 16684.700000 PA USD 17280.680000 0.0003504 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JAB72 1407532.440000 PA USD 1446638.930000 0.0293312 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JANZ7 1350034.240000 PA USD 1365935.700000 0.0276949 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 3140JHBE2 66240.230000 PA USD 68764.900000 0.0013942 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JLYP3 16278.240000 PA USD 16874.520000 0.0003421 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JLYQ1 78086.110000 PA USD 81058.370000 0.0016435 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JN3W8 76619.620000 PA USD 78779.740000 0.0015973 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JR2B6 126089.630000 PA USD 127216.500000 0.0025794 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JR2D2 65193.750000 PA USD 66334.730000 0.0013450 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q7FX0 95385.180000 PA USD 98268.970000 0.0019924 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8ZY4 96654.560000 PA USD 98770.860000 0.0020026 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9HQ9 1238580.410000 PA USD 1268320.710000 0.0257157 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QFWE5 24612.870000 PA USD 25176.650000 0.0005105 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X6NK3 271246.380000 PA USD 278281.070000 0.0056423 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X6S93 4689316.550000 PA USD 4724299.790000 0.0957870 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418AVT2 22635.270000 PA USD 23095.690000 0.0004683 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CHG2 5854.070000 PA USD 6060.870000 0.0001229 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CNE0 614493.390000 PA USD 633922.620000 0.0128530 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CS54 34334.610000 PA USD 35459.660000 0.0007190 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CUB8 39337.910000 PA USD 40399.690000 0.0008191 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 3479316.550000 PA USD 3519915.860000 0.0713677 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 31418CU85 101642.240000 PA USD 104571.720000 0.0021202 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CV35 11314.370000 PA USD 11575.190000 0.0002347 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CXN9 1521740.050000 PA USD 1560954.450000 0.0316490 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CZF4 193582.400000 PA USD 199608.870000 0.0040471 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418C3A0 44672.440000 PA USD 46172.610000 0.0009362 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418DER9 115465.950000 PA USD 118838.120000 0.0024095 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4 N N N N N N FORD CREDIT AUTO OWNER TRUST 2018-1 N/A 34532RAA4 7735000.000000 PA USD 7715290.450000 0.1564305 Long ABS-O CORP US N 2 2031-07-15 Fixed 3.19 N N N N N N FREDDIE MAC 1466 N/A 312914MW1 307.570000 PA USD 312.950000 0.0000063 Long ABS-MBS USGSE US N 2 2023-02-15 Fixed 7.5 N N N N N N FREDDIE MAC 1492 N/A 3129146U3 1143.140000 PA USD 1171.020000 0.0000237 Long ABS-MBS USGSE US N 2 2023-03-15 Fixed 8 N N N N N N FREDDIE MAC 2163 N/A 3133TLG51 5137.550000 PA USD 5638.360000 0.0001143 Long ABS-MBS USGSE US N 2 2029-06-15 Fixed 7 N N N N N N FREDDIE MAC 2277 N/A 3133TQU47 1177.810000 PA USD 1350.670000 0.0000274 Long ABS-MBS USGSE US N 2 2031-01-15 Fixed 7.5 N N N N N N FREDDIE MAC 2344 N/A 3133994J3 5131.950000 PA USD 5163.450000 0.0001047 Long ABS-MBS USGSE US N 2 2031-08-15 Floating 0.94657 N N N N N N FREDDIE MAC 2395 N/A 31339LMA5 1762.400000 PA USD 1768.740000 0.0000359 Long ABS-MBS USGSE US N 2 2031-12-15 Floating 0.84657 N N N N N N FREDDIE MAC 2411 N/A 31339D4L9 5385.540000 PA USD 5383.890000 0.0001092 Long ABS-MBS USGSE US N 2 2029-12-15 Floating 0.74657 N N N N N N FREDDIE MAC 2518 N/A 31392WQD5 3432.780000 PA USD 3421.460000 0.0000694 Long ABS-MBS USGSE US N 2 2032-10-15 Floating 0.64657 N N N N N N FREDDIE MAC 2684 N/A 31394L5S7 23032.620000 PA USD 23650.640000 0.0004795 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 4 N N N N N N FREDDIE MAC 3114 N/A 31396HHT9 118759.970000 PA USD 126543.440000 0.0025657 Long ABS-MBS USGSE US N 2 2036-02-15 Fixed 5 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1510 N/A 3137FL2N3 86412138.620000 PA USD 3821792.860000 0.0774883 Long ABS-MBS USGSE US N 2 2034-01-25 Variable 0.482253 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1511 N/A 3137FLYL2 68165366.720000 PA USD 4619048.850000 0.0936530 Long ABS-MBS USGSE US N 2 2034-03-25 Variable 0.776885 N N N N N N FREDDIE MAC-1241 N/A 312909TK0 2.550000 PA USD 2.550000 0.0000001 Long ABS-MBS USGSE US N 2 2022-04-15 Floating 0.94657 N N N N N N FREDDIE MAC-1379 N/A 312912JK5 237.510000 PA USD 237.060000 0.0000048 Long ABS-MBS USGSE US N 2 2022-10-15 Floating 1.72 N N N N N N FREDDIE MAC-1505 N/A 312915A27 483.570000 PA USD 485.370000 0.0000098 Long ABS-MBS USGSE US N 2 2023-05-15 Floating 1.29114 N N N N N N FREDDIE MAC-1518 N/A 312915YX3 1337.910000 PA USD 1341.840000 0.0000272 Long ABS-MBS USGSE US N 2 2023-05-15 Floating 1.486 N N N N N N FREDDIE MAC-3156 N/A 31396R6F9 9486.930000 PA USD 10219.820000 0.0002072 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 5.5 N N N N N N FREMONT HOME LOAN TRUST 2004-2 N/A 35729PED8 4079690.310000 PA USD 3978966.430000 0.0806751 Long ABS-MBS CORP US N 2 2034-07-25 Floating 1.31157 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 36288064.770000 PA USD 34238416.890000 0.6941972 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.59157 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAA3 8986221.770000 PA USD 5717062.150000 0.1159157 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.59657 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAL4 11200000.000000 PA USD 11137350.560000 0.2258141 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 1.17739 N N N N N N GCAT 2020-3 LLC N/A 36168CAA3 506206.000000 PA USD 506295.600000 0.0102653 Long ABS-MBS CORP US N 2 2025-09-25 Fixed 2.9814 N N N N N N GLS AUTO RECEIVABLES TRUST 2019-3A N/A 36258AAB6 3431396.970000 PA USD 3439224.670000 0.0697316 Long ABS-O CORP US N 2 2024-06-17 Fixed 2.72 N N N N N N GLS AUTO RECEIVABLES TRUST 2020-4A N/A 36261EAA5 38035.140000 PA USD 38022.110000 0.0007709 Long ABS-O CORP US N 2 2024-02-15 Fixed 0.52 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2005-AR2 N/A 36185N6M7 6394.670000 PA USD 6220.160000 0.0001261 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.87502 N N N N N N GNMA PASS THRU POOLS N/A 36202KAW5 293.250000 PA USD 294.830000 0.0000060 Long ABS-MBS USGSE US N 2 2023-01-20 Floating 2 N N N N N N GNMA PASS THRU POOLS N/A 36202K7A7 7134.260000 PA USD 7210.780000 0.0001462 Long ABS-MBS USGSE US N 2 2026-10-20 Floating 1.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CA89 4010.080000 PA USD 4095.540000 0.0000830 Long ABS-MBS USGSE US N 2 2027-01-20 Floating 2 N N N N N N GNMA PASS THRU POOLS N/A 36225CER3 861.590000 PA USD 881.020000 0.0000179 Long ABS-MBS USGSE US N 2 2027-12-20 Floating 1.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CKJ4 12093.740000 PA USD 12377.260000 0.0002510 Long ABS-MBS USGSE US N 2 2029-07-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CKX3 5339.680000 PA USD 5446.880000 0.0001104 Long ABS-MBS USGSE US N 2 2029-08-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CLK0 5785.930000 PA USD 5901.870000 0.0001197 Long ABS-MBS USGSE US N 2 2029-10-20 Floating 1.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CM29 240.770000 PA USD 245.170000 0.0000050 Long ABS-MBS USGSE US N 2 2030-02-20 Floating 2 N N N N N N GNMA PASS THRU POOLS N/A 36225CM45 16607.630000 PA USD 16787.190000 0.0003404 Long ABS-MBS USGSE US N 2 2030-02-20 Floating 2 N N N N N N GNMA PASS THRU POOLS N/A 36225CN28 17067.330000 PA USD 17547.140000 0.0003558 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 1.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CN36 10046.550000 PA USD 10341.080000 0.0002097 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 2 N N N N N N GNMA PASS THRU POOLS N/A 36225CPN0 16913.030000 PA USD 17376.810000 0.0003523 Long ABS-MBS USGSE US N 2 2030-07-20 Floating 2 N N N N N N GNMA PASS THRU POOLS N/A 36225CTM8 2808.530000 PA USD 2877.170000 0.0000583 Long ABS-MBS USGSE US N 2 2031-11-20 Floating 1.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CU38 2141.650000 PA USD 2160.460000 0.0000438 Long ABS-MBS USGSE US N 2 2032-05-20 Floating 1.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CY83 7546.070000 PA USD 7754.210000 0.0001572 Long ABS-MBS USGSE US N 2 2033-09-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CZM1 4743.980000 PA USD 4866.370000 0.0000987 Long ABS-MBS USGSE US N 2 2033-10-20 Floating 1.75 N N N N N N GNMA PASS THRU POOLS N/A 21H020642 3000000.000000 PA USD 2854218.750000 0.0578704 Long ABS-MBS USGSE US N 2 2052-04-21 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 21H022648 12200000.000000 PA USD 11833523.350000 0.2399293 Long ABS-MBS USGSE US N 2 2052-04-21 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 21H032654 13300000.000000 PA USD 13337406.250000 0.2704211 Long ABS-MBS USGSE US N 2 2051-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H032662 44000000.000000 PA USD 43993125.000000 0.8919777 Long ABS-MBS USGSE US N 2 2052-06-21 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H040640 6200000.000000 PA USD 6324000.000000 0.1282216 Long ABS-MBS USGSE US N 2 2052-04-21 Fixed 4 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD 2017-2A N/A 38136MAU2 1450000.000000 PA USD 1435252.340000 0.0291003 Long ABS-CBDO CORP KY N 2 2030-11-20 Floating 1.164 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H06 N/A 38375BKL5 235652.000000 PA USD 234887.170000 0.0047624 Long ABS-MBS USGSE US N 2 2061-02-20 Floating 0.55629 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H21 N/A 38375UAL4 1967801.090000 PA USD 1968694.870000 0.0399161 Long ABS-MBS USGSE US N 2 2063-09-20 Floating 0.85629 N N N N N N GRAND AVENUE MORTGAGE LOAN TRUST 2017-RPL1 N/A 385210AA7 29701519.440000 PA USD 28172503.040000 0.5712084 Long ABS-MBS CORP US N 2 2064-08-25 Fixed 3.25 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR2 N/A 39538RBB4 9493978.230000 PA USD 7974454.670000 0.1616852 Long ABS-MBS CORP US N 2 2045-06-25 Floating 0.91657 N N N N N N GREENPOINT MTGE FUNDING TR 2006-AR3 N/A 39538WHF8 116467.900000 PA USD 113016.340000 0.0022915 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.87657 N N N N N N GREENWICH CAPITAL ACCEPTANCE I-1994-AR5 N/A 396782CX0 2990.420000 PA USD 3009.970000 0.0000610 Long ABS-MBS CORP US N 2 2024-06-25 Floating 2.82541 N N N N N N GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2 N/A 39809LAA2 1600000.000000 PA USD 1586750.000000 0.0321720 Long ABS-CBDO CORP KY N 2 2037-09-15 Floating 1.57657 N N N N N N GS MORTGAGE SECURITIES CORP II 2017-SLP N/A 36255MAJ6 13300000.000000 PA USD 13269254.390000 0.2690393 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 15900000.000000 PA USD 15826093.620000 0.3208802 Long ABS-MBS CORP US N 2 2034-05-10 Fixed 3.10392 N N N N N N GS MORTGAGE SECURITIES CORPORATION II 2012-ALOH N/A 36192HAA2 7490000.000000 PA USD 7486723.870000 0.1517962 Long ABS-MBS CORP US N 2 2034-04-10 Variable 3.551 N N N N N N GS MORTGAGE SECURITIES TRUST 2015-590M N/A 36250WAA8 2000000.000000 PA USD 1980992.000000 0.0401654 Long ABS-MBS CORP US N 2 2035-10-10 Fixed 3.621 N N N N N N GSAMP TRUST 2005-WMC1 N/A 362341PU7 9806984.090000 PA USD 9765063.160000 0.1979904 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.19157 Y N N N N N GSAMP TRUST 2006-S6 N/A 36245CAB8 5074620.800000 PA USD 60248.440000 0.0012216 Long ABS-MBS CORP US N 2 2036-10-25 Variable 0.75657 Y N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAA9 872797.630000 PA USD 556822.630000 0.0112898 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.59657 N N N N N N GSMPS MORTGAGE LOAN TRUST 1998-1 N/A 36228FAA4 186584.700000 PA USD 180979.580000 0.0036694 Long ABS-MBS CORP US N 2 2027-09-19 Fixed 8 N N N N N N GSMPS MORTGAGE LOAN TRUST 2003-3 N/A 36290PAS6 357859.890000 PA USD 391547.600000 0.0079388 Long ABS-MBS CORP US N 2 2043-06-25 Fixed 7 N N N N N N GSMPS MORTGAGE LOAN TRUST 2005-RP3 N/A 362341LL1 18344300.600000 PA USD 16046796.190000 0.3253550 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.80657 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413V9 22521885.240000 PA USD 19037641.490000 0.3859956 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.80657 Y N N N N N GSR MORTGAGE LOAN TRUST 2004-2F N/A 36229RLL1 4003.050000 PA USD 3926.470000 0.0000796 Long ABS-MBS CORP US N 2 2034-01-25 Floating 0.80657 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DH71 327736.080000 PA USD 320768.210000 0.0065037 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.65242 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DJ20 380816.220000 PA USD 379075.240000 0.0076859 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.46258 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RT8 35925.980000 PA USD 36121.630000 0.0007324 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.76557 N N N N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 144692.950000 PA USD 147651.080000 0.0029937 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.87115 Y N N N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 908.110000 PA USD 935.290000 0.0000190 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N HALSEYPOINT CLO 2 LTD N/A 40638TAA0 11000000.000000 PA USD 10970761.340000 0.2224364 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 1.354 N N N N N N HALSEYPOINT CLO 3 LTD 2020-3A N/A 40638UAA7 6100000.000000 PA USD 6067674.270000 0.1230245 Long ABS-CBDO CORP KY N 2 2032-11-30 Floating 1.749 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2004-11 N/A 41161PKD4 14741.170000 PA USD 13491.460000 0.0002735 Long ABS-MBS CORP US N 2 2035-01-19 Floating 1.14857 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-14 N/A 41161PWU3 5504.510000 PA USD 5295.540000 0.0001074 Long ABS-MBS CORP US N 2 2035-12-19 Floating 2.48082 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 117310.850000 PA USD 112162.160000 0.0022741 Long ABS-MBS CORP US N 2 2035-05-19 Floating 0.88857 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-3 N/A 41161PMG5 5841890.000000 PA USD 5822645.650000 0.1180564 Long ABS-MBS CORP US N 2 2035-06-19 Floating 0.92857 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-7 N/A 41161PPN7 236650.110000 PA USD 130720.880000 0.0026504 Long ABS-MBS CORP US N 2 2045-06-19 Floating 2.073 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-1 N/A 41161PA86 165808.300000 PA USD 163772.800000 0.0033206 Long ABS-MBS CORP US N 2 2036-03-19 Floating 0.64171 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 1047868.680000 PA USD 972517.180000 0.0197182 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.65357 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAD1 766852.140000 PA USD 781875.230000 0.0158528 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.68857 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-BU1 N/A 41161PG72 232926.910000 PA USD 211080.390000 0.0042797 Long ABS-MBS CORP US N 2 2046-02-19 Floating 0.82857 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-6 N/A 41161PFR9 87929.850000 PA USD 86425.230000 0.0017523 Long ABS-MBS CORP US N 2 2034-08-19 Floating 2.85235 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-7 N/A 41161PGK3 6349.000000 PA USD 6375.280000 0.0001293 Long ABS-MBS CORP US N 2 2034-11-19 Floating 2.28525 N N N N N N HERA COMMERCIAL MORTGAGE 2021-FL1 N/A 42704RAA9 5200000.000000 PA USD 5144702.210000 0.1043108 Long ABS-CBDO CORP KY N 2 2038-02-18 Floating 1.51757 N N N N N N HILTON USA TRUST 2016-HHV N/A 43300LAA8 1000000.000000 PA USD 999915.300000 0.0202737 Long ABS-MBS CORP US N 2 2038-11-05 Fixed 3.719 N N N N N N HILTON USA TRUST 2016-SFP N/A 43289VAA1 6500000.000000 PA USD 6434235.600000 0.1304566 Long ABS-MBS CORP US N 2 2035-11-05 Fixed 2.82844 N N N N N N HOME EQUITY ASSET TRUST 2004-8 N/A 437084GS9 5029124.680000 PA USD 5004021.300000 0.1014585 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.37157 N N N N N N HOME EQUITY ASSET TRUST 2005-6 N/A 437084NF9 13400000.000000 PA USD 13288629.920000 0.2694321 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.35657 N N N N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAA6 3665061.730000 PA USD 3519129.600000 0.0713517 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.64657 N N N N N N HOME EQUITY MTGE TRUST 2006-1 N/A 225470XK4 39983.150000 PA USD 38439.800000 0.0007794 Long ABS-MBS CORP US N 2 2036-05-25 Variable 5.8 N N N N N N HOME EQUITY PASS-THRU CERTS 2002-1 N/A 22541NAD1 1282.980000 PA USD 1208.250000 0.0000245 Long ABS-MBS CORP US N 2 2032-11-25 Floating 1.05657 N N N N N N HOME EQUITY PASS-THRU CERTS 2002-3 N/A 22541NHE2 1181.220000 PA USD 1129.280000 0.0000229 Long ABS-MBS CORP US N 2 2033-02-25 Floating 1.37657 N N N N N N HSI ASSET LOAN OBLIGATION 2007-WF1 N/A 40431KAA8 10057.170000 PA USD 3631.960000 0.0000736 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.51657 N N N N N N HSI ASSET SECUR CORP TRUST 2006-OPT1 N/A 40430HDE5 3342508.770000 PA USD 3322881.890000 0.0673727 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.99657 N N N N N N IHPT-2018-STAY N/A 46117MAA2 4900000.000000 PA USD 4881294.250000 0.0989701 Long ABS-MBS CORP US N 2 2033-01-15 Floating 1.497 N N N N N N IHPT-2018-STAY N/A 46117MAJ3 8250000.000000 PA USD 8213937.600000 0.1665408 Long ABS-MBS CORP US N 2 2033-01-15 Floating 1.847 N N N N N N IHPT-2018-STAY N/A 46117MAL8 2900000.000000 PA USD 2887391.670000 0.0585430 Long ABS-MBS CORP US N 2 2033-01-15 Floating 2.047 N N N N N N IHPT-2018-STAY N/A 46117MAN4 8100000.000000 PA USD 8065933.020000 0.1635399 Long ABS-MBS CORP US N 2 2033-01-15 Floating 2.847 N N N N N N IHPT-2018-STYX N/A U5000RAE6 100000.000000 PA USD 99562.880000 0.0020187 Long ABS-MBS CORP US N 2 2033-01-15 Floating 1.847 N N N N N N IMC HOME EQ LN TR 1997-5 N/A 449670DD7 7221.690000 PA USD 7260.590000 0.0001472 Long ABS-MBS CORP US N 2 2028-11-20 Fixed 7.31 N N N N N N IMPAC CMB TRUST 2003-8 N/A 45254NFG7 5177.450000 PA USD 5198.750000 0.0001054 Long ABS-MBS CORP US N 2 2033-10-25 Floating 1.35657 N N N N N N IMPAC SECURED ASSETS CORP 2006-1 N/A 45254TTN4 13898.370000 PA USD 13665.360000 0.0002771 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.15657 N N N N N N IMPAC SECURED ASSETS CORP. 2006-5 N/A 45257EAE4 2066144.520000 PA USD 2054962.130000 0.0416652 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.85657 N N N N N N INDYMAC ARM TRUST 2001-H2 N/A 45660UAT6 3083.360000 PA USD 3079.490000 0.0000624 Long ABS-MBS CORP US N 2 2032-01-25 Floating 1.54377 N N N N N N INDYMAC HOME EQUITY LOAN 2004-A N/A 456606ER9 320995.840000 PA USD 319512.940000 0.0064782 Long ABS-MBS CORP US N 2 2034-07-25 Floating 2.48157 N N N N N N INDYMAC INDEX MORTGAGE LOAN TRUST 2005-AR35 N/A 45660L2H1 3790750.430000 PA USD 3185363.800000 0.0645845 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.21807 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2004-AR4 N/A 45660LEG0 17072.690000 PA USD 16732.150000 0.0003393 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.01657 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-16IP N/A 45660LUD9 31850.270000 PA USD 27621.870000 0.0005600 Long ABS-MBS CORP US N 2 2045-07-25 Floating 1.09657 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR6 N/A 45660LGD5 98053.260000 PA USD 90183.250000 0.0018285 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.93657 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAG5 1778814.060000 PA USD 1368373.710000 0.0277443 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.98773 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 398129.790000 PA USD 373368.980000 0.0075702 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.83657 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR8 N/A 456618AF4 5474226.520000 PA USD 5700333.970000 0.1155765 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.91657 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR7 N/A 45670CAA5 111275.690000 PA USD 50461.070000 0.0010231 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.75657 Y N N N N N INDYMAC INDX MTGE LOAN TR 2005-AR2 N/A 45660LCL1 678858.720000 PA USD 653419.920000 0.0132483 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.09657 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR2 N/A 45660NG90 1720699.430000 PA USD 1562039.590000 0.0316710 Long ABS-O CORP US N 2 2034-06-25 Variable 2.74979 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR7 N/A 45660NU45 78654.970000 PA USD 74437.990000 0.0015093 Long ABS-MBS CORP US N 2 2034-09-25 Floating 1.67657 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR8 N/A 45660N2J3 2528291.410000 PA USD 2425063.800000 0.0491691 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.25657 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR15 N/A 456610AA2 11661688.080000 PA USD 11322156.870000 0.2295611 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.69657 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR9 N/A 45661EGK4 838917.270000 PA USD 820729.120000 0.0166406 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.93829 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-B N/A 43710EAD2 91472.350000 PA USD 58338.840000 0.0011828 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.61657 N N N N N N ING INVESTMENT MANAGEMENT CLO LTD 2012-4A N/A 92916GBE3 8000000.000000 PA USD 7908536.800000 0.1603487 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.24129 N N N N N N IXIS REAL ESTATE CAPITAL TRUST 2006-HE3 N/A 46602UAB4 11622648.510000 PA USD 5142416.430000 0.1042645 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.65657 N N N N N N IXIS REAL ESTATE CAPITAL TRUST 2006-HE3 N/A 46602UAD0 42458007.430000 PA USD 19773076.180000 0.4009068 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.91657 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2017-FL11 N/A 46648PAL9 545265.610000 PA USD 542894.850000 0.0110074 Long ABS-MBS CORP US N 2 2032-10-15 Floating 2.53657 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 795341.650000 PA USD 788296.910000 0.0159830 Long ABS-MBS CORP US N 2 2031-12-15 Floating 2.45 N N N N N N JAMESTOWN CLO VI-R LTD 2020-15A N/A 47050EAA7 1000000.000000 PA USD 996590.130000 0.0202063 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 1.58129 N N N N N N JFIN CLO LTD 2017-2A N/A 46593CAA7 6900000.000000 PA USD 6862187.310000 0.1391335 Long ABS-CBDO CORP KY N 2 2029-09-20 Floating 1.91786 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A3 N/A 46628UAD0 18802994.700000 PA USD 18031710.900000 0.3655999 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.93657 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AD5 4998191.770000 PA USD 4752225.250000 0.0963532 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.93657 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A2 N/A 466278AF5 35098179.820000 PA USD 17196539.220000 0.3486665 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.01657 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AC5 1370954.170000 PA USD 1063907.050000 0.0215711 Long ABS-MBS CORP US N 2 2037-06-27 Floating 0.70857 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AD3 13860585.940000 PA USD 7620957.650000 0.1545179 Long ABS-MBS CORP US N 2 2037-06-27 Fixed 9.27272 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2016-JP4 N/A 46645UAT4 300000.000000 PA USD 304474.560000 0.0061733 Long ABS-MBS CORP US N 2 2049-12-15 Variable 3.6483 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-JP2 N/A 46590MAS9 9368631.330000 PA USD 9319306.420000 0.1889526 Long ABS-MBS CORP US N 2 2049-08-15 Fixed 2.713 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8 N/A 46649JAA6 5000000.000000 PA USD 4945219.000000 0.1002662 Long ABS-MBS CORP US N 2 2035-02-15 Floating 1.347 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT N/A 46645WAC7 3238870.000000 PA USD 3231076.310000 0.0655113 Long ABS-MBS CORP US N 2 2033-07-05 Floating 1.78914 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT N/A 46645WBA0 23176000.000000 PA USD 23410816.910000 0.4746634 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 4.5487 N N N N N N JP MORGAN MORTGAGE ACQ CORP 2005-RM1 N/A 46629NAC7 1462.580000 PA USD 791.820000 0.0000161 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.61657 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247QP1 62033.320000 PA USD 53846.600000 0.0010918 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.41232 N N N N N N 1211 AVENUE OF THE AMERICAS TRUST 2015-1211 N/A 90117PAA3 2600000.000000 PA USD 2611671.400000 0.0529527 Long ABS-MBS CORP US N 2 2035-08-10 Fixed 3.9005 N N N N N N JP MORGAN MORTGAGE TRUST 2006-S2 N/A 46628YAZ3 263311.350000 PA USD 188200.390000 0.0038158 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 5 Y N N N N N 510 ASSET BACKED 2021-NPL1 TRUST N/A 33835CAA3 2438934.010000 PA USD 2343511.940000 0.0475156 Long ABS-MBS CORP US N 2 2061-06-25 Fixed 2.2395 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NZ2 3676.420000 PA USD 3704.570000 0.0000751 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.58476 N N N N N N JP MORGAN MTGE ACQUIS CORP 2005-FLD1 N/A 46626LAZ3 10000000.000000 PA USD 9392243.000000 0.1904314 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.25657 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-FRE1 N/A 46626LFP0 21778772.000000 PA USD 21121965.620000 0.4282560 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.08657 Y N N N N N JP MORGAN MTGE ACQUIS CORP 2006-WMC3 N/A 46629KAD1 652354.690000 PA USD 513450.180000 0.0104104 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.67657 N N N N N N JP MORGAN MTGE TRUST 2005-A7 N/A 466247WQ2 84328.090000 PA USD 80517.270000 0.0016325 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.2458 N N N N N N JP MORGAN MTGE TRUST 2005-ALT1 N/A 466247XK4 34631.530000 PA USD 29577.250000 0.0005997 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.43394 Y N N N N N JP MORGAN MTGGE ACQUIS CORP 2005-OPT2 N/A 46626LEQ9 5000000.000000 PA USD 4889493.000000 0.0991364 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.43157 N N N N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T N/A 46652WAA1 18200000.000000 PA USD 16827947.500000 0.3411932 Long ABS-MBS CORP US N 2 2042-03-05 Fixed 2.28704 N N N N N N JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2019-COR6 N/A 48129RAX3 1000000.000000 PA USD 976851.500000 0.0198060 Long ABS-MBS CORP US N 2 2052-11-13 Fixed 3.0565 N N N N N N KKR CLO LTD 18 N/A 48251JAL7 1000000.000000 PA USD 998948.280000 0.0202541 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 1.18129 N N N N N N LCCM 2021-FL3 TRUST N/A 50190FAA9 5200000.000000 PA USD 5151070.600000 0.1044400 Long ABS-CBDO CORP US N 2 2038-11-15 Floating 1.84657 N N N N N N LCM LP 13A N/A 50184KBL1 18563526.630000 PA USD 18448692.650000 0.3740544 Long ABS-CBDO CORP KY N 2 2027-07-19 Floating 1.118 N N N N N N AAMES MORTGAGE INVESTMENT TRUST 2005-4 N/A 00252FCW9 1900000.000000 PA USD 1852123.420000 0.0375525 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.37157 N N N N N N LCM XXV LTD 25A N/A 50189PAY8 21300000.000000 PA USD 21194778.000000 0.4297323 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.37514 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS1 N/A 52474JAA4 2337355.040000 PA USD 2270322.270000 0.0460317 Long ABS-MBS CORP US N 2 2066-10-25 Fixed 1.892 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS3 N/A 52474XAA3 9937988.570000 PA USD 9502778.210000 0.1926725 Long ABS-MBS CORP US N 2 2061-07-25 Fixed 1.75 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS4 N/A 52475WAA4 2428017.310000 PA USD 2302110.040000 0.0466762 Long ABS-MBS CORP US N 2 2060-11-25 Fixed 1.65 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS5 N/A 52475XAA2 2811745.560000 PA USD 2690053.490000 0.0545419 Long ABS-MBS CORP US N 2 2067-07-25 Fixed 2.25 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL1 N/A 52475PAA9 1274629.800000 PA USD 1269351.690000 0.0257366 Long ABS-MBS CORP US N 2 2060-09-25 Variable 1.991 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL2 N/A 52476TAA0 5630575.840000 PA USD 5464785.220000 0.1108006 Long ABS-MBS CORP US N 2 2068-10-25 Fixed 1.875 N N N N N N LEHMAN MORTGAGE TRUST 2006-1 N/A 52520MFB4 230383.260000 PA USD 163581.840000 0.0033167 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.5 Y N N N N N LEHMAN XS TRUST 2005-5N N/A 86359DUM7 4759572.840000 PA USD 4615840.400000 0.0935880 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.81657 N N N N N N LEHMAN XS TRUST 2006-3 N/A 525221JG3 8542837.190000 PA USD 8522267.750000 0.1727923 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.91657 N N N N N N LEHMAN XS TRUST 2006-4N N/A 525221KM8 256284.020000 PA USD 285464.420000 0.0057879 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.91657 Y N N N N N LEHMAN XS TRUST 2007-3 N/A 525245AH9 14245150.370000 PA USD 14090061.990000 0.2856815 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.93657 N N N N N N LENDINGPOINT 2022-A ASSET SECURITIZATION TRUST N/A 52605AAA5 6957722.300000 PA USD 6902267.860000 0.1399462 Long ABS-O CORP US N 2 2029-06-15 Fixed 1.68 N N N N N N LIBERTY STREET TRUST 2016-225L N/A 902055AA0 2000000.000000 PA USD 1987825.000000 0.0403039 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 3.597 N N N N N N LOANCORE ISSUER LTD 2019-CRE2 N/A 53946JAA2 866389.070000 PA USD 863659.940000 0.0175110 Long ABS-CBDO CORP KY N 2 2036-05-15 Floating 1.52657 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL1 N/A 542514LL6 13122613.320000 PA USD 13031247.120000 0.2642136 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.50657 N N N N N N LONG BEACH MORTGAGE LOAN TR 2004-3 N/A 542514GM0 128728.680000 PA USD 125668.170000 0.0025480 Long ABS-MBS CORP US N 2 2034-07-25 Floating 1.31157 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 15074349.440000 PA USD 9830357.110000 0.1993143 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.75657 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-8 N/A 54251UAA4 1369663.990000 PA USD 991592.900000 0.0201049 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.75657 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2006-10 N/A 54251YAD0 14379702.640000 PA USD 5902842.050000 0.1196824 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.61657 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2006-3 N/A 542514UK8 18445266.570000 PA USD 7322647.250000 0.1484695 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.81657 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-4 N/A 542514BQ6 203.580000 PA USD 201.010000 0.0000041 Long ABS-MBS CORP US N 2 2032-03-25 Floating 1.15657 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-4 N/A 542514BK9 87354.640000 PA USD 86093.300000 0.0017456 Long ABS-MBS CORP US N 2 2032-03-25 Floating 1.88157 N N N N N N LONG BEACH MTGE LOAN TRUST 2003-4 N/A 542514EE0 257785.670000 PA USD 251632.150000 0.0051019 Long ABS-MBS CORP US N 2 2033-08-25 Floating 1.07657 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HV9 48382.380000 PA USD 48094.830000 0.0009751 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.50657 N N N N N N MADISON PARK FUNDING XXIII LTD 2017-23A N/A 55820TAJ7 2400000.000000 PA USD 2384143.920000 0.0483394 Long ABS-CBDO CORP KY N 2 2031-07-27 Floating 1.23757 N N N N N N MAGNETITE VIII CLO LTD 2014-8A N/A 55952YAP2 6800000.000000 PA USD 6767033.870000 0.1372042 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 1.22129 N N N N N N MAGNETITE XVIII LTD 2016-18A N/A 55953TAS6 15605600.630000 PA USD 15495919.790000 0.3141858 Long ABS-CBDO CORP KY N 2 2028-11-15 Floating 1.38643 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2005-1 N/A 004375CV1 1570110.390000 PA USD 1565511.540000 0.0317414 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.53657 N N N N N N MANHATTAN WEST 2020-1MW N/A 563136AA8 3400000.000000 PA USD 3147291.260000 0.0638126 Long ABS-MBS CORP US N 2 2039-09-10 Fixed 2.13 N N N N N N MARATHON CLO IX LTD 2017-9A N/A 56577PAL3 5136071.900000 PA USD 5118794.510000 0.1037855 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.39129 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2006-2 N/A 00437NAD4 159755.810000 PA USD 157591.660000 0.0031952 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.71657 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 255430.330000 PA USD 255706.500000 0.0051845 Long ABS-O CORP US N 2 2038-04-25 Floating 1.20771 N N N N N N ACE SECURITIES CORP 2003-OP1 N/A 004427BM1 276449.830000 PA USD 272095.690000 0.0055168 Long ABS-MBS CORP US N 2 2033-12-25 Floating 1.50657 N N N N N N ACE SECURITIES CORP 2004-FM1 N/A 004421DK6 1163526.610000 PA USD 1139725.160000 0.0231084 Long ABS-MBS CORP US N 2 2033-09-25 Floating 1.35657 N N N N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GP5 4087.550000 PA USD 3953.590000 0.0000802 Long ABS-MBS CORP US N 2 2033-12-25 Floating 1.99999 N N N N N N MASTR ADJ RATE MTGE TRUST 2007-HF2 N/A 57645TAB3 3500000.000000 PA USD 1708061.600000 0.0346316 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.55657 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-15 N/A 576433VQ6 304571.840000 PA USD 298321.870000 0.0060486 Long ABS-MBS CORP US N 2 2034-12-25 Floating 0.78657 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2005-6 N/A 576433A55 10328939.540000 PA USD 6834699.580000 0.1385762 Long ABS-MBS CORP US N 2 2035-07-25 Variable 2.52439 Y N N N N N MASTR ASSET BACKED SEC TR 2004-WMC3 N/A 57643LFN1 567004.900000 PA USD 560219.780000 0.0113587 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.28157 N N N N N N MASTR ASSET BACKED SEC TR 2005-NC1 N/A 57643LGG5 342782.830000 PA USD 338189.200000 0.0068569 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.20657 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAA5 12731985.270000 PA USD 7733322.550000 0.1567961 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.71657 N N N N N N ACE SECURITIES CORP 2004-RM1 N/A 004421FS7 31631.930000 PA USD 31546.560000 0.0006396 Long ABS-MBS CORP US N 2 2034-07-25 Floating 1.50657 N N N N N N MASTR ASSET SECURIZATION TR 2007-2 N/A 576429AA2 2227154.940000 PA USD 2154732.540000 0.0436880 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.75657 N N N N N N MASTR SPECIALIZED LOAN TRUST 2007-2 N/A 55291QAB0 239172.060000 PA USD 37425.310000 0.0007588 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.30657 Y N N N N N MELLON RESIDENTIAL FUNDING CO 2001-TBC1 N/A 585525FC7 35634.520000 PA USD 35945.640000 0.0007288 Long ABS-MBS CORP US N 2 2031-11-15 Floating 1.09657 N N N N N N MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-H N/A 59025TAD5 157539.670000 PA USD 158371.780000 0.0032110 Long ABS-MBS CORP US N 2 2037-10-25 Floating 3.45657 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A6 N/A 59020UZL2 12000000.000000 PA USD 11751352.800000 0.2382632 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.17657 N N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM4 N/A 59023QAB7 94251.490000 PA USD 53014.150000 0.0010749 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.61657 N N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM5 N/A 59023FAA3 304753.930000 PA USD 131982.680000 0.0026760 Long ABS-MBS CORP US N 2 2037-10-25 Floating 0.57657 Y N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE3 N/A 590212AB2 669074.680000 PA USD 225674.540000 0.0045756 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.63657 N N N N N N MERRILL LYNCH MTGE INVESTORS 2003-A5 N/A 5899293Z9 50269.040000 PA USD 1524.560000 0.0000309 Long ABS-MBS CORP US N 2 2033-08-25 Floating 2.78256 Y N N N N N MF1 2020-FL4 LTD N/A 58003UAA6 3500000.000000 PA USD 3506475.000000 0.0710951 Long ABS-CBDO CORP US N 2 2035-11-15 Floating 2.14305 N N N N N N MF1 2022-FL8 LTD N/A 55284JAA7 19500000.000000 PA USD 19366559.550000 0.3926645 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 1.4 N N N N N N ACE SECURITIES CORP 2007-HE3 N/A 00442GAA8 21334477.910000 PA USD 6636142.690000 0.1345504 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.89657 N N N N N N ACE SECURITIES CORP 2007-HE4 N/A 00442LAA7 61226189.300000 PA USD 13378767.280000 0.2712597 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.89657 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AC3 873839.050000 PA USD 863291.730000 0.0175036 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.947 N N N N N N MFA LLC 2018-NPL1 N/A 55282YAA6 2389440.000000 PA USD 2339787.910000 0.0474401 Long ABS-MBS CORP US N 2 2060-03-25 Fixed 2.3633 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 N/A 59982HAG5 8550000.000000 PA USD 7845905.790000 0.1590788 Long ABS-MBS CORP US N 2 2060-11-25 Variable 1.85 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 N/A 59982HAH3 3000000.000000 PA USD 2784868.800000 0.0564643 Long ABS-MBS CORP US N 2 2060-11-25 Variable 2.5 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 N/A 59982HAL4 2358000.000000 PA USD 2124973.720000 0.0430847 Long ABS-MBS CORP US N 2 2060-11-25 Variable 2.5 N N N N N N MKS CLO LTD 2017-1A N/A 55317AAA7 16900000.000000 PA USD 16908404.710000 0.3428245 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.254 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-1 N/A 59020UVJ1 9901.900000 PA USD 9551.290000 0.0001937 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.96005 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL37 4032274.270000 PA USD 4038937.200000 0.0818910 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.59133 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-A N/A 589929F94 6639.650000 PA USD 6591.190000 0.0001336 Long ABS-MBS CORP US N 2 2028-03-25 Floating 1.19657 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-D N/A 589929V21 4418.040000 PA USD 4378.700000 0.0000888 Long ABS-MBS CORP US N 2 2028-08-25 Floating 1.07657 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-F N/A 5899292M9 44290.450000 PA USD 43420.410000 0.0008804 Long ABS-MBS CORP US N 2 2028-10-25 Floating 1.09657 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-SD1 N/A 61744CBF2 1636.590000 PA USD 1638.100000 0.0000332 Long ABS-MBS CORP US N 2 2034-08-25 Floating 2.85657 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE1 N/A 617451DS5 7117124.000000 PA USD 6101194.400000 0.1237041 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.01157 Y N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC3 N/A 61744CZE9 19062691.600000 PA USD 19503005.460000 0.3954310 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.95157 Y N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC4 N/A 61748LAD4 559877.460000 PA USD 509395.660000 0.0103282 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.75657 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC4 N/A 61748LAE2 7149243.020000 PA USD 6590528.250000 0.1336255 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.93657 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAP5 57119932.850000 PA USD 28163525.530000 0.5710264 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.58657 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAE6 21227462.430000 PA USD 11073176.290000 0.2245129 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.79657 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE6 N/A 61755CAA0 87535.150000 PA USD 80289.060000 0.0016279 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.51657 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE7 N/A 61756YAF0 293710.980000 PA USD 319444.290000 0.0064769 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.45657 Y N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AC6 8463924.080000 PA USD 4888935.210000 0.0991251 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.55657 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-H7 N/A 61771MAV2 8000000.000000 PA USD 7688893.600000 0.1558953 Long ABS-MBS CORP US N 2 2052-07-15 Fixed 3.005 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-PLND N/A 61691XAA1 5347000.000000 PA USD 5311636.010000 0.1076955 Long ABS-MBS CORP US N 2 2036-05-15 Floating 1.397 N N N N N N MORGAN STANLEY CAPITAL INC 2005-HE7 N/A 61744CWM4 2300000.000000 PA USD 2264587.130000 0.0459154 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.11657 N N N N N N MORGAN STANLEY CAPITAL INC 2006-HE2 N/A 617451EV7 6708644.540000 PA USD 5965933.190000 0.1209616 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.99657 N N N N N N MORGAN STANLEY DEAN WITT CAP I 2003-NC2 N/A 61746WA75 47069.010000 PA USD 46761.730000 0.0009481 Long ABS-MBS CORP US N 2 2033-02-25 Floating 1.80657 N N N N N N MORGAN STANLEY DEAN WITTER CAPITAL I 2001-NC4 N/A 61746WLM0 106530.540000 PA USD 151541.810000 0.0030726 Long ABS-MBS CORP US N 2 2032-01-25 Floating 2.93157 Y N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-14SL N/A 61749SAC0 578960.090000 PA USD 85289.510000 0.0017293 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.77657 Y N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-3AR N/A 61748HWP2 1150537.400000 PA USD 832263.320000 0.0168745 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.71657 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2004-8AR N/A 61748HEG2 24167.530000 PA USD 24731.580000 0.0005014 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.46197 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2006-13AX N/A 61750PAC2 1328326.900000 PA USD 531856.910000 0.0107836 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.97657 N N N N N N MORGAN STANLEY RESECURITIZATION TRUST 2014-R8 N/A 61764KAD5 13571495.440000 PA USD 12523286.060000 0.2539145 Long ABS-MBS CORP US N 2 2047-06-26 Floating 0.50686 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-8 N/A 007036QT6 529419.990000 PA USD 525540.080000 0.0106555 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.01657 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-9 N/A 007036SE7 269514.050000 PA USD 271464.440000 0.0055040 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.99657 N N N N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 974585.570000 PA USD 974490.790000 0.0197582 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 1.33129 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2006-3 N/A 00703QAH5 34555354.190000 PA USD 15976844.240000 0.3239367 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.01657 N N N N N N MP CLO VII LTD 2015-1A N/A 55320RAQ0 3347402.290000 PA USD 3330828.560000 0.0675338 Long ABS-CBDO CORP KY N 2 2028-10-18 Floating 1.13129 N N N N N N NATIONSTAR HOME EQUITY LOAN TR 2006-B N/A 63860FAG8 5483000.000000 PA USD 5047245.150000 0.1023349 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.82657 N N N N N N NATIONSTAR HOME EQUITY LOAN TR 2007-A N/A 63860HAF6 5632000.000000 PA USD 5350427.030000 0.1084820 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.73657 N N N N N N NAVIENT PRIVATE EDUCATION LOAN TRUST 2016-A N/A 63939NAB9 3500042.790000 PA USD 3541152.890000 0.0717982 Long ABS-O CORP US N 2 2045-12-15 Fixed 3.91 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-EA N/A 63941TAA4 1667209.650000 PA USD 1602435.220000 0.0324900 Long ABS-O CORP US N 2 2069-05-15 Fixed 1.69 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-HA N/A 63935BAA1 2542012.420000 PA USD 2462828.480000 0.0499348 Long ABS-O CORP US N 2 2069-01-15 Fixed 1.31 N N N N N N NAVIENT STUDENT LOAN TRUST 2014-AA N/A 63939CAB3 240089.560000 PA USD 240814.340000 0.0048826 Long ABS-O CORP US N 2 2029-02-15 Fixed 2.74 N N N N N N NAVIENT STUDENT LOAN TRUST 2015-AA N/A 63939EAB9 1271713.120000 PA USD 1271916.590000 0.0257886 Long ABS-O CORP US N 2 2028-12-15 Fixed 2.65 N N N N N N NAVIENT STUDENT LOAN TRUST 2015-BA N/A 63939KAC3 3920053.130000 PA USD 3930550.250000 0.0796934 Long ABS-O CORP US N 2 2040-07-16 Floating 1.84657 N N N N N N NAVIENT STUDENT LOAN TRUST 2017-2 N/A 63939RAA2 9621307.940000 PA USD 9665883.460000 0.1959795 Long ABS-O CORP US N 2 2066-12-27 Floating 1.50657 N N N N N N NAVIENT STUDENT LOAN TRUST 2018-2A N/A 63941DAB7 6849476.400000 PA USD 6838466.550000 0.1386526 Long ABS-O CORP US N 2 2067-03-25 Floating 0.83657 N N N N N N NAVIENT STUDENT LOAN TRUST 2020-IA N/A 63942AAA4 695152.180000 PA USD 652544.700000 0.0132306 Long ABS-O CORP US N 2 2069-04-15 Fixed 1.33 N N N N N N NAVIENT STUDENT LOAN TRUST 2020-IA N/A 63942AAB2 2502547.830000 PA USD 2481014.410000 0.0503035 Long ABS-O CORP US N 2 2069-04-15 Floating 1.39657 N N N N N N NELNET STUDENT LOAN TRUST 2016-1A N/A 64033UAA8 14546554.850000 PA USD 14472560.890000 0.2934368 Long ABS-O CORP US N 2 2065-09-25 Floating 1.25657 N N N N N N NELNET STUDENT LOAN TRUST 2019-2 N/A 64034NAA3 29538589.810000 PA USD 29738512.890000 0.6029599 Long ABS-O CORP US N 2 2067-06-27 Floating 1.35657 N N N N N N NEW CENTURY HOME EQUITY LN TRUST 2005-D N/A 64352VPQ8 8977999.980000 PA USD 8854992.400000 0.1795384 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.13157 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2006-1 N/A 64352VQR5 131859.040000 PA USD 130085.670000 0.0026375 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.81657 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A N/A 64830KAA5 552862.990000 PA USD 565581.110000 0.0114674 Long ABS-MBS CORP US N 2 2058-05-25 Variable 4.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 N/A 64829VAA4 515130.810000 PA USD 516649.420000 0.0104753 Long ABS-MBS CORP US N 2 2057-12-25 Variable 3.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL2 N/A 64830HAA2 11363313.330000 PA USD 11335850.470000 0.2298388 Long ABS-MBS CORP US N 2 2059-02-25 Variable 3.25 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 26495853.630000 PA USD 25946560.140000 0.5260766 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW YORK MORTGAGE TRUST 2021-SP1 N/A 62955RAA3 2837786.290000 PA USD 2713181.360000 0.0550108 Long ABS-MBS CORP US N 2 2061-08-25 Fixed 1.6696 N N N N N N NEWCASTLE MTGE SECURITIES TRUST 2006-1 N/A 65106AAQ6 16665410.720000 PA USD 16609303.280000 0.3367601 Long ABS-MBS CORP US N 2 2036-03-25 Floating 1.04157 N N N N N N AFC HOME EQUITY LOAN TR 1998-2 N/A 00105HDM5 187625.990000 PA USD 184297.300000 0.0037367 Long ABS-MBS CORP US N 2 2028-06-25 Floating 1.05657 N N N N N N AFC HOME EQUITY TRUST 1998-1 N/A 00105HDJ2 2871.580000 PA USD 2870.190000 0.0000582 Long ABS-MBS CORP US N 2 2028-04-25 Floating 1.12657 N N N N N N AFFIRM ASSET SECURITIZATION TRUST 2021-A N/A 00833MAA2 33600000.000000 PA USD 33427195.200000 0.6777494 Long ABS-O CORP US N 2 2025-08-15 Fixed 0.88 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2004-AP3 N/A 65535VGB8 6871000.000000 PA USD 6899342.880000 0.1398869 Long ABS-MBS CORP US N 2 2034-10-25 Variable 5.754 Y N N N N N NOMURA ASSET ACCEPTANCE CORP 2004-R1 N/A 62951MAB6 402427.700000 PA USD 390477.530000 0.0079171 Long ABS-MBS CORP US N 2 2034-03-25 Fixed 7.5 Y N N N N N NOMURA HOME EQUITY LOAN INC 2006-HE2 N/A 65536MAE7 7620027.000000 PA USD 7363982.660000 0.1493076 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.95157 N N N N N N NORTH CAROLINA STATE EDUCATION AUTHORITY 2011-2 N/A 658262GD6 4180458.630000 PA USD 4168869.560000 0.0845254 Long ABS-O MUN US N 2 2036-07-25 Floating 1.05771 N N N N N N NOVASTAR HOME EQUITY LOAN 2003-1 N/A 66987XCE3 763.250000 PA USD 738.540000 0.0000150 Long ABS-MBS CORP US N 2 2033-05-25 Floating 1.23657 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-3 N/A 66987XGZ2 25000000.000000 PA USD 24170630.000000 0.4900689 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.19157 N N N N N N NOVASTAR HOME EQUITY LOAN 2007-1 N/A 669971AB9 11091.350000 PA USD 4941.100000 0.0001002 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.55657 N N N N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A 68249DAA7 9700000.000000 PA USD 9565942.120000 0.1939532 Long ABS-MBS CORP US N 2 2036-01-15 Floating 1.347 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2018-1A N/A 68267BAA8 125148.710000 PA USD 125179.600000 0.0025381 Long ABS-O CORP US N 2 2029-03-14 Fixed 3.3 N N N N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-3 N/A 68383NBS1 6091000.000000 PA USD 6058014.190000 0.1228286 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.43157 N N N N N N OPTION ONE MORTGAGE LOAN 2000-5 N/A 68389FBH6 1092.540000 PA USD 1082.320000 0.0000219 Long ABS-MBS CORP US N 2 2030-08-20 Floating 0.94857 N N N N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 477002.960000 PA USD 469527.990000 0.0095199 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.23657 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2004-2 N/A 68389FFG4 11920.160000 PA USD 11741.820000 0.0002381 Long ABS-MBS CORP US N 2 2034-05-25 Floating 1.25157 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2006-1 N/A 68389FKR4 25000000.000000 PA USD 24347730.000000 0.4936597 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.99657 N N N N N N OSD CLO 2021-23A LTD N/A 671026AA0 10800000.000000 PA USD 10679815.440000 0.2165374 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 1.8352 N N N N N N OZLM VII LTD 2014-7RA N/A 67108WBE8 1482270.380000 PA USD 1477042.340000 0.0299476 Long ABS-CBDO CORP KY N 2 2029-07-17 Floating 1.25129 N N N N N N OZLM VIII LTD 2014-8A N/A 67107FBL0 13512484.080000 PA USD 13446810.700000 0.2726393 Long ABS-CBDO CORP KY N 2 2029-10-17 Floating 1.22129 N N N N N N OZLM XVI LTD 2017-16A N/A 67111KAJ9 8900000.000000 PA USD 8901666.260000 0.1804847 Long ABS-CBDO CORP KY N 2 2030-05-16 Floating 1.48857 N N N N N N OZLM XVIII LTD 2018-18A N/A 67112GAA6 4600000.000000 PA USD 4569013.850000 0.0926385 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 1.25914 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2021-5 N/A 69547EAA2 28271098.780000 PA USD 27642524.820000 0.5604629 Long ABS-O CORP US N 2 2029-08-15 Fixed 1.53 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2022-1 N/A 69546MAA5 6100000.000000 PA USD 5991045.460000 0.1214708 Long ABS-O CORP US N 2 2029-10-15 Fixed 2.03 N N N N N N PALMER SQUARE LOAN FUNDING 2020-1 LTD N/A 69701EAA4 793461.880000 PA USD 793582.690000 0.0160902 Long ABS-CBDO CORP KY N 2 2028-02-20 Floating 1.27957 N N N N N N PALMER SQUARE LOAN FUNDING 2021-4 N/A 69702HAA6 4600000.000000 PA USD 4561261.100000 0.0924813 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 0.92788 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2019-3A N/A 69689LAA4 568895.050000 PA USD 567964.880000 0.0115157 Long ABS-CBDO CORP KY N 2 2027-08-20 Floating 1.32957 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2019-4A N/A 69689HAA3 2270551.860000 PA USD 2266505.100000 0.0459543 Long ABS-CBDO CORP KY N 2 2027-10-24 Floating 1.15886 N N N N N N PARK PLACE SECURITIES INC 2004-WCW2 N/A 70069FAZ0 9135247.730000 PA USD 9049465.930000 0.1834814 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.50657 N N N N N N POPULAR ABS MTGE PASS THRU TRUST 2005-6 N/A 73316PJF8 206412.280000 PA USD 195118.620000 0.0039561 Long ABS-MBS CORP US N 2 2036-01-25 Variable 6.585 Y N N N N N PREFERRED TERM SECURITIES X LTD / PREFERRED TERM SECURITIES X INC N/A 74040YAB8 1089869.750000 PA USD 1078971.050000 0.0218766 Long DBT CORP KY N 2 2033-07-03 Floating 1.82557 N N N N N N PREFERRED TERM SECURITIES XXI LTD / PREFERRED TERM SECURITIES XXI INC N/A 74042JAA1 20330024.570000 PA USD 18906922.850000 0.3833452 Long DBT CORP KY N 2 2038-03-22 Floating 1.176 N N N N N N PRET 2021-NPL5 LLC N/A 74143KAA6 16763580.140000 PA USD 16261993.710000 0.3297182 Long ABS-MBS CORP US N 2 2051-10-25 Fixed 2.487 N N N N N N PRET 2021-NPL6 LLC N/A 69362GAA9 10188268.810000 PA USD 9909194.810000 0.2009128 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 2.4871 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL1 LLC N/A 741389AA8 1261891.500000 PA USD 1218641.940000 0.0247084 Long ABS-MBS CORP US N 2 2060-09-27 Fixed 2.2395 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC N/A 74143EAA0 4930749.590000 PA USD 4690546.150000 0.0951026 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 1.8677 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 5181780.870000 PA USD 4934356.020000 0.1000460 Long ABS-MBS CORP US N 2 2051-07-25 Variable 1.7436 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3 N/A 74143JAA9 37481916.090000 PA USD 35912199.680000 0.7281338 Long ABS-MBS CORP US N 2 2051-09-25 Variable 1.8429 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN4 N/A 69359QAA2 1606903.270000 PA USD 1565675.600000 0.0317447 Long ABS-MBS CORP US N 2 2051-10-25 Variable 2.4871 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1 N/A 69363JAA2 19229641.970000 PA USD 18902436.150000 0.3832542 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 3.721 N N N N N N PRPM-2022-1 N/A 693582AA6 13381551.540000 PA USD 13166998.430000 0.2669660 Long ABS-MBS CORP US N 2 2027-02-25 Fixed 3.72 N N N N N N RAAC SERIES 2005-SP3 N/A 76112BS84 1447000.000000 PA USD 1455506.190000 0.0295110 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.20657 N N N N N N RAAC SERIES 2006-SP2 N/A 74919PAD1 891597.210000 PA USD 889932.420000 0.0180437 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.96657 N N N N N N RAD CLO LTD 2019-5A N/A 74923EAA6 14400000.000000 PA USD 14281175.520000 0.2895564 Long ABS-CBDO CORP KY N 2 2032-07-24 Floating 1.37886 N N N N N N RAMP SERIES TRUST2006-EFC1 N/A 76112BV80 2681668.790000 PA USD 2665279.770000 0.0540396 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.05657 N N N N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 43081.750000 PA USD 49113.200000 0.0009958 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N RENAISSANCE HOME EQ LN TRUST 2002-4 N/A 759950AL2 10800.950000 PA USD 10553.140000 0.0002140 Long ABS-MBS CORP US N 2 2033-03-25 Floating 1.69657 N N N N N N RENAISSANCE HOME EQUITY LN TR 2005-2 N/A 75970NAL1 42404.870000 PA USD 42422.810000 0.0008601 Long ABS-MBS CORP US N 2 2035-08-25 Variable 4.934 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 619778.520000 PA USD 329261.990000 0.0066759 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.55657 N N N N N N RENAISSANCE HOME EQUITY LOAN TRUST 2002-2 N/A 759950AH1 633173.530000 PA USD 622322.080000 0.0126178 Long ABS-MBS CORP US N 2 2032-08-25 Floating 1.65657 N N N N N N RESIDENTIAL ACCREDIT LOANS 2004-QA4 N/A 76110HZH5 4529.350000 PA USD 4600.200000 0.0000933 Long ABS-MBS CORP US N 2 2034-09-25 Floating 3.0141 N N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QS-17 N/A 761118PY8 3704762.960000 PA USD 3589939.390000 0.0727874 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA9 N/A 75115VAA3 7388611.030000 PA USD 5234832.390000 0.1061383 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.81657 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO4 N/A 75114GAC3 1365347.600000 PA USD 1252225.680000 0.0253894 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.83657 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO8 N/A 75115FAD2 9004190.810000 PA USD 8911596.210000 0.1806861 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.85657 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH5 N/A 75116EAA0 124780.700000 PA USD 120058.570000 0.0024342 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.87657 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 943151.270000 PA USD 917719.010000 0.0186071 Long ABS-MBS CORP US N 2 2037-10-25 Variable 1.01613 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QS15 N/A 74922YAE5 1598412.460000 PA USD 1516542.250000 0.0307485 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.5 Y N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2006-NC2 N/A 75156TAD2 13559332.000000 PA USD 13090942.500000 0.2654239 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.99657 N N N N N N RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2006-RS3 N/A 75156VAD7 14578880.740000 PA USD 13721875.810000 0.2782164 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.05657 Y N N N N N RESIDENTIAL ASSET MTGE PROD 2005-RS8 N/A 76112BZL7 2450000.000000 PA USD 2360595.090000 0.0478620 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.23657 N N N N N N RESIDENTIAL ASSET SEC CORP 2003-KS4 N/A 76110WRT5 568575.090000 PA USD 525301.290000 0.0106507 Long ABS-MBS CORP US N 2 2033-06-25 Floating 1.03657 N N N N N N RESIDENTIAL ASSET SEC CORP 2007-KS1 N/A 74924SAC0 448297.220000 PA USD 447942.980000 0.0090822 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.60657 N N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A4 N/A 45660LHD4 574139.250000 PA USD 339618.520000 0.0068859 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.90657 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A8 N/A 761119AD8 1788123.530000 PA USD 1483359.330000 0.0300757 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N RESIDENTIAL ASSET SEC TRUST 2007-A2 N/A 761120AL8 4333463.480000 PA USD 1722970.350000 0.0349339 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6.5 Y N N N N N RESIDENTIAL ASSET SECUR TR 2003-A15 N/A 45660NWT8 20137.640000 PA USD 19097.740000 0.0003872 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.90657 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-EMX2 N/A 76110W2N5 1644694.930000 PA USD 1618683.750000 0.0328194 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.37657 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS2 N/A 76110WN69 323681.260000 PA USD 322366.560000 0.0065361 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.10157 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-EMX1 N/A 75405KAE8 12651554.460000 PA USD 12065340.890000 0.2446295 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.10157 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS5 N/A 75406VAD5 2777251.380000 PA USD 2765075.630000 0.0560630 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.71657 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 257.470000 PA USD 259.990000 0.0000053 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 34957.500000 PA USD 31423.920000 0.0006371 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.75002 Y N N N N N RESIDENTIAL FUNDING MTGE SEC 2005-SA4 N/A 76111XYH0 5744518.540000 PA USD 4325257.680000 0.0876963 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.1687 Y N N N N N RESIMAC BASTILLE TRUST SERIES 2019-1NC N/A 76119UAA9 725283.490000 PA USD 725285.090000 0.0147054 Long ABS-MBS CORP AU N 2 2057-09-05 Floating 1.36757 N N N N N N RIVERVIEW HECM TRUST-2007-1 N/A 769422AA4 11689410.250000 PA USD 11117595.860000 0.2254136 Long ABS-MBS CORP US N 2 2047-05-25 Floating 2.02 N N N N N N SACO I INC 1997-2 N/A 073919AK8 3251.080000 PA USD 3234.660000 0.0000656 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 7 N N N N N N SACO I INC 2005-3 N/A 785778EV9 52918.550000 PA USD 49604.480000 0.0010058 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.20657 N N N N N N SACO I TRUST 2005-10 N/A 785778ND9 27832.020000 PA USD 26952.340000 0.0005465 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.97657 Y N N N N N SACO I TRUST 2006-5 N/A 785811AD2 167358.620000 PA USD 185610.680000 0.0037633 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.81657 N N N N N N SALOMON BROMTGE SEC VII 2003-HYB1 N/A 79549AYG8 674.390000 PA USD 703.500000 0.0000143 Long ABS-MBS CORP US N 2 2033-09-25 Floating 2.24 N N N N N N SALOMON BROTHERS MTGE SEC VII 2002-1 N/A 79549AQP7 20496.340000 PA USD 19896.980000 0.0004034 Long ABS-MBS CORP US N 2 2032-05-25 Floating 0.95657 N N N N N N SALOMON BROTHERS MTGE SEC VII 2002-1 N/A 79549AQR3 76651.960000 PA USD 67074.910000 0.0013600 Long ABS-MBS CORP US N 2 2032-05-25 Fixed 8.5 N N N N N N AMERICAN BUSINESS FIN SERVICES 2002-2 N/A 000759CR9 630975.130000 PA USD 477483.300000 0.0096812 Long ABS-MBS CORP US N 2 2033-07-15 Variable 6.785 Y N N N N N SAXON ASSET SECURITIES TR 2004-2 N/A 805564QK0 4590551.020000 PA USD 4503029.870000 0.0913007 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.32657 N N N N N N SAXON ASSET SECURITIES TRUST 2004-1 N/A 805564PL9 611224.020000 PA USD 581571.220000 0.0117916 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.99657 N N N N N N SAXON ASSET SECURITIES TRUST 2007-2 N/A 80556YAD7 3985394.350000 PA USD 3258023.610000 0.0660577 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.69657 N N N N N N SAXON ASSET SECURITIES TRUST 2007-3 N/A 80557BAA2 1116092.920000 PA USD 1089537.270000 0.0220908 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.76657 N N N N N N SAXON ASSET SECURITIES TRUST 2007-4 N/A 80557CAA0 10260465.880000 PA USD 10223851.410000 0.2072926 Long ABS-MBS CORP US N 2 2037-12-25 Floating 2.20657 N N N N N N SCULPTOR CLO XXV 25A N/A 811244AC6 5400000.000000 PA USD 5380845.500000 0.1090987 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 1.51129 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2 N/A 81376VAC1 3765732.580000 PA USD 2820864.710000 0.0571941 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.95657 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM3 N/A 81377EAA2 762892.050000 PA USD 318327.010000 0.0064542 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.55657 Y N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-NC1 N/A 81378AAC5 21034468.270000 PA USD 13983249.640000 0.2835158 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.60657 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAA1 9931.770000 PA USD 9951.120000 0.0002018 Long ABS-MBS CORP US N 2 2027-10-20 Floating 1.24857 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAB9 4171.510000 PA USD 4117.550000 0.0000835 Long ABS-MBS CORP US N 2 2027-10-20 Floating 1.20857 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAN3 182531.210000 PA USD 182609.110000 0.0037025 Long ABS-MBS CORP US N 2 2027-10-20 Floating 1.80857 N N N N N N SEQUOIA MORTGAGE TRUST 2004-1 N/A 81744FAA5 84676.080000 PA USD 77745.470000 0.0015763 Long ABS-MBS CORP US N 2 2034-02-20 Floating 1.02986 N N N N N N SEQUOIA MORTGAGE TRUST 2004-10 N/A 81744FET0 23749.050000 PA USD 22937.830000 0.0004651 Long ABS-MBS CORP US N 2 2034-11-20 Floating 1.06857 N N N N N N SEQUOIA MORTGAGE TRUST 2004-4 N/A 81744FBF3 236997.910000 PA USD 232618.850000 0.0047164 Long ABS-MBS CORP US N 2 2034-05-20 Floating 0.68625 N N N N N N SEQUOIA MORTGAGE TRUST 2004-5 N/A 81744FBS5 55387.970000 PA USD 54611.380000 0.0011073 Long ABS-MBS CORP US N 2 2034-06-20 Floating 1.55633 N N N N N N SEQUOIA MORTGAGE TRUST 2004-7 N/A 81744FCV7 62645.890000 PA USD 64198.180000 0.0013016 Long ABS-MBS CORP US N 2 2034-08-20 Floating 1.76191 N N N N N N SEQUOIA MORTGAGE TRUST 2005-1 N/A 81744FGM3 62556.220000 PA USD 59851.390000 0.0012135 Long ABS-MBS CORP US N 2 2035-02-20 Floating 0.90857 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAA1 400285.990000 PA USD 294726.130000 0.0059757 Long ABS-MBS CORP US N 2 2047-01-20 Floating 1.89685 Y N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AH9 11003750.580000 PA USD 10334883.200000 0.2095438 Long ABS-MBS CORP US N 2 2046-11-25 Variable 6.75 N N N N N N SEQUOIA MORTGAGE TRUST 5 N/A 81743WAA9 22572.670000 PA USD 22275.300000 0.0004516 Long ABS-MBS CORP US N 2 2026-10-19 Floating 1.14857 N N N N N N SEQUOIA MORTGAGE TRUST 9 N/A 81743SAB6 13235.570000 PA USD 12486.690000 0.0002532 Long ABS-MBS CORP US N 2 2032-09-20 Floating 1.85746 N N N N N N SG COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C5 N/A 78419CAE4 2558798.980000 PA USD 2546098.130000 0.0516231 Long ABS-MBS CORP US N 2 2048-10-10 Fixed 2.895 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE2 N/A 784208AA8 52763750.470000 PA USD 28202161.310000 0.5718098 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.71657 N N N N N N SHENTON AIRCRAFT INVESTMENT LTD 2015-1A N/A 82321UAA1 8627566.820000 PA USD 7786017.560000 0.1578645 Long ABS-O CORP KY N 2 2042-10-15 Fixed 4.75 N N N N N N AMERICAN HOME MTG INV TRUST 2005-1 N/A 02660TDF7 744881.930000 PA USD 750318.600000 0.0152130 Long ABS-MBS CORP US N 2 2045-06-25 Floating 2.82629 N N N N N N SLC STUDENT LOAN TRUST 2008-2 N/A 78444NAD1 3365870.800000 PA USD 3299791.350000 0.0669046 Long ABS-O CORP US N 2 2049-06-15 Floating 1.726 N N N N N N SLC STUDENT LOAN TRUST 2010-1 N/A 78444WAA7 1427464.700000 PA USD 1429724.660000 0.0289882 Long ABS-O CORP US N 2 2042-11-25 Floating 1.37257 N N N N N N SLM STUDENT LOAN TRUST 2003-7A N/A B018RFII0 19346527.100000 PA USD 19225493.290000 0.3898043 Long ABS-O CORP US N 2 2033-12-15 Floating 2.026 N N N N N N SLM STUDENT LOAN TRUST 2005-B N/A 78443CCB8 1864364.500000 PA USD 1798650.310000 0.0364683 Long ABS-O CORP US N 2 2039-06-15 Floating 1.156 N N N N N N SLM STUDENT LOAN TRUST 2008-5 N/A 78444YAD7 6984676.300000 PA USD 7011517.010000 0.1421612 Long ABS-O CORP US N 2 2023-07-25 Floating 1.95771 N N N N N N SLM STUDENT LOAN TRUST 2008-7 N/A 78445FAD7 10268864.510000 PA USD 10169713.490000 0.2061949 Long ABS-O CORP US N 2 2023-07-25 Floating 1.15771 N N N N N N SLM STUDENT LOAN TRUST 2008-8 N/A 78445GAD5 13074711.250000 PA USD 13109544.900000 0.2658011 Long ABS-O CORP US N 2 2023-04-25 Floating 1.75771 N N N N N N AMERICAN HOME MTGE INV TRUST 2005-2 N/A 02660TEV1 4742.910000 PA USD 3343.770000 0.0000678 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.63657 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2017-A N/A 78448WAB1 1496597.690000 PA USD 1487566.320000 0.0301610 Long ABS-O CORP US N 2 2034-09-15 Fixed 2.88 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA N/A 78449VAB2 26071813.350000 PA USD 24976035.890000 0.5063988 Long ABS-O CORP US N 2 2054-09-15 Fixed 1.6 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA N/A 78449VAC0 11042292.680000 PA USD 11011560.880000 0.2232637 Long ABS-O CORP US N 2 2054-09-15 Floating 1.30657 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B N/A 83403YAB0 4959626.190000 PA USD 4966424.850000 0.1006962 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 83405DAC2 7369648.480000 PA USD 7369630.060000 0.1494221 Long ABS-O CORP US N 2 2040-07-25 Fixed 2.63 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2019-C N/A 83401CAB0 26238076.310000 PA USD 26005360.320000 0.5272688 Long ABS-O CORP US N 2 2048-11-16 Fixed 2.37 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-C N/A 83390UAF4 1747995.950000 PA USD 1713486.660000 0.0347416 Long ABS-O CORP US N 2 2046-02-15 Fixed 1.95 N N N N N N SOUND POINT CLO LTD 2018-2A N/A 83611JAA3 8300000.000000 PA USD 8245511.330000 0.1671809 Long ABS-CBDO CORP KY N 2 2031-07-26 Floating 1.36714 N N N N N N SOUND POINT CLO XII LTD 2016-2A N/A 83610CAW1 21407127.210000 PA USD 21370267.130000 0.4332905 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.304 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAN0 4365857.450000 PA USD 4354906.790000 0.0882974 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.24886 N N N N N N SOUND POINT CLO XV LTD 2017-1A N/A 83609RAL5 1173784.420000 PA USD 1174704.730000 0.0238176 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.15886 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 30500000.000000 PA USD 30540852.920000 0.6192276 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 1.23771 N N N N N N SOUND POINT CLO XVII 2017-3A N/A 83611GAL5 15300000.000000 PA USD 15177278.700000 0.3077252 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 1.234 N N N N N N SOUND POINT CLO XVIII LTD 2017-4A N/A 83609TAA5 7000000.000000 PA USD 6975031.280000 0.1414215 Long ABS-CBDO CORP KY N 2 2031-01-21 Floating 1.374 N N N N N N SOUNDS POINT CLO IV-R LTD 2013-3RA N/A 83609YAC0 5600000.000000 PA USD 5581587.650000 0.1131689 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 1.39129 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2003-2 N/A 83611MAQ1 15056.220000 PA USD 14972.810000 0.0003036 Long ABS-MBS CORP US N 2 2033-11-25 Floating 1.75657 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAB8 3982505.560000 PA USD 2980845.280000 0.0604378 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.53657 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAA4 32327753.610000 PA USD 29909007.250000 0.6064167 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.62657 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4 N/A 83613AAA0 8817533.510000 PA USD 7239005.430000 0.1467736 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.45657 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAA9 74652642.760000 PA USD 66982203.160000 1.3580902 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.35657 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3 N/A 83612KAA9 26443037.550000 PA USD 24514210.990000 0.4970351 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.62657 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3 N/A 83612KAE1 3000000.000000 PA USD 2714914.200000 0.0550459 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.70657 N N N N N N SOUTH CAROLINA STUDENT LOAN CORP 2008-1 N/A 83715AAH2 95648.230000 PA USD 95818.850000 0.0019428 Long ABS-O CORP US N 2 2024-09-03 Floating 1.523 N N N N N N SPECIALTY UNDERWRITING & RESID 2005-BC3 N/A 84751PHA0 15052838.510000 PA USD 14804805.360000 0.3001732 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.35657 N N N N N N SPECIALTY UNDERWRT& RES FIN 2006-BC3 N/A 84751WAA2 35793331.520000 PA USD 34154923.980000 0.6925043 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.73657 N N N N N N SPECIALTY UNDERWRT& RES FIN 2006-BC3 N/A 84751WAD6 19285112.270000 PA USD 13121904.740000 0.2660517 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.75657 N N N N N N AMERIQUEST MORTGAGE SEC 2005-R1 N/A 03072SYB5 6305000.000000 PA USD 6259868.180000 0.1269213 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.56657 N N N N N N STRATUS CLO 2021-2A LTD N/A 86315TAA3 7700000.000000 PA USD 7643463.520000 0.1549742 Long ABS-CBDO CORP KY N 2 2029-12-28 Floating 0.99296 N N N N N N STRATUS CLO 2021-3A LTD N/A 86315WAA6 10400000.000000 PA USD 10330588.320000 0.2094567 Long ABS-CBDO CORP KY N 2 2029-12-29 Floating 1.04296 N N N N N N AMERIQUEST MORTGAGE SEC INC 2004-R10 N/A 03072SVR3 7513373.480000 PA USD 7446381.990000 0.1509783 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.50657 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 378788.730000 PA USD 349429.000000 0.0070848 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.54113 Y N N N N N STRUCTURED ADJ RATE MTG LN 2004-7 N/A 86359BRV5 248879.400000 PA USD 233934.240000 0.0047431 Long ABS-MBS CORP US N 2 2034-06-25 Floating 1.19157 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-1 N/A 863579P93 59867.420000 PA USD 54314.150000 0.0011012 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.10303 Y N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGK1 36276.480000 PA USD 35808.390000 0.0007260 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.4593 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-4 N/A 86359BNT4 23066.760000 PA USD 23317.820000 0.0004728 Long ABS-MBS CORP US N 2 2034-04-25 Floating 2.32941 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-9 N/A 863579QW1 438668.950000 PA USD 362430.260000 0.0073484 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.54113 Y N N N N N AMERIQUEST MTGE SEC INC 2004-R4 N/A 03072SRG2 2257309.020000 PA USD 2227248.440000 0.0451583 Long ABS-MBS CORP US N 2 2034-06-25 Floating 2.40657 Y N N N N N STRUCTURED ASSET INVEST LN TR 2004-BNC2 N/A 86358ENJ1 812938.180000 PA USD 807508.650000 0.0163726 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.73157 N N N N N N STRUCTURED ASSET INVST LN TR 2004-8 N/A 86358EMB9 27757.000000 PA USD 27729.100000 0.0005622 Long ABS-MBS CORP US N 2 2034-09-25 Floating 1.43157 N N N N N N STRUCTURED ASSET INVST LN TR 2005-7 N/A 86358EWD4 1022617.530000 PA USD 1006672.980000 0.0204107 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.22157 N N N N N N STRUCTURED ASSET MORTGAGE INV 2005-AR4 N/A 86359LLZ0 7075405.770000 PA USD 6010691.630000 0.1218691 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.07657 Y N N N N N STRUCTURED ASSET MTG INV INC 2003-AR1 N/A 86358HRX9 43178.640000 PA USD 41773.900000 0.0008470 Long ABS-MBS CORP US N 2 2033-10-19 Floating 1.28857 N N N N N N AMERIQUEST MTGE SECURITIES INC 2004-R12 N/A 03072SXE0 656829.680000 PA USD 654621.940000 0.0132727 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.37157 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAR0 123641.080000 PA USD 120237.060000 0.0024379 Long ABS-MBS CORP US N 2 2034-03-19 Floating 1.14857 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBZ1 423620.640000 PA USD 411678.140000 0.0083469 Long ABS-MBS CORP US N 2 2034-07-19 Floating 1.04857 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR3 N/A 86359LJZ3 2830033.000000 PA USD 2700126.560000 0.0547461 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.99657 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 195906.130000 PA USD 187021.340000 0.0037919 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.01657 Y N N N N N AMERIQUEST MTGE SECURITIES INC 2005-R8 N/A 03072SM36 15670000.000000 PA USD 15522477.920000 0.3147243 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.32657 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAA9 1010028.740000 PA USD 973509.530000 0.0197383 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.60657 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR3 N/A 86363NAY5 1270679.690000 PA USD 1216070.960000 0.0246563 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.64657 N N N N N N STRUCTURED ASSET MTGE INV 1998-2 N/A 073914F65 64533.660000 PA USD 2293.110000 0.0000465 Long ABS-MBS CORP US N 2 2030-05-02 Fixed 6.75 N N N N N N STRUCTURED ASSET SEC CORP 2006-BC6 N/A 86362VAA0 6501122.470000 PA USD 6353075.010000 0.1288111 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.61657 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF3 N/A 863592AD3 1157460.640000 PA USD 798384.170000 0.0161875 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 7.5 Y N N N N N STRUCTURED ASSET SECUR CORP 2005-GEL2 N/A 86359DAY3 1166645.860000 PA USD 1155552.690000 0.0234293 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.58157 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-BC3 N/A 86363WAH2 9970800.000000 PA USD 9211890.510000 0.1867747 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.71657 N N N N N N STRUCTURED ASSET SECURITIES COR 2001-SB1 N/A 86358RDU8 11130.060000 PA USD 11004.080000 0.0002231 Long ABS-MBS CORP US N 2 2031-08-25 Fixed 3.375 N N N N N N STRUCTURED ASSET SECURITIES COR 2001-SB1 N/A 86358RDX2 5484.690000 PA USD 5322.550000 0.0001079 Long ABS-MBS CORP US N 2 2031-08-25 Fixed 3.375 N N N N N N STRUCTURED ASSET SECURITIES CP 2002-14A N/A 86358RR41 927.980000 PA USD 925.080000 0.0000188 Long ABS-MBS CORP US N 2 2032-07-25 Floating 4.1837 N N N N N N AMMC CLO 16 LTD 2015-16A N/A 00176JAT3 3156405.700000 PA USD 3148544.510000 0.0638380 Long ABS-CBDO CORP KY N 2 2029-04-14 Floating 1.21843 N N N N N N SYMPHONY STATIC CLO 2021-1A N/A 87190TAA1 12250000.000000 PA USD 12150318.080000 0.2463524 Long ABS-CBDO CORP KY N 2 2029-10-25 Floating 0.95911 N N N N N N AMORTIZING RESIDENTIAL COLLATERAL TRUST 2004-1 N/A 031733AE8 1859528.780000 PA USD 1833648.230000 0.0371779 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.45657 N N N N N N AMSR TRUST 2020-SFR2 N/A 00178UAA7 47000000.000000 PA USD 44596650.300000 0.9042144 Long ABS-MBS CORP US N 2 2037-07-17 Fixed 1.632 N N N N N N AMSR TRUST 2020-SFR2 N/A 00178UAB5 11000000.000000 PA USD 10402656.000000 0.2109179 Long ABS-MBS CORP US N 2 2037-07-17 Fixed 2.033 N N N N N N TCI-SYMPHONY CLO LTD 2016-1A N/A 87229WAQ4 13200000.000000 PA USD 13090726.440000 0.2654196 Long ABS-CBDO CORP KY N 2 2032-10-13 Floating 1.26443 N N N N N N TCW CLO LTD 2018-1A N/A 87240UAR1 21700000.000000 PA USD 21495957.070000 0.4358389 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 1.22771 N N N N N N THARALDSON HOTEL PORTFOLIO TRUST 2018 N/A 88327HAA1 11341123.660000 PA USD 11196130.800000 0.2270059 Long ABS-MBS CORP US N 2 2034-11-11 Floating 1.34 N N N N N N THARALDSON HOTEL PORTFOLIO TRUST 2018 N/A 88327HAG8 21467126.940000 PA USD 21145703.940000 0.4287374 Long ABS-MBS CORP US N 2 2034-11-11 Floating 1.69 N N N N N N THARALDSON HOTEL PORTFOLIO TRUST 2018 N/A 88327HAJ2 10693059.460000 PA USD 10507698.480000 0.2130477 Long ABS-MBS CORP US N 2 2034-11-11 Floating 1.94 N N N N N N THARALDSON HOTEL PORTFOLIO TRUST 2018 N/A 88327HAL7 21548134.960000 PA USD 21076536.790000 0.4273350 Long ABS-MBS CORP US N 2 2034-11-11 Floating 2.59 N N N N N N ANGEL OAK MORTGAGE TRUST 2020-4 N/A 03464LAA4 309511.710000 PA USD 305241.190000 0.0061889 Long ABS-MBS CORP US N 2 2065-06-25 Variable 1.469 N N N N N N THEOREM FUNDING TRUST 2022-1A N/A 88339XAA2 4741845.890000 PA USD 4686138.210000 0.0950133 Long ABS-O CORP US N 2 2028-02-15 Fixed 1.85 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-4 N/A 88522YAB5 3149188.600000 PA USD 3144563.390000 0.0637572 Long ABS-MBS CORP US N 2 2037-09-25 Floating 2.02218 N N N N N N TICP CLO I-2 LTD N/A 87248VAC4 3321285.660000 PA USD 3320613.700000 0.0673267 Long ABS-CBDO CORP KY N 2 2028-04-26 Floating 1.09714 N N N N N N TIMES SQUARE HOTEL TRUST N/A 887367AA8 2851362.840000 PA USD 2910595.910000 0.0590135 Long DBT CORP US N 2 2026-08-01 Fixed 8.528 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 16662564.360000 PA USD 16389284.970000 0.3322991 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAA5 618656.960000 PA USD 618310.390000 0.0125365 Long ABS-MBS CORP US N 2 2059-10-25 Floating 1.45657 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAE7 11615000.000000 PA USD 11635938.360000 0.2359232 Long ABS-MBS CORP US N 2 2059-10-25 Floating 2.15657 N N N N N N TOWD POINT MORTGAGE TRUST 2019-MH1 N/A 89177WAA7 2203214.690000 PA USD 2199943.800000 0.0446047 Long ABS-O CORP US N 2 2058-11-25 Fixed 3 N N N N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 49729655.650000 PA USD 48720735.420000 0.9878318 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.71 N N N N N N TOWD POINT MORTGAGE TRUST 2020-2 N/A 89176UAN4 51254426.670000 PA USD 48785869.970000 0.9891524 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.636 N N N N N N TOWD POINT MORTGAGE TRUST 2021-SJ2 N/A 89180LAA6 16038251.470000 PA USD 15873113.610000 0.3218335 Long ABS-MBS CORP US N 2 2061-12-25 Variable 2.25 N N N N N N TRICON AMERICAN HOMES TRUST 2020-SFR1 N/A 89613GAA4 26445992.190000 PA USD 24367961.330000 0.4940699 Long ABS-MBS CORP US N 2 2038-07-17 Fixed 1.499 N N N N N N TRICON AMERICAN HOMES TRUST 2020-SFR1 N/A 89613GAB2 5280000.000000 PA USD 4882441.870000 0.0989934 Long ABS-MBS CORP US N 2 2038-07-17 Fixed 2.049 N N N N N N TRICON AMERICAN HOMES TRUST 2020-SFR1 N/A 89613GAC0 3300000.000000 PA USD 3038989.800000 0.0616167 Long ABS-MBS CORP US N 2 2038-07-17 Fixed 2.249 N N N N N N TRUPS FINANCIALS NOTE SECURITIZATION 2017-2A N/A 898203AA2 20477295.020000 PA USD 19351043.790000 0.3923499 Long ABS-CBDO CORP KY N 2 2039-09-20 Floating 2.49786 N N N N N N UAL 2007-1 PASS-THROUGH TRUST N/A 909287AA2 474851.380000 PA USD 474940.180000 0.0096296 Long DBT CORP US N 2 2024-01-02 Fixed 6.636 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2018-C11 N/A 90276XAV7 4570000.000000 PA USD 4770967.580000 0.0967332 Long ABS-MBS CORP US N 2 2051-06-15 Fixed 4.2411 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2018-NYCH N/A 90266HAA0 15995507.420000 PA USD 15873183.380000 0.3218350 Long ABS-MBS CORP US N 2 2032-02-15 Floating 1.247 N N N N N N UCFC MANU HOUSING 1996-1 N/A 90263AAF7 116296.400000 PA USD 105079.480000 0.0021305 Long ABS-O CORP US N 2 2028-01-15 Fixed 7.9 Y N N N N N UMBS PASS THRU POOLS N/A 01F022444 900000.000000 PA USD 889558.600000 0.0180361 Long ABS-MBS USGSE US N 2 2037-04-18 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030447 66900000.000000 PA USD 67370390.630000 1.3659608 Long ABS-MBS USGSE US N 2 2037-04-18 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F020646 15900000.000000 PA USD 14761535.200000 0.2992959 Long ABS-MBS USGSE US N 2 2052-04-13 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F020646 -21900000.000000 PA USD -20331925.840000 -0.4122377 Short ABS-MBS USGSE US N 2 2052-04-13 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022642 4300000.000000 PA USD 4102804.710000 0.0831860 Long ABS-MBS USGSE US N 2 2052-04-13 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022642 -10100000.000000 PA USD -9636820.360000 -0.1953903 Short ABS-MBS USGSE US N 2 2052-04-13 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022659 15170000.000000 PA USD 14444311.650000 0.2928640 Long ABS-MBS USGSE US N 2 2052-05-12 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022659 -96800000.000000 PA USD -92169371.620000 -1.8687698 Short ABS-MBS USGSE US N 2 2052-05-12 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022667 100230000.000000 PA USD 95255217.260000 1.9313365 Long ABS-MBS USGSE US N 2 2052-06-13 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030652 10000000.000000 PA USD 9761498.200000 0.1979182 Long ABS-MBS USGSE US N 2 2052-05-12 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F030660 111200000.000000 PA USD 108390920.090000 2.1976680 Long ABS-MBS USGSE US N 2 2052-06-13 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032658 164898000.000000 PA USD 164689992.720000 3.3391535 Long ABS-MBS USGSE US N 2 2052-05-12 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032666 338702000.000000 PA USD 337454455.540000 6.8420200 Long ABS-MBS USGSE US N 2 2052-06-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040644 6813376.000000 PA USD 6956031.060000 0.1410362 Long ABS-MBS USGSE US N 2 2052-04-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040651 172186624.000000 PA USD 175165008.350000 3.5515385 Long ABS-MBS USGSE US N 2 2052-05-12 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040669 99000000.000000 PA USD 100388769.030000 2.0354212 Long ABS-MBS USGSE US N 2 2052-06-13 Fixed 4 N N N N N N APIDOS CLO 2017-27A N/A 03767JAF2 2000000.000000 PA USD 1997830.900000 0.0405068 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 1.17129 N N N N N N APIDOS CLO XXIV 2016-24A N/A 03759CAS9 5900000.000000 PA USD 5863125.000000 0.1188771 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 1.204 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796W21 6970000.000000 PA USD 6963021.280000 0.1411780 Long DBT UST US N 2 2022-06-21 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796P37 53523000.000000 PA USD 53518935.460000 1.0851172 Long DBT UST US N 2 2022-04-28 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBP5 1674000.000000 PA USD 1552569.610000 0.0314790 Long DBT UST US N 2 2028-02-29 Fixed 1.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 8900000.000000 PA USD 8876707.010000 0.1799787 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N AREIT TRUST 2019-CRE3 N/A 00217LAA0 6814721.730000 PA USD 6799888.470000 0.1378704 Long ABS-MBS CORP US N 2 2036-09-14 Floating 1.18448 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-ST2 N/A 91680UAA7 5800000.000000 PA USD 5758579.710000 0.1167574 Long ABS-O CORP US N 3 2030-04-20 Fixed 3.8 N N N N N N UPSTART SECURITIZATION TRUST 2022-1 N/A 91679WAA6 12500000.000000 PA USD 12420395.630000 0.2518283 Long ABS-O CORP US N 2 2032-03-20 Fixed 3.12 N N N N N N VENTURE 38 CLO LTD N/A 92332NAS4 12900000.000000 PA USD 12825801.780000 0.2600481 Long ABS-CBDO CORP KY N 2 2032-07-30 Floating 1.459 N N N N N N VENTURE CDO LTD 2016-25A N/A 92329VAS1 2864805.980000 PA USD 2866234.140000 0.0581140 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.274 N N N N N N VENTURE CLO LTD 2018-33A N/A 92330YAN3 2000000.000000 PA USD 1988410.540000 0.0403158 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 1.30129 N N N N N N VENTURE XXI CLO LTD 2015-21A N/A 92330MAL3 2699648.290000 PA USD 2702166.330000 0.0547875 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.12129 N N N N N N VENTURE XXIV CLO LTD 2016-24A N/A 92330WBJ5 6266649.660000 PA USD 6242800.230000 0.1265752 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.154 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 10900000.000000 PA USD 10895964.380000 0.2209199 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 1.49643 N N N N N N VENTURE XXVI CLO LTD 2017-26A N/A 92331MAE8 14300000.000000 PA USD 14248974.740000 0.2889035 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 1.354 N N N N N N VENTURE XXVII CLO LTD 2017-27A N/A 92331LBC3 9700000.000000 PA USD 9696166.750000 0.1965935 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.304 N N N N N N VERUS SECURITIZATION TRUST 2021-R1 N/A 92538BAA1 3127309.680000 PA USD 3058830.350000 0.0620190 Long ABS-MBS CORP US N 2 2063-10-25 Variable 0.82 N N N N N N VERUS SECURITIZATION TRUST 2021-R1 N/A 92538BAB9 84561.690000 PA USD 82046.610000 0.0016635 Long ABS-MBS CORP US N 2 2063-10-25 Variable 1.057 N N N N N N VERUS SECURITIZATION TRUST 2021-R1 N/A 92538BAC7 126842.530000 PA USD 123307.200000 0.0025001 Long ABS-MBS CORP US N 2 2063-10-25 Variable 1.262 N N N N N N VERUS SECURITIZATION TRUST 2022-3 N/A 92538UAA9 8800000.000000 PA USD 8760810.960000 0.1776288 Long ABS-MBS CORP US N 2 2067-02-25 Fixed 4.13 N N N N N N VIBRANT CLO VI LTD 2017-6A N/A 92558EAJ1 1169893.140000 PA USD 1169118.100000 0.0237043 Long ABS-CBDO CORP KY N 2 2029-06-20 Floating 1.87786 N N N N N N ARES XL CLO LTD 2016-40A N/A 04016GBB3 18463914.690000 PA USD 18337741.530000 0.3718048 Long ABS-CBDO CORP KY N 2 2029-01-15 Floating 1.11129 N N N N N N VMC FINANCE 2019-FL3 LLC N/A 91834PAA3 365301.500000 PA USD 364090.820000 0.0073821 Long ABS-MBS CORP US N 2 2036-09-15 Floating 1.54143 N N N N N N ARGENT SECURITIES INC 2004-W11 N/A 040104MF5 28309.120000 PA USD 28870.860000 0.0005854 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.50657 N N N N N N WACHOVIA BANK COMM MTGE TR 2004-C15 N/A 929766WQ2 58598.940000 PA USD 0.590000 0.0000000 Long ABS-MBS CORP US N 2 2041-10-15 Fixed 0.951637 N N N N N N WACHOVIA MORTGAGE LN TRUST LLC 2005-B N/A 92977YBR1 106519.430000 PA USD 103829.270000 0.0021052 Long ABS-MBS CORP US N 2 2035-10-20 Floating 2.20641 Y N N N N N ARGENT SECURITIES INC 2004-W8 N/A 040104JQ5 1230622.980000 PA USD 1157246.590000 0.0234636 Long ABS-MBS CORP US N 2 2034-05-25 Floating 1.58157 N N N N N N WAMMS MTG PASS THRU CERT 2002-AR3 N/A 939336KZ5 99660.560000 PA USD 100820.290000 0.0020442 Long ABS-MBS CORP US N 2 2032-12-25 Floating 2.0994 N N N N N N ARGENT SECURITIES INC 2005-W2 N/A 040104ND9 597377.360000 PA USD 593199.480000 0.0120273 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.19157 N N N N N N ARGENT SECURITIES INC 2005-W2 N/A 040104NE7 37500000.000000 PA USD 36293441.250000 0.7358636 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.22157 N N N N N N ARGENT SECURITIES INC 2005-W5 N/A 040104QK0 22780970.170000 PA USD 22518011.710000 0.4565614 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.92657 N N N N N N WASHINGTON MUTUAL 2001-AR3 N/A 929227EM4 2820.640000 PA USD 2722.780000 0.0000552 Long ABS-MBS CORP US N 2 2041-11-25 Floating 1.67957 N N N N N N WASHINGTON MUTUAL 2001-AR5 N/A 22540VLG5 156919.140000 PA USD 150157.430000 0.0030445 Long ABS-MBS CORP US N 2 2039-12-19 Floating 1.7065 N N N N N N WASHINGTON MUTUAL 2002-AR18 N/A 929227ZC3 1086923.890000 PA USD 1108124.120000 0.0224676 Long ABS-MBS CORP US N 2 2033-01-25 Floating 2.57502 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 74214.400000 PA USD 72566.590000 0.0014713 Long ABS-MBS CORP US N 2 2042-06-25 Floating 1.61876 N N N N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 1095952.050000 PA USD 1076629.210000 0.0218291 Long ABS-MBS CORP US N 2 2042-08-25 Floating 1.54113 N N N N N N WASHINGTON MUTUAL 2003-AR1 N/A 939336PC1 83563.290000 PA USD 83383.020000 0.0016906 Long ABS-MBS CORP US N 2 2033-03-25 Fixed 2.36557 N N N N N N WASHINGTON MUTUAL 2004-AR10 N/A 92922FWV6 15866.660000 PA USD 15564.030000 0.0003156 Long ABS-MBS CORP US N 2 2044-07-25 Floating 1.45657 N N N N N N WASHINGTON MUTUAL 2004-AR12 N/A 92922FZF8 310097.490000 PA USD 294953.690000 0.0059803 Long ABS-MBS CORP US N 2 2044-10-25 Floating 1.23657 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 114216.810000 PA USD 109723.750000 0.0022247 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.19657 N N N N N N WASHINGTON MUTUAL 2004-AR3 N/A 92922FNJ3 31051.630000 PA USD 30935.540000 0.0006272 Long ABS-MBS CORP US N 2 2034-06-25 Floating 2.60954 N N N N N N WASHINGTON MUTUAL 2004-AR8 N/A 92922FTJ7 1475434.600000 PA USD 1442634.070000 0.0292500 Long ABS-MBS CORP US N 2 2044-06-25 Floating 1.29657 N N N N N N WASHINGTON MUTUAL 2004-RP1 N/A 92922FYJ1 20241355.320000 PA USD 19925468.730000 0.4039966 Long ABS-MBS CORP US N 2 2034-05-25 Floating 0.82657 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4V7 1141323.480000 PA USD 1124171.210000 0.0227930 Long ABS-MBS CORP US N 2 2045-10-25 Floating 1.43657 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 1947165.260000 PA USD 1960227.620000 0.0397444 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.99657 N N N N N N WASHINGTON MUTUAL 2005-AR8 N/A 92922FR75 189668.270000 PA USD 185198.850000 0.0037550 Long ABS-MBS CORP US N 2 2045-07-25 Floating 1.03657 N N N N N N ARGENT SECURITIES INC 2006-M3 N/A 03076MAD6 10003724.430000 PA USD 3928656.660000 0.0796550 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.61657 N N N N N N ARGENT SECURITIES INC 2006-M3 N/A 03076MAE4 3319285.340000 PA USD 1312772.370000 0.0266170 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.69657 N N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAA6 10728281.800000 PA USD 9990788.600000 0.2025671 Long ABS-MBS CORP US N 2 2046-11-25 Floating 0.98113 Y N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAA5 5593610.740000 PA USD 5590011.250000 0.1133396 Long ABS-MBS CORP US N 2 2046-08-25 Floating 1.14113 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 3687988.450000 PA USD 3558724.450000 0.0721545 Long ABS-MBS CORP US N 2 2046-08-25 Floating 1.723 N N N N N N WASHINGTON MUTUAL ASSET BACKED 2006-HE5 N/A 93934XAB9 85612.640000 PA USD 42654.570000 0.0008648 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.51657 N N N N N N WASHINGTON MUTUAL MSC MTG P/T 2003-MS6 N/A 939336ZC0 64312.750000 PA USD 64010.010000 0.0012978 Long ABS-MBS CORP US N 2 2033-03-25 Fixed 5.75 N N N N N N WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1 N/A 939335N68 9227.050000 PA USD 9306.910000 0.0001887 Long ABS-MBS CORP US N 2 2030-11-25 Floating 2.4966 N N N N N N WASHINGTON MUTUAL MTGE 2003-AR8 N/A 92922FAU2 6381.380000 PA USD 6443.040000 0.0001306 Long ABS-MBS CORP US N 2 2033-08-25 Floating 2.7087 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 12391653.530000 PA USD 12081315.720000 0.2449534 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.89113 Y N N N N N WELLFLEET CLO LTD 2015-1 N/A 949496BJ1 1075446.030000 PA USD 1069616.340000 0.0216869 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.144 N N N N N N WELLFLEET CLO LTD 2017-1A N/A 94950GAL1 7821957.740000 PA USD 7822263.580000 0.1585994 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.144 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB N/A 95001EAA6 21320000.000000 PA USD 21076740.930000 0.4273391 Long ABS-MBS CORP US N 2 2031-12-13 Floating 1.237 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB N/A 95001EAG3 17700000.000000 PA USD 17399875.260000 0.3527892 Long ABS-MBS CORP US N 2 2031-12-13 Floating 1.487 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB N/A 95001EAL2 1242000.000000 PA USD 1191268.770000 0.0241534 Long ABS-MBS CORP US N 2 2031-12-13 Floating 2.23167 N N N N N N WELLS FARGO HOME EQUITY ABS SER 2004-1 N/A 86359BNE7 18046.210000 PA USD 18036.050000 0.0003657 Long ABS-MBS CORP US N 2 2034-04-25 Floating 1.40157 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-2 N/A 94981PAK6 1445382.790000 PA USD 1448755.160000 0.0293741 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.03157 N N N N N N WELLS FARGO HOME EQUITY TRUST 2006-3 N/A 9497EBAD1 7275000.000000 PA USD 7099723.430000 0.1439496 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.80157 N N N N N N WELLS FARGO MORTGAGE LOAN TRUST 2010-RR3 N/A 94987AAF4 829811.870000 PA USD 814050.920000 0.0165052 Long ABS-MBS CORP US N 2 2036-09-27 Floating 3.03832 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 61037.490000 PA USD 60495.960000 0.0012266 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.73279 Y N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2020-2A N/A 96042PAB8 3157778.570000 PA USD 3156874.180000 0.0640068 Long ABS-O CORP US N 2 2024-02-15 Fixed 0.93 N N N N N N WMALT MTGE PASS-THRU CERT 2005-8 N/A 93934FCJ9 387303.280000 PA USD 356248.330000 0.0072231 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.10657 Y N N N N N WMALT MTGE PASS-THRU CERT 2006-AR9 N/A 939346AA0 9603263.100000 PA USD 9132416.070000 0.1851633 Long ABS-MBS CORP US N 2 2046-11-25 Floating 0.97113 N N N N N N N/A N/A 000000000 1820000.000000 PA USD 1820000.000000 0.0369012 Long RA US N 2 Repurchase N 0.0100000 2022-04-01 1861600.000000 USD 1856460.120000 USD UST N N N ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2021-1A N/A 04047AAA2 6340497.410000 PA USD 6230848.650000 0.1263329 Long ABS-O CORP US N 2 2027-01-15 Fixed 1.19 N N N N N N N/A N/A 000000000 1.000000 NC USD -27463.060000 -0.0005568 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ABX.HE.AA.06-2 N/A N/A Y Single Leg Swap 2046-05-26 0.000000 USD -46874.230000 USD 116467.480000 USD 19411.170000 N N N N/A N/A 000000000 1.000000 NC USD -155716.350000 -0.0031572 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 ABX.HE.AA.07-1 N/A N/A Y Single Leg Swap 2037-08-26 0.000000 USD -707611.720000 USD 834325.140000 USD 551895.370000 N N N N/A N/A 000000000 1.000000 NC USD 118344.140000 0.0023995 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-26 0.000000 USD -3107014.090000 USD 11809156.660000 USD 3225358.230000 N N N ARROYO MORTGAGE TRUST 2021-1R N/A 042853AA9 7266181.480000 PA USD 6914217.820000 0.1401884 Long ABS-MBS CORP US N 2 2048-10-25 Variable 1.175 N N N N N N ARROYO MORTGAGE TRUST 2021-1R N/A 042853AB7 9550540.850000 PA USD 9127486.270000 0.1850633 Long ABS-MBS CORP US N 2 2048-10-25 Variable 1.483 N N N N N N ARROYO MORTGAGE TRUST 2021-1R N/A 042853AC5 4844126.220000 PA USD 4640111.000000 0.0940801 Long ABS-MBS CORP US N 2 2048-10-25 Variable 1.637 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 10223908.850000 PA USD 10043728.810000 0.2036405 Long ABS-MBS CORP US N 2 2035-04-15 Floating 1.297 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAG4 3100000.000000 PA USD 3070789.940000 0.0622615 Long ABS-MBS CORP US N 2 2035-06-15 Floating 1.847 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAJ8 2300000.000000 PA USD 2241560.450000 0.0454485 Long ABS-MBS CORP US N 2 2035-06-15 Floating 2.247 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAL3 3200000.000000 PA USD 3101686.720000 0.0628879 Long ABS-MBS CORP US N 2 2035-06-15 Floating 3.147 N N N N N N ASSET BACKED FUNDING CERT 2002-NC1 N/A 04542BAZ5 267395.350000 PA USD 264782.980000 0.0053686 Long ABS-MBS CORP US N 2 2032-03-25 Floating 1.47657 N N N N N N ASSET BACKED FUNDING CERT 2003-OPT1 N/A 04542BDG4 515324.090000 PA USD 494578.590000 0.0100278 Long ABS-MBS CORP US N 2 2033-04-25 Floating 1.13657 N N N N N N ASSET BACKED FUNDING CERT 2006-OPT3 N/A 00075VAA9 9122758.290000 PA USD 6557058.240000 0.1329469 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.73657 N N N N N N ASSET BACKED SEC CORP HEQ LN 2001-HE2 N/A 04541GBN1 111209.860000 PA USD 107516.560000 0.0021799 Long ABS-MBS CORP US N 2 2031-06-15 Floating 0.91657 N N N N N N ASSET BACKED SEC CORP HOME EQ 2003-HE2 N/A 04541GDS8 27980.790000 PA USD 27573.410000 0.0005591 Long ABS-MBS CORP US N 2 2033-04-15 Floating 1.74657 N N N N N N ASSET BACKED SEC CORP HOME EQ 2005-HE8 N/A 04541GUQ3 35805000.000000 PA USD 35558285.650000 0.7209580 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.16157 N N N N N N 2022-05-12 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer