NPORT-P false 0000810893 XXXXXXXX S000009845 C000027273 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Short-Term Portfolio S000009845 7BT1PG61KEUH42XHGX37 2023-03-31 2023-03-31 N 528192717.130000 313298212.910000 214894504.220000 0.000000 0.000000 5544850.860000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 3810063.290000 USD N N/A N/A 000000000 -300000.000000 NC USD -1676.970000 -0.0007804 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/3.75 11/21/23 LCH 2024-11-21 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2023-11-17 XXXX -589.470000 N N N N/A N/A 000000000 -300000.000000 NC USD -296.880000 -0.0001382 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/2.25 11/21/23 LCH 2024-11-21 0.000000 USD 0.000000 USD N/A USD N/A 2.250000 USD 2023-11-17 XXXX 790.620000 N N N N/A N/A 000000000 -300000.000000 NC USD -1841.850000 -0.0008571 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/3.65 11/22/23 LCH 2024-11-22 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2023-11-20 XXXX -795.600000 N N N N/A N/A 000000000 -300000.000000 NC USD -270.120000 -0.0001257 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/2.15 11/22/23 LCH 2024-11-22 0.000000 USD 0.000000 USD N/A USD N/A 2.150000 USD 2023-11-20 XXXX 776.130000 N N N N/A N/A 000000000 -500000.000000 NC USD -2965.200000 -0.0013798 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.65 12/05/23 LCH 2024-12-05 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2023-12-01 XXXX -1415.200000 N N N N/A N/A 000000000 -500000.000000 NC USD -493.150000 -0.0002295 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.15 12/05/23 LCH 2024-12-05 0.000000 USD 0.000000 USD N/A USD N/A 2.150000 USD 2023-12-01 XXXX 1056.850000 N N N N/A N/A 000000000 -500000.000000 NC USD -2652.550000 -0.0012343 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/3.75 12/11/23 LCH 2024-12-11 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2023-12-07 XXXX -1090.050000 N N N N/A N/A 000000000 -500000.000000 NC USD -569.500000 -0.0002650 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/2.25 12/11/23 LCH 2024-12-11 0.000000 USD 0.000000 USD N/A USD N/A 2.250000 USD 2023-12-07 XXXX 993.000000 N N N N/A N/A 000000000 -300000.000000 NC USD -76.500000 -0.0000356 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/3.7 04/18/23 LCH 2033-04-18 0.000000 USD 0.000000 USD N/A USD N/A 3.700000 USD 2023-04-14 XXXX 1558.500000 N N N N/A N/A 000000000 -300000.000000 NC USD -1342.800000 -0.0006249 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/3.05 04/18/23 LCH 2033-04-18 0.000000 USD 0.000000 USD N/A USD N/A 3.050000 USD 2023-04-14 XXXX 292.200000 N N N N/A N/A 000000000 -100000.000000 NC USD -25.500000 -0.0000119 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.7 04/18/23 LCH 2033-04-18 0.000000 USD 0.000000 USD N/A USD N/A 3.700000 USD 2023-04-14 XXXX 524.500000 N N N N/A N/A 000000000 -100000.000000 NC USD -447.600000 -0.0002083 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.05 04/18/23 LCH 2033-04-18 0.000000 USD 0.000000 USD N/A USD N/A 3.050000 USD 2023-04-14 XXXX 102.400000 N N N N/A N/A 000000000 -100000.000000 NC USD -46.530000 -0.0000217 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.3 04/18/23 LCH 2053-04-18 0.000000 USD 0.000000 USD N/A USD N/A 3.300000 USD 2023-04-14 XXXX 923.470000 N N N N/A N/A 000000000 -100000.000000 NC USD -523.390000 -0.0002436 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.8 04/18/23 LCH 2053-04-18 0.000000 USD 0.000000 USD N/A USD N/A 2.800000 USD 2023-04-14 XXXX 446.610000 N N N N/A N/A 000000000 -300000.000000 NC USD -2884.440000 -0.0013423 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.6875 04/04/24 LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.690000 USD 2024-04-02 XXXX -536.940000 N N N N/A N/A 000000000 -200000.000000 NC USD -1919.700000 -0.0008933 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/2.69 04/04/24 LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.690000 USD 2024-04-02 XXXX -349.700000 N N N N/A N/A 000000000 -600000.000000 NC USD -5731.680000 -0.0026672 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/2.697 04/04/24 LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.700000 USD 2024-04-02 XXXX -1025.430000 N N N N/A N/A 000000000 -300000.000000 NC USD -962.400000 -0.0004478 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.6875 04/04/24 LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.690000 USD 2024-04-02 XXXX 1385.100000 N N N N/A N/A 000000000 -200000.000000 NC USD -643.000000 -0.0002992 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/2.69 04/04/24 LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.690000 USD 2024-04-02 XXXX 927.000000 N N N N/A N/A 000000000 -600000.000000 NC USD -1940.880000 -0.0009032 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/2.697 04/04/24 LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.700000 USD 2024-04-02 XXXX 2765.370000 N N N N/A N/A 000000000 -300000.000000 NC USD -2680.680000 -0.0012474 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.781 04/09/24 LCH 2025-04-09 0.000000 USD 0.000000 USD N/A USD N/A 2.780000 USD 2024-04-05 XXXX -363.180000 N N N N/A N/A 000000000 -300000.000000 NC USD -1062.840000 -0.0004946 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.781 04/09/24 LCH 2025-04-09 0.000000 USD 0.000000 USD N/A USD N/A 2.780000 USD 2024-04-05 XXXX 1254.660000 N N N N/A N/A 000000000 -300000.000000 NC USD -2791.110000 -0.0012988 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/2.721 04/10/24 LCH 2025-04-10 0.000000 USD 0.000000 USD N/A USD N/A 2.720000 USD 2024-04-08 XXXX -526.110000 N N N N/A N/A 000000000 -300000.000000 NC USD -1013.280000 -0.0004715 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/2.721 04/10/24 LCH 2025-04-10 0.000000 USD 0.000000 USD N/A USD N/A 2.720000 USD 2024-04-08 XXXX 1251.720000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT N/A 05525DAA4 100000.000000 PA USD 97733.760000 0.0454799 Long ABS-MBS CORP US N 2 2034-03-15 Floating 5.884 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT N/A 05525DAG1 3170000.000000 PA USD 3087579.050000 1.4367883 Long ABS-MBS CORP US N 2 2034-03-15 Floating 6.284 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 5103177.700000 PA USD 4692413.740000 2.1835895 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.79603 N N N N N N BANC OF AMERICA FUNDING CORP 2005-H N/A 05946XJ38 127544.790000 PA USD 110974.780000 0.0516415 Long ABS-MBS CORP US N 2 2035-11-20 Floating 4.24499 N N N N N N N/A N/A 000000000 1.000000 NC USD 5671040.840000 2.6389883 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-16 1607131.070000 USD 0.000000 USD 38245000.000000 USD 4063909.770000 N N N N/A N/A 000000000 1.000000 NC USD -97708.970000 -0.0454683 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 -45087.660000 USD 500000.000000 USD -52621.310000 N N N N/A N/A 000000000 1.000000 NC USD 81790.370000 0.0380607 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 -1237.500000 USD 900000.000000 USD 83027.870000 N N N N/A N/A 000000000 1.000000 NC USD -31768.000000 -0.0147831 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 -900.000000 USD 800000.000000 USD -30868.000000 N N N N/A N/A 000000000 1.000000 NC USD 118638.280000 0.0552077 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-12-16 3136.390000 USD 0.000000 USD 706000.000000 USD 115501.890000 N N N N/A N/A 000000000 1.000000 NC USD 3503078.860000 1.6301389 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 925819.300000 USD 0.000000 USD 24580000.000000 USD 2577259.560000 N N N N/A N/A 000000000 1.000000 NC USD 17311.680000 0.0080559 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 -4318.910000 USD 200000.000000 USD 21630.590000 N N N N/A N/A 000000000 1.000000 NC USD -70103.540000 -0.0326223 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 -1194.000000 USD 600000.000000 USD -68909.540000 N N N N/A N/A 000000000 1.000000 NC USD -676019.300000 -0.3145819 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-11-04 0.000000 USD -196570.500000 USD 26900000.000000 USD -479448.800000 N N N N/A N/A 000000000 1.000000 NC USD 66910.430000 0.0311364 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 -1416.000000 USD 600000.000000 USD 68326.430000 N N N N/A N/A 000000000 1.000000 NC USD -102259.780000 -0.0475860 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 -2475.000000 USD 1100000.000000 USD -99784.780000 N N N N/A N/A 000000000 1.000000 NC USD 123961.820000 0.0576850 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-09-07 0.000000 USD -3920.000000 USD 800000.000000 USD 127881.820000 N N N N/A N/A 000000000 1.000000 NC USD -36236.920000 -0.0168627 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 -650.000000 USD 400000.000000 USD -35586.920000 N N N N/A N/A 000000000 1.000000 NC USD -72369.060000 -0.0336766 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-01-18 0.000000 USD -2030.000000 USD 800000.000000 USD -70339.060000 N N N N/A N/A 000000000 1.000000 NC USD 243775.420000 0.1134396 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-21 200870.760000 USD 0.000000 USD 2900000.000000 USD 42904.660000 N N N N/A N/A 000000000 1.000000 NC USD -75475.220000 -0.0351220 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-10-05 0.000000 USD -1446.880000 USD 500000.000000 USD -74028.340000 N N N N/A N/A 000000000 1.000000 NC USD -310121.660000 -0.1443134 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-12-15 58323.130000 USD 0.000000 USD 2948000.000000 USD -368444.790000 N N N N/A N/A 000000000 1.000000 NC USD 166451.140000 0.0774571 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-12-18 43479.560000 USD 0.000000 USD 1400000.000000 USD 122971.580000 N N N N/A N/A 000000000 1.000000 NC USD -22914.540000 -0.0106632 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-01-20 0.000000 USD -455.000000 USD 200000.000000 USD -22459.540000 N N N N/A N/A 000000000 1.000000 NC USD -1020818.230000 -0.4750323 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 -24645.000000 USD 3100000.000000 USD -996173.230000 N N N N/A N/A 000000000 1.000000 NC USD -73610.350000 -0.0342542 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 -1175.000000 USD 500000.000000 USD -72435.350000 N N N N/A N/A 000000000 1.000000 NC USD -44091.230000 -0.0205176 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 -855.000000 USD 300000.000000 USD -43236.230000 N N N N/A N/A 000000000 1.000000 NC USD -43822.650000 -0.0203926 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-10-26 0.000000 USD -806.250000 USD 300000.000000 USD -43016.400000 N N N N/A N/A 000000000 1.000000 NC USD -34211.790000 -0.0159203 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 -822.000000 USD 400000.000000 USD -33389.790000 N N N N/A N/A 000000000 1.000000 NC USD -58184.360000 -0.0270758 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 -1890.000000 USD 700000.000000 USD -56294.360000 N N N N/A N/A 000000000 1.000000 NC USD 92054.850000 0.0428372 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-16 0.000000 USD -1352.490000 USD 300000.000000 USD 93407.340000 N N N N/A N/A 000000000 1.000000 NC USD 91613.700000 0.0426319 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-02-03 0.000000 USD -819.080000 USD 300000.000000 USD 92432.780000 N N N N/A N/A 000000000 1.000000 NC USD -43253.490000 -0.0201278 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 -1031.000000 USD 400000.000000 USD -42222.490000 N N N N/A N/A 000000000 1.000000 NC USD -58035.270000 -0.0270064 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2032-01-24 0.000000 USD -1330.000000 USD 400000.000000 USD -56705.270000 N N N N/A N/A 000000000 1.000000 NC USD -55526.720000 -0.0258391 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 -2109.060000 USD 1700000.000000 USD -53417.660000 N N N N/A N/A 000000000 1.000000 NC USD -41878.930000 -0.0194881 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 -953.250000 USD 300000.000000 USD -40925.680000 N N N N/A N/A 000000000 1.000000 NC USD 717646.270000 0.3339528 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-01-15 0.000000 USD -74922.390000 USD 6300000.000000 USD 792568.660000 N N N N/A N/A 000000000 1.000000 NC USD 198543.640000 0.0923912 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-22 0.000000 USD -4180.590000 USD 700000.000000 USD 202724.230000 N N N N/A N/A 000000000 1.000000 NC USD 618431.050000 0.2877836 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 412675.160000 USD 0.000000 USD 9100000.000000 USD 205755.890000 N N N N/A N/A 000000000 1.000000 NC USD 970430.250000 0.4515845 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 616585.630000 USD 0.000000 USD 14300000.000000 USD 353844.620000 N N N N/A N/A 000000000 1.000000 NC USD -40547.630000 -0.0188686 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 -1087.500000 USD 300000.000000 USD -39460.130000 N N N N/A N/A 000000000 1.000000 NC USD -27728.630000 -0.0129034 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 -850.000000 USD 100000.000000 USD -26878.630000 N N N N/A N/A 000000000 1.000000 NC USD -26722.040000 -0.0124350 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 -930.000000 USD 100000.000000 USD -25792.040000 N N N N/A N/A 000000000 1.000000 NC USD 475710.600000 0.2213694 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 -15000.000000 USD 2000000.000000 USD 490710.600000 N N N N/A N/A 000000000 1.000000 NC USD 1425997.940000 0.6635805 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 -45360.000000 USD 6000000.000000 USD 1471357.940000 N N N N/A N/A 000000000 1.000000 NC USD 23568.270000 0.0109674 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2032-02-09 1250.000000 USD 0.000000 USD 200000.000000 USD 22318.270000 N N N N/A N/A 000000000 1.000000 NC USD 23862.610000 0.0111043 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-15 0.000000 USD -719.940000 USD 100000.000000 USD 24582.550000 N N N N/A N/A 000000000 1.000000 NC USD 368788.220000 0.1716136 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-02-12 0.000000 USD -67091.770000 USD 3800000.000000 USD 435879.990000 N N N N/A N/A 000000000 1.000000 NC USD 173316.590000 0.0806519 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-03-10 0.000000 USD -1706.930000 USD 1800000.000000 USD 175023.520000 N N N N/A N/A 000000000 1.000000 NC USD 1756200.490000 0.8172384 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-03-20 0.000000 USD -31824.350000 USD 7500000.000000 USD 1788024.840000 N N N N/A N/A 000000000 1.000000 NC USD 169135.920000 0.0787065 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-12-10 0.000000 USD -3228.150000 USD 1900000.000000 USD 172364.070000 N N N N/A N/A 000000000 1.000000 NC USD 35062.910000 0.0163163 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2032-02-09 1365.000000 USD 0.000000 USD 300000.000000 USD 33697.910000 N N N N/A N/A 000000000 1.000000 NC USD 529514.500000 0.2464067 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-19 0.000000 USD -898837.680000 USD 25300000.000000 USD 1428352.180000 N N N N/A N/A 000000000 1.000000 NC USD -57329.020000 -0.0266778 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-04-18 0.000000 USD -2222.500000 USD 700000.000000 USD -55106.520000 N N N N/A N/A 000000000 1.000000 NC USD -49110.800000 -0.0228534 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-02-08 0.000000 USD -1500.000000 USD 400000.000000 USD -47610.800000 N N N N/A N/A 000000000 1.000000 NC USD -46276.950000 -0.0215347 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-02-24 0.000000 USD -1480.000000 USD 400000.000000 USD -44796.950000 N N N N/A N/A 000000000 1.000000 NC USD -45268.170000 -0.0210653 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-02-14 0.000000 USD -1425.000000 USD 400000.000000 USD -43843.170000 N N N N/A N/A 000000000 1.000000 NC USD -44692.130000 -0.0207972 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-04-22 0.000000 USD -2073.000000 USD 600000.000000 USD -42619.130000 N N N N/A N/A 000000000 1.000000 NC USD -89781.440000 -0.0417793 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-04-06 0.000000 USD -4120.000000 USD 800000.000000 USD -85661.440000 N N N N/A N/A 000000000 1.000000 NC USD -46385.550000 -0.0215853 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-03-25 0.000000 USD -1646.000000 USD 800000.000000 USD -44739.550000 N N N N/A N/A 000000000 1.000000 NC USD -33500.780000 -0.0155894 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2029-04-21 0.000000 USD -1306.250000 USD 500000.000000 USD -32194.530000 N N N N/A N/A 000000000 1.000000 NC USD 57611.830000 0.0268094 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 1190000.000000 USD 57611.830000 N N N N/A N/A 000000000 1.000000 NC USD -134044.490000 -0.0623769 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -36945.540000 USD 920000.000000 USD -97098.950000 N N N N/A N/A 000000000 1.000000 NC USD -443805.360000 -0.2065224 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -215852.590000 USD 2590000.000000 USD -227952.770000 N N N N/A N/A 000000000 1.000000 NC USD -143432.170000 -0.0667454 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -31638.900000 USD 840000.000000 USD -111793.270000 N N N N/A N/A 000000000 1.000000 NC USD -36298.310000 -0.0168912 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-02-28 0.000000 USD -909.380000 USD 500000.000000 USD -35388.930000 N N N N/A N/A 000000000 1.000000 NC USD -660969.670000 -0.3075787 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2029-02-09 0.000000 USD -16951.250000 USD 7100000.000000 USD -644018.420000 N N N N/A N/A 000000000 1.000000 NC USD -112449.470000 -0.0523278 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -39015.970000 USD 880000.000000 USD -73433.500000 N N N N/A N/A 000000000 1.000000 NC USD -223841.610000 -0.1041635 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -80642.540000 USD 1760000.000000 USD -143199.070000 N N N N/A N/A 000000000 1.000000 NC USD 587922.260000 0.2735865 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-06-15 392211.670000 USD 0.000000 USD 2400000.000000 USD 195710.590000 N N N N/A N/A 000000000 1.000000 NC USD 3321028.980000 1.5454229 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2052-06-15 1530435.380000 USD 0.000000 USD 13600000.000000 USD 1790593.600000 N N N N/A N/A 000000000 1.000000 NC USD 709752.980000 0.3302797 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2025-06-15 332595.790000 USD 0.000000 USD 11900000.000000 USD 377157.190000 N N N N/A N/A 000000000 1.000000 NC USD -56975.970000 -0.0265135 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -62331.600000 USD 580000.000000 USD 5355.630000 N N N N/A N/A 000000000 1.000000 NC USD -11196.780000 -0.0052104 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-03-16 0.000000 USD -470.250000 USD 100000.000000 USD -10726.530000 N N N N/A N/A 000000000 1.000000 NC USD -44995.890000 -0.0209386 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-05-03 0.000000 USD -2077.500000 USD 600000.000000 USD -42918.390000 N N N N/A N/A 000000000 1.000000 NC USD -187146.430000 -0.0870876 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-04-05 0.000000 USD -7904.000000 USD 1600000.000000 USD -179242.430000 N N N N/A N/A 000000000 1.000000 NC USD -45778.290000 -0.0213027 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2029-03-22 0.000000 USD -1605.000000 USD 600000.000000 USD -44173.290000 N N N N/A N/A 000000000 1.000000 NC USD -66874.110000 -0.0311195 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-06-17 0.000000 USD -4785.000000 USD 1200000.000000 USD -62089.110000 N N N N/A N/A 000000000 1.000000 NC USD 18617.400000 0.0086635 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2026-01-17 457.110000 USD 0.000000 USD 1000000.000000 USD 18160.290000 N N N N/A N/A 000000000 1.000000 NC USD 73838.400000 0.0343603 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-01-17 634.380000 USD 0.000000 USD 6000000.000000 USD 73204.020000 N N N N/A N/A 000000000 1.000000 NC USD -45227.510000 -0.0210464 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-06-21 0.000000 USD -3690.000000 USD 900000.000000 USD -41537.510000 N N N N/A N/A 000000000 1.000000 NC USD 147973.200000 0.0688585 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2024-12-20 0.000000 USD -840.740000 USD 12000000.000000 USD 148813.940000 N N N N/A N/A 000000000 1.000000 NC USD -31604.460000 -0.0147070 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-06-28 0.000000 USD -4002.000000 USD 800000.000000 USD -27602.460000 N N N N/A N/A 000000000 1.000000 NC USD -18895.390000 -0.0087929 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-07-11 0.000000 USD -5520.000000 USD 400000.000000 USD -13375.390000 N N N N/A N/A 000000000 1.000000 NC USD -18547.560000 -0.0086310 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-07-11 0.000000 USD -5600.000000 USD 400000.000000 USD -12947.560000 N N N N/A N/A 000000000 1.000000 NC USD -20726.120000 -0.0096448 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-08-30 0.000000 USD -3500.000000 USD 700000.000000 USD -17226.120000 N N N N/A N/A 000000000 1.000000 NC USD -93679.880000 -0.0435934 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-10-04 0.000000 USD -24732.830000 USD 3400000.000000 USD -68947.050000 N N N N/A N/A 000000000 1.000000 NC USD -20002.620000 -0.0093081 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-10-04 0.000000 USD -5600.000000 USD 800000.000000 USD -14402.620000 N N N N/A N/A 000000000 1.000000 NC USD -2015.420000 -0.0009379 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 0.000000 USD -974.750000 USD 160000.000000 USD -1040.670000 N N N N/A N/A 000000000 1.000000 NC USD -1720.270000 -0.0008005 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2033-06-21 0.000000 USD -3129.070000 USD 145000.000000 USD 1408.800000 N N N N/A N/A 000000000 1.000000 NC USD -10017.670000 -0.0046617 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-09-06 0.000000 USD -5010.000000 USD 600000.000000 USD -5007.670000 N N N N/A N/A 000000000 1.000000 NC USD -8172.910000 -0.0038032 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-09-07 0.000000 USD -2055.000000 USD 400000.000000 USD -6117.910000 N N N N/A N/A 000000000 1.000000 NC USD -7042.410000 -0.0032771 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2029-09-08 0.000000 USD -2520.000000 USD 400000.000000 USD -4522.410000 N N N N/A N/A 000000000 1.000000 NC USD 2541.050000 0.0011825 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2053-02-23 0.000000 USD -910.000000 USD 100000.000000 USD 3451.050000 N N N N/A N/A 000000000 1.000000 NC USD -5787.590000 -0.0026932 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2029-09-09 0.000000 USD -2510.000000 USD 400000.000000 USD -3277.590000 N N N N/A N/A 000000000 1.000000 NC USD 823.590000 0.0003833 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2033-03-06 0.000000 USD -340.000000 USD 100000.000000 USD 1163.590000 N N N N/A N/A 000000000 1.000000 NC USD 882.260000 0.0004106 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2030-02-23 0.000000 USD -689.500000 USD 200000.000000 USD 1571.760000 N N N N/A N/A 000000000 1.000000 NC USD -955.500000 -0.0004446 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-12-14 0.000000 USD -435.000000 USD 100000.000000 USD -520.500000 N N N N/A N/A 000000000 1.000000 NC USD 2799.960000 0.0013029 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2033-03-01 0.000000 USD -881.250000 USD 200000.000000 USD 3681.210000 N N N N/A N/A 000000000 1.000000 NC USD 3263.920000 0.0015188 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2033-02-23 0.000000 USD -860.000000 USD 200000.000000 USD 4123.920000 N N N N/A N/A 000000000 1.000000 NC USD 1698.210000 0.0007903 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2033-03-01 0.000000 USD -430.000000 USD 100000.000000 USD 2128.210000 N N N N/A N/A 000000000 1.000000 NC USD 1868.630000 0.0008696 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2033-03-01 0.000000 USD -385.000000 USD 100000.000000 USD 2253.630000 N N N N/A N/A 000000000 1.000000 NC USD 1903.570000 0.0008858 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2033-02-27 0.000000 USD -400.000000 USD 100000.000000 USD 2303.570000 N N N N/A N/A 000000000 1.000000 NC USD 6315.500000 0.0029389 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2033-03-07 0.000000 USD -1068.750000 USD 300000.000000 USD 7384.250000 N N N N/A N/A 000000000 1.000000 NC USD 3734.390000 0.0017378 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2030-02-22 0.000000 USD -1055.630000 USD 300000.000000 USD 4790.020000 N N N N/A N/A 000000000 1.000000 NC USD 1624.160000 0.0007558 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2030-03-02 0.000000 USD -277.500000 USD 100000.000000 USD 1901.660000 N N N N/A N/A 000000000 1.000000 NC USD -9548.500000 -0.0044433 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2032-12-12 0.000000 USD -1410.000000 USD 300000.000000 USD -8138.500000 N N N N/A N/A 000000000 1.000000 NC USD -9069.980000 -0.0042207 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-12-13 0.000000 USD -1649.380000 USD 700000.000000 USD -7420.600000 N N N N/A N/A 000000000 1.000000 NC USD 3774.260000 0.0017563 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2028-03-10 0.000000 USD -427.500000 USD 200000.000000 USD 4201.760000 N N N N/A N/A 000000000 -100000.000000 NC USD -330.960000 -0.0001540 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% APR 30YR N/A 97.890000 USD 2023-04-06 XXXX 122.170000 N N N N/A N/A 000000000 -100000.000000 NC USD -7.670000 -0.0000036 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% APR 30YR N/A 99.890000 USD 2023-04-06 XXXX 367.330000 N N N N/A N/A 000000000 -200000.000000 NC USD -358.980000 -0.0001670 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% APR 30YR N/A 97.470000 USD 2023-04-06 XXXX 953.520000 N N N N/A N/A 000000000 -400000.000000 NC USD -1267.560000 -0.0005899 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 95.590000 USD 2023-04-06 XXXX 1919.940000 N N N N/A N/A 000000000 -200000.000000 NC USD -280.340000 -0.0001305 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% APR 30YR N/A 97.310000 USD 2023-04-06 XXXX 1032.160000 N N N N/A N/A 000000000 -400000.000000 NC USD -3738.520000 -0.0017397 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 98.860000 USD 2023-04-06 XXXX -1988.520000 N N N N/A N/A 000000000 -200000.000000 NC USD -712.000000 -0.0003313 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% APR 30YR N/A 97.950000 USD 2023-04-06 XXXX 194.250000 N N N N/A N/A 000000000 -300000.000000 NC USD -1764.570000 -0.0008211 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% APR 30YR N/A 98.360000 USD 2023-04-06 XXXX -522.380000 N N N N/A N/A 000000000 -400000.000000 NC USD -1325.640000 -0.0006169 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 95.630000 USD 2023-04-06 XXXX 1861.860000 N N N N/A N/A 000000000 -100000.000000 NC USD -316.890000 -0.0001475 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 95.590000 USD 2023-04-06 XXXX 479.990000 N N N N/A N/A 000000000 -200000.000000 NC USD -44.720000 -0.0000208 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% APR 30YR N/A 99.470000 USD 2023-04-06 XXXX 955.280000 N N N N/A N/A 000000000 -200000.000000 NC USD -64.640000 -0.0000301 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% APR 30YR N/A 99.310000 USD 2023-04-06 XXXX 950.990000 N N N N/A N/A 000000000 -1.000000 NC USD -460.230000 -0.0002142 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 06/21/23 2023-06-22 N/A USD N/A 116.500000 USD 2023-04-21 XXXX 194.730000 N N N N/A N/A 000000000 -1.000000 NC USD -41.770000 -0.0000194 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 06/21/23 2023-06-22 N/A USD N/A 110.500000 USD 2023-04-21 XXXX 316.540000 N N N N/A N/A 000000000 -403.000000 NC USD -1251282.610000 -0.5822776 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-06-21 -46367039.260000 USD -1251282.610000 N N N N/A N/A 000000000 -31.000000 NC USD -191132.150000 -0.0889423 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-06-21 -4072140.630000 USD -191132.150000 N N N BANK OF AMERICA MTG SEC 2005-I N/A 05949CHX7 10393.330000 PA USD 9827.840000 0.0045733 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.21932 Y N N N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBS9 30793.080000 PA USD 28052.860000 0.0130542 Long ABS-MBS CORP US N 2 2033-05-25 Floating 4.0292 N N N N N N BANK OF AMERICA MTGE SEC 2003-H N/A 05948XTL5 53923.550000 PA USD 47504.250000 0.0221058 Long ABS-MBS CORP US N 2 2033-09-25 Floating 4.14292 N N N N N N BANK OF AMERICA MTGE SEC 2003-J N/A 05948XYD7 20518.930000 PA USD 18088.890000 0.0084176 Long ABS-MBS CORP US N 2 2033-11-25 Floating 3.79283 N N N N N N BANK OF AMERICA MTGE SEC 2003-L N/A 05948XR29 15160.680000 PA USD 14512.860000 0.0067535 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.25234 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT50 84064.180000 PA USD 81707.060000 0.0380219 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.29515 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-E N/A 05949AGR5 14085.410000 PA USD 12903.770000 0.0060047 Long ABS-MBS CORP US N 2 2034-06-25 Fixed 3.39911 N N N N N N BBCMS MORTGAGE TRUST 2018-C2 N/A 05491UBD9 800000.000000 PA USD 764394.240000 0.3557067 Long ABS-MBS CORP US N 2 2051-12-15 Fixed 4.314 N N N N N N BCAP LLC TRUST 2010-RR3 N/A 05532WBS3 418444.880000 PA USD 252237.610000 0.1173774 Long ABS-MBS CORP US N 2 2036-02-26 Variable 6.5 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB27 197794.340000 PA USD 184293.080000 0.0857598 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.01243 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MC75 30741.370000 PA USD 27989.530000 0.0130248 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.88022 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-3 N/A 07384MUM2 148.130000 PA USD 129.190000 0.0000601 Long ABS-MBS CORP US N 2 2033-05-25 Floating 4.01103 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7 N/A 07384MYS5 3511.730000 PA USD 3168.540000 0.0014745 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.58888 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7 N/A 07384MYY2 102.850000 PA USD 92.080000 0.0000428 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.63411 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZS4 44830.870000 PA USD 41704.580000 0.0194070 Long ABS-MBS CORP US N 2 2034-01-25 Floating 3.91439 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 140506.440000 PA USD 134387.470000 0.0625365 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.08161 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M5Y4 19977.430000 PA USD 18087.480000 0.0084169 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.90875 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4J8 17391.380000 PA USD 14595.210000 0.0067918 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.9616 N N N N N N BEAR STEARNS ADJUSTABLE RATE MTGE 20 N/A 07384MS78 13140.780000 PA USD 11533.690000 0.0053671 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.18446 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HXZ9 21.260000 PA USD 18.450000 0.0000086 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.38589 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AA9 3759.850000 PA USD 3024.450000 0.0014074 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.18529 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868BE0 246213.720000 PA USD 129105.590000 0.0600786 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.73149 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 191137.850000 PA USD 165425.930000 0.0769801 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.16529 N N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 15377.390000 PA USD 14900.720000 0.0069340 Long ABS-MBS CORP US N 2 2033-04-25 Floating 4.51274 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 1302.040000 PA USD 1222.420000 0.0005688 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.34008 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 893.900000 PA USD 679.630000 0.0003163 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.24999 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A 07384YGX8 118665.880000 PA USD 115415.820000 0.0537081 Long ABS-MBS CORP US N 2 2042-11-25 Floating 5.84529 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1 N/A 07389QAL2 633484.820000 PA USD 491610.190000 0.2287682 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 3.14732 Y N N N N N BENEFIT STREET PARTNERS CLO XVI LTD N/A 08181VAN5 3000000.000000 PA USD 2955000.000000 1.3750933 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 5.82243 N N N N N N BXMT 2020-FL3 LTD N/A 05608XAA0 1000000.000000 PA USD 974847.600000 0.4536401 Long ABS-MBS CORP KY N 2 2037-11-15 Floating 6.07254 N N N N N N CBAM 2018-5 LTD 8A N/A 12478CAA9 1164490.300000 PA USD 1157390.020000 0.5385852 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 5.92771 N N N N N N CD 2017-CD5 MORTGAGE TRUST N/A 12515HAZ8 400000.000000 PA USD 370267.760000 0.1723021 Long ABS-MBS CORP US N 2 2050-08-15 Fixed 3.431 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPE3 21661.540000 PA USD 19658.100000 0.0091478 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.94089 Y N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPJ2 30067.050000 PA USD 25030.550000 0.0116478 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.9392 Y N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AB4 187106.070000 PA USD 175388.440000 0.0816161 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.94852 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AC2 6236.870000 PA USD 5909.590000 0.0027500 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.94852 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 1007215.080000 PA USD 1003527.360000 0.4669861 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.19529 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC33 N/A 29425AAD5 900000.000000 PA USD 863707.770000 0.4019218 Long ABS-MBS CORP US N 2 2058-09-10 Fixed 3.778 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB2 N/A 17307GEB0 27812.500000 PA USD 25403.280000 0.0118213 Long ABS-MBS CORP US N 2 2034-03-25 Floating 4.42853 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-UST1 N/A 17307GKZ0 571.470000 PA USD 521.580000 0.0002427 Long ABS-MBS CORP US N 2 2034-08-25 Floating 5.86101 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 13018.550000 PA USD 11913.850000 0.0055440 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.95 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW95 24763.980000 PA USD 23446.540000 0.0109107 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.47 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-12 N/A 17307GY69 83283.890000 PA USD 79910.220000 0.0371858 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.64529 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXP8 39510.230000 PA USD 38912.800000 0.0181079 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.08 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAA8 505112.050000 PA USD 495084.310000 0.2303848 Long ABS-O CORP US N 2 2047-12-26 Floating 6.04529 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAB6 694529.070000 PA USD 654488.500000 0.3045627 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 1302886.400000 PA USD 1192704.420000 0.5550186 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 462358.520000 PA USD 450562.690000 0.2096669 Long ABS-O CORP US N 2 2051-07-25 Floating 5.94529 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2021-A N/A 19424KAB9 809127.310000 PA USD 707579.890000 0.3292685 Long ABS-O CORP US N 2 2051-07-25 Fixed 1.6 N N N N N N COMMONBOND STUDENT LOAN TRUST 2020-AGS N/A 20267WAA3 577304.570000 PA USD 495960.450000 0.2307925 Long ABS-O CORP US N 2 2050-08-25 Fixed 1.98 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-43 N/A 12667G5V1 7771.650000 PA USD 6656.900000 0.0030978 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.37304 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6 N/A 02150PAB4 721547.860000 PA USD 621462.890000 0.2891944 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.24529 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL92 978248.640000 PA USD 880315.680000 0.4096502 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.18975 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-3 N/A 1266714L7 1375986.550000 PA USD 1285136.350000 0.5980313 Long ABS-MBS CORP US N 2 2034-08-25 Floating 5.26529 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673AW2 1435000.320000 PA USD 1351458.910000 0.6288941 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.38529 N N N N N N COUNTRYWIDE HOME LOANS 2003-56 N/A 12669FBQ5 30457.690000 PA USD 27792.260000 0.0129330 Long ABS-MBS CORP US N 2 2033-12-25 Floating 3.64873 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Y4 10365.120000 PA USD 9198.790000 0.0042806 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.78591 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 781120.110000 PA USD 696478.010000 0.3241023 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.78591 N N N N N N COUNTRYWIDE HOME LOANS 2005-19 N/A 126694AN8 61442.230000 PA USD 13508.280000 0.0062860 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.19529 Y N N N N N COUNTRYWIDE HOME LOANS 2005-25 N/A 126694HQ4 68088.920000 PA USD 35865.270000 0.0166897 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE HOME LOANS 2005-HYB3 N/A 12669GA76 42235.800000 PA USD 38341.420000 0.0178420 Long ABS-MBS CORP US N 2 2035-06-20 Floating 3.28261 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 19543.480000 PA USD 17400.530000 0.0080972 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.53729 Y N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL3 N/A 12656PAC0 762959.870000 PA USD 749340.810000 0.3487017 Long ABS-MBS CORP US N 2 2060-03-25 Variable 2.691 N N N N N N CREDIT-BASED ASSET SERV & SEC 2004-CB4 N/A 12489WJP0 361294.160000 PA USD 330085.350000 0.1536034 Long ABS-MBS CORP US N 2 2035-05-25 Variable 6.78 Y N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFC1 46328.580000 PA USD 43300.650000 0.0201497 Long ABS-MBS CORP US N 2 2033-07-25 Floating 3.35416 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFE7 235668.500000 PA USD 215974.860000 0.1005027 Long ABS-MBS CORP US N 2 2033-07-25 Floating 3.52248 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR24 N/A 22541QUQ3 19767.500000 PA USD 18665.340000 0.0086858 Long ABS-MBS CORP US N 2 2033-10-25 Floating 4.41741 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR30 N/A 22541Q2A9 106102.050000 PA USD 97942.910000 0.0455772 Long ABS-MBS CORP US N 2 2034-01-25 Floating 3.93618 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2004-CF1 N/A 22541SBX5 99176.610000 PA USD 99709.660000 0.0463994 Long ABS-MBS CORP US N 2 2043-05-25 Floating 6.49529 N N N N N N CS FIRST BOSTON MTGE SEC. CORP 2002-AR28 N/A 22541NNN5 4866.590000 PA USD 4525.570000 0.0021059 Long ABS-MBS CORP US N 2 2032-11-25 Floating 4.18435 N N N N N N CSAIL COMMERCIAL MORTGAGE TRUST 2019-C16 N/A 12596WAC8 200000.000000 PA USD 179856.160000 0.0836951 Long ABS-MBS CORP US N 2 2052-06-15 Fixed 3.329 N N N N N N CSMC 2020-RPL5 TRUST N/A 12597XAC5 623896.400000 PA USD 606721.660000 0.2823347 Long ABS-MBS CORP US N 2 2060-08-25 Fixed 3.023 N N N N N N DRYDEN 80 CLO LTD 2019-80A N/A 26245JAQ1 1900000.000000 PA USD 1865830.400000 0.8682541 Long ABS-CBDO CORP KY N 2 2033-01-17 Floating 5.90755 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2019-1A N/A 26829XAB7 631154.360000 PA USD 615024.140000 0.2861982 Long ABS-O CORP US N 2 2069-07-25 Floating 5.84529 N N N N N N EFS VOLUNTEER LLC 2010-1 N/A 26844VAB2 119237.860000 PA USD 119044.580000 0.0553968 Long ABS-O CORP US N 2 2035-10-25 Floating 5.66771 N N N N N N ELLINGTON FINANCIAL MORTGAGE TRUST 2020-1 N/A 31574PAA3 48670.570000 PA USD 46624.660000 0.0216965 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.006 N N N N N N EQUIFIRST MORTGAGE LOAN TRUST N/A 29445FAH1 42125.400000 PA USD 40922.170000 0.0190429 Long ABS-MBS CORP US N 2 2033-09-25 Floating 5.85271 N N N N N N FANNIE MAE 1993-165 N/A 31359D5L3 402.740000 PA USD 403.550000 0.0001878 Long ABS-MBS USGSE US N 2 2023-09-25 Floating 5.99529 N N N N N N FANNIE MAE 1993-179 N/A 31359EGE5 459.780000 PA USD 460.900000 0.0002145 Long ABS-MBS USGSE US N 2 2023-10-25 Floating 5.99529 N N N N N N FANNIE MAE 1993-230 N/A 31359FD96 7926.690000 PA USD 7944.890000 0.0036971 Long ABS-MBS USGSE US N 2 2023-12-25 Floating 5.84529 N N N N N N FANNIE MAE 1993-230 N/A 31359FE38 6784.700000 PA USD 6786.290000 0.0031580 Long ABS-MBS USGSE US N 2 2023-12-25 Floating 5.217 N N N N N N FANNIE MAE 1993-62 N/A 31358UVC7 8.260000 PA USD 8.230000 0.0000038 Long ABS-MBS USGSE US N 2 2023-04-25 Floating 6.526 N N N N N N FANNIE MAE 1994-22 N/A 31359GRR9 2631.080000 PA USD 2636.980000 0.0012271 Long ABS-MBS USGSE US N 2 2024-01-25 Floating 6.04529 N N N N N N FANNIE MAE 1999-37 N/A 31359V6Z1 8538.800000 PA USD 8486.350000 0.0039491 Long ABS-MBS USGSE US N 2 2029-06-25 Floating 5.24529 N N N N N N FANNIE MAE 2000-32 N/A 31358SNY3 16323.200000 PA USD 16261.070000 0.0075670 Long ABS-MBS USGSE US N 2 2030-10-18 Floating 5.21143 N N N N N N FANNIE MAE 2000-34 N/A 31358SSV4 13708.050000 PA USD 13614.700000 0.0063355 Long ABS-MBS USGSE US N 2 2030-10-25 Floating 5.29529 N N N N N N FANNIE MAE 2000-47 N/A 31358SH87 11367.800000 PA USD 11324.160000 0.0052696 Long ABS-MBS USGSE US N 2 2030-12-25 Floating 5.39529 N N N N N N FANNIE MAE 2001-38 N/A 313920QJ2 9429.550000 PA USD 9424.890000 0.0043858 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 5.34529 N N N N N N FANNIE MAE 2001-62 N/A 31392ADL9 16893.000000 PA USD 16923.540000 0.0078753 Long ABS-MBS USGSE US N 2 2031-11-25 Floating 5.49529 N N N N N N FANNIE MAE 2002-15 N/A 31392CKL7 13562.900000 PA USD 13572.620000 0.0063159 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 5.54529 N N N N N N FANNIE MAE 2002-25 N/A 31392C6T6 8452.200000 PA USD 8531.330000 0.0039700 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 5.84529 N N N N N N FANNIE MAE 2002-34 N/A 31392CQ31 13558.270000 PA USD 13526.650000 0.0062946 Long ABS-MBS USGSE US N 2 2032-05-18 Floating 5.16143 N N N N N N FANNIE MAE 2002-60 N/A 31392EVN7 1798.030000 PA USD 1787.150000 0.0008316 Long ABS-MBS USGSE US N 2 2032-06-25 Floating 5.24529 N N N N N N FANNIE MAE 2002-95 N/A 31392HGV9 11489.870000 PA USD 11454.870000 0.0053305 Long ABS-MBS USGSE US N 2 2033-01-25 Floating 5.34529 N N N N N N FANNIE MAE 2003-118 N/A 31393UMM2 6854.470000 PA USD 6801.210000 0.0031649 Long ABS-MBS USGSE US N 2 2033-12-25 Floating 5.24529 N N N N N N FANNIE MAE 2003-124 N/A 31393USE4 7188.580000 PA USD 7117.920000 0.0033123 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 5.14529 N N N N N N FANNIE MAE 2003-21 N/A 31392JY29 3949.670000 PA USD 3910.480000 0.0018197 Long ABS-MBS USGSE US N 2 2033-03-25 Floating 5.24529 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 11881.280000 PA USD 11849.740000 0.0055142 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 4.96529 N N N N N N FANNIE MAE 2006-118 N/A 31396L4R8 1525.030000 PA USD 1516.210000 0.0007056 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 4.677 N N N N N N FANNIE MAE 2006-118 N/A 31396L4T4 37378.720000 PA USD 37017.700000 0.0172260 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 5.0713 N N N N N N FANNIE MAE 2006-30 N/A 31395B6R9 4487.020000 PA USD 4424.670000 0.0020590 Long ABS-MBS USGSE US N 2 2036-05-25 Floating 5.28529 N N N N N N FANNIE MAE G93-35 N/A 31359FJJ8 146.750000 PA USD 146.280000 0.0000681 Long ABS-MBS USGSE US N 2 2023-11-25 Fixed 6.5 N N N N N N FANNIE MAE GRANTOR TR 2004-T1 N/A 31393XFT9 187241.610000 PA USD 193890.670000 0.0902260 Long ABS-MBS USGSE US N 2 2044-01-25 Fixed 6.5 N N N N N N FANNIE MAE REMICS 2000-38 N/A 31358SVW8 7594.250000 PA USD 7561.520000 0.0035187 Long ABS-MBS USGSE US N 2 2030-11-18 Floating 5.26143 N N N N N N FANNIE MAE-1996-39 N/A 31359KRY5 30.040000 PA USD 30.000000 0.0000140 Long ABS-MBS USGSE US N 2 2023-11-25 Fixed 8 N N N N N N FANNIE MAE-1997-20 N/A 31359N4G3 2385.450000 PA USD 2357.830000 0.0010972 Long ABS-MBS USGSE US N 2 2027-03-25 Floating 1.50265 N N N N N N FANNIE MAE-1997-20 N/A 31359N4R9 1234.000000 PA USD 1213.950000 0.0005649 Long ABS-MBS USGSE US N 2 2027-03-25 Floating 2.61 N N N N N N FANNIE MAE-1997-65 N/A 31359QF33 8644.100000 PA USD 8631.470000 0.0040166 Long ABS-MBS USGSE US N 2 2027-09-17 Floating 5.05143 N N N N N N FANNIE MAE-2000-13 N/A 31359X2A6 8.460000 PA USD 8.450000 0.0000039 Long ABS-MBS USGSE US N 2 2023-09-25 Floating 5.49529 N N N N N N FANNIE MAE-G93-17 N/A 31358UVY9 16.030000 PA USD 16.030000 0.0000075 Long ABS-MBS USGSE US N 2 2023-04-25 Floating 5.99529 N N N N N N FANNIEMAE GRANTOR TRUST 2004-T3 N/A 31393YU52 4041.040000 PA USD 4104.340000 0.0019099 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 6 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CX40 11687.320000 PA USD 11553.490000 0.0053764 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 5.19529 N N N N N N FANNIEMAE WHOLE LOAN 2003-W1 N/A 31392GVX0 65499.720000 PA USD 63307.050000 0.0294596 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 6.5 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BW76 10625.700000 PA USD 10232.940000 0.0047618 Long ABS-MBS USGSE US N 2 2042-08-25 Floating 3.74026 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 104243.190000 PA USD 102452.480000 0.0476757 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 4.967 N N N N N N FANNIEMAE WHOLE LOAN 2004-W15 N/A 31394BZ64 14093.320000 PA USD 14325.810000 0.0066664 Long ABS-MBS USGSE US N 2 2044-08-25 Fixed 6 N N N N N N FANNIEMAE WHOLE LOAN 2004-W2 N/A 31393XGQ4 3590.820000 PA USD 3766.870000 0.0017529 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 7 N N N N N N FANNIEMAE WHOLE LOAN 2005-W2 N/A 31394DJP6 1435.080000 PA USD 1432.560000 0.0006666 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 5.04529 N N N N N N FANNIEMAE WHOLE LOAN-2002-W4 N/A 31392DUF7 13821.730000 PA USD 14192.280000 0.0066043 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 6.25 N N N N N N FANNIEMAE WHOLE LOAN-2002-W4 N/A 31392DUA8 14706.650000 PA USD 15868.110000 0.0073841 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 7.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128JMN94 2201.360000 PA USD 2190.630000 0.0010194 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.021 N N N N N N FHLMC PASS THRU POOLS N/A 3128JNXL4 71270.860000 PA USD 70216.990000 0.0326751 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 4.182 N N N N N N FHLMC PASS THRU POOLS N/A 3128QPGM8 92449.980000 PA USD 90464.680000 0.0420973 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 2.511 N N N N N N FHLMC PASS THRU POOLS N/A 3128QPUG5 118932.910000 PA USD 116908.690000 0.0544028 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.165 N N N N N N FHLMC PASS THRU POOLS N/A 3128QPUK6 84821.820000 PA USD 83285.830000 0.0387566 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 3.915 N N N N N N FHLMC PASS THRU POOLS N/A 3128HLFR7 96077.880000 PA USD 94088.720000 0.0437837 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCB37 1720.380000 PA USD 1741.580000 0.0008104 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 4.153 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCCU6 7479.760000 PA USD 7462.160000 0.0034725 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 3.788 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCHJ6 59404.520000 PA USD 58140.710000 0.0270555 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 3.341 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCTE4 3570.240000 PA USD 3559.930000 0.0016566 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 3.853 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCYH1 5159.430000 PA USD 5052.700000 0.0023512 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.235 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCY40 2789.830000 PA USD 2752.830000 0.0012810 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.37 N N N N N N FHLMC PASS THRU POOLS N/A 3128NC2K9 62438.720000 PA USD 63123.820000 0.0293743 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 3.66 N N N N N N FHLMC PASS THRU POOLS N/A 3128NC6C3 23609.120000 PA USD 23286.460000 0.0108362 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 3.981 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJFP6 289.810000 PA USD 284.550000 0.0001324 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 3.985 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJUA2 2080.180000 PA USD 2055.360000 0.0009565 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 4.104 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJ4L7 738.810000 PA USD 724.120000 0.0003370 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 3.49 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJ5H5 1170.890000 PA USD 1150.620000 0.0005354 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.09 N N N N N N FHLMC PASS THRU POOLS N/A 3128QSLH7 66973.560000 PA USD 65858.690000 0.0306470 Long ABS-MBS USGSE US N 2 2037-08-01 Floating 4.335 N N N N N N FHLMC PASS THRU POOLS N/A 3128QS2Z8 17623.390000 PA USD 17275.190000 0.0080389 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 3.955 N N N N N N FHLMC PASS THRU POOLS N/A 3128NGBF1 1560.090000 PA USD 1579.780000 0.0007351 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 4.052 N N N N N N FHLMC PASS THRU POOLS N/A 3128NGC29 37885.130000 PA USD 37309.620000 0.0173618 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.493 N N N N N N FHLMC PASS THRU POOLS N/A 3128QLQU8 11320.010000 PA USD 11469.450000 0.0053372 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.25 N N N N N N FHLMC PASS THRU POOLS N/A 3128QLRA1 8006.100000 PA USD 8206.760000 0.0038190 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.37 N N N N N N FHLMC PASS THRU POOLS N/A 3128QLRW3 1759.570000 PA USD 1743.580000 0.0008114 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 3.1 N N N N N N FHLMC PASS THRU POOLS N/A 3128QLTY7 229601.340000 PA USD 223838.270000 0.1041619 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 4.23 N N N N N N FHLMC PASS THRU POOLS N/A 3128QLU58 67547.850000 PA USD 66093.390000 0.0307562 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 4.29 N N N N N N FHLMC PASS THRU POOLS N/A 3128LUKS4 2354.830000 PA USD 2317.700000 0.0010785 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 4.008 N N N N N N FHLMC PASS THRU POOLS N/A 3128NKHZ2 200669.760000 PA USD 197395.720000 0.0918570 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 2.655 N N N N N N FHLMC PASS THRU POOLS N/A 3128NVLF7 1857.070000 PA USD 1816.620000 0.0008454 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.37 N N N N N N FHLMC PASS THRU POOLS N/A 3128NVMC3 2003.590000 PA USD 1987.350000 0.0009248 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 4.405 N N N N N N FHLMC PASS THRU POOLS N/A 3128Q2C92 33141.680000 PA USD 32252.030000 0.0150083 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.46 N N N N N N FHLMC PASS THRU POOLS N/A 3128Q2FY4 2536.050000 PA USD 2494.770000 0.0011609 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.284 N N N N N N FHLMC PASS THRU POOLS N/A 3128QGDW9 7702.960000 PA USD 7639.910000 0.0035552 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 3.41 N N N N N N FHLMC PASS THRU POOLS N/A 3128S4AA5 2160.480000 PA USD 2135.940000 0.0009939 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.114 N N N N N N FHLMC PASS THRU POOLS N/A 31346VHH5 14869.090000 PA USD 14361.580000 0.0066831 Long ABS-MBS USGSE US N 2 2030-01-01 Floating 2.835 N N N N N N FHLMC PASS THRU POOLS N/A 31348MWV5 40129.400000 PA USD 39475.250000 0.0183696 Long ABS-MBS USGSE US N 2 2030-09-01 Floating 3.591 N N N N N N FHLMC PASS THRU POOLS N/A 31342AB57 2755.560000 PA USD 2737.600000 0.0012739 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 4.375 N N N N N N FHLMC PASS THRU POOLS N/A 31342ASB6 437.730000 PA USD 429.470000 0.0001999 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 3.061 N N N N N N FHLMC PASS THRU POOLS N/A 31342AXG9 796.860000 PA USD 792.870000 0.0003690 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 3.628 N N N N N N FHLMC PASS THRU POOLS N/A 31342AYG8 5111.120000 PA USD 5030.770000 0.0023410 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 4.2 N N N N N N FHLMC PASS THRU POOLS N/A 31349SEZ2 47965.370000 PA USD 47431.360000 0.0220719 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 4.375 N N N N N N FHLMC PASS THRU POOLS N/A 31349SUX9 64437.820000 PA USD 63195.120000 0.0294075 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 3.717 N N N N N N FHLMC PASS THRU POOLS N/A 31349TVP3 103153.000000 PA USD 101503.120000 0.0472339 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 4.353 N N N N N N FHLMC PASS THRU POOLS N/A 31349TWL1 124.470000 PA USD 122.070000 0.0000568 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 4.375 N N N N N N FHLMC PASS THRU POOLS N/A 31349UB56 704.960000 PA USD 722.660000 0.0003363 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 4.304 N N N N N N FHLMC PASS THRU POOLS N/A 31349UMJ4 18482.980000 PA USD 18070.120000 0.0084088 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 2.962 N N N N N N FHLMC PASS THRU POOLS N/A 31295KDH4 2349.420000 PA USD 2315.870000 0.0010777 Long ABS-MBS USGSE US N 2 2027-10-01 Floating 4.153 N N N N N N FHLMC PASS THRU POOLS N/A 31295NEY0 20836.400000 PA USD 20343.760000 0.0094669 Long ABS-MBS USGSE US N 2 2032-03-01 Floating 3.235 N N N N N N FHLMC PASS THRU POOLS N/A 31295NJV1 6585.790000 PA USD 6507.860000 0.0030284 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 3.25 N N N N N N FHLMC PASS THRU POOLS N/A 31295NLN6 35892.150000 PA USD 35423.840000 0.0164843 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 3.6 N N N N N N FHLMC PASS THRU POOLS N/A 31288VBR9 394.140000 PA USD 390.720000 0.0001818 Long ABS-MBS USGSE US N 2 2023-08-01 Floating 4.379 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDZB8 52235.150000 PA USD 51101.990000 0.0237800 Long ABS-MBS USGSE US N 2 2030-01-01 Floating 4.135 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRCM6 851.320000 PA USD 832.110000 0.0003872 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 2.928 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRHC3 6423.210000 PA USD 6327.340000 0.0029444 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 3.582 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRHJ8 8282.350000 PA USD 8115.160000 0.0037763 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 3.73 N N N N N N FHLMC PASS THRU POOLS N/A 31348UHU6 20782.780000 PA USD 20531.930000 0.0095544 Long ABS-MBS USGSE US N 2 2030-04-01 Floating 3.927 N N N N N N FHLMC PASS THRU POOLS N/A 31336CLF8 2634.110000 PA USD 2584.190000 0.0012025 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 3.975 N N N N N N FHLMC PASS THRU POOLS N/A 31336CLM3 12043.270000 PA USD 12268.120000 0.0057089 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 4.35 N N N N N N FHLMC PASS THRU POOLS N/A 31336CL35 34736.290000 PA USD 33913.340000 0.0157814 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 2.925 N N N N N N FHLMC PASS THRU POOLS N/A 31336CNW9 112357.410000 PA USD 109874.940000 0.0511297 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 2.53 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PE2 12097.820000 PA USD 12593.680000 0.0058604 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ3H1 2518604.910000 PA USD 2298285.010000 1.0694945 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-16 N/A 3133TKPF1 46427.750000 PA USD 44464.640000 0.0206914 Long ABS-MBS USGSE US N 2 2029-06-25 Floating 5.19529 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 106525.980000 PA USD 104534.970000 0.0486448 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 4.33795 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-32 N/A 3133TSQG1 190011.540000 PA USD 189498.030000 0.0881819 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 5.10529 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-35 N/A 313398VT3 102849.210000 PA USD 102345.920000 0.0476261 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 5.12529 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-56 N/A 31393RG38 691791.520000 PA USD 672077.470000 0.3127476 Long ABS-MBS USGSE US N 2 2043-05-25 Floating 5.24529 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A 31395A3J2 1173118.180000 PA USD 1108959.290000 0.5160482 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 4.53795 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 252237.440000 PA USD 235691.090000 0.1096776 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 4.33795 N N N N N N FIRST HORIZON ALT MTG SEC 2005-AA5 N/A 32051GPJ8 82285.330000 PA USD 53584.840000 0.0249354 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.69119 Y N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA2 N/A 32051D4S8 42892.880000 PA USD 43238.590000 0.0201208 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.73881 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2004-FL1 N/A 32051GDV4 24952.570000 PA USD 20913.630000 0.0097320 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.11529 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2004-FL1 N/A 32051GDX0 52779.310000 PA USD 48071.490000 0.0223698 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.44857 N N N N N N FNMA PASS THRU POOLS N/A 31371HR75 2981.440000 PA USD 2972.170000 0.0013831 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 8 N N N N N N FNMA PASS THRU POOLS N/A 31371LLA5 8618.580000 PA USD 8435.070000 0.0039252 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 4 N N N N N N FNMA PASS THRU POOLS N/A 31371MFZ5 14085.210000 PA USD 14359.080000 0.0066819 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 3.971 N N N N N N FNMA PASS THRU POOLS N/A 31371MQL4 30596.850000 PA USD 29966.010000 0.0139445 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.075 N N N N N N FNMA PASS THRU POOLS N/A 31373NAU7 522.830000 PA USD 516.850000 0.0002405 Long ABS-MBS USGSE US N 2 2024-10-01 Floating 3.375 N N N N N N FNMA PASS THRU POOLS N/A 31374GRC3 20319.000000 PA USD 19674.160000 0.0091553 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 3.864 N N N N N N FNMA PASS THRU POOLS N/A 31376PMV4 39422.220000 PA USD 38903.520000 0.0181035 Long ABS-MBS USGSE US N 2 2026-07-01 Floating 4.46 N N N N N N FNMA PASS THRU POOLS N/A 31378A3P9 22658.130000 PA USD 22271.120000 0.0103637 Long ABS-MBS USGSE US N 2 2026-11-01 Floating 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31378C4V1 1228.160000 PA USD 1203.100000 0.0005599 Long ABS-MBS USGSE US N 2 2027-07-01 Floating 3.619 N N N N N N FNMA PASS THRU POOLS N/A 31381JRF1 171524.240000 PA USD 169208.920000 0.0787405 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 4.225 N N N N N N FNMA PASS THRU POOLS N/A 31381JRV6 36758.460000 PA USD 36871.230000 0.0171578 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 4.647 N N N N N N FNMA PASS THRU POOLS N/A 31381JU75 145557.000000 PA USD 145512.160000 0.0677133 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 4.991 N N N N N N FNMA PASS THRU POOLS N/A 31381R4L5 398971.410000 PA USD 405497.300000 0.1886960 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 4.766 N N N N N N FNMA PASS THRU POOLS N/A 31384QRC9 4605.100000 PA USD 4471.610000 0.0020808 Long ABS-MBS USGSE US N 2 2029-07-01 Floating 3.399 N N N N N N FNMA PASS THRU POOLS N/A 31384WE71 45215.010000 PA USD 44433.320000 0.0206768 Long ABS-MBS USGSE US N 2 2030-03-01 Floating 2.705 N N N N N N FNMA PASS THRU POOLS N/A 31385CDK6 12015.170000 PA USD 11878.810000 0.0055277 Long ABS-MBS USGSE US N 2 2030-05-01 Floating 3.025 N N N N N N FNMA PASS THRU POOLS N/A 31385HN32 12938.660000 PA USD 12843.780000 0.0059768 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.354 N N N N N N FNMA PASS THRU POOLS N/A 31385HU59 29979.220000 PA USD 29412.160000 0.0136868 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.039 N N N N N N FNMA PASS THRU POOLS N/A 31385HZV7 9464.700000 PA USD 9325.540000 0.0043396 Long ABS-MBS USGSE US N 2 2031-11-01 Floating 4.283 N N N N N N FNMA PASS THRU POOLS N/A 31385WTG4 3210.690000 PA USD 3150.130000 0.0014659 Long ABS-MBS USGSE US N 2 2032-11-01 Floating 3.742 N N N N N N FNMA PASS THRU POOLS N/A 31385WXC8 4217.170000 PA USD 4125.110000 0.0019196 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 3.962 N N N N N N FNMA PASS THRU POOLS N/A 31385WXE4 2306.940000 PA USD 2264.450000 0.0010537 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 4.316 N N N N N N FNMA PASS THRU POOLS N/A 31385WZU6 100962.910000 PA USD 102152.440000 0.0475361 Long ABS-MBS USGSE US N 2 2040-04-01 Floating 4.057 N N N N N N FNMA PASS THRU POOLS N/A 31385XCM7 346.500000 PA USD 342.840000 0.0001595 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 3.895 N N N N N N FNMA PASS THRU POOLS N/A 31386G7J6 1614.340000 PA USD 1565.830000 0.0007287 Long ABS-MBS USGSE US N 2 2040-11-01 Floating 4.313 N N N N N N FNMA PASS THRU POOLS N/A 31387UEQ0 883.230000 PA USD 865.100000 0.0004026 Long ABS-MBS USGSE US N 2 2030-12-01 Floating 4.633 N N N N N N FNMA PASS THRU POOLS N/A 31389AZC0 970.220000 PA USD 965.390000 0.0004492 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 3.569 N N N N N N FNMA PASS THRU POOLS N/A 31389AZQ9 2470.110000 PA USD 2377.920000 0.0011066 Long ABS-MBS USGSE US N 2 2032-08-01 Floating 3.107 N N N N N N FNMA PASS THRU POOLS N/A 31389AZ22 1506.050000 PA USD 1471.910000 0.0006849 Long ABS-MBS USGSE US N 2 2027-11-01 Floating 3.98 N N N N N N FNMA PASS THRU POOLS N/A 31389AZ55 911.000000 PA USD 892.910000 0.0004155 Long ABS-MBS USGSE US N 2 2038-01-01 Floating 4.288 N N N N N N FNMA PASS THRU POOLS N/A 31389F3V2 11009.840000 PA USD 10923.710000 0.0050833 Long ABS-MBS USGSE US N 2 2028-04-01 Floating 3.07 N N N N N N FNMA PASS THRU POOLS N/A 31389L4R7 37273.610000 PA USD 36379.540000 0.0169290 Long ABS-MBS USGSE US N 2 2032-05-01 Floating 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31390NJT0 2444.380000 PA USD 2360.420000 0.0010984 Long ABS-MBS USGSE US N 2 2032-06-01 Floating 4.263 N N N N N N FNMA PASS THRU POOLS N/A 31390RWU3 6529.140000 PA USD 6368.730000 0.0029637 Long ABS-MBS USGSE US N 2 2032-10-01 Floating 3.915 N N N N N N FNMA PASS THRU POOLS N/A 31390STH4 34666.280000 PA USD 33110.880000 0.0154080 Long ABS-MBS USGSE US N 2 2042-07-01 Floating 4.338 N N N N N N FNMA PASS THRU POOLS N/A 31390S3K5 5573.100000 PA USD 5432.720000 0.0025281 Long ABS-MBS USGSE US N 2 2032-05-01 Floating 3.354 N N N N N N FNMA PASS THRU POOLS N/A 31390WRA2 14740.360000 PA USD 14344.330000 0.0066751 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 3.744 N N N N N N FNMA PASS THRU POOLS N/A 31391MFS7 5750.300000 PA USD 5619.720000 0.0026151 Long ABS-MBS USGSE US N 2 2032-11-01 Floating 4.4 N N N N N N FNMA PASS THRU POOLS N/A 31391MKY8 12608.730000 PA USD 12330.010000 0.0057377 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 3.665 N N N N N N FNMA PASS THRU POOLS N/A 31391MLM3 2645.930000 PA USD 2586.800000 0.0012038 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 4.4 N N N N N N FNMA PASS THRU POOLS N/A 31391XDM8 10701.330000 PA USD 10310.110000 0.0047978 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 4.388 N N N N N N FNMA PASS THRU POOLS N/A 31400AMS4 1531.010000 PA USD 1509.970000 0.0007027 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 3.258 N N N N N N FNMA PASS THRU POOLS N/A 31400ANH7 5953.120000 PA USD 5805.080000 0.0027014 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 4.125 N N N N N N FNMA PASS THRU POOLS N/A 31400HFH1 1353.310000 PA USD 1328.760000 0.0006183 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 4.319 N N N N N N FNMA PASS THRU POOLS N/A 31400H5W9 58938.470000 PA USD 57464.070000 0.0267406 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 4.256 N N N N N N FNMA PASS THRU POOLS N/A 31400KBW5 2207.810000 PA USD 2214.920000 0.0010307 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 5.575 N N N N N N FNMA PASS THRU POOLS N/A 31400QX81 4563.610000 PA USD 4466.740000 0.0020786 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 4.19 N N N N N N FNMA PASS THRU POOLS N/A 31400SJE0 9379.010000 PA USD 9159.070000 0.0042621 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 3.913 N N N N N N FNMA PASS THRU POOLS N/A 31400SJN0 61923.540000 PA USD 61871.440000 0.0287915 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 6.078 N N N N N N FNMA PASS THRU POOLS N/A 31400YDR4 6146.680000 PA USD 6085.510000 0.0028319 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 4.205 N N N N N N FNMA PASS THRU POOLS N/A 31401CCQ4 3491.630000 PA USD 3416.450000 0.0015898 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 2.671 N N N N N N FNMA PASS THRU POOLS N/A 31401G4N1 28964.670000 PA USD 28314.630000 0.0131761 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 3.895 N N N N N N FNMA PASS THRU POOLS N/A 31401L6D0 11565.390000 PA USD 11312.020000 0.0052640 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31401YR31 9400.210000 PA USD 9132.300000 0.0042497 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 3.563 N N N N N N FNMA PASS THRU POOLS N/A 31401Y6R1 17634.170000 PA USD 17235.850000 0.0080206 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 3.913 N N N N N N FNMA PASS THRU POOLS N/A 31402CN65 75007.870000 PA USD 72994.380000 0.0339675 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 4.605 N N N N N N FNMA PASS THRU POOLS N/A 31402CUL4 1344.430000 PA USD 1315.900000 0.0006123 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 3.84 N N N N N N FNMA PASS THRU POOLS N/A 31402CVD1 12206.960000 PA USD 12079.050000 0.0056209 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 4.356 N N N N N N FNMA PASS THRU POOLS N/A 31402DKS8 20491.380000 PA USD 20045.700000 0.0093282 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 3.718 N N N N N N FNMA PASS THRU POOLS N/A 31402DLH1 4550.800000 PA USD 4444.430000 0.0020682 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 3.438 N N N N N N FNMA PASS THRU POOLS N/A 31402DLJ7 2535.540000 PA USD 2478.060000 0.0011532 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 4 N N N N N N FNMA PASS THRU POOLS N/A 31402DRT9 1837.870000 PA USD 1798.500000 0.0008369 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 3.798 N N N N N N FNMA PASS THRU POOLS N/A 31402QUH2 16323.570000 PA USD 16184.530000 0.0075314 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 3.916 N N N N N N FNMA PASS THRU POOLS N/A 31402QX48 11405.400000 PA USD 11263.940000 0.0052416 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 3.87 N N N N N N FNMA PASS THRU POOLS N/A 31402RBC2 6203.280000 PA USD 6104.150000 0.0028405 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 3.885 N N N N N N FNMA PASS THRU POOLS N/A 31402RPT0 35720.310000 PA USD 34903.100000 0.0162420 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 3.153 N N N N N N FNMA PASS THRU POOLS N/A 31402RTV1 6228.960000 PA USD 6110.680000 0.0028436 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 4.164 N N N N N N FNMA PASS THRU POOLS N/A 31402RTX7 4577.800000 PA USD 4525.040000 0.0021057 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 3.689 N N N N N N FNMA PASS THRU POOLS N/A 31402TAD7 556.790000 PA USD 547.220000 0.0002546 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 3.797 N N N N N N FNMA PASS THRU POOLS N/A 31402TLV5 1501.580000 PA USD 1472.870000 0.0006854 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 3.953 N N N N N N FNMA PASS THRU POOLS N/A 31402TQD0 25431.750000 PA USD 24867.980000 0.0115722 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 3.625 N N N N N N FNMA PASS THRU POOLS N/A 31402W5X2 68199.120000 PA USD 68182.800000 0.0317285 Long ABS-MBS USGSE US N 2 2028-08-01 Floating 6.409 N N N N N N FNMA PASS THRU POOLS N/A 31403A5J0 21862.740000 PA USD 21550.120000 0.0100282 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 4.005 N N N N N N FNMA PASS THRU POOLS N/A 31403CWW7 42192.280000 PA USD 41332.610000 0.0192339 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 3.934 N N N N N N FNMA PASS THRU POOLS N/A 31403CZ87 593.380000 PA USD 586.550000 0.0002729 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.097 N N N N N N FNMA PASS THRU POOLS N/A 31403DLG2 42.060000 PA USD 41.250000 0.0000192 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 3.914 N N N N N N FNMA PASS THRU POOLS N/A 31403DUV9 413.470000 PA USD 411.970000 0.0001917 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 3.928 N N N N N N FNMA PASS THRU POOLS N/A 31403GDA7 60520.700000 PA USD 59536.240000 0.0277049 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 4.33 N N N N N N FNMA PASS THRU POOLS N/A 31403GWC2 17600.700000 PA USD 17680.230000 0.0082274 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 5.926 N N N N N N FNMA PASS THRU POOLS N/A 31403GZT2 14241.160000 PA USD 14203.850000 0.0066097 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31403H3P3 13414.240000 PA USD 13203.560000 0.0061442 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 4.065 N N N N N N FNMA PASS THRU POOLS N/A 31403KDN0 78119.660000 PA USD 75954.790000 0.0353452 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 3.846 N N N N N N FNMA PASS THRU POOLS N/A 31403NSL2 46533.300000 PA USD 46338.710000 0.0215635 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 3.986 N N N N N N FNMA PASS THRU POOLS N/A 31404AUB8 20483.050000 PA USD 20211.450000 0.0094053 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 4.628 N N N N N N FNMA PASS THRU POOLS N/A 31404CGB0 197560.310000 PA USD 192520.400000 0.0895883 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 3.893 N N N N N N FNMA PASS THRU POOLS N/A 31404ECQ7 30239.970000 PA USD 29609.900000 0.0137788 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 4.31 N N N N N N FNMA PASS THRU POOLS N/A 31404EQE9 10094.960000 PA USD 9879.020000 0.0045971 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 4.155 N N N N N N FNMA PASS THRU POOLS N/A 31404GV40 1065.330000 PA USD 1081.150000 0.0005031 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 4.15 N N N N N N FNMA PASS THRU POOLS N/A 31404JS97 13298.270000 PA USD 13082.820000 0.0060880 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 3.979 N N N N N N FNMA PASS THRU POOLS N/A 31404J2J3 5549.730000 PA USD 5460.100000 0.0025408 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 4.387 N N N N N N FNMA PASS THRU POOLS N/A 31404MPT9 65357.570000 PA USD 64111.240000 0.0298338 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 4.408 N N N N N N FNMA PASS THRU POOLS N/A 31404Q5M7 35869.550000 PA USD 34171.690000 0.0159016 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 4.338 N N N N N N FNMA PASS THRU POOLS N/A 31404SCY9 73567.680000 PA USD 71685.750000 0.0333586 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 4.099 N N N N N N FNMA PASS THRU POOLS N/A 31404WPZ3 1238.900000 PA USD 1210.460000 0.0005633 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31404XJD7 5564.710000 PA USD 5455.630000 0.0025387 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 3.875 N N N N N N FNMA PASS THRU POOLS N/A 31405ARU9 8376.730000 PA USD 8302.460000 0.0038635 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 3.992 N N N N N N FNMA PASS THRU POOLS N/A 31405GQ37 17462.680000 PA USD 17246.510000 0.0080256 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 2.945 N N N N N N FNMA PASS THRU POOLS N/A 31405MA23 45398.430000 PA USD 46098.730000 0.0214518 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 5.634 N N N N N N FNMA PASS THRU POOLS N/A 31405MA56 38159.310000 PA USD 38250.260000 0.0177996 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 5.459 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 81394.350000 PA USD 77592.330000 0.0361072 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 4.338 N N N N N N FNMA PASS THRU POOLS N/A 31405U6G9 5068.110000 PA USD 4990.040000 0.0023221 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 3.622 N N N N N N FNMA PASS THRU POOLS N/A 31406AV66 22947.520000 PA USD 22505.890000 0.0104730 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 3.891 N N N N N N FNMA PASS THRU POOLS N/A 31406DG67 8738.690000 PA USD 8821.280000 0.0041049 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 3.92 N N N N N N FNMA PASS THRU POOLS N/A 31406DJP2 35595.310000 PA USD 34839.790000 0.0162125 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 3.846 N N N N N N FNMA PASS THRU POOLS N/A 31406GD55 3574.580000 PA USD 3498.990000 0.0016282 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 3.714 N N N N N N FNMA PASS THRU POOLS N/A 31406H3D7 17633.440000 PA USD 17735.460000 0.0082531 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.158 N N N N N N FNMA PASS THRU POOLS N/A 31406KA26 408.170000 PA USD 399.520000 0.0001859 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 3.405 N N N N N N FNMA PASS THRU POOLS N/A 31406L2T4 1120.490000 PA USD 1099.000000 0.0005114 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.55 N N N N N N FNMA PASS THRU POOLS N/A 31406L3G1 56990.700000 PA USD 56794.150000 0.0264289 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.3 N N N N N N FNMA PASS THRU POOLS N/A 31406MEP7 1280.400000 PA USD 1295.120000 0.0006027 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.448 N N N N N N FNMA PASS THRU POOLS N/A 31406MER3 6426.940000 PA USD 6507.230000 0.0030281 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.462 N N N N N N FNMA PASS THRU POOLS N/A 31406NL93 1783.240000 PA USD 1749.850000 0.0008143 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.425 N N N N N N FNMA PASS THRU POOLS N/A 31406PBQ1 14013.800000 PA USD 13756.040000 0.0064013 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31406P4P1 45369.120000 PA USD 45322.310000 0.0210905 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 4.965 N N N N N N FNMA PASS THRU POOLS N/A 31406QGB7 12521.410000 PA USD 12530.440000 0.0058310 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 5.785 N N N N N N FNMA PASS THRU POOLS N/A 31406Q7B7 33894.490000 PA USD 33163.010000 0.0154322 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 3.551 N N N N N N FNMA PASS THRU POOLS N/A 31406WEF7 6585.250000 PA USD 6566.270000 0.0030556 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 3.877 N N N N N N FNMA PASS THRU POOLS N/A 31406YTJ9 68280.370000 PA USD 67635.460000 0.0314738 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 4.345 N N N N N N FNMA PASS THRU POOLS N/A 31407ANB3 21424.010000 PA USD 21016.160000 0.0097798 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 3.945 N N N N N N FNMA PASS THRU POOLS N/A 31407A7K1 8228.940000 PA USD 8325.900000 0.0038744 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.161 N N N N N N FNMA PASS THRU POOLS N/A 31407CD95 524.700000 PA USD 516.670000 0.0002404 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 3.807 N N N N N N FNMA PASS THRU POOLS N/A 31407CEH6 3876.410000 PA USD 3828.350000 0.0017815 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 3.977 N N N N N N FNMA PASS THRU POOLS N/A 31407EV42 91386.300000 PA USD 89661.940000 0.0417237 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 3.945 N N N N N N FNMA PASS THRU POOLS N/A 31407EZG1 20757.870000 PA USD 20214.810000 0.0094069 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 3.655 N N N N N N FNMA PASS THRU POOLS N/A 31407EZZ9 29971.910000 PA USD 29923.460000 0.0139247 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 5.153 N N N N N N FNMA PASS THRU POOLS N/A 31407K6Q7 48606.620000 PA USD 50302.640000 0.0234081 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.721 N N N N N N FNMA PASS THRU POOLS N/A 31407MSF3 4768.960000 PA USD 4851.890000 0.0022578 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.558 N N N N N N FNMA PASS THRU POOLS N/A 31407MSU0 2044.100000 PA USD 2087.060000 0.0009712 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.453 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 3888.970000 PA USD 3995.010000 0.0018591 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.405 N N N N N N FNMA PASS THRU POOLS N/A 31407XWM9 3300.770000 PA USD 3221.330000 0.0014990 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 4.97 N N N N N N FNMA PASS THRU POOLS N/A 31407X3X7 11656.960000 PA USD 11309.970000 0.0052630 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 4.764 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 12664.280000 PA USD 12394.080000 0.0057675 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 4.901 N N N N N N FNMA PASS THRU POOLS N/A 31408FPH6 17128.870000 PA USD 16696.690000 0.0077697 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.434 N N N N N N FNMA PASS THRU POOLS N/A 31408GJF5 5790.950000 PA USD 5718.520000 0.0026611 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 3.98 N N N N N N FNMA PASS THRU POOLS N/A 31408JAX9 1472.710000 PA USD 1443.730000 0.0006718 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.29 N N N N N N FNMA PASS THRU POOLS N/A 31408XS68 407.740000 PA USD 397.360000 0.0001849 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 4.173 N N N N N N FNMA PASS THRU POOLS N/A 31409FVH8 58038.180000 PA USD 57428.500000 0.0267240 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.393 N N N N N N FNMA PASS THRU POOLS N/A 31409GR32 36456.880000 PA USD 37002.400000 0.0172189 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 3.874 N N N N N N FNMA PASS THRU POOLS N/A 31409JLH1 6370.280000 PA USD 6220.200000 0.0028945 Long ABS-MBS USGSE US N 2 2036-06-01 Floating 3.705 N N N N N N FNMA PASS THRU POOLS N/A 31409UUP8 20961.660000 PA USD 20649.480000 0.0096091 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 3.282 N N N N N N FNMA PASS THRU POOLS N/A 31409U6W0 154685.880000 PA USD 151586.750000 0.0705401 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 4.105 N N N N N N FNMA PASS THRU POOLS N/A 31409X2M0 43339.280000 PA USD 43009.500000 0.0200142 Long ABS-MBS USGSE US N 2 2024-09-01 Floating 6.906 N N N N N N FNMA PASS THRU POOLS N/A 31410FWC5 1374.500000 PA USD 1358.130000 0.0006320 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 3.815 N N N N N N FNMA PASS THRU POOLS N/A 31410F3M5 921.340000 PA USD 902.480000 0.0004200 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 3.778 N N N N N N FNMA PASS THRU POOLS N/A 31410GDL4 9811.610000 PA USD 10008.850000 0.0046576 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.329 N N N N N N FNMA PASS THRU POOLS N/A 31410GEU3 6441.490000 PA USD 6310.880000 0.0029367 Long ABS-MBS USGSE US N 2 2037-06-01 Floating 3.381 N N N N N N FNMA PASS THRU POOLS N/A 31410UGH9 126176.760000 PA USD 123732.450000 0.0575782 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31411DCZ0 1919.250000 PA USD 1953.060000 0.0009088 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 4.001 N N N N N N FNMA PASS THRU POOLS N/A 31411N6Y8 162067.150000 PA USD 159125.730000 0.0740483 Long ABS-MBS USGSE US N 2 2037-05-01 Floating 4.172 N N N N N N FNMA PASS THRU POOLS N/A 31411SM86 9364.590000 PA USD 9611.690000 0.0044727 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 5.754 N N N N N N FNMA PASS THRU POOLS N/A 31412YTJ1 289842.850000 PA USD 285091.910000 0.1326660 Long ABS-MBS USGSE US N 2 2037-08-01 Floating 4.315 N N N N N N FNMA PASS THRU POOLS N/A 31413BD65 70757.410000 PA USD 69401.480000 0.0322956 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 3.995 N N N N N N FNMA PASS THRU POOLS N/A 31413FYF3 27434.980000 PA USD 27962.550000 0.0130122 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 3.47 N N N N N N FNMA PASS THRU POOLS N/A 31413YWD9 106969.560000 PA USD 105219.950000 0.0489635 Long ABS-MBS USGSE US N 2 2047-11-01 Floating 3.95 N N N N N N FNMA PASS THRU POOLS N/A 31415XZQ7 22514.650000 PA USD 22091.700000 0.0102803 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 5.205 N N N N N N FNMA PASS THRU POOLS N/A 3138L6BR8 424662.870000 PA USD 421645.750000 0.1962106 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 4.06 N N N N N N FNMA PASS THRU POOLS N/A 3138W9B74 46356.320000 PA USD 44919.850000 0.0209032 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138WDD65 635296.620000 PA USD 606436.550000 0.2822020 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138YEGY7 67472.860000 PA USD 64700.300000 0.0301079 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 1378247.130000 PA USD 13399318.570000 6.2353007 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140H3W85 14267.380000 PA USD 13470.140000 0.0062683 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H3YY6 30369.990000 PA USD 28696.510000 0.0133538 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 3140J9UZ2 402421.760000 PA USD 379997.820000 0.1768299 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JANZ7 192480.920000 PA USD 181695.530000 0.0845510 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 3140X6S93 370721.130000 PA USD 348277.760000 0.1620692 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 31418CU77 913960.410000 PA USD 862464.790000 0.4013433 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FREDDIE MAC 1885 N/A 3133T83D7 3776.140000 PA USD 3766.030000 0.0017525 Long ABS-MBS USGSE US N 2 2026-09-15 Floating 5.13443 N N N N N N FREDDIE MAC 1900 N/A 3133T8EM5 15.920000 PA USD 15.920000 0.0000074 Long ABS-MBS USGSE US N 2 2023-05-15 Floating 5.18443 N N N N N N FREDDIE MAC 1968 N/A 3133TAC42 10464.750000 PA USD 10442.310000 0.0048593 Long ABS-MBS USGSE US N 2 2026-10-15 Floating 5.18443 N N N N N N FREDDIE MAC 1980 N/A 3133TAG22 6928.130000 PA USD 7059.260000 0.0032850 Long ABS-MBS USGSE US N 2 2027-07-15 Fixed 7 N N N N N N FREDDIE MAC 2115 N/A 3133THXQ5 935.370000 PA USD 938.890000 0.0004369 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 6 N N N N N N FREDDIE MAC 2129 N/A 3133TJFT5 2653.380000 PA USD 2636.340000 0.0012268 Long ABS-MBS USGSE US N 2 2029-02-15 Floating 5.03443 N N N N N N FREDDIE MAC 2395 N/A 31339LN71 18755.330000 PA USD 18723.730000 0.0087130 Long ABS-MBS USGSE US N 2 2029-06-15 Floating 5.28443 N N N N N N FREDDIE MAC 2400 N/A 31339NC79 2169.600000 PA USD 2168.400000 0.0010091 Long ABS-MBS USGSE US N 2 2032-01-15 Floating 5.18443 N N N N N N FREDDIE MAC 2413 N/A 31339NE85 16894.500000 PA USD 16679.040000 0.0077615 Long ABS-MBS USGSE US N 2 2032-02-15 Floating 5.23443 N N N N N N FREDDIE MAC 2417 N/A 31339D7C6 8265.250000 PA USD 8241.950000 0.0038353 Long ABS-MBS USGSE US N 2 2031-12-15 Floating 5.28443 N N N N N N FREDDIE MAC 2451 N/A 31392KGB6 4535.580000 PA USD 4529.000000 0.0021075 Long ABS-MBS USGSE US N 2 2032-03-15 Floating 5.23443 N N N N N N FREDDIE MAC 2490 N/A 31392RUA7 9189.400000 PA USD 9160.260000 0.0042627 Long ABS-MBS USGSE US N 2 2026-07-15 Floating 5.08443 N N N N N N FREDDIE MAC 2509 N/A 31392WJU5 4101.050000 PA USD 4171.840000 0.0019413 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 5.5 N N N N N N FREDDIE MAC 2525 N/A 31392XUX4 122104.200000 PA USD 121491.510000 0.0565354 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 4.5 N N N N N N FREDDIE MAC 2526 N/A 31393FGG5 7120.960000 PA USD 7079.400000 0.0032944 Long ABS-MBS USGSE US N 2 2032-11-15 Floating 5.08443 N N N N N N FREDDIE MAC 2557 N/A 31393JPL6 26738.890000 PA USD 26570.960000 0.0123647 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 5.08443 N N N N N N FREDDIE MAC 3134 N/A 31396J4X0 1345.410000 PA USD 1321.680000 0.0006150 Long ABS-MBS USGSE US N 2 2036-03-15 Floating 4.98443 N N N N N N FREDDIE MAC-1628 N/A 3133T3KF4 165.070000 PA USD 164.910000 0.0000767 Long ABS-MBS USGSE US N 2 2023-12-15 Fixed 6.25 N N N N N N FREDDIE MAC-1644 N/A 3133T3CJ5 2813.350000 PA USD 2811.590000 0.0013084 Long ABS-MBS USGSE US N 2 2023-12-15 Floating 5.18443 N N N N N N FREDDIE MAC-1691 N/A 3133T4GV2 3345.700000 PA USD 3344.880000 0.0015565 Long ABS-MBS USGSE US N 2 2024-03-15 Floating 5.13443 N N N N N N FREDDIE MAC-2130 N/A 3133TJN58 14626.490000 PA USD 14208.160000 0.0066117 Long ABS-MBS USGSE US N 2 2029-03-15 Floating 5.03443 N N N N N N FREDDIE MAC-2177 N/A 3133TLPF9 9624.700000 PA USD 9611.610000 0.0044727 Long ABS-MBS USGSE US N 2 2029-08-15 Floating 5.13443 N N N N N N FREDDIE MAC-2177 N/A 3133TLPG7 15772.700000 PA USD 15745.140000 0.0073269 Long ABS-MBS USGSE US N 2 2029-08-15 Floating 5.23443 N N N N N N FWD SECURITIZATION TRUST 2020-INV1 N/A 302985AA4 180373.950000 PA USD 165472.680000 0.0770018 Long ABS-MBS CORP US N 2 2050-01-25 Variable 2.24 N N N N N N GALAXY XV CLO LTD 2013-15A N/A 36318WAK6 1973370.300000 PA USD 1955195.560000 0.9098397 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.76243 N N N N N N GCAT 2021-NQM3 TRUST N/A 36167HAA3 5583176.450000 PA USD 4584027.380000 2.1331524 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.091 N N N N N N GCAT 2021-NQM3 TRUST N/A 36167HAC9 575768.780000 PA USD 474490.190000 0.2208015 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.348 N N N N N N GCAT 2021-NQM3 TRUST N/A 36167HAD7 575768.790000 PA USD 465184.510000 0.2164711 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.503 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2005-AR6 N/A 36185MBL5 36491.480000 PA USD 30983.490000 0.0144180 Long ABS-MBS CORP US N 2 2035-11-19 Floating 3.60234 Y N N N N N GNMA PASS THRU POOLS N/A 36202KRQ0 1212.300000 PA USD 1198.910000 0.0005579 Long ABS-MBS USGSE US N 2 2025-02-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36202K3W3 2122.880000 PA USD 2088.440000 0.0009718 Long ABS-MBS USGSE US N 2 2026-07-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CA89 50986.210000 PA USD 49547.610000 0.0230567 Long ABS-MBS USGSE US N 2 2027-01-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CK70 19699.000000 PA USD 19103.380000 0.0088897 Long ABS-MBS USGSE US N 2 2029-09-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CLH7 162490.560000 PA USD 158192.090000 0.0736138 Long ABS-MBS USGSE US N 2 2029-10-20 Floating 2.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CMN3 1693.620000 PA USD 1668.060000 0.0007762 Long ABS-MBS USGSE US N 2 2030-01-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CSN7 86451.160000 PA USD 84600.080000 0.0393682 Long ABS-MBS USGSE US N 2 2031-07-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CVW3 19971.960000 PA USD 19552.020000 0.0090984 Long ABS-MBS USGSE US N 2 2032-08-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CV52 23359.700000 PA USD 22872.310000 0.0106435 Long ABS-MBS USGSE US N 2 2032-09-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CXP6 20506.250000 PA USD 20278.020000 0.0094363 Long ABS-MBS USGSE US N 2 2033-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36179RJ42 90936.460000 PA USD 89614.870000 0.0417018 Long ABS-MBS USGSE US N 2 2045-07-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36179RPM5 106062.670000 PA USD 104039.250000 0.0484141 Long ABS-MBS USGSE US N 2 2045-09-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36179RV22 88751.750000 PA USD 86855.960000 0.0404180 Long ABS-MBS USGSE US N 2 2045-12-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 21H022655 900000.000000 PA USD 792808.600000 0.3689292 Long ABS-MBS USGSE US N 2 2053-05-18 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 21H032647 5200000.000000 PA USD 4875203.060000 2.2686495 Long ABS-MBS USGSE US N 2 2053-04-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H040640 200000.000000 PA USD 192563.260000 0.0896083 Long ABS-MBS USGSE US N 2 2053-04-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 21H042646 6670000.000000 PA USD 6570151.370000 3.0573845 Long ABS-MBS USGSE US N 2 2053-04-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 21H042653 6730000.000000 PA USD 6630830.560000 3.0856213 Long ABS-MBS USGSE US N 2 2053-05-18 Fixed 4.5 N N N N N N GS MORTGAGE SECURITIES CORP II 2017-SLP N/A 36255MAJ6 1700000.000000 PA USD 1619207.160000 0.7534893 Long ABS-MBS CORP US N 2 2032-10-10 Fixed 3.924 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX N/A 36257CAG2 2100000.000000 PA USD 1818718.440000 0.8463308 Long ABS-MBS CORP US N 2 2034-05-10 Fixed 3.10392 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1 N/A 36261WAA5 3045666.540000 PA USD 2786444.990000 1.2966572 Long ABS-MBS CORP US N 2 2060-12-25 Variable 1.75 N N N N N N GSR MORTGAGE LOAN TRUST 2003-1 N/A 36229RJJ9 1922.250000 PA USD 1860.810000 0.0008659 Long ABS-MBS CORP US N 2 2033-03-25 Floating 6.78 N N N N N N GSR MORTGAGE LOAN TRUST 2004-11 N/A 36242DFP3 940594.810000 PA USD 908794.710000 0.4229027 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.25 N N N N N N GSR MORTGAGE LOAN TRUST 2004-2F N/A 36229RLG2 58763.910000 PA USD 57790.800000 0.0268926 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.19529 N N N N N N GSR MORTGAGE LOAN TRUST 2004-9 N/A 36242DBM4 23437.990000 PA USD 21688.680000 0.0100927 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.48605 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR3 N/A 36242D4W0 41085.820000 PA USD 33509.650000 0.0155935 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.59136 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 2014719.430000 PA USD 1863737.360000 0.8672801 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.0523 N N N N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 2404.410000 PA USD 2344.440000 0.0010910 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4P8 5493.480000 PA USD 5201.790000 0.0024206 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.02831 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4R4 13262.690000 PA USD 11567.800000 0.0053830 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.15365 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 19988.320000 PA USD 17657.800000 0.0082170 Long ABS-MBS CORP US N 2 2035-05-19 Floating 5.20143 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-BU1 N/A 41161PG72 402197.570000 PA USD 316168.150000 0.1471271 Long ABS-MBS CORP US N 2 2046-02-19 Floating 5.14143 N N N N N N HERA COMMERCIAL MORTGAGE 2021-FL1 N/A 42704RAA9 432568.930000 PA USD 420473.520000 0.1956651 Long ABS-CBDO CORP KY N 2 2038-02-18 Floating 5.81143 N N N N N N HOME EQUITY PASS-THRU CERTS 2002-1 N/A 22541NAD1 7954.480000 PA USD 6705.860000 0.0031205 Long ABS-MBS CORP US N 2 2032-11-25 Floating 5.44529 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE1 N/A 44328AAB6 5422.320000 PA USD 2209.460000 0.0010282 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.94529 N N N N N N IMPAC CMB TR 2005-5 N/A 45254NPU5 505892.470000 PA USD 450252.340000 0.2095225 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.48529 N N N N N N INDYMAC ARM TRUST 2001-H2 N/A 45660UAT6 9284.340000 PA USD 8462.120000 0.0039378 Long ABS-MBS CORP US N 2 2032-01-25 Floating 3.54382 N N N N N N INDYMAC HOME EQUITY LOAN 2002-A N/A 43708AAD4 389395.480000 PA USD 371320.130000 0.1727918 Long ABS-MBS CORP US N 2 2033-05-25 Variable 6.372 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 239923.670000 PA USD 198918.220000 0.0925655 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.22529 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR10 N/A 45660N2Y0 19049.520000 PA USD 16856.990000 0.0078443 Long ABS-MBS CORP US N 2 2034-05-25 Floating 5.62529 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2005-C N/A 456606HW5 1600000.000000 PA USD 1403693.280000 0.6532011 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.62529 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST N/A 46652DAA3 500000.000000 PA USD 440056.050000 0.2047777 Long ABS-MBS CORP US N 2 2036-12-15 Floating 5.784 N N N N N N JFIN CLO LTD 2017-2A N/A 46593CAA7 2820887.320000 PA USD 2795057.870000 1.3006651 Long ABS-CBDO CORP KY N 2 2029-09-20 Floating 5.95257 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AK9 19414.470000 PA USD 8165.800000 0.0037999 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.5 Y N N N N N JP MORGAN MORTGAGE TRUST 2003-A2 N/A 466247AZ6 6292.060000 PA USD 5743.430000 0.0026727 Long ABS-MBS CORP US N 2 2033-11-25 Floating 3.20222 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 2037.750000 PA USD 2016.410000 0.0009383 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.70184 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YS6 72352.320000 PA USD 61857.300000 0.0287850 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.87853 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A2 N/A 466247K77 5297.500000 PA USD 5023.470000 0.0023376 Long ABS-MBS CORP US N 2 2033-11-25 Floating 4.18358 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAJ4 124621.740000 PA USD 114247.680000 0.0531645 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.75685 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAW5 96374.860000 PA USD 89277.820000 0.0415450 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.99901 N N N N N N JP MORGAN MORTGAGE TRUST-2004-A4 N/A 466247EH2 739.600000 PA USD 640.800000 0.0002982 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.0818 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NZ2 9075.040000 PA USD 8979.950000 0.0041788 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.79865 N N N N N N JP MORGAN MTGE TRUST 2005-A7 N/A 466247WQ2 120815.090000 PA USD 103680.800000 0.0482473 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.19179 N N N N N N KKR CLO LTD 18 N/A 48251JAL7 895380.000000 PA USD 886574.590000 0.4125627 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 5.73471 N N N N N N LCCM 2021-FL3 TRUST N/A 50190FAA9 3800000.000000 PA USD 3672901.400000 1.7091649 Long ABS-CBDO CORP US N 2 2038-11-15 Floating 6.13443 N N N N N N LCM XX LP 20A N/A 50188WAE8 231186.480000 PA USD 230957.390000 0.1074748 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 5.84771 N N N N N N LEGACY MORTGAGE ASSET TRUST 2020-SL1 N/A 52475KAA0 293384.340000 PA USD 289332.410000 0.1346393 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.734 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS3 N/A 52474XAA3 2987192.550000 PA USD 2763659.740000 1.2860542 Long ABS-MBS CORP US N 2 2061-07-25 Fixed 1.75 N N N N N N LEHMAN BROTHERS HOLDINGS INC 549300FDK6ZP3YIHRJ47 525ESC6Y0 2000000.000000 PA USD 6000.000000 0.0027921 Long DBT CORP US N 2 2027-09-27 None 7 Y Y N N N N LONG BEACH MORTGAGE LOAN TR 2004-3 N/A 542514GM0 208457.090000 PA USD 197537.250000 0.0919229 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.70029 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-4 N/A 542514BQ6 15726.200000 PA USD 15151.320000 0.0070506 Long ABS-MBS CORP US N 2 2032-03-25 Floating 5.54529 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 735959.830000 PA USD 673645.890000 0.3134775 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.40529 N N N N N N MADISON PARK FUNDING XXXV LTD N/A 55819MAN6 1500000.000000 PA USD 1473299.250000 0.6855919 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 5.79771 N N N N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GC4 15784.270000 PA USD 13918.660000 0.0064770 Long ABS-MBS CORP US N 2 2033-12-25 Floating 2.91915 N N N N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GH3 3630.060000 PA USD 3396.280000 0.0015804 Long ABS-MBS CORP US N 2 2034-01-25 Floating 3.81456 N N N N N N MASTR ADJUSTABLE RATE MTGE TRUST 2006-2 N/A 576438AD7 24989.340000 PA USD 22317.360000 0.0103853 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.67316 Y N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-1 N/A 576433JG2 151067.430000 PA USD 122267.060000 0.0568963 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.79625 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433WL6 26828.540000 PA USD 25032.700000 0.0116488 Long ABS-MBS CORP US N 2 2034-11-21 Floating 3.86579 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-6 N/A 576433PD2 185340.580000 PA USD 174816.890000 0.0813501 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.11344 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2003-3 N/A 576433DY9 95360.150000 PA USD 83781.520000 0.0389873 Long ABS-MBS CORP US N 2 2033-09-25 Floating 4.5 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2004-7 N/A 576433PQ3 198171.820000 PA USD 190745.490000 0.0887624 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.85422 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2004-8 N/A 576433QU3 242018.160000 PA USD 225444.270000 0.1049093 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.07762 N N N N N N MERRILL LYNCH MORTGAGE INV INC 2004-WMC5 N/A 59020UMG7 65969.020000 PA USD 66132.040000 0.0307742 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.86529 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS TRUST 2003-A6 N/A 5899294G0 4524.020000 PA USD 4090.330000 0.0019034 Long ABS-MBS CORP US N 2 2033-09-25 Floating 4.03723 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A2 N/A 59020USJ5 44127.240000 PA USD 40455.880000 0.0188259 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.19706 N N N N N N MERRILL LYNCH MTGE INVESTORS 2004-A1 N/A 59020UAA3 18471.370000 PA USD 14883.070000 0.0069258 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.18918 N N N N N N ACCESS GROUP INC 2007-A N/A 00432CDJ7 508475.940000 PA USD 491188.420000 0.2285719 Long ABS-O CORP US N 2 2036-05-25 Floating 5.25786 N N N N N N ACCREDITED MORTGAGE LN TR 2004-4 N/A 004375CG4 437350.370000 PA USD 386302.270000 0.1797637 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.71529 N N N N N N MFA 2020-NQM1 TRUST N/A 552754AA1 236424.940000 PA USD 216182.500000 0.1005994 Long ABS-MBS CORP US N 2 2065-03-25 Variable 1.479 N N N N N N MFA 2020-NQM3 TRUST N/A 552757AA4 687216.490000 PA USD 634018.310000 0.2950370 Long ABS-MBS CORP US N 2 2065-01-26 Variable 1.014 N N N N N N MFA 2020-NQM3 TRUST N/A 552757AB2 245434.880000 PA USD 226786.100000 0.1055337 Long ABS-MBS CORP US N 2 2065-01-26 Variable 1.324 N N N N N N MFA 2020-NQM3 TRUST N/A 552757AC0 245434.880000 PA USD 227158.030000 0.1057068 Long ABS-MBS CORP US N 2 2065-01-26 Variable 1.632 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2019-GS2 N/A 59981TAC9 664941.880000 PA USD 631730.960000 0.2939726 Long ABS-MBS CORP US N 2 2059-08-25 Fixed 2.75 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-1 N/A 59020UVJ1 156583.940000 PA USD 136076.030000 0.0633222 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.46597 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-A N/A 589929G36 46367.520000 PA USD 43395.140000 0.0201937 Long ABS-MBS CORP US N 2 2028-03-25 Floating 6.097 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-C N/A 589929S41 48110.680000 PA USD 43202.010000 0.0201038 Long ABS-MBS CORP US N 2 2028-06-25 Floating 5.50529 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-D N/A 589929V21 299344.720000 PA USD 282915.780000 0.1316533 Long ABS-MBS CORP US N 2 2028-08-25 Floating 5.46529 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-HE5 N/A 61744CUT1 589984.380000 PA USD 585387.220000 0.2724068 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.49029 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C24 N/A 61765LAU4 700000.000000 PA USD 672580.510000 0.3129817 Long ABS-MBS CORP US N 2 2048-05-15 Fixed 3.732 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2020-CNP N/A 61770YAA3 1800000.000000 PA USD 1411752.780000 0.6569516 Long ABS-MBS CORP US N 2 2042-04-05 Variable 2.4276 N N N N N N MORGAN STANLEY DEAN WITT CAP I 2003-NC2 N/A 61746WA75 60955.910000 PA USD 59864.320000 0.0278575 Long ABS-MBS CORP US N 2 2033-02-25 Floating 6.19529 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2004-11AR N/A 61748HGR6 609170.630000 PA USD 527847.510000 0.2456310 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.16529 N N N N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 1106617.520000 PA USD 1099606.390000 0.5116959 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 5.88243 N N N N N N NASSAU LTD 2017-IA N/A 631707AL0 1102323.730000 PA USD 1098190.020000 0.5110368 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 5.94243 N N N N N N NATIONSTAR NIM LTD 2007-C N/A 63860MAA6 23958.280000 PA USD 0.000000 0.0000000 Long ABS-MBS CORP KY N 2 2037-06-25 Fixed 8 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2018-A N/A 63940PAB1 20112.100000 PA USD 19984.850000 0.0092998 Long ABS-O CORP US N 2 2042-02-18 Fixed 3.19 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-D N/A 63941CAB9 1246604.320000 PA USD 1171448.540000 0.5451273 Long ABS-O CORP US N 2 2059-12-15 Fixed 3.01 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-A N/A 63941FAC0 143782.280000 PA USD 140853.740000 0.0655455 Long ABS-O CORP US N 2 2068-11-15 Floating 5.58443 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-GA N/A 63941UAA1 773415.450000 PA USD 692110.770000 0.3220700 Long ABS-O CORP US N 2 2069-09-16 Fixed 1.17 N N N N N N NAVIENT STUDENT LOAN TRUST 2018-CA N/A 63940VAB8 23475.940000 PA USD 22997.710000 0.0107019 Long ABS-O CORP US N 2 2042-06-16 Fixed 3.52 N N N N N N NAVIENT STUDENT LOAN TRUST 2018-EA N/A 63890BAB2 1551578.160000 PA USD 1507183.160000 0.7013596 Long ABS-O CORP US N 2 2059-12-15 Fixed 4 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2004-4 N/A 007036DN3 14718.830000 PA USD 14288.400000 0.0066490 Long ABS-MBS CORP US N 2 2035-03-25 Floating 3.99277 N N N N N N NAVIENT STUDENT LOAN TRUST 2019-CA N/A 63940YAB2 332744.470000 PA USD 317375.870000 0.1476892 Long ABS-O CORP US N 2 2068-02-15 Fixed 3.13 N N N N N N NEUBERGER BERMAN LOAN ADVISERS CLO 31 LTD N/A 64132JAN5 1500000.000000 PA USD 1480533.750000 0.6889584 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 5.84771 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 2733753.210000 PA USD 2551699.740000 1.1874197 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A N/A 64830TAD0 90011.590000 PA USD 83198.160000 0.0387158 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 3400974.860000 PA USD 3192656.990000 1.4856857 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-8 N/A 007036QH2 83864.980000 PA USD 63841.090000 0.0297081 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.612 Y N N N N N NEW YORK MORTGAGE TRUST 2021-SP1 N/A 62955RAA3 3046992.610000 PA USD 2801493.980000 1.3036601 Long ABS-MBS CORP US N 2 2061-08-25 Fixed 1.6696 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AR5 N/A 65535VPU6 17743.910000 PA USD 10283.400000 0.0047853 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.66866 N N N N N N NOVASTAR HOME EQUITY LOAN 2003-4 N/A 66987XDE2 2297730.220000 PA USD 2237615.850000 1.0412625 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.58529 N N N N N N NSLT-2021-BA N/A 64034QAB4 2208748.260000 PA USD 1987544.550000 0.9248932 Long ABS-O CORP US N 2 2062-04-20 Fixed 1.42 N N N N N N OZLM XXI 2017-21A N/A 67112AAA9 2400000.000000 PA USD 2374951.920000 1.1051711 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 5.95771 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2021-5 N/A 69547EAA2 852577.160000 PA USD 831428.640000 0.3869008 Long ABS-O CORP US N 2 2029-08-15 Fixed 1.53 N N N N N N PALMER SQUARE LOAN FUNDING 2020-1 LTD N/A 69701EAA4 158944.560000 PA USD 157768.350000 0.0734167 Long ABS-CBDO CORP KY N 2 2028-02-20 Floating 5.47543 N N N N N N PEPPER RESIDENTIAL SECURITIES TRUST 22A N/A 71338AAA9 129659.010000 PA USD 129538.170000 0.0602799 Long ABS-MBS CORP AU N 2 2060-06-20 Floating 5.76143 N N N N N N PEPPER RESIDENTIAL SECURITIES TRUST 24A N/A 71338CAA5 81760.000000 PA USD 81634.890000 0.0379884 Long ABS-MBS CORP AU N 2 2060-11-18 Floating 5.66143 N N N N N N PRET 2021-NPL5 LLC N/A 74143KAA6 3142243.740000 PA USD 2966870.720000 1.3806173 Long ABS-MBS CORP US N 2 2051-10-25 Fixed 2.487 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC N/A 74140QAA6 3707661.320000 PA USD 3488318.300000 1.6232701 Long ABS-MBS CORP US N 2 2061-02-25 Variable 1.9917 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3 N/A 74143JAA9 2972491.600000 PA USD 2764230.220000 1.2863196 Long ABS-MBS CORP US N 2 2051-09-25 Variable 1.8429 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDK5 4764.750000 PA USD 4645.010000 0.0021615 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 6 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 11435.410000 PA USD 11154.220000 0.0051906 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.24529 N N N N N N READYCAP COMMERCIAL MORTGAGE TRUST 2020-FL4 N/A 75575JAA3 395360.690000 PA USD 395717.760000 0.1841451 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.99529 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 3278630.000000 PA USD 1524319.350000 0.7093338 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.94529 N N N N N N RENAISSANCE HOME EQUITY LOAN TRUST 2002-2 N/A 759950AG3 9528.050000 PA USD 8818.630000 0.0041037 Long ABS-MBS CORP US N 2 2032-08-25 Floating 5.54529 N N N N N N RESIDENTIAL ASSET MTGE PROD INC 2004-SL3 N/A 76112BBS8 504764.270000 PA USD 250250.970000 0.1164529 Long ABS-MBS CORP US N 2 2031-12-25 Fixed 8.5 Y N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS5 N/A 75406VAD5 1651191.220000 PA USD 1639716.270000 0.7630331 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.10529 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 6415.750000 PA USD 6288.140000 0.0029262 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 60537.520000 PA USD 49362.180000 0.0229704 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.35912 Y N N N N N RESIMAC BASTILLE TRUST SERIES 2019-1NC N/A 76119UAA9 57113.210000 PA USD 57112.050000 0.0265768 Long ABS-MBS CORP AU N 2 2057-09-05 Floating 5.78771 N N N N N N RESIMAC PREMIER SERIES 2020-1A N/A 76120GAA7 300380.340000 PA USD 299718.030000 0.1394722 Long ABS-MBS CORP AU N 2 2052-02-07 Floating 5.75914 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAA1 30248.720000 PA USD 28878.110000 0.0134383 Long ABS-MBS CORP US N 2 2027-10-20 Floating 5.56143 N N N N N N SEQUOIA MORTGAGE TRUST 2003-1 N/A 81743PAA4 11386.080000 PA USD 10226.380000 0.0047588 Long ABS-MBS CORP US N 2 2033-04-20 Floating 5.52143 N N N N N N SEQUOIA MORTGAGE TRUST 2004-3 N/A 81744FAZ0 111577.150000 PA USD 110815.870000 0.0515676 Long ABS-MBS CORP US N 2 2034-05-20 Floating 5.215 N N N N N N SEQUOIA MORTGAGE TRUST 2004-6 N/A 81744FCG0 13003.550000 PA USD 11756.140000 0.0054707 Long ABS-MBS CORP US N 2 2034-07-20 Floating 5.04384 N N N N N N SEQUOIA MORTGAGE TRUST 2005-2 N/A 81744FGZ4 81418.240000 PA USD 73401.870000 0.0341572 Long ABS-MBS CORP US N 2 2035-03-20 Floating 5.68043 N N N N N N SLM STUDENT LOAN TRUST 2005-B N/A 78443CCB8 1307341.450000 PA USD 1237087.010000 0.5756718 Long ABS-O CORP US N 2 2039-06-15 Floating 5.19629 N N N N N N SLM STUDENT LOAN TRUST 2006-A N/A 78443CCL6 2934300.850000 PA USD 2731178.280000 1.2709391 Long ABS-O CORP US N 2 2039-06-15 Floating 5.15629 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2017-A N/A 78448WAB1 106075.950000 PA USD 101506.170000 0.0472353 Long ABS-O CORP US N 2 2034-09-15 Fixed 2.88 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2019-B N/A 83192CAB3 382815.270000 PA USD 359959.050000 0.1675050 Long ABS-O CORP US N 2 2037-06-15 Fixed 2.84 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-A N/A 78449UAB4 388627.660000 PA USD 359165.100000 0.1671355 Long ABS-O CORP US N 2 2037-09-15 Fixed 2.23 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-B N/A 78449XAA0 1287336.960000 PA USD 1154069.910000 0.5370402 Long ABS-O CORP US N 2 2053-07-15 Fixed 1.29 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA N/A 78449VAB2 914036.360000 PA USD 817770.050000 0.3805449 Long ABS-O CORP US N 2 2054-09-15 Fixed 1.6 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAA5 1198706.880000 PA USD 1137298.210000 0.5292356 Long ABS-O CORP US N 2 2055-02-16 Fixed 3.94 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAB3 1369950.720000 PA USD 1349262.680000 0.6278721 Long ABS-O CORP US N 2 2055-02-16 Floating 6.00804 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2016-D N/A 83404LAC5 271801.740000 PA USD 267079.970000 0.1242842 Long ABS-O CORP US N 2 2033-04-25 Fixed 2.34 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B N/A 83403YAB0 187894.060000 PA USD 185913.680000 0.0865139 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 368698.440000 PA USD 362522.410000 0.1686979 Long ABS-O CORP US N 2 2040-07-25 Fixed 2.63 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D N/A 78471CAB5 612662.440000 PA USD 585936.820000 0.2726625 Long ABS-O CORP US N 2 2040-09-25 Fixed 2.65 N N N N N N SOUND POINT CLO XV LTD 2017-1A N/A 83609RAL5 563411.150000 PA USD 559228.080000 0.2602338 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 5.71529 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 1503147.170000 PA USD 1483068.130000 0.6901378 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 5.79771 N N N N N N SOUND POINT CLO XVII 2017-3A N/A 83611GAL5 2000000.000000 PA USD 1970706.800000 0.9170578 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 5.78771 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2003-2 N/A 83611MAQ1 20090.530000 PA USD 19725.850000 0.0091793 Long ABS-MBS CORP US N 2 2033-11-25 Floating 6.14529 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 N/A 85573MAA7 199188.580000 PA USD 187328.890000 0.0871725 Long ABS-MBS CORP US N 2 2065-04-25 Fixed 1.486 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1 N/A 85573EAA5 273442.150000 PA USD 241644.300000 0.1124479 Long ABS-MBS CORP US N 2 2055-11-25 Fixed 1.027 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1 N/A 85573EAB3 136923.430000 PA USD 121963.370000 0.0567550 Long ABS-MBS CORP US N 2 2055-11-25 Fixed 1.439 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1 N/A 85573EAC1 136923.430000 PA USD 122152.270000 0.0568429 Long ABS-MBS CORP US N 2 2055-11-25 Fixed 1.593 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1 N/A 78485WAA7 1819736.860000 PA USD 1802998.570000 0.8390157 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 5.85399 N N N N N N STRUCTURED ADJUST RATE MTG LN 2004-13 N/A 863579BZ0 80642.210000 PA USD 67830.610000 0.0315646 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.14529 N N N N N N STRUCTURED ARM LOAN TRUST 2004-12 N/A 863579AQ1 38654.710000 PA USD 36786.820000 0.0171185 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.13467 N N N N N N STRUCTURED ARM LOAN TRUST 2005-4 N/A 863579NA2 47758.530000 PA USD 34148.290000 0.0158907 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.08529 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR6 N/A 86359LEW5 1302443.040000 PA USD 1152629.270000 0.5363698 Long ABS-MBS CORP US N 2 2035-02-19 Floating 5.46143 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR8 N/A 86359LGE3 90412.490000 PA USD 77827.820000 0.0362168 Long ABS-MBS CORP US N 2 2035-05-19 Floating 5.44143 N N N N N N STRUCTURED ASSET MTGE INV 2003-AR3 N/A 86358HUT4 14642.390000 PA USD 13897.100000 0.0064669 Long ABS-MBS CORP US N 2 2033-11-19 Floating 5.44143 N N N N N N STRUCTURED ASSET SEC CORP 2003-34A N/A 86359A4Z3 9237.220000 PA USD 8896.090000 0.0041397 Long ABS-MBS CORP US N 2 2033-11-25 Floating 4.62362 N N N N N N STRUCTURED ASSET SEC CORP 2003-6A N/A 86359AMR1 81476.040000 PA USD 78165.740000 0.0363740 Long ABS-MBS CORP US N 2 2033-03-25 Floating 5.89178 N N N N N N STRUCTURED ASSET SECURITIES CRP 2003-22A N/A 86359AYX5 206493.790000 PA USD 198812.160000 0.0925162 Long ABS-MBS CORP US N 2 2033-06-25 Floating 5.24371 N N N N N N STRUCTURED ASSET SECURITIES CRP 2003-26A N/A 86359AS46 14383.610000 PA USD 12807.980000 0.0059601 Long ABS-MBS CORP US N 2 2033-09-25 Floating 3.12484 N N N N N N STUDENT LOAN MARKETING ASSN 2006-B N/A 78443CCU6 212383.220000 PA USD 196832.480000 0.0915949 Long ABS-O CORP US N 2 2039-12-15 Floating 5.13629 N N N N N N TERWIN MORTGAGE TRUST 2005-6HE N/A 881561RD8 1369267.770000 PA USD 1349142.270000 0.6278161 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.97029 N N N N N N TOWD POINT MORTGAGE TRUST 2017-4 N/A 89173UAA5 407431.190000 PA USD 388196.810000 0.1806453 Long ABS-MBS CORP US N 2 2057-06-25 Variable 2.75 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 5369283.370000 PA USD 5024573.770000 2.3381583 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 5540970.180000 PA USD 5476947.040000 2.5486678 Long ABS-MBS CORP US N 2 2058-05-25 Floating 5.84529 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAA5 193578.440000 PA USD 192500.420000 0.0895790 Long ABS-MBS CORP US N 2 2059-10-25 Floating 5.84529 N N N N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 56646.090000 PA USD 52907.780000 0.0246204 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 50005.580000 PA USD 44040.150000 0.0204938 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.636 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4 N/A 87276WAA1 2600000.000000 PA USD 2553187.260000 1.1881119 Long ABS-CBDO CORP KY N 2 2038-03-15 Floating 5.90857 N N N N N N TPMT-2019-1 N/A 89177BAA3 1269443.840000 PA USD 1209998.580000 0.5630663 Long ABS-MBS CORP US N 2 2058-03-25 Variable 3.75 N N N N N N TRUPS FINANCIALS NOTE SECURITIZATION 2017-2A N/A 898203AA2 1947300.000000 PA USD 1859671.500000 0.8653881 Long ABS-CBDO CORP KY N 2 2039-09-20 Floating 6.53257 N N N N N N UMBS PASS THRU POOLS N/A 01F022444 100000.000000 PA USD 92816.410000 0.0431916 Long ABS-MBS USGSE US N 2 2038-04-17 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030447 13100000.000000 PA USD 12419414.130000 5.7793075 Long ABS-MBS USGSE US N 2 2038-04-17 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F020653 -6700000.000000 PA USD -5544850.860000 -2.5802665 Short ABS-MBS USGSE US N 2 2053-05-11 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022659 4100000.000000 PA USD 3538011.730000 1.6463947 Long ABS-MBS USGSE US N 2 2053-05-11 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030652 19800000.000000 PA USD 17785848.960000 8.2765490 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032658 39750000.000000 PA USD 36962841.300000 17.2004591 Long ABS-MBS USGSE US N 2 2052-03-25 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040651 34100000.000000 PA USD 32632231.650000 15.1852332 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042657 9900000.000000 PA USD 9703072.370000 4.5152725 Long ABS-MBS USGSE US N 2 2052-05-12 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F050650 200000.000000 PA USD 199460.940000 0.0928181 Long ABS-MBS USGSE US N 2 2053-05-11 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F060659 16900000.000000 PA USD 17239980.340000 8.0225320 Long ABS-MBS USGSE US N 2 2053-05-11 Fixed 6 N N N N N N UMBS PASS THRU POOLS N/A 01F062648 600000.000000 PA USD 618703.130000 0.2879102 Long ABS-MBS USGSE US N 2 2053-04-13 Fixed 6.5 N N N N N N UMBS PASS THRU POOLS N/A 01F062655 3800000.000000 PA USD 3914890.640000 1.8217733 Long ABS-MBS USGSE US N 2 2053-05-11 Fixed 6.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796CV9 255000.000000 PA USD 254296.610000 0.1183356 Long DBT UST US N 2 2023-04-25 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796YN3 136000.000000 PA USD 135947.720000 0.0632625 Long DBT UST US N 2 2023-04-06 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QZ4 4730000.000000 PA USD 4256907.620000 1.9809290 Long DBT UST US N 2 2043-02-15 Fixed 3.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TM0 3100000.000000 PA USD 3185250.000000 1.4822389 Long DBT UST US N 2 2042-11-15 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TL2 2300000.000000 PA USD 2441593.750000 1.1361825 Long DBT UST US N 2 2052-11-15 Fixed 4 N N N N N N UPSTART SECURITIZATION TRUST 2021-5 N/A 91679JAA5 662633.710000 PA USD 645135.080000 0.3002101 Long ABS-O CORP US N 2 2031-11-20 Fixed 1.31 N N N N N N APIDOS CLO XV 2013-15A N/A 03764QBC5 1500000.000000 PA USD 1486918.860000 0.6919297 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 5.81771 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 60260.140000 PA USD 54296.570000 0.0252666 Long ABS-MBS CORP US N 2 2042-11-25 Floating 4.33795 N N N N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 4821.530000 PA USD 4435.470000 0.0020640 Long ABS-MBS CORP US N 2 2042-08-25 Floating 4.53795 N N N N N N WASHINGTON MUTUAL 2003-AR10 N/A 92922FEB0 79689.830000 PA USD 73613.620000 0.0342557 Long ABS-MBS CORP US N 2 2033-10-25 Floating 4.23252 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X81 493362.010000 PA USD 449849.500000 0.2093350 Long ABS-MBS CORP US N 2 2045-01-25 Floating 5.64529 N N N N N N WASHINGTON MUTUAL 2005-AR10 N/A 92922FW46 154753.100000 PA USD 135214.500000 0.0629213 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.847 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3K2 349449.430000 PA USD 317492.000000 0.1477432 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.80594 Y N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 1062870.550000 PA USD 975342.740000 0.4538705 Long ABS-MBS CORP US N 2 2045-10-25 Floating 5.42529 N N N N N N WASHINGTON MUTUAL 2005-AR17 N/A 92922F7P7 1283441.780000 PA USD 1108762.790000 0.5159568 Long ABS-MBS CORP US N 2 2045-12-25 Floating 5.38529 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBB7 966364.210000 PA USD 864748.600000 0.4024061 Long ABS-MBS CORP US N 2 2045-12-25 Floating 5.42529 N N N N N N WASHINGTON MUTUAL 2005-AR8 N/A 92922FR75 3479993.090000 PA USD 3145936.370000 1.4639445 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.42529 N N N N N N WASHINGTON MUTUAL 2006-AR11 N/A 93363TAB8 2764881.730000 PA USD 2492853.030000 1.1600357 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.63795 N N N N N N APRES STATIC CDO LTD 2019-1A N/A 03835JBA0 491260.830000 PA USD 488925.730000 0.2275190 Long ABS-CBDO CORP KY N 2 2028-10-15 Floating 5.86243 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAA5 24366.330000 PA USD 22070.400000 0.0102703 Long ABS-MBS CORP US N 2 2046-08-25 Floating 4.13795 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 1138376.720000 PA USD 895113.930000 0.4165364 Long ABS-MBS CORP US N 2 2046-08-25 Floating 4.18595 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PL1 1374.190000 PA USD 1278.350000 0.0005949 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.975 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3 N/A 939336G49 7068.680000 PA USD 6465.820000 0.0030088 Long ABS-MBS CORP US N 2 2033-06-25 Floating 3.98277 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2004-RA1 N/A 939336P80 14526.600000 PA USD 14261.780000 0.0066366 Long ABS-MBS CORP US N 2 2034-03-25 Fixed 7 N N N N N N WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1 N/A 939335N68 32639.550000 PA USD 31916.540000 0.0148522 Long ABS-MBS CORP US N 2 2030-11-25 Floating 4.39062 N N N N N N WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1 N/A 939335N84 276.200000 PA USD 264.760000 0.0001232 Long ABS-MBS CORP US N 2 2031-02-25 Floating 3.77 N N N N N N WASHINGTON MUTUAL MTGE 2003-AR8 N/A 92922FAV0 225673.780000 PA USD 209708.100000 0.0975865 Long ABS-MBS CORP US N 2 2033-08-25 Floating 4.1694 N N N N N N ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1 N/A 03881BAE3 1200000.000000 PA USD 1028609.640000 0.4786580 Long ABS-MBS CORP US N 2 2053-05-15 Fixed 2.7563 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-P2 N/A 95000AAU1 300000.000000 PA USD 287508.930000 0.1337907 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 3.809 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB N/A 95001EAG3 2335000.000000 PA USD 2312287.920000 1.0760107 Long ABS-MBS CORP US N 2 2031-12-13 Floating 6.156 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB N/A 95001EAL2 160000.000000 PA USD 156296.640000 0.0727318 Long ABS-MBS CORP US N 2 2031-12-13 Floating 6.90067 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C49 N/A 95001WBB3 300000.000000 PA USD 281624.130000 0.1310523 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 4.023 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C55 N/A 95002EBB2 600000.000000 PA USD 513678.180000 0.2390374 Long ABS-MBS CORP US N 2 2053-02-15 Fixed 2.725 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES 2005-AR14 N/A 94982DAA4 4175.060000 PA USD 3911.560000 0.0018202 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.07442 N N N N N N WORLDWIDE PLAZA TRUST 2017-WWP N/A 98162JAA4 1000000.000000 PA USD 864522.300000 0.4023008 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 3.5263 N N N N N N N/A N/A 000000000 1420000.000000 PA USD 1420000.000000 0.6607894 Long RA US N 2 Repurchase N 2.2000000 2023-04-03 1173300.000000 USD 1448416.570000 USD UST N N N ARES XL CLO LTD 2016-40A N/A 04016GBB3 993530.990000 PA USD 984541.120000 0.4581509 Long ABS-CBDO CORP KY N 2 2029-01-15 Floating 5.66243 N N N N N N ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2021-1A N/A 04047AAA2 278017.330000 PA USD 269506.470000 0.1254134 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 -331292.290000 -0.1541651 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD -646885.800000 USD 36050000.000000 USD 315593.510000 N N N N/A N/A 000000000 1.000000 NC USD -28488.380000 -0.0132569 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD -24419.520000 USD 3100000.000000 USD -4068.860000 N N N N/A N/A 000000000 1.000000 NC USD -31455.030000 -0.0146374 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.11 N/A N/A Y Single Leg Swap 2054-11-18 11340.820000 USD 0.000000 USD 2400000.000000 USD -42795.850000 N N N N/A N/A 000000000 1.000000 NC USD -3454.940000 -0.0016077 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-17 0.000000 USD -1397.320000 USD 200000.000000 USD -2057.620000 N N N N/A N/A 000000000 1.000000 NC USD -155472.350000 -0.0723482 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-17 0.000000 USD -18501.790000 USD 9000000.000000 USD -136970.560000 N N N N/A N/A 000000000 1.000000 NC USD 16.200000 0.0000075 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 0.000000 USD -634.030000 USD 34090.100000 USD 650.230000 N N N N/A N/A 000000000 1.000000 NC USD 5.810000 0.0000027 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 0.000000 USD -205.180000 USD 12215.620000 USD 210.990000 N N N N/A N/A 000000000 1.000000 NC USD 0.680000 0.0000003 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 7.640000 USD 0.000000 USD 1420.420000 USD -6.960000 N N N N/A N/A 000000000 1.000000 NC USD 2.970000 0.0000014 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 0.000000 USD -120.840000 USD 6249.850000 USD 123.810000 N N N N/A N/A 000000000 1.000000 NC USD -521.570000 -0.0002427 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-17 0.000000 USD -604393.360000 USD 21012376.160000 USD 603871.790000 N N N N/A N/A 000000000 1.000000 NC USD -6332.570000 -0.0029468 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.8 N/A N/A Y Single Leg Swap 2057-10-17 0.000000 USD -183227.440000 USD 3150000.000000 USD 176894.870000 N N N N/A N/A 000000000 1.000000 NC USD -550.360000 -0.0002561 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A CMBX.NA.AAA.9 Y Single Leg Swap 2058-09-18 0.000000 USD -4170.830000 USD 99354.830000 USD 3620.470000 N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAG4 400000.000000 PA USD 388462.440000 0.1807689 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.135 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAJ8 300000.000000 PA USD 287004.840000 0.1335562 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.535 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAL3 400000.000000 PA USD 378148.720000 0.1759695 Long ABS-MBS CORP US N 2 2035-06-15 Floating 7.435 N N N N N N N/A N/A 000000000 -10.000000 NC USD 39828.970000 0.0185342 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-03-19 -2393187.500000 USD 39828.970000 N N N N/A N/A 000000000 -6.000000 NC USD 12255.120000 0.0057029 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-03-18 -1453987.500000 USD 12255.120000 N N N N/A N/A 000000000 -6.000000 NC USD 11232.350000 0.0052269 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2026-03-17 -1456462.500000 USD 11232.350000 N N N N/A N/A 000000000 -7.000000 NC USD 19319.710000 0.0089903 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-09-17 -1688531.250000 USD 19319.710000 N N N N/A N/A 000000000 -6.000000 NC USD 11576.100000 0.0053869 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-09-16 -1455787.500000 USD 11576.100000 N N N N/A N/A 000000000 -9.000000 NC USD 29755.210000 0.0138464 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-06-18 -2162981.250000 USD 29755.210000 N N N N/A N/A 000000000 -6.000000 NC USD 11826.340000 0.0055033 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-06-17 -1455187.500000 USD 11826.340000 N N N N/A N/A 000000000 -6.000000 NC USD 11007.500000 0.0051223 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2026-06-16 -1456387.500000 USD 11007.500000 N N N N/A N/A 000000000 -6.000000 NC USD 13781.890000 0.0064133 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-12-17 -1451512.500000 USD 13781.890000 N N N N/A N/A 000000000 -4.000000 NC USD 7677.650000 0.0035728 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-12-16 -970750.000000 USD 7677.650000 N N N N/A N/A 000000000 -5.000000 NC USD -1668.010000 -0.0007762 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT SOFR 90DAY CME (WHT) 03/19/24 2024-03-20 N/A USD N/A 98.000000 USD 2023-12-15 XXXX 2399.590000 N N N N/A N/A 000000000 -5.000000 NC USD -14206.930000 -0.0066111 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT SOFR 90DAY CME (WHT) 03/19/24 2024-03-20 N/A USD N/A 96.500000 USD 2023-12-15 XXXX -9539.330000 N N N N/A N/A 000000000 -300000.000000 NC USD -486.840000 -0.0002265 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/2.9925 10/13/23 LCH 2024-10-13 0.000000 USD 0.000000 USD N/A USD N/A 2.990000 USD 2023-10-11 XXXX 1539.660000 N N N N/A N/A 000000000 -300000.000000 NC USD -3456.210000 -0.0016083 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/2.9925 10/13/23 LCH 2024-10-13 0.000000 USD 0.000000 USD N/A USD N/A 2.990000 USD 2023-10-11 XXXX -1429.710000 N N N N/A N/A 000000000 -300000.000000 NC USD -3583.350000 -0.0016675 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/2.92 10/17/23 LCH 2024-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.920000 USD 2023-10-13 XXXX -1772.100000 N N N N/A N/A 000000000 -300000.000000 NC USD -458.700000 -0.0002135 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/2.92 10/17/23 LCH 2024-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.920000 USD 2023-10-13 XXXX 1352.550000 N N N N/A N/A 000000000 -300000.000000 NC USD -3583.350000 -0.0016675 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/2.92 10/17/23 LCH 2024-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.920000 USD 2023-10-13 XXXX -1738.350000 N N N N/A N/A 000000000 -300000.000000 NC USD -458.700000 -0.0002135 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/2.92 10/17/23 LCH 2024-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.920000 USD 2023-10-13 XXXX 1386.300000 N N N N/A N/A 000000000 -300000.000000 NC USD -3301.650000 -0.0015364 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/3.0175 10/24/23 LCH 2024-10-24 0.000000 USD 0.000000 USD N/A USD N/A 3.020000 USD 2023-10-20 XXXX -1359.150000 N N N N/A N/A 000000000 -300000.000000 NC USD -534.960000 -0.0002489 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/3.0175 10/24/23 LCH 2024-10-24 0.000000 USD 0.000000 USD N/A USD N/A 3.020000 USD 2023-10-20 XXXX 1407.540000 N N N N/A N/A 000000000 -200000.000000 NC USD -1888.020000 -0.0008786 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/3.225 10/25/23 LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.230000 USD 2023-10-23 XXXX -500.520000 N N N N/A N/A 000000000 -200000.000000 NC USD -445.460000 -0.0002073 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/3.225 10/25/23 LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.230000 USD 2023-10-23 XXXX 942.040000 N N N N/A N/A 000000000 -200000.000000 NC USD -1938.840000 -0.0009022 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/3.19 10/25/23 LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.190000 USD 2023-10-23 XXXX -548.840000 N N N N/A N/A 000000000 -200000.000000 NC USD -429.760000 -0.0002000 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/3.19 10/25/23 LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.190000 USD 2023-10-23 XXXX 960.240000 N N N N/A N/A 000000000 -200000.000000 NC USD -2012.300000 -0.0009364 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/3.14 10/25/23 LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.140000 USD 2023-10-23 XXXX -607.300000 N N N N/A N/A 000000000 -200000.000000 NC USD -408.220000 -0.0001900 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/3.14 10/25/23 LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.140000 USD 2023-10-23 XXXX 996.780000 N N N N/A N/A 000000000 -300000.000000 NC USD -526.290000 -0.0002449 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/2.973 10/27/23 LCH 2024-10-27 0.000000 USD 0.000000 USD N/A USD N/A 2.970000 USD 2023-10-25 XXXX 1536.210000 N N N N/A N/A 000000000 -300000.000000 NC USD -3388.230000 -0.0015767 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/2.973 10/27/23 LCH 2024-10-27 0.000000 USD 0.000000 USD N/A USD N/A 2.970000 USD 2023-10-25 XXXX -1325.730000 N N N N/A N/A 000000000 -300000.000000 NC USD -3658.350000 -0.0017024 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/2.841 10/31/23 LCH 2024-10-31 0.000000 USD 0.000000 USD N/A USD N/A 2.840000 USD 2023-10-27 XXXX -1603.350000 N N N N/A N/A 000000000 -300000.000000 NC USD -468.540000 -0.0002180 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/2.841 10/31/23 LCH 2024-10-31 0.000000 USD 0.000000 USD N/A USD N/A 2.840000 USD 2023-10-27 XXXX 1586.460000 N N N N/A N/A 000000000 -300000.000000 NC USD -633.720000 -0.0002949 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/3.0875 11/07/23 LCH 2024-11-07 0.000000 USD 0.000000 USD N/A USD N/A 3.090000 USD 2023-11-03 XXXX 1541.280000 N N N N/A N/A 000000000 -300000.000000 NC USD -3041.820000 -0.0014155 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/3.0875 11/07/23 LCH 2024-11-07 0.000000 USD 0.000000 USD N/A USD N/A 3.090000 USD 2023-11-03 XXXX -866.820000 N N N N/A N/A 000000000 -200000.000000 NC USD -2123.620000 -0.0009882 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.02 11/08/23 LCH 2024-11-08 0.000000 USD 0.000000 USD N/A USD N/A 3.020000 USD 2023-11-06 XXXX -823.620000 N N N N/A N/A 000000000 -200000.000000 NC USD -397.660000 -0.0001850 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.02 11/08/23 LCH 2024-11-08 0.000000 USD 0.000000 USD N/A USD N/A 3.020000 USD 2023-11-06 XXXX 902.340000 N N N N/A N/A 000000000 -200000.000000 NC USD -2259.340000 -0.0010514 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/2.91 11/14/23 LCH 2024-11-14 0.000000 USD 0.000000 USD N/A USD N/A 2.910000 USD 2023-11-10 XXXX -931.840000 N N N N/A N/A 000000000 -200000.000000 NC USD -370.140000 -0.0001722 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/2.91 11/14/23 LCH 2024-11-14 0.000000 USD 0.000000 USD N/A USD N/A 2.910000 USD 2023-11-10 XXXX 957.360000 N N N N/A N/A 000000000 -200000.000000 NC USD -349.320000 -0.0001626 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.845 11/15/23 LCH 2024-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.850000 USD 2023-11-13 XXXX 915.680000 N N N N/A N/A 000000000 -200000.000000 NC USD -2354.240000 -0.0010955 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.845 11/15/23 LCH 2024-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.850000 USD 2023-11-13 XXXX -1089.240000 N N N 2023-05-12 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer