NPORT-P false 0000810893 XXXXXXXX S000009681 C000026531 C000026532 C000064135 C000200440 C000026529 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE PLUS Fund S000009681 FI3TYFAC6Z35DQG3Y659 2024-03-31 2023-06-30 N 1274342955.670000 262909685.990000 1011433269.680000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 7641316.210000 ARS CAD DKK EUR GBP USD N Russell 1000 Value Index RLV N/A N/A 000000000 1.000000 NC -3794.060000 -0.0003751 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 75223.520000 USD 517575.430000 CNY 2023-08-16 -3794.060000 N N N N/A N/A 000000000 1.000000 NC 4118.150000 0.0004072 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 539000.000000 CNY 78504.370000 USD 2023-08-16 4118.150000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAF8 14000.000000 PA USD 13773.790000 0.0013618 Long DBT CORP US N 2 2024-01-30 Fixed 4.375 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAH4 400000.000000 PA USD 391740.530000 0.0387312 Long DBT CORP US N 2 2024-12-15 Fixed 5.5 N N N N N N N/A N/A 000000000 -900000.000000 NC USD -2646.720000 -0.0002617 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 RFR USD SOFR/3.7800 08/02/23-10Y LCH 2033-08-02 0.000000 USD 0.000000 USD N/A USD N/A 3.780000 USD 2023-07-31 XXXX 818.280000 N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAR2 187000.000000 PA USD 157861.900000 0.0156077 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 -900000.000000 NC USD -4292.820000 -0.0004244 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 RFR USD SOFR/3.3800 08/02/23-10Y LCH 2033-08-02 0.000000 USD 0.000000 USD N/A USD N/A 3.380000 USD 2023-07-31 XXXX -827.820000 N N N BACARDI-MARTINI BV 5493002XXBV8B88K2408 05634FUK3 450000.000000 PA USD 448735.310000 0.0443663 Long DBT CORP US N 2 2023-07-19 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 23513.650000 0.0023248 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2053-09-20 68744.410000 EUR 0.000000 EUR 8100000.000000 EUR -45230.760000 N N N N/A N/A 000000000 1.000000 NC 30006.700000 0.0029668 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-09-20 0.000000 EUR -130593.750000 EUR 18400000.000000 EUR 160600.450000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC N/A 05551JAE0 2400000.000000 PA USD 1872067.440000 0.1850906 Long ABS-MBS CORP US N 2 2032-01-15 Fixed 2.829 N N N N N N N/A N/A 000000000 1.000000 NC USD 156243.850000 0.0154478 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-17 0.000000 USD 0.000000 USD 11100000.000000 USD 156243.850000 N N N N/A N/A 000000000 1.000000 NC USD -1708254.180000 -0.1688944 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-07-21 0.000000 USD 0.000000 USD 124700000.000000 USD -1708254.180000 N N N N/A N/A 000000000 1.000000 NC USD 791797.050000 0.0782847 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-07-21 0.000000 USD 0.000000 USD 57800000.000000 USD 791797.050000 N N N N/A N/A 000000000 1.000000 NC USD -819721.510000 -0.0810455 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-16 0.000000 USD 0.000000 USD 61300000.000000 USD -819721.510000 N N N N/A N/A 000000000 1.000000 NC USD 49470.300000 0.0048911 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-08-15 0.000000 USD 0.000000 USD 5500000.000000 USD 49470.300000 N N N N/A N/A 000000000 1.000000 NC USD -553897.370000 -0.0547636 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-16 0.000000 USD 0.000000 USD 45900000.000000 USD -553897.370000 N N N N/A N/A 000000000 1.000000 NC USD 198533.300000 0.0196289 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-15 0.000000 USD 0.000000 USD 21700000.000000 USD 198533.300000 N N N N/A N/A 000000000 1.000000 NC USD 128990.920000 0.0127533 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-16 0.000000 USD 0.000000 USD 11300000.000000 USD 128990.920000 N N N N/A N/A 000000000 1.000000 NC USD 37551.790000 0.0037127 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-20 0.000000 USD 0.000000 USD 4700000.000000 USD 37551.790000 N N N BANC OF AMERICA FUNDING CORP 2004-A N/A 06051GAX7 849.180000 PA USD 775.610000 0.0000767 Long ABS-MBS CORP US N 3 2034-09-20 Floating 4.49599 N N N N N N BANC OF AMERICA FUNDING CORP 2006-7 N/A 05951KBD4 1875544.300000 PA USD 1591558.010000 0.1573567 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.4117 Y N N N N N N/A N/A 000000000 1.000000 NC USD 1177778.280000 0.1164465 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 1177598.190000 USD 0.000000 USD 8400000.000000 USD 180.090000 N N N N/A N/A 000000000 1.000000 NC USD -2748808.440000 -0.2717736 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-06-15 0.000000 USD -3087876.300000 USD 77700000.000000 USD 339067.860000 N N N N/A N/A 000000000 1.000000 NC USD 858428.190000 0.0848724 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-06-21 575936.010000 USD 0.000000 USD 10700000.000000 USD 282492.180000 N N N N/A N/A 000000000 1.000000 NC USD -753026.130000 -0.0744514 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 0.000000 USD -119743.230000 USD 16300000.000000 USD -633282.900000 N N N N/A N/A 000000000 1.000000 NC USD 986449.050000 0.0975298 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 558298.880000 USD 0.000000 USD 23100000.000000 USD 428150.170000 N N N BANC OF AMERICA FUNDING CORP 2006-I N/A 05951VAV1 94435.410000 PA USD 77926.320000 0.0077045 Long ABS-MBS CORP US N 2 2046-12-20 Floating 5.53657 Y N N N N N N/A N/A 000000000 1.000000 NC USD 929347.800000 0.0918842 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-21 367780.610000 USD 0.000000 USD 31200000.000000 USD 561567.190000 N N N N/A N/A 000000000 1.000000 NC USD 9729.070000 0.0009619 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 0.000000 USD -45559.250000 USD 6700000.000000 USD 55288.320000 N N N N/A N/A 000000000 1.000000 NC USD -29615.400000 -0.0029281 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-20 0.000000 USD -100049.230000 USD 9000000.000000 USD 70433.830000 N N N N/A N/A 000000000 1.000000 NC USD -155079.990000 -0.0153327 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2023-09-17 0.000000 USD 0.000000 USD 11100000.000000 USD -155079.990000 N N N BANC OF AMERICA FUNDING CORP 2007-B N/A 05952EAA4 3894.250000 PA USD 3083.520000 0.0003049 Long ABS-MBS CORP US N 2 2047-04-20 Floating 5.57657 Y N N N N N N/A N/A 000000000 1.000000 NC USD 925365.870000 0.0914906 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2023-07-21 0.000000 USD 0.000000 USD 66900000.000000 USD 925365.870000 N N N N/A N/A 000000000 1.000000 NC USD -7725574.880000 -0.7638245 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-07-21 20241.270000 USD 0.000000 USD 124700000.000000 USD -7745816.150000 N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAE1 238291.340000 PA USD 190031.600000 0.0187883 Long ABS-MBS CORP US N 2 2047-06-20 Floating 5.71657 Y N N N N N N/A N/A 000000000 1.000000 NC USD -9349322.750000 -0.9243638 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-16 0.000000 USD -2677514.980000 USD 61300000.000000 USD -6671807.770000 N N N N/A N/A 000000000 1.000000 NC USD 1516100.850000 0.1498963 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2036-02-15 0.000000 USD -889.830000 USD 5500000.000000 USD 1516990.680000 N N N N/A N/A 000000000 1.000000 NC USD 3894429.560000 0.3850407 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-03-15 141728.180000 USD 0.000000 USD 21700000.000000 USD 3752701.380000 N N N N/A N/A 000000000 1.000000 NC USD -3600207.810000 -0.3559511 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-12-16 738107.570000 USD 0.000000 USD 45900000.000000 USD -4338315.380000 N N N N/A N/A 000000000 1.000000 NC USD 806138.400000 0.0797026 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-06-17 0.000000 USD -156857.110000 USD 11100000.000000 USD 962995.510000 N N N N/A N/A 000000000 1.000000 NC USD 10739582.190000 1.0618182 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-07-21 0.000000 USD -16304.210000 USD 57800000.000000 USD 10755886.400000 N N N N/A N/A 000000000 1.000000 NC USD 4445681.030000 0.4395427 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-06-16 2126867.790000 USD 0.000000 USD 11300000.000000 USD 2318813.240000 N N N N/A N/A 000000000 1.000000 NC USD 302917.350000 0.0299493 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-12-20 0.000000 USD -54312.490000 USD 4700000.000000 USD 357229.840000 N N N N/A N/A 000000000 1.000000 NC -3506.530000 -0.0003467 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1689193.000000 USD 2233113.150000 CAD 2023-07-05 -3506.530000 N N N N/A N/A 000000000 1.000000 NC 929.560000 0.0000919 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 502628.010000 USD 667087.890000 CAD 2023-07-05 929.560000 N N N N/A N/A 000000000 1.000000 NC -767.950000 -0.0000759 N/A DFE GB N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1392687.200000 USD 1096000.000000 GBP 2023-07-05 -767.950000 N N N N/A N/A 000000000 1.000000 NC 3493.210000 0.0003454 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2232226.320000 CAD 1689193.000000 USD 2023-08-02 3493.210000 N N N N/A N/A 000000000 1.000000 NC -933.940000 -0.0000923 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 666823.510000 CAD 502628.010000 USD 2023-08-02 -933.940000 N N N N/A N/A 000000000 1.000000 NC 792.580000 0.0000784 N/A DFE GB N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1096000.000000 GBP 1392990.790000 USD 2023-08-02 792.580000 N N N N/A N/A 000000000 1.000000 NC -7368.380000 -0.0007285 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 7554099.930000 DKK 1101521.160000 USD 2023-08-02 -7368.380000 N N N N/A N/A 000000000 1.000000 NC 4397.180000 0.0004347 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 932698.500000 TRY 40008.000000 USD 2023-07-31 4397.180000 N N N N/A N/A 000000000 1.000000 NC 6278.980000 0.0006208 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 1232648.270000 TRY 53342.000000 USD 2023-07-31 6278.980000 N N N N/A N/A 000000000 1.000000 NC 9367.180000 0.0009261 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 1676805.920000 TRY 73388.330000 USD 2023-07-31 9367.180000 N N N N/A N/A 000000000 321.000000 NC USD -639376.960000 -0.0632149 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-09-20 36049804.850000 USD -639376.960000 N N N N/A N/A 000000000 -141.000000 NC USD 177751.370000 0.0175742 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-29 -28677527.240000 USD 177751.370000 N N N N/A N/A 000000000 -422.000000 NC USD 906684.900000 0.0896436 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-29 -45211695.420000 USD 906684.900000 N N N N/A N/A 000000000 167.000000 NC USD 45415.320000 0.0044902 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-09-20 21232484.380000 USD 45415.320000 N N N N/A N/A 000000000 -64.000000 NC USD -105100.480000 -0.0103912 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-20 -8743000.000000 USD -105100.480000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHQ5 166000.000000 PA USD 153828.090000 0.0152089 Long DBT CORP US N 2 2030-02-07 Floating 3.974 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 1300000.000000 PA USD 1311504.340000 0.1296679 Long DBT CORP US N 2 2026-04-02 Floating 6.39089 N N N N N N BANK OF AMERICA CREDIT CARD TRUST 2023-A1 N/A 05522RDG0 2500000.000000 PA USD 2484331.250000 0.2456248 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.79 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBT1 500000.000000 PA USD 340950.000000 0.0337096 Long DBT CORP GB N 2 2028-03-15 Floating 4.375 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 700000.000000 PA USD 672776.920000 0.0665172 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAE5 700000.000000 PA USD 671377.560000 0.0663788 Long DBT CORP GB N 2 2025-03-16 Fixed 3.65 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBH7 500000.000000 PA USD 488806.210000 0.0483281 Long DBT CORP GB N 2 2025-05-07 Floating 3.932 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 200000.000000 PA USD 189187.060000 0.0187048 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 75038.150000 PA USD 60108.580000 0.0059429 Long ABS-MBS CORP US N 2 2036-01-26 Floating 4.09765 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-2 N/A 07384MTD4 31152.990000 PA USD 29726.400000 0.0029390 Long ABS-MBS CORP US N 3 2033-01-25 Floating 4.46431 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-6 N/A 07384MXB3 2954.220000 PA USD 2825.850000 0.0002794 Long ABS-MBS CORP US N 2 2033-08-25 Floating 4.37447 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4E9 267.100000 PA USD 248.540000 0.0000246 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.03268 N N N N N N BEAR STEARNS ALT-A TRUST 2003-3 N/A 07386HCE9 174.230000 PA USD 160.960000 0.0000159 Long ABS-MBS CORP US N 3 2033-10-25 Floating 5.04405 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HYW5 6053.680000 PA USD 5389.020000 0.0005328 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.65043 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 2227.300000 PA USD 2103.460000 0.0002080 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.19478 N N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTM4 1343.160000 PA USD 1300.710000 0.0001286 Long ABS-MBS CORP US N 3 2033-04-25 Floating 4.06464 N N N N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MR87 6197.340000 PA USD 5748.960000 0.0005684 Long ABS-MBS CORP US N 2 2034-07-25 Floating 4.75202 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 148.290000 PA USD 143.360000 0.0000142 Long ABS-MBS CORP US N 3 2033-02-25 Floating 4.48225 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE9 N/A 073879R59 870237.320000 PA USD 848355.810000 0.0838766 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.17043 N N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 731810.140000 PA USD 697603.650000 0.0689718 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.47043 N N N N N N BELLA VISTA MORTGAGE TRUST 2005-1 N/A 07820QBL8 769853.270000 PA USD 676957.460000 0.0669305 Long ABS-MBS CORP US N 2 2045-01-22 Floating 5.75414 N N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAE0 1887560.300000 PA USD 1872349.870000 0.1851185 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.21029 N N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAG5 3300000.000000 PA USD 3213055.990000 0.3176736 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.76029 N N N N N N BHR 2018-PRME N/A 10482TAA0 73323.640000 PA USD 72588.420000 0.0071768 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.138 N N N N N N BLACK DIAMOND CLO 2019-1 DAC 19-1A N/A ACI20P3Q5 3700000.000000 PA 3950232.530000 0.3905579 Long ABS-CBDO CORP IE N 2 2032-05-15 Floating 4.303 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 2400000.000000 PA USD 2008129.560000 0.1985430 Long DBT CORP US N 2 2033-04-15 Fixed 3.419 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBL4 1100000.000000 PA USD 902732.520000 0.0892528 Long DBT CORP US N 2 2034-04-15 Fixed 3.469 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 300000.000000 PA USD 230225.210000 0.0227623 Long DBT CORP US N 2 2035-11-15 Fixed 3.137 N N N N N N CARNOW AUTO RECEIVABLES TRUST 2023-1A N/A 14367RAA6 901244.910000 PA USD 901339.720000 0.0891151 Long ABS-O CORP US N 2 2024-12-16 Fixed 6.62 N N N N N N CARRINGTON MTGE LOAN TRUST 2007-FRE1 N/A 144527AC2 380729.790000 PA USD 344530.000000 0.0340635 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.41043 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAA6 654706.690000 PA USD 654962.290000 0.0647559 Long ABS-O CORP US N 2 2024-06-10 Fixed 5.588 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAB4 1000000.000000 PA USD 997541.500000 0.0986265 Long ABS-O CORP US N 2 2026-08-10 Fixed 5.98 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAC2 1000000.000000 PA USD 984663.500000 0.0973533 Long ABS-O CORP US N 2 2028-04-10 Fixed 5.42 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAD0 1500000.000000 PA USD 1467525.600000 0.1450937 Long ABS-O CORP US N 2 2029-03-12 Fixed 5.38 N N N N N N CC MORTGAGE FUNDING CORP 2005-AA N/A 16678RDC8 108984.130000 PA USD 96543.140000 0.0095452 Long ABS-MBS CORP US N 3 2036-01-25 Floating 5.40043 N N N N N N CC MORTGAGE FUNDING CORP 2005-BA N/A 16678REC7 204263.440000 PA USD 186945.410000 0.0184832 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.40043 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BP8 242000.000000 PA USD 243045.520000 0.0240298 Long DBT CORP US N 2 2024-02-01 Floating 6.94914 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AY0 1670000.000000 PA USD 1638181.370000 0.1619663 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AU2 151660.510000 PA USD 145990.280000 0.0144340 Long ABS-MBS CORP US N 3 2037-02-25 Floating 5.13965 N N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 384221.760000 PA USD 317545.380000 0.0313956 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.75043 N N N N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAJ4 800000.000000 PA USD 725055.420000 0.0716859 Long DBT CORP US N 2 2029-11-15 Fixed 3.7 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2022-A N/A 17330VAA4 5892869.770000 PA USD 5795002.170000 0.5729495 Long ABS-MBS CORP US N 2 2062-09-25 Fixed 6.17 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3 N/A 17307GWU8 4687000.000000 PA USD 4337811.940000 0.4288777 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.05043 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 2740486.710000 PA USD 2002282.080000 0.1979648 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.47043 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAB9 357671.430000 PA USD 144298.960000 0.0142668 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.45043 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 6979.780000 PA USD 6791.110000 0.0006714 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.98 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 8417.550000 PA USD 7853.900000 0.0007765 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.41 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAB5 2500000.000000 PA USD 2497544.380000 0.2469312 Long ABS-O CORP US N 2 2026-07-15 Fixed 6.13 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAC3 2100000.000000 PA USD 2095704.560000 0.2072015 Long ABS-O CORP US N 2 2026-07-15 Floating 6.01655 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 20600HU51 4750000.000000 PA USD 4746409.810000 0.4692756 Long DBT CORP US N 2 2023-07-05 None 0 N N N N N N CONSOLIDATED EDISON COMPANY OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 20911MUH8 1050000.000000 PA USD 1047369.600000 0.1035530 Long DBT CORP US N 2 2023-07-17 None 0 N N N N N N CONSOLIDATED EDISON COMPANY OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 20911MUR6 300000.000000 PA USD 298880.000000 0.0295501 Long DBT CORP US N 2 2023-07-25 None 0 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21037DU36 400000.000000 PA USD 399818.700000 0.0395299 Long DBT CORP US N 2 2023-07-03 None 0 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21037DUB8 550000.000000 PA USD 549072.840000 0.0542866 Long DBT CORP US N 2 2023-07-11 None 0 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21037DUM4 250000.000000 PA USD 249169.480000 0.0246353 Long DBT CORP US N 2 2023-07-21 None 0 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-10CB N/A 12667GAW3 3099068.500000 PA USD 2332059.270000 0.2305698 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2 N/A 12668AKQ7 5243.060000 PA USD 3262.580000 0.0003226 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AHE8 244668.750000 PA USD 196690.990000 0.0194468 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.79043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 703259.710000 PA USD 582447.220000 0.0575863 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.71043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB N/A 02152AAB5 11514.020000 PA USD 7300.920000 0.0007218 Long ABS-MBS CORP US N 3 2037-08-25 Floating 5.55043 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69 N/A 12668AN27 6157.560000 PA USD 5494.090000 0.0005432 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.9762 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GN58 1376584.450000 PA USD 1242343.790000 0.1228300 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.5362 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10 N/A 12668BUK7 232434.180000 PA USD 182179.980000 0.0180121 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.84176 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 366979.990000 PA USD 343294.810000 0.0339414 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.53043 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 115502.030000 PA USD 99583.750000 0.0098458 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.51043 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58 N/A 12668AWH4 46685.590000 PA USD 43580.950000 0.0043088 Long ABS-MBS CORP US N 2 2035-12-20 Floating 5.79657 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB N/A 02146TAG2 136811.980000 PA USD 81040.690000 0.0080125 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-13 N/A 02150MAA3 3315218.430000 PA USD 1818743.090000 0.1798184 Long ABS-MBS CORP US N 2 2047-06-25 Fixed 6 Y N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-BC2 N/A 12669QAA7 2237844.490000 PA USD 2197754.850000 0.2172911 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.35043 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAD8 4515292.850000 PA USD 4230544.940000 0.4182723 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.67043 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-16 N/A 23242FAA4 1150952.490000 PA USD 1055643.730000 0.1043711 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.43043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-5 N/A 126670YE2 15492.620000 PA USD 15455.860000 0.0015281 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.55043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-8 N/A 045427AD3 7918882.200000 PA USD 7395472.590000 0.7311874 Long ABS-MBS CORP US N 2 2046-01-25 Floating 5.65043 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-10 N/A 23246BAK7 1613804.690000 PA USD 1550901.330000 0.1533370 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.40043 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-1 N/A 126670TW8 1223546.770000 PA USD 1180340.640000 0.1166998 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.73543 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-2 N/A 126670UW6 15833.720000 PA USD 15680.220000 0.0015503 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.75043 N N N N N N COUNTRYWIDE HOME LOANS 2004-16 N/A 12669FW82 44896.520000 PA USD 41604.000000 0.0041134 Long ABS-MBS CORP US N 3 2034-09-25 Floating 5.95043 N N N N N N COUNTRYWIDE HOME LOANS 2004-29 N/A 12669GJB8 1513.280000 PA USD 1296.140000 0.0001281 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.81043 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 7491.730000 PA USD 6282.430000 0.0006211 Long ABS-MBS CORP US N 2 2036-02-20 Floating 5.90986 Y N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 19501.360000 PA USD 9166.480000 0.0009063 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.27043 N N N N N N CREDIT SUISSE AG/ LONDON BRANCH ANGGYXNX0JLX3X63JN86 ACI2018R1 600000.000000 PA 654281.540000 0.0646886 Long DBT CORP CH N 2 2023-09-01 Floating 4.474 N N N N N N CREDIT SUISSE MORTGAGE TRUST 2020-RPL6 N/A 12656HAC8 835617.870000 PA USD 810810.550000 0.0801645 Long ABS-MBS CORP US N 2 2059-03-25 Variable 2.6875 N N N N N N CSMC 2021-RPL7 TRUST N/A 12598JAC5 3372810.770000 PA USD 3110850.970000 0.3075686 Long ABS-MBS CORP US N 2 2061-07-27 Fixed 1.92598 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAH7 1800000.000000 PA USD 1735553.740000 0.1715935 Long DBT CORP US N 2 2024-02-15 Fixed 1.625 N N N N N N DAIMLER TRUCK FINANCE NORTH AMERICA LLC 5493003HSDTSCZRXBA58 233853AN0 1000000.000000 PA USD 992452.490000 0.0981234 Long DBT CORP US N 2 2025-01-17 Fixed 5.2 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR1 N/A 251510LD3 1070153.810000 PA USD 1020447.200000 0.1008912 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.81043 N N N N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3 N/A 25151KAC3 216166.620000 PA USD 176001.200000 0.0174012 Long ABS-MBS CORP US N 2 2047-10-25 Floating 5.90043 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CB3 600000.000000 PA USD 572387.450000 0.0565917 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1QTHL7 1700000.000000 PA 1705302.500000 0.1686026 Long DBT CORP DE N 2 2026-09-03 Floating 1.375 N N N N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAP6 1006000.000000 PA USD 934697.590000 0.0924132 Long DBT CORP US N 2 2028-09-13 Fixed 4.65 N N N N N N DISCOVER CARD EXECUTION NOTE TRUST 2018-A6 N/A 254683CJ2 3500000.000000 PA USD 3499850.200000 0.3460288 Long ABS-MBS CORP US N 2 2026-03-15 Floating 5.58329 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P1UX8 250000.000000 PA USD 248841.810000 0.0246029 Long DBT CORP US N 2 2023-07-31 None 0 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P1UK6 250000.000000 PA USD 249300.040000 0.0246482 Long DBT CORP US N 2 2023-07-19 None 0 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26244JUA5 250000.000000 PA USD 249636.460000 0.0246815 Long DBT CORP US N 2 2023-07-10 None 0 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26244JUD9 350000.000000 PA USD 349334.560000 0.0345386 Long DBT CORP US N 2 2023-07-13 None 0 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26244JV89 350000.000000 PA USD 347924.440000 0.0343991 Long DBT CORP US N 2 2023-08-08 None 0 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AN7 62000.000000 PA USD 62043.770000 0.0061342 Long DBT CORP US N 2 2027-06-15 Fixed 5.75 N N N N N N ELECTRICITE DE FRANCE SA (EDF) 549300X3UK4GG3FNMO06 28504HUE2 2200000.000000 PA USD 2195358.620000 0.2170542 Long DBT CORP FR N 2 2023-07-14 None 0 N N N N N N ELECTRICITE DE FRANCE SA (EDF) 549300X3UK4GG3FNMO06 28504HV43 2750000.000000 PA USD 2735073.220000 0.2704156 Long DBT CORP FR N 2 2023-08-04 None 0 N N N N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251VUH7 250000.000000 PA USD 249355.890000 0.0246537 Long DBT CORP US N 2 2023-07-17 None 0 N N N N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251VUL8 2850000.000000 PA USD 2841310.670000 0.2809192 Long DBT CORP US N 2 2023-07-20 None 0 N N N N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251VUR5 500000.000000 PA USD 498078.820000 0.0492449 Long DBT CORP US N 2 2023-07-25 None 0 N N N N N N ENEL FINANCE AMERICA LLC 549300EGNLVUJX1DEC60 29279HUQ6 350000.000000 PA USD 348752.600000 0.0344810 Long DBT CORP US N 2 2023-07-24 None 0 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366GUB5 1450000.000000 PA USD 1447667.310000 0.1431303 Long DBT CORP US N 2 2023-07-11 None 0 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366GUE9 250000.000000 PA USD 249485.210000 0.0246665 Long DBT CORP US N 2 2023-07-14 None 0 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 1869000.000000 PA USD 1750842.490000 0.1731051 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 13795.210000 PA 16832.740000 0.0016642 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 5.1367 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 264000.000000 PA USD 265004.160000 0.0262009 Long DBT CORP US N 2 2025-05-01 Fixed 6.25 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 ACI11PCM5 1200000.000000 PA 1179703.670000 0.1166368 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2006-115 N/A 31396LT26 3339.780000 PA USD 3540.630000 0.0003501 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 5.95828 N N N N N N FANNIE MAE 2006-118 N/A 31396L4R8 20983.770000 PA USD 20323.320000 0.0020094 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 5.198 N N N N N N FANNIE MAE 2006-16 N/A 31394V6K1 60482.590000 PA USD 4129.350000 0.0004083 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 1.54957 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 5006.010000 PA USD 5093.520000 0.0005036 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 4.08199 N N N N N N FANNIE MAE 2007-14 N/A 31396PZU8 3973.560000 PA USD 3873.260000 0.0003829 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 5.50043 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 9565.350000 PA USD 9369.040000 0.0009263 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.50043 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 16556.710000 PA USD 16237.820000 0.0016054 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.53043 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 18715.920000 PA USD 18595.920000 0.0018386 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 5.87043 N N N N N N FANNIE MAE 2009-111 N/A 31398GRA9 5290.840000 PA USD 5279.000000 0.0005219 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 5.90043 N N N N N N FANNIE MAE 2009-47 N/A 31396QFA2 4536.200000 PA USD 4559.440000 0.0004508 Long ABS-MBS USGSE US N 2 2039-07-25 Floating 6.05043 N N N N N N FANNIE MAE 2009-99 N/A 31398F4R9 10340.440000 PA USD 10351.560000 0.0010235 Long ABS-MBS USGSE US N 2 2039-12-25 Floating 5.97043 N N N N N N FANNIE MAE REMICS 2011-17 N/A 31397QZU5 164696.240000 PA USD 11019.920000 0.0010895 Long ABS-MBS USGSE US N 2 2041-03-25 Floating 0.69957 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 30779.260000 PA USD 30116.300000 0.0029776 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 5.55043 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 132248.710000 PA USD 130329.040000 0.0128856 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 5.50043 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130AW3X6 25500000.000000 PA USD 25502045.360000 2.5213770 Long DBT USGSE US N 2 2023-09-25 Floating 5.09 N N N N N N FHLMC PASS THRU POOLS N/A 31296UAX9 118178.930000 PA USD 119580.590000 0.0118229 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KDFP5 108514.310000 PA USD 110365.060000 0.0109117 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KLML8 7470.500000 PA USD 7684.670000 0.0007598 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KYHK8 62194.230000 PA USD 63758.250000 0.0063038 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128L1WN6 19822.560000 PA USD 20299.200000 0.0020070 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L1WP1 15523.260000 PA USD 16072.590000 0.0015891 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 312927PK6 2956.530000 PA USD 2995.220000 0.0002961 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3129285R1 29445.360000 PA USD 30126.760000 0.0029786 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 312935L98 19744.470000 PA USD 19703.860000 0.0019481 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31292KYV3 76490.540000 PA USD 79627.710000 0.0078728 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7E66 11808.710000 PA USD 11774.570000 0.0011641 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7MM2 19408.840000 PA USD 19352.060000 0.0019133 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4AX1 84687.800000 PA USD 88088.160000 0.0087092 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4ZV8 1280.760000 PA USD 1318.000000 0.0001303 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5DD9 69702.720000 PA USD 69777.880000 0.0068989 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5R93 22300.320000 PA USD 22907.830000 0.0022649 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5TY6 643.640000 PA USD 660.530000 0.0000653 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5V56 832.080000 PA USD 856.270000 0.0000847 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6E87 74557.090000 PA USD 76557.700000 0.0075692 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6MZ8 74592.770000 PA USD 77306.720000 0.0076433 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6YJ1 920295.350000 PA USD 928512.050000 0.0918016 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7P75 5322.700000 PA USD 5465.520000 0.0005404 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7ZR0 31978.240000 PA USD 32809.450000 0.0032439 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M75R3 7707.160000 PA USD 7926.550000 0.0007837 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M8AV6 4747.060000 PA USD 4876.370000 0.0004821 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M84A9 31876.480000 PA USD 32744.820000 0.0032375 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJFP0 1854.720000 PA USD 1908.630000 0.0001887 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 952302.620000 PA USD 912068.940000 0.0901759 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132GDVQ2 79370.260000 PA USD 77156.000000 0.0076284 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 88242.800000 PA USD 84204.370000 0.0083253 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132LAY63 295417.710000 PA USD 282250.030000 0.0279059 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 9365.370000 PA USD 9023.690000 0.0008922 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 5.1762 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-32 N/A 3133TSQG1 21888.350000 PA USD 21947.910000 0.0021700 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 5.28043 N N N N N N FIRST HORIZON ALT MTG SEC 2005-AA6 N/A 32051GQA6 91544.490000 PA USD 79112.460000 0.0078218 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.22615 Y N N N N N FNMA PASS THRU POOLS N/A 31371K3A7 787.150000 PA USD 805.900000 0.0000797 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MFZ5 59886.740000 PA USD 60993.710000 0.0060304 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.897 N N N N N N FNMA PASS THRU POOLS N/A 31371N7L3 325.920000 PA USD 324.600000 0.0000321 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31385XNR4 223.580000 PA USD 227.680000 0.0000225 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400GV44 4591.070000 PA USD 4572.380000 0.0004521 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31401YYE9 1378.660000 PA USD 1346.330000 0.0001331 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31402LPB2 36415.130000 PA USD 35276.090000 0.0034877 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 5.176 N N N N N N FNMA PASS THRU POOLS N/A 31402RNW5 14592.600000 PA USD 14446.930000 0.0014284 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.749 N N N N N N FNMA PASS THRU POOLS N/A 31402RTT6 12400.250000 PA USD 12128.150000 0.0011991 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 3.72 N N N N N N FNMA PASS THRU POOLS N/A 31403DGZ6 27325.220000 PA USD 28053.360000 0.0027736 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DJ75 492.620000 PA USD 506.050000 0.0000500 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403NVY0 37380.910000 PA USD 36557.470000 0.0036144 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 4.273 N N N N N N FNMA PASS THRU POOLS N/A 31403SD78 109282.480000 PA USD 111886.320000 0.0110622 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403VDD8 10085.010000 PA USD 9870.910000 0.0009759 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 4.068 N N N N N N FNMA PASS THRU POOLS N/A 31404BQD7 6475.510000 PA USD 6611.770000 0.0006537 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404RCT2 70186.610000 PA USD 68942.130000 0.0068163 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 5.508 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 5622.250000 PA USD 5436.540000 0.0005375 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 5.177 N N N N N N FNMA PASS THRU POOLS N/A 31405PVB3 1290.940000 PA USD 1327.990000 0.0001313 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31405UV97 1458.760000 PA USD 1425.530000 0.0001409 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 3.566 N N N N N N FNMA PASS THRU POOLS N/A 31406F6N6 18188.610000 PA USD 17756.220000 0.0017556 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 3.732 N N N N N N FNMA PASS THRU POOLS N/A 31406L2T4 1655.210000 PA USD 1612.470000 0.0001594 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 31406NUU6 577.330000 PA USD 562.720000 0.0000556 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 5.315 N N N N N N FNMA PASS THRU POOLS N/A 31406VP91 24099.600000 PA USD 24348.990000 0.0024074 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407BXK0 9322.590000 PA USD 9128.510000 0.0009025 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 3.805 N N N N N N FNMA PASS THRU POOLS N/A 31407DSV8 8016.060000 PA USD 8076.290000 0.0007985 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FYD6 25819.090000 PA USD 26260.750000 0.0025964 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 5.738 N N N N N N FNMA PASS THRU POOLS N/A 31407HAS5 25810.370000 PA USD 26086.360000 0.0025791 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407HN85 3414.770000 PA USD 3547.750000 0.0003508 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407JY89 2158.640000 PA USD 2181.700000 0.0002157 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407MWT8 31217.780000 PA USD 30479.870000 0.0030135 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 5.014 N N N N N N FNMA PASS THRU POOLS N/A 31407NGX5 31564.590000 PA USD 30934.640000 0.0030585 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 3.901 N N N N N N FNMA PASS THRU POOLS N/A 31407R2A1 7761.660000 PA USD 7615.260000 0.0007529 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 3.987 N N N N N N FNMA PASS THRU POOLS N/A 31407T6R6 54430.110000 PA USD 54998.610000 0.0054377 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407VFQ3 17086.230000 PA USD 17217.740000 0.0017023 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 3.775 N N N N N N FNMA PASS THRU POOLS N/A 31407VMN2 24017.670000 PA USD 24953.520000 0.0024671 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 12392.560000 PA USD 12180.620000 0.0012043 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 5.751 N N N N N N FNMA PASS THRU POOLS N/A 31408DLC6 45292.740000 PA USD 47057.510000 0.0046526 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31408DLF9 10354.330000 PA USD 10500.170000 0.0010381 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31408JTK7 3804.080000 PA USD 3793.040000 0.0003750 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409JBD1 15359.670000 PA USD 15387.140000 0.0015213 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 6.197 N N N N N N FNMA PASS THRU POOLS N/A 31409WLC3 113765.110000 PA USD 116573.860000 0.0115256 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410DJE1 18688.130000 PA USD 18707.780000 0.0018496 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 6.176 N N N N N N FNMA PASS THRU POOLS N/A 31410DXD7 12426.730000 PA USD 12480.260000 0.0012339 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 6.275 N N N N N N FNMA PASS THRU POOLS N/A 31410EKC1 8872.150000 PA USD 8809.510000 0.0008710 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 6.206 N N N N N N FNMA PASS THRU POOLS N/A 31410FVW2 244519.640000 PA USD 247374.320000 0.0244578 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KQX5 14716.990000 PA USD 15127.580000 0.0014957 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410LAV4 401.120000 PA USD 400.120000 0.0000396 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411FL28 2415.950000 PA USD 2406.690000 0.0002379 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412MTG3 22232.120000 PA USD 22804.350000 0.0022547 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412QUX5 2380.810000 PA USD 2349.400000 0.0002323 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412TWX7 71686.690000 PA USD 71419.560000 0.0070612 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412YFP2 49959.090000 PA USD 51150.800000 0.0050573 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414XXE7 1672.120000 PA USD 1666.490000 0.0001648 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LW86 4934.200000 PA USD 4916.390000 0.0004861 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BK72 4599.110000 PA USD 4742.940000 0.0004689 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BNK0 63362.910000 PA USD 62464.020000 0.0061758 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416CC61 443.810000 PA USD 438.080000 0.0000433 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416KV54 1284.850000 PA USD 1270.380000 0.0001256 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416NBX9 8178.460000 PA USD 8075.690000 0.0007984 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416NSP8 10916.960000 PA USD 10779.460000 0.0010658 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416WH88 48085.550000 PA USD 47494.460000 0.0046958 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416WMP4 4353.080000 PA USD 4299.310000 0.0004251 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416YDH8 8276.840000 PA USD 8080.200000 0.0007989 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31416YKY3 10165.590000 PA USD 9925.230000 0.0009813 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418NBG4 4721.800000 PA USD 4905.770000 0.0004850 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418RHJ3 3558.520000 PA USD 3510.920000 0.0003471 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418UW59 3552.940000 PA USD 3508.790000 0.0003469 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418VWP3 4958.640000 PA USD 4869.850000 0.0004815 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418WCN8 17141.000000 PA USD 16757.000000 0.0016568 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418WDC1 3556.150000 PA USD 3473.690000 0.0003434 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418XFV5 7190.200000 PA USD 7030.810000 0.0006951 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418XMR6 527518.190000 PA USD 515998.770000 0.0510166 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419BPN9 3947.040000 PA USD 3896.320000 0.0003852 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419CAU7 4410.410000 PA USD 4355.050000 0.0004306 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419FD94 18994.470000 PA USD 18546.090000 0.0018336 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419H2W1 14187.150000 PA USD 13854.580000 0.0013698 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419JTV0 347.110000 PA USD 338.570000 0.0000335 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419J5L8 58412.200000 PA USD 57265.650000 0.0056618 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A2CK3 7383.020000 PA USD 7203.210000 0.0007122 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A2U64 5695.950000 PA USD 5628.450000 0.0005565 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A5XB3 2763.950000 PA USD 2727.590000 0.0002697 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A6E48 10326.520000 PA USD 10180.000000 0.0010065 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A6LJ7 43259.210000 PA USD 42237.210000 0.0041760 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A6TG5 5616.510000 PA USD 5473.760000 0.0005412 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A7G69 6866.250000 PA USD 6698.280000 0.0006623 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A8AB2 10355.610000 PA USD 10109.190000 0.0009995 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A8PX8 11347.160000 PA USD 11069.520000 0.0010944 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A8SR8 5186.730000 PA USD 5059.440000 0.0005002 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A9PQ1 1767.010000 PA USD 1742.120000 0.0001722 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AA6T3 8336.940000 PA USD 8138.960000 0.0008047 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ADPB5 7642.970000 PA USD 7534.530000 0.0007449 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AGJH2 2354.670000 PA USD 2299.180000 0.0002273 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AHS80 219276.920000 PA USD 216676.060000 0.0214227 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AH5R3 603.690000 PA USD 596.050000 0.0000589 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AJMD1 26884.770000 PA USD 26225.690000 0.0025929 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AJTP7 1280.030000 PA USD 1249.540000 0.0001235 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AKTS8 1028.320000 PA USD 1013.800000 0.0001002 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ALKA4 17840.490000 PA USD 17418.580000 0.0017222 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ANNY5 32425.360000 PA USD 31655.330000 0.0031297 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EGM68 1297.600000 PA USD 1281.220000 0.0001267 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EJKA5 27092.990000 PA USD 26454.960000 0.0026156 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EKW35 58039.050000 PA USD 60293.840000 0.0059612 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138LQ2D5 97841.380000 PA USD 96198.880000 0.0095111 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138LTLS5 112084.630000 PA USD 110349.810000 0.0109102 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138LY5M5 3820.430000 PA USD 3736.960000 0.0003695 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WAJ73 27829.240000 PA USD 27319.380000 0.0027011 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WET25 2646.250000 PA USD 2463.850000 0.0002436 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WG6G4 7289.660000 PA USD 6771.280000 0.0006695 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138YR5Y0 12930.730000 PA USD 12038.470000 0.0011902 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FRCM5 13074.970000 PA USD 12075.220000 0.0011939 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FRH65 11519.940000 PA USD 10687.070000 0.0010566 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GUMA2 1684398.020000 PA USD 1555615.940000 0.1538031 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GVZY4 1491785.830000 PA USD 1377730.430000 0.1362157 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 3140GYJX8 12236.640000 PA USD 11301.060000 0.0011173 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H4B45 9784.460000 PA USD 9036.300000 0.0008934 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HAC99 8313.060000 PA USD 7677.420000 0.0007591 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HATD2 13444.810000 PA USD 12416.730000 0.0012276 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HHHT5 3985.970000 PA USD 3681.200000 0.0003640 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 3140HMGY4 162626.090000 PA USD 150166.300000 0.0148469 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HPUD7 62558.880000 PA USD 57749.480000 0.0057097 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 3.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 4641.960000 PA USD 45133.820000 0.0044624 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140JANZ7 2558859.770000 PA USD 2363210.300000 0.2336497 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 3140JGR64 8467.850000 PA USD 7820.360000 0.0007732 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JJHA0 49402.210000 PA USD 45617.080000 0.0045101 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JKMX1 19572.770000 PA USD 18337.860000 0.0018131 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YM95 10967.970000 PA USD 10771.560000 0.0010650 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417Y7A9 31012.650000 PA USD 30274.480000 0.0029932 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418A4P0 44774.100000 PA USD 43584.420000 0.0043092 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 1302559.990000 PA USD 1205213.550000 0.1191590 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 1995562.550000 PA USD 1842981.400000 0.1822148 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 2043024.590000 PA USD 1886791.310000 0.1865463 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZQ9 300000.000000 PA USD 298153.890000 0.0294784 Long DBT CORP US N 2 2024-03-18 Fixed 5.584 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZX4 300000.000000 PA USD 290573.580000 0.0287289 Long DBT CORP US N 2 2024-11-01 Fixed 4.063 N N N N N N FREDDIE MAC 3181 N/A 31396URJ1 90189.690000 PA USD 6979.840000 0.0006901 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 1.27671 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 72469.670000 PA USD 71890.980000 0.0071078 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 5.89329 N N N N N N FREDDIE MAC 3360 N/A 31397KE23 54818.690000 PA USD 54333.430000 0.0053719 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 5.86329 N N N N N N FREDDIE MAC 3404 N/A 31397PST8 34749.970000 PA USD 34714.450000 0.0034322 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 6.04829 N N N N N N FREDDIE MAC 3439 N/A 31397TAL6 1769.140000 PA USD 1727.760000 0.0001708 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 5.52329 N N N N N N FREDDIE MAC 3898 N/A 3137ADX44 197297.880000 PA USD 194707.160000 0.0192506 Long ABS-MBS USGSE US N 2 2041-06-15 Floating 5.76329 N N N N N N FREDDIE MAC REMICS 3816 N/A 3137A6R46 103558.560000 PA USD 100046.490000 0.0098916 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 4.5 N N N N N N FREDDIE MAC-3136 N/A 31396NH41 13240.580000 PA USD 733.010000 0.0000725 Long ABS-MBS USGSE US N 2 2036-04-15 Floating 1.50671 N N N N N N FREDDIE MAC-3891 N/A 3137ADTZ0 210000.390000 PA USD 205687.420000 0.0203362 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 5.74329 N N N N N N FREMONT HOME LOAN TRUST 2005-E N/A 35729PNC0 51631.700000 PA USD 47945.590000 0.0047404 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.81043 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAB1 10873.850000 PA USD 5029.330000 0.0004972 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.21043 N N N N N N FROST CMBS 2021-1 DAC 21-1A N/A ACI21WKW7 1192656.270000 PA 1242862.720000 0.1228813 Long ABS-MBS CORP IE N 2 2033-11-20 Floating 4.533 N N N N N N FWD SECURITIZATION TRUST 2020-INV1 N/A 302985AA4 60886.480000 PA USD 55322.560000 0.0054697 Long ABS-MBS CORP US N 2 2050-01-25 Variable 2.24 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAQ3 2700000.000000 PA USD 2636166.790000 0.2606367 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.91029 N N N N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 586191.660000 PA 628069.970000 0.0620970 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 3.857 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961DUE8 1150000.000000 PA USD 1147363.630000 0.1134394 Long DBT CORP US N 2 2023-07-14 None 0 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961DUM0 3500000.000000 PA USD 3488070.530000 0.3448641 Long DBT CORP US N 2 2023-07-21 None 0 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAC2 3400000.000000 PA USD 3393108.200000 0.3354752 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.27 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 1600000.000000 PA USD 1593184.800000 0.1575175 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2022-3 N/A 36265WAC7 3978013.640000 PA USD 3978949.270000 0.3933971 Long ABS-O CORP US N 2 2025-09-16 Floating 5.66662 N N N N N N GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2023-1A N/A 36252MCQ1 2900000.000000 PA 2219433.100000 0.2194345 Long ABS-O CORP CA N 2 2025-04-21 Fixed 5.458 N N N N N N GNMA PASS THRU POOLS N/A 36179QUQ2 31952.820000 PA USD 30650.480000 0.0030304 Long ABS-MBS USGSE US N 2 2044-11-20 Floating 2.75 N N N N N N GNMA PASS THRU POOLS N/A 36200JSC5 74448.710000 PA USD 70282.460000 0.0069488 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36200NMP3 2030.880000 PA USD 2052.760000 0.0002030 Long ABS-MBS USGSE US N 2 2034-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36291US71 9891.030000 PA USD 10014.480000 0.0009901 Long ABS-MBS USGSE US N 2 2037-05-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36291UTY1 31097.960000 PA USD 31460.260000 0.0031105 Long ABS-MBS USGSE US N 2 2037-07-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36292DXR8 350.990000 PA USD 350.510000 0.0000347 Long ABS-MBS USGSE US N 2 2036-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36294YPA6 11920.820000 PA USD 11833.760000 0.0011700 Long ABS-MBS USGSE US N 2 2037-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295NCQ8 176499.650000 PA USD 178039.850000 0.0176027 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QA34 188808.340000 PA USD 188264.380000 0.0186136 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QGF1 35014.260000 PA USD 35315.360000 0.0034916 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QJT8 14455.070000 PA USD 14579.370000 0.0014415 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QKC3 82146.370000 PA USD 82852.750000 0.0081916 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QKD1 73183.920000 PA USD 73620.150000 0.0072788 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296A6T6 152796.210000 PA USD 154082.400000 0.0152341 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DKZ0 797.440000 PA USD 795.610000 0.0000787 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DK23 3022.610000 PA USD 3028.390000 0.0002994 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DNG9 15951.700000 PA USD 16105.590000 0.0015924 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296JEM3 30149.840000 PA USD 30171.270000 0.0029830 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296LSU5 33447.660000 PA USD 33646.760000 0.0033266 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296P6J5 15768.720000 PA USD 15875.160000 0.0015696 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QZG7 44135.570000 PA USD 44384.950000 0.0043883 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620A2K21 65637.040000 PA USD 65386.210000 0.0064647 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620ASLC1 25825.630000 PA USD 25635.620000 0.0025346 Long ABS-MBS USGSE US N 2 2041-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176EM24 152974.060000 PA USD 144390.610000 0.0142758 Long ABS-MBS USGSE US N 2 2043-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36176W5N7 28811.140000 PA USD 27171.500000 0.0026864 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36241KZ35 543.340000 PA USD 545.850000 0.0000540 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36177WD98 54465.770000 PA USD 51419.390000 0.0050838 Long ABS-MBS USGSE US N 2 2042-05-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178LMH3 86190.970000 PA USD 81370.340000 0.0080451 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178UBY8 10702.890000 PA USD 10101.300000 0.0009987 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178UUR2 190555.170000 PA USD 179671.570000 0.0177641 Long ABS-MBS USGSE US N 2 2042-11-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178WDR7 3755.030000 PA USD 3548.860000 0.0003509 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179JXF9 4601.180000 PA USD 4342.530000 0.0004293 Long ABS-MBS USGSE US N 2 2043-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180HG51 9536.020000 PA USD 9000.040000 0.0008898 Long ABS-MBS USGSE US N 2 2043-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180HHA9 91397.250000 PA USD 86259.900000 0.0085285 Long ABS-MBS USGSE US N 2 2043-05-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180SNG5 7303.680000 PA USD 6893.000000 0.0006815 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180WGF6 439605.080000 PA USD 414888.220000 0.0410198 Long ABS-MBS USGSE US N 2 2045-07-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36182CAQ0 86186.050000 PA USD 81339.990000 0.0080421 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36182QB88 95559.970000 PA USD 90186.760000 0.0089167 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36198N2C8 97081.610000 PA USD 91624.010000 0.0090588 Long ABS-MBS USGSE US N 2 2044-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36182WBC6 307997.320000 PA USD 290681.140000 0.0287395 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183BCF3 50764.350000 PA USD 47911.050000 0.0047369 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183FTW9 26471.760000 PA USD 24983.420000 0.0024701 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183PM53 100150.290000 PA USD 94518.810000 0.0093450 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183QPH2 122434.380000 PA USD 114688.310000 0.0113392 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183QYH2 33653.860000 PA USD 31761.520000 0.0031402 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183TYC7 177573.390000 PA USD 167588.400000 0.0165694 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183XRC6 18857.560000 PA USD 17797.260000 0.0017596 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183XZ86 2146.200000 PA USD 2025.510000 0.0002003 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183X2J8 22146.140000 PA USD 20900.820000 0.0020665 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184BZL4 8910.350000 PA USD 8409.600000 0.0008315 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184BZ67 90327.800000 PA USD 87535.660000 0.0086546 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184CA47 130570.160000 PA USD 123261.750000 0.0121868 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184HY81 81441.720000 PA USD 76862.040000 0.0075993 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184KB97 101975.280000 PA USD 95552.070000 0.0094472 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184K6K8 136994.370000 PA USD 129291.470000 0.0127830 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184MYF4 51052.480000 PA USD 48182.680000 0.0047638 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184NEP2 244151.300000 PA USD 230421.690000 0.0227817 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NB76 630000.000000 PA USD 580577.630000 0.0574015 Long DBT MUN US N 2 2046-06-01 Fixed 3 N N N N N N GOLDENTREE LOAN MANAGEMENT EUR CLO 3 DAC 3A N/A ACI1ZWJ04 14200000.000000 PA 15110767.750000 1.4939955 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 4.1 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 3800000.000000 PA USD 3860103.690000 0.3816469 Long DBT CORP US N 2 2028-03-15 Floating 6.91477 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 166000.000000 PA USD 156891.890000 0.0155118 Long DBT CORP US N 2 2029-05-01 Floating 4.223 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09 N/A 38380LFE8 95518.610000 PA USD 93817.190000 0.0092757 Long ABS-MBS USGSE US N 2 2068-04-20 Floating 4.86932 N N N N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 16505.090000 PA USD 15258.200000 0.0015086 Long ABS-MBS CORP US N 3 2033-10-25 Floating 4.72495 N N N N N N GSAA HOME EQUITY TRUST 2006-9 N/A 362382AE3 68862.940000 PA USD 15205.120000 0.0015033 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.39043 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 4200000.000000 PA USD 3399598.860000 0.3361170 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.38043 N N N N N N GSAMP TRUST 2007-FM2 N/A 3622MHAC0 2256610.630000 PA USD 1321283.890000 0.1306348 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.24043 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 1407848.000000 PA USD 766346.990000 0.0757684 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.28043 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAD0 31848.550000 PA USD 16043.710000 0.0015862 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.30043 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 21603.760000 PA USD 19287.280000 0.0019069 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.65721 N N N N N N GSR MORTGAGE LOAN TRUST 2007-3F N/A 3622MWAR4 224640.850000 PA USD 163798.290000 0.0161947 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 53.220000 PA USD 50.770000 0.0000050 Long ABS-MBS CORP US N 3 2032-03-25 Fixed 6 N N N N N N HALSEYPOINT CLO 2 LTD N/A 40638TAC6 1300000.000000 PA USD 1282426.340000 0.1267930 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 6.69043 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-1 N/A 41161PLD3 849511.910000 PA USD 834534.930000 0.0825101 Long ABS-MBS CORP US N 2 2035-03-19 Floating 5.69657 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 55758.410000 PA USD 46594.580000 0.0046068 Long ABS-MBS CORP US N 2 2036-12-19 Floating 5.56657 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 359383.810000 PA USD 222770.380000 0.0220252 Long ABS-MBS CORP US N 2 2036-01-19 Floating 5.65657 Y N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2007-4 N/A 41164YAB7 209576.690000 PA USD 198955.150000 0.0196706 Long ABS-MBS CORP US N 2 2047-07-19 Floating 5.37657 N N N N N N HARVEST CLO XXI DAC 21A N/A ACI1WSV36 800000.000000 PA 795734.720000 0.0786740 Long ABS-CBDO CORP IE N 2 2031-07-15 Fixed 1.04 N N N N N N HOME EQUITY PASS-THRU CERTS 2004-6 N/A 437084EW2 984770.090000 PA USD 965110.830000 0.0954201 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.75043 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 500000.000000 PA USD 483508.150000 0.0478043 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 300000.000000 PA USD 249098.500000 0.0246283 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 1500000.000000 PA USD 1443245.520000 0.1426931 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAD0 942920.260000 PA USD 256127.220000 0.0253232 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.37043 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT4 N/A 40430KAH4 9728756.250000 PA USD 8715363.270000 0.8616845 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.61543 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 44486JUB3 250000.000000 PA USD 249578.560000 0.0246757 Long DBT CORP US N 2 2023-07-11 None 0 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 44486JUD9 250000.000000 PA USD 249501.400000 0.0246681 Long DBT CORP US N 2 2023-07-13 None 0 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 44486JUL1 250000.000000 PA USD 249230.000000 0.0246413 Long DBT CORP US N 2 2023-07-20 None 0 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 44486JUT4 1100000.000000 PA USD 1095408.050000 0.1083026 Long DBT CORP US N 2 2023-07-27 None 0 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AN2 2900000.000000 PA USD 2761336.910000 0.2730123 Long DBT CORP US N 2 2024-10-01 Fixed 1.8 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAA1 598000.000000 PA USD 577975.900000 0.0571442 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 300000.000000 PA USD 279600.280000 0.0276440 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-16IP N/A 45660LUD9 3851.920000 PA USD 3047.760000 0.0003013 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.79043 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR31 N/A 45660LV97 83895.030000 PA USD 72268.100000 0.0071451 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.35861 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 8824936.430000 PA USD 7965088.460000 0.7875051 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.55043 Y N N N N N INEOS FINANCE PLC 2138002D68XDR4LZCG32 ACI0YJHL2 187000.000000 PA 191811.200000 0.0189643 Long DBT CORP GB N 2 2025-11-15 Fixed 2.125 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AY9 2000000.000000 PA USD 1433574.240000 0.1417369 Long DBT CORP NL N 2 2027-05-16 Floating 3.875 N N N N Y ING GROEP NV EUR XXXX N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AZ6 200000.000000 PA USD 133560.420000 0.0132051 Long DBT CORP NL N 2 2031-05-16 Floating 4.25 N N N N Y ING GROEP NV EUR XXXX N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849CJL6 1800000.000000 PA USD 1802599.560000 0.1782223 Long DBT CORP US N 2 2024-06-28 Floating 6.22031 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAA2 2705000.000000 PA USD 2470676.130000 0.2442748 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.493 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAD3 67005.950000 PA USD 29992.550000 0.0029654 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.45043 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 10491.670000 PA USD 5184.070000 0.0005125 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2007-A2 N/A 46630PAE5 4023.070000 PA USD 2898.590000 0.0002866 Long ABS-MBS CORP US N 3 2037-04-25 Floating 4.20125 Y N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W24 1000000.000000 PA 1065354.720000 0.1053312 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 3.827 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271KU51 4150000.000000 PA USD 4147030.430000 0.4100152 Long DBT CORP US N 2 2023-07-05 None 0 N N N N N N KKR CLO LTD 13 N/A 48250VAW7 2500000.000000 PA USD 2469088.380000 0.2441178 Long ABS-CBDO CORP KY N 2 2028-01-16 Floating 6.41029 N N N N N N KKR CLO LTD 18 N/A 48251JAL7 1684481.400000 PA USD 1669140.960000 0.1650273 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 6.20171 N N N N N N KKR CLO LTD 18 N/A 48251JAN3 3700000.000000 PA USD 3619099.090000 0.3578189 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 6.86171 N N N N N N LCM LP 13A N/A 50184KBN7 3100000.000000 PA USD 3058884.860000 0.3024307 Long ABS-CBDO CORP KY N 2 2027-07-19 Floating 6.765 N N N N N N LCRT 2019-7 N/A 52605FAA4 376637.590000 PA USD 373969.560000 0.0369742 Long ABS-O CORP US N 2 2027-01-15 Fixed 3.75 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS5 N/A 52475XAA2 1406011.250000 PA USD 1306147.330000 0.1291383 Long ABS-MBS CORP US N 2 2067-07-25 Fixed 2.25 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL2 N/A 52476TAA0 1661500.410000 PA USD 1529601.870000 0.1512311 Long ABS-MBS CORP US N 2 2068-10-25 Fixed 1.875 N N N N N N 280 PARK AVENUE 2017-280P MORTGAGE TRUST N/A 90205FAG5 2900000.000000 PA USD 2707507.860000 0.2676902 Long ABS-MBS CORP US N 2 2034-09-15 Floating 6.262 N N N N N N LEHMAN XS TRUST 2007-12N N/A 52524YAC7 4160035.950000 PA USD 4026875.280000 0.3981355 Long ABS-MBS CORP US N 2 2047-07-25 Floating 5.55043 Y N N N N N LEHMAN XS TRUST 2007-15N N/A 52524VAG4 57409.510000 PA USD 52395.250000 0.0051803 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.65043 N N N N N N LEIDOS INC 5493006I78VIN6J1BQ95 52533BUA8 1050000.000000 PA USD 1048368.120000 0.1036517 Long DBT CORP US N 2 2023-07-10 None 0 N N N N N N LENDINGCLUB RECEIVABLES TRUST SERIES 2019-5 N/A 52605CAA1 162742.920000 PA USD 161831.750000 0.0160002 Long ABS-O CORP US N 2 2045-12-15 Fixed 3.75 N N N N N N LIBERTY LENDING ABS TRUST 2022-2A N/A 75526GAA9 2287715.280000 PA USD 2287178.810000 0.2261324 Long ABS-O CORP US N 2 2030-05-15 Fixed 6.63 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 129719.390000 PA USD 125580.080000 0.0124161 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.59043 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-2 N/A 542514KV5 81898.250000 PA USD 80821.970000 0.0079908 Long ABS-MBS CORP US N 2 2035-04-25 Floating 6.12543 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 17007.470000 PA USD 15811.360000 0.0015633 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.71043 N N N N N N LSEGA FINANCING PLC 2138009YFYTGEHZNNZ09 50221JUR5 650000.000000 PA USD 647515.380000 0.0640196 Long DBT CORP GB N 2 2023-07-25 None 0 N N N N N N M360 2021-CRE3 LLC N/A 55379AAC8 2700000.000000 PA USD 2628660.010000 0.2598946 Long ABS-CBDO CORP KY N 2 2038-11-22 Floating 7.40414 N N N N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAA7 2311234.730000 PA USD 2298122.630000 0.2272145 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.18 N N N N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAB5 2000000.000000 PA USD 1978279.200000 0.1955917 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.95 N N N N N N MARLETTE FUNDING TRUST 2023-1A N/A 57110PAA9 5151404.930000 PA USD 5133730.460000 0.5075699 Long ABS-O CORP US N 2 2033-04-15 Fixed 6.07 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 57163UV45 2000000.000000 PA USD 1989389.160000 0.1966901 Long DBT CORP US N 2 2023-08-04 None 0 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4 N/A 576433EU6 46740.870000 PA USD 36782.790000 0.0036367 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.79422 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAA9 2240911.060000 PA USD 1667913.240000 0.1649059 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.7762 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAE1 2400988.410000 PA USD 1873976.980000 0.1852793 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.7762 N N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 45786.020000 PA USD 28137.980000 0.0027820 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.63043 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC3 N/A 55275RAD4 309698.870000 PA USD 156575.540000 0.0154806 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.47043 N N N N N N MDPKE 14A N/A ACI2289F9 1800000.000000 PA 1915652.530000 0.1893998 Long ABS-CBDO CORP IE N 2 2032-07-15 Floating 3.977 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 88438.140000 PA USD 83415.360000 0.0082472 Long ABS-MBS CORP US N 2 2030-12-15 Floating 5.63329 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAE4 458642.140000 PA USD 117743.850000 0.0116413 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.55043 N N N N N N ACE SECURITIES CORP 2002-HE3 N/A 004421BH5 25.020000 PA USD 33.800000 0.0000033 Long ABS-MBS CORP US N 3 2032-10-25 Floating 6.95043 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 3103.910000 PA USD 2976.570000 0.0002943 Long ABS-MBS CORP US N 2 2033-05-25 Floating 3.91771 N N N N N N MF1 2021-FL7 LTD N/A 55284AAC2 4600000.000000 PA USD 4431602.600000 0.4381508 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 6.60657 N N N N N N MF1 2021-FL7 LTD N/A 55284AAE8 4600000.000000 PA USD 4415443.770000 0.4365531 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 6.90657 N N N N N N MF1 2022-FL8 LTD N/A 55284JAC3 5900000.000000 PA USD 5789765.230000 0.5724318 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 6.81662 N N N N N N MFA LLC 2018-NPL1 N/A 55282YAA6 408873.560000 PA USD 389796.910000 0.0385391 Long ABS-MBS CORP US N 2 2060-03-25 Fixed 2.3633 N N N N N N ACE SECURITIES CORP 2006-NC1 N/A 004421UU5 4500000.000000 PA USD 4012963.200000 0.3967601 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.76543 N N N N N N MONDELEZ INTERNATIONAL INC 549300DV9GIB88LZ5P30 60920WUQ1 1200000.000000 PA USD 1195748.000000 0.1182231 Long DBT CORP US N 2 2023-07-24 None 0 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEZ4 4400000.000000 PA USD 4364576.170000 0.4315239 Long DBT CORP US N 2 2027-01-28 Floating 5.05 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC6 N/A 61744CSY3 171577.470000 PA USD 164844.600000 0.0162981 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.08043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE5 N/A 61749NAD9 424256.430000 PA USD 220479.960000 0.0217988 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.43043 N N N N N N ACHV ABS TRUST 2023-1PL N/A 00091XAA5 2655011.950000 PA USD 2655934.300000 0.2625912 Long ABS-O CORP US N 2 2030-03-18 Fixed 6.42 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAP5 3220242.260000 PA USD 1274750.610000 0.1260341 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.28043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAC4 254574.860000 PA USD 116769.950000 0.0115450 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.28043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAD8 2677653.430000 PA USD 1182849.650000 0.1169479 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.40043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAA8 872576.300000 PA USD 787272.020000 0.0778373 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.28043 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAG2 3500000.000000 PA USD 3165113.700000 0.3129335 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.71037 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAB1 1695875.040000 PA USD 889691.150000 0.0879634 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.32043 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAA8 719135.340000 PA USD 244371.970000 0.0241610 Long ABS-MBS CORP US N 2 2046-09-25 Variable 6.465 Y N N N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAD4 37023.930000 PA USD 10894.440000 0.0010771 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.87043 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 1000000.000000 PA USD 837230.980000 0.0827767 Long DBT CORP US N 2 2030-08-15 Fixed 2.65 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TD8 117200.920000 PA USD 91362.080000 0.0090329 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.99153 Y N N N N N NAKILAT INC 2549006RMTDJWLLWF072 Y62014AA6 92748.310000 PA USD 97360.680000 0.0096260 Long DBT CORP MH N 2 2033-12-31 Fixed 6.067 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 2200000.000000 PA USD 2195621.160000 0.2170802 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 1784000.000000 PA USD 1698939.430000 0.1679735 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 2149076.290000 PA USD 1985003.340000 0.1962565 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 44867.260000 PA USD 41444.560000 0.0040976 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 65480CAB1 400000.000000 PA USD 372779.310000 0.0368565 Long DBT CORP US N 2 2024-09-16 Fixed 1.125 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAX3 800000.000000 PA USD 654864.480000 0.0647462 Long DBT CORP IE N 2 2032-01-30 Fixed 3.3 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AA9 700000.000000 PA USD 695101.340000 0.0687244 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 1500000.000000 PA USD 1396073.880000 0.1380293 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 2900000.000000 PA USD 2639628.430000 0.2609790 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 900000.000000 PA USD 790133.030000 0.0781201 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAD6 164830.300000 PA USD 37269.520000 0.0036848 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.81043 Y N N N N N NOMURA RESECURITIZATION TRUST 2018-1R N/A 65541JAC1 2126304.660000 PA USD 2034232.050000 0.2011237 Long ABS-MBS CORP US N 2 2037-03-25 Floating 6.05043 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 12412424.000000 PA 1370614.660000 0.1355121 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORTHROP GRUMMAN CORPORATION RIMU48P07456QXSO0R61 66681MVH8 2100000.000000 PA USD 2084692.410000 0.2061127 Long DBT CORP US N 2 2023-08-17 None 0 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-3 N/A 66988WAD8 230961.760000 PA USD 125326.360000 0.0123910 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.47043 N N N N N N NOVASTAR HOME EQUITY LOAN 2007-1 N/A 669971AA1 4923520.220000 PA USD 3281015.170000 0.3243926 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.28043 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAW5 800000.000000 PA USD 692348.730000 0.0684522 Long DBT CORP IE N 2 2028-10-29 Fixed 3 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 46404355.720000 PA 5118794.540000 0.5060932 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N OAK HILL EUROPEAN CREDIT PARTNERS IV DESIGNATED ACTIVITY CO 15-4A N/A ACI1WJ2Z7 1761872.370000 PA 1878802.010000 0.1857564 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 3.93 N N N N N N OAKTREE CLO LTD 2019-4A N/A 67402CAQ9 3300000.000000 PA USD 3246375.000000 0.3209678 Long ABS-CBDO CORP KY N 2 2032-10-20 Floating 6.37043 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-4 N/A 68389FJK1 6767000.000000 PA USD 5433187.760000 0.5371771 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.88543 N N N N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5 N/A 69121PBU6 31445.200000 PA USD 29407.390000 0.0029075 Long ABS-MBS CORP US N 2 2036-10-25 Floating 6.05043 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DBA1 2500000.000000 PA USD 2425795.280000 0.2398374 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.70043 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DBC7 1500000.000000 PA USD 1455762.980000 0.1439307 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.95043 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JW8 800000.000000 PA USD 690314.110000 0.0682511 Long DBT CORP US N 2 2028-06-15 Fixed 3 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 900000.000000 PA USD 815197.510000 0.0805982 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JY4 2100000.000000 PA USD 2064276.650000 0.2040942 Long DBT CORP US N 2 2023-11-15 Fixed 1.7 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2022-1 N/A 69546MAA5 1082184.060000 PA USD 1053656.170000 0.1041746 Long ABS-O CORP US N 2 2029-10-15 Fixed 2.03 N N N N N N PAGAYA AI DEBT TRUST 2022-2 N/A 69546VAA5 1316548.090000 PA USD 1299673.500000 0.1284982 Long ABS-O CORP US N 2 2030-01-15 Fixed 4.97 N N N N N N PAGAYA AI DEBT TRUST 2022-3 N/A 69547MAA4 6425292.100000 PA USD 6398702.960000 0.6326372 Long ABS-O CORP US N 2 2030-03-15 Fixed 6.06 N N N N N N PAGAYA AI DEBT TRUST 2023-3 N/A 69548BAA7 1582837.300000 PA USD 1587499.390000 0.1569554 Long ABS-O CORP US N 2 2030-12-16 Fixed 7.6 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ2 N/A 70069FEM5 3358848.690000 PA USD 2953926.050000 0.2920535 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.87543 N N N N N N PARK PLACE SECURITIES INC 2005-WCW2 N/A 70069FLK1 3200000.000000 PA USD 2614275.840000 0.2584724 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.12543 N N N N N N PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC) 549300E86RB6YCTMRM83 71429MAC9 1000000.000000 PA USD 886223.310000 0.0876205 Long DBT CORP IE N 2 2030-06-15 Variable 4.4 N N N N N N PHH ALTERNATIVE MORTGAGE TRUST 2007-1 N/A 69337BAA2 174276.510000 PA USD 131138.420000 0.0129656 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.47043 N N N N N N PRET 2021-NPL6 LLC N/A 69362GAA9 4238598.970000 PA USD 3933506.740000 0.3889042 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 2.4871 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 1393641.160000 PA USD 1290757.970000 0.1276167 Long ABS-MBS CORP US N 2 2051-07-25 Variable 1.7436 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL2 N/A 693971AA1 2722143.110000 PA USD 2585693.780000 0.2556465 Long ABS-MBS CORP US N 2 2052-04-25 Fixed 5.24 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL3 N/A 74143NAA0 4761218.490000 PA USD 4602844.170000 0.4550813 Long ABS-MBS CORP US N 2 2052-06-25 Variable 5.9266 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74767HUB4 1950000.000000 PA USD 1946695.520000 0.1924690 Long DBT CORP US N 2 2023-07-11 None 0 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74767HUC2 1950000.000000 PA USD 1946383.390000 0.1924381 Long DBT CORP US N 2 2023-07-12 None 0 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74767HUH1 250000.000000 PA USD 249333.700000 0.0246515 Long DBT CORP US N 2 2023-07-17 None 0 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74767HUJ7 250000.000000 PA USD 249293.000000 0.0246475 Long DBT CORP US N 2 2023-07-18 None 0 N N N N N N RAYTHEON TECHNOLOGIES CORPORATION I07WOS4YJ0N7YRFE7309 75513GUC8 1900000.000000 PA USD 1896640.170000 0.1875200 Long DBT CORP US N 2 2023-07-12 None 0 N N N N N N RAYTHEON TECHNOLOGIES CORPORATION I07WOS4YJ0N7YRFE7309 75513GUH7 1650000.000000 PA USD 1645811.990000 0.1627208 Long DBT CORP US N 2 2023-07-17 None 0 N N N N N N READY CAPITAL MORTGAGE FINANCING 2022-FL10 LLC N/A 755931AA0 4793185.050000 PA USD 4806524.000000 0.4752191 Long ABS-MBS CORP US N 2 2039-10-25 Floating 7.63567 N N N N N N READY CAPITAL MORTGAGE FINANCING 2023-FL11 LLC N/A 75575RAA5 4400000.000000 PA USD 4417603.960000 0.4367667 Long ABS-MBS CORP US N 2 2039-10-25 Floating 7.46323 N N N N N N READYCAP COMMERCIAL MORTGAGE TRUST 2022-FL9 N/A 75574EAA5 2063513.460000 PA USD 2072854.260000 0.2049423 Long ABS-MBS CORP US N 2 2037-06-25 Floating 7.55623 N N N N N N READYCAP COMMERCIAL MORTGAGE TRUST 2022-FL9 N/A 75574EAC1 4700000.000000 PA USD 4687869.770000 0.4634878 Long ABS-MBS CORP US N 2 2037-06-25 Floating 8.20023 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 17834321.000000 PA 1967015.700000 0.1944781 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 76076GU50 400000.000000 PA USD 399711.000000 0.0395193 Long DBT CORP US N 2 2023-07-05 None 0 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 870867.240000 PA USD 809803.510000 0.0800649 Long ABS-O CORP US N 2 2030-09-25 Fixed 4.32 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST VII 2022-3A N/A 76088TAA9 3377277.220000 PA USD 3304357.410000 0.3267005 Long ABS-O CORP US N 2 2030-11-25 Fixed 5.38 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 716596.280000 PA USD 641561.050000 0.0634309 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.52043 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 167991.320000 PA USD 138523.950000 0.0136958 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.49043 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC1 N/A 76112BRR3 2000000.000000 PA USD 1871676.000000 0.1850519 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.21543 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A7CB N/A 76113NAC7 356064.400000 PA USD 270358.060000 0.0267302 Long ABS-MBS CORP US N 3 2036-07-25 Fixed 6.25 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A9CB N/A 76112HAJ6 907593.510000 PA USD 300780.570000 0.0297381 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6 N N N N N N RESIDENTIAL ASSET SECUR TR 2007-A5 N/A 76114HAM7 339426.300000 PA USD 189683.790000 0.0187540 Long ABS-MBS CORP US N 3 2037-05-25 Fixed 6 Y N N N N N RESIDENTIAL ASSET SECURITIES 2005-AHL2 N/A 76110W5H5 62209.600000 PA USD 60365.900000 0.0059684 Long ABS-MBS CORP US N 3 2035-10-25 Floating 5.78043 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 X5424XBQ0 200000.000000 PA USD 12000.000000 0.0011864 Long DBT NUSS RU N 3 2047-06-23 Fixed 5.25 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-7 N/A 80287FAB8 2673052.920000 PA USD 2673185.500000 0.2642968 Long ABS-O CORP US N 2 2026-01-15 Fixed 5.81 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 2500000.000000 PA USD 2481265.050000 0.2453217 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N AMCOR FLEXIBLES NORTH AMERICA INC PTVU09TE3QPJPL7K4E13 02343CUL7 550000.000000 PA USD 548333.810000 0.0542135 Long DBT CORP US N 2 2023-07-20 None 0 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAD0 1564000.000000 PA USD 1452367.030000 0.1435949 Long DBT CORP DE N 2 2029-05-15 Fixed 6.375 N N Y N N N SEC ASSET BACKED REC LLC 2005-OP2 N/A 81375WGW0 304000.000000 PA USD 243534.070000 0.0240781 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.87043 Y N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 8134151.000000 PA USD 4377159.910000 0.4327680 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.65043 N N N N N N AMEREN CORPORATION XRZQ5S7HYJFPHJ78L959 02360SUQ9 250000.000000 PA USD 249104.170000 0.0246288 Long DBT CORP US N 2 2023-07-24 None 0 N N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 3050000.000000 PA 3242793.710000 0.3206137 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 4.08 N N N N N N SEQUOIA MORTGAGE TRUST 2007-2 N/A 81744LAA2 169766.630000 PA USD 157968.410000 0.0156183 Long ABS-MBS CORP US N 2 2036-06-20 Floating 5.57657 N N N N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A 81744MAA0 141157.500000 PA USD 121155.480000 0.0119786 Long ABS-MBS CORP US N 2 2036-07-20 Floating 5.55657 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAA1 5800000.000000 PA USD 5088740.200000 0.5031217 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.343 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAC7 4500000.000000 PA USD 3700811.700000 0.3658978 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.693 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAV1 8904623.900000 PA USD 5104593.460000 0.5046891 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.51043 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20L N/A 83162CRL9 26840.590000 PA USD 26395.360000 0.0026097 Long ABS-O CORP US N 2 2027-12-01 Fixed 5.29 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20I N/A 83162CSA2 229979.970000 PA USD 224671.530000 0.0222132 Long ABS-O CORP US N 2 2028-09-01 Fixed 5.6 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2016-C N/A 78449KAB6 1735209.350000 PA USD 1671164.860000 0.1652274 Long ABS-O CORP US N 2 2034-09-15 Fixed 2.34 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368RBQ4 2500000.000000 PA USD 2495558.480000 0.2467349 Long DBT CORP FR N 2 2027-01-12 Floating 6.447 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 2328759.180000 PA USD 2144695.450000 0.2120452 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N SOUNDVIEW HOME EQUITY LOAN 2006-1 N/A 83611MKZ0 157398.430000 PA USD 143052.630000 0.0141436 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.61543 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAB8 59797.940000 PA USD 40268.740000 0.0039814 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.23043 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAE5 143096.280000 PA USD 41523.560000 0.0041054 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.41043 N N N N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 843975.920000 PA USD 790781.720000 0.0781843 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.75043 N N N N N N SPRINT LLC 549300ZTTY7CXOLJ6539 85207UAH8 35000.000000 PA USD 35344.510000 0.0034945 Long DBT CORP US N 2 2024-06-15 Fixed 7.125 N N N N N N SPRINT LLC 549300ZTTY7CXOLJ6539 85207UAF2 76000.000000 PA USD 76251.940000 0.0075390 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E3UA4 1400000.000000 PA USD 1397964.160000 0.1382162 Long DBT CORP US N 2 2023-07-10 None 0 N N N N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E3V13 1700000.000000 PA USD 1691773.510000 0.1672650 Long DBT CORP US N 2 2023-08-01 None 0 N N N N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E3V70 650000.000000 PA USD 646246.970000 0.0638942 Long DBT CORP US N 2 2023-08-07 None 0 N N N N N N STELLANTIS FINANCE US INC 549300QZ0AI8Q7LNON33 85855CAB6 3800000.000000 PA USD 3038376.300000 0.3004030 Long DBT CORP US N 2 2031-09-15 Fixed 2.691 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 90443.130000 PA USD 76582.070000 0.0075716 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.3762 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2005-21 N/A 863579C30 49226.080000 PA USD 45022.240000 0.0044513 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.79833 Y N N N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-20 N/A 863579HD3 34749.410000 PA USD 34418.400000 0.0034029 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.93392 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 46564.640000 PA USD 40398.750000 0.0039942 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.22208 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-18 N/A 863579XK9 32356.170000 PA USD 29052.610000 0.0028724 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.45535 Y N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 1355113.840000 PA USD 1240196.530000 0.1226177 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.47043 N N N N N N AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST 2023-1 N/A 02582JJZ4 2500000.000000 PA USD 2487573.500000 0.2459454 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.87 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR6 N/A 86359LEV7 2160.090000 PA USD 1956.750000 0.0001935 Long ABS-MBS CORP US N 3 2035-02-19 Floating 5.84629 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 39645.620000 PA USD 33383.480000 0.0033006 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.71043 Y N N N N N STRUCTURED ASSET MTGE INVEST 2007-AR7 N/A 86364KAE4 2241771.600000 PA USD 1845054.020000 0.1824197 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.5471 Y N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 1605581.150000 PA USD 1554720.510000 0.1537146 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.57043 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC1 N/A 86359YAD3 1456795.850000 PA USD 1369438.650000 0.1353958 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.31043 N N N N N N STWD 2022-FL3 LTD N/A 78485KAE5 9100000.000000 PA USD 8839069.150000 0.8739152 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 6.86662 N N N N N N AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2 N/A 02660CAF7 31020.350000 PA USD 23066.480000 0.0022806 Long ABS-MBS CORP US N 2 2047-03-25 Variable 6.5 N N N N N N SYMPHONY STATIC CLO 2021-1A N/A 87190TAA1 1284292.380000 PA USD 1270103.450000 0.1255746 Long ABS-CBDO CORP KY N 2 2029-10-25 Floating 6.08514 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACQ6 1000000.000000 PA USD 826668.830000 0.0817324 Long DBT CORP US N 2 2032-03-15 Fixed 2.7 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABV6 600000.000000 PA USD 542368.740000 0.0536238 Long DBT CORP US N 2 2029-04-15 Fixed 3.375 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87613LU72 800000.000000 PA USD 799246.340000 0.0790212 Long DBT CORP US N 2 2023-07-07 None 0 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87613LUL1 450000.000000 PA USD 448730.750000 0.0443658 Long DBT CORP US N 2 2023-07-20 None 0 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WEJ6 2500000.000000 PA USD 2490772.580000 0.2462617 Long DBT CORP US N 2 2025-05-23 Fixed 5 N N N N N N THEOREM FUNDING TRUST 2022-1A N/A 88339XAA2 754065.390000 PA USD 742601.860000 0.0734207 Long ABS-O CORP US N 2 2028-02-15 Fixed 1.85 N N N N N N THEOREM FUNDING TRUST 2023-1A N/A 88338QAA8 987892.360000 PA USD 989542.540000 0.0978357 Long ABS-O CORP US N 2 2029-04-15 Fixed 7.58 N N N N N N THOMSON REUTERS CORPORATION 549300561UZND4C7B569 88513BU57 1800000.000000 PA USD 1798672.750000 0.1778341 Long DBT CORP CA N 2 2023-07-05 None 0 N N N N N N THOMSON REUTERS CORPORATION 549300561UZND4C7B569 88513BUJ7 2100000.000000 PA USD 2094384.600000 0.2070710 Long DBT CORP CA N 2 2023-07-18 None 0 N N N N N N TIAA CLO IV LTD 2018-1A N/A 88631YAE7 6900000.000000 PA USD 6727500.000000 0.6651452 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 6.95043 N N N N N N TORO EUROPEAN CLO 6 DAC 6A N/A ACI1ZW9V7 12200000.000000 PA 13057552.610000 1.2909950 Long ABS-CBDO CORP IE N 2 2032-01-12 Floating 3.995 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 443095.640000 PA 562984.380000 0.0556620 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 5.78043 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAW0 194000.000000 PA USD 177219.620000 0.0175216 Long DBT CORP US N 2 2029-08-15 Fixed 3.8 N N N N N N TOYOTA AUTO RECEIVABLES 2023-A OWNER TRUST N/A 891940AA6 1286254.440000 PA USD 1285835.890000 0.1271301 Long ABS-O CORP US N 2 2024-01-15 Fixed 4.842 N N N N N N TRANE TECHNOLOGIES FINANCING LIMITED 549300A5OEF3CJI2CO89 89301NUR7 2000000.000000 PA USD 1995595.840000 0.1973038 Long DBT CORP IE N 2 2023-07-25 None 0 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 770000.000000 PA USD 758242.100000 0.0749671 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BB3 1100000.000000 PA USD 1057988.170000 0.1046029 Long DBT CORP CH N 2 2026-04-17 Fixed 4.55 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 250000.000000 PA USD 222645.020000 0.0220128 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 5300000.000000 PA USD 5026959.480000 0.4970135 Long DBT CORP CH N 2 2028-05-12 Floating 4.751 N N N N N N UMBS PASS THRU POOLS N/A 01F042681 7000000.000000 PA USD 6733671.910000 0.6657554 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F050684 15700000.000000 PA USD 15387226.640000 1.5213289 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F052680 9300000.000000 PA USD 9254226.610000 0.9149617 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F052698 20500000.000000 PA USD 20399101.670000 2.0168510 Long ABS-MBS USGSE US N 2 2053-09-14 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F060675 19900000.000000 PA USD 20077234.570000 1.9850281 Long ABS-MBS USGSE US N 2 2053-07-13 Fixed 6 N N N N N N UMBS PASS THRU POOLS N/A 01F060683 6500000.000000 PA USD 6556367.220000 0.6482254 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 6 N N N N N N UMBS PASS THRU POOLS N/A 01F062671 22800000.000000 PA USD 23280937.730000 2.3017769 Long ABS-MBS USGSE US N 2 2053-07-13 Fixed 6.5 N N N N N N UMBS PASS THRU POOLS N/A 01F062689 25800000.000000 PA USD 26328094.010000 2.6030481 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 6.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796XY0 5381000.000000 PA USD 5351876.090000 0.5291378 Long DBT UST US N 2 2023-08-10 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Z36 20448000.000000 PA USD 20316187.080000 2.0086532 Long DBT UST US N 2 2023-08-17 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Z44 2957000.000000 PA USD 2934896.430000 0.2901720 Long DBT UST US N 2 2023-08-24 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 943506.850000 PA USD 774789.840000 0.0766032 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 1932555.000000 PA USD 1598834.640000 0.1580761 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 4085820.220000 PA USD 3548242.480000 0.3508133 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 1077742.800000 PA USD 928111.030000 0.0917620 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TE8 326955.000000 PA USD 217219.950000 0.0214764 Long DBT UST US N 2 2052-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828WU0 19804505.000000 PA USD 19212710.740000 1.8995530 Long DBT UST US N 2 2024-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 1357447.000000 PA USD 1248401.490000 0.1234290 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N ANGLOGOLD ASHANTI HOLDINGS PLC 213800745ZIXC4L6A131 03512TAF8 1600000.000000 PA USD 1402891.660000 0.1387033 Long DBT CORP IM N 2 2028-11-01 Fixed 3.375 N N N N N N VEROS AUTO RECEIVABLES TRUST 2023-1 N/A 924933AA2 4323158.720000 PA USD 4315989.630000 0.4267202 Long ABS-O CORP US N 2 2028-11-15 Fixed 7.12 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 1800000.000000 PA USD 1706182.020000 0.1686895 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842KUM6 1050000.000000 PA USD 1046726.180000 0.1034894 Long DBT CORP US N 2 2023-07-21 None 0 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842KUQ7 800000.000000 PA USD 797133.340000 0.0788123 Long DBT CORP US N 2 2023-07-24 None 0 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842KUR5 750000.000000 PA USD 747195.320000 0.0738749 Long DBT CORP US N 2 2023-07-25 None 0 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842KUS3 1650000.000000 PA USD 1643570.960000 0.1624992 Long DBT CORP US N 2 2023-07-26 None 0 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842KUT1 600000.000000 PA USD 597567.750000 0.0590813 Long DBT CORP US N 2 2023-07-27 None 0 N N N N N N WACHOVIA MTGE LOAN TRUST 2006-A N/A 92977TAC6 20186.490000 PA USD 18778.220000 0.0018566 Long ABS-MBS CORP US N 3 2036-05-20 Floating 4.62357 Y N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE3 N/A 93364EAD6 470487.260000 PA USD 389358.790000 0.0384957 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.39043 N N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 1186768.840000 PA USD 1080056.370000 0.1067847 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.00317 Y N N N N N WASHING MUTUAL MTGE P/T 2006-5 N/A 93934NAF2 860878.280000 PA USD 642251.270000 0.0634991 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 Y N N N N N WASHING MUTUAL MTGE P/T 2006-5 N/A 93934NAQ8 380130.900000 PA USD 265768.100000 0.0262764 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 Y N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X40 77173.860000 PA USD 73360.690000 0.0072531 Long ABS-MBS CORP US N 2 2045-01-25 Floating 5.79043 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 11405.580000 PA USD 10775.390000 0.0010654 Long ABS-MBS CORP US N 2 2045-10-25 Floating 5.73043 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 2171387.740000 PA USD 2096936.500000 0.2073233 Long ABS-MBS CORP US N 2 2045-12-25 Floating 5.69043 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAA4 392928.090000 PA USD 337502.160000 0.0333687 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.8562 Y N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 52362.080000 PA USD 47368.580000 0.0046833 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.4762 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 151143.070000 PA USD 132981.130000 0.0131478 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.52827 Y N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAD2 284041.170000 PA USD 270225.810000 0.0267171 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.72701 N N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 461738.740000 PA USD 393012.810000 0.0388570 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.16837 Y N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 228487.500000 PA USD 204002.370000 0.0201696 Long ABS-MBS CORP US N 2 2046-02-25 Floating 4.9762 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAA0 2765266.290000 PA USD 2446471.740000 0.2418817 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.9662 N N N N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAA0 36036.350000 PA USD 29397.130000 0.0029065 Long ABS-MBS CORP US N 2 2047-07-25 Floating 4.7862 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PL1 25.220000 PA USD 24.310000 0.0000024 Long ABS-MBS CORP US N 3 2033-02-25 Floating 3.975 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 165861.470000 PA USD 145612.720000 0.0143967 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.7262 Y N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746RW3 1000000.000000 PA USD 940840.160000 0.0930205 Long DBT CORP US N 2 2026-04-22 Fixed 3 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M1519 500000.000000 PA 530452.130000 0.0524456 Long DBT CORP US N 2 2025-05-04 Floating 1.338 N N N N N N APS RESECURITIZATION TRUST 2015-1 N/A 00191TAG0 2742838.070000 PA USD 2561901.820000 0.2532942 Long ABS-MBS CORP US N 2 2054-08-28 Variable 5.42135 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M15X9 1100000.000000 PA 1027162.160000 0.1015551 Long DBT CORP US N 2 2030-05-04 Floating 1.741 N N N N N N WELLS FARGO ALTERNATIVE LOAN 2007-PA4 N/A 94984UAE6 1685914.710000 PA USD 1520283.030000 0.1503098 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.13365 Y N N N N N WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3 N/A 94985GAH9 97773.760000 PA USD 82860.560000 0.0081924 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.25 Y N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC18 N/A 94989AAV7 229128.450000 PA USD 223864.480000 0.0221334 Long ABS-MBS CORP US N 2 2047-12-15 Fixed 3.244 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL2 N/A 03881JAE6 2700000.000000 PA USD 2672502.500000 0.2642292 Long ABS-CBDO CORP US N 2 2037-05-15 Floating 7.54699 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL2 N/A 03881JAG1 2700000.000000 PA USD 2649403.110000 0.2619454 Long ABS-CBDO CORP US N 2 2037-05-15 Floating 8.04699 N N N N N N N/A N/A 000000000 6699000.000000 PA USD 6699000.000000 0.6623274 Long RA US N 2 Repurchase N 2.4000000 2023-07-03 6864100.000000 USD 6832997.050000 USD UST N N N AREIT TRUST 2021-CRE5 N/A 04002PAE4 1500000.000000 PA USD 1443578.550000 0.1427260 Long ABS-MBS CORP KY N 2 2038-11-17 Floating 6.97657 N N N N N N N/A N/A 000000000 293100000.000000 PA USD 293100000.000000 28.9786789 Long RA US N 2 Repurchase N 5.1000000 2023-07-03 316128341.790000 USD 298632325.400000 USD UST N N N N/A N/A 000000000 49900000.000000 PA USD 49900000.000000 4.9335929 Long RA US N 2 Repurchase N 5.1100000 2023-07-03 55367500.000000 USD 50559611.090000 USD UST N N N N/A N/A 000000000 1.000000 NC USD -454402.770000 -0.0449266 N/A DCR US N 3 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -2901430.960000 USD 11366227.980000 USD 2447028.190000 N N N ARGENT SECURITIES INC 2003-W10 N/A 040104EN7 119241.270000 PA USD 108795.960000 0.0107566 Long ABS-MBS CORP US N 2 2034-01-25 Floating 6.23043 N N N N N N N/A N/A 000000000 1.000000 NC USD 6656.390000 0.0006581 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-20 15511.440000 USD 0.000000 USD 900000.000000 USD -8855.050000 N N N N/A N/A 000000000 1.000000 NC USD 408.930000 0.0000404 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2028-06-20 0.000000 USD -1058.720000 USD 200000.000000 USD 1467.650000 N N N ARGENT SECURITIES INC 2004-W3 N/A 040104FW6 725881.020000 PA USD 694612.320000 0.0686760 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.97043 N N N N N N N/A N/A 000000000 1.000000 NC -14125.020000 -0.0013965 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3972060.000000 USD 27006969.370000 DKK 2023-07-05 -14125.020000 N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAB8 80839.960000 PA USD 26637.040000 0.0026336 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.26043 N N N N N N N/A N/A 000000000 1.000000 NC -31997.870000 -0.0031636 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 14892086.850000 DKK 2150472.540000 USD 2023-07-05 -31997.870000 N N N N/A N/A 000000000 1.000000 NC 14241.840000 0.0014081 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 26961886.490000 DKK 3972060.000000 USD 2023-08-02 14241.840000 N N N N/A N/A 000000000 1.000000 NC 488.150000 0.0000483 N/A DFE HK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3539388.050000 HKD 452960.500000 USD 2023-09-20 488.150000 N N N N/A N/A 000000000 1.000000 NC -1174.280000 -0.0001161 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 53499.000000 USD 988843.420000 ZAR 2023-08-15 -1174.280000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI2GN722 37763618.750000 PA 76438.490000 0.0075574 Long DBT NUSS AR N 2 2023-10-18 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -646.320000 -0.0000639 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 560494.750000 USD 512000.000000 EUR 2023-08-16 -646.320000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI2GN714 36841310.730000 PA 76114.280000 0.0075254 Long DBT NUSS AR N 2 2023-11-23 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -670.180000 -0.0000663 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 43914.450000 USD 817239.130000 ZAR 2023-08-15 -670.180000 N N N N/A N/A 000000000 1.000000 NC -1755.860000 -0.0001736 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 87782.000000 USD 1636265.260000 ZAR 2023-10-18 -1755.860000 N N N N/A N/A 000000000 1.000000 NC -1048.710000 -0.0001037 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 43718.590000 USD 811605.020000 ZAR 2023-10-18 -1048.710000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 1198000.000000 PA USD 332445.000000 0.0328687 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 818000.000000 PA USD 241310.000000 0.0238582 Long DBT NUSS AR N 2 2035-07-09 Variable 1.5 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0QD081 3616000.000000 PA 1738.460000 0.0001719 Long DBT NUSS AR N 2 2026-10-17 Fixed 15.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 246807.970000 0.0244018 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.40 Y Single Leg Swap 2028-06-20 2630.000000 USD 0.000000 USD 8300000.000000 USD 244177.970000 N N N N/A N/A 000000000 1.000000 NC USD 1617.630000 0.0001599 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.38 Y Single Leg Swap 2027-06-20 1050.380000 USD 0.000000 USD 100000.000000 USD 567.250000 N N N N/A N/A 000000000 1.000000 NC USD 86714.180000 0.0085734 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.39 Y Single Leg Swap 2027-12-20 70991.440000 USD 0.000000 USD 5800000.000000 USD 15722.740000 N N N N/A N/A 000000000 1.000000 NC USD 861087.130000 0.0851353 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.40 Y Single Leg Swap 2028-06-20 670124.760000 USD 0.000000 USD 56200000.000000 USD 190962.370000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HX1 287858.000000 PA USD 94115.170000 0.0093051 Long DBT NUSS AR N 2 2029-07-09 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 17615.140000 0.0017416 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1397164.100000 USD 1114000.000000 GBP 2023-07-05 17615.140000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 1084405.000000 PA USD 362147.890000 0.0358054 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HT0 2536334.000000 PA USD 764983.700000 0.0756336 Long DBT NUSS AR N 2 2035-07-09 Variable 1.5 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HV5 8905000.000000 PA USD 2867588.100000 0.2835173 Long DBT NUSS AR N 2 2041-07-09 Variable 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -96676.670000 -0.0095584 N/A DFE DK N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 43765476.380000 DKK 6317257.000000 USD 2023-07-05 -96676.670000 N N N N/A N/A 000000000 1.000000 NC USD 308342.500000 0.0304857 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-10-04 0.000000 USD 0.000000 USD 23063709.060000 USD 308342.500000 N N N N/A N/A 000000000 1.000000 NC USD -1996795.030000 -0.1974223 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2024-02-07 0.000000 USD 0.000000 USD 282430812.160000 USD -1996795.030000 N N N N/A N/A 000000000 1.000000 NC USD 69510.080000 0.0068724 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-10-18 0.000000 USD 0.000000 USD 1143770.740000 USD 69510.080000 N N N N/A N/A 000000000 1.000000 NC USD 8863036.490000 0.8762848 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-08-23 0.000000 USD 0.000000 USD 145921716.080000 USD 8863036.490000 N N N N/A N/A 000000000 1.000000 NC USD 2589274.410000 0.2560005 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2024-01-17 0.000000 USD 0.000000 USD 42630013.480000 USD 2589274.410000 N N N N/A N/A 000000000 1.000000 NC USD 3895610.900000 0.3851575 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-10-18 0.000000 USD 0.000000 USD 64146732.580000 USD 3895610.900000 N N N N/A N/A 000000000 1.000000 NC USD 1725929.280000 0.1706419 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2024-05-15 0.000000 USD 0.000000 USD 28419862.180000 USD 1725929.280000 N N N N/A N/A 000000000 1.000000 NC USD -1892485.270000 -0.1871093 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-12-13 0.000000 USD 0.000000 USD 284995806.480000 USD -1892485.270000 N N N N/A N/A 000000000 1.000000 NC USD 2204407.000000 0.2179488 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-08-09 0.000000 USD 0.000000 USD 36303820.600000 USD 2204407.000000 N N N N/A N/A 000000000 1.000000 NC USD -1158378.950000 -0.1145285 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-07-05 0.000000 USD 0.000000 USD 45944373.800000 USD -1158378.950000 N N N N/A N/A 000000000 1.000000 NC USD 1906815.030000 0.1885260 N/A DE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-09-06 0.000000 USD 0.000000 USD 31410754.400000 USD 1906815.030000 N N N N/A N/A 000000000 1.000000 NC USD 13944.630000 0.0013787 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 FORD MOTOR CREDIT COMPANY LLC FORD MOTOR CREDIT CO LLC Y Single Leg Swap 2025-06-20 7390.390000 USD 0.000000 USD 200000.000000 USD 6554.240000 N N N N/A N/A 000000000 1.000000 NC USD 22044.840000 0.0021796 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 21628.200000 USD 0.000000 USD 1900000.000000 USD 416.640000 N N N N/A N/A 000000000 1.000000 NC USD 233024.240000 0.0230390 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-20 390923.250000 USD 0.000000 USD 1970000.000000 USD -157899.010000 N N N N/A N/A 000000000 1.000000 NC USD 345607.810000 0.0341701 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SR UNSEC Y Single Leg Swap 2028-06-20 291883.190000 USD 0.000000 USD 2425000.000000 USD 53724.620000 N N N N/A N/A 000000000 -40.000000 NC 55172.840000 0.0054549 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -5837485.350000 EUR 55172.840000 N N N N/A N/A 000000000 -16.000000 NC -35633.540000 -0.0035231 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -2437305.080000 EUR -35633.540000 N N N N/A N/A 000000000 1.000000 NC -16686.080000 -0.0016497 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2900000.000000 CAD 2172406.200000 USD 2023-07-05 -16686.080000 N N N N/A N/A 000000000 1.000000 NC 456507.590000 0.0451347 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 45554000.000000 EUR 50267709.260000 USD 2023-08-16 456507.590000 N N N ASSET BACKED FUNDING CERT 2004-FF1 N/A 04542BHM7 1596507.010000 PA USD 1487053.680000 0.1470244 Long ABS-MBS CORP US N 2 2034-03-25 Floating 6.20043 Y N N N N N N/A N/A 000000000 1.000000 NC -71023.460000 -0.0070221 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2210000.000000 GBP 2735675.020000 USD 2023-07-05 -71023.460000 N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAD1 2510954.800000 PA USD 1459733.780000 0.1443233 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.37043 N N N N N N ASSET BACKED SEC CORP HM EQ 2005-HE6 N/A 04541GTN2 8072.000000 PA USD 7858.440000 0.0007770 Long ABS-MBS CORP US N 3 2035-07-25 Floating 6.11043 N N N N N N ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2006-HE2 N/A 04541GWF5 11443000.000000 PA USD 9212523.570000 0.9108385 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.73043 N N N N N N N/A N/A 000000000 1.000000 NC -1122.580000 -0.0001110 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3530903.000000 USD 24085456.680000 DKK 2023-07-05 -1122.580000 N N N N/A N/A 000000000 1.000000 NC 1220.610000 0.0001207 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 24045292.660000 DKK 3530903.000000 USD 2023-08-02 1220.610000 N N N 2023-08-17 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX