NPORT-P false 0000810893 XXXXXXXX S000009845 C000027273 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Short-Term Portfolio S000009845 7BT1PG61KEUH42XHGX37 2024-03-31 2023-12-31 N 593434405.540000 388820390.130000 204614015.410000 0.000000 0.000000 6490877.500000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 4454042.830000 USD N FHLMC PASS THRU POOLS N/A 3128HDZB8 45351.450000 PA USD 44900.520000 0.021944 Long ABS-MBS USGSE US N 2 2030-01-01 Floating 6.142 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7 N/A 07384MYY2 90.310000 PA USD 81.170000 0.0000397 Long ABS-MBS CORP US N 3 2033-10-25 Floating 5.16324 N N N N N N UMBS PASS THRU POOLS N/A 01F022410 100000.000000 PA USD 92148.440000 0.0450353 Long ABS-MBS USGSE US N 2 2039-01-18 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -6081.670000 -0.0029723 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-12-05 0.000000 USD -1550.000000 USD 500000.000000 USD -4531.670000 N N N N/A N/A 000000000 1.000000 NC USD -154638.620000 -0.0755758 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -31638.900000 USD 840000.000000 USD -122999.720000 N N N FHLMC PASS THRU POOLS N/A 31295KDH4 1272.370000 PA USD 1263.560000 0.0006175 Long ABS-MBS USGSE US N 2 2027-10-01 Floating 6.155 N N N N N N N/A N/A 000000000 1.000000 NC USD -98238.370000 -0.0480116 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-16 0.000000 USD -37268.470000 USD 500000.000000 USD -60969.900000 N N N FNMA PASS THRU POOLS N/A 31391XDM8 9162.030000 PA USD 8948.720000 0.0043735 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 6.262 N N N N N N FNMA PASS THRU POOLS N/A 31404GV40 944.040000 PA USD 963.270000 0.0004708 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 4.923 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-SB1 N/A 91682PAA6 274712.870000 PA USD 278186.860000 0.135957 Long ABS-O CORP US N 2 2028-10-20 Fixed 7.9 N N N N N N N/A N/A 000000000 1.000000 NC USD -7283.510000 -0.0035596 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-06-21 0.000000 USD -3129.070000 USD 145000.000000 USD -4154.440000 N N N WASHINGTON MUTUAL 2006-AR11 N/A 93363TAB8 2598628.480000 PA USD 2401312.020000 1.17358 Long ABS-MBS CORP US N 2 2046-09-25 Floating 6.5118 N N N N N N CIFC FUNDING LTD 2013-3RA N/A 12552MAC2 988209.100000 PA USD 988407.900000 0.48306 Long ABS-CBDO CORP KY N 2 2031-04-24 Floating 6.64008 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-6 N/A 576433PD2 174619.690000 PA USD 164437.240000 0.0803646 Long ABS-MBS CORP US N 3 2034-07-25 Floating 6.89171 N N N N N N FHLMC PASS THRU POOLS N/A 3128HLFR7 90038.440000 PA USD 89770.720000 0.0438732 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -61059.200000 -0.0298412 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-02-24 0.000000 USD -1480.000000 USD 400000.000000 USD -59579.200000 N N N TESLA ELECTRIC VEHICLE TRUST 2023-1 N/A 881943AD6 500000.000000 PA USD 504884.900000 0.24675 Long ABS-O CORP US N 2 2028-06-20 Fixed 5.38 N N N N N N FHLMC PASS THRU POOLS N/A 31336CLF8 1610.040000 PA USD 1592.120000 0.0007781 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 5.975 N N N N N N UMBS PASS THRU POOLS N/A 01F040610 24300000.000000 PA USD 22985332.090000 11.2335 Long ABS-MBS USGSE US N 2 2054-01-16 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 846588.610000 PA USD 789495.350000 0.385846 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A N/A 64830TAD0 80832.150000 PA USD 75829.440000 0.0370597 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 233650.780000 0.114191 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-21 84351.380000 USD 0.000000 USD 2900000.000000 USD 149299.400000 N N N FANNIEMAE WHOLE LOAN-2002-W4 N/A 31392DUF7 12366.200000 PA USD 12549.360000 0.0061332 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 6.25 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BW76 9036.930000 PA USD 8705.290000 0.0042545 Long ABS-MBS USGSE US N 2 2042-08-25 Floating 4.11944 N N N N N N FNMA PASS THRU POOLS N/A 31402QX48 10523.090000 PA USD 10483.310000 0.0051235 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.309 N N N N N N FNMA PASS THRU POOLS N/A 31406DG67 7730.840000 PA USD 7931.760000 0.0038764 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 5.92 N N N N N N FHLMC PASS THRU POOLS N/A 31349SUX9 55248.230000 PA USD 54799.350000 0.0267818 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 4.967 N N N N N N FNMA PASS THRU POOLS N/A 31391MKY8 7322.930000 PA USD 7239.150000 0.003538 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 5.665 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2004-FL1 N/A 32051GDX0 50579.890000 PA USD 45591.320000 0.0222816 Long ABS-MBS CORP US N 3 2035-02-25 Floating 5.942 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4R4 10324.020000 PA USD 9494.580000 0.0046402 Long ABS-MBS CORP US N 3 2034-06-25 Floating 4.38059 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJ5H5 969.460000 PA USD 964.840000 0.0004715 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.09 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 73333.500000 PA USD 70982.610000 0.034691 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 6.212 N N N N N N FNMA PASS THRU POOLS N/A 31376PMV4 23298.790000 PA USD 23171.690000 0.0113246 Long ABS-MBS USGSE US N 2 2026-07-01 Floating 4.66 N N N N N N FHLMC PASS THRU POOLS N/A 31336CNW9 107631.150000 PA USD 106729.870000 0.0521616 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 4.53 N N N N N N SEQUOIA MORTGAGE TRUST 2004-3 N/A 81744FAZ0 72210.620000 PA USD 70248.490000 0.0343322 Long ABS-MBS CORP US N 3 2034-05-20 Floating 6.41652 N N N N N N SLM STUDENT LOAN TRUST 2005-B N/A 78443CCB8 1090079.420000 PA USD 1056738.580000 0.516455 Long ABS-O CORP US N 2 2039-06-15 Floating 5.97624 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Y4 9264.080000 PA USD 8156.270000 0.0039862 Long ABS-MBS CORP US N 3 2034-11-25 Floating 4.76451 N N N N N N N/A N/A 000000000 1.000000 NC USD -6206.910000 -0.0030335 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-13 0.000000 USD -2026.500000 USD 300000.000000 USD -4180.410000 N N N FHLMC PASS THRU POOLS N/A 3128JRCM6 798.970000 PA USD 790.350000 0.0003863 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 4.929 N N N N N N N/A N/A 000000000 1.000000 NC USD -6369.970000 -0.0031132 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-02-23 0.000000 USD -910.000000 USD 100000.000000 USD -5459.970000 N N N FNMA PASS THRU POOLS N/A 31381JRV6 27541.740000 PA USD 27426.480000 0.013404 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 5.818 N N N N N N FNMA PASS THRU POOLS N/A 31401Y6R1 4736.220000 PA USD 4676.830000 0.0022857 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 4.913 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AC2 5075.560000 PA USD 4821.000000 0.0023561 Long ABS-MBS CORP US N 3 2037-02-25 Floating 5.3418 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA N/A 78449VAB2 752286.430000 PA USD 677330.420000 0.331028 Long ABS-O CORP US N 2 2054-09-15 Fixed 1.6 N N N N N N N/A N/A 000000000 1.000000 NC USD -102280.620000 -0.0499871 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-06-21 0.000000 USD -56146.050000 USD 4200000.000000 USD -46134.570000 N N N N/A N/A 000000000 1.000000 NC USD 584596.700000 0.285707 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-06-23 0.000000 USD -15125.010000 USD 2000000.000000 USD 599721.710000 N N N BXMT 2020-FL3 LTD N/A 05608XAA0 820193.650000 PA USD 794281.150000 0.388185 Long ABS-MBS CORP KY N 2 2037-11-15 Floating 6.87629 N N N N N N N/A N/A 000000000 1.000000 NC USD -32384.900000 -0.0158273 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-01-24 0.000000 USD -800.990000 USD 100000.000000 USD -31583.910000 N N N FHLMC PASS THRU POOLS N/A 3128JNXL4 44518.840000 PA USD 44355.540000 0.0216777 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 6.209 N N N N N N FNMA PASS THRU POOLS N/A 31407EZG1 18945.250000 PA USD 18630.270000 0.0091051 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.655 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL3 N/A 12656PAC0 694862.810000 PA USD 706614.750000 0.34534 Long ABS-MBS CORP US N 2 2060-03-25 Variable 4.04638 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -4776.150000 -0.0023342 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.68750 04/04/24-1Y LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.690000 USD 2024-04-02 XXXX -2428.650000 N N N N/A N/A 000000000 1.000000 NC USD -1153507.730000 -0.563748 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-01-19 0.000000 USD -22308.320000 USD 3100000.000000 USD -1131199.410000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2019-B N/A 83192CAB3 308925.830000 PA USD 292809.230000 0.143103 Long ABS-O CORP US N 2 2037-06-15 Fixed 2.84 N N N N N N MFA 2020-NQM3 TRUST N/A 552757AA4 569722.710000 PA USD 512880.220000 0.250657 Long ABS-MBS CORP US N 2 2065-01-26 Variable 1.014 N N N N N N FNMA PASS THRU POOLS N/A 31405GQ37 16587.250000 PA USD 16547.390000 0.0080871 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 4.945 N N N N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 4439.540000 PA USD 4176.770000 0.0020413 Long ABS-MBS CORP US N 2 2042-08-25 Floating 6.4118 N N N N N N NAVIENT STUDENT LOAN TRUST 2019-CA N/A 63940YAB2 254494.790000 PA USD 244463.750000 0.119476 Long ABS-O CORP US N 2 2068-02-15 Fixed 3.13 N N N N N N VERUS SECURITIZATION TRUST 2023-3 N/A 92539GAA9 2123773.380000 PA USD 2124733.960000 1.03841 Long ABS-MBS CORP US N 2 2068-03-25 Variable 5.93 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAB6 607094.230000 PA USD 582690.070000 0.284775 Long ABS-O CORP US N 2 2047-12-26 Fixed 4.13 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC33 N/A 29425AAD5 900000.000000 PA USD 860836.050000 0.420712 Long ABS-MBS CORP US N 2 2058-09-10 Fixed 3.778 N N N N N N UMBS PASS THRU POOLS N/A 01F040628 9000000.000000 PA USD 8520820.380000 4.16434 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 4 N N N N N N NAVIENT STUDENT LOAN TRUST 2018-EA N/A 63890BAB2 1128607.650000 PA USD 1104629.140000 0.53986 Long ABS-O CORP US N 2 2059-12-15 Fixed 4 N N N N N N CBAM 2018-5 LTD 8A N/A 12478CAA9 865365.960000 PA USD 865844.200000 0.42316 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 6.79743 N N N N N N FNMA PASS THRU POOLS N/A 31389AZQ9 2317.060000 PA USD 2234.540000 0.0010921 Long ABS-MBS USGSE US N 2 2032-08-01 Floating 4.219 N N N N N N FNMA PASS THRU POOLS N/A 31391MLM3 1492.010000 PA USD 1477.730000 0.0007222 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 6.4 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAL3 400000.000000 PA USD 386458.360000 0.188872 Long ABS-MBS CORP US N 2 2035-06-15 Floating 8.284 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2003-2 N/A 83611MAQ1 17944.990000 PA USD 17474.260000 0.0085401 Long ABS-MBS CORP US N 3 2033-11-25 Floating 6.77043 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433WL6 24143.680000 PA USD 22363.220000 0.0109295 Long ABS-MBS CORP US N 3 2034-11-21 Floating 5.38579 N N N N N N FNMA PASS THRU POOLS N/A 31371MQL4 29260.170000 PA USD 29156.680000 0.0142496 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.873 N N N N N N FNMA PASS THRU POOLS N/A 3140XLCS5 35039.600000 PA USD 33715.320000 0.0164775 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F050627 4700000.000000 PA USD 4652265.670000 2.27368 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31403H3P3 12677.000000 PA USD 12645.370000 0.0061801 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 6.065 N N N N N N FREDDIE MAC 1968 N/A 3133TAC42 7377.750000 PA USD 7376.320000 0.003605 Long ABS-MBS USGSE US N 2 2026-10-15 Floating 5.95292 N N N N N N N/A N/A 000000000 1.000000 NC USD 5281759.210000 2.58133 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-16 1181681.540000 USD 0.000000 USD 38245000.000000 USD 4100077.670000 N N N N/A N/A 000000000 1.000000 NC USD -90426.690000 -0.0441938 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-01-04 0.000000 USD -1607.720000 USD 1100000.000000 USD -88818.970000 N N N WSTN TRUST 2023-MAUI N/A 92943AAA2 500000.000000 PA USD 509972.800000 0.249237 Long ABS-MBS CORP US N 2 2037-07-05 Fixed 6.57652 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC N/A 74140QAA6 3102391.310000 PA USD 3034500.130000 1.48304 Long ABS-MBS CORP US N 2 2061-02-25 Variable 1.9917 N N N N N N N/A N/A 000000000 -1000000.000000 NC USD -5439.000000 -0.0026582 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% FEB 30YR N/A 97.810000 USD 2024-02-06 XXXX -243.690000 N N N ADJUSTABLE RATE MORTAGE TRUST 2004-4 N/A 007036DN3 12523.610000 PA USD 11932.900000 0.0058319 Long ABS-MBS CORP US N 3 2035-03-25 Floating 4.81994 N N N N N N N/A N/A 000000000 1.000000 NC USD 111191.210000 0.0543419 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-12-20 0.000000 USD -18013.480000 USD 11900000.000000 USD 129204.690000 N N N MLCC MORTGAGE INVESTORS INC. 2003-D N/A 589929V21 186996.060000 PA USD 177367.630000 0.086684 Long ABS-MBS CORP US N 2 2028-08-25 Floating 6.09043 N N N N N N FWD SECURITIZATION TRUST 2020-INV1 N/A 302985AA4 158872.450000 PA USD 145419.050000 0.0710699 Long ABS-MBS CORP US N 2 2050-01-25 Variable 2.24 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1 N/A 85573EAB3 113391.740000 PA USD 102888.060000 0.050284 Long ABS-MBS CORP US N 2 2055-11-25 Fixed 1.439 N N N N N N FHLMC PASS THRU POOLS N/A 3128S4AA5 1990.380000 PA USD 1995.560000 0.0009753 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 5.84 N N N N N N WORLDWIDE PLAZA TRUST 2017-WWP N/A 98162JAA4 1000000.000000 PA USD 762978.500000 0.372887 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 3.5263 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -3179.420000 -0.0015539 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.69000 04/04/24-1Y LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.690000 USD 2024-04-02 XXXX -1609.420000 N N N LONG BEACH MORTGAGE LOAN TR 2004-3 N/A 542514GM0 193311.500000 PA USD 189629.820000 0.0926768 Long ABS-MBS CORP US N 2 2034-07-25 Floating 6.32543 N N N N N N FNMA PASS THRU POOLS N/A 31403NSL2 43949.950000 PA USD 44164.530000 0.0215843 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 5.986 N N N N N N SEQUOIA MORTGAGE TRUST 2004-6 N/A 81744FCG0 11335.560000 PA USD 10112.470000 0.0049422 Long ABS-MBS CORP US N 3 2034-07-20 Floating 6.00638 N N N N N N NOVASTAR HOME EQUITY LOAN 2003-4 N/A 66987XDE2 1912522.080000 PA USD 1878680.770000 0.918158 Long ABS-MBS CORP US N 2 2034-02-25 Floating 6.21043 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDK5 3895.330000 PA USD 3665.980000 0.0017917 Long ABS-MBS CORP US N 3 2034-02-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -230083.020000 -0.112447 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-04-05 0.000000 USD -7904.000000 USD 1600000.000000 USD -222179.020000 N N N N/A N/A 000000000 1.000000 NC USD -4057.180000 -0.0019828 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-14 0.000000 USD -1327.500000 USD 200000.000000 USD -2729.680000 N N N N/A N/A 000000000 1.000000 NC USD -50719.000000 -0.0247876 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-02-16 0.000000 USD -1328.970000 USD 700000.000000 USD -49390.030000 N N N NEW YORK MORTGAGE TRUST 2021-SP1 N/A 62955RAA3 2760531.440000 PA USD 2625068.570000 1.28294 Long ABS-MBS CORP US N 2 2051-08-25 Fixed 1.6696 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2004-RA1 N/A 939336P80 13761.220000 PA USD 13471.300000 0.0065838 Long ABS-MBS CORP US N 3 2034-03-25 Fixed 7 N N N N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 540825.880000 PA USD 540982.350000 0.264392 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 6.74548 N N N N N N FNMA PASS THRU POOLS N/A 31402TQD0 23975.750000 PA USD 23757.590000 0.0116109 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 5.625 N N N N N N FANNIEMAE GRANTOR TRUST 2004-T3 N/A 31393YU52 3720.340000 PA USD 3725.820000 0.0018209 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31373NAU7 283.530000 PA USD 281.280000 0.0001375 Long ABS-MBS USGSE US N 2 2024-10-01 Floating 4.25 N N N N N N ARES XL CLO LTD 2016-40A N/A 04016GBB3 643293.540000 PA USD 641963.090000 0.313744 Long ABS-CBDO CORP KY N 2 2029-01-15 Floating 6.52548 N N N N N N FNMA PASS THRU POOLS N/A 3138YEGY7 57133.970000 PA USD 55032.660000 0.0268958 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -41303.660000 -0.0201861 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-01-26 0.000000 USD -784.200000 USD 400000.000000 USD -40519.460000 N N N MFA 2020-NQM1 TRUST N/A 552754AA1 194172.000000 PA USD 182436.870000 0.0891615 Long ABS-MBS CORP US N 2 2065-03-25 Variable 1.479 N N N N N N GNMA PASS THRU POOLS N/A 36179RJ42 74091.000000 PA USD 73950.550000 0.0361415 Long ABS-MBS USGSE US N 2 2045-07-20 Floating 3.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 593150.250000 0.289887 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-12-21 174092.890000 USD 0.000000 USD 9100000.000000 USD 419057.360000 N N N FNMA PASS THRU POOLS N/A 3140X6S93 343156.580000 PA USD 319531.420000 0.156163 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C24 N/A 61765LAU4 700000.000000 PA USD 677636.610000 0.331178 Long ABS-MBS CORP US N 2 2048-05-15 Fixed 3.732 N N N N N N N/A N/A 000000000 1.000000 NC USD -859129.110000 -0.419878 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-09 0.000000 USD -16951.250000 USD 7100000.000000 USD -842177.860000 N N N MLCC MORTGAGE INVESTORS INC. 2003-A N/A 589929G36 32931.810000 PA USD 30110.060000 0.0147155 Long ABS-MBS CORP US N 3 2028-03-25 Floating 6.70595 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE1 N/A 44328AAB6 5341.850000 PA USD 2135.240000 0.0010435 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.57043 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AK9 19365.660000 PA USD 7859.700000 0.0038412 Long ABS-MBS CORP US N 3 2036-11-25 Floating 5.5 N N N N N N N/A N/A 000000000 -6.000000 NC USD 13857.350000 0.0067724 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2026-03-17 -1453837.500000 USD 13857.350000 N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 3211415.410000 PA USD 1350679.570000 0.660111 Long ABS-MBS CORP US N 2 2037-09-25 Floating 6.57043 N N N N N N FNMA PASS THRU POOLS N/A 31408XS68 390.110000 PA USD 385.590000 0.0001884 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 6.173 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TL2 2300000.000000 PA USD 2269722.660000 1.10927 Long DBT UST US N 2 2052-11-15 Fixed 4 N N N N N N FANNIE MAE 2000-34 N/A 31358SSV4 11191.950000 PA USD 10978.780000 0.0053656 Long ABS-MBS USGSE US N 2 2030-10-25 Floating 5.90191 N N N N N N N/A N/A 000000000 1.000000 NC USD 136117.800000 0.0665242 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-01-17 634.380000 USD 0.000000 USD 6000000.000000 USD 135483.420000 N N N UMBS PASS THRU POOLS N/A 01F060626 21800000.000000 PA USD 22136367.020000 10.8186 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31404Q5M7 30968.320000 PA USD 29971.570000 0.0146479 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 6.212 N N N N N N FHLMC PASS THRU POOLS N/A 31295NLN6 32826.450000 PA USD 32746.340000 0.016004 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 5.039 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCB37 1628.700000 PA USD 1667.220000 0.0008148 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 4.566 N N N N N N FHLMC PASS THRU POOLS N/A 31336CL35 32838.440000 PA USD 32444.100000 0.0158562 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 4.578 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT N/A 05525DAG1 3170000.000000 PA USD 3143529.230000 1.53632 Long ABS-MBS CORP US N 2 2034-03-15 Floating 7.00901 N N N N N N FNMA PASS THRU POOLS N/A 3140J9UZ2 377847.720000 PA USD 349661.680000 0.170888 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -75576.280000 -0.036936 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-17 0.000000 USD -4785.000000 USD 1200000.000000 USD -70791.280000 N N N FNMA PASS THRU POOLS N/A 31385WZU6 78826.600000 PA USD 80432.920000 0.0393096 Long ABS-MBS USGSE US N 2 2040-04-01 Floating 5.816 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB27 132314.050000 PA USD 120374.600000 0.0588301 Long ABS-MBS CORP US N 3 2034-02-25 Floating 4.1832 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 3365.960000 PA USD 3466.540000 0.0016942 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.377 N N N N N N LCCM 2021-FL3 TRUST N/A 50190FAA9 3800000.000000 PA USD 3774488.240000 1.84469 Long ABS-CBDO CORP US N 2 2038-11-15 Floating 6.92629 N N N N N N FANNIE MAE 2003-124 N/A 31393USE4 6437.750000 PA USD 6393.240000 0.0031245 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 5.75191 N N N N N N N/A N/A 000000000 1.000000 NC USD 182924.430000 0.0893998 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-12-10 0.000000 USD -2783.630000 USD 1900000.000000 USD 185708.060000 N N N STRUCTURED ADJUST RATE MTG LN 2004-13 N/A 863579BZ0 75899.550000 PA USD 66739.370000 0.0326172 Long ABS-MBS CORP US N 3 2034-09-25 Floating 5.77043 N N N N N N N/A N/A 000000000 1.000000 NC USD -255090.440000 -0.124669 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -80642.540000 USD 1760000.000000 USD -174447.900000 N N N N/A N/A 000000000 1.000000 NC USD -1271.360000 -0.0006213 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-02 0.000000 USD -277.500000 USD 100000.000000 USD -993.860000 N N N STRUCTURED ASSET SEC CORP 2003-6A N/A 86359AMR1 76013.330000 PA USD 71807.460000 0.0350941 Long ABS-MBS CORP US N 3 2033-03-25 Floating 7.71033 N N N N N N FNMA PASS THRU POOLS N/A 31384WE71 34899.260000 PA USD 34542.060000 0.0168816 Long ABS-MBS USGSE US N 2 2030-03-01 Floating 3.72 N N N N N N CSAIL COMMERCIAL MORTGAGE TRUST 2019-C16 N/A 12596WAC8 200000.000000 PA USD 180507.300000 0.0882184 Long ABS-MBS CORP US N 2 2052-06-15 Fixed 3.329 N N N N N N GNMA PASS THRU POOLS N/A 36225CVW3 17684.240000 PA USD 17471.350000 0.0085387 Long ABS-MBS USGSE US N 2 2032-08-20 Floating 3.625 N N N N N N FNMA PASS THRU POOLS N/A 31390S3K5 4390.850000 PA USD 4325.210000 0.0021138 Long ABS-MBS USGSE US N 2 2032-05-01 Floating 4.869 N N N N N N FNMA PASS THRU POOLS N/A 31408GJF5 5497.490000 PA USD 5504.220000 0.0026901 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 5.98 N N N N N N FNMA PASS THRU POOLS N/A 31403KDN0 31294.270000 PA USD 30765.090000 0.0150357 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 4.99 N N N N N N FHLMC PASS THRU POOLS N/A 31348MWV5 33146.540000 PA USD 32506.880000 0.0158869 Long ABS-MBS USGSE US N 2 2030-09-01 Floating 3.59 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1 N/A 85573EAC1 113391.740000 PA USD 103069.530000 0.0503727 Long ABS-MBS CORP US N 2 2055-11-25 Fixed 1.593 N N N N N N GSR MORTGAGE LOAN TRUST 2004-11 N/A 36242DFP3 898441.170000 PA USD 893278.010000 0.436567 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.976 N N N N N N GNMA PASS THRU POOLS N/A 36225CA89 38857.490000 PA USD 37889.980000 0.0185178 Long ABS-MBS USGSE US N 2 2027-01-20 Floating 3.625 N N N N N N TPMT-2019-1 N/A 89177BAA3 1143777.880000 PA USD 1096254.710000 0.535767 Long ABS-MBS CORP US N 2 2058-03-25 Variable 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -4883.960000 -0.0023869 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-03-07 0.000000 USD -1068.750000 USD 300000.000000 USD -3815.210000 N N N N/A N/A 000000000 1.000000 NC USD -4202.580000 -0.0020539 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-02-23 0.000000 USD -860.000000 USD 200000.000000 USD -3342.580000 N N N N/A N/A 000000000 1.000000 NC USD -61749.390000 -0.0301785 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -62331.600000 USD 580000.000000 USD 582.210000 N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868BE0 232140.630000 PA USD 121112.390000 0.0591907 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.49227 N N N N N N BANK OF AMERICA MTGE SEC 2003-H N/A 05948XTL5 51465.040000 PA USD 45241.630000 0.0221107 Long ABS-MBS CORP US N 3 2033-09-25 Floating 5.49608 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ3H1 2348869.320000 PA USD 2118244.340000 1.03524 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -4681.040000 -0.0022877 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-03-01 0.000000 USD -881.250000 USD 200000.000000 USD -3799.790000 N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673AW2 1825039.850000 PA USD 1772620.140000 0.866324 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.01043 N N N N N N EQUIFIRST MORTGAGE LOAN TRUST N/A 29445FAH1 38522.820000 PA USD 36828.840000 0.0179992 Long ABS-MBS CORP US N 3 2033-09-25 Floating 6.59773 N N N N N N FNMA PASS THRU POOLS N/A 31389AZ55 673.800000 PA USD 663.060000 0.0003241 Long ABS-MBS USGSE US N 2 2038-01-01 Floating 6.162 N N N N N N FHLMC PASS THRU POOLS N/A 31342AB57 2516.600000 PA USD 2529.880000 0.0012364 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 4.499 N N N N N N KKR CLO LTD 18 N/A 48251JAL7 702463.700000 PA USD 701971.980000 0.343071 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 6.59665 N N N N N N INDYMAC ARM TRUST 2001-H2 N/A 45660UAT6 8129.240000 PA USD 7468.950000 0.0036503 Long ABS-MBS CORP US N 3 2032-01-25 Floating 5.54492 N N N N N N FNMA PASS THRU POOLS N/A 31389AZ22 1017.980000 PA USD 996.940000 0.0004872 Long ABS-MBS USGSE US N 2 2027-11-01 Floating 5.576 N N N N N N FNMA PASS THRU POOLS N/A 3140MNN36 370014.520000 PA USD 327594.860000 0.160104 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3 N N N N N N MASTR ADJUSTABLE RATE MTGE TRUST 2006-2 N/A 576438AD7 18076.670000 PA USD 16774.540000 0.0081981 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.88933 N N N N N N N/A N/A 000000000 1.000000 NC USD -39353.830000 -0.0192332 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-28 0.000000 USD -4002.000000 USD 800000.000000 USD -35351.830000 N N N N/A N/A 000000000 1.000000 NC USD -5996.780000 -0.0029308 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-24 0.000000 USD -1942.500000 USD 300000.000000 USD -4054.280000 N N N N/A N/A 000000000 -6.000000 NC USD 18501.340000 0.0090421 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-06-17 -1448512.500000 USD 18501.340000 N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GC4 14224.250000 PA USD 12504.520000 0.0061113 Long ABS-MBS CORP US N 3 2033-12-25 Floating 4.51516 N N N N N N FNMA PASS THRU POOLS N/A 31378C4V1 1002.530000 PA USD 984.460000 0.0004811 Long ABS-MBS USGSE US N 2 2027-07-01 Floating 4.435 N N N N N N FREDDIE MAC 2509 N/A 31392WJU5 3559.710000 PA USD 3577.350000 0.0017483 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJ4L7 703.910000 PA USD 696.300000 0.0003403 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.488 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 96659.570000 PA USD 90273.210000 0.0441188 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 6.2118 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFC1 26250.900000 PA USD 24639.960000 0.0120422 Long ABS-MBS CORP US N 3 2033-07-25 Floating 4.85785 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-3 N/A 1266714L7 1349740.230000 PA USD 1293163.980000 0.632002 Long ABS-MBS CORP US N 2 2034-08-25 Floating 5.89043 N N N N N N FNMA PASS THRU POOLS N/A 31406KA26 385.520000 PA USD 381.820000 0.0001866 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 5.405 N N N N N N FNMA PASS THRU POOLS N/A 31418EGF1 62023.490000 PA USD 59589.100000 0.0291227 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -60019.830000 -0.0293332 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-02-14 0.000000 USD -1425.000000 USD 400000.000000 USD -58594.830000 N N N FNMA PASS THRU POOLS N/A 31401CCQ4 2848.680000 PA USD 2817.770000 0.0013771 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 4.658 N N N N N N FHLMC PASS THRU POOLS N/A 3128Q2FY4 1401.190000 PA USD 1389.950000 0.0006793 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 5.394 N N N N N N N/A N/A 000000000 1.000000 NC USD -6446.700000 -0.0031507 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-31 0.000000 USD -2055.000000 USD 300000.000000 USD -4391.700000 N N N FHLMC PASS THRU POOLS N/A 31349UMJ4 17122.720000 PA USD 16944.950000 0.0082814 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.962 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-32 N/A 3133TSQG1 162379.680000 PA USD 163851.980000 0.0800786 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 5.73043 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2021-A N/A 19424KAB9 715349.160000 PA USD 637537.560000 0.311581 Long ABS-O CORP US N 2 2051-07-25 Fixed 1.6 N N N N N N GNMA PASS THRU POOLS N/A 36225CMN3 1452.850000 PA USD 1438.040000 0.0007028 Long ABS-MBS USGSE US N 2 2030-01-20 Floating 3.625 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 12129.480000 PA USD 11926.150000 0.0058286 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.765 N N N N N N FHLMC PASS THRU POOLS N/A 3128NC6C3 22169.040000 PA USD 22108.390000 0.0108049 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 5.981 N N N N N N OBX 2021-NQM1 N/A 67114BAA5 3005157.250000 PA USD 2492875.310000 1.21833 Long ABS-MBS CORP US N 2 2066-02-25 Variable 1.072 N N N N N N UMBS PASS THRU POOLS N/A 01F032625 27350000.000000 PA USD 25119265.630000 12.2764 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 3.5 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 10073.350000 PA USD 9871.330000 0.0048244 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.98 N N N N N N FNMA PASS THRU POOLS N/A 31413BD65 67384.630000 PA USD 66910.750000 0.032701 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 3.995 N N N N N N FANNIE MAE 2000-32 N/A 31358SNY3 14717.800000 PA USD 14719.240000 0.0071937 Long ABS-MBS USGSE US N 2 2030-10-18 Floating 5.90258 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPJ2 25464.160000 PA USD 22159.390000 0.0108298 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.79565 N N N N N N FNMA PASS THRU POOLS N/A 31387UEQ0 796.480000 PA USD 789.930000 0.0003861 Long ABS-MBS USGSE US N 2 2030-12-01 Floating 6.633 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBB7 838163.460000 PA USD 814955.550000 0.398289 Long ABS-MBS CORP US N 2 2045-12-25 Floating 6.05043 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 2353245.670000 PA USD 2224709.980000 1.08727 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -47537.220000 -0.0232326 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-02-28 0.000000 USD -909.380000 USD 500000.000000 USD -46627.840000 N N N N/A N/A 000000000 1.000000 NC USD 119997.450000 0.0586458 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-16 2243.760000 USD 0.000000 USD 706000.000000 USD 117753.690000 N N N GALAXY XV CLO LTD 2013-15A N/A 36318WAK6 1740613.680000 PA USD 1738718.220000 0.849755 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.62548 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1 N/A 85573EAA5 226448.330000 PA USD 203893.710000 0.099648 Long ABS-MBS CORP US N 2 2055-11-25 Fixed 1.027 N N N N N N UMBS PASS THRU POOLS N/A 01F022626 4100000.000000 PA USD 3493007.830000 1.70712 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 2.5 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -4043.500000 -0.0019762 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written UMBS PASS THRU POOLS FNMA TBA 6.0% FEB 30YR N/A 101.090000 USD 2024-02-06 XXXX -2051.310000 N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-GA N/A 63941UAA1 647110.750000 PA USD 579589.010000 0.28326 Long ABS-O CORP US N 2 2069-09-16 Fixed 1.17 N N N N N N N/A N/A 000000000 1.000000 NC USD -14896.380000 -0.0072802 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-03-16 0.000000 USD -470.250000 USD 100000.000000 USD -14426.130000 N N N FNMA PASS THRU POOLS N/A 31407EZZ9 28581.290000 PA USD 28621.080000 0.0139878 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 7.283 N N N N N N GNMA PASS THRU POOLS N/A 36202K3W3 1377.200000 PA USD 1368.800000 0.000669 Long ABS-MBS USGSE US N 2 2026-07-20 Floating 3.625 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB3 N/A 12669GA76 37873.660000 PA USD 34280.440000 0.0167537 Long ABS-MBS CORP US N 3 2035-06-20 Floating 4.44782 N N N N N N N/A N/A 000000000 -31.000000 NC USD -273475.900000 -0.133655 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-03-19 -3859984.380000 USD -273475.900000 N N N N/A N/A 000000000 1.000000 NC USD 1.760000 0.0000009 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 0.000000 USD -294.290000 USD 15823.000000 USD 296.050000 N N N N/A N/A 000000000 1.000000 NC USD 72380.180000 0.035374 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-05-06 0.000000 USD -1009.690000 USD 900000.000000 USD 73389.870000 N N N N/A N/A 000000000 -1000000.000000 NC USD -1776.300000 -0.0008681 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% FEB 30YR N/A 100.810000 USD 2024-02-06 XXXX -96.610000 N N N FREDDIE MAC 2525 N/A 31392XUX4 105828.600000 PA USD 104196.100000 0.0509232 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -4945.120000 -0.0024168 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-02-23 0.000000 USD -689.500000 USD 200000.000000 USD -4255.620000 N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 12075.530000 PA USD 11268.490000 0.0055072 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.87043 N N N N N N FNMA PASS THRU POOLS N/A 31384QRC9 3598.020000 PA USD 3522.280000 0.0017214 Long ABS-MBS USGSE US N 2 2029-07-01 Floating 4.394 N N N N N N PAGAYA AI DEBT TRUST 2023-3 N/A 69548BAC3 743937.570000 PA USD 753131.600000 0.368074 Long ABS-O CORP US N 2 2030-12-16 Variable 7.96209 N N N N N N FNMA PASS THRU POOLS N/A 31385HZV7 7545.960000 PA USD 7508.770000 0.0036697 Long ABS-MBS USGSE US N 2 2031-11-01 Floating 6.297 N N N N N N N/A N/A 000000000 1.000000 NC USD -136032.340000 -0.0664824 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -36945.540000 USD 920000.000000 USD -99086.800000 N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YS6 67040.760000 PA USD 53580.430000 0.0261861 Long ABS-MBS CORP US N 3 2035-11-25 Floating 5.05674 N N N N N N FNMA PASS THRU POOLS N/A 31402RTV1 5956.810000 PA USD 5914.690000 0.0028907 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 6.164 N N N N N N N/A N/A 000000000 1.000000 NC USD -64627.850000 -0.0315853 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-09-28 0.000000 USD -773.540000 USD 600000.000000 USD -63854.310000 N N N N/A N/A 000000000 1.000000 NC USD -31874.660000 -0.0155779 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-01-20 0.000000 USD -385.410000 USD 400000.000000 USD -31489.250000 N N N N/A N/A 000000000 1.000000 NC USD -28284.230000 -0.0138232 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-07-11 0.000000 USD -5520.000000 USD 400000.000000 USD -22764.230000 N N N FANNIE MAE 2002-95 N/A 31392HGV9 9782.420000 PA USD 9793.530000 0.0047863 Long ABS-MBS USGSE US N 2 2033-01-25 Floating 5.95191 N N N N N N WASHINGTON MUTUAL MTGE 2003-AR8 N/A 92922FAV0 182648.590000 PA USD 169195.730000 0.0826902 Long ABS-MBS CORP US N 3 2033-08-25 Floating 5.58354 N N N N N N FANNIEMAE WHOLE LOAN 2003-W1 N/A 31392GVX0 59355.540000 PA USD 56862.550000 0.0277902 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 6.5 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB2 N/A 17307GEB0 26306.170000 PA USD 24211.130000 0.0118326 Long ABS-MBS CORP US N 3 2034-03-25 Floating 5.32517 N N N N N N N/A N/A 000000000 1.000000 NC USD 32849.300000 0.0160543 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-01-17 457.110000 USD 0.000000 USD 1000000.000000 USD 32392.190000 N N N FANNIE MAE-1997-65 N/A 31359QF33 6428.200000 PA USD 6431.560000 0.0031433 Long ABS-MBS USGSE US N 2 2027-09-17 Floating 5.90258 N N N N N N FNMA PASS THRU POOLS N/A 31385XCM7 310.870000 PA USD 310.490000 0.0001517 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 5.594 N N N N N N N/A N/A 000000000 1.000000 NC USD -12716.100000 -0.0062147 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-17 0.000000 USD -3656.250000 USD 600000.000000 USD -9059.850000 N N N FNMA PASS THRU POOLS N/A 31385CDK6 10969.160000 PA USD 10952.600000 0.0053528 Long ABS-MBS USGSE US N 2 2030-05-01 Floating 5.025 N N N N N N FNMA PASS THRU POOLS N/A 31409JLH1 6118.390000 PA USD 6058.990000 0.0029612 Long ABS-MBS USGSE US N 2 2036-06-01 Floating 5.705 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AB4 152266.700000 PA USD 143264.630000 0.070017 Long ABS-MBS CORP US N 3 2037-02-25 Floating 5.3418 N N N N N N N/A N/A 000000000 1.000000 NC USD 2080680.240000 1.01688 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-03-20 0.000000 USD -30953.900000 USD 7500000.000000 USD 2111634.140000 N N N N/A N/A 000000000 1.000000 NC USD -774.060000 -0.0003783 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-17 0.000000 USD -1397.320000 USD 200000.000000 USD 623.260000 N N N N/A N/A 000000000 1.000000 NC USD -7930.260000 -0.0038757 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 0.000000 USD -974.750000 USD 160000.000000 USD -6955.510000 N N N BANK OF AMERICA MTG SEC 2005-I N/A 05949CHX7 9940.000000 PA USD 9441.860000 0.0046145 Long ABS-MBS CORP US N 3 2035-10-25 Floating 6.21152 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -318.200000 -0.0001555 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% FEB 30YR N/A 99.230000 USD 2024-02-06 XXXX 2416.180000 N N N PEPPER RESIDENTIAL SECURITIES TRUST 24A N/A 71338CAA5 11620.000000 PA USD 11619.900000 0.0056789 Long ABS-MBS CORP AU N 2 2060-11-18 Floating 6.35372 N N N N N N FANNIEMAE WHOLE LOAN 2004-W15 N/A 31394BZ64 12054.900000 PA USD 12126.340000 0.0059264 Long ABS-MBS USGSE US N 2 2044-08-25 Fixed 6 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NZ2 7188.550000 PA USD 7043.390000 0.0034423 Long ABS-MBS CORP US N 3 2035-04-25 Floating 4.79365 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS TRUST 2003-A6 N/A 5899294G0 4226.900000 PA USD 3841.260000 0.0018773 Long ABS-MBS CORP US N 3 2033-09-25 Floating 5.62124 N N N N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GH3 3511.460000 PA USD 3291.840000 0.0016088 Long ABS-MBS CORP US N 3 2034-01-25 Floating 4.38051 N N N N N N FNMA PASS THRU POOLS N/A 3140JANZ7 178800.230000 PA USD 166936.740000 0.0815862 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 31406MER3 5087.210000 PA USD 5163.390000 0.0025235 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 7.298 N N N N N N UMBS PASS THRU POOLS N/A 01F030413 13100000.000000 PA USD 12352378.940000 6.03692 Long ABS-MBS USGSE US N 2 2039-01-18 Fixed 3 N N N N N N SLM STUDENT LOAN TRUST 2006-A N/A 78443CCL6 2511649.420000 PA USD 2419895.850000 1.18266 Long ABS-O CORP US N 2 2039-06-15 Floating 5.93624 N N N N N N N/A N/A 000000000 -6.000000 NC USD 15626.100000 0.0076369 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-09-16 -1451737.500000 USD 15626.100000 N N N SOUND POINT CLO XVII 2017-3A N/A 83611GAL5 1566694.220000 PA USD 1564240.180000 0.764483 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 6.65743 N N N N N N FHLMC PASS THRU POOLS N/A 31342ASB6 273.410000 PA USD 270.940000 0.0001324 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 4.966 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR8 N/A 86359LGE3 81929.300000 PA USD 71802.270000 0.0350916 Long ABS-MBS CORP US N 2 2035-05-19 Floating 6.15023 N N N N N N FANNIE MAE 2002-60 N/A 31392EVN7 1669.680000 PA USD 1666.640000 0.0008145 Long ABS-MBS USGSE US N 2 2032-06-25 Floating 5.85191 N N N N N N LEHMAN XS TRUST 2007-9 N/A 52524MAT6 6493.240000 PA USD 32707.490000 0.015985 Long ABS-MBS CORP US N 3 2037-04-25 Floating 5.62043 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 3013966.420000 PA USD 2834145.350000 1.38512 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X81 449081.010000 PA USD 424925.710000 0.207672 Long ABS-MBS CORP US N 2 2045-01-25 Floating 6.27043 N N N N N N FNMA PASS THRU POOLS N/A 31405ARU9 6400.580000 PA USD 6399.030000 0.0031274 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.884 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 1221.960000 PA USD 1177.300000 0.0005754 Long ABS-MBS CORP US N 3 2033-02-25 Floating 6.34028 N N N N N N FHLMC PASS THRU POOLS N/A 3132D9MZ4 77864.470000 PA USD 74920.160000 0.0366154 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 280139.350000 0.136911 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-12-20 0.000000 USD -840.740000 USD 12000000.000000 USD 280980.090000 N N N FHLMC PASS THRU POOLS N/A 3128NC2K9 59739.920000 PA USD 61048.190000 0.0298358 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 4.322 N N N N N N FREDDIE MAC 1885 N/A 3133T83D7 2663.630000 PA USD 2661.750000 0.0013009 Long ABS-MBS USGSE US N 2 2026-09-15 Floating 5.90292 N N N N N N APIDOS CLO XV 2013-15A N/A 03764QBC5 1418922.480000 PA USD 1418970.670000 0.693487 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.68743 N N N N N N FNMA PASS THRU POOLS N/A 31404MPT9 39156.120000 PA USD 38994.250000 0.0190575 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 36513.290000 0.017845 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-02-09 1163.710000 USD 0.000000 USD 300000.000000 USD 35349.580000 N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAA8 441523.080000 PA USD 438132.320000 0.214126 Long ABS-O CORP US N 2 2047-12-26 Floating 6.67043 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-1 N/A 576433JG2 145098.180000 PA USD 122436.690000 0.0598379 Long ABS-MBS CORP US N 3 2034-02-25 Floating 3.3372 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2005-AR6 N/A 36185MBL5 34504.390000 PA USD 28855.690000 0.0141025 Long ABS-MBS CORP US N 3 2035-11-19 Floating 4.26446 N N N N N N GNMA PASS THRU POOLS N/A 36225CLH7 137289.120000 PA USD 134824.150000 0.0658919 Long ABS-MBS USGSE US N 2 2029-10-20 Floating 2.75 N N N N N N FHLMC PASS THRU POOLS N/A 3128NVLF7 851.630000 PA USD 846.170000 0.0004135 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.37 N N N N N N N/A N/A 000000000 1.000000 NC USD 1951.060000 0.0009535 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-12-20 0.000000 USD -20511.770000 USD 700000.000000 USD 22462.830000 N N N FHLMC PASS THRU POOLS N/A 3133BASY8 53231.660000 PA USD 47124.020000 0.0230307 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-A N/A 78449UAB4 321577.290000 PA USD 298760.670000 0.146012 Long ABS-O CORP US N 2 2037-09-15 Fixed 2.23 N N N N N N CREDIT-BASED ASSET SERV & SEC 2004-CB4 N/A 12489WJP0 338931.200000 PA USD 306216.200000 0.149656 Long ABS-MBS CORP US N 2 2035-05-25 Variable 6.78 N N N N N N ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2021-1A N/A 04047AAA2 109071.100000 PA USD 107401.030000 0.0524896 Long ABS-O CORP US N 2 2027-01-15 Fixed 1.19 N N N N N N N/A N/A 000000000 1.000000 NC USD -3650.440000 -0.0017841 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-25 0.000000 USD -1390.000000 USD 200000.000000 USD -2260.440000 N N N MLCC MORTGAGE INVESTORS INC. 2003-C N/A 589929S41 37300.320000 PA USD 33501.400000 0.016373 Long ABS-MBS CORP US N 2 2028-06-25 Floating 6.13043 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCY40 2651.990000 PA USD 2659.110000 0.0012996 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.37 N N N N N N FNMA PASS THRU POOLS N/A 31400QX81 4290.080000 PA USD 4266.250000 0.002085 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 4.19 N N N N N N FNMA PASS THRU POOLS N/A 31411DCZ0 1832.110000 PA USD 1888.440000 0.0009229 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 6.001 N N N N N N UMBS PASS THRU POOLS N/A 01F052623 13000000.000000 PA USD 13058906.380000 6.38222 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 5.5 N N N N N N MFA 2020-NQM3 TRUST N/A 552757AC0 203472.740000 PA USD 184944.270000 0.0903869 Long ABS-MBS CORP US N 2 2065-01-26 Variable 1.632 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1 N/A 07389QAL2 588080.070000 PA USD 343703.460000 0.167977 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 3.08523 N N N N N N FANNIE MAE 2006-118 N/A 31396L4R8 1460.090000 PA USD 1421.190000 0.0006946 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 5.50257 N N N N N N FHLMC PASS THRU POOLS N/A 3128QLQU8 7689.130000 PA USD 7834.480000 0.0038289 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.25 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCHJ6 48168.760000 PA USD 47690.000000 0.0233073 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 5.374 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 698145.670000 PA USD 633170.650000 0.309446 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.76451 N N N N N N N/A N/A 000000000 1.000000 NC USD 1752732.690000 0.856604 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-06-23 0.000000 USD -45718.690000 USD 6000000.000000 USD 1798451.380000 N N N TOWD POINT MORTGAGE TRUST 2017-4 N/A 89173UAA5 332426.080000 PA USD 319846.640000 0.156317 Long ABS-MBS CORP US N 2 2057-06-25 Variable 2.75 N N N N N N FANNIE MAE-1997-20 N/A 31359N4G3 547.830000 PA USD 544.540000 0.0002661 Long ABS-MBS USGSE US N 2 2027-03-25 Floating 3.32409 N N N N N N FHLMC PASS THRU POOLS N/A 3128QPUK6 81141.240000 PA USD 80623.440000 0.0394027 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 5.915 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A 31395A3J2 1060166.790000 PA USD 986872.690000 0.482309 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 6.4118 N N N N N N N/A N/A 000000000 1.000000 NC USD -3521.070000 -0.0017208 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-21 0.000000 USD -1087.500000 USD 300000.000000 USD -2433.570000 N N N FANNIEMAE WHOLE LOAN 2005-W2 N/A 31394DJP6 270.780000 PA USD 270.690000 0.0001323 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 5.41 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 235784.030000 PA USD 200892.570000 0.0981812 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.85043 N N N N N N FNMA PASS THRU POOLS N/A 3138WDD65 594947.780000 PA USD 561387.130000 0.274364 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31406GD55 2964.460000 PA USD 2929.820000 0.0014319 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 3.731 N N N N N N STRUCTURED ASSET SECURITIES CRP 2003-22A N/A 86359AYX5 170602.140000 PA USD 161923.930000 0.0791363 Long ABS-MBS CORP US N 3 2033-06-25 Floating 7.32266 N N N N N N FNMA PASS THRU POOLS N/A 31409U6W0 147885.860000 PA USD 147654.250000 0.0721623 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 6.105 N N N N N N N/A N/A 000000000 1.000000 NC USD 3571080.630000 1.74528 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-17 664954.640000 USD 0.000000 USD 24580000.000000 USD 2906125.990000 N N N LONG BEACH MTGE LOAN TRUST 2001-4 N/A 542514BQ6 15726.200000 PA USD 14995.060000 0.0073285 Long ABS-MBS CORP US N 3 2032-03-25 Floating 6.17043 N N N N N N N/A N/A 000000000 1.000000 NC USD -311915.140000 -0.152441 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-15 48144.010000 USD 0.000000 USD 2948000.000000 USD -360059.150000 N N N FNMA PASS THRU POOLS N/A 31402CUL4 1226.510000 PA USD 1215.640000 0.0005941 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 4.887 N N N N N N FNMA PASS THRU POOLS N/A 31418EHF0 3525.150000 PA USD 3381.040000 0.0016524 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31403DLG2 34.620000 PA USD 34.330000 0.0000168 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 5.258 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4P8 5252.250000 PA USD 5086.980000 0.0024861 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.23956 N N N N N N FREDDIE MAC 1980 N/A 3133TAG22 5143.840000 PA USD 5171.220000 0.0025273 Long ABS-MBS USGSE US N 2 2027-07-15 Fixed 7 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-UST1 N/A 17307GKZ0 538.610000 PA USD 487.670000 0.0002383 Long ABS-MBS CORP US N 3 2034-08-25 Floating 6.80298 N N N N N N N/A N/A 000000000 1.000000 NC USD -5473.870000 -0.0026752 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-12-11 0.000000 USD -1562.500000 USD 500000.000000 USD -3911.370000 N N N FREDDIE MAC 2413 N/A 31339NE85 13680.500000 PA USD 13560.470000 0.0066273 Long ABS-MBS USGSE US N 2 2032-02-15 Floating 6.00292 N N N N N N COUNTRYWIDE HOME LOANS 2005-19 N/A 126694AN8 60154.880000 PA USD 12152.040000 0.005939 Long ABS-MBS CORP US N 3 2035-08-25 Floating 5.82043 N N N N N N WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1 N/A 939335N68 26245.950000 PA USD 25473.410000 0.0124495 Long ABS-MBS CORP US N 3 2030-11-25 Floating 5.96088 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAG4 400000.000000 PA USD 390589.800000 0.190891 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.984 N N N N N N SOUND POINT CLO XV LTD 2017-1A N/A 83609RAL5 151646.670000 PA USD 151754.470000 0.0741662 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 6.57354 N N N N N N FNMA PASS THRU POOLS N/A 31400AMS4 1055.580000 PA USD 1050.390000 0.0005134 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 5 N N N N N N FNMA PASS THRU POOLS N/A 31409X2M0 8229.610000 PA USD 8199.340000 0.0040072 Long ABS-MBS USGSE US N 2 2024-09-01 Floating 8.469 N N N N N N N/A N/A 000000000 1.000000 NC USD 711125.120000 0.347545 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-01-15 0.000000 USD -53826.900000 USD 6300000.000000 USD 764952.020000 N N N FNMA PASS THRU POOLS N/A 31411N6Y8 155389.850000 PA USD 155173.340000 0.0758371 Long ABS-MBS USGSE US N 2 2037-05-01 Floating 4.172 N N N N N N EFS VOLUNTEER LLC 2010-1 N/A 26844VAB2 46386.340000 PA USD 46406.560000 0.02268 Long ABS-O CORP US N 2 2035-10-25 Floating 6.44564 N N N N N N FREDDIE MAC 3134 N/A 31396J4X0 1205.590000 PA USD 1188.130000 0.0005807 Long ABS-MBS USGSE US N 2 2036-03-15 Floating 5.75292 N N N N N N N/A N/A 000000000 1.000000 NC USD 366594.460000 0.179164 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-02-12 0.000000 USD -48227.790000 USD 3800000.000000 USD 414822.250000 N N N FREDDIE MAC-1691 N/A 3133T4GV2 218.800000 PA USD 217.270000 0.0001062 Long ABS-MBS USGSE US N 2 2024-03-15 Floating 5.90292 N N N N N N FHLMC PASS THRU POOLS N/A 3128QS2Z8 16612.540000 PA USD 16581.590000 0.0081038 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 3.955 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PL1 1270.310000 PA USD 1222.990000 0.0005977 Long ABS-MBS CORP US N 3 2033-02-25 Floating 4.975 N N N N N N FANNIEMAE WHOLE LOAN-2002-W4 N/A 31392DUA8 13015.220000 PA USD 13841.790000 0.0067648 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 228512.610000 0.11168 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-22 0.000000 USD -4073.130000 USD 700000.000000 USD 232585.740000 N N N FNMA PASS THRU POOLS N/A 31406DJP2 30255.760000 PA USD 30111.720000 0.0147164 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 5.847 N N N N N N N/A N/A 000000000 1.000000 NC USD 124426.930000 0.0608106 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-09-07 0.000000 USD -3463.180000 USD 800000.000000 USD 127890.110000 N N N FREDDIE MAC 2417 N/A 31339D7C6 7017.700000 PA USD 7026.510000 0.003434 Long ABS-MBS USGSE US N 2 2031-12-15 Floating 6.05292 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 9291.600000 PA USD 9270.970000 0.004531 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 5.56257 N N N N N N FHLMC PASS THRU POOLS N/A 31346VHH5 13368.940000 PA USD 12931.580000 0.00632 Long ABS-MBS USGSE US N 2 2030-01-01 Floating 4.14 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7 N/A 07384MYS5 2497.690000 PA USD 2412.200000 0.0011789 Long ABS-MBS CORP US N 3 2033-10-25 Floating 5.61765 N N N N N N FHLMC PASS THRU POOLS N/A 31342AYG8 4685.510000 PA USD 4655.340000 0.0022752 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 6.2 N N N N N N FNMA PASS THRU POOLS N/A 31407ANB3 14181.640000 PA USD 14101.630000 0.0068918 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 5.945 N N N N N N FNMA PASS THRU POOLS N/A 31402W5X2 17445.690000 PA USD 17382.930000 0.0084955 Long ABS-MBS USGSE US N 2 2028-08-01 Floating 6.717 N N N N N N FNMA PASS THRU POOLS N/A 31415XZQ7 20155.760000 PA USD 19787.920000 0.0096709 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 5.175 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 225819.110000 PA USD 205260.450000 0.100316 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 6.2118 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -4452.090000 -0.0021758 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.78100 04/09/24-1Y LCH 2025-04-09 0.000000 USD 0.000000 USD N/A USD N/A 2.780000 USD 2024-04-05 XXXX -2134.590000 N N N RENAISSANCE HOME EQUITY LOAN TRUST 2002-2 N/A 759950AG3 9528.050000 PA USD 8636.090000 0.0042207 Long ABS-MBS CORP US N 3 2032-08-25 Floating 6.17043 N N N N N N FHLMC PASS THRU POOLS N/A 31349TVP3 97908.550000 PA USD 97310.590000 0.0475581 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 6.353 N N N N N N N/A N/A 000000000 1.000000 NC USD -7910.580000 -0.0038661 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-01-26 0.000000 USD -276.310000 USD 800000.000000 USD -7634.270000 N N N CSMC 2020-RPL5 TRUST N/A 12597XAC5 559045.480000 PA USD 566414.480000 0.276821 Long ABS-MBS CORP US N 2 2060-08-25 Fixed 3.023 N N N N N N FREDDIE MAC-2130 N/A 3133TJN58 12828.490000 PA USD 12548.210000 0.0061326 Long ABS-MBS USGSE US N 2 2029-03-15 Floating 5.80292 N N N N N N FNMA PASS THRU POOLS N/A 31402TAD7 518.790000 PA USD 515.610000 0.000252 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 5.795 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -4607.010000 -0.0022516 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.72100 04/10/24-1Y LCH 2025-04-10 0.000000 USD 0.000000 USD N/A USD N/A 2.720000 USD 2024-04-08 XXXX -2342.010000 N N N N/A N/A 000000000 -5.000000 NC USD 33266.740000 0.0162583 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-03-19 -1183015.630000 USD 33266.740000 N N N FNMA PASS THRU POOLS N/A 31407A7K1 7878.430000 PA USD 7965.760000 0.0038931 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 6.161 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 917432.140000 PA USD 916351.900000 0.447844 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 6.61983 N N N N N N N/A N/A 000000000 1.000000 NC USD -3888.370000 -0.0019003 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-08 0.000000 USD -1300.000000 USD 200000.000000 USD -2588.370000 N N N LCM LOAN INCOME FUND I LTD N/A 50189XAA3 613139.000000 PA USD 612910.200000 0.299545 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.70743 N N N N N N N/A N/A 000000000 1.000000 NC USD 1964.270000 0.00096 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.8 N/A N/A Y Single Leg Swap 2057-10-17 0.000000 USD -182850.320000 USD 3143516.570000 USD 184814.590000 N N N FANNIE MAE 2002-25 N/A 31392C6T6 7015.560000 PA USD 7102.670000 0.0034713 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 6.45191 N N N N N N FNMA PASS THRU POOLS N/A 31407CEH6 3690.600000 PA USD 3672.690000 0.0017949 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.978 N N N N N N NLT 2023-1 TRUST N/A 62917MAA1 1000000.000000 PA USD 892098.900000 0.435991 Long ABS-MBS CORP US N 2 2062-10-25 Variable 3.2 N N N N N N FNMA PASS THRU POOLS N/A 31403GZT2 13006.310000 PA USD 12961.240000 0.0063345 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31403CZ87 510.430000 PA USD 511.900000 0.0002502 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 6.111 N N N N N N JFIN CLO LTD 2017-2A N/A 46593CAA7 1699599.580000 PA USD 1697979.470000 0.829845 Long ABS-CBDO CORP KY N 2 2029-09-20 Floating 6.622 N N N N N N FNMA PASS THRU POOLS N/A 31410FWC5 1319.520000 PA USD 1318.260000 0.0006443 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 5.499 N N N N N N STUDENT LOAN MARKETING ASSN 2006-B N/A 78443CCU6 180561.030000 PA USD 173579.020000 0.0848324 Long ABS-O CORP US N 2 2039-12-15 Floating 5.91624 N N N N N N N/A N/A 000000000 1.000000 NC USD 60549.540000 0.0295921 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-12-20 252595.680000 USD 0.000000 USD 5100000.000000 USD -192046.140000 N N N STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1 N/A 78485WAA7 1026283.100000 PA USD 1015528.980000 0.496314 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 6.55629 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-B N/A 78449XAA0 1065541.980000 PA USD 961897.460000 0.470103 Long ABS-O CORP US N 2 2053-07-15 Fixed 1.29 N N N N N N FANNIE MAE 2006-118 N/A 31396L4T4 34066.020000 PA USD 33211.130000 0.0162311 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 5.50257 N N N N N N FHLMC PASS THRU POOLS N/A 31349TWL1 117.650000 PA USD 116.780000 0.0000571 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 6.375 N N N N N N FNMA PASS THRU POOLS N/A 31385WXE4 1634.040000 PA USD 1620.960000 0.0007922 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 6.335 N N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 12978.790000 PA USD 12521.640000 0.0061196 Long ABS-MBS CORP US N 3 2033-04-25 Floating 5.30808 N N N N N N FHLMC PASS THRU POOLS N/A 3128QSLH7 64531.240000 PA USD 64223.470000 0.0313876 Long ABS-MBS USGSE US N 2 2037-08-01 Floating 6.335 N N N N N N N/A N/A 000000000 1.000000 NC USD 0.320000 0.0000002 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 0.000000 USD -56.090000 USD 2900.880000 USD 56.410000 N N N N/A N/A 000000000 1.000000 NC USD -31415.360000 -0.0153535 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-01-26 0.000000 USD -876.340000 USD 100000.000000 USD -30539.020000 N N N N/A N/A 000000000 1.000000 NC USD 66480.660000 0.0324908 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-22 0.000000 USD -152.340000 USD 600000.000000 USD 66633.000000 N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 95379.930000 PA USD 95266.690000 0.0465592 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 5.80191 N N N N N N N/A N/A 000000000 1.000000 NC USD -12309.290000 -0.0060159 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-09-08 0.000000 USD -2520.000000 USD 400000.000000 USD -9789.290000 N N N PALMER SQUARE CLO 2022-1 LTD N/A 69689QAA3 2000000.000000 PA USD 1987691.700000 0.971435 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 6.73582 N N N N N N FREDDIE MAC 2115 N/A 3133THXQ5 651.440000 PA USD 649.590000 0.0003175 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 6 N N N N N N FANNIE MAE 2000-47 N/A 31358SH87 9972.100000 PA USD 9972.790000 0.004874 Long ABS-MBS USGSE US N 2 2030-12-25 Floating 6.00191 N N N N N N FNMA PASS THRU POOLS N/A 31404ECQ7 27227.610000 PA USD 27095.560000 0.0132423 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 4.322 N N N N N N GSR MORTGAGE LOAN TRUST 2004-9 N/A 36242DBM4 15659.860000 PA USD 14205.350000 0.0069425 Long ABS-MBS CORP US N 3 2034-08-25 Floating 4.33461 N N N N N N GS MORTGAGE SECURITIES CORP II 2017-SLP N/A 36255MAJ6 1700000.000000 PA USD 1601490.610000 0.782689 Long ABS-MBS CORP US N 2 2032-10-10 Fixed 3.924 N N N N N N N/A N/A 000000000 1.000000 NC USD -43088.780000 -0.0210586 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-04-21 0.000000 USD -1306.250000 USD 500000.000000 USD -41782.530000 N N N FHLMC PASS THRU POOLS N/A 3128LUKS4 2216.390000 PA USD 2218.580000 0.0010843 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 4.006 N N N N N N GNMA PASS THRU POOLS N/A 36179RPM5 99962.730000 PA USD 99772.130000 0.0487611 Long ABS-MBS USGSE US N 2 2045-09-20 Floating 3.625 N N N N N N FANNIE MAE 2003-21 N/A 31392JY29 3394.390000 PA USD 3377.970000 0.0016509 Long ABS-MBS USGSE US N 2 2033-03-25 Floating 5.85191 N N N N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBS9 22826.110000 PA USD 18259.080000 0.0089237 Long ABS-MBS CORP US N 3 2033-05-25 Floating 5.36079 N N N N N N N/A N/A 000000000 -600000.000000 NC USD -97.020000 -0.0000474 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.69700 04/04/24-1Y LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.700000 USD 2024-04-02 XXXX 4609.230000 N N N COLLEGE AVE STUDENT LOANS LLC 2021-A N/A 19424KAA1 408770.950000 PA USD 402734.060000 0.196826 Long ABS-O CORP US N 2 2051-07-25 Floating 6.57137 N N N N N N N/A N/A 000000000 1.000000 NC USD -30082.800000 -0.0147022 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-01-12 0.000000 USD -536.400000 USD 400000.000000 USD -29546.400000 N N N FNMA PASS THRU POOLS N/A 31404JS97 7626.260000 PA USD 7571.370000 0.0037003 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 5.301 N N N N N N FNMA PASS THRU POOLS N/A 31409GR32 30121.120000 PA USD 30951.450000 0.0151267 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 5.876 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3 N/A 939336G49 6847.410000 PA USD 6414.690000 0.003135 Long ABS-MBS CORP US N 2 2033-06-25 Floating 4.66115 N N N N N N N/A N/A 000000000 1.000000 NC USD 21.370000 0.0000104 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-17 0.000000 USD -5532.030000 USD 192326.810000 USD 5553.400000 N N N GNMA PASS THRU POOLS N/A 21H040624 200000.000000 PA USD 191156.750000 0.0934231 Long ABS-MBS USGSE US N 2 2054-02-20 Fixed 4 N N N N N N FREDDIE MAC 2451 N/A 31392KGB6 3783.660000 PA USD 3793.440000 0.0018539 Long ABS-MBS USGSE US N 2 2032-03-15 Floating 6.00292 N N N N N N JP MORGAN MTGE TRUST 2005-A7 N/A 466247WQ2 116888.530000 PA USD 107025.860000 0.0523062 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.10876 N N N N N N FHLMC PASS THRU POOLS N/A 3128NKHZ2 194301.210000 PA USD 192171.560000 0.0939191 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 4.655 N N N N N N FNMA PASS THRU POOLS N/A 31406Q7B7 32338.120000 PA USD 32029.170000 0.0156535 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 5.551 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2004-8 N/A 576433QU3 221079.370000 PA USD 205885.830000 0.100622 Long ABS-MBS CORP US N 3 2034-08-25 Floating 6.06383 N N N N N N N/A N/A 000000000 1.000000 NC USD -6109.420000 -0.0029858 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-27 0.000000 USD -2062.500000 USD 300000.000000 USD -4046.920000 N N N N/A N/A 000000000 1.000000 NC USD -3581.340000 -0.0017503 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-25 0.000000 USD -1387.500000 USD 200000.000000 USD -2193.840000 N N N FNMA PASS THRU POOLS N/A 31402CN65 69530.460000 PA USD 68582.410000 0.0335179 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 4.605 N N N N N N FANNIEMAE WHOLE LOAN 2004-W2 N/A 31393XGQ4 3014.080000 PA USD 3124.760000 0.0015271 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31410F3M5 885.870000 PA USD 881.150000 0.0004306 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 3.81 N N N N N N PAGAYA AI DEBT TRUST 2023-6 N/A 69547UAB4 8400000.000000 PA USD 8468898.480000 4.13896 Long ABS-O CORP US N 2 2031-06-16 Fixed 7.464 N N N N N N NSLT-2021-BA N/A 64034QAB4 1839890.340000 PA USD 1672235.480000 0.817263 Long ABS-O CORP US N 2 2062-04-20 Fixed 1.42 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C55 N/A 95002EBB2 600000.000000 PA USD 526035.900000 0.257087 Long ABS-MBS CORP US N 2 2053-02-15 Fixed 2.725 N N N N N N N/A N/A 000000000 1.000000 NC USD -64192.080000 -0.0313723 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-03-25 0.000000 USD -1646.000000 USD 800000.000000 USD -62546.080000 N N N FNMA PASS THRU POOLS N/A 31406L2T4 1068.780000 PA USD 1060.220000 0.0005182 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.55 N N N N N N SEQUOIA MORTGAGE TRUST 2005-2 N/A 81744FGZ4 51111.810000 PA USD 46146.680000 0.022553 Long ABS-MBS CORP US N 3 2035-03-20 Floating 6.36938 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZS4 42203.320000 PA USD 40071.050000 0.0195837 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.65211 N N N N N N UPSTART SECURITIZATION TRUST 2021-5 N/A 91679JAA5 157395.940000 PA USD 156291.650000 0.0763836 Long ABS-O CORP US N 2 2031-11-20 Fixed 1.31 N N N N N N FREDDIE MAC 2526 N/A 31393FGG5 6544.330000 PA USD 6534.310000 0.0031935 Long ABS-MBS USGSE US N 2 2032-11-15 Floating 5.85292 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3 N/A 74143JAA9 2666197.850000 PA USD 2541103.310000 1.2419 Long ABS-MBS CORP US N 2 2051-09-25 Variable 1.8429 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAA5 159544.780000 PA USD 160540.960000 0.0784604 Long ABS-MBS CORP US N 2 2059-10-25 Floating 6.47043 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJUA2 1996.200000 PA USD 2008.830000 0.0009818 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 4.104 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR6 N/A 86359LEW5 1233513.960000 PA USD 1132591.420000 0.553526 Long ABS-MBS CORP US N 2 2035-02-19 Floating 6.17023 N N N N N N GCAT 2021-NQM3 TRUST N/A 36167HAC9 509321.490000 PA USD 422423.400000 0.206449 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.348 N N N N N N FNMA PASS THRU POOLS N/A 31390WRA2 13903.200000 PA USD 13698.240000 0.0066947 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 5.094 N N N N N N GNMA PASS THRU POOLS N/A 36179RV22 78458.200000 PA USD 77736.520000 0.0379918 Long ABS-MBS USGSE US N 2 2045-12-20 Floating 2.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 0.070000 0 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 3.550000 USD 0.000000 USD 659.290000 USD -3.480000 N N N N/A N/A 000000000 1.000000 NC USD -762.670000 -0.0003727 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD -112674.400000 USD 11050000.000000 USD 111911.730000 N N N FHLMC PASS THRU POOLS N/A 3128JMN94 1085.340000 PA USD 1084.650000 0.0005301 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.021 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D N/A 78471CAB5 441073.800000 PA USD 424616.940000 0.207521 Long ABS-O CORP US N 2 2040-09-25 Fixed 2.65 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 5990.260000 PA USD 5720.170000 0.0027956 Long ABS-MBS CORP US N 3 2032-03-25 Fixed 6.5 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 2727.100000 PA USD 2647.900000 0.0012941 Long ABS-MBS CORP US N 3 2035-07-25 Floating 5.52818 N N N N N N FHLMC PASS THRU POOLS N/A 31349UB56 531.760000 PA USD 545.920000 0.0002668 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 6.293 N N N N N N FNMA PASS THRU POOLS N/A 31406PBQ1 9399.210000 PA USD 9367.830000 0.0045783 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.5 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXP8 34729.100000 PA USD 34659.980000 0.0169392 Long ABS-MBS CORP US N 2 2035-09-25 Floating 7.56 N N N N N N N/A N/A 000000000 -6.000000 NC USD 26906.890000 0.0131501 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-12-17 -1438387.500000 USD 26906.890000 N N N N/A N/A 000000000 1.000000 NC USD -27971.660000 -0.0136705 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-07-11 0.000000 USD -5600.000000 USD 400000.000000 USD -22371.660000 N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A 30166TAD5 500000.000000 PA USD 503701.900000 0.246172 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.31 N N N N N N JP MORGAN MORTGAGE TRUST 2003-A2 N/A 466247AZ6 5975.760000 PA USD 5445.600000 0.0026614 Long ABS-MBS CORP US N 3 2033-11-25 Floating 4.7355 N N N N N N BEAR STEARNS ADJUSTABLE RATE MTGE 20 N/A 07384MS78 12215.010000 PA USD 10715.050000 0.0052367 Long ABS-MBS CORP US N 3 2034-07-25 Floating 3.67103 N N N N N N PAGAYA AI DEBT TRUST 2022-3 N/A 69547MAD8 460852.210000 PA USD 462194.670000 0.225886 Long ABS-O CORP US N 2 2030-03-15 Variable 6.66405 N N N N N N UMBS PASS THRU POOLS N/A 01F062622 7200000.000000 PA USD 7378031.160000 3.60583 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31400HFH1 1066.640000 PA USD 1062.820000 0.0005194 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 4.309 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-D N/A 63941CAB9 1028564.520000 PA USD 967182.460000 0.472686 Long ABS-O CORP US N 2 2059-12-15 Fixed 3.01 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 46297.170000 PA USD 42672.420000 0.0208551 Long ABS-MBS CORP US N 2 2042-11-25 Floating 6.2118 N N N N N N FNMA PASS THRU POOLS N/A 31400YDR4 5452.280000 PA USD 5442.540000 0.0026599 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 6.205 N N N N N N TESLA ELECTRIC VEHICLE TRUST 2023-1 N/A 881943AB0 500000.000000 PA USD 501608.900000 0.245149 Long ABS-O CORP US N 2 2026-12-21 Fixed 5.54 N N N N N N FNMA PASS THRU POOLS N/A 31401G4N1 27358.380000 PA USD 27079.000000 0.0132342 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 5.895 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFE7 221329.710000 PA USD 204243.350000 0.0998188 Long ABS-MBS CORP US N 3 2033-07-25 Floating 5.52213 N N N N N N SMRT 2022-MINI N/A 78457JAA0 1100000.000000 PA USD 1077850.730000 0.526773 Long ABS-MBS CORP US N 2 2039-01-15 Floating 6.362 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 19652.840000 PA USD 17831.090000 0.0087145 Long ABS-MBS CORP US N 2 2035-05-19 Floating 5.91023 N N N N N N N/A N/A 000000000 -1000000.000000 NC USD -727.400000 -0.0003555 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% JAN 30YR N/A 99.910000 USD 2024-01-09 XXXX 1850.730000 N N N FNMA PASS THRU POOLS N/A 31400KBW5 2088.750000 PA USD 2101.640000 0.0010271 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 7.075 N N N N N N FNMA PASS THRU POOLS N/A 31409FVH8 55258.540000 PA USD 55199.570000 0.0269774 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.393 N N N N N N FANNIE MAE 1999-37 N/A 31359V6Z1 6790.400000 PA USD 6773.250000 0.0033103 Long ABS-MBS USGSE US N 2 2029-06-25 Floating 5.85191 N N N N N N FNMA PASS THRU POOLS N/A 31410GDL4 9105.040000 PA USD 9328.400000 0.004559 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 5.135 N N N N N N NASSAU LTD 2017-IA N/A 631707AL0 316786.960000 PA USD 316784.380000 0.154821 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 6.80548 N N N N N N ELLINGTON FINANCIAL MORTGAGE TRUST 2020-1 N/A 31574PAA3 35949.910000 PA USD 34815.770000 0.0170153 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.006 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAJ4 132697.660000 PA USD 125424.740000 0.0612982 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.53816 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR24 N/A 22541QUQ3 14341.830000 PA USD 13488.730000 0.0065923 Long ABS-MBS CORP US N 3 2033-10-25 Floating 6.40125 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT N/A 05525DAA4 100000.000000 PA USD 99241.040000 0.0485016 Long ABS-MBS CORP US N 2 2034-03-15 Floating 6.60901 N N N N N N FHLMC PASS THRU POOLS N/A 3128QGDW9 6838.550000 PA USD 6822.390000 0.0033343 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 5.038 N N N N N N N/A N/A 000000000 1.000000 NC USD -127031.130000 -0.0620833 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -39015.970000 USD 880000.000000 USD -88015.160000 N N N FNMA PASS THRU POOLS N/A 31406QGB7 11212.830000 PA USD 11378.460000 0.0055609 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 7.224 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CX40 10137.670000 PA USD 10130.090000 0.0049508 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 5.80191 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 840096.020000 PA USD 832968.650000 0.407093 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.55648 N N N N N N OZLM XXI 2017-21A N/A 67112AAA9 1925485.600000 PA USD 1927991.450000 0.942258 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 6.82743 N N N N N N N/A N/A 000000000 1.000000 NC USD 4182631.710000 2.04416 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-06-15 1530435.380000 USD 0.000000 USD 13600000.000000 USD 2652196.330000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4J8 14003.870000 PA USD 11433.010000 0.0055876 Long ABS-MBS CORP US N 3 2035-01-25 Floating 5.125 N N N N N N N/A N/A 000000000 1.000000 NC USD -78710.250000 -0.0384677 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-10-05 0.000000 USD -1117.540000 USD 500000.000000 USD -77592.710000 N N N FNMA PASS THRU POOLS N/A 31418EJZ4 2357.500000 PA USD 2268.890000 0.0011089 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31408JAX9 1405.950000 PA USD 1402.520000 0.0006854 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.933 N N N N N N BBCMS MORTGAGE TRUST 2018-C2 N/A 05491UBD9 800000.000000 PA USD 774061.200000 0.378303 Long ABS-MBS CORP US N 2 2051-12-15 Fixed 4.314 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRHJ8 7898.100000 PA USD 7838.570000 0.0038309 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.731 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 18194.450000 PA USD 16566.510000 0.0080965 Long ABS-MBS CORP US N 2 2036-02-20 Floating 7.93997 N N N N N N FNMA PASS THRU POOLS N/A 31403DUV9 395.500000 PA USD 397.330000 0.0001942 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 5.928 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST N/A 46652DAA3 500000.000000 PA USD 386466.550000 0.188876 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.82648 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HXZ9 14.750000 PA USD 12.900000 0.0000063 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.09733 N N N N N N FNMA PASS THRU POOLS N/A 31374GRC3 16281.150000 PA USD 15776.500000 0.0077104 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.468 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 4745738.390000 PA USD 4462714.890000 2.18104 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N FANNIE MAE 2003-118 N/A 31393UMM2 6204.150000 PA USD 6201.920000 0.003031 Long ABS-MBS USGSE US N 2 2033-12-25 Floating 5.85191 N N N N N N FNMA PASS THRU POOLS N/A 31406NL93 1696.450000 PA USD 1690.390000 0.0008261 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.425 N N N N N N FNMA PASS THRU POOLS N/A 31402CVD1 10881.330000 PA USD 10889.140000 0.0053218 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 5.784 N N N N N N FANNIE MAE GRANTOR TR 2004-T1 N/A 31393XFT9 158342.800000 PA USD 162112.550000 0.0792285 Long ABS-MBS USGSE US N 2 2044-01-25 Fixed 6.5 N N N N N N RESIMAC PREMIER SERIES 2020-1A N/A 76120GAA7 128148.000000 PA USD 128157.920000 0.062634 Long ABS-MBS CORP AU N 2 2052-02-07 Floating 6.52409 N N N N N N N/A N/A 000000000 -6.000000 NC USD 22305.120000 0.0109011 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-03-18 -1443937.500000 USD 22305.120000 N N N GNMA PASS THRU POOLS N/A 21H030625 300000.000000 PA USD 271850.810000 0.13286 Long ABS-MBS USGSE US N 2 2054-02-20 Fixed 3 N N N N N N N/A N/A 000000000 -6.000000 NC USD 13707.500000 0.0066992 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2026-06-16 -1453687.500000 USD 13707.500000 N N N FNMA PASS THRU POOLS N/A 31409UUP8 19488.690000 PA USD 19473.720000 0.0095173 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.988 N N N N N N N/A N/A 000000000 1.000000 NC USD 104149.230000 0.0509003 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-02-03 0.000000 USD -840.320000 USD 300000.000000 USD 104989.550000 N N N FHLMC PASS THRU POOLS N/A 31295NEY0 19406.300000 PA USD 19164.710000 0.0093663 Long ABS-MBS USGSE US N 2 2032-03-01 Floating 4.583 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -32.000000 -0.0000156 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.69000 04/04/24-1Y LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.690000 USD 2024-04-02 XXXX 1538.000000 N N N FNMA PASS THRU POOLS N/A 31389L4R7 34780.170000 PA USD 34333.720000 0.0167797 Long ABS-MBS USGSE US N 2 2032-05-01 Floating 4.5 N N N N N N N/A N/A 000000000 -4.000000 NC USD 9552.650000 0.0046686 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-12-16 -968875.000000 USD 9552.650000 N N N FHLMC PASS THRU POOLS N/A 3133BANT4 212055.780000 PA USD 187713.040000 0.0917401 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3 N N N N N N BCAP LLC TRUST 2010-RR3 N/A 05532WBS3 408846.960000 PA USD 195726.380000 0.0956564 Long ABS-MBS CORP US N 3 2036-02-26 Variable 6.5 N N N N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 2404.410000 PA USD 2295.290000 0.0011218 Long ABS-MBS CORP US N 3 2032-03-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407XWM9 2734.820000 PA USD 2659.860000 0.0012999 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.873 N N N N N N FNMA PASS THRU POOLS N/A 31386G7J6 1456.600000 PA USD 1416.640000 0.0006923 Long ABS-MBS USGSE US N 2 2040-11-01 Floating 6.187 N N N N N N GNMA PASS THRU POOLS N/A 21H032613 5200000.000000 PA USD 4843312.500000 2.36705 Long ABS-MBS USGSE US N 2 2054-01-22 Fixed 3.5 N N N N N N GCAT 2021-NQM3 TRUST N/A 36167HAD7 509321.490000 PA USD 418582.200000 0.204572 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.503 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1 N/A 36261WAA5 2685435.410000 PA USD 2469867.450000 1.20709 Long ABS-MBS CORP US N 2 2060-12-25 Variable 1.75 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AR5 N/A 65535VPU6 16723.830000 PA USD 9185.790000 0.0044893 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.38889 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QZ4 4730000.000000 PA USD 4045073.820000 1.97693 Long DBT UST US N 2 2043-02-15 Fixed 3.125 N N N N N N FNMA PASS THRU POOLS N/A 31371LLA5 7558.170000 PA USD 7528.000000 0.0036791 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 6 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-3 N/A 07384MUM2 131.100000 PA USD 113.520000 0.0000555 Long ABS-MBS CORP US N 3 2033-05-25 Floating 4.17111 N N N N N N N/A N/A 000000000 1.000000 NC USD -5643.390000 -0.0027581 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-07 0.000000 USD -2175.000000 USD 300000.000000 USD -3468.390000 N N N GSR MORTGAGE LOAN TRUST 2003-1 N/A 36229RJJ9 1251.610000 PA USD 1198.230000 0.0005856 Long ABS-MBS CORP US N 3 2033-03-25 Floating 6.78 N N N N N N N/A N/A 000000000 -1000000.000000 NC USD -4455.100000 -0.0021773 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% FEB 30YR N/A 95.810000 USD 2024-02-06 XXXX 1052.710000 N N N N/A N/A 000000000 1.000000 NC USD -23170.900000 -0.0113242 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-09-06 0.000000 USD -5010.000000 USD 600000.000000 USD -18160.900000 N N N MORGAN STANLEY MORTGAGE TRUST-2004-11AR N/A 61748HGR6 557599.160000 PA USD 513104.030000 0.250767 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.79043 N N N N N N N/A N/A 000000000 1.000000 NC USD 724306.680000 0.353987 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-19 0.000000 USD -430374.510000 USD 25300000.000000 USD 1154681.190000 N N N FNMA PASS THRU POOLS N/A 31404J2J3 5262.060000 PA USD 5249.400000 0.0025655 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 4.387 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6 N/A 02150PAB4 661707.090000 PA USD 585140.500000 0.285973 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.87043 N N N N N N ACHV ABS TRUST 2023-3PL N/A 000876AA0 145639.880000 PA USD 145724.560000 0.0712192 Long ABS-O CORP US N 2 2030-08-19 Fixed 6.6 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL92 894745.660000 PA USD 817622.610000 0.399593 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.92591 N N N N N N STRUCTURED ASSET MTGE INV 2003-AR3 N/A 86358HUT4 11133.670000 PA USD 10380.710000 0.0050733 Long ABS-MBS CORP US N 3 2033-11-19 Floating 6.15023 N N N N N N CRESTLINE DENALI CLO XVII LTD 2018-1A N/A 22616TAJ5 1000000.000000 PA USD 998970.500000 0.488222 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 6.71548 N N N N N N FANNIE MAE 2001-38 N/A 313920QJ2 6207.500000 PA USD 6214.900000 0.0030374 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 5.95191 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-56 N/A 31393RG38 644232.680000 PA USD 634470.430000 0.310082 Long ABS-MBS USGSE US N 2 2043-05-25 Floating 5.85191 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCCU6 6527.210000 PA USD 6594.820000 0.0032231 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 3.786 N N N N N N FNMA PASS THRU POOLS N/A 3140H3W85 13944.090000 PA USD 12903.880000 0.0063064 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128QLRA1 7083.680000 PA USD 7253.540000 0.003545 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 5.221 N N N N N N GNMA PASS THRU POOLS N/A 21H042620 14000000.000000 PA USD 13677378.820000 6.68448 Long ABS-MBS USGSE US N 2 2054-02-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31404CGB0 187035.760000 PA USD 184568.040000 0.090203 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 4.893 N N N N N N FNMA PASS THRU POOLS N/A 31405MA56 32187.390000 PA USD 32688.870000 0.0159759 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 7.376 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS3 N/A 52474XAA3 2727132.700000 PA USD 2632183.480000 1.28641 Long ABS-MBS CORP US N 2 2061-07-25 Fixed 1.75 N N N N N N FHLMC PASS THRU POOLS N/A 3128NVMC3 1673.020000 PA USD 1680.770000 0.0008214 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 6.405 N N N N N N WASHINGTON MUTUAL 2005-AR17 N/A 92922F7P7 1164050.810000 PA USD 1045914.900000 0.511165 Long ABS-MBS CORP US N 2 2045-12-25 Floating 6.01043 N N N N N N UMBS PASS THRU POOLS N/A 01F042624 9800000.000000 PA USD 9506382.890000 4.64601 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31410UGH9 121258.090000 PA USD 120351.340000 0.0588187 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 5.5 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-8 N/A 007036QH2 79195.590000 PA USD 55476.320000 0.0271127 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.5155 N N N N N N SEQUOIA MORTGAGE TRUST 2003-1 N/A 81743PAA4 9735.680000 PA USD 8583.880000 0.0041952 Long ABS-MBS CORP US N 3 2033-04-20 Floating 6.2324 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -3326.750000 -0.0016259 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% JAN 30YR N/A 98.470000 USD 2024-01-09 XXXX -1022.060000 N N N FNMA PASS THRU POOLS N/A 31390RWU3 6115.310000 PA USD 6040.580000 0.0029522 Long ABS-MBS USGSE US N 2 2032-10-01 Floating 4.915 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A 07384YGX8 94557.920000 PA USD 93158.150000 0.0455287 Long ABS-MBS CORP US N 2 2042-11-25 Floating 6.47043 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TM0 3100000.000000 PA USD 3013660.160000 1.47285 Long DBT UST US N 2 2042-11-15 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXC8 53962.360000 PA USD 51955.190000 0.0253918 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 15925.120000 0.007783 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-12-15 0.000000 USD -3222.810000 USD 200000.000000 USD 19147.930000 N N N MFA 2020-NQM3 TRUST N/A 552757AB2 203472.740000 PA USD 184027.280000 0.0899387 Long ABS-MBS CORP US N 2 2065-01-26 Variable 1.324 N N N N N N FNMA PASS THRU POOLS N/A 31400SJE0 8746.340000 PA USD 8648.710000 0.0042268 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 4.913 N N N N N N MORGAN STANLEY DEAN WITT CAP I 2003-NC2 N/A 61746WA75 52704.220000 PA USD 53124.490000 0.0259633 Long ABS-MBS CORP US N 2 2033-02-25 Floating 6.82043 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW95 23765.260000 PA USD 23372.260000 0.0114226 Long ABS-MBS CORP US N 2 2035-11-25 Floating 7.86 N N N N N N FANNIE MAE 2001-62 N/A 31392ADL9 14609.900000 PA USD 14686.560000 0.0071777 Long ABS-MBS USGSE US N 2 2031-11-25 Floating 6.10191 N N N N N N N/A N/A 000000000 1.000000 NC USD 934022.330000 0.45648 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-12-21 255881.480000 USD 0.000000 USD 14300000.000000 USD 678140.850000 N N N COUNTRYWIDE HOME LOANS 2005-25 N/A 126694HQ4 68077.860000 PA USD 33784.370000 0.0165113 Long ABS-MBS CORP US N 3 2035-11-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -21874.830000 -0.0106908 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-01-20 0.000000 USD -325.250000 USD 200000.000000 USD -21549.580000 N N N STRUCTURED ARM LOAN TRUST 2005-4 N/A 863579NA2 45955.540000 PA USD 32832.450000 0.016046 Long ABS-MBS CORP US N 3 2035-03-25 Floating 5.71043 N N N N N N FNMA PASS THRU POOLS N/A 31402RPT0 31553.940000 PA USD 31217.280000 0.0152567 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 4.726 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRHC3 3126.950000 PA USD 3114.290000 0.001522 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 6 N N N N N N FNMA PASS THRU POOLS N/A 31404XJD7 2199.510000 PA USD 2186.000000 0.0010684 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 5.875 N N N N N N BANK OF AMERICA MTGE SEC 2003-L N/A 05948XR29 13061.430000 PA USD 12319.650000 0.0060209 Long ABS-MBS CORP US N 3 2034-01-25 Floating 6.14943 N N N N N N N/A N/A 000000000 1.000000 NC USD -50488.790000 -0.0246751 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-04-22 0.000000 USD -2073.000000 USD 600000.000000 USD -48415.790000 N N N FIRST HORIZON ALT MTGE SEC 2004-AA2 N/A 32051D4S8 40702.900000 PA USD 39752.170000 0.0194279 Long ABS-MBS CORP US N 3 2034-08-25 Floating 5.77146 N N N N N N LEGACY MORTGAGE ASSET TRUST 2020-SL1 N/A 52475KAA0 103383.710000 PA USD 103398.870000 0.0505336 Long ABS-MBS CORP US N 2 2060-01-25 Variable 5.734 N N N N N N FNMA PASS THRU POOLS N/A 31407MSF3 4306.430000 PA USD 4374.020000 0.0021377 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 7.275 N N N N N N N/A N/A 000000000 1.000000 NC USD -213.970000 -0.0001046 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD -24419.520000 USD 3100000.000000 USD 24205.550000 N N N N/A N/A 000000000 -500000.000000 NC USD -3615.950000 -0.0017672 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 6.0% FEB 30YR N/A 101.230000 USD 2024-02-06 XXXX -1740.950000 N N N RESIDENTIAL ASSET SECURITIES 2006-KS5 N/A 75406VAD5 683485.760000 PA USD 681776.910000 0.333201 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.73043 N N N N N N N/A N/A 000000000 1.000000 NC USD -4039.130000 -0.001974 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.11 N/A N/A Y Single Leg Swap 2054-11-18 11340.820000 USD 0.000000 USD 2400000.000000 USD -15379.950000 N N N HOME EQUITY PASS-THRU CERTS 2002-1 N/A 22541NAD1 7954.480000 PA USD 6872.900000 0.003359 Long ABS-MBS CORP US N 3 2032-11-25 Floating 6.07043 N N N N N N COMMONBOND STUDENT LOAN TRUST 2020-AGS N/A 20267WAA3 501604.780000 PA USD 435380.460000 0.212781 Long ABS-O CORP US N 2 2050-08-25 Fixed 1.98 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-12 N/A 17307GY69 69543.620000 PA USD 66979.700000 0.0327347 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.27043 N N N N N N NAVIENT STUDENT LOAN TRUST 2018-CA N/A 63940VAB8 10221.330000 PA USD 10115.890000 0.0049439 Long ABS-O CORP US N 2 2042-06-16 Fixed 3.52 N N N N N N N/A N/A 000000000 1.000000 NC USD -42103.640000 -0.0205771 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-02-02 0.000000 USD -899.610000 USD 300000.000000 USD -41204.030000 N N N N/A N/A 000000000 1.000000 NC USD -3804.580000 -0.0018594 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-22 0.000000 USD -1046.250000 USD 300000.000000 USD -2758.330000 N N N FNMA PASS THRU POOLS N/A 31406P4P1 34078.090000 PA USD 34154.390000 0.0166921 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 7.34 N N N N N N TESLA ELECTRIC VEHICLE TRUST 2023-1 N/A 881943AE4 500000.000000 PA USD 505933.100000 0.247262 Long ABS-O CORP US N 2 2029-02-20 Fixed 5.38 N N N N N N INDYMAC HOME EQUITY LOAN 2002-A N/A 43708AAD4 313014.010000 PA USD 299986.350000 0.146611 Long ABS-MBS CORP US N 3 2033-05-25 Variable 6.372 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAA1 19971.280000 PA USD 18887.080000 0.0092306 Long ABS-MBS CORP US N 3 2027-10-20 Floating 6.2724 N N N N N N HERA COMMERCIAL MORTGAGE 2021-FL1 N/A 42704RAA9 371173.060000 PA USD 361572.130000 0.176709 Long ABS-CBDO CORP KY N 2 2038-02-18 Floating 6.52273 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2021-5 N/A 69547EAA2 131887.820000 PA USD 131298.520000 0.0641689 Long ABS-O CORP US N 2 2029-08-15 Fixed 1.53 N N N N N N FHLMC PASS THRU POOLS N/A 3133BBF53 219689.660000 PA USD 194464.080000 0.0950395 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31405MA23 40643.800000 PA USD 41148.180000 0.0201101 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 7.274 N N N N N N GCAT 2021-NQM3 TRUST N/A 36167HAA3 4938843.240000 PA USD 4081980.110000 1.99497 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.091 N N N N N N FHLMC PASS THRU POOLS N/A 3128QPGM8 83071.630000 PA USD 82339.150000 0.0402412 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 4.511 N N N N N N N/A N/A 000000000 1.000000 NC USD -63515.550000 -0.0310416 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-04-18 0.000000 USD -2222.500000 USD 700000.000000 USD -61293.050000 N N N FHLMC STRUCTURED PASS THRU SEC T-35 N/A 313398VT3 87244.010000 PA USD 87606.560000 0.0428155 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 5.73191 N N N N N N N/A N/A 000000000 1.000000 NC USD 28341.760000 0.0138513 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-15 0.000000 USD -693.890000 USD 100000.000000 USD 29035.650000 N N N REGATTA XXIV FUNDING LTD N/A 75889HAA8 1000000.000000 PA USD 1001066.050000 0.489246 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 6.82743 N N N N N N GNMA PASS THRU POOLS N/A 36225CV52 20015.750000 PA USD 19778.370000 0.0096662 Long ABS-MBS USGSE US N 2 2032-09-20 Floating 3.625 N N N N N N WASHINGTON MUTUAL 2005-AR10 N/A 92922FW46 140919.940000 PA USD 127832.090000 0.0624747 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.72834 N N N N N N STRUCTURED ARM LOAN TRUST 2004-12 N/A 863579AQ1 22570.880000 PA USD 21362.820000 0.0104405 Long ABS-MBS CORP US N 3 2034-09-25 Floating 5.92623 N N N N N N N/A N/A 000000000 1.000000 NC USD 2413.760000 0.0011797 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-20 0.000000 USD -40019.110000 USD 1160000.000000 USD 42432.870000 N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 4415959.240000 PA USD 4493188.630000 2.19593 Long ABS-MBS CORP US N 2 2058-05-25 Floating 6.47043 N N N N N N FREDDIE MAC 2557 N/A 31393JPL6 24841.520000 PA USD 24798.410000 0.0121196 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 5.85292 N N N N N N N/A N/A 000000000 1.000000 NC USD -34832.700000 -0.0170236 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-17 0.000000 USD -18501.790000 USD 9000000.000000 USD -16330.910000 N N N FNMA PASS THRU POOLS N/A 31390STH4 29014.510000 PA USD 28179.850000 0.0137722 Long ABS-MBS USGSE US N 2 2042-07-01 Floating 6.212 N N N N N N UMBS PASS THRU POOLS N/A 01F030629 12000000.000000 PA USD 10627968.840000 5.19415 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31385WTG4 2906.660000 PA USD 2882.430000 0.0014087 Long ABS-MBS USGSE US N 2 2032-11-01 Floating 5.74 N N N N N N FNMA PASS THRU POOLS N/A 31402RBC2 5156.330000 PA USD 5122.220000 0.0025034 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 5.504 N N N N N N RESIDENTIAL ASSET MTGE PROD INC 2004-SL3 N/A 76112BBS8 456023.640000 PA USD 214395.990000 0.104781 Long ABS-MBS CORP US N 3 2031-12-25 Fixed 8.5 N N N N N N FNMA PASS THRU POOLS N/A 31411SM86 5742.140000 PA USD 5802.150000 0.0028357 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 7.244 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAJ8 300000.000000 PA USD 290476.680000 0.141963 Long ABS-MBS CORP US N 2 2035-06-15 Floating 7.384 N N N N N N ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1 N/A 03881BAE3 1200000.000000 PA USD 1061407.680000 0.518737 Long ABS-MBS CORP US N 2 2053-05-15 Fixed 2.7563 N N N N N N FNMA PASS THRU POOLS N/A 31402DLJ7 2409.050000 PA USD 2384.610000 0.0011654 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133BBPP8 110366.620000 PA USD 97671.250000 0.0477344 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202KRQ0 643.960000 PA USD 637.040000 0.0003113 Long ABS-MBS USGSE US N 2 2025-02-20 Floating 3.625 N N N N N N N/A N/A 000000000 1.000000 NC USD -11142.130000 -0.0054454 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-09-09 0.000000 USD -2510.000000 USD 400000.000000 USD -8632.130000 N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 1087108.510000 PA USD 879808.660000 0.429985 Long ABS-MBS CORP US N 2 2046-08-25 Floating 6.0598 N N N N N N FHLMC PASS THRU POOLS N/A 31348UHU6 16287.760000 PA USD 16154.370000 0.007895 Long ABS-MBS USGSE US N 2 2030-04-01 Floating 4.749 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2019-GS2 N/A 59981TAC9 565300.230000 PA USD 535872.170000 0.261894 Long ABS-MBS CORP US N 2 2059-08-25 Fixed 2.75 N N N N N N FNMA PASS THRU POOLS N/A 3140H3YY6 28354.390000 PA USD 26221.710000 0.0128152 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N BENEFIT STREET PARTNERS CLO XVI LTD N/A 08181VAN5 3000000.000000 PA USD 3000021.390000 1.46619 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 6.69444 N N N N N N FNMA PASS THRU POOLS N/A 31403GWC2 14953.300000 PA USD 15037.130000 0.007349 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 7.29 N N N N N N FNMA PASS THRU POOLS N/A 31381JRF1 164049.930000 PA USD 162645.170000 0.0794888 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 6.225 N N N N N N NATIONSTAR NIM LTD 2007-C N/A 63860MAA6 23958.280000 PA USD 0.000000 0 Long ABS-MBS CORP KY N 2 2037-06-25 Fixed 8 N N N N N N FNMA PASS THRU POOLS N/A 31408FPH6 10128.200000 PA USD 10018.120000 0.0048961 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 5.418 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES 2005-AR14 N/A 94982DAA4 3599.860000 PA USD 3469.620000 0.0016957 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.95056 N N N N N N GNMA PASS THRU POOLS N/A 21H022614 600000.000000 PA USD 524954.630000 0.256559 Long ABS-MBS USGSE US N 2 2054-01-22 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -63690.470000 -0.0311271 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-01-18 0.000000 USD -1384.350000 USD 800000.000000 USD -62306.120000 N N N N/A N/A 000000000 1.000000 NC USD -4177.140000 -0.0020415 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-15 0.000000 USD -1265.000000 USD 200000.000000 USD -2912.140000 N N N FHLMC PASS THRU POOLS N/A 31295NJV1 6205.900000 PA USD 6198.510000 0.0030294 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 5.25 N N N N N N FNMA PASS THRU POOLS N/A 31407MSU0 1951.110000 PA USD 1976.540000 0.000966 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 7.391 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-BU1 N/A 41161PG72 364506.220000 PA USD 300762.900000 0.14699 Long ABS-MBS CORP US N 2 2046-02-19 Floating 5.85023 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-A N/A 63941FAC0 117321.970000 PA USD 115706.260000 0.0565486 Long ABS-O CORP US N 2 2068-11-15 Floating 6.37629 N N N N N N FNMA PASS THRU POOLS N/A 31403A5J0 20661.870000 PA USD 20629.620000 0.0100822 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 6.005 N N N N N N N/A N/A 000000000 1.000000 NC USD 171616.180000 0.0838731 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-12-18 29567.610000 USD 0.000000 USD 1400000.000000 USD 142048.570000 N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 882.340000 PA USD 646.270000 0.0003158 Long ABS-MBS CORP US N 3 2033-02-25 Floating 3.25001 N N N N N N N/A N/A 000000000 1.000000 NC USD -11212.020000 -0.0054796 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-09-07 0.000000 USD -2055.000000 USD 400000.000000 USD -9157.020000 N N N FNMA PASS THRU POOLS N/A 31406YTJ9 61060.710000 PA USD 60972.270000 0.0297987 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 6.345 N N N N N N N/A N/A 000000000 1.000000 NC USD -63911.700000 -0.0312353 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-02-08 0.000000 USD -1500.000000 USD 400000.000000 USD -62411.700000 N N N FANNIE MAE 2002-34 N/A 31392CQ31 10021.410000 PA USD 10020.160000 0.0048971 Long ABS-MBS USGSE US N 2 2032-05-18 Floating 5.85258 N N N N N N N/A N/A 000000000 1.000000 NC USD 730329.480000 0.35693 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-06-15 392211.670000 USD 0.000000 USD 2400000.000000 USD 338117.810000 N N N FHLMC STRUCTURED PASS THROUGH SEC T-16 N/A 3133TKPF1 43436.970000 PA USD 41385.480000 0.0202261 Long ABS-MBS USGSE US N 2 2029-06-25 Floating 5.80191 N N N N N N N/A N/A 000000000 1.000000 NC USD -10438.500000 -0.0051016 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-03-06 0.000000 USD -1575.390000 USD 1700000.000000 USD -8863.110000 N N N FNMA PASS THRU POOLS N/A 31400SJN0 46920.300000 PA USD 46982.130000 0.0229613 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 7.328 N N N N N N FNMA PASS THRU POOLS N/A 31404AUB8 13694.280000 PA USD 13612.420000 0.0066527 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 5.31 N N N N N N FHLMC PASS THRU POOLS N/A 3128QPUG5 112661.630000 PA USD 112582.550000 0.0550219 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.165 N N N N N N ACCESS GROUP INC 2007-A N/A 00432CDJ7 388230.930000 PA USD 378871.300000 0.185164 Long ABS-O CORP US N 2 2036-05-25 Floating 5.94129 N N N N N N N/A N/A 000000000 -7.000000 NC USD 36994.710000 0.0180802 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-09-17 -1670856.250000 USD 36994.710000 N N N STRUCTURED ASSET SEC CORP 2003-34A N/A 86359A4Z3 7658.960000 PA USD 7358.360000 0.0035962 Long ABS-MBS CORP US N 3 2033-11-25 Floating 5.6698 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2019-1A N/A 26829XAB7 572285.950000 PA USD 567109.280000 0.27716 Long ABS-O CORP US N 2 2069-07-25 Floating 6.45191 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXK0 75637.190000 PA USD 72792.460000 0.0355755 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31406WEF7 6284.860000 PA USD 6292.090000 0.0030751 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 5.877 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 N/A 85573MAA7 171235.340000 PA USD 159843.290000 0.0781194 Long ABS-MBS CORP US N 2 2065-04-25 Fixed 1.486 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 323686.810000 PA USD 3148501.600000 1.53875 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 31385HN32 10125.830000 PA USD 10000.650000 0.0048876 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.607 N N N N N N FNMA PASS THRU POOLS N/A 31404WPZ3 863.750000 PA USD 852.520000 0.0004166 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31381R4L5 389753.780000 PA USD 390962.220000 0.191073 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 4.766 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAB3 1153356.170000 PA USD 1152343.180000 0.563179 Long ABS-O CORP US N 2 2055-02-16 Floating 6.78844 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2019-A N/A 19421UAB0 1140634.110000 PA USD 1052488.420000 0.514378 Long ABS-O CORP US N 2 2048-12-28 Fixed 3.28 N N N N N N FNMA PASS THRU POOLS N/A 31391MFS7 5259.920000 PA USD 5206.990000 0.0025448 Long ABS-MBS USGSE US N 2 2032-11-01 Floating 6.4 N N N N N N N/A N/A 000000000 1.000000 NC USD -80009.670000 -0.0391027 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-10-04 0.000000 USD -18258.650000 USD 2510000.000000 USD -61751.020000 N N N N/A N/A 000000000 1.000000 NC USD -111538.150000 -0.0545115 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-04-06 0.000000 USD -4120.000000 USD 800000.000000 USD -107418.150000 N N N N/A N/A 000000000 -532.000000 NC USD -1801661.420000 -0.880517 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-03-19 -59970530.980000 USD -1801661.420000 N N N FANNIE MAE 2002-15 N/A 31392CKL7 11439.770000 PA USD 11478.610000 0.0056099 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 6.15191 N N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 173348.810000 PA USD 161012.410000 0.0786908 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.79043 N N N N N N FANNIE MAE 2006-30 N/A 31395B6R9 4315.490000 PA USD 4268.570000 0.0020862 Long ABS-MBS USGSE US N 2 2036-05-25 Floating 5.89191 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MC75 26251.410000 PA USD 23646.430000 0.0115566 Long ABS-MBS CORP US N 3 2034-02-25 Floating 4.49564 N N N N N N FNMA PASS THRU POOLS N/A 31371MFZ5 13358.330000 PA USD 13745.600000 0.0067178 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 5.972 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 735959.830000 PA USD 703814.800000 0.343972 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.03043 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2004-7 N/A 576433PQ3 187716.340000 PA USD 178362.520000 0.0871702 Long ABS-MBS CORP US N 3 2034-08-25 Floating 4.43492 N N N N N N COUNTRYWIDE HOME LOANS 2003-56 N/A 12669FBQ5 26798.600000 PA USD 24422.100000 0.0119357 Long ABS-MBS CORP US N 3 2033-12-25 Floating 5.23179 N N N N N N FREDDIE MAC 2490 N/A 31392RUA7 5769.050000 PA USD 5762.580000 0.0028163 Long ABS-MBS USGSE US N 2 2026-07-15 Floating 5.85292 N N N N N N WASHINGTON MUTUAL 2003-AR10 N/A 92922FEB0 69090.940000 PA USD 63372.320000 0.0309716 Long ABS-MBS CORP US N 3 2033-10-25 Floating 5.87989 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 4538900.910000 PA USD 4204290.410000 2.05474 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.77164 N N N N N N GNMA PASS THRU POOLS N/A 36179YAS3 691801.540000 PA USD 697055.560000 0.340668 Long ABS-MBS USGSE US N 2 2053-07-20 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXR5 15510.010000 PA USD 14923.480000 0.0072935 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -50106.030000 -0.0244881 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-05-03 0.000000 USD -2077.500000 USD 600000.000000 USD -48028.530000 N N N GSR MORTGAGE LOAN TRUST 2004-2F N/A 36229RLG2 38960.130000 PA USD 37473.590000 0.0183143 Long ABS-MBS CORP US N 3 2034-01-25 Floating 5.82043 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-E N/A 05949AGR5 13343.970000 PA USD 12305.200000 0.0060139 Long ABS-MBS CORP US N 3 2034-06-25 Fixed 5.41024 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX N/A 36257CAG2 2100000.000000 PA USD 441661.500000 0.215851 Long ABS-MBS CORP US N 2 2034-05-10 Fixed 3.10392 N N N N N N N/A N/A 000000000 1.000000 NC USD -59549.050000 -0.0291031 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-01-24 0.000000 USD -1116.870000 USD 400000.000000 USD -58432.180000 N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR10 N/A 45660N2Y0 18712.120000 PA USD 16321.250000 0.0079766 Long ABS-MBS CORP US N 3 2034-05-25 Floating 6.25043 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPE3 19888.350000 PA USD 18288.410000 0.008938 Long ABS-MBS CORP US N 3 2035-12-25 Floating 4.87568 N N N N N N FNMA PASS THRU POOLS N/A 31404SCY9 51570.830000 PA USD 50789.380000 0.024822 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 4.825 N N N N N N FNMA PASS THRU POOLS N/A 31402DRT9 1746.850000 PA USD 1728.790000 0.0008449 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 5.799 N N N N N N FNMA PASS THRU POOLS N/A 31402QUH2 14637.450000 PA USD 14683.400000 0.0071761 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 5.488 N N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AA9 3622.700000 PA USD 3330.820000 0.0016279 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.81043 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCTE4 2416.440000 PA USD 2431.070000 0.0011881 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 5.949 N N N N N N FNMA PASS THRU POOLS N/A 31385WXC8 3956.290000 PA USD 3934.510000 0.0019229 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 3.992 N N N N N N N/A N/A 000000000 1.000000 NC USD 685659.520000 0.335099 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-06-15 332595.790000 USD 0.000000 USD 11900000.000000 USD 353063.730000 N N N N/A N/A 000000000 1.000000 NC USD -182.830000 -0.0000894 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-02-27 0.000000 USD -40.000000 USD 10000.000000 USD -142.830000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-43 N/A 12667G5V1 7541.750000 PA USD 6072.880000 0.002968 Long ABS-MBS CORP US N 3 2035-10-25 Floating 4.39434 N N N N N N FNMA PASS THRU POOLS N/A 31381JU75 140049.780000 PA USD 141365.240000 0.0690887 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 6.669 N N N N N N FHLMC PASS THRU POOLS N/A 31342AXG9 709.780000 PA USD 712.990000 0.0003485 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 5.631 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PE2 10320.680000 PA USD 10750.270000 0.0052539 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31378A3P9 18392.980000 PA USD 18283.810000 0.0089358 Long ABS-MBS USGSE US N 2 2026-11-01 Floating 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -62466.390000 -0.0305289 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-03-22 0.000000 USD -1605.000000 USD 600000.000000 USD -60861.390000 N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAW5 100764.690000 PA USD 96102.900000 0.0469679 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.04447 N N N N N N FNMA PASS THRU POOLS N/A 31401L6D0 10888.050000 PA USD 10770.480000 0.0052638 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31403GDA7 8242.550000 PA USD 8179.400000 0.0039975 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 6.33 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYYA1 13585.870000 PA USD 13060.920000 0.0063832 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4 N N N N N N FIRST HORIZON ALT MTG SEC 2005-AA5 N/A 32051GPJ8 75855.540000 PA USD 47707.020000 0.0233156 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.74974 N N N N N N N/A N/A 000000000 -1000000.000000 NC USD -1888.800000 -0.0009231 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% FEB 30YR N/A 96.810000 USD 2024-02-06 XXXX 767.450000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M5Y4 17724.980000 PA USD 16881.390000 0.0082504 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.89219 N N N N N N FNMA PASS THRU POOLS N/A 31402DLH1 3157.810000 PA USD 3118.810000 0.0015242 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 5.438 N N N N N N FNMA PASS THRU POOLS N/A 31406H3D7 15896.600000 PA USD 16136.650000 0.0078864 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 7.357 N N N N N N FNMA PASS THRU POOLS N/A 31385HU59 22983.780000 PA USD 22544.400000 0.011018 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.493 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3K2 325220.100000 PA USD 291726.050000 0.142574 Long ABS-MBS CORP US N 3 2035-10-25 Floating 4.61543 N N N N N N N/A N/A 000000000 1.000000 NC USD -25213.880000 -0.0123227 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-08-30 0.000000 USD -3500.000000 USD 700000.000000 USD -21713.880000 N N N FHLMC PASS THRU POOLS N/A 31349SEZ2 44634.800000 PA USD 44647.240000 0.0218202 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 6.375 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR3 N/A 36242D4W0 38039.250000 PA USD 31219.640000 0.0152578 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.96638 N N N N N N FREDDIE MAC 2395 N/A 31339LN71 15417.320000 PA USD 15439.840000 0.0075458 Long ABS-MBS USGSE US N 2 2029-06-15 Floating 6.05292 N N N N N N N/A N/A 000000000 1.000000 NC USD 203132.930000 0.0992762 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-06-21 160466.110000 USD 0.000000 USD 1700000.000000 USD 42666.820000 N N N N/A N/A 000000000 1.000000 NC USD -45813.980000 -0.0223904 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-10-26 0.000000 USD -627.590000 USD 300000.000000 USD -45186.390000 N N N N/A N/A 000000000 -500000.000000 NC USD -31.050000 -0.0000152 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JAN 30YR N/A 96.450000 USD 2024-01-09 XXXX 2586.140000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2017-A N/A 78448WAB1 64336.560000 PA USD 62506.940000 0.0305487 Long ABS-O CORP US N 2 2034-09-15 Fixed 2.88 N N N N N N FNMA PASS THRU POOLS N/A 31418EMN7 40267.990000 PA USD 38746.160000 0.0189362 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 4 N N N N N N N/A N/A 000000000 1168000.000000 PA USD 1168000.000000 0.570831 Long RA US N 2 Repurchase N 2.600000 2024-01-02 1283000.000000 USD 1191416.180000 USD UST N N N N/A N/A 000000000 1.000000 NC USD -3749.140000 -0.0018323 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-10-25 0.000000 USD -1405.000000 USD 200000.000000 USD -2344.140000 N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-P2 N/A 95000AAU1 300000.000000 PA USD 289627.200000 0.141548 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 3.809 N N N N N N FHLMC PASS THRU POOLS N/A 31336CLM3 10971.510000 PA USD 11209.950000 0.0054786 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 6.35 N N N N N N FNMA PASS THRU POOLS N/A 31418EFC9 44342.070000 PA USD 42702.600000 0.0208698 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-SA1 N/A 76111XG98 56809.640000 PA USD 50239.460000 0.0245533 Long ABS-MBS CORP US N 3 2036-02-25 Floating 5.8336 N N N N N N FNMA PASS THRU POOLS N/A 3138L6BR8 419943.780000 PA USD 412881.060000 0.201785 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 4.06 N N N N N N PRPM 2023-RCF1 LLC N/A 69381AAA9 2023584.090000 PA USD 1954093.000000 0.955014 Long ABS-MBS CORP US N 2 2053-06-25 Fixed 4 N N N N N N WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1 N/A 939335N84 244.710000 PA USD 233.200000 0.000114 Long ABS-MBS CORP US N 3 2031-02-25 Floating 3.77 N N N N N N FNMA PASS THRU POOLS N/A 31407EV42 86366.670000 PA USD 85852.710000 0.0419584 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 5.945 N N N N N N ACCREDITED MORTGAGE LN TR 2004-4 N/A 004375CG4 392949.830000 PA USD 375475.000000 0.183504 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.34043 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAA5 23624.770000 PA USD 21427.310000 0.0104721 Long ABS-MBS CORP US N 2 2046-08-25 Floating 6.0118 N N N N N N FNMA PASS THRU POOLS N/A 31389AZC0 872.010000 PA USD 866.350000 0.0004234 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 4.385 N N N N N N DRYDEN 80 CLO LTD 2019-80A N/A 26245JAQ1 1900000.000000 PA USD 1886319.810000 0.921892 Long ABS-CBDO CORP KY N 2 2033-01-17 Floating 6.65283 N N N N N N TESLA ELECTRIC VEHICLE TRUST 2023-1 N/A 881943AC8 500000.000000 PA USD 500207.750000 0.244464 Long ABS-O CORP US N 2 2026-12-21 Floating 5.85844 N N N N N N JP MORGAN MORTGAGE TRUST-2004-A4 N/A 466247EH2 727.200000 PA USD 637.880000 0.0003117 Long ABS-MBS CORP US N 3 2034-09-25 Floating 5.28057 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -62.130000 -0.0000304 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.78100 04/09/24-1Y LCH 2025-04-09 0.000000 USD 0.000000 USD N/A USD N/A 2.780000 USD 2024-04-05 XXXX 2255.370000 N N N STRUCTURED ASSET SECURITIES CRP 2003-26A N/A 86359AS46 14027.290000 PA USD 12346.490000 0.006034 Long ABS-MBS CORP US N 3 2033-09-25 Floating 3.36614 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A2 N/A 466247K77 3890.500000 PA USD 3667.770000 0.0017925 Long ABS-MBS CORP US N 3 2033-11-25 Floating 6.12897 N N N N N N FHLMC PASS THRU POOLS N/A 3128NGC29 36139.200000 PA USD 35967.740000 0.0175783 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.493 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAA5 1009186.660000 PA USD 962824.320000 0.470556 Long ABS-O CORP US N 2 2055-02-16 Fixed 3.94 N N N N N N N/A N/A 000000000 1.000000 NC USD 24738.560000 0.0120904 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-02-09 1064.050000 USD 0.000000 USD 200000.000000 USD 23674.510000 N N N INDYMAC RESIDENTIAL ASSET BACKED 2005-C N/A 456606HW5 1600000.000000 PA USD 1461251.040000 0.71415 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.25043 N N N N N N FHLMC PASS THRU POOLS N/A 3128NGBF1 1294.520000 PA USD 1323.240000 0.0006467 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 5.99 N N N N N N N/A N/A 000000000 1.000000 NC USD -4949.690000 -0.002419 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-02-22 0.000000 USD -1055.630000 USD 300000.000000 USD -3894.060000 N N N FNMA PASS THRU POOLS N/A 31413YWD9 105094.150000 PA USD 105299.010000 0.0514623 Long ABS-MBS USGSE US N 2 2047-11-01 Floating 5.95 N N N N N N N/A N/A 000000000 1.000000 NC USD 0.630000 0.0000003 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 0.000000 USD -95.240000 USD 5669.910000 USD 95.870000 N N N FNMA PASS THRU POOLS N/A 31413FYF3 26423.750000 PA USD 27179.250000 0.0132832 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 5.47 N N N N N N TRUPS FINANCIALS NOTE SECURITIZATION 2017-2A N/A 898203AA2 1576331.250000 PA USD 1540863.800000 0.753059 Long ABS-CBDO CORP KY N 2 2039-09-20 Floating 7.202 N N N N N N FREDDIE MAC 2400 N/A 31339NC79 1421.630000 PA USD 1423.660000 0.0006958 Long ABS-MBS USGSE US N 2 2032-01-15 Floating 5.95292 N N N N N N N/A N/A 000000000 1.000000 NC USD 104689.320000 0.0511643 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-16 0.000000 USD -1340.620000 USD 300000.000000 USD 106029.940000 N N N FHLMC PASS THRU POOLS N/A 3128QLTY7 227638.170000 PA USD 225077.520000 0.110001 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 6.23 N N N N N N FNMA PASS THRU POOLS N/A 31405U6G9 4777.590000 PA USD 4723.670000 0.0023086 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 5.62 N N N N N N GNMA PASS THRU POOLS N/A 21H052611 -1000000.000000 PA USD -1007346.250000 -0.492315 Short ABS-MBS USGSE US N 2 2054-01-22 Fixed 5.5 N N N N N N LEHMAN BROTHERS HOLDINGS INC 549300FDK6ZP3YIHRJ47 525ESC6Y0 2000000.000000 PA USD 4000.000000 0.0019549 Long DBT CORP US N 2 2027-09-27 None 7 Y Y N N N N MERRILL LYNCH MORTGAGE INVS 2005-A2 N/A 59020USJ5 40622.790000 PA USD 38625.340000 0.0188772 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.33976 N N N N N N FNMA PASS THRU POOLS N/A 31412YTJ1 279653.900000 PA USD 277742.970000 0.13574 Long ABS-MBS USGSE US N 2 2037-08-01 Floating 6.315 N N N N N N FNMA PASS THRU POOLS N/A 31389F3V2 9018.980000 PA USD 9024.100000 0.0044103 Long ABS-MBS USGSE US N 2 2028-04-01 Floating 5.07 N N N N N N N/A N/A 000000000 1.000000 NC USD 60.130000 0.0000294 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A CMBX.NA.AAA.9 Y Single Leg Swap 2058-09-18 0.000000 USD -4165.160000 USD 99219.870000 USD 4225.290000 N N N GNMA PASS THRU POOLS N/A 36179YDK7 594642.260000 PA USD 599158.380000 0.292824 Long ABS-MBS USGSE US N 2 2053-08-20 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407X3X7 11334.170000 PA USD 11005.130000 0.0053785 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.639 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -58.830000 -0.0000288 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.72100 04/10/24-1Y LCH 2025-04-10 0.000000 USD 0.000000 USD N/A USD N/A 2.720000 USD 2024-04-08 XXXX 2206.170000 N N N FNMA PASS THRU POOLS N/A 31410GEU3 6095.200000 PA USD 6046.940000 0.0029553 Long ABS-MBS USGSE US N 2 2037-06-01 Floating 4.852 N N N N N N FNMA PASS THRU POOLS N/A 31404EQE9 9555.940000 PA USD 9508.170000 0.0046469 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 4.155 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2003-3 N/A 576433DY9 91322.690000 PA USD 82568.530000 0.0403533 Long ABS-MBS CORP US N 3 2033-09-25 Floating 6.49998 N N N N N N TERWIN MORTGAGE TRUST 2005-6HE N/A 881561RD8 1187612.630000 PA USD 1178846.860000 0.576132 Long ABS-MBS CORP US N 2 2036-04-25 Floating 6.59543 N N N N N N FNMA PASS THRU POOLS N/A 3138W9B74 35908.690000 PA USD 34742.170000 0.0169794 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 3 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-1 N/A 59020UVJ1 145696.340000 PA USD 125993.970000 0.0615764 Long ABS-MBS CORP US N 3 2035-04-25 Floating 4.32588 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR30 N/A 22541Q2A9 97046.950000 PA USD 90130.730000 0.0440491 Long ABS-MBS CORP US N 3 2034-01-25 Floating 4.87762 N N N N N N NEUBERGER BERMAN LOAN ADVISERS CLO 31 LTD N/A 64132JAN5 1500000.000000 PA USD 1498916.000000 0.732558 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.71743 N N N N N N FHLMC PASS THRU POOLS N/A 3128Q2C92 31072.820000 PA USD 30595.370000 0.0149527 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.46 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 1729708.090000 PA USD 1625649.200000 0.794496 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.83576 N N N N N N N/A N/A 000000000 1.000000 NC USD 170008.230000 0.0830873 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-03-10 0.000000 USD -1637.810000 USD 1800000.000000 USD 171646.040000 N N N N/A N/A 000000000 -9.000000 NC USD 55067.710000 0.026913 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-06-18 -2137668.750000 USD 55067.710000 N N N PRET 2021-NPL5 LLC N/A 74143KAA6 2737704.490000 PA USD 2681987.280000 1.31075 Long ABS-MBS CORP US N 2 2051-10-25 Fixed 2.487 N N N N N N MERRILL LYNCH MTGE INVESTORS 2004-A1 N/A 59020UAA3 18200.390000 PA USD 14649.140000 0.0071594 Long ABS-MBS CORP US N 3 2034-02-25 Floating 3.18824 N N N N N N FNMA PASS THRU POOLS N/A 31407K6Q7 42544.970000 PA USD 44042.850000 0.0215248 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.721 N N N N N N RESIMAC BASTILLE TRUST SERIES 2019-1NC N/A 76119UAA9 22682.000000 PA USD 22683.220000 0.0110859 Long ABS-MBS CORP AU N 2 2057-09-05 Floating 6.39035 N N N N N N FNMA PASS THRU POOLS N/A 31407CD95 501.510000 PA USD 498.990000 0.0002439 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.807 N N N N N N GNMA PASS THRU POOLS N/A 36225CK70 15576.400000 PA USD 15176.470000 0.0074171 Long ABS-MBS USGSE US N 2 2029-09-20 Floating 3.625 N N N N N N N/A N/A 000000000 1.000000 NC USD -46081.120000 -0.022521 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-10-22 0.000000 USD -643.280000 USD 300000.000000 USD -45437.840000 N N N FIRST HORIZON MTGE PASS-THRU TR 2004-FL1 N/A 32051GDV4 23920.350000 PA USD 20028.230000 0.0097883 Long ABS-MBS CORP US N 3 2035-02-25 Floating 5.74043 N N N N N N FREDDIE MAC-2177 N/A 3133TLPG7 11519.100000 PA USD 11523.990000 0.0056321 Long ABS-MBS USGSE US N 2 2029-08-15 Floating 6.00292 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4 N/A 87276WAA1 1907189.550000 PA USD 1862282.060000 0.910144 Long ABS-CBDO CORP KY N 2 2038-03-15 Floating 6.67629 N N N N N N N/A N/A 000000000 1.000000 NC USD -475289.370000 -0.232286 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -215852.590000 USD 2590000.000000 USD -259436.780000 N N N FNMA PASS THRU POOLS N/A 31406L3G1 54465.600000 PA USD 54991.660000 0.0268758 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 6.3 N N N N N N FNMA PASS THRU POOLS N/A 31400ANH7 5592.500000 PA USD 5527.430000 0.0027014 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 4.125 N N N N N N WASHINGTON MUTUAL 2005-AR8 N/A 92922FR75 3216885.300000 PA USD 3019399.420000 1.47566 Long ABS-MBS CORP US N 2 2045-07-25 Floating 6.05043 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2020-CNP N/A 61770YAA3 1800000.000000 PA USD 1390463.640000 0.679554 Long ABS-MBS CORP US N 2 2042-04-05 Variable 2.4276 N N N N N N CD 2017-CD5 MORTGAGE TRUST N/A 12515HAZ8 400000.000000 PA USD 373415.960000 0.182498 Long ABS-MBS CORP US N 2 2050-08-15 Fixed 3.431 N N N N N N FNMA PASS THRU POOLS N/A 31406AV66 21622.460000 PA USD 21592.750000 0.0105529 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 5.894 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 1062239.330000 PA USD 1010757.370000 0.493982 Long ABS-MBS CORP US N 2 2045-10-25 Floating 6.05043 N N N N N N CS FIRST BOSTON MTGE SEC. CORP 2002-AR28 N/A 22541NNN5 4488.750000 PA USD 4167.620000 0.0020368 Long ABS-MBS CORP US N 3 2032-11-25 Floating 4.92373 N N N N N N N/A N/A 000000000 1.000000 NC USD -52618.490000 -0.025716 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-21 0.000000 USD -3690.000000 USD 900000.000000 USD -48928.490000 N N N GNMA PASS THRU POOLS N/A 36225CXP6 18191.950000 PA USD 18110.710000 0.0088512 Long ABS-MBS USGSE US N 2 2033-04-20 Floating 3.875 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -47.820000 -0.0000234 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.68750 04/04/24-1Y LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.690000 USD 2024-04-02 XXXX 2299.680000 N N N FREDDIE MAC 2129 N/A 3133TJFT5 2214.120000 PA USD 2207.890000 0.0010791 Long ABS-MBS USGSE US N 2 2029-02-15 Floating 5.80292 N N N N N N FNMA PASS THRU POOLS N/A 31402DKS8 19418.380000 PA USD 19231.660000 0.009399 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.543 N N N N N N UMBS PASS THRU POOLS N/A 01F020620 -6700000.000000 PA USD -5483531.250000 -2.67994 Short ABS-MBS USGSE US N 2 2054-02-13 Fixed 2 N N N N N N FREDDIE MAC-2177 N/A 3133TLPF9 6908.200000 PA USD 6912.980000 0.0033785 Long ABS-MBS USGSE US N 2 2029-08-15 Floating 5.90292 N N N N N N BANK OF AMERICA MTGE SEC 2003-J N/A 05948XYD7 19285.770000 PA USD 16943.230000 0.0082806 Long ABS-MBS CORP US N 3 2033-11-25 Floating 5.14853 N N N N N N FANNIE MAE REMICS 2000-38 N/A 31358SVW8 6361.250000 PA USD 6356.450000 0.0031066 Long ABS-MBS USGSE US N 2 2030-11-18 Floating 5.95258 N N N N N N FNMA PASS THRU POOLS N/A 31400H5W9 55376.550000 PA USD 54681.870000 0.0267244 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 4.256 N N N N N N N/A N/A 000000000 -600000.000000 NC USD -9499.080000 -0.0046424 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.69700 04/04/24-1Y LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.700000 USD 2024-04-02 XXXX -4792.830000 N N N FANNIE MAE 1994-22 N/A 31359GRR9 17.360000 PA USD 17.360000 0.0000085 Long ABS-MBS USGSE US N 2 2024-01-25 Floating 6.65191 N N N N N N BANC OF AMERICA FUNDING CORP 2005-H N/A 05946XJ38 121951.540000 PA USD 109760.790000 0.0536429 Long ABS-MBS CORP US N 2 2035-11-20 Floating 6.245 N N N N N N FNMA PASS THRU POOLS N/A 31390NJT0 2326.010000 PA USD 2249.610000 0.0010994 Long ABS-MBS USGSE US N 2 2032-06-01 Floating 6.137 N N N N N N N/A N/A 000000000 1.000000 NC USD -43108.250000 -0.0210681 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-01-12 0.000000 USD -784.850000 USD 300000.000000 USD -42323.400000 N N N MADISON PARK FUNDING XXXV LTD N/A 55819MAN6 1500000.000000 PA USD 1501453.380000 0.733798 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 6.66743 N N N N N N FNMA PASS THRU POOLS N/A 31406MEP7 1206.640000 PA USD 1227.670000 0.0006 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 7.21 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT50 28427.710000 PA USD 27619.760000 0.0134985 Long ABS-MBS CORP US N 3 2034-02-25 Floating 4.37155 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 141695.490000 PA USD 139177.010000 0.0680193 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.82033 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C49 N/A 95001WBB3 300000.000000 PA USD 286085.430000 0.139817 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 4.023 N N N N N N FHLMC PASS THRU POOLS N/A 3128QLRW3 1684.290000 PA USD 1688.970000 0.0008254 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 4.593 N N N N N N N/A N/A 000000000 1.000000 NC USD -77044.850000 -0.0376538 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-10-15 0.000000 USD -850.280000 USD 500000.000000 USD -76194.570000 N N N FNMA PASS THRU POOLS N/A 31403CWW7 40122.470000 PA USD 39977.170000 0.0195378 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.213 N N N N N N IMPAC CMB TR 2005-5 N/A 45254NPU5 458888.820000 PA USD 410732.830000 0.200735 Long ABS-MBS CORP US N 3 2035-08-25 Floating 6.11043 N N N N N N FNMA PASS THRU POOLS N/A 31402RTX7 2062.040000 PA USD 2046.730000 0.0010003 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 5.865 N N N N N N GNMA PASS THRU POOLS N/A 36225CSN7 79313.900000 PA USD 78264.830000 0.03825 Long ABS-MBS USGSE US N 2 2031-07-20 Floating 3.625 N N N N N N 2024-02-21 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX