DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A

NPORT-P false 0000810893 XXXXXXXX S000009692 C000026583 C000026582 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Low Duration Fund II S000009692 K2P23FCTK76TNWYHPM24 2024-03-31 2024-03-31 N 427680228.430000 106567506.270000 321112722.160000 0.000000 0.000000 21277847.710000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 6048725.010000 USD N 50% ICE BofA 1-3 Year US Treasury Index, 50% Bloomberg US Intermediate Credit Total Return Index G1O2, LUICTRUU DROP MORTGAGE TRUST 2021-FILE N/A DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A 26210YAA4 1100000.000000 PA USD 1059375.570000 0.329908 Long ABS-MBS CORP US N 2 2043-10-15 Floating 6.58948 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-C N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A 83207DAA6 675756.060000 PA USD 682275.550000 0.212472 Long ABS-O CORP US N 2 2052-11-15 Fixed 5.67 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 JF 38382YV26 502913.730000 PA USD 495398.290000 0.154276 Long ABS-MBS USGSE US N 2 2072-04-20 Floating 6.11931 N N N N N N NAVIENT STUDENT LOAN TRUST 2015-BA N/A NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A 63939KAC3 518513.740000 PA USD 520731.630000 0.162165 Long ABS-O CORP US N 2 2040-07-16 Floating 6.88981 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BV5376 FN 04/52 FIXED 3 3140MJ6N0 6154641.570000 PA USD 5304043.890000 1.65177 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N FORD CREDIT AUTO OWNER TRUST 2022-D N/A FORD CREDIT AUTO OWNER TRUST FORDO 2022 D A2B 345295AC3 328570.450000 PA USD 328838.920000 0.102406 Long ABS-O CORP US N 2 2025-08-15 Floating 6.07864 N N N N N N TOWD POINT HE TRUST 2021-HE1 N/A TOWD POINT ASSET FUNDING, LLC TPHT 2021 HE1 A1 144A 89180DAA4 208706.710000 PA USD 200593.220000 0.0624682 Long ABS-MBS CORP US N 2 2063-02-25 Variable 0.918 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1 06051GDM8 118349.540000 PA USD 108570.460000 0.0338107 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.1574 N N N N N N VMC FINANCE 2022-FL5 LLC N/A VMC FINANCE LLC VMC 2022 FL5 A 144A 91835BAA3 1788247.490000 PA USD 1745637.360000 0.543621 Long ABS-CBDO CORP US N 2 2039-02-18 Floating 7.21864 N N N N N N N/A N/A RFR USD SOFR/3.6766* 03/01/24-7Y* LCH 000000000 1.000000 NC USD 4364.690000 0.0013592 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 300000.000000 USD 4364.690000 N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1 07386HSY8 100154.870000 PA USD 94274.380000 0.0293587 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.13762 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3 N/A GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A 36263TAB8 820504.960000 PA USD 663861.290000 0.206738 Long ABS-MBS CORP US N 2 2052-04-25 Variable 2.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 835058 FN 06/35 FLOATING VAR 31407MWT8 50832.290000 PA USD 50492.360000 0.0157242 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 5.819 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 932561 FN 02/25 FIXED 4.5 31412RB63 2350.010000 PA USD 2331.240000 0.000726 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AB3968 FN 12/26 FIXED 3 31417AMS5 297088.410000 PA USD 288588.680000 0.0898715 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST N/A JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST A 144A 46652DAA3 900000.000000 PA USD 722634.480000 0.225041 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.78948 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 FD 38382YC92 498639.130000 PA USD 506610.080000 0.157767 Long ABS-MBS USGSE US N 2 2072-11-20 Floating 6.47931 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 08/25 0.68 3134GWJN7 8300000.000000 PA USD 7841510.490000 2.44198 Long DBT USGSE US N 2 2025-08-06 Fixed 0.68 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL Q58074 FG 08/48 FIXED 4 3132Y16L7 422080.090000 PA USD 400166.520000 0.124619 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1 N/A SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A 81377JAB9 81108.790000 PA USD 18640.180000 0.0058049 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.56389 N N N N N N N/A N/A RFR USD SOFR/3.7351* 03/01/24-7Y* LCH 000000000 1.000000 NC USD 8908.170000 0.0027742 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 800000.000000 USD 8908.170000 N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ3 N/A GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ3 A4 144A 362924AE2 882223.560000 PA USD 711072.900000 0.22144 Long ABS-MBS CORP US N 2 2052-08-25 Variable 2.5 N N N N N N N/A N/A US 5YR NOTE (CBT) JUN24 XCBT 20240628 000000000 183.000000 NC USD 6425.160000 0.0020009 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-28 19574566.450000 USD 6425.160000 N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A 12564NAA0 900000.000000 PA USD 890336.070000 0.277266 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.565 N N N N N N SEASONED LOANS STRUCTURED TRANSACTION TRUST SERIES 2023-1 N/A FREDDIE MAC SLST SLST 2023 1 A11 144A 35564CNN3 817568.940000 PA USD 802859.400000 0.250024 Long ABS-MBS MUN US N 2 2063-10-25 Fixed 3.25 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1 12669GHG9 4935.660000 PA USD 4796.210000 0.0014936 Long ABS-MBS CORP US N 3 2035-02-20 Floating 5.07721 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE 01F050650 17100000.000000 PA USD 16690520.150000 5.19771 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 SOUTHERN CAL EDISON 1ST MORTGAGE 03/26 5.35 842400JB0 900000.000000 PA USD 901794.600000 0.280834 Long DBT CORP US N 2 2026-03-01 Fixed 5.35 N N N N N N DAIMLER TRUCK FINANCE NORTH AMERICA LLC 5493003HSDTSCZRXBA58 DAIMLER TRUCK FINAN NA COMPANY GUAR 144A 12/24 VAR 233853AE0 1000000.000000 PA USD 1003598.330000 0.312538 Long DBT CORP US N 2 2024-12-13 Floating 6.06928 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3 86359LPF0 30032.730000 PA USD 28111.360000 0.0087544 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.9408 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A COUNTRYWIDE HOME LOANS CWHL 2004 22 A3 12669F6Z1 26868.460000 PA USD 24318.630000 0.0075732 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.70641 N N N N N N N/A N/A 31750NUU8 OTC ECAL FN 5.0 MAY24 97.65625 CALL 000000000 -700000.000000 NC USD -4315.430000 -0.0013439 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% MAY 30YR N/A 97.660000 USD 2024-05-06 XXXX -1909.180000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H15 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H15 FA 38376RWY8 256217.950000 PA USD 255677.870000 0.0796225 Long ABS-MBS USGSE US N 2 2066-07-20 Floating 6.24443 N N N N N N N/A N/A 31750NUX2 OTC EPUT FN 5.0 MAY24 95.671875 PUT 000000000 -300000.000000 NC USD -452.910000 -0.000141 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% MAY 30YR N/A 95.670000 USD 2024-05-06 XXXX 953.340000 N N N FNMA PASS THRU POOLS N/A FNMA POOL CB3242 FN 04/52 FIXED 3 3140QNS86 1527829.050000 PA USD 1316287.810000 0.409915 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AB1154 FN 06/25 FIXED 4.5 31416WH88 27058.140000 PA USD 26821.620000 0.0083527 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7 576433UM6 160519.050000 PA USD 150339.540000 0.0468183 Long ABS-MBS CORP US N 2 2034-11-21 Floating 5.37074 N N N N N N N/A N/A CITIGROUP REPO REPO 5807 000000000 18400000.000000 PA USD 18400000.000000 5.73008 Long RA US N 2 Repurchase N 5.400000 2024-04-01 20331000.000000 USD 18754553.370000 USD UST N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-SDAL N/A WELLS FARGO COMMERCIAL MORTGAG WFCM 2020 SDAL A 144A 95002GAA0 900000.000000 PA USD 896940.180000 0.279322 Long ABS-MBS CORP US N 2 2037-02-15 Floating 6.45048 N N N N N N FANNIEMAE WHOLE LOAN 2003-W1 N/A FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1 31392GVX0 28730.720000 PA USD 28203.840000 0.0087832 Long ABS-MBS USGSE US N 2 2042-12-25 Variable 6.5 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KBX1 N/A FHLMC MULTIFAMILY STRUCTURED P FHMS KBX1 A2 3137F4CZ3 250000.000000 PA USD 243654.450000 0.0758782 Long ABS-MBS USGSE US N 2 2026-01-25 Fixed 2.92 N N N N N N N/A N/A 317U50RA6 PIMCO SWAPTION 4.75 PUT USD 20241031 000000000 7400000.000000 NC USD 11677.200000 0.0036365 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A RFR USD SOFR/4.75000 11/04/24-1Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 11/04/24-1Y LCH 2025-11-04 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2024-10-31 XXXX 5479.700000 N N N ENTERPRISE FLEET FINANCING LLC 2022-1 N/A ENTERPRISE FLEET FINANCING LLC EFF 2022 1 A2 144A 29375JAB0 205686.580000 PA USD 202905.430000 0.0631882 Long ABS-O CORP US N 2 2028-01-20 Fixed 3.03 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1 92922F4M7 17512.480000 PA USD 16782.570000 0.0052264 Long ABS-MBS CORP US N 2 2045-10-25 Floating 6.02389 N N N N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 TOYOTA MOTOR CREDIT CORP SR UNSECURED 08/24 VAR 89236TKY0 800000.000000 PA USD 801130.690000 0.249486 Long DBT CORP US N 2 2024-08-22 Floating 5.86 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE 01F042657 8900000.000000 PA USD 8479298.690000 2.6406 Long ABS-MBS USGSE US N 2 2054-05-13 Fixed 4.5 N N N N N N FORD CREDIT AUTO OWNER TRUST 2023-REV1 N/A FORD CREDIT AUTO OWNER TRUST/F FORDR 2023 1 A 144A 34535QAA3 500000.000000 PA USD 497769.850000 0.155014 Long ABS-O CORP US N 2 2035-08-15 Fixed 4.85 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL CB2894 FN 02/52 FIXED 3 3140QNGC0 2202209.050000 PA USD 1898209.240000 0.591135 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 01/26 3.875 91282CGE5 7400000.000000 PA USD 7295359.410000 2.2719 Long DBT UST US N 2 2026-01-15 Fixed 3.875 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AE0415 FN 07/25 FIXED VAR 31419AN94 67.580000 PA USD 67.150000 0.0000209 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.5 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND 000000000 1176205.520000 PA USD 11456241.800000 3.56767 Long STIV RF US N 1 N N N N/A N/A RFR USD SOFR/3.5815* 03/01/24-7Y* LCH 000000000 1.000000 NC USD 52257.050000 0.0162737 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 2600000.000000 USD 52257.050000 N N N FNMA PASS THRU POOLS N/A FNMA POOL 679708 FN 09/41 FLOATING VAR 31391XDM8 69331.570000 PA USD 69259.490000 0.0215686 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 6.339 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 804850 FN 01/35 FLOATING VAR 31406BEX4 20175.250000 PA USD 20030.260000 0.0062378 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.71 N N N N N N N/A N/A RFR USD SOFR/3.94000 02/22/24-5Y LCH 000000000 1.000000 NC USD -7137.810000 -0.0022228 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-22 0.000000 USD -4080.000000 USD 1700000.000000 USD -3057.810000 N N N N/A N/A 317U388O2 PIMCO FPPSWAPTION 2.697 PUT USD 000000000 -3400000.000000 NC USD -76598.600000 -0.0238541 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/2.69700 04/04/24-1Y LCH 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 -49929.850000 N N N CITIBANK CREDIT CARD ISSUANCE TRUST 2017-A5 N/A CITIBANK CREDIT CARD ISSUANCE CCCIT 2017 A5 A5 17305EGD1 900000.000000 PA USD 900344.160000 0.280383 Long ABS-MBS CORP US N 2 2026-04-22 Floating 6.0633 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FD 38382Y5F6 791200.260000 PA USD 803136.470000 0.25011 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 6.46931 N N N N N N CAPITAL ONE MULTI-ASSET EXECUTION TRUST 2017-A5 N/A CAPITAL ONE MULTI ASSET EXECUT COMET 2017 A5 A5 14041NFP1 900000.000000 PA USD 901819.800000 0.280842 Long ABS-MBS CORP US N 2 2027-07-15 Floating 6.01981 N N N N N N ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM N/A ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM A 144A 04965JAA1 872002.370000 PA USD 847758.090000 0.264006 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.553 N N N N N N FREDDIE MAC REMICS 4040 N/A FREDDIE MAC FHR 4040 PO 3137AQ7C6 49059.880000 PA USD 43567.690000 0.0135677 Long ABS-MBS USGSE US N 2 2037-05-15 None 0 N N N N N N N/A N/A RFR USD SOFR/3.62330 03/01/24-7Y* LCH 000000000 1.000000 NC USD 8831.670000 0.0027503 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 500000.000000 USD 8831.670000 N N N FNMA PASS THRU POOLS N/A FNMA POOL CB3278 FN 04/52 FIXED 3 3140QNUC4 1541805.480000 PA USD 1328006.140000 0.413564 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FA 38382YN82 508715.140000 PA USD 510366.730000 0.158937 Long ABS-MBS USGSE US N 2 2073-01-20 Floating 6.21931 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 CAPITAL ONE FINANCIAL CO SR UNSECURED 05/25 VAR 14040HCQ6 900000.000000 PA USD 898181.490000 0.279709 Long DBT CORP US N 2 2025-05-09 Floating 4.166 N N N N N N N/A N/A 31750NOH4 OTC ECAL FN 5.0 APR24 98.15625 CALL 000000000 -800000.000000 NC USD -339.040000 -0.0001056 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 98.160000 USD 2024-04-04 XXXX 1723.460000 N N N READYCAP COMMERCIAL MORTGAGE TRUST 2021-FL7 N/A READYCAP COMMERCIAL MORTGAGE T RCMT 2021 FL7 A 144A 75575WAA4 622393.680000 PA USD 618564.150000 0.192632 Long ABS-MBS CORP US N 2 2036-11-25 Floating 6.64389 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR 3128QJ4L7 9694.960000 PA USD 9612.000000 0.0029933 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.487 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AC8938 FN 01/25 FIXED 4.5 31417V4Y6 1790.870000 PA USD 1775.360000 0.0005529 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4.5 N N N N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 CAMDEN PROPERTY TRUST SR UNSECURED 09/24 3.5 133131AV4 1100000.000000 PA USD 1089500.340000 0.339289 Long DBT CORP US N 2 2024-09-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 256143 FN 01/36 FIXED 4.5 31371MP43 132751.590000 PA USD 130037.640000 0.0404959 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 4.5 N N N N N N ONSLOW BAY MORTGAGE LOAN TRUST 2021-INV2 N/A ONSLOW BAY FINANCIAL LLC OBX 2021 INV2 A11 144A 67114KAL1 841515.640000 PA USD 781876.250000 0.24349 Long ABS-MBS CORP US N 2 2051-10-25 Floating 5 N N N N N N FANNIE MAE REMICS 2009-115 N/A FANNIE MAE FNR 2009 115 SB 31398GMG1 610050.540000 PA USD 49022.870000 0.0152666 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 0.81513 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 GA GLOBAL FUNDING TRUST SECURED 144A 09/24 0.8 36143L2C8 1000000.000000 PA USD 978545.350000 0.304736 Long DBT CORP US N 2 2024-09-13 Fixed 0.8 N N N N N N COMM 2019-521F MORTGAGE TRUST N/A COMM MORTGAGE TRUST COMM 2019 521F A 144A 20048GAA4 900000.000000 PA USD 852464.610000 0.265472 Long ABS-MBS CORP US N 2 2034-06-15 Floating 6.37301 N N N N N N N/A N/A REPO BANK AMERICA REPO 000000000 53900000.000000 PA USD 53900000.000000 16.7854 Long RA US N 2 Repurchase N 5.400000 2024-04-01 58723000.000000 USD 54893388.950000 USD UST N N N N/A N/A 31750NUV6 OTC EPUT FN 5.0 MAY24 95.65625 PUT 000000000 -700000.000000 NC USD -1045.520000 -0.0003256 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% MAY 30YR N/A 95.660000 USD 2024-05-06 XXXX 2290.420000 N N N FNMA PASS THRU POOLS N/A FNMA POOL AA4553 FN 08/24 FIXED 4.5 31416NBX9 4777.160000 PA USD 4747.610000 0.0014785 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.5 N N N N N N N/A N/A RFR USD SOFR/4.75000 09/14/23-1Y LCH 000000000 1.000000 NC USD -27085.010000 -0.0084347 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-09-14 0.000000 USD 0.000000 USD 4100000.000000 USD -27085.010000 N N N N/A N/A RFR USD SOFR/3.72186 03/01/24-7Y* LCH 000000000 1.000000 NC USD 13101.950000 0.0040802 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 1100000.000000 USD 13101.950000 N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K730 N/A FHLMC MULTIFAMILY STRUCTURED P FHMS K730 A2 3137FEUA6 1184366.900000 PA USD 1167621.490000 0.363617 Long ABS-MBS USGSE US N 2 2025-01-25 Fixed 3.59 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FN 38376R5Y8 587335.420000 PA USD 583803.070000 0.181806 Long ABS-MBS USGSE US N 2 2067-07-20 Floating 5.94443 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A 78432WAA1 1900000.000000 PA USD 1851437.140000 0.576569 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.58948 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 CAPITAL ONE FINANCIAL CO SR UNSECURED 04/25 4.25 14040HBZ7 500000.000000 PA USD 493225.260000 0.153599 Long DBT CORP US N 2 2025-04-30 Fixed 4.25 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1 12465MAA2 11082.890000 PA USD 5025.090000 0.0015649 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.56389 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL C00404 FG 06/25 FIXED 8.5 31292GNV4 167.110000 PA USD 167.750000 0.0000522 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 8.5 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1 362341RX9 95928.640000 PA USD 89458.640000 0.027859 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.06347 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL Q58083 FG 08/48 FIXED 4 3132Y16V5 599808.480000 PA USD 566926.710000 0.176551 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N WASHINGTON MUTUAL 2006-AR1 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR1 2A1A 92925CCE0 131393.360000 PA USD 119864.710000 0.0373279 Long ABS-MBS CORP US N 2 2046-01-25 Floating 6.15905 N N N N N N EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 635400B4JJBON4TCHF02 EQUITABLE FINANCIAL LIFE SECURED 144A 08/24 0.8 29449WAJ6 1300000.000000 PA USD 1277501.330000 0.397836 Long DBT CORP US N 2 2024-08-12 Fixed 0.8 N N N N N N SOFI CONSUMER LOAN PROGRAM 2023-1S TRUST N/A SOFI CONSUMER LOAN PROGRAM TRU SCLP 2023 1S A 144A 83407EAA2 173021.830000 PA USD 172945.460000 0.0538582 Long ABS-O CORP US N 2 2031-05-15 Fixed 5.81 N N N N N N FREDDIE MAC 3309 N/A FREDDIE MAC FHR 3309 SC 31397GEP1 559695.610000 PA USD 47648.060000 0.0148384 Long ABS-MBS USGSE US N 2 2037-04-15 Floating 1.01688 N N N N N N N/A N/A 317U4VJA8 PIMCO SWAPTION 5.0 PUT USD 20241010 000000000 13200000.000000 NC USD 11115.720000 0.0034616 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/5.00000 10/15/24-1Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 10/15/24-1Y LCH 2025-10-15 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2024-10-10 XXXX 3195.720000 N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1 N/A GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A 36265LAB3 907381.410000 PA USD 761890.330000 0.237266 Long ABS-MBS CORP US N 2 2052-09-25 Variable 3 N N N N N N COMM 2021-2400 MORTGAGE TRUST N/A COMM MORTGAGE TRUST COMM 2021 2400 A 144A 20048FAA6 739870.070000 PA USD 683270.050000 0.212782 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.74048 N N N N N N CSMC 2021-JR2 TRUST N/A CREDIT SUISSE MORTGAGE TRUST CSMC 2021 JR2 A1 144A 12659NAA6 273936.550000 PA USD 267722.630000 0.0833734 Long ABS-MBS CORP US N 2 2061-11-25 Variable 2.215 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1 126670LE6 167853.800000 PA USD 151299.570000 0.0471173 Long ABS-MBS CORP US N 2 2036-02-20 Floating 7.93997 N N N N N N FREDDIE MAC REMICS 4272 N/A FREDDIE MAC FHR 4272 YG 3137B6DF5 15451.460000 PA USD 15382.740000 0.0047904 Long ABS-MBS USGSE US N 2 2026-11-15 Fixed 2 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H12 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H12 FA 38382Y5K5 1013092.930000 PA USD 1022164.370000 0.318319 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 6.31931 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 01/25 4.125 91282CGG0 4800000.000000 PA USD 4761129.700000 1.4827 Long DBT UST US N 2 2025-01-31 Fixed 4.125 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080426 G2 07/30 FLOATING VAR 36225CPL4 13901.420000 PA USD 13585.970000 0.0042309 Long ABS-MBS USGSE US N 2 2030-07-20 Floating 3.625 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL 38376REV4 113892.080000 PA USD 113744.690000 0.035422 Long ABS-MBS USGSE US N 2 2065-06-20 Floating 5.92292 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/26 3.625 91282CHB0 40200000.000000 PA USD 39408562.500000 12.2725 Long DBT UST US N 2 2026-05-15 Fixed 3.625 N N N N N N BX TRUST 2019-ATL N/A BX TRUST BX 2019 ATL A 144A 056058AA8 900000.000000 PA USD 893550.150000 0.278267 Long ABS-MBS CORP US N 2 2036-10-15 Floating 6.52708 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1 17307GXP8 14011.790000 PA USD 13870.340000 0.0043195 Long ABS-MBS CORP US N 2 2035-09-25 Floating 7.56 N N N N N N BX TRUST 2018-BILT 2018-BILT N/A BX TRUST BX 2018 BILT A 144A 05606JAA3 900000.000000 PA USD 899442.540000 0.280102 Long ABS-MBS CORP US N 2 2030-05-15 Floating 6.42301 N N N N N N CARMAX AUTO OWNER TRUST 2022-2 N/A CARMAX AUTO OWNER TRUST CARMX 2022 2 A3 14317HAC5 623250.130000 PA USD 613771.240000 0.191139 Long ABS-O CORP US N 2 2027-02-16 Fixed 3.49 N N N N N N N/A N/A US 10YR ULTRA FUT JUN24 XCBT 20240618 000000000 -216.000000 NC USD -154126.980000 -0.0479978 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-18 -24733687.390000 USD -154126.980000 N N N N/A N/A RFR USD SOFR/3.69100 03/01/24-7Y* LCH 000000000 1.000000 NC USD 6856.020000 0.0021351 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 500000.000000 USD 6856.020000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H18 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H18 FB 38376R6V3 1228967.260000 PA USD 1237703.370000 0.385442 Long ABS-MBS USGSE US N 2 2067-09-20 Floating 5.65919 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 03/27 5.3 44891ACX3 1000000.000000 PA USD 1000438.070000 0.311553 Long DBT CORP US N 2 2027-03-19 Fixed 5.3 N N N N N N N/A N/A 31750NOI2 OTC EPUT FN 5.0 APR24 95.15625 PUT 000000000 -800000.000000 NC USD -2.320000 -0.0000007 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 95.160000 USD 2024-04-04 XXXX 3060.180000 N N N BEAR STEARNS ARM TRUST 2002-11 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A2 07384MSJ2 1701.820000 PA USD 1225.640000 0.0003817 Long ABS-MBS CORP US N 3 2033-02-25 Floating 3.25002 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC SR UNSECURED 01/26 VAR 17327CAP8 800000.000000 PA USD 801067.200000 0.249466 Long DBT CORP US Y 2 2026-01-25 Floating 6.03452 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080060 G2 04/27 FLOATING VAR 36225CB62 8909.530000 PA USD 8769.260000 0.0027309 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 3.875 N N N N N N READY CAPITAL MORTGAGE FINANCING 2021-FL5 LLC N/A READYCAP COMMERCIAL MORTGAGE T RCMT 2021 FL5 A 144A 75574YAA1 251176.310000 PA USD 250716.930000 0.0780775 Long ABS-MBS CORP US N 2 2038-04-25 Floating 6.44389 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 10/25 0.65 3134GWZV1 6200000.000000 PA USD 5810361.620000 1.80945 Long DBT USGSE US N 2 2025-10-22 Fixed 0.65 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H12 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H12 DF 38382YAZ6 495803.200000 PA USD 502299.460000 0.156425 Long ABS-MBS USGSE US N 2 2071-08-20 Floating 6.81931 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1 92925CBA9 27217.830000 PA USD 26617.240000 0.0082891 Long ABS-MBS CORP US N 2 2045-12-25 Floating 5.98389 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A 22540VK43 11526.160000 PA USD 10717.490000 0.0033376 Long ABS-MBS CORP US N 2 2032-03-25 Floating 6.06469 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-2 N/A SANTANDER DRIVE AUTO RECEIVABL SDART 2023 2 A2 80287JAB0 418893.960000 PA USD 419089.920000 0.130512 Long ABS-O CORP US N 2 2026-03-16 Fixed 5.87 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 065583 FN 09/28 FLOATING VAR 31362M2Q0 4463.250000 PA USD 4359.210000 0.0013575 Long ABS-MBS USGSE US N 2 2028-09-01 Floating 4.451 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 ABBVIE INC SR UNSECURED 03/27 4.8 00287YDR7 1000000.000000 PA USD 1001383.240000 0.311848 Long DBT CORP US N 2 2027-03-15 Fixed 4.8 N N N N N N ONE MARKET PLAZA TRUST 2017-1MKT N/A ONE MARKET PLAZA TRUST OMPT 2017 1MKT A 144A 68245HAA2 1314805.970000 PA USD 1215341.290000 0.378478 Long ABS-MBS CORP US N 2 2032-02-10 Fixed 3.6139 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR8 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR8 A2B 86359LGG8 323005.870000 PA USD 304314.570000 0.0947688 Long ABS-MBS CORP US N 3 2035-05-19 Floating 6.2008 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ N/A BANC OF AMERICA MERRILL LYNCH BAMLL 2019 RLJ A 144A 05492HAA4 900000.000000 PA USD 899775.900000 0.280206 Long ABS-MBS CORP US N 2 2036-04-15 Floating 6.42301 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F 38375UXM7 316656.030000 PA USD 315867.370000 0.0983665 Long ABS-MBS USGSE US N 2 2066-05-20 Floating 6.24443 N N N N N N ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2 N/A ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A 67114WAA9 772732.580000 PA USD 648831.320000 0.202057 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 GA GLOBAL FUNDING TRUST SECURED 144A 04/25 3.85 36143L2J3 1000000.000000 PA USD 981567.790000 0.305677 Long DBT CORP US N 2 2025-04-11 Fixed 3.85 N N N N N N MOSAIC SOLAR LOAN TRUST 2022-1A N/A MOSAIC SOLAR LOANS LLC MSAIC 2022 1A A 144A 61946QAA9 699739.470000 PA USD 598416.220000 0.186357 Long ABS-O CORP US N 2 2053-01-20 Fixed 2.64 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 01/33 1.125 91282CGK1 2173941.000000 PA USD 2039974.410000 0.635283 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H08 FD 38375UVD9 881816.840000 PA USD 876791.630000 0.273048 Long ABS-MBS USGSE US N 2 2065-03-20 Floating 6.04443 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A2 N/A MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A2 59020USJ5 48633.690000 PA USD 45896.060000 0.0142928 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.44552 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A 83206NAB3 608226.780000 PA USD 610444.010000 0.190103 Long ABS-O CORP US N 2 2055-02-16 Floating 6.76864 N N N N N N LIBERTY LENDING ABS TRUST 2022-1A N/A REACH FINANCIAL LLC REACH 2022 1A A 144A 50203YAA3 52395.630000 PA USD 52255.310000 0.0162732 Long ABS-O CORP US N 2 2029-11-15 Fixed 3.76 N N N N N N ENTERPRISE FLEET FINANCING LLC 2022-3 N/A ENTERPRISE FLEET FINANCING LLC EFF 2022 3 A2 144A 29374FAB9 1207226.430000 PA USD 1194709.660000 0.372053 Long ABS-O CORP US N 2 2029-07-20 Fixed 4.38 N N N N N N IMPAC CMB TR 2005-8 N/A IMPAC CMB TRUST IMM 2005 8 2A 45254NRT6 314291.780000 PA USD 291169.300000 0.0906751 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.14389 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080076 G2 05/27 FLOATING VAR 36225CCN4 5115.250000 PA USD 5070.070000 0.0015789 Long ABS-MBS USGSE US N 2 2027-05-20 Floating 3.875 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 10/26 0.8 3134GW6C5 2600000.000000 PA USD 2363491.650000 0.736032 Long DBT USGSE US N 2 2026-10-28 Fixed 0.8 N N N N N N HHT-2019-MAUI N/A HAWAII HOTEL TRUST 2019 MAUI HHT 2019 MAUI A 144A 41975AAA0 1300000.000000 PA USD 1296157.720000 0.403646 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.52301 N N N N N N N/A N/A RFR USD SOFR/3.80000 08/22/23-7Y LCH 000000000 1.000000 NC USD -6646.080000 -0.0020697 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-22 0.000000 USD -1270.000000 USD 400000.000000 USD -5376.080000 N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE 01F040651 -3900000.000000 PA USD -3613539.190000 -1.12532 Short ABS-MBS USGSE US N 2 2052-06-25 Fixed 4 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C21 N/A MORGAN STANLEY BAML TRUST MSBAM 2015 C21 A3 61764XBH7 1553919.360000 PA USD 1522782.390000 0.47422 Long ABS-MBS CORP US N 2 2048-03-15 Fixed 3.077 N N N N N N FREDDIE MAC 3360 N/A FREDDIE MAC FHR 3360 FC 31397KE31 121410.340000 PA USD 121315.740000 0.0377798 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 6.15312 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008717 G2 10/25 FLOATING VAR 36202KVJ1 2094.100000 PA USD 2068.060000 0.000644 Long ABS-MBS USGSE US N 2 2025-10-20 Floating 3.75 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KF38 N/A FHLMC MULTIFAMILY STRUCTURED P FHMS KF38 A 3137FBUC8 108452.200000 PA USD 108320.640000 0.0337329 Long ABS-MBS USGSE US N 2 2024-09-25 Floating 5.76446 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2 74160MDL3 6559.620000 PA USD 6126.080000 0.0019078 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.84389 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1 36228F4P8 137838.650000 PA USD 127401.170000 0.0396749 Long ABS-MBS CORP US N 3 2034-06-25 Floating 4.09198 N N N N N N N/A N/A RFR USD SOFR/3.6637* 03/01/24-7Y* LCH 000000000 1.000000 NC USD 4590.040000 0.0014294 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 300000.000000 USD 4590.040000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H15 DF 38380LA78 526679.540000 PA USD 523987.050000 0.163179 Long ABS-MBS USGSE US N 2 2069-09-20 Floating 6.34443 N N N N N N ASSET BACK SEC CORP HM EQ LN TR 2002-HE1 N/A ASSET BACKED SECURITIES CORP H ABSHE 2002 HE1 M1 04541GCG5 35939.660000 PA USD 35377.010000 0.011017 Long ABS-MBS CORP US N 3 2032-03-15 Floating 7.08981 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE + CO SR UNSECURED 09/27 VAR 46647PCQ7 1000000.000000 PA USD 1000050.630000 0.311433 Long DBT CORP US N 2 2027-09-22 Floating 6.09533 N N N N N N CHASE AUTO OWNER TRUST 2024-1A N/A CHASE AUTO OWNER TRUST CHAOT 2024 1A A2 144A 16144BAB4 800000.000000 PA USD 800704.800000 0.249353 Long ABS-O CORP US N 2 2027-04-26 Fixed 5.48 N N N N N N N/A N/A FIXED INC CLEARING CORP.REPO 000000000 1052000.000000 PA USD 1052000.000000 0.327611 Long RA US N 2 Repurchase N 2.600000 2024-04-01 1043900.000000 USD 1073076.520000 USD UST N N N HSI ASSET LOAN OBLIGATION 2007-WF1 N/A HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A1 40431KAA8 71528.390000 PA USD 21380.000000 0.0066581 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.56389 N N N N N N CRH AMERICA FINANCE INC 549300WEVUODRJ4CWK56 CRH AMERICA FINANCE IN 12636CD56 1250000.000000 PA USD 1248491.490000 0.388802 Long DBT CORP US N 2 2024-04-05 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H08 FB 38375UUZ1 784039.570000 PA USD 780578.660000 0.243086 Long ABS-MBS USGSE US N 2 2065-03-20 Floating 6.07443 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FE 38383KDE9 820895.000000 PA USD 823851.700000 0.256562 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 6.21931 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 559824 FN 08/30 FLOATING VAR 31386C4H2 26608.300000 PA USD 26304.340000 0.0081916 Long ABS-MBS USGSE US N 2 2030-08-01 Floating 6.489 N N N N N N N/A N/A US 10YR NOTE (CBT)JUN24 XCBT 20240618 000000000 -161.000000 NC USD -98605.170000 -0.0307073 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-18 -17826976.480000 USD -98605.170000 N N N FANNIE MAE 2000-34 N/A FANNIE MAE FNR 2000 34 F 31358SSV4 7204.600000 PA USD 7044.850000 0.0021939 Long ABS-MBS USGSE US N 2 2030-10-25 Floating 5.88487 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1 86363DAH4 105733.960000 PA USD 40160.330000 0.0125066 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.70389 N N N N N N N/A N/A US 10YR FUT OPTN MAY24P 109 EXP 04/26/2024 000000000 -3.000000 NC USD -448.880000 -0.0001398 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 FIN FUT US 10YR CBT 06/18/24 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 109.000000 USD 2024-04-26 XXXX 578.470000 N N N SYNCHRONY CARD ISSUANCE TRUST 2023-A2 N/A SYNCHRONY CARD ISSUANCE TRUST SYNIT 2023 A2 A 87166PAL5 1000000.000000 PA USD 1015683.000000 0.316301 Long ABS-MBS CORP US N 2 2029-10-15 Fixed 5.74 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P2 A3 144A 14686TAC2 1000000.000000 PA USD 999507.900000 0.311264 Long ABS-O CORP US N 2 2028-04-10 Fixed 5.42 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AD1021 FN 02/25 FIXED 4.5 31418ND31 284.970000 PA USD 282.530000 0.000088 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.5 N N N N N N N/A N/A RFR USD SOFR/3.08750 11/07/23-1Y LCH 000000000 1.000000 NC USD -96561.030000 -0.0300708 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-07 0.000000 USD -31175.000000 USD 4300000.000000 USD -65386.030000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H14 FH 38380QGA4 1129900.490000 PA USD 1158013.430000 0.360625 Long ABS-MBS USGSE US N 2 2070-08-20 Floating 6.69443 N N N N N N GS MORTGAGE SECURITIES TRUST 2015-GC28 N/A GS MORTGAGE SECURITIES TRUST GSMS 2015 GC28 AAB 36251FAX4 276239.190000 PA USD 273964.390000 0.0853172 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.206 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL SD8237 FR 08/52 FIXED 4 3132DWEJ8 8605958.190000 PA USD 7985332.110000 2.48677 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A 585525FX1 303956.190000 PA USD 279925.630000 0.0871736 Long ABS-MBS CORP US N 2 2032-08-15 Floating 6.29981 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA 38376RC95 507412.620000 PA USD 508947.950000 0.158495 Long ABS-MBS USGSE US N 2 2066-10-20 Floating 6.21443 N N N N N N FREDDIE MAC REMICS 4678 N/A FREDDIE MAC FHR 4678 AF 3137BWWX8 326168.780000 PA USD 321417.250000 0.100095 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 5.79269 N N N N N N N/A N/A RFR USD SOFR/3.34000 02/23/23-7Y LCH 000000000 1.000000 NC USD -29967.160000 -0.0093323 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-02-23 0.000000 USD -3096.000000 USD 900000.000000 USD -26871.160000 N N N FNMA PASS THRU POOLS N/A FNMA POOL CA0694 FN 11/47 FIXED 3.5 3140Q7XY8 1577229.840000 PA USD 1425429.040000 0.443903 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N N/A N/A 317U5AZA5 PIMCO SWAPTION 3.75 CALL USD 2024040 000000000 -1000000.000000 NC USD -6.400000 -0.000002 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A RFR USD SOFR/3.75000 04/04/24-5Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 04/04/24-5Y LCH 2029-04-04 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2024-04-02 XXXX 2376.100000 N N N LAD AUTO RECEIVABLES TRUST 2022-1A N/A LAD AUTO RECEIVABLES TRUST LADAR 2022 1A A 144A 501687AA5 430570.160000 PA USD 429515.820000 0.133759 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.21 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 MORGAN STANLEY SR UNSECURED 02/26 VAR 61747YEM3 2900000.000000 PA USD 2823155.630000 0.879179 Long DBT CORP US N 2 2026-02-18 Floating 2.63 N N N N N N WASHINGTON MUTUAL 2005-AR8 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 1A1A 92922FR67 26052.510000 PA USD 24507.880000 0.0076322 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.98389 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA3029 FN 06/32 FIXED 3 31418CLK8 661244.970000 PA USD 626113.370000 0.194982 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 3 N N N N N N MF1 2022-FL9 LLC N/A MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A 55285AAA5 900000.000000 PA USD 901077.610000 0.280611 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 7.47632 N N N N N N 280 PARK AVENUE 2017-280P MORTGAGE TRUST N/A 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P A 144A 90205FAA8 900000.000000 PA USD 883916.550000 0.275267 Long ABS-MBS CORP US N 2 2034-09-15 Floating 6.498 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BY4733 FN 06/53 FIXED 5 3140NMHK6 397918.750000 PA USD 388317.560000 0.120929 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FREDDIE MAC REMICS 5345 N/A FREDDIE MAC FHR 5345 A 3137HAQS8 476697.890000 PA USD 470791.130000 0.146612 Long ABS-MBS USGSE US N 2 2047-01-25 Fixed 5.5 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A JP MORGAN MORTGAGE TRUST JPMMT 2005 A2 5A2 466247NV1 19132.900000 PA USD 18517.950000 0.0057668 Long ABS-MBS CORP US N 3 2035-04-25 Floating 6.13816 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 FE 38375UWT3 656926.500000 PA USD 655900.970000 0.204259 Long ABS-MBS USGSE US N 2 2066-04-20 Floating 6.29443 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 841068 FN 11/34 FLOATING VAR 31407UMR5 65976.960000 PA USD 68021.490000 0.0211831 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.403 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1 31395M2F5 193464.450000 PA USD 184908.020000 0.0575835 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 6.28905 N N N N N N STONEPEAK 2021-1 ABS N/A STONEPEAK SALTT 2021 1A AA 144A 78433XAA8 485658.270000 PA USD 452118.030000 0.140797 Long ABS-O CORP US N 2 2033-02-28 Fixed 2.301 N N N N N N N/A N/A RFR USD SOFR/3.80740 03/01/24-4Y* LCH 000000000 1.000000 NC USD 47130.730000 0.0146773 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 4200000.000000 USD 47130.730000 N N N N/A N/A RFR USD SOFR/2.00000 12/21/22-10Y CME 000000000 1.000000 NC USD 637617.470000 0.198565 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-12-21 451962.460000 USD 0.000000 USD 4380000.000000 USD 185655.010000 N N N FANNIE MAE 2003-21 N/A FANNIE MAE FNR 2003 21 OG 31392JW96 3222.240000 PA USD 3128.180000 0.0009742 Long ABS-MBS USGSE US N 2 2033-01-25 Fixed 4 N N N N N N FREDDIE MAC REMICS 4779 N/A FREDDIE MAC FHR 4779 WF 3137F4BX9 269483.980000 PA USD 266698.940000 0.0830546 Long ABS-MBS USGSE US N 2 2044-07-15 Floating 5.79815 N N N N N N HYUNDAI AUTO LEASE SECURITIZATION TRUST 2022-C N/A HYUNDAI AUTO LEASE SECURITIZAT HALST 2022 C A2A 144A 448978AB2 75970.040000 PA USD 75922.980000 0.0236437 Long ABS-O CORP US N 2 2025-01-15 Fixed 4.34 N N N N N N STRUCTURED ASSET MTGE INV 1999-1 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 1999 1 2A 86358HGW3 19049.960000 PA USD 17523.120000 0.005457 Long ABS-MBS CORP US N 3 2029-06-25 Floating 3.90506 N N N N N N N/A N/A US 2YR NOTE (CBT) JUN24 XCBT 20240628 000000000 1009.000000 NC USD -246113.550000 -0.076644 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-28 206281378.650000 USD -246113.550000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2 17307GXQ6 8645.330000 PA USD 8423.830000 0.0026233 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.78 N N N N N N PRICOA GLOBAL FUNDING I 635400IBXEBMD9ADYA79 PRICOA GLOBAL FUNDING 1 SECURED 144A 08/25 4.2 74153WCR8 900000.000000 PA USD 888351.390000 0.276648 Long DBT CORP US N 2 2025-08-28 Fixed 4.2 N N N N N N FANNIE MAE REMICS 2012-125 N/A FANNIE MAE FNR 2012 125 GC 3136A9E79 1039547.180000 PA USD 956854.220000 0.297981 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 2 N N N N N N CSMC 2021-ADV TRUST N/A CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A 12660WAA3 100000.000000 PA USD 90084.780000 0.0280539 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.84048 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FC 38382Y5C3 1089704.550000 PA USD 1106217.500000 0.344495 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 6.41931 N N N N N N MMAF EQUIPMENT FINANCE LLC 2022-B N/A MMAF EQUIPMENT FINANCE LLC MMAF 2022 B A2 144A 606940AB0 65710.680000 PA USD 65705.150000 0.0204617 Long ABS-O CORP US N 2 2025-09-09 Fixed 5.57 N N N N N N N/A N/A 31750NL12 OTC EPUT FN 5.0 APR24 96.90625 PUT 000000000 -800000.000000 NC USD -290.800000 -0.0000906 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 96.910000 USD 2024-04-04 XXXX 4209.200000 N N N N/A N/A RFR USD SOFR/3.47000 02/22/23-7Y LCH 000000000 1.000000 NC USD -10569.230000 -0.0032914 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-02-22 0.000000 USD -1407.500000 USD 400000.000000 USD -9161.730000 N N N FNMA PASS THRU POOLS N/A FNMA POOL BM1447 FN 07/47 FIXED VAR 3140J5TD1 2087789.600000 PA USD 1909357.520000 0.594607 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL QG7216 FR 07/53 FIXED 5 3133C8AR6 2885971.450000 PA USD 2817671.100000 0.877471 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST N/A AMER AIRLINE 16 1 AA PTT PASS THRU CE 07/29 3.575 02376UAA3 964725.260000 PA USD 904825.080000 0.281778 Long DBT CORP US N 2 2029-07-15 Fixed 3.575 N N N N N N N/A N/A RFR USD SOFR/4.71500 09/13/23-1Y LCH 000000000 1.000000 NC USD -51300.490000 -0.0159759 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-09-13 0.000000 USD -20720.000000 USD 7400000.000000 USD -30580.490000 N N N ENTERPRISE FLEET FUNDING LLC 2022-4 N/A ENTERPRISE FLEET FINANCING LLC EFF 2022 4 A2 144A 29374GAB7 461657.360000 PA USD 462545.130000 0.144044 Long ABS-O CORP US N 2 2029-10-22 Fixed 5.76 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008710 G2 10/25 FLOATING VAR 36202KVB8 9154.850000 PA USD 9042.680000 0.002816 Long ABS-MBS USGSE US N 2 2025-10-20 Floating 3.75 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1 07384MSH6 89.310000 PA USD 84.960000 0.0000265 Long ABS-MBS CORP US N 3 2033-02-25 Floating 5.37521 N N N N N N CRSNT TRUST 2021-MOON N/A CRSNT TRUST CRSNT 2021 MOON A 144A 22877LAA5 1300000.000000 PA USD 1268162.090000 0.394927 Long ABS-MBS CORP US N 2 2036-04-15 Floating 6.26448 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1 31394JD87 267929.240000 PA USD 272958.270000 0.0850039 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 6.5 N N N N N N BX TRUST 2022-FOX2 N/A BX TRUST BX 2022 FOX2 A2 144A 05610AAW8 408444.630000 PA USD 403175.000000 0.125556 Long ABS-MBS CORP US N 2 2039-04-15 Floating 6.07453 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BV5386 FN 04/52 FIXED 3 3140MJ6Y6 1624243.160000 PA USD 1399764.760000 0.435911 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL QG8791 FR 08/53 FIXED 5 3133C9XU2 895120.430000 PA USD 873471.920000 0.272014 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N N/A N/A 317U4UUA7 PIMCO SWAPTION 5.0 PUT USD 20250708 000000000 37900000.000000 NC USD 50035.580000 0.0155819 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A RFR USD SOFR/5.00000 07/10/25-1Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 07/10/25-1Y LCH 2026-07-10 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-07-08 XXXX 4555.580000 N N N FREDDIE MAC-3891 N/A FREDDIE MAC FHR 3891 BF 3137ADTZ0 299191.040000 PA USD 296380.590000 0.092298 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 5.98312 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A 30227FAA8 822830.180000 PA USD 823100.400000 0.256328 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.51948 N N N N N N BDS 2022-FL11 LLC N/A BDS LTD BDS 2022 FL11 ATS 144A 054980AA5 1700000.000000 PA USD 1693726.610000 0.527455 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 7.12632 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BK8838 FN 08/48 FIXED 4 3140HNZC9 339484.980000 PA USD 324011.990000 0.100903 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AL5548 FN 05/38 FLOATING VAR 3138ENEW5 100553.180000 PA USD 103423.990000 0.032208 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 5.889 N N N N N N AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR N/A AUSTIN FAIRMONT HOTEL TRUST AFHT 2019 FAIR A 144A 05223HAA0 900000.000000 PA USD 896268.870000 0.279114 Long ABS-MBS CORP US N 2 2032-09-15 Floating 6.423 N N N N N N WAIKIKI BEACH HOTEL TRUST 2019-WBM N/A WAIKIKI BEACH HOTEL TRUST WBHT 2019 WBM A 144A 93065PAA9 1250000.000000 PA USD 1235593.630000 0.384785 Long ABS-MBS CORP US N 2 2033-12-15 Floating 6.673 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 CAPITAL ONE FINANCIAL CO SR UNSECURED 03/26 VAR 14040HCM5 1100000.000000 PA USD 1069440.170000 0.333042 Long DBT CORP US N 2 2026-03-03 Floating 2.636 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A 83206NAA5 608226.700000 PA USD 577741.710000 0.179919 Long ABS-O CORP US N 2 2055-02-16 Fixed 3.94 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 PIMCO PRV SHORT TERM FLT III MUTUAL FUND 000000000 1647369.300000 PA USD 16023961.150000 4.99014 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A FNMA POOL AJ8540 FN 01/27 FIXED 3 3138E1P27 50527.340000 PA USD 49112.760000 0.0152946 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2022-3A N/A GLS AUTO RECEIVABLES TRUST GCAR 2022 3A A2 144A 38014QAB2 159332.180000 PA USD 159036.140000 0.0495266 Long ABS-O CORP US N 2 2026-05-15 Fixed 4.59 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AD9818 FN 07/25 FIXED 4.5 31418X4C9 8604.870000 PA USD 8507.930000 0.0026495 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.5 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A 05493LAA4 900000.000000 PA USD 865392.750000 0.269498 Long ABS-MBS CORP US N 2 2038-09-15 Floating 6.49048 N N N N N N N/A N/A RFR USD SOFR/2.15000 06/15/22-5Y LCH 000000000 1.000000 NC USD -535478.510000 -0.166757 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-15 0.000000 USD -126282.950000 USD 6100000.000000 USD -409195.560000 N N N FNMA PASS THRU POOLS N/A FNMA POOL CA0384 FN 09/47 FIXED 3.5 3140Q7NA1 1306010.020000 PA USD 1179507.300000 0.367319 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA2871 FN 01/32 FIXED 3 31418CFM1 453147.400000 PA USD 429419.930000 0.133729 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 3 N N N N N N BCP TRUST 2021-330N N/A BCP TRUST BCP 2021 330N A 144A 05553BAA3 900000.000000 PA USD 856507.500000 0.266731 Long ABS-MBS CORP US N 2 2038-06-15 Floating 6.23948 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 AMERICAN HONDA FINANCE SR UNSECURED 05/25 5 02665WEJ6 800000.000000 PA USD 796850.820000 0.248153 Long DBT CORP US N 2 2025-05-23 Fixed 5 N N N N N N METROPOLITAN LIFE GLOBAL FUNDING I 635400MMSOCXNNNZDZ82 MET LIFE GLOB FUNDING I SECURED 144A 07/25 0.95 59217GEJ4 1300000.000000 PA USD 1233589.760000 0.384161 Long DBT CORP US N 2 2025-07-02 Fixed 0.95 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE 01F052656 2000000.000000 PA USD 1990228.800000 0.619791 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5.5 N N N N N N FREDDIE MAC STRIPS 332 N/A FREDDIEMAC STRIP FHS 332 V1 3132HUCJ0 227525.690000 PA USD 222256.640000 0.0692145 Long ABS-MBS USGSE US N 2 2044-08-15 Floating 0.987008 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE 01F032658 -5200000.000000 PA USD -4657424.770000 -1.4504 Short ABS-MBS USGSE US N 2 2052-03-25 Fixed 3.5 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2019-1 N/A WELLS FARGO MORTGAGE BACKED SE WFMBS 2019 1 A1 144A 95001TAA3 810549.050000 PA USD 759995.840000 0.236676 Long ABS-MBS CORP US N 2 2048-11-25 Variable 3.93296 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 BF 38382YC27 609035.620000 PA USD 619318.330000 0.192866 Long ABS-MBS USGSE US N 2 2072-11-20 Floating 6.48931 N N N N N N N/A N/A 317U391O7 PIMCO FPPSWAPTION 2.697 CALL USD 000000000 -3400000.000000 NC USD -0.340000 -0.0000001 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/2.69700 04/04/24-1Y LCH 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 26668.410000 N N N N/A N/A 317U54SA7 PIMCO SWAPTION 4.5 PUT USD 20250213 000000000 4100000.000000 NC USD 40193.530000 0.012517 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A RFR USD SOFR/4.50000 02/18/25-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.50000 02/18/25-10Y LCH 2035-02-18 0.000000 USD 0.000000 USD N/A USD N/A 4.500000 USD 2025-02-13 XXXX -21539.420000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-7 N/A SANTANDER DRIVE AUTO RECEIVABL SDART 2022 7 A2 80287FAB8 49588.540000 PA USD 49595.840000 0.015445 Long ABS-O CORP US N 2 2026-01-15 Fixed 5.81 N N N N N N FS RIALTO 2022-FL4 N/A FS RIALTO ISSUER LTD FSRIA 2022 FL4 A 144A 30326MAA3 1100000.000000 PA USD 1098139.250000 0.341979 Long ABS-CBDO CORP US N 2 2039-01-19 Floating 7.21864 N N N N N N CITIBANK CREDIT CARD ISSUANCE TRUST 2018-A5 N/A CITIBANK CREDIT CARD ISSUANCE CCCIT 2018 A5 A5 17305EGP4 900000.000000 PA USD 903320.460000 0.281309 Long ABS-MBS CORP US N 2 2027-08-07 Floating 6.04536 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008660 G2 07/25 FLOATING VAR 36202KTR6 2160.900000 PA USD 2144.490000 0.0006678 Long ABS-MBS USGSE US N 2 2025-07-20 Floating 3.625 N N N N N N N/A N/A 31750NUW4 OTC ECAL FN 5.0 MAY24 97.671875 CALL 000000000 -300000.000000 NC USD -1823.220000 -0.0005678 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% MAY 30YR N/A 97.670000 USD 2024-05-06 XXXX -674.780000 N N N N/A N/A RFR USD SOFR/4.25000 09/14/23-1Y LCH 000000000 1.000000 NC USD -14092.520000 -0.0043887 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-09-14 0.000000 USD 0.000000 USD 1210000.000000 USD -14092.520000 N N N FNMA PASS THRU POOLS N/A FNMA POOL AC3421 FN 11/24 FIXED 4.5 31417MYT4 812.230000 PA USD 808.610000 0.0002518 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC SR UNSECURED 08/26 VAR 38145GAM2 1600000.000000 PA USD 1605603.820000 0.500012 Long DBT CORP US N 2 2026-08-10 Floating 5.798 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 735813 FN 07/35 FLOATING VAR 31402RN62 2873.120000 PA USD 2867.410000 0.000893 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.953 N N N N N N N/A N/A RFR USD SOFR/3.52500 03/02/23-7Y LCH 000000000 1.000000 NC USD -9175.070000 -0.0028573 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-02 0.000000 USD -1110.000000 USD 400000.000000 USD -8065.070000 N N N UWM-2021-INV4 N/A UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 A9 144A 918307AM1 857649.710000 PA USD 798268.700000 0.248595 Long ABS-MBS CORP US N 2 2051-12-25 Floating 5 N N N N N N N/A N/A US 10YR FUT OPTN MAY24C 113 EXP 04/26/2024 000000000 -3.000000 NC USD -302.110000 -0.0000941 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 FIN FUT US 10YR CBT 06/18/24 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 113.000000 USD 2024-04-26 XXXX 1193.990000 N N N N/A N/A RFR USD SOFR/3.68900 03/01/24-7Y* LCH 000000000 1.000000 NC USD 16594.510000 0.0051678 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 1200000.000000 USD 16594.510000 N N N FNMA PASS THRU POOLS N/A FNMA POOL AN6870 FN 10/27 FLOATING VAR 3138LKT49 487612.840000 PA USD 484955.690000 0.151024 Long ABS-MBS USGSE US N 2 2027-10-01 Floating 5.854 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 654952 FN 07/42 FLOATING VAR 31390STH4 27136.890000 PA USD 27090.890000 0.0084366 Long ABS-MBS USGSE US N 2 2042-07-01 Floating 6.289 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 WELLS FARGO BANK NA SR UNSECURED 12/26 5.254 94988J6F9 800000.000000 PA USD 803319.710000 0.250167 Long DBT CORP US N 2 2026-12-11 Fixed 5.254 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 995693 FN 04/24 FIXED VAR 31416CC61 11.290000 PA USD 11.220000 0.0000035 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.5 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1 07384MZS4 19566.180000 PA USD 18501.750000 0.0057618 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.71105 N N N N N N BBCMS TRUST 2018-CBM N/A BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM A 144A 05549RAA5 900000.000000 PA USD 889434.720000 0.276985 Long ABS-MBS CORP US N 2 2037-07-15 Floating 6.62301 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008638 G2 06/25 FLOATING VAR 36202KS30 663.120000 PA USD 656.320000 0.0002044 Long ABS-MBS USGSE US N 2 2025-06-20 Floating 3.875 N N N N N N DISCOVER CARD EXECUTION NOTE TRUST 2017-A5 N/A DISCOVER CARD EXECUTION NOTE T DCENT 2017 A5 A5 254683CA1 900000.000000 PA USD 901015.020000 0.280591 Long ABS-MBS CORP US N 2 2026-12-15 Floating 6.03981 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 04/25 3.875 91282CGX3 5100000.000000 PA USD 5040234.380000 1.56962 Long DBT UST US N 2 2025-04-30 Fixed 3.875 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H19 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H19 FA 38383KCS9 308108.940000 PA USD 309224.360000 0.0962978 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 6.21931 N N N N N N NIAGARA MOHAWK POWER CORPORATION 3T97Y9RR5EN5Y18QHB56 NIAGARA MOHAWK POWER SR UNSECURED 144A 12/28 4.278 65364UAL0 1100000.000000 PA USD 1049797.740000 0.326925 Long DBT CORP US N 2 2028-12-15 Fixed 4.278 N N N N N N N/A N/A RFR USD SOFR/3.75000 12/11/23-1Y LCH 000000000 1.000000 NC USD -56500.040000 -0.0175951 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-12-11 0.000000 USD -11562.500000 USD 3700000.000000 USD -44937.540000 N N N N/A N/A 317U5AYA6 PIMCO SWAPTION 4.25 PUT USD 20240402 000000000 -1000000.000000 NC USD -2.500000 -0.0000008 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A RFR USD SOFR/4.25000 04/04/24-5Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25000 04/04/24-5Y LCH 2029-04-04 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2024-04-02 XXXX 2380.000000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 13A1 07387AFZ3 3154.590000 PA USD 2286.980000 0.0007122 Long ABS-MBS CORP US N 3 2036-02-25 Floating 5.0166 N N N N N N BANK OF AMERICA AUTO TRUST 2023-1A N/A BANK OF AMERICA AUTO TRUST BAAT 2023 1A A2 144A 06428AAB4 394373.060000 PA USD 394794.720000 0.122946 Long ABS-O CORP US N 2 2026-05-15 Fixed 5.83 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE 01F030652 -15100000.000000 PA USD -13006883.750000 -4.05057 Short ABS-MBS USGSE US N 2 2052-02-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL CB3277 FN 04/52 FIXED 3 3140QNUB6 1464868.140000 PA USD 1261774.590000 0.392938 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL MA5399 G2 08/48 FIXED 4.5 36179T7L3 956667.990000 PA USD 931532.330000 0.290095 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 4.5 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A EXETER AUTOMOBILE RECEIVABLES EART 2023 4A A2 30166TAB9 348589.120000 PA USD 348800.820000 0.108623 Long ABS-O CORP US N 2 2025-12-15 Fixed 6.07 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H09 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H09 FB 38376RTJ5 621780.540000 PA USD 621234.180000 0.193463 Long ABS-MBS USGSE US N 2 2066-04-20 Floating 6.34443 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 07/32 0.625 91282CEZ0 2334882.000000 PA USD 2118388.500000 0.659702 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N BBCMS TRUST 2022-C15 N/A BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2022 C15 A5 05552FBA4 1700000.000000 PA USD 1536258.890000 0.478417 Long ABS-MBS CORP US N 2 2055-04-15 Variable 3.662 N N N N N N CAPITAL ONE MULTI-ASSET EXECUTION TRUST 2022-A3 N/A CAPITAL ONE MULTI ASSET EXECUT COMET 2022 A3 A 14041NGB1 1000000.000000 PA USD 996597.900000 0.310358 Long ABS-MBS CORP US N 2 2027-10-15 Fixed 4.95 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2014-C20 N/A WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C20 A5 92890FAU0 518926.660000 PA USD 517254.060000 0.161082 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 3.995 N N N N N N N/A N/A RFR USD SOFR/3.80000 03/10/23-5Y LCH 000000000 1.000000 NC USD -7050.180000 -0.0021955 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-03-10 0.000000 USD -1282.500000 USD 600000.000000 USD -5767.680000 N N N PAGAYA AI DEBT TRUST 2024-3 N/A PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A 69547XAA0 700000.000000 PA USD 699798.960000 0.217929 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.258 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 10/25 0.65 3134GW5R3 4400000.000000 PA USD 4117859.020000 1.28237 Long DBT USGSE US N 2 2025-10-27 Fixed 0.65 N N N N N N GSAMP TRUST 2007-FM1 N/A GSAMP TRUST GSAMP 2007 FM1 A2A 3622MAAB7 43058.110000 PA USD 20796.960000 0.0064765 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.51389 N N N N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A M+T BANK AUTO RECEIVABLES TRUS MTBAT 2024 1A A2 144A 55286TAB1 700000.000000 PA USD 700031.610000 0.218002 Long ABS-O CORP US N 2 2032-02-17 Fixed 5.59 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL J17884 FG 01/27 FIXED 3 3128PXXM3 21841.660000 PA USD 21169.010000 0.0065924 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N HPEFS EQUIPMENT TRUST 2022-2A N/A HPEFS EQUIPMENT TRUST HPEFS 2022 2A A2 144A 40441TAB5 3.120000 PA USD 3.120000 0.000001 Long ABS-O CORP US N 2 2029-09-20 Fixed 3.15 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A FREMONT HOME LOAN TRUST FHLT 2006 E 2A1 35729NAB1 6334.630000 PA USD 2885.720000 0.0008987 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.50389 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A 929227QB5 6549.620000 PA USD 5993.030000 0.0018663 Long ABS-MBS CORP US N 2 2042-06-25 Floating 6.48905 N N N N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA A 144A 647622AA7 900000.000000 PA USD 879093.450000 0.273765 Long ABS-MBS CORP US N 2 2032-04-15 Floating 6.36171 N N N N N N N/A N/A RFR USD SOFR/3.73910 03/01/24-7Y* LCH 000000000 1.000000 NC USD 4361.850000 0.0013584 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 400000.000000 USD 4361.850000 N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1 86358HNX3 10427.740000 PA USD 9993.620000 0.0031122 Long ABS-MBS CORP US N 2 2032-09-19 Floating 6.1008 N N N N N N HERTZ VEHICLE FINANCING LLC 2022-4A N/A HERTZ VEHICLE FINANCING LLC HERTZ 2022 4A A 144A 42806MBA6 900000.000000 PA USD 880081.740000 0.274073 Long ABS-O CORP US N 2 2026-09-25 Fixed 3.73 N N N N N N 2024-05-28 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer