NPORT-P false 0000810893 XXXXXXXX S000009709 C000082492 C000026656 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Total Return Fund II S000009709 T7JTTTWHW1CB4D04VW48 2025-03-31 2024-06-30 N 1118835951.220000 484935307.990000 633900643.230000 0.000000 0.000000 99854440.630000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 4825920.060000 USD N Bloomberg US Aggregate Total Return Unhedged USD Index LBUSTRUU N/A N/A 000000000 1.000000 NC USD 475501.470000 0.075012 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-12-21 309563.330000 USD 0.000000 USD 3000000.000000 USD 165938.140000 N N N OCTANE RECEIVABLES TRUST 2023-2A N/A 67571QAB6 1062353.500000 PA USD 1062950.330000 0.167684 Long ABS-O CORP US N 2 2031-06-20 Fixed 5.88 N N N N N N NYO COMMERCIAL MORTGAGE TRUST 2021-1290 N/A 62955HAA5 1700000.000000 PA USD 1635701.920000 0.258038 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.53848 N N N N N N FANNIEMAE WHOLE LOAN 2004-W8 N/A 31394ALL8 24527.410000 PA USD 24603.840000 0.0038813 Long ABS-MBS USGSE US N 2 2044-06-25 Fixed 6.5 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BGV8 400000.000000 PA USD 398096.720000 0.0628011 Long DBT CORP US N 2 2024-07-29 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 4218.960000 0.0006656 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-17 0.000000 USD -2043.000000 USD 600000.000000 USD 6261.960000 N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 21240.670000 PA USD 19765.230000 0.003118 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.85971 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30 N/A 38376RLJ3 255964.820000 PA USD 256060.860000 0.0403945 Long ABS-MBS USGSE US N 2 2065-10-20 Floating 6.03732 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -555.260000 -0.0000876 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/3.98600 07/17/24-10Y LCH 2034-07-17 0.000000 USD 0.000000 USD N/A USD N/A 3.990000 USD 2024-07-15 XXXX -182.760000 N N N READY CAPITAL MORTGAGE FINANCING 2022-FL8 LLC N/A 75574PAA0 1300620.960000 PA USD 1298402.360000 0.204827 Long ABS-MBS CORP US N 2 2037-01-25 Floating 6.98501 N N N N N N BRITISH AIRWAYS 2021-1 CLASS A PASS THROUGH TRUST N/A 11042CAA8 715444.490000 PA USD 619388.560000 0.0977107 Long DBT CORP US N 2 2036-09-15 Fixed 2.9 N N N N N N N/A N/A 000000000 1.000000 NC USD 34587.540000 0.0054563 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 22586.680000 USD 0.000000 USD 1700000.000000 USD 12000.860000 N N N CSWF 2021-SOP2 N/A 12657VAA0 710364.500000 PA USD 662127.840000 0.104453 Long ABS-MBS CORP US N 2 2034-06-15 Floating 6.5102 N N N N N N GNMA PASS THRU POOLS N/A 36241KGU6 8949.640000 PA USD 8790.200000 0.0013867 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BK5 600000.000000 PA USD 580886.260000 0.0916368 Long DBT CORP US N 2 2028-01-15 Fixed 4.75 N N N N N N SALES TAX SECURITIZATION CORPORATION N/A 79467BDH5 1400000.000000 PA USD 1191832.740000 0.188016 Long DBT MUN US N 2 2034-01-01 Fixed 3.057 N N N N N N N/A N/A 000000000 1.000000 NC USD 4641402.550000 0.732197 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-12-21 2532071.050000 USD 0.000000 USD 12700000.000000 USD 2109331.500000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RB6 1800000.000000 PA USD 1398375.000000 0.220599 Long DBT UST US N 2 2043-05-15 Fixed 2.875 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC6 N/A 86358ECL8 911034.350000 PA USD 918919.900000 0.144963 Long ABS-MBS CORP US N 2 2033-07-25 Floating 6.58471 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 3573801.000000 PA USD 3500066.590000 0.552148 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QN1 160000.000000 PA USD 164375.000000 0.0259307 Long DBT UST US N 2 2041-02-15 Fixed 4.75 N N N N N N HANOVER INSURANCE GROUP INC (AKA: ALLMERICA FINANCIAL CORP) JJYR6MFKFF6CF8DBZ078 410867AG0 1600000.000000 PA USD 1350771.520000 0.213089 Long DBT CORP US N 2 2030-09-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128K9SR6 3161.930000 PA USD 3200.860000 0.0005049 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36297KH87 31771.890000 PA USD 31903.470000 0.0050329 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-SA1 N/A 76111XG98 68043.220000 PA USD 58770.350000 0.0092712 Long ABS-MBS CORP US N 3 2036-02-25 Floating 5.83468 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA87 4100000.000000 PA USD 4173722.840000 0.658419 Long DBT CORP US N 2 2030-04-25 Floating 5.727 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 1383435.590000 PA USD 1294734.400000 0.204249 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N N/A N/A 000000000 1.000000 NC USD 277324.220000 0.0437488 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-02-28 128859.760000 USD 0.000000 USD 21900000.000000 USD 148464.460000 N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130ALHH0 12500000.000000 PA USD 11703628.130000 1.84629 Long DBT USGSE US N 2 2026-03-05 Fixed 0.96 N N N N N N BOOZ ALLEN HAMILTON INC 549300D7XCH2480XU542 09951LAA1 200000.000000 PA USD 188494.640000 0.0297357 Long DBT CORP US N 2 2028-09-01 Fixed 3.875 N N N N N N GNMA PASS THRU POOLS N/A 36179TV77 151506.430000 PA USD 146125.420000 0.0230518 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4.5 N N N N N N N/A N/A 000000000 -1500000.000000 NC USD -2938.350000 -0.0004635 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.63000 07/31/24-10Y LCH 2034-07-31 0.000000 USD 0.000000 USD N/A USD N/A 3.630000 USD 2024-07-29 XXXX 931.650000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KL0 1200000.000000 PA USD 1228761.040000 0.193841 Long DBT CORP US N 2 2029-01-15 Fixed 6.1 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H18 N/A 38376RXY7 704343.360000 PA USD 703512.870000 0.110982 Long ABS-MBS USGSE US N 2 2066-08-20 Floating 6.18732 N N N N N N FNMA PASS THRU POOLS N/A 3140XGFP9 1940666.660000 PA USD 1652298.500000 0.260656 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 1184.650000 0.0001869 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-05-03 0.000000 USD -270.000000 USD 100000.000000 USD 1454.650000 N N N SUNRUN DEMETER ISSUER 2021-2A N/A 86772HAA5 1479307.190000 PA USD 1212302.300000 0.191245 Long ABS-O CORP US N 2 2057-01-30 Fixed 2.27 N N N N N N BANK 2019-BN18 N/A 065402BA6 689606.750000 PA USD 661666.090000 0.10438 Long ABS-MBS CORP US N 2 2062-05-15 Fixed 3.432 N N N N N N CITIZENS FINANCIAL GROUP INC 2138004JDDA4ZQUPFW65 174610BG9 1300000.000000 PA USD 1344368.420000 0.212079 Long DBT CORP US N 2 2035-04-25 Floating 6.645 N N N N N N N/A N/A 000000000 1.000000 NC USD 429037.080000 0.0676821 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-15 0.000000 USD 0.000000 USD 22000000.000000 USD 429037.080000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834LR7 1970000.000000 PA USD 826144.700000 0.130327 Long DBT UST US N 2 2042-08-15 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H07 N/A 38376RY26 235946.630000 PA USD 235588.770000 0.0371649 Long ABS-MBS USGSE US N 2 2067-02-20 Floating 5.89732 N N N N N N GNMA PASS THRU POOLS N/A 36292FSX6 1741.030000 PA USD 1738.320000 0.0002742 Long ABS-MBS USGSE US N 2 2035-08-15 Fixed 5 N N N N N N SYNCHRONY CARD ISSUANCE TRUST 2023-A2 N/A 87166PAL5 1400000.000000 PA USD 1416947.140000 0.223528 Long ABS-MBS CORP US N 2 2029-10-15 Fixed 5.74 N N N N N N PINNACLE WEST CAPITAL CORPORATION TWSEY0NEDUDCKS27AH81 723484AL5 700000.000000 PA USD 700130.630000 0.110448 Long DBT CORP US N 2 2026-06-10 Floating 6.15485 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834KV9 180000.000000 PA USD 78525.080000 0.0123876 Long DBT UST US N 2 2041-11-15 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7RJ4 8159.500000 PA USD 7952.020000 0.0012545 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A9VH7 189820.160000 PA USD 181385.350000 0.0286142 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.5 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-2A N/A 379924AC7 800000.000000 PA USD 800581.840000 0.126295 Long ABS-O CORP US N 2 2030-06-17 Fixed 5.58 N N N N N N N/A N/A 000000000 -29702750.000000 PA USD -29752485.610000 -4.69356 Short RA US N 2 Reverse repurchase N 5.480000 2024-07-02 29400000.000000 USD 29203517.270000 USD UST N N N FHLMC PASS THRU POOLS N/A 31288CA43 9030.490000 PA USD 9267.590000 0.001462 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 6 N N N N N N LOUISVILLE GAS & ELECTRIC KO3GRIB3RPH1XDX50U72 546676AZ0 200000.000000 PA USD 201148.840000 0.0317319 Long DBT CORP US N 2 2033-04-15 Fixed 5.45 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ3T5 116273.710000 PA USD 108439.850000 0.0171068 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128KUGS0 9104.700000 PA USD 9325.970000 0.0014712 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 312938NJ8 7535.980000 PA USD 7464.510000 0.0011776 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5 N N N N N N REGENERON PHARMACEUTICALS 549300RCBFWIRX3HYQ56 75886FAE7 1600000.000000 PA USD 1318285.710000 0.207964 Long DBT CORP US N 2 2030-09-15 Fixed 1.75 N N N N N N ENTERPRISE FLEET FINANCING 2024-2 LLC N/A 29375RAB2 2100000.000000 PA USD 2106468.840000 0.332303 Long ABS-O CORP US N 2 2026-12-20 Fixed 5.74 N N N N N N VEROS AUTO RECEIVABLES TRUST 2023-1 N/A 924933AA2 302444.550000 PA USD 303439.050000 0.0478686 Long ABS-O CORP US N 2 2028-11-15 Fixed 7.12 N N N N N N FNMA PASS THRU POOLS N/A 31405PGB0 354.590000 PA USD 356.020000 0.0000562 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5A75 58928.660000 PA USD 60361.970000 0.0095223 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RK6 880000.000000 PA USD 627996.870000 0.0990687 Long DBT UST US N 2 2045-02-15 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 67779.390000 0.0106924 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-20 125125.930000 USD 0.000000 USD 630000.000000 USD -57346.540000 N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 485959.810000 PA USD 438594.470000 0.0691898 Long ABS-MBS CORP US N 2 2031-12-15 Floating 6.82601 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DN2 200000.000000 PA USD 204926.760000 0.0323279 Long DBT CORP US N 2 2064-05-01 Fixed 7.008 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3 N/A 36263TAB8 1285772.020000 PA USD 1024186.970000 0.161569 Long ABS-MBS CORP US N 2 2052-04-25 Variable 2.5 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAM5 400000.000000 PA USD 393320.250000 0.0620476 Long DBT CORP US N 2 2034-02-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407YK40 9502.590000 PA USD 9540.930000 0.0015051 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FIRSTENERGY PENNSYLVANIA ELECTRIC COMPANY N/A 591894CC2 1400000.000000 PA USD 1347988.330000 0.21265 Long DBT CORP US N 2 2029-01-15 Fixed 4.3 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAE9 1780000.000000 PA USD 1735396.880000 0.273765 Long DBT CORP US N 2 2026-10-01 Fixed 4.25 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KAT7 1500000.000000 PA USD 1432627.220000 0.226002 Long DBT CORP US N 2 2027-05-01 Fixed 3.55 N N N N N N MORGAN STANLEY DIRECT LENDING FUND 549300QEX22T2J8IB029 61774AAD5 1700000.000000 PA USD 1638383.190000 0.258461 Long DBT CORP US N 2 2027-02-11 Fixed 4.5 N N N N N N INTEGRIS BAPTIST MEDICAL CENTER 549300S00ZKDLJSB3927 45834QAA7 2100000.000000 PA USD 1569213.010000 0.247549 Long DBT CORP US N 2 2050-08-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHW4 3700000.000000 PA USD 3653388.660000 0.576335 Long DBT UST US N 2 2030-08-31 Fixed 4.125 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GN7 1600000.000000 PA USD 1568084.180000 0.247371 Long DBT CORP US N 2 2025-08-01 Fixed 3.7 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M3X8 181948.140000 PA USD 181616.180000 0.0286506 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.28995 N N N N N N CSMC 2021-ADV TRUST N/A 12660WAA3 1900000.000000 PA USD 1730173.820000 0.272941 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.84348 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 4175854.590000 PA USD 4162941.180000 0.656718 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.52348 N N N N N N FNMA PASS THRU POOLS N/A 31411WDB0 405.660000 PA USD 417.840000 0.0000659 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 6.5 N N N N N N UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST N/A 90931LAA6 919830.050000 PA USD 855227.170000 0.134915 Long DBT CORP US N 2 2030-01-07 Fixed 3.1 N N N N N N GNMA PASS THRU POOLS N/A 3617L7K73 53023.550000 PA USD 49349.470000 0.007785 Long ABS-MBS USGSE US N 2 2049-09-15 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419BMP7 131662.040000 PA USD 124298.820000 0.0196086 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -12444.760000 -0.0019632 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-23 0.000000 USD -2087.500000 USD 500000.000000 USD -10357.260000 N N N SREIT TRUST 2021-IND N/A 78473JAA0 1700000.000000 PA USD 1676361.840000 0.264452 Long ABS-MBS CORP US N 2 2038-10-15 Floating 6.14348 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 N/A 85573MAA7 198620.960000 PA USD 189361.870000 0.0298725 Long ABS-MBS CORP US N 2 2065-04-25 Fixed 1.486 N N N N N N FHLMC PASS THRU POOLS N/A 3133B7GD4 12506066.950000 PA USD 10657623.480000 1.68128 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36292FWA1 3339.270000 PA USD 3347.590000 0.0005281 Long ABS-MBS USGSE US N 2 2035-10-15 Fixed 5 N N N N N N FS RIALTO 2022-FL4 N/A 30326MAA3 1900000.000000 PA USD 1904750.000000 0.300481 Long ABS-CBDO CORP US N 2 2039-01-19 Floating 7.233 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJG7 3600000.000000 PA USD 3702375.000000 0.584062 Long DBT UST US N 2 2030-10-31 Fixed 4.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CDA1 28262.000000 PA USD 27756.310000 0.0043787 Long ABS-MBS USGSE US N 2 2027-07-20 Floating 4 N N N N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440CA0 1700000.000000 PA USD 1102149.530000 0.173868 Long DBT CORP US N 2 2051-08-15 Fixed 2.95 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284V9 2600000.000000 PA USD 2450042.970000 0.386503 Long DBT UST US N 2 2028-08-15 Fixed 2.875 N N N N N N LPL HOLDINGS INC 549300Z5YF8CCRMYUL26 50212YAJ3 1000000.000000 PA USD 1004313.630000 0.158434 Long DBT CORP US N 2 2027-05-20 Fixed 5.7 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAA5 1700000.000000 PA USD 1611372.030000 0.2542 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.61252 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJZ5 42600000.000000 PA USD 41358609.590000 6.52446 Long DBT UST US N 2 2034-02-15 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7PQ3 3621.710000 PA USD 3709.810000 0.0005852 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N GS MORTGAGE SECURITIES TRUST 2015-590M N/A 36250WAA8 1400000.000000 PA USD 1337798.700000 0.211042 Long ABS-MBS CORP US N 2 2035-10-10 Fixed 3.621 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TK4 26700000.000000 PA USD 22559414.200000 3.55882 Long DBT UST US N 2 2042-08-15 Fixed 3.375 N N N N N N CSMC 2021-INV2 TRUST N/A 12659TAC9 1254703.760000 PA USD 1041209.010000 0.164254 Long ABS-MBS CORP US N 2 2056-11-25 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H25 N/A 38375UZ78 945582.900000 PA USD 952328.690000 0.150233 Long ABS-MBS USGSE US N 2 2067-11-20 Floating 6.85882 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAT5 500000.000000 PA USD 501689.680000 0.0791433 Long DBT CORP US N 2 2028-03-01 Fixed 5.45 N N N N N N JP MORGAN MORTGAGE TRUST 2021-LTV4 N/A 46654DAD5 1357154.810000 PA USD 1126227.450000 0.177666 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N GNMA PASS THRU POOLS N/A 36200JHK9 4545.590000 PA USD 4553.890000 0.0007184 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -52509.430000 -0.0082835 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-30 0.000000 USD -7512.500000 USD 2000000.000000 USD -44996.930000 N N N MORGAN STANLEY IXIS RE CAP TR 2006-2 N/A 617463AA2 11967.690000 PA USD 3878.740000 0.0006119 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.50971 N N N N N N FHLMC PASS THRU POOLS N/A 3128KUG50 742.820000 PA USD 760.890000 0.00012 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N TPG OPERATING GROUP II LP 2549001H9RJQNZT7MU11 872652AA0 600000.000000 PA USD 602777.500000 0.0950902 Long DBT CORP US N 2 2034-03-05 Fixed 5.875 N N N N N N FHLMC PASS THRU POOLS N/A 3132AD4R6 13039.230000 PA USD 12523.650000 0.0019756 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TS7 9200000.000000 PA USD 8303539.030000 1.30991 Long DBT UST US N 2 2043-05-15 Fixed 3.875 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-C N/A 83206EAB3 985907.600000 PA USD 988113.670000 0.155878 Long ABS-O CORP US N 2 2052-06-17 Floating 6.43303 N N N N N N GNMA PASS THRU POOLS N/A 36225CMC7 41684.770000 PA USD 40627.150000 0.0064091 Long ABS-MBS USGSE US N 2 2029-12-20 Floating 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 28393.870000 0.0044792 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-05-06 0.000000 USD -5200.000000 USD 1600000.000000 USD 33593.870000 N N N FNMA PASS THRU POOLS N/A 3140X4GR1 483788.000000 PA USD 451486.220000 0.0712235 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJF9 2600000.000000 PA USD 2649003.920000 0.41789 Long DBT UST US N 2 2028-10-31 Fixed 4.875 N N N N N N FNMA PASS THRU POOLS N/A 31418DBA9 2591.530000 PA USD 2468.350000 0.0003894 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A2VH9 62180.470000 PA USD 60454.260000 0.0095369 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 4 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271AJ8 1500000.000000 PA USD 1450039.560000 0.228749 Long DBT CORP US N 2 2027-01-15 Fixed 3.95 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RC4 2300000.000000 PA USD 1999203.130000 0.315381 Long DBT UST US N 2 2043-08-15 Fixed 3.625 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFP5 600000.000000 PA USD 606079.630000 0.0956111 Long DBT CORP US N 2 2028-04-13 Floating 5.652 N N N N N N FNMA PASS THRU POOLS N/A 31418DAL6 29707.120000 PA USD 28313.570000 0.0044666 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 -600000.000000 NC USD -947.460000 -0.0001495 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/3.84350 07/08/24-10Y LCH 2034-07-08 0.000000 USD 0.000000 USD N/A USD N/A 3.840000 USD 2024-07-03 XXXX 1062.540000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RH3 1200000.000000 PA USD 959390.630000 0.151347 Long DBT UST US N 2 2044-08-15 Fixed 3.125 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HQ9 1500000.000000 PA USD 1479557.660000 0.233405 Long DBT CORP US N 2 2027-06-01 Fixed 4.7 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHA2 4500000.000000 PA USD 4353310.530000 0.68675 Long DBT UST US N 2 2028-04-30 Fixed 3.5 N N N N N N J.P. MORGAN MORTGAGE TRUST 2022-LTV2 N/A 46655LAE4 1485296.780000 PA USD 1280930.490000 0.202071 Long ABS-MBS CORP US N 2 2052-09-25 Variable 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36241KA73 6452.370000 PA USD 6468.210000 0.0010204 Long ABS-MBS USGSE US N 2 2034-11-15 Fixed 5 N N N N N N ALABAMA POWER COMPANY 0RL818ELFOHP5JHOFU19 010392FU7 1100000.000000 PA USD 897044.630000 0.141512 Long DBT CORP US N 2 2030-09-15 Fixed 1.45 N N N N N N FNMA PASS THRU POOLS N/A 3140X6NS6 26772.190000 PA USD 25498.860000 0.0040225 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 7445238.000000 PA USD 6679133.280000 1.05366 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N RADIAN GROUP INC 54930005OUP720S5U385 750236AY7 600000.000000 PA USD 606135.880000 0.09562 Long DBT CORP US N 2 2029-05-15 Fixed 6.2 N N N N N N FNMA PASS THRU POOLS N/A 31407HUA2 379.090000 PA USD 386.500000 0.000061 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36225CC79 132.020000 PA USD 130.780000 0.0000206 Long ABS-MBS USGSE US N 2 2027-07-20 Floating 3.625 N N N N N N FHLMC PASS THRU POOLS N/A 3128LXMR8 29207.120000 PA USD 29902.100000 0.0047172 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N SIXTH STREET LENDING PARTNERS 549300S9P1HMDERGCR64 829932AA0 300000.000000 PA USD 296699.150000 0.0468053 Long DBT CORP US N 2 2029-03-11 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 31060.630000 0.0048999 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-06-20 11728.580000 USD 0.000000 USD 1800000.000000 USD 19332.050000 N N N HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-C N/A 44935VAD1 1200000.000000 PA USD 1205135.280000 0.190114 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.8 N N N N N N GNMA PASS THRU POOLS N/A 36296AVV3 15763.590000 PA USD 15702.650000 0.0024771 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBS4 500000.000000 PA USD 419081.990000 0.0661116 Long DBT CORP US N 2 2031-05-15 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M74F0 9460.310000 PA USD 9510.760000 0.0015004 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHK0 1900000.000000 PA USD 1871388.680000 0.295218 Long DBT UST US N 2 2028-06-30 Fixed 4 N N N N N N VIRGINIA ELECTRIC AND POWER COMPANY CQKUMNNZVDJLRYV2PT43 927804GH1 1500000.000000 PA USD 1445231.550000 0.22799 Long DBT CORP US N 2 2027-05-15 Fixed 3.75 N N N N N N FNMA PASS THRU POOLS N/A 31416Q6H3 18600.890000 PA USD 18075.480000 0.0028515 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.5 N N N N N N F&G GLOBAL FUNDING 6354009CCUKJIZ7KFX73 30321L2G6 600000.000000 PA USD 597149.280000 0.0942023 Long DBT CORP US N 2 2027-06-10 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 438898.490000 0.0692377 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 13300000.000000 USD 438898.490000 N N N UMBS PASS THRU POOLS N/A 01F052680 7300000.000000 PA USD 7199339.790000 1.13572 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400HJ53 400.340000 PA USD 400.800000 0.0000632 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 143084.900000 0.0225721 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 4500000.000000 USD 143084.900000 N N N ENTERGY MISSISSIPPI LLC 54930043I78H35DVVW89 29366WAD8 800000.000000 PA USD 775680.560000 0.122366 Long DBT CORP US N 2 2033-09-01 Fixed 5 N N N N N N FANNIE MAE REMICS 2024-38 N/A 3136BR5A1 1466634.440000 PA USD 1451268.070000 0.228942 Long ABS-MBS USGSE US N 2 2047-12-25 Floating 6.10374 N N N N N N MF1 2024-FL14 LLC N/A 55416AAA7 1200000.000000 PA USD 1198872.000000 0.189126 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 7.07567 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4M67 12751.680000 PA USD 12819.690000 0.0020224 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 2796.700000 0.0004412 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-12-20 0.000000 USD -11674.030000 USD 1800000.000000 USD 14470.730000 N N N FHLMC PASS THRU POOLS N/A 3128M5NP1 45151.890000 PA USD 46250.130000 0.0072961 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415B3T4 4782.290000 PA USD 4827.670000 0.0007616 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179WZA9 10731285.100000 PA USD 9354189.720000 1.47566 Long ABS-MBS USGSE US N 2 2052-03-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202KXR1 545.010000 PA USD 538.850000 0.000085 Long ABS-MBS USGSE US N 2 2026-01-20 Floating 4.625 N N N N N N FNMA PASS THRU POOLS N/A 31402X4D5 527.360000 PA USD 534.920000 0.0000844 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 33886.330000 0.0053457 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-22 0.000000 USD -9067.500000 USD 2600000.000000 USD 42953.830000 N N N N/A N/A 000000000 -2300000.000000 NC USD -589.260000 -0.000093 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/4.23000 07/10/24-10Y LCH 2034-07-10 0.000000 USD 0.000000 USD N/A USD N/A 4.230000 USD 2024-07-08 XXXX 6425.740000 N N N FANNIEMAE WHOLE LOAN 2003-W1 N/A 31392GVX0 125843.150000 PA USD 123115.440000 0.0194219 Long ABS-MBS USGSE US N 2 2042-12-25 Variable 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PK8 158.380000 PA USD 160.910000 0.0000254 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 71.120000 0.0000112 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-12 0.000000 USD -1140.000000 USD 200000.000000 USD 1211.120000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PGW7 1500000.000000 PA USD 1492231.560000 0.235405 Long DBT CORP US N 2 2024-07-30 None 0 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WGQ6 500000.000000 PA USD 497983.000000 0.0785585 Long DBT CORP US N 2 2024-07-24 None 0 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 14640.310000 PA USD 13930.090000 0.0021975 Long ABS-MBS CORP US N 2 2032-09-19 Floating 6.11315 N N N N N N N/A N/A 000000000 1.000000 NC USD 9251.420000 0.0014594 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-09-27 0.000000 USD -6560.000000 USD 1600000.000000 USD 15811.420000 N N N FLAGSHIP CREDIT AUTO TRUST 2022-2 N/A 33844XAE8 868338.750000 PA USD 863977.780000 0.136296 Long ABS-O CORP US N 2 2026-12-15 Fixed 4.03 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-1745 N/A 94990DAA4 1500000.000000 PA USD 1315614.900000 0.207543 Long ABS-MBS CORP US N 2 2036-06-15 Variable 3.87366 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7QS5 33289.550000 PA USD 32433.600000 0.0051165 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31410G2H5 124961.980000 PA USD 125469.740000 0.0197933 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QY7 700000.000000 PA USD 536675.780000 0.0846624 Long DBT UST US N 2 2042-11-15 Fixed 2.75 N N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 19773.000000 PA USD 18906.540000 0.0029826 Long ABS-MBS CORP US N 3 2033-04-25 Floating 6.50002 N N N N N N UWM-2021-INV4 N/A 918307AC3 1350180.890000 PA USD 1072998.470000 0.169269 Long ABS-MBS CORP US N 2 2051-12-25 Fixed 2.5 N N N N N N VMWARE LLC 549300BUDHS3LRWBE814 928563AK1 1800000.000000 PA USD 1577111.740000 0.248795 Long DBT CORP US N 2 2028-08-15 Fixed 1.8 N N N N N N FHLMC PASS THRU POOLS N/A 3132A74F5 632.660000 PA USD 620.740000 0.0000979 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.5 N N N N N N FANNIE MAE 2006-118 N/A 31396L4R8 37759.780000 PA USD 36782.050000 0.0058025 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 5.49822 N N N N N N N/A N/A 000000000 1.000000 NC USD -19502.180000 -0.0030765 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-06-22 0.000000 USD -2572.500000 USD 700000.000000 USD -16929.680000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-1 N/A 80288AAB8 1225005.420000 PA USD 1225416.160000 0.193314 Long ABS-O CORP US N 2 2027-02-16 Fixed 5.71 N N N N N N FNMA PASS THRU POOLS N/A 31391HVM3 1897.420000 PA USD 1903.430000 0.0003003 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6AR9 1368.830000 PA USD 1376.120000 0.0002171 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YT4 200000.000000 PA USD 187710.560000 0.029612 Long DBT CORP US N 2 2027-11-02 Fixed 3.815 N N N N N N N/A N/A 000000000 -1600000.000000 NC USD -718.880000 -0.0001134 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/3.68900 07/17/24-5Y LCH 2029-07-17 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-07-15 XXXX 2561.120000 N N N GNMA PASS THRU POOLS N/A 36202KQ99 458.010000 PA USD 454.410000 0.0000717 Long ABS-MBS USGSE US N 2 2025-01-20 Floating 4.625 N N N N N N GNMA PASS THRU POOLS N/A 36179UWB4 857210.250000 PA USD 847724.290000 0.133731 Long ABS-MBS USGSE US N 2 2049-07-20 Fixed 5 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAK6 1000000.000000 PA USD 937597.200000 0.147909 Long DBT CORP US N 2 2028-06-15 Fixed 4.6 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KP1 600000.000000 PA USD 646576.090000 0.102 Long DBT CORP US N 2 2034-03-15 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC USD 4330.420000 0.0006831 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-23 0.000000 USD -1061.250000 USD 300000.000000 USD 5391.670000 N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAH6 200000.000000 PA USD 202188.010000 0.0318959 Long DBT CORP US N 2 2026-11-21 Fixed 6.125 N N N N N N UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST N/A 90931CAA6 914983.300000 PA USD 859534.210000 0.135595 Long DBT CORP US N 2 2033-02-25 Fixed 4.15 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11 N/A 38375UXM7 874862.130000 PA USD 874433.450000 0.137945 Long ABS-MBS USGSE US N 2 2066-05-20 Floating 6.23732 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFQ3 500000.000000 PA USD 508587.970000 0.0802315 Long DBT CORP US N 2 2030-04-18 Floating 5.656 N N N N N N N/A N/A 000000000 1.000000 NC USD -167795.320000 -0.0264703 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-08-29 0.000000 USD -13390.000000 USD 2600000.000000 USD -154405.320000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H18 N/A 38376REZ5 894787.190000 PA USD 892378.960000 0.140776 Long ABS-MBS USGSE US N 2 2065-07-20 Floating 6.03732 N N N N N N FNMA PASS THRU POOLS N/A 31371LTV1 1081.410000 PA USD 1103.150000 0.000174 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PP7 47.110000 PA USD 47.340000 0.0000075 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 6 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GU1 1500000.000000 PA USD 1272763.530000 0.200783 Long DBT CORP US N 2 2030-06-01 Fixed 2.25 N N N N N N FNMA PASS THRU POOLS N/A 3138AAYJ4 173.100000 PA USD 170.110000 0.0000268 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4 N N N N N N TENNESSEE VALLEY AUTHORITY (TVA) 549300HE1ISW43LNKM54 880591EX6 1700000.000000 PA USD 1384633.820000 0.218431 Long DBT USGA US N 2 2031-09-15 Fixed 1.5 N N N N N N GNMA PASS THRU POOLS N/A 36225CCY0 10334.700000 PA USD 10330.900000 0.0016297 Long ABS-MBS USGSE US N 2 2027-06-20 Floating 3.875 N N N N N N AMEREN ILLINOIS COMPANY RC71E2BZ6UOMFPDJSE79 02361DAV2 1500000.000000 PA USD 1215006.530000 0.191671 Long DBT CORP US N 2 2030-11-15 Fixed 1.55 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHJ3 6300000.000000 PA USD 6099064.460000 0.962148 Long DBT UST US N 2 2030-06-30 Fixed 3.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834KH0 30000.000000 PA USD 13472.620000 0.0021254 Long DBT UST US N 2 2041-05-15 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7LR2 30803.640000 PA USD 30343.820000 0.0047868 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F020687 16100000.000000 PA USD 12606425.900000 1.98871 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 2 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAR1 900000.000000 PA USD 912142.800000 0.143894 Long DBT CORP US N 2 2026-12-01 Fixed 6.05 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWHE6 19967916.840000 PA USD 19307894.920000 3.04589 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 429068.730000 PA USD 399901.240000 0.0630858 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.3102 N N N N N N FNMA PASS THRU POOLS N/A 31404EFS0 14319.880000 PA USD 14377.770000 0.0022681 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -159281.170000 -0.0251272 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-09-09 0.000000 USD -15687.500000 USD 2500000.000000 USD -143593.670000 N N N N/A N/A 000000000 1.000000 NC USD -99615.730000 -0.0157147 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-31 0.000000 USD -12542.500000 USD 2900000.000000 USD -87073.230000 N N N FNMA PASS THRU POOLS N/A 31417YSY4 7044.230000 PA USD 6856.770000 0.0010817 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834KP2 370000.000000 PA USD 163668.220000 0.0258192 Long DBT UST US N 2 2041-08-15 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36241KKS6 6833.460000 PA USD 6850.400000 0.0010807 Long ABS-MBS USGSE US N 2 2036-03-15 Fixed 5 N N N N N N STRUCTURED ASSET INVST LN TR 2004-8 N/A 86358ELZ7 142686.340000 PA USD 135778.140000 0.0214195 Long ABS-MBS CORP US N 2 2034-09-25 Floating 6.35971 N N N N N N N/A N/A 000000000 1.000000 NC USD -199060.210000 -0.0314024 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-22 0.000000 USD -39600.000000 USD 16500000.000000 USD -159460.210000 N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-AR22 N/A 22541QRL8 477328.580000 PA USD 472188.280000 0.0744893 Long ABS-MBS CORP US N 2 2033-09-25 Floating 4.47528 N N N N N N UMBS PASS THRU POOLS N/A 01F022683 25100000.000000 PA USD 20520230.660000 3.23714 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 2.5 N N N N N N N/A N/A 000000000 -600000.000000 NC USD -155.400000 -0.0000245 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/4.19350 07/08/24-10Y LCH 2034-07-08 0.000000 USD 0.000000 USD N/A USD N/A 4.190000 USD 2024-07-03 XXXX 1854.600000 N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAS1 200000.000000 PA USD 189996.560000 0.0299726 Long DBT CORP US N 2 2036-01-15 Fixed 6.25 N N N N N N LIBERTY UTILITIES CO 549300UN1FEYPC5BKW09 531542AA6 2000000.000000 PA USD 2009098.780000 0.316942 Long DBT CORP US N 2 2029-01-31 Fixed 5.577 N N N N N N N/A N/A 000000000 1.000000 NC USD 29715.650000 0.0046877 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 HESS CORPORATION HESS CORP Y Single Leg Swap 2026-12-20 0.000000 USD -17432.760000 USD 1600000.000000 USD 47148.410000 N N N COBANK ACB (AKA: COBANK AB) P0J8I7M2E0A77CKF1705 19075QAF9 2200000.000000 NS USD 2237246.000000 0.352933 Long EP NUSS US N 2 N N N ONSLOW BAY MORTGAGE LOAN TRUST 2021-INV2 N/A 67114KAC1 1411059.790000 PA USD 1123140.240000 0.177179 Long ABS-MBS CORP US N 2 2051-10-25 Variable 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QW1 400000.000000 PA USD 321218.750000 0.0506734 Long DBT UST US N 2 2042-05-15 Fixed 3 N N N N N N AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST N/A 02377LAA2 1644296.640000 PA USD 1469487.350000 0.231817 Long DBT CORP US N 2 2033-08-15 Fixed 3.15 N N N N N N FNMA PASS THRU POOLS N/A 3138EGG57 3696.880000 PA USD 3718.020000 0.0005865 Long ABS-MBS USGSE US N 2 2041-04-01 Floating 6.774 N N N N N N FNMA PASS THRU POOLS N/A 31415PYW2 91405.900000 PA USD 91777.170000 0.0144782 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416XX96 9668.870000 PA USD 9516.590000 0.0015013 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DNBC6 3246414.740000 PA USD 2767592.590000 0.436597 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31391ABE8 299.570000 PA USD 304.960000 0.0000481 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 6.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJY8 15196510.000000 PA USD 14753280.840000 2.32738 Long DBT UST US N 2 2034-01-15 Fixed 1.75 N N N N N N LENDMARK FUNDING TRUST 2021-1A N/A 52607MAA7 1700000.000000 PA USD 1560126.550000 0.246115 Long ABS-O CORP US N 2 2031-11-20 Fixed 1.9 N N N N N N SOUTHWESTERN ELECTRIC POWER COMPANY R64UBJHEC74EB3HGQ410 845437BR2 1400000.000000 PA USD 1336415.740000 0.210824 Long DBT CORP US N 2 2028-09-15 Fixed 4.1 N N N N N N VOLKSWAGEN AUTO LEASE TRUST 2023-A N/A 92867UAD4 1600000.000000 PA USD 1607186.240000 0.253539 Long ABS-O CORP US N 2 2026-10-20 Fixed 5.81 N N N N N N FNMA PASS THRU POOLS N/A 31385XAS6 679.420000 PA USD 693.650000 0.0001094 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 6 N N N N N N BWAY MORTGAGE TRUST 2021-1450 N/A 12430YAA8 1800000.000000 PA USD 1719763.740000 0.271299 Long ABS-MBS CORP US N 2 2036-09-15 Floating 6.69332 N N N N N N N/A N/A 000000000 1.000000 NC USD -17796.770000 -0.0028075 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-07-12 0.000000 USD -1310.000000 USD 200000.000000 USD -16486.770000 N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACL9 1300000.000000 PA USD 1305595.620000 0.205962 Long DBT CORP US N 2 2025-08-04 Floating 6.49408 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6AX6 9481.340000 PA USD 9531.900000 0.0015037 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414CGL6 6291.110000 PA USD 6316.670000 0.0009965 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N BLACKSTONE SECURED LENDING FUND 549300KM7KWQHVBNH962 09261XAH5 1100000.000000 PA USD 1092463.020000 0.17234 Long DBT CORP US N 2 2027-11-15 Fixed 5.875 N N N N N N SBA TOWER TRUST N/A 78403DAH3 1900000.000000 PA USD 1887824.990000 0.297811 Long DBT CORP US N 2 2049-10-15 Fixed 3.869 N N N N N N N/A N/A 000000000 1.000000 NC USD 2054.650000 0.0003241 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-12 0.000000 USD -1580.000000 USD 400000.000000 USD 3634.650000 N N N FNMA PASS THRU POOLS N/A 31416RRQ8 3.550000 PA USD 3.530000 0.0000006 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 4.5 N N N N N N BROWN & BROWN INC 549300PC8KTJ71XKFY89 115236AG6 600000.000000 PA USD 596532.290000 0.094105 Long DBT CORP US N 2 2034-06-11 Fixed 5.65 N N N N N N SBA TOWER TRUST N/A 78403DAR1 1700000.000000 PA USD 1527274.050000 0.240933 Long DBT CORP US N 2 2052-07-15 Fixed 2.328 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 88135.890000 PA USD 50910.300000 0.0080313 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.98416 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834LB2 380000.000000 PA USD 163536.660000 0.0257985 Long DBT UST US N 2 2042-02-15 None 0 N N N N N N N/A N/A 000000000 -1300000.000000 NC USD -8483.540000 -0.0013383 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/3.99800 07/26/24-10Y LCH 2034-07-26 0.000000 USD 0.000000 USD N/A USD N/A 4.000000 USD 2024-07-24 XXXX -3771.040000 N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JGK7 1400000.000000 PA USD 1395519.760000 0.220148 Long DBT CORP US N 2 2024-07-19 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 9800.570000 0.0015461 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-29 0.000000 USD -2557.500000 USD 600000.000000 USD 12358.070000 N N N SBNA AUTO RECEIVABLES TRUST 2024-A N/A 78437PAB9 300000.000000 PA USD 299870.610000 0.0473056 Long ABS-O CORP US N 2 2027-03-15 Fixed 5.7 N N N N N N GNMA PASS THRU POOLS N/A 36296DP28 367403.650000 PA USD 368849.960000 0.0581873 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6RW0 13569.520000 PA USD 13889.310000 0.0021911 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RD2 1300000.000000 PA USD 1149382.810000 0.181319 Long DBT UST US N 2 2043-11-15 Fixed 3.75 N N N N N N LXP INDUSTRIAL TRUST 549300S4MH2ICXDBFV43 529043AF8 600000.000000 PA USD 622613.480000 0.0982194 Long DBT CORP US N 2 2028-11-15 Fixed 6.75 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AFZ3 41449.320000 PA USD 29748.140000 0.0046929 Long ABS-MBS CORP US N 3 2036-02-25 Floating 5.01071 N N N N N N CNO GLOBAL FUNDING 6354008GTNR4833ULD48 18977W2D1 1200000.000000 PA USD 1204628.440000 0.190034 Long DBT CORP US N 2 2027-06-04 Fixed 5.875 N N N N N N FHLMC PASS THRU POOLS N/A 3132ADRY6 155216.510000 PA USD 148319.390000 0.0233979 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 3.5 N N N N N N N/A N/A 000000000 -2100000.000000 NC USD -13561.590000 -0.0021394 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/3.97800 07/22/24-10Y LCH 2034-07-22 0.000000 USD 0.000000 USD N/A USD N/A 3.980000 USD 2024-07-18 XXXX -5581.590000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFA8 1000000.000000 PA USD 996326.940000 0.157174 Long DBT CORP US N 2 2029-02-01 Floating 5.123 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -480.800000 -0.0000758 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.80000 07/09/24-10Y LCH 2034-07-09 0.000000 USD 0.000000 USD N/A USD N/A 3.800000 USD 2024-07-05 XXXX 1469.200000 N N N BDS 2022-FL11 LLC N/A 054980AA5 3099969.780000 PA USD 3086425.580000 0.486894 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 7.14225 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -58.710000 -0.0000093 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/3.58600 07/17/24-10Y LCH 2034-07-17 0.000000 USD 0.000000 USD N/A USD N/A 3.590000 USD 2024-07-15 XXXX 313.790000 N N N GNMA PASS THRU POOLS N/A 3622A2FL1 54867.230000 PA USD 55082.620000 0.0086895 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N N/A N/A 000000000 -1200000.000000 NC USD -3760.080000 -0.0005932 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.76500 07/24/24-10Y LCH 2034-07-24 0.000000 USD 0.000000 USD N/A USD N/A 3.770000 USD 2024-07-22 XXXX 1309.920000 N N N N/A N/A 000000000 1.000000 NC USD -8988.790000 -0.001418 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-23 0.000000 USD -1170.000000 USD 300000.000000 USD -7818.790000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SY5 6300000.000000 PA USD 4560240.260000 0.719394 Long DBT UST US N 2 2041-05-15 Fixed 2.25 N N N N N N FNMA PASS THRU POOLS N/A 31405UXK0 6297.430000 PA USD 6322.840000 0.0009974 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KQ9 500000.000000 PA USD 501326.250000 0.0790859 Long DBT CORP US N 2 2029-05-15 Fixed 5.55 N N N N N N N/A N/A 000000000 1.000000 NC USD 581161.250000 0.0916802 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 17800000.000000 USD 581161.250000 N N N N/A N/A 000000000 597000.000000 PA USD 597000.000000 0.0941788 Long RA US N 2 Repurchase N 2.600000 2024-07-01 476300.000000 USD 608947.220000 USD UST N N N FHLMC PASS THRU POOLS N/A 3128M6SU3 72156.590000 PA USD 72541.470000 0.0114437 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N BLUE OWL FINANCE LLC 254900OF2NO2GYFV5T41 09581JAM8 900000.000000 PA USD 902909.640000 0.142437 Long DBT CORP US N 2 2034-04-18 Fixed 6.25 N N N N N N UMBS PASS THRU POOLS N/A 01F032682 23950000.000000 PA USD 21203234.380000 3.34488 Long ABS-MBS USGSE US N 2 2024-09-25 Fixed 3.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2 N/A 36267BAB3 1748224.030000 PA USD 1447481.600000 0.228345 Long ABS-MBS CORP US N 2 2052-08-26 Variable 3 N N N N N N FNMA PASS THRU POOLS N/A 31385PRQ9 121.360000 PA USD 120.650000 0.000019 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 8 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AJ6 1500000.000000 PA USD 1508487.560000 0.237969 Long DBT CORP US N 2 2027-06-01 Fixed 5.9 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJM4 7200000.000000 PA USD 7207312.460000 1.13698 Long DBT UST US N 2 2030-11-30 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 5291.820000 0.0008348 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2028-06-20 273.120000 USD 0.000000 USD 300000.000000 USD 5018.700000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCY5 2600000.000000 PA USD 2285156.250000 0.360491 Long DBT UST US N 2 2028-09-30 Fixed 1.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 6302.850000 0.0009943 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-06-20 0.000000 USD -9248.000000 USD 1800000.000000 USD 15550.850000 N N N N/A N/A 000000000 272.000000 NC USD 70820.620000 0.0111722 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-09-30 28973312.430000 USD 70820.620000 N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DJ1 400000.000000 PA USD 405746.910000 0.064008 Long DBT CORP US N 2 2029-05-01 Fixed 6.298 N N N N N N LOUISIANA LOCAL GOVERNMENT ENVIRONMENTAL FACILITIES & COMMUNITY DEVELOPMENT AUTH 5493004WIZ1HV87IVF85 54627RAM2 1400000.000000 PA USD 1341709.460000 0.211659 Long DBT MUN US N 2 2033-02-01 Fixed 4.145 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DL6 200000.000000 PA USD 204882.240000 0.0323209 Long DBT CORP US N 2 2034-05-01 Fixed 6.528 N N N N N N N/A N/A 000000000 -1300000.000000 NC USD -2322.970000 -0.0003665 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/3.64800 07/26/24-10Y LCH 2034-07-26 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2024-07-24 XXXX 2389.530000 N N N TENNESSEE VALLEY AUTHORITY (TVA) 549300HE1ISW43LNKM54 880591EZ1 2600000.000000 PA USD 2544622.760000 0.401423 Long DBT USGA US N 2 2028-03-15 Fixed 3.875 N N N N N N PHILIP MORRIS INTERNATIONAL INC HL3H1H2BGXWVG3BSWR90 718172DH9 1000000.000000 PA USD 989672.070000 0.156124 Long DBT CORP US N 2 2031-02-13 Fixed 5.125 N N N N N N FNMA PASS THRU POOLS N/A 31418C7A6 3946.110000 PA USD 3770.690000 0.0005948 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36292HR62 3037.320000 PA USD 3024.370000 0.0004771 Long ABS-MBS USGSE US N 2 2035-10-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5W55 792.050000 PA USD 796.270000 0.0001256 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407KGK9 7292.110000 PA USD 7305.430000 0.0011525 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 5.956 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967PF2 600000.000000 PA USD 596625.940000 0.0941198 Long DBT CORP US N 2 2030-02-13 Floating 5.174 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGK1 10598473.600000 PA USD 9810402.790000 1.54762 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N UNITED WHOLESALE MORTGAGE LLC 2021-INV3 N/A 90355RAM4 1415249.990000 PA USD 1313756.750000 0.20725 Long ABS-MBS CORP US N 2 2051-11-25 Floating 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M8HP2 134258.560000 PA USD 137509.740000 0.0216926 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M56F2 44607.910000 PA USD 45604.870000 0.0071943 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 6 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ4 N/A 36264RAE5 1302836.520000 PA USD 1033747.620000 0.163077 Long ABS-MBS CORP US N 2 2052-09-25 Variable 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31404UMY3 1429.720000 PA USD 1437.240000 0.0002267 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617MR3L6 116930.470000 PA USD 108600.430000 0.0171321 Long ABS-MBS USGSE US N 2 2050-02-15 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31406AWK4 5611.640000 PA USD 5618.260000 0.0008863 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3T6 800000.000000 PA USD 802319.260000 0.126569 Long DBT CORP US N 2 2027-03-25 Fixed 5.516 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DH5 300000.000000 PA USD 302141.120000 0.0476638 Long DBT CORP US N 2 2027-05-01 Fixed 6.259 N N N N N N N/A N/A 000000000 1.000000 NC USD 4601.800000 0.0007259 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-22 0.000000 USD -2370.000000 USD 600000.000000 USD 6971.800000 N N N FHLMC PASS THRU POOLS N/A 3128M6SG4 2996.120000 PA USD 3012.100000 0.0004752 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N CONSTELLATION ENERGY GENERATION LLC S2PEWKCZFFECR4533P43 210385AD2 600000.000000 PA USD 625621.540000 0.0986939 Long DBT CORP US N 2 2034-01-15 Fixed 6.125 N N N N N N PARK PLACE SECURITIES INC 2005-WCH1 N/A 70069FFL6 73444.440000 PA USD 72511.640000 0.011439 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.70471 N N N N N N N/A N/A 000000000 1.000000 NC USD -384437.470000 -0.0606463 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-05-03 0.000000 USD -18005.000000 USD 5200000.000000 USD -366432.470000 N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBU3 600000.000000 PA USD 616755.790000 0.0972953 Long DBT CORP US N 2 2030-01-03 Floating 6.848 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DR8 1000000.000000 PA USD 997577.160000 0.157371 Long DBT CORP US N 2 2033-03-02 Fixed 5.25 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H15 N/A 38376RWY8 805681.550000 PA USD 805362.900000 0.127049 Long ABS-MBS USGSE US N 2 2066-07-20 Floating 6.23732 N N N N N N UNITED WHOLESALE MORTGAGE LLC 2021-INV5 N/A 90355DAV5 1537057.150000 PA USD 1273600.330000 0.200915 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-21M N/A 05609CAA5 1147354.800000 PA USD 1132120.220000 0.178596 Long ABS-MBS CORP US N 2 2036-10-15 Floating 6.17348 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B51 200000.000000 PA USD 180976.530000 0.0285497 Long DBT CORP US N 2 2028-02-16 Fixed 2.9 N N N N N N N/A N/A 000000000 -800000.000000 NC USD -4234.400000 -0.000668 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.02500 07/24/24-10Y LCH 2034-07-24 0.000000 USD 0.000000 USD N/A USD N/A 4.030000 USD 2024-07-22 XXXX -1114.400000 N N N N/A N/A 000000000 1.000000 NC USD 24253.480000 0.0038261 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2026-12-20 39281.560000 USD 0.000000 USD 1700000.000000 USD -15028.080000 N N N CSMC 2021-JR2 TRUST N/A 12659NAA6 454411.020000 PA USD 447851.730000 0.0706501 Long ABS-MBS CORP US N 2 2061-11-25 Variable 2.215 N N N N N N NEW YORK ST ELECTRIC & GAS CORP 549300GEC6J0YHUXA160 649840CT0 1700000.000000 PA USD 1365119.130000 0.215352 Long DBT CORP US N 2 2031-10-01 Fixed 2.15 N N N N N N NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATION 4NYF266XZC35SCTGX023 637432NW1 1200000.000000 PA USD 940047.300000 0.148296 Long DBT CORP US N 2 2031-03-15 Fixed 1.35 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAB1 38681.130000 PA USD 17368.490000 0.0027399 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.51971 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-8A LLC N/A 05377RHM9 2000000.000000 PA USD 2053348.200000 0.323923 Long ABS-O CORP US N 2 2030-02-20 Fixed 6.02 N N N N N N N/A N/A 000000000 1.000000 NC USD 9089.330000 0.0014339 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-20 0.000000 USD -2742.000000 USD 800000.000000 USD 11831.330000 N N N FNMA PASS THRU POOLS N/A 31418MWY4 354.750000 PA USD 355.530000 0.0000561 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A3DJ3 1237.120000 PA USD 1217.660000 0.0001921 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -4774.830000 -0.0007532 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-04 0.000000 USD -3150.000000 USD 900000.000000 USD -1624.830000 N N N N/A N/A 000000000 -1200000.000000 NC USD -0.120000 0 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/4.34400 07/02/24-10Y LCH 2034-07-02 0.000000 USD 0.000000 USD N/A USD N/A 4.340000 USD 2024-06-28 XXXX 3689.880000 N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 65480CAD7 1700000.000000 PA USD 1475878.430000 0.232825 Long DBT CORP US N 2 2028-09-15 Fixed 2.45 N N N N N N JP MORGAN MORTGAGE TRUST 2022-INV1 N/A 465973AC9 1447721.090000 PA USD 1201383.380000 0.189522 Long ABS-MBS CORP US N 2 2052-03-25 Variable 3 N N N N N N SBNA AUTO LEASE TRUST 2023-A N/A 78436TAC0 1700000.000000 PA USD 1719842.400000 0.271311 Long ABS-O CORP US N 2 2027-04-20 Fixed 6.51 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TU2 18900000.000000 PA USD 18248836.030000 2.87882 Long DBT UST US N 2 2043-08-15 Fixed 4.375 N N N N N N FNMA PASS THRU POOLS N/A 31413BU58 117839.180000 PA USD 120552.510000 0.0190176 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132GRF30 37601.980000 PA USD 35460.460000 0.005594 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 4 N N N N N N N/A N/A 000000000 -530.000000 NC USD -787471.350000 -0.124226 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-19 -60043202.860000 USD -787471.350000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14 N/A 38376RVV5 707838.870000 PA USD 707569.110000 0.111622 Long ABS-MBS USGSE US N 2 2066-06-20 Floating 6.23732 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TZ1 3700000.000000 PA USD 3630625.000000 0.572743 Long DBT UST US N 2 2044-02-15 Fixed 4.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 398130.500000 PA USD 3873411.630000 0.611044 Long STIV RF US N 1 N N N FHLMC PASS THRU POOLS N/A 3132AECH7 65767.600000 PA USD 62641.680000 0.0098819 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 3.5 N N N N N N N/A N/A 000000000 -1200000.000000 NC USD -3906.360000 -0.0006162 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/3.99400 07/02/24-10Y LCH 2034-07-02 0.000000 USD 0.000000 USD N/A USD N/A 3.990000 USD 2024-06-28 XXXX -216.360000 N N N N/A N/A 000000000 1.000000 NC USD -32230.780000 -0.0050845 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-09-05 0.000000 USD -8790.000000 USD 1200000.000000 USD -23440.780000 N N N PUBLIC SERVICE ENTERPRISE GROUP INC (AKA: PSEG INC) PUSS41EMO3E6XXNV3U28 744573AZ9 300000.000000 PA USD 297519.810000 0.0469348 Long DBT CORP US N 2 2034-04-01 Fixed 5.45 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RG5 500000.000000 PA USD 416699.220000 0.0657357 Long DBT UST US N 2 2044-05-15 Fixed 3.375 N N N N N N GNMA PASS THRU POOLS N/A 36291XXK0 4107.770000 PA USD 4051.420000 0.0006391 Long ABS-MBS USGSE US N 2 2035-08-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3132AEG67 6228.590000 PA USD 5932.550000 0.0009359 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.5 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 30076.390000 PA USD 28866.980000 0.0045539 Long ABS-MBS CORP US N 2 2035-10-25 Floating 7.78 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AM9 500000.000000 PA USD 514440.830000 0.0811548 Long DBT CORP US N 2 2028-12-12 Fixed 7.2 N N N N N N N/A N/A 000000000 1.000000 NC USD -668390.160000 -0.105441 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-15 0.000000 USD -41420.000000 USD 10900000.000000 USD -626970.160000 N N N INDYMAC ARM TRUST 2001-H2 N/A 45660UAT6 2570.340000 PA USD 2351.790000 0.000371 Long ABS-MBS CORP US N 3 2032-01-25 Floating 5.54508 N N N N N N ANTARES HOLDINGS LP 5493008EAIGV4283RM42 03666HAG6 900000.000000 PA USD 886781.270000 0.139893 Long DBT CORP US N 2 2029-02-08 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MEF0 1186.060000 PA USD 1175.710000 0.0001855 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 1600000.000000 PA USD 1473945.360000 0.23252 Long DBT CORP US N 2 2028-06-02 Floating 2.393 N N N N N N DLLMT 2023-1 LLC N/A 232989AB9 450933.630000 PA USD 451174.250000 0.0711743 Long ABS-O CORP US N 2 2025-11-20 Fixed 5.78 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFN0 2200000.000000 PA USD 2209031.990000 0.348482 Long DBT CORP US N 2 2028-04-13 Floating 6.3688 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 93714.300000 PA USD 85106.860000 0.0134259 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.55767 N N N N N N SOUTHWEST GAS CORPORATION OQQR1IQTGBKH0UR88X59 845011AE5 1800000.000000 PA USD 1629969.190000 0.257133 Long DBT CORP US N 2 2032-03-15 Fixed 4.05 N N N N N N N/A N/A 000000000 1.000000 NC USD 8735.850000 0.0013781 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-26 0.000000 USD -2125.000000 USD 500000.000000 USD 10860.850000 N N N UMBS PASS THRU POOLS N/A 01F030686 -27100000.000000 PA USD -23077344.020000 -3.64053 Short ABS-MBS USGSE US N 2 2054-08-13 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QBQV3 4572.440000 PA USD 4355.030000 0.000687 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 3.5 N N N N N N N/A N/A 000000000 -2300000.000000 NC USD -6498.650000 -0.0010252 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/3.88000 07/10/24-10Y LCH 2034-07-10 0.000000 USD 0.000000 USD N/A USD N/A 3.880000 USD 2024-07-08 XXXX 516.350000 N N N UMBS PASS THRU POOLS N/A 01F050676 46700000.000000 PA USD 45138468.750000 7.12075 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGQ8 2600000.000000 PA USD 2553484.390000 0.402821 Long DBT UST US N 2 2030-02-28 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418QFN8 87.240000 PA USD 86.700000 0.0000137 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132GRP96 132943.850000 PA USD 125592.480000 0.0198126 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 4 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3 N/A 161917AB5 1500000.000000 PA USD 1314300.000000 0.207335 Long ABS-MBS CORP US N 2 2064-09-25 Variable 3.25 N N N N N N FNMA PASS THRU POOLS N/A 31410G2F9 7611.450000 PA USD 7642.270000 0.0012056 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810ST6 18900000.000000 PA USD 11932839.890000 1.88245 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N FNMA PASS THRU POOLS N/A 31419FGN0 9679.710000 PA USD 9481.260000 0.0014957 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834LK2 270000.000000 PA USD 114695.040000 0.0180935 Long DBT UST US N 2 2042-05-15 None 0 N N N N N N MFA 2020-NQM1 TRUST N/A 552754AA1 329206.250000 PA USD 309558.040000 0.0488338 Long ABS-MBS CORP US N 2 2065-03-25 Variable 1.479 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHF1 2600000.000000 PA USD 2518343.750000 0.397277 Long DBT UST US N 2 2030-05-31 Fixed 3.75 N N N N N N FNMA PASS THRU POOLS N/A 31412RAL1 6269.320000 PA USD 6294.670000 0.000993 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617AU6S4 199597.440000 PA USD 194960.110000 0.0307556 Long ABS-MBS USGSE US N 2 2047-07-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5Q52 3850.910000 PA USD 3944.590000 0.0006223 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6AU2 2960.750000 PA USD 2976.590000 0.0004696 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -2100000.000000 NC USD -711.060000 -0.0001122 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25000 07/09/24-5Y LCH 2029-07-09 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2024-07-05 XXXX 4433.940000 N N N SPIRIT AIRLINES PASS THROUGH TRUST 2017-1AA N/A 84858WAA4 134560.640000 PA USD 118748.720000 0.018733 Long DBT CORP US N 2 2031-08-15 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC USD -116645.240000 -0.0184012 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-08 0.000000 USD -31200.000000 USD 4800000.000000 USD -85445.240000 N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308KC0 1700000.000000 PA USD 1555834.590000 0.245438 Long DBT CORP US N 2 2032-03-01 Fixed 4.4 N N N N N N FNMA PASS THRU POOLS N/A 3140X5BL6 46311.090000 PA USD 44485.310000 0.0070177 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJA0 4600000.000000 PA USD 4639621.090000 0.731916 Long DBT UST US N 2 2028-09-30 Fixed 4.625 N N N N N N FNMA PASS THRU POOLS N/A 31417TYX0 1480.400000 PA USD 1474.490000 0.0002326 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.5 N N N N N N N/A N/A 000000000 -30096000.000000 PA USD -30114458.880000 -4.75066 Short RA US N 2 Reverse repurchase N 5.520000 2024-07-03 30400000.000000 USD 29514125.150000 USD UST N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114DD7 600000.000000 PA USD 592942.800000 0.0935388 Long DBT CORP US N 2 2034-02-15 Fixed 5.45 N N N N N N CRSNT TRUST 2021-MOON N/A 22877LAA5 1500000.000000 PA USD 1465482.900000 0.231185 Long ABS-MBS CORP US N 2 2036-04-15 Floating 6.26448 N N N N N N MF1 2022-FL10 LLC N/A 55285BAA3 1400000.000000 PA USD 1404655.130000 0.221589 Long ABS-CBDO CORP US N 2 2037-09-17 Floating 7.97367 N N N N N N TOWD POINT HE TRUST 2021-HE1 N/A 89180DAA4 305553.200000 PA USD 293546.360000 0.0463079 Long ABS-MBS CORP US N 2 2063-02-25 Variable 0.918 N N N N N N SAMMONS FINANCIAL GROUP INC 254900SHCOQLVJ21CT59 79588TAF7 600000.000000 PA USD 615599.830000 0.097113 Long DBT CORP US N 2 2034-04-15 Fixed 6.875 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 44405.770000 PA USD 36977.160000 0.0058333 Long ABS-MBS CORP US N 2 2036-02-20 Floating 7.8838 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QZ4 2400000.000000 PA USD 1944187.490000 0.306702 Long DBT UST US N 2 2043-02-15 Fixed 3.125 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 292480AL4 1600000.000000 PA USD 1576310.080000 0.248668 Long DBT CORP US N 2 2028-05-15 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC USD 53009.410000 0.0083624 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-01 0.000000 USD -7118.750000 USD 1700000.000000 USD 60128.160000 N N N DUKE ENERGY CAROLINAS LLC MWIUSDMN17TCR56VW396 26442CBB9 1600000.000000 PA USD 1363692.510000 0.215127 Long DBT CORP US N 2 2031-04-15 Fixed 2.55 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBQ0 300000.000000 PA USD 295778.800000 0.0466601 Long DBT CORP US N 2 2029-01-15 Fixed 4.8 N N N N N N GNMA PASS THRU POOLS N/A 36179TXW0 426260.080000 PA USD 410988.960000 0.0648349 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4.5 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3S8 700000.000000 PA USD 701950.300000 0.110735 Long DBT CORP US N 2 2026-02-23 Fixed 5.684 N N N N N N DOLP TRUST 2021-NYC N/A 23345LAA7 1900000.000000 PA USD 1585329.410000 0.250091 Long ABS-MBS CORP US N 2 2041-05-10 Fixed 2.956 N N N N N N FHLMC PASS THRU POOLS N/A 3132D53J9 31756.120000 PA USD 30246.520000 0.0047715 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31416CLT1 399139.730000 PA USD 408331.360000 0.0644157 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR23 N/A 45660LF95 500125.880000 PA USD 454398.470000 0.0716829 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.97904 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKW8 800000.000000 PA USD 793773.540000 0.125221 Long DBT CORP US N 2 2028-07-22 Floating 4.948 N N N N N N HEALTHPEAK OP LLC N/A 40414LAR0 1300000.000000 PA USD 1201457.300000 0.189534 Long DBT CORP US N 2 2029-07-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 3586.560000 0.0005658 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-10 0.000000 USD -1793.750000 USD 500000.000000 USD 5380.310000 N N N FHLMC PASS THRU POOLS N/A 3128P7PJ6 29100.990000 PA USD 28380.010000 0.004477 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 4 N N N N N N MASSACHUSETTS ELECTRICAL CO 549300XN8GZY5U5O1B96 575634AU4 1500000.000000 PA USD 1194021.350000 0.188361 Long DBT CORP US N 2 2030-11-24 Fixed 1.729 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7N33 22560.010000 PA USD 21996.720000 0.0034701 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4 N N N N N N FREDDIE MAC 3609 N/A 31398LN38 287817.860000 PA USD 288975.520000 0.0455869 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 6.19751 N N N N N N N/A N/A 000000000 -2100000.000000 NC USD -2400.510000 -0.0003787 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/3.62800 07/22/24-10Y LCH 2034-07-22 0.000000 USD 0.000000 USD N/A USD N/A 3.630000 USD 2024-07-18 XXXX 5579.490000 N N N GCT COMMERCIAL MORTGAGE TRUST 2021-GCT N/A 36167RAA1 1900000.000000 PA USD 1568041.690000 0.247364 Long ABS-MBS CORP US N 2 2038-02-15 Floating 6.24348 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D83 1500000.000000 PA USD 1500638.340000 0.236731 Long DBT CORP US N 2 2027-03-05 Fixed 5.8 N N N N N N UNITED WHOLESALE MORTGAGE LLC 2021-INV3 N/A 90355RAC6 1914749.990000 PA USD 1524055.020000 0.240425 Long ABS-MBS CORP US N 2 2051-11-25 Variable 2.5 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C32 N/A 46590JAX5 690761.510000 PA USD 680784.360000 0.107396 Long ABS-MBS CORP US N 2 2048-11-15 Fixed 3.3582 N N N N N N GNMA PASS THRU POOLS N/A 36200JJ50 4155.000000 PA USD 4164.190000 0.0006569 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -158486.440000 -0.0250018 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-04 0.000000 USD -49415.630000 USD 6300000.000000 USD -109070.810000 N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KBB1 1600000.000000 PA USD 1565699.200000 0.246994 Long DBT CORP US N 2 2025-06-02 Fixed 3.45 N N N N N N FNMA PASS THRU POOLS N/A 31390RXM0 2889.530000 PA USD 2898.230000 0.0004572 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 6 N N N N N N N/A N/A 000000000 -223.000000 NC USD -115737.440000 -0.018258 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-19 -26282640.630000 USD -115737.440000 N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BGB2 2100000.000000 PA USD 2095866.130000 0.33063 Long DBT CORP US N 2 2024-07-11 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RE0 1500000.000000 PA USD 1299726.570000 0.205036 Long DBT UST US N 2 2044-02-15 Fixed 3.625 N N N N N N SEQUOIA MORTGAGE TRUST 6 N/A 81743XAA7 73247.540000 PA USD 69377.400000 0.0109445 Long ABS-MBS CORP US N 3 2027-04-19 Floating 6.09315 N N N N N N FNMA PASS THRU POOLS N/A 3138A5AW2 2822.470000 PA USD 2761.170000 0.0004356 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TC2 700000.000000 PA USD 481167.970000 0.0759059 Long DBT UST US N 2 2041-11-15 Fixed 2 N N N N N N AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST N/A 023771R91 777095.110000 PA USD 715970.830000 0.112947 Long DBT CORP US N 2 2030-04-15 Fixed 3 N N N N N N JP MORGAN MORTGAGE TRUST 2021-10 N/A 46654AAC3 1463307.390000 PA USD 1166553.040000 0.184028 Long ABS-MBS CORP US N 2 2051-12-25 Variable 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JPME2 660484.550000 PA USD 629094.550000 0.0992418 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.5 N N N N N N UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST N/A 90932JAA0 1535092.730000 PA USD 1331966.190000 0.210122 Long DBT CORP US N 2 2033-11-01 Fixed 2.7 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5GM6 2934.040000 PA USD 3004.980000 0.000474 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 122248.230000 0.0192851 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SR UNSEC Y Single Leg Swap 2028-06-20 96905.470000 USD 0.000000 USD 805000.000000 USD 25342.760000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3V1 300000.000000 PA USD 300355.030000 0.047382 Long DBT CORP US N 2 2026-05-08 Fixed 5.62 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAE0 675000.000000 PA USD 672086.570000 0.106024 Long DBT CORP US N 2 2029-09-20 Fixed 5.152 N N N N N N N/A N/A 000000000 -1600000.000000 NC USD -3766.880000 -0.0005942 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/4.13900 07/17/24-5Y LCH 2029-07-17 0.000000 USD 0.000000 USD N/A USD N/A 4.140000 USD 2024-07-15 XXXX -486.880000 N N N MOSAIC SOLAR LOAN TRUST 2022-1A N/A 61946QAA9 1208685.810000 PA USD 1028981.790000 0.162325 Long ABS-O CORP US N 2 2053-01-20 Fixed 2.64 N N N N N N ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV3 N/A 67116EAA7 1379449.140000 PA USD 1141285.450000 0.180042 Long ABS-MBS CORP US N 2 2052-02-25 Variable 3 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAB5 1500000.000000 PA USD 1484083.280000 0.234119 Long DBT CORP US N 2 2025-04-01 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TM0 5300000.000000 PA USD 4885730.480000 0.770741 Long DBT UST US N 2 2042-11-15 Fixed 4 N N N N N N EMCM MORTGAGE LOAN TRUST 2001-A N/A 268668AA8 216416.760000 PA USD 214754.510000 0.0338783 Long ABS-MBS CORP US N 2 2040-05-25 Floating 6.19971 N N N N N N OWENS CORNING INC JO5M6676RDJIZ2U8X907 690742AF8 1600000.000000 PA USD 1536970.450000 0.242462 Long DBT CORP US N 2 2026-08-15 Fixed 3.4 N N N N N N N/A N/A 000000000 1.000000 NC USD 32991.730000 0.0052046 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-17 0.000000 USD -4117.500000 USD 900000.000000 USD 37109.230000 N N N GNMA PASS THRU POOLS N/A 36296URM4 29483.860000 PA USD 29581.800000 0.0046666 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36225B6B9 3495.960000 PA USD 3504.590000 0.0005529 Long ABS-MBS USGSE US N 2 2034-07-15 Fixed 5 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 506.930000 PA USD 492.140000 0.0000776 Long ABS-MBS CORP US N 3 2035-02-20 Floating 5.06939 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7HN9 3405.650000 PA USD 3423.880000 0.0005401 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.5 N N N N N N CDW LLC / CDW FINANCE CORP N/A 12513GBE8 1400000.000000 PA USD 1378083.700000 0.217397 Long DBT CORP US N 2 2025-05-01 Fixed 4.125 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1 N/A 81377JAB9 565103.690000 PA USD 125709.580000 0.0198311 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.57971 N N N N N N N/A N/A 000000000 189.000000 NC USD 48872.800000 0.0077099 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-09-30 38598081.980000 USD 48872.800000 N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 44212.910000 PA USD 42183.570000 0.0066546 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 6.35277 N N N N N N CSMC 2018-RPL9 TRUST N/A 12654PAE8 1595380.510000 PA USD 1504660.150000 0.237365 Long ABS-MBS CORP US N 2 2057-09-25 Variable 3.85 N N N N N N CROSS 2024-H3 MORTGAGE TRUST N/A 22758DAA7 1780727.470000 PA USD 1786657.290000 0.281851 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.272 N N N N N N N/A N/A 000000000 1.000000 NC USD 79357.370000 0.0125189 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AES CORPORATION AES CORP/THE SR UNSEC Y Single Leg Swap 2028-12-20 62069.740000 USD 0.000000 USD 500000.000000 USD 17287.630000 N N N GNMA PASS THRU POOLS N/A 36225CPL4 3322.010000 PA USD 3245.070000 0.0005119 Long ABS-MBS USGSE US N 2 2030-07-20 Floating 3.625 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GM3 30130.070000 PA USD 28189.660000 0.004447 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2016-UBS12 N/A 61691EAY1 1237293.680000 PA USD 1202451.490000 0.189691 Long ABS-MBS CORP US N 2 2049-12-15 Fixed 3.436 N N N N N N BRITISH AIRWAYS 2019-1 CLASS A PASS THROUGH TRUST 635400GSHSFIWYIDXC76 11043XAB9 727713.430000 PA USD 680661.520000 0.107377 Long DBT CORP US N 2 2030-12-15 Fixed 3.35 N N N N N N N/A N/A 000000000 -400000.000000 NC USD -1991.440000 -0.0003142 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/4.06000 07/30/24-10Y LCH 2034-07-30 0.000000 USD 0.000000 USD N/A USD N/A 4.060000 USD 2024-07-26 XXXX -475.440000 N N N FNMA PASS THRU POOLS N/A 31406BAA8 46082.400000 PA USD 45958.900000 0.0072502 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.717 N N N N N N AMERICAN AIRLINES 2019-1 CLASS A PASS THROUGH TRUST N/A 02378MAA9 391499.160000 PA USD 344383.210000 0.0543276 Long DBT CORP US N 2 2033-08-15 Fixed 3.5 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MHC3 1000000.000000 PA USD 993043.750000 0.156656 Long DBT CORP US N 2 2024-08-12 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SW9 1100000.000000 PA USD 753091.800000 0.118803 Long DBT UST US N 2 2041-02-15 Fixed 1.875 N N N N N N FHLMC PASS THRU POOLS N/A 31295LBG6 3776.140000 PA USD 3800.810000 0.0005996 Long ABS-MBS USGSE US N 2 2030-07-01 Floating 6.733 N N N N N N FNMA PASS THRU POOLS N/A 31418C2X1 130304.910000 PA USD 124514.200000 0.0196425 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31417LBK0 15036.970000 PA USD 14612.320000 0.0023051 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 33117.910000 0.0052245 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -4550.000000 USD 1000000.000000 USD 37667.910000 N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A 68249DAA7 1500000.000000 PA USD 1460895.600000 0.230461 Long ABS-MBS CORP US N 2 2036-01-15 Floating 6.39348 N N N N N N N/A N/A 000000000 -1100000.000000 NC USD -1424.170000 -0.0002247 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.80000 07/10/24-10Y LCH 2034-07-10 0.000000 USD 0.000000 USD N/A USD N/A 3.800000 USD 2024-07-08 XXXX 3525.830000 N N N TD SYNNEX CORPORATION 5493004HI6PFLF46NS53 87162WAL4 500000.000000 PA USD 501729.230000 0.0791495 Long DBT CORP US N 2 2034-04-12 Fixed 6.1 N N N N N N FNMA PASS THRU POOLS N/A 31418DJL7 9667.030000 PA USD 9207.350000 0.0014525 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHZ7 3600000.000000 PA USD 3651117.190000 0.575976 Long DBT UST US N 2 2030-09-30 Fixed 4.625 N N N N N N HUNDRED ACRE WOOD TRUST 2021-INV2 N/A 44555PAN1 1263283.060000 PA USD 1171186.310000 0.184759 Long ABS-MBS CORP US N 2 2051-10-25 Floating 5 N N N N N N FNMA PASS THRU POOLS N/A 31407HL61 24541.890000 PA USD 24971.670000 0.0039394 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 6 N N N N N N N/A N/A 000000000 -800000.000000 NC USD -1460.240000 -0.0002304 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67500 07/24/24-10Y LCH 2034-07-24 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2024-07-22 XXXX 1659.760000 N N N MF1 2022-FL9 LLC N/A 55285AAA5 2900000.000000 PA USD 2904582.000000 0.458208 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 7.48867 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 400000.000000 PA USD 386841.250000 0.0610255 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGW5 6689280.000000 PA USD 6462178.540000 1.01943 Long DBT UST US N 2 2028-04-15 Fixed 1.25 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H20 N/A 38375BVS8 316833.350000 PA USD 315838.840000 0.0498247 Long ABS-MBS USGSE US N 2 2062-07-20 Variable 5.84125 N N N N N N GNMA PASS THRU POOLS N/A 36292BPM2 3256.760000 PA USD 3264.880000 0.000515 Long ABS-MBS USGSE US N 2 2035-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36206FAB8 42.040000 PA USD 41.980000 0.0000066 Long ABS-MBS USGSE US N 2 2025-09-15 Fixed 7.5 N N N N N N N/A N/A 000000000 -1500000.000000 NC USD -8546.850000 -0.0013483 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.04000 07/31/24-10Y LCH 2034-07-31 0.000000 USD 0.000000 USD N/A USD N/A 4.040000 USD 2024-07-29 XXXX -2996.850000 N N N FNMA PASS THRU POOLS N/A 31391TDF2 81.770000 PA USD 82.420000 0.000013 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 5.5 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WGF0 850000.000000 PA USD 847757.700000 0.133737 Long DBT CORP US N 2 2024-07-15 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31418DG89 121546.780000 PA USD 117882.420000 0.0185964 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36225CDM5 23871.200000 PA USD 23723.330000 0.0037424 Long ABS-MBS USGSE US N 2 2027-08-20 Floating 3.625 N N N N N N MANHATTAN WEST 2020-1MW N/A 563136AA8 1500000.000000 PA USD 1335040.050000 0.210607 Long ABS-MBS CORP US N 2 2039-09-10 Fixed 2.13 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CP2 1450000.000000 PA USD 1444634.620000 0.227896 Long DBT CORP US N 2 2028-06-01 Fixed 5.2 N N N N N N FHLMC PASS THRU POOLS N/A 3132AEKD7 25749.270000 PA USD 24525.270000 0.0038689 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 37488.760000 0.005914 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -5640.000000 USD 1200000.000000 USD 43128.760000 N N N N/A N/A 000000000 -2100000.000000 NC USD -693.840000 -0.0001095 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.85000 07/09/24-5Y LCH 2029-07-09 0.000000 USD 0.000000 USD N/A USD N/A 3.850000 USD 2024-07-05 XXXX 4451.160000 N N N BBCCRE TRUST 2015-GTP N/A 05490TAA0 2300000.000000 PA USD 2222481.490000 0.350604 Long ABS-MBS CORP US N 2 2033-08-10 Fixed 3.966 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 68532.700000 PA USD 65759.940000 0.0103739 Long ABS-MBS CORP US N 2 2045-10-25 Floating 6.03971 N N N N N N GNMA PASS THRU POOLS N/A 21H040673 18500000.000000 PA USD 17097324.270000 2.69716 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202KUY9 6629.250000 PA USD 6584.240000 0.0010387 Long ABS-MBS USGSE US N 2 2025-09-20 Floating 3.625 N N N N N N NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL N/A 63874AAA6 1700000.000000 PA USD 1604706.330000 0.253148 Long ABS-MBS CORP US N 2 2038-08-15 Floating 6.39348 N N N N N N FNMA PASS THRU POOLS N/A 31410YRF3 50946.070000 PA USD 51534.370000 0.0081297 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 19278.380000 PA USD 19624.280000 0.0030958 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 6.08102 N N N N N N GNMA PASS THRU POOLS N/A 36225CBQ8 7744.000000 PA USD 7579.430000 0.0011957 Long ABS-MBS USGSE US N 2 2027-02-20 Floating 4.625 N N N N N N FNMA PASS THRU POOLS N/A 31417YTV9 1003.280000 PA USD 976.520000 0.000154 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 4 N N N N N N TYSON FOODS INC WD6L6041MNRW1JE49D58 902494BM4 300000.000000 PA USD 298992.520000 0.0471671 Long DBT CORP US N 2 2034-03-15 Fixed 5.7 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587DE4 1400000.000000 PA USD 1291286.930000 0.203705 Long DBT CORP US N 2 2030-04-30 Fixed 3.7 N N N N N N N/A N/A 000000000 -400000.000000 NC USD -1147.480000 -0.000181 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/3.71000 07/30/24-10Y LCH 2034-07-30 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2024-07-26 XXXX 368.520000 N N N N/A N/A 000000000 1.000000 NC USD -11820.170000 -0.0018647 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-05 0.000000 USD -5248.750000 USD 1300000.000000 USD -6571.420000 N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334KP5 1500000.000000 PA USD 1021177.590000 0.161094 Long DBT CORP US N 2 2051-03-15 Fixed 3.25 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5K58 155.740000 PA USD 159.530000 0.0000252 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N APPALACHIAN POWER COMPANY 3SCHO1ABYYIG382BEI70 037735CZ8 1600000.000000 PA USD 1347107.440000 0.212511 Long DBT CORP US N 2 2031-04-01 Fixed 2.7 N N N N N N FHLMC PASS THRU POOLS N/A 3128M8TX2 146853.730000 PA USD 150408.640000 0.0237275 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RM2 12810000.000000 PA USD 9960775.720000 1.57135 Long DBT UST US N 2 2045-05-15 Fixed 3 N N N N N N BEAST MORTGAGE TRUST 2022-1700 N/A 055742AA8 1600000.000000 PA USD 1416946.720000 0.223528 Long ABS-MBS CORP US N 2 2037-02-15 Floating 6.629 N N N N N N GXO LOGISTICS INC 5493007CNWMXN78JRN66 36262GAF8 1400000.000000 PA USD 1424667.340000 0.224746 Long DBT CORP US N 2 2029-05-06 Fixed 6.25 N N N N N N MARVELL TECHNOLOGY INC N/A 573874AP9 925000.000000 PA USD 944845.060000 0.149053 Long DBT CORP US N 2 2029-02-15 Fixed 5.75 N N N N N N GCAT TRUST 2022-INV2 N/A 36168FAE8 1403689.150000 PA USD 1163092.060000 0.183482 Long ABS-MBS CORP US N 2 2052-04-25 Variable 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17 N/A 38376REV4 511570.900000 PA USD 510901.560000 0.0805965 Long ABS-MBS USGSE US N 2 2065-06-20 Floating 5.8986 N N N N N N UMBS PASS THRU POOLS N/A 01F040677 28600000.000000 PA USD 26172351.630000 4.12878 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 4 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2024-1 N/A 33843VAC7 2200000.000000 PA USD 2198830.260000 0.346873 Long ABS-O CORP US N 2 2028-03-15 Fixed 5.64 N N N N N N FHLMC PASS THRU POOLS N/A 312945ZY7 120614.090000 PA USD 114016.360000 0.0179865 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 6107238.000000 PA USD 5289825.050000 0.834488 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGS4 2600000.000000 PA USD 2503921.890000 0.395002 Long DBT UST US N 2 2030-03-31 Fixed 3.625 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H31 N/A 38376RMX1 60615.150000 PA USD 60663.530000 0.0095699 Long ABS-MBS USGSE US N 2 2065-11-20 Floating 6.08732 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JM0 1500000.000000 PA USD 1422247.370000 0.224364 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N GNMA PASS THRU POOLS N/A 36225CCN4 4768.550000 PA USD 4733.700000 0.0007468 Long ABS-MBS USGSE US N 2 2027-05-20 Floating 3.875 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXQ6 115758.230000 PA USD 111236.420000 0.0175479 Long ABS-MBS CORP US N 2 2035-09-25 Floating 7.18 N N N N N N FNMA PASS THRU POOLS N/A 3140X6WA5 3993579.780000 PA USD 3823175.050000 0.603119 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36241KW53 202743.540000 PA USD 203663.640000 0.0321286 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N MARINER FINANCE ISSUANCE TRUST 2021-A N/A 56848DAA7 1700000.000000 PA USD 1574209.350000 0.248337 Long ABS-O CORP US N 2 2036-03-20 Fixed 1.86 N N N N N N N/A N/A 000000000 -1100000.000000 NC USD -54.120000 -0.0000085 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.35000 07/10/24-10Y LCH 2034-07-10 0.000000 USD 0.000000 USD N/A USD N/A 4.350000 USD 2024-07-08 XXXX 4895.880000 N N N FNMA PASS THRU POOLS N/A 31415QAV8 1789.160000 PA USD 1793.290000 0.0002829 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 21109.240000 PA USD 21081.210000 0.0033256 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 6.353 N N N N N N FNMA PASS THRU POOLS N/A 31376KHD1 6732.380000 PA USD 6759.580000 0.0010663 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5.5 N N N N N N VMC FINANCE 2022-FL5 LLC N/A 91835BAA3 3043414.500000 PA USD 3035997.550000 0.478939 Long ABS-CBDO CORP US N 2 2039-02-18 Floating 7.23303 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBZ3 2700000.000000 PA USD 2399361.320000 0.378508 Long DBT UST US N 2 2028-04-30 Fixed 1.25 N N N N N N AES CORPORATION 2NUNNB7D43COUIRE5295 00130HCH6 500000.000000 PA USD 499054.910000 0.0787276 Long DBT CORP US N 2 2028-06-01 Fixed 5.45 N N N N N N FREDDIE MAC-2237 N/A 3133TPB81 61167.980000 PA USD 64173.930000 0.0101237 Long ABS-MBS USGSE US N 2 2030-06-15 Fixed 8 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XCE8 800000.000000 PA USD 815835.600000 0.128701 Long DBT CORP US N 2 2028-11-15 Fixed 5.8 N N N N N N FLORIDA POWER & LIGHT COMPANY A89MY1K3YLIGJMYWVX50 341081FP7 1300000.000000 PA USD 989723.830000 0.156132 Long DBT CORP US N 2 2047-12-01 Fixed 3.7 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CKD2 28900000.000000 PA USD 28775255.750000 4.5394 Long DBT UST US N 2 2029-02-28 Fixed 4.25 N N N N N N VASA TRUST 2021-VASA N/A 92230AAA4 1900000.000000 PA USD 1760620.750000 0.277744 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.34348 N N N N N N FNMA PASS THRU POOLS N/A 3140NEYZ2 891722.290000 PA USD 862967.090000 0.136136 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 251028.170000 0.0396006 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-06-20 0.000000 USD -1692.010000 USD 5700000.000000 USD 252720.180000 N N N N/A N/A 000000000 1.000000 NC USD -10676.660000 -0.0016843 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-30 0.000000 USD -2130.000000 USD 600000.000000 USD -8546.660000 N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAD8 200000.000000 PA USD 170253.660000 0.0268581 Long DBT CORP US N 2 2028-02-15 Fixed 5.95 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ADC6 1850000.000000 PA USD 1902610.280000 0.300143 Long DBT CORP US N 2 2034-01-15 Fixed 5.75 N N N N N N FNMA PASS THRU POOLS N/A 31402QYY1 334385.390000 PA USD 335738.570000 0.0529639 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202KNW1 247.750000 PA USD 246.930000 0.000039 Long ABS-MBS USGSE US N 2 2024-09-20 Floating 4 N N N N N N FNMA PASS THRU POOLS N/A 31404VW20 28583.980000 PA USD 28699.660000 0.0045275 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5H45 16461.190000 PA USD 16861.610000 0.00266 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H20 N/A 38376RFJ0 738180.550000 PA USD 735958.410000 0.1161 Long ABS-MBS USGSE US N 2 2065-08-20 Floating 6.03732 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-KEYS N/A 17291GAA4 1700000.000000 PA USD 1688197.750000 0.266319 Long ABS-MBS CORP US N 2 2036-10-15 Floating 6.62348 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 1300000.000000 PA USD 1235078.380000 0.194838 Long DBT CORP US N 2 2028-12-15 Fixed 4.375 N N N N N N FNMA PASS THRU POOLS N/A 31417Y3N5 24038.970000 PA USD 23368.800000 0.0036865 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 4 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 500000.000000 PA USD 395875.350000 0.0624507 Long DBT CORP US N 2 2036-11-15 Fixed 3.187 N N N N N N N/A N/A 000000000 1.000000 NC USD 1725.550000 0.0002722 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2028-12-20 0.000000 USD -248.650000 USD 100000.000000 USD 1974.200000 N N N N/A N/A 000000000 -103.000000 NC USD -62122.700000 -0.0098001 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-19 -12828328.130000 USD -62122.700000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJH5 2149455.000000 PA USD 2178135.800000 0.343608 Long DBT UST US N 2 2028-10-15 Fixed 2.375 N N N N N N JETBLUE 2019-1 CLASS AA PASS THROUGH TRUST N/A 477143AH4 1268354.290000 PA USD 1097333.080000 0.173108 Long DBT CORP US N 2 2033-11-15 Fixed 2.75 N N N N N N GNMA PASS THRU POOLS N/A 3620C1A22 4714.360000 PA USD 4733.880000 0.0007468 Long ABS-MBS USGSE US N 2 2040-08-15 Fixed 5 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C27 N/A 61690AAB0 326882.080000 PA USD 323564.550000 0.0510434 Long ABS-MBS CORP US N 2 2047-12-15 Fixed 3.557 N N N N N N N/A N/A 000000000 1.000000 NC USD 113921.160000 0.0179715 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-15 0.000000 USD 0.000000 USD 3500000.000000 USD 113921.160000 N N N FNMA PASS THRU POOLS N/A 3140QNGC0 4075166.000000 PA USD 3473749.950000 0.547996 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3 N N N N N N NAVIENT STUDENT LOAN TRUST 2015-BA N/A 63939KAC3 818879.090000 PA USD 822432.450000 0.129742 Long ABS-O CORP US N 2 2040-07-16 Floating 6.89332 N N N N N N FNMA PASS THRU POOLS N/A 31418CZC1 143397.010000 PA USD 137025.740000 0.0216163 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.5 N N N N N N DAIMLER TRUCK FINANCE NORTH AMERICA LLC 5493003HSDTSCZRXBA58 233853AF7 1700000.000000 PA USD 1571669.920000 0.247936 Long DBT CORP US N 2 2026-12-14 Fixed 2 N N N N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KBH8 1200000.000000 PA USD 1301239.460000 0.205275 Long DBT CORP US N 2 2031-11-09 Floating 7.66 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DM4 300000.000000 PA USD 308099.220000 0.0486037 Long DBT CORP US N 2 2054-05-01 Fixed 6.858 N N N N N N FHLMC PASS THRU POOLS N/A 3128LBTX6 284223.620000 PA USD 291134.340000 0.0459274 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 6 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 1917581.660000 PA USD 18704091.510000 2.95063 Long STIV RF US N 1 N N N FHLMC PASS THRU POOLS N/A 3128M5RA0 7322.110000 PA USD 7500.270000 0.0011832 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6 N N N N N N BMO 2024-5C4 MORTGAGE TRUST N/A 09660SAU4 1200000.000000 PA USD 1258058.040000 0.198463 Long ABS-MBS CORP US N 2 2057-05-15 Fixed 6.5262 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H09 N/A 38376RTJ5 283043.400000 PA USD 283293.700000 0.0446906 Long ABS-MBS USGSE US N 2 2066-04-20 Floating 6.33732 N N N N N N FNMA PASS THRU POOLS N/A 3138A2UF4 158285.080000 PA USD 153812.930000 0.0242645 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M75R3 154415.700000 PA USD 155239.290000 0.0244895 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAA7 337063.630000 PA USD 334817.880000 0.0528187 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.626 N N N N N N N/A N/A 000000000 -15537125.000000 PA USD -15567759.030000 -2.45587 Short RA US N 2 Reverse repurchase N 5.460000 2024-07-02 15500000.000000 USD 15130317.080000 USD UST N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134GW6C5 6100000.000000 PA USD 5572531.170000 0.879086 Long DBT USGSE US N 2 2026-10-28 Fixed 0.8 N N N N N N BLUE OWL CREDIT INCOME CORP 5493003I42XBWPE05N35 09581CAA9 200000.000000 PA USD 197370.960000 0.0311359 Long DBT CORP US N 2 2029-09-15 Fixed 6.6 N N N N N N BANK 2022-BNK40 N/A 06541LBG0 1500000.000000 PA USD 1321771.200000 0.208514 Long ABS-MBS CORP US N 2 2064-03-15 Variable 3.50644 N N N N N N FNMA PASS THRU POOLS N/A 3138ENEW5 231675.820000 PA USD 238307.100000 0.0375938 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 6.567 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHQ7 1900000.000000 PA USD 1880146.480000 0.2966 Long DBT UST US N 2 2028-07-31 Fixed 4.125 N N N N N N SBA TOWER TRUST N/A 78403DAP5 1400000.000000 PA USD 1317152.480000 0.207785 Long DBT CORP US N 2 2050-07-15 Fixed 1.884 N N N N N N FNMA PASS THRU POOLS N/A 31410GRK1 760.750000 PA USD 789.760000 0.0001246 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36179YMH4 1975755.860000 PA USD 1878653.840000 0.296364 Long ABS-MBS USGSE US N 2 2053-12-20 Fixed 4.5 N N N N N N COX COMMUNICATIONS INC 5493001NEDZNIFRP2R92 224044CJ4 600000.000000 PA USD 567366.400000 0.089504 Long DBT CORP US N 2 2027-08-15 Fixed 3.5 N N N N N N KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP N/A 50085PAA5 1700000.000000 PA USD 1278446.920000 0.201679 Long ABS-MBS CORP US N 2 2044-11-05 Fixed 2.55844 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAN3 1000000.000000 PA USD 857094.600000 0.13521 Long DBT MUN US N 2 2031-06-01 Fixed 2.951 N N N N N N NORTHERN STATES POWER COMPANY OF MINNESOTA 3S1GHB0TEH85KX44SB51 665772CT4 1600000.000000 PA USD 1350075.220000 0.212979 Long DBT CORP US N 2 2031-04-01 Fixed 2.25 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAA4 1800000.000000 PA USD 1708690.320000 0.269552 Long ABS-MBS CORP US N 2 2038-09-15 Floating 6.49348 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H29 N/A 38375BZS4 1063793.670000 PA USD 1062788.170000 0.167658 Long ABS-MBS USGSE US N 2 2062-10-20 Floating 5.95232 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HJN1 900000.000000 PA USD 912941.280000 0.14402 Long DBT CORP US N 2 2034-06-12 Floating 5.836 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912834LX4 450000.000000 PA USD 186222.410000 0.0293772 Long DBT UST US N 2 2042-11-15 None 0 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXD1 1600000.000000 PA USD 1611783.440000 0.254264 Long DBT CORP US N 2 2026-05-15 Floating 6.75399 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 900896.570000 PA USD 864773.320000 0.136421 Long ABS-MBS CORP US N 2 2036-06-25 Floating 6.96521 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWD67 33102098.730000 PA USD 28201840.140000 4.44894 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36292HJJ3 3479.200000 PA USD 3485.850000 0.0005499 Long ABS-MBS USGSE US N 2 2035-11-15 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TH1 7600000.000000 PA USD 6322101.570000 0.997333 Long DBT UST US N 2 2042-05-15 Fixed 3.25 N N N N N N FNMA PASS THRU POOLS N/A 31418DFK3 4910.280000 PA USD 4676.800000 0.0007378 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 3.5 N N N N N N N/A N/A 000000000 186.000000 NC USD 155220.160000 0.0244865 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-09-19 20432390.530000 USD 155220.160000 N N N FHLMC PASS THRU POOLS N/A 3128L15M8 2716.700000 PA USD 2731.210000 0.0004309 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DWH8 2820.400000 PA USD 2916.020000 0.00046 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36291YVQ7 5963.210000 PA USD 5933.550000 0.000936 Long ABS-MBS USGSE US N 2 2035-11-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 312926M39 496.060000 PA USD 497.840000 0.0000785 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418C5V2 41257.830000 PA USD 39626.440000 0.0062512 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 3.5 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 707000.000000 PA USD 566415.900000 0.0893541 Long DBT CORP US N 2 2035-11-15 Fixed 3.137 N N N N N N FCCU AUTO RECEIVABLES TRUST 2024-1 N/A 30336CAG0 500000.000000 PA USD 501582.600000 0.0791264 Long ABS-O CORP US N 2 2030-04-15 Fixed 5.46 N N N N N N FNMA PASS THRU POOLS N/A 31418DB43 174219.560000 PA USD 165938.380000 0.0261773 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.5 N N N N N N AVANGRID INC (AKA: IBERDROLA USA INC; ENERGY EAST CORPORATION) 549300OX0Q38NLSKPB49 05351WAB9 1100000.000000 PA USD 1023787.710000 0.161506 Long DBT CORP US N 2 2029-06-01 Fixed 3.8 N N N N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 45826CG95 3000000.000000 PA USD 2995024.800000 0.472475 Long DBT CORP US N 2 2024-07-09 None 0 N N N N N N PRPM 2024-RCF2 LLC N/A 693987AA7 961687.840000 PA USD 919303.950000 0.145023 Long ABS-MBS CORP US N 2 2054-03-25 Fixed 3.75 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAA1 1000000.000000 PA USD 948025.100000 0.149554 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.59348 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBY0 1300000.000000 PA USD 894546.080000 0.141118 Long DBT CORP US N 2 2060-04-01 Fixed 3.85 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 1700000.000000 PA USD 1674380.320000 0.264139 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.572 N N N N N N JEFFERIES FINANCIAL GROUP INC 549300HOF34RGOJ5YL07 47233WEJ4 1400000.000000 PA USD 1418727.230000 0.223809 Long DBT CORP US N 2 2034-04-14 Fixed 6.2 N N N N N N N/A N/A 000000000 1.000000 NC USD -20052.760000 -0.0031634 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-03 0.000000 USD -2190.000000 USD 600000.000000 USD -17862.760000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAK6 800000.000000 PA USD 764330.860000 0.120576 Long DBT CORP US N 2 2026-10-15 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TF5 1700000.000000 PA USD 1238078.130000 0.195311 Long DBT UST US N 2 2042-02-15 Fixed 2.375 N N N N N N FNMA PASS THRU POOLS N/A 31410GTY9 50397.660000 PA USD 51885.470000 0.0081851 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 17887.120000 0.0028218 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-24 0.000000 USD -6317.500000 USD 1900000.000000 USD 24204.620000 N N N FHLMC PASS THRU POOLS N/A 3128M6NE4 2095.150000 PA USD 2106.320000 0.0003323 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402VKA7 429.950000 PA USD 430.390000 0.0000679 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -1200000.000000 NC USD -1363.920000 -0.0002152 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.26500 07/24/24-10Y LCH 2034-07-24 0.000000 USD 0.000000 USD N/A USD N/A 4.260000 USD 2024-07-22 XXXX 3706.080000 N N N TYSON FOODS INC WD6L6041MNRW1JE49D58 902494BL6 300000.000000 PA USD 300494.750000 0.0474041 Long DBT CORP US N 2 2029-03-15 Fixed 5.4 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397E58 700000.000000 PA USD 697870.600000 0.110091 Long DBT CORP US N 2 2029-03-08 Fixed 5.8 N N N N N N HOMEBANC MORTGAGE TRUST 2005-1 N/A 43739EAP2 843038.720000 PA USD 638643.050000 0.100748 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.95971 N N N N N N BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV5 N/A 07336JAD0 1432600.920000 PA USD 1188835.990000 0.187543 Long ABS-MBS CORP US N 2 2051-11-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QNPG1 3801291.710000 PA USD 3239709.740000 0.511075 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3 N N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-4A N/A 16678RCC9 146677.660000 PA USD 135026.820000 0.0213009 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.68971 N N N N N N FNMA PASS THRU POOLS N/A 31410FYU3 15020.440000 PA USD 15081.240000 0.0023791 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F042681 33450000.000000 PA USD 31546224.360000 4.97653 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179UKZ4 5471.580000 PA USD 5395.840000 0.0008512 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620AYT89 4584.190000 PA USD 4550.660000 0.0007179 Long ABS-MBS USGSE US N 2 2041-06-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KKFS3 2551.650000 PA USD 2561.990000 0.0004042 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KWH55 21122.600000 PA USD 21636.640000 0.0034133 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31403DD48 53764.120000 PA USD 54946.050000 0.0086679 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5WA4 8108.040000 PA USD 8305.310000 0.0013102 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 176939.800000 0.0279129 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-20 51243.460000 USD 0.000000 USD 10200000.000000 USD 125696.340000 N N N ANGEL OAK MORTGAGE TRUST 2024-4 N/A 034943AA8 750538.190000 PA USD 751536.330000 0.118557 Long ABS-MBS CORP US N 2 2069-01-25 Fixed 6.197 N N N N N N UWM-2021-INV2 N/A 90354TAJ8 1401510.660000 PA USD 1307523.250000 0.206266 Long ABS-MBS CORP US N 2 2051-09-25 Floating 5 N N N N N N FNMA PASS THRU POOLS N/A 31416KNZ7 132.430000 PA USD 134.520000 0.0000212 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N BECTON DICKINSON AND COMPANY ICE2EP6D98PQUILVRZ91 075887CR8 200000.000000 PA USD 198500.270000 0.0313141 Long DBT CORP US N 2 2029-02-08 Fixed 4.874 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAU4 200000.000000 PA USD 188817.290000 0.0297866 Long DBT CORP US N 2 2029-03-15 Fixed 3.95 N N N N N N N/A N/A 000000000 1.000000 NC USD -63088.660000 -0.0099525 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-06-21 0.000000 USD -8280.000000 USD 1800000.000000 USD -54808.660000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3G6 1000000.000000 PA USD 1037930.970000 0.163737 Long DBT CORP US N 2 2029-10-23 Floating 6.303 N N N N N N DBGS MORTGAGE TRUST 2018-5BP N/A 33830CAA8 2000000.000000 PA USD 1859631.200000 0.293363 Long ABS-MBS CORP US N 2 2033-06-15 Floating 6.22101 N N N N N N NARRAGANSETT ELECTRIC CO/THE VAI0KZ806W8MCH0BCZ61 631005BK0 600000.000000 PA USD 594440.820000 0.0937751 Long DBT CORP US N 2 2034-05-01 Fixed 5.35 N N N N N N VSTRONG AUTO RECEIVABLES TRUST 2024-A N/A 92891PAC7 500000.000000 PA USD 499973.600000 0.0788725 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.79 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PHH N/A 46650FAA0 1453628.510000 PA USD 1361850.910000 0.214837 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.586 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -237.600000 -0.0000375 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.15000 07/09/24-10Y LCH 2034-07-09 0.000000 USD 0.000000 USD N/A USD N/A 4.150000 USD 2024-07-05 XXXX 1712.400000 N N N ESSENTIAL UTILITIES INC 549300ILTEOF3E3QY357 29670GAH5 200000.000000 PA USD 196605.560000 0.0310152 Long DBT CORP US N 2 2034-01-15 Fixed 5.375 N N N N N N FREDDIE MAC-2504 N/A 31392UEE0 45147.920000 PA USD 46195.880000 0.0072876 Long ABS-MBS USGSE US N 2 2032-09-15 Fixed 6 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLV9 300000.000000 PA USD 303298.300000 0.0478463 Long DBT CORP US N 2 2027-09-15 Floating 5.933 N N N N N N FNMA PASS THRU POOLS N/A 31391HT46 44398.820000 PA USD 45021.410000 0.0071023 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36241KN61 59810.980000 PA USD 59959.050000 0.0094587 Long ABS-MBS USGSE US N 2 2036-12-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ3B4 33798.840000 PA USD 31557.510000 0.0049783 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5BG4 29471.620000 PA USD 30188.450000 0.0047623 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 312941D20 23057.080000 PA USD 22838.420000 0.0036028 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACY9 200000.000000 PA USD 195742.840000 0.0308791 Long DBT CORP US N 2 2033-07-15 Fixed 5.05 N N N N N N GNMA PASS THRU POOLS N/A 36291NRF0 1546.740000 PA USD 1550.590000 0.0002446 Long ABS-MBS USGSE US N 2 2035-11-15 Fixed 5 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DK8 400000.000000 PA USD 407388.240000 0.0642669 Long DBT CORP US N 2 2031-05-01 Fixed 6.388 N N N N N N AMERICAN AIRLINES 2013-1 CLASS A PASS THROUGH TRUST N/A 023772AB2 110531.280000 PA USD 108144.310000 0.0170601 Long DBT CORP US N 2 2027-01-15 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H06 N/A 38376RSG2 1254214.520000 PA USD 1255534.830000 0.198065 Long ABS-MBS USGSE US N 2 2065-07-20 Floating 6.35732 N N N N N N 2024-08-14 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX