RFR USD SOFR/3.73500 01/23/24-10Y LCH

NPORT-P false 0000810893 XXXXXXXX S000009690 C000026572 C000026574 C000064142 C000026570 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Long-Term U.S. Government Fund S000009690 HSAHZUJT0Z4FBUGY5S47 2025-03-31 2024-06-30 N 1921654695.970000 933036276.520000 988618419.450000 0.000000 0.000000 725706289.010000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 6551124.690000 USD N Bloomberg US Long Treasury Total Return Unhedged Index LUTLTRUU N/A N/A RFR USD SOFR/3.73500 01/23/24-10Y LCH 000000000 1.000000 NC USD -47764.730000 -0.0048315 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-23 0.000000 USD -7932.500000 USD 1900000.000000 USD -39832.230000 N N N FANNIE MAE-1997-55 N/A FANNIE MAE FNR 1997 55 Z 31359QCR3 28506.990000 PA USD 28410.810000 0.0028738 Long ABS-MBS USGSE US N 2 2027-05-18 Fixed 7 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1 31395HHV5 752773.890000 PA USD 681256.830000 0.06891 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 6.35277 N N N N N N N/A N/A RFR USD SOFR/3.81000 01/02/24-10Y LCH 000000000 1.000000 NC USD 53522.980000 0.0054139 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD -11677.500000 USD 2700000.000000 USD 65200.480000 N N N RALI SERIES 2005-QO1 TRUST N/A RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1 761118EN4 138107.830000 PA USD 100722.860000 0.0101882 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.75971 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A ASHFORD HOSPITALITY TRUST AHT1 2018 KEYS A 144A 04410CAA7 74903.030000 PA USD 74403.970000 0.0075261 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.626 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/30 4.125 91282CHW4 2700000.000000 PA USD 2665986.320000 0.269668 Long DBT UST US N 2 2030-08-31 Fixed 4.125 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080152 G2 01/28 FLOATING VAR 36225CE28 5081.350000 PA USD 5015.970000 0.0005074 Long ABS-MBS USGSE US N 2 2028-01-20 Floating 4.625 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008699 G2 09/25 FLOATING VAR 36202KUY9 1510.080000 PA USD 1499.830000 0.0001517 Long ABS-MBS USGSE US N 2 2025-09-20 Floating 3.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/41 2 912810TC2 45200000.000000 PA USD 31069703.010000 3.14274 Long DBT UST US N 2 2041-11-15 Fixed 2 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A 92925CDA7 303309.630000 PA USD 262657.160000 0.0265681 Long ABS-MBS CORP US N 2 2046-02-25 Floating 6.15277 N N N N N N N/A N/A REVERSE REPO BANK OF AMERICA REVERSE REPO 000000000 -51350000.000000 PA USD -51350000.000000 -5.19412 Short RA US N 2 Reverse repurchase N 5.440000 2024-07-02 52000000.000000 USD 50484687.760000 USD UST N N N HERTZ VEHICLE FINANCING LLC 2022-1A N/A HERTZ VEHICLE FINANCING LLC HERTZ 2022 1A A 144A 42806MAJ8 800000.000000 PA USD 777423.840000 0.0786374 Long ABS-O CORP US N 2 2026-06-25 Fixed 1.99 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE 01F042681 25850000.000000 PA USD 24378771.290000 2.46594 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 878140 FN 07/36 FIXED 6.5 31409TS58 1252.910000 PA USD 1281.880000 0.0001297 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1 31394PPQ0 29532.320000 PA USD 29641.900000 0.0029983 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080000 G2 10/26 FLOATING VAR 36225CAA4 960.320000 PA USD 943.540000 0.0000954 Long ABS-MBS USGSE US N 2 2026-10-20 Floating 4 N N N N N N N/A N/A RFR USD SOFR/3.80000 06/03/24-7Y* LCH 000000000 1.000000 NC USD 937077.290000 0.0947865 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-02-28 435416.560000 USD 0.000000 USD 74000000.000000 USD 501660.730000 N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A 83611DAA6 130840.510000 PA USD 36220.200000 0.0036637 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.57971 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AS8270 FN 11/46 FIXED 2.5 3138WJFL7 110425.850000 PA USD 93364.460000 0.0094439 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE 01F050684 9900000.000000 PA USD 9567421.780000 0.967757 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5 N N N N N N N/A N/A RFR USD SOFR/4.25000 11/22/23-10Y LCH 000000000 1.000000 NC USD -60911.240000 -0.0061612 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-22 0.000000 USD -18200.000000 USD 4000000.000000 USD -42711.240000 N N N N/A N/A RFR USD SOFR/3.80000 08/30/23-10Y LCH 000000000 1.000000 NC USD -65636.820000 -0.0066392 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-30 0.000000 USD -9390.630000 USD 2500000.000000 USD -56246.190000 N N N N/A N/A 317U6AKA0 PIMCO SWAPTION 3.88 CALL USD 2024070 000000000 -3000000.000000 NC USD -8476.500000 -0.0008574 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/3.88000 07/10/24-10Y LCH 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 673.500000 N N N N/A N/A US 5YR NOTE (CBT) SEP24 XCBT 20240930 000000000 -332.000000 NC USD -264399.490000 -0.0267443 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-30 -35364484.290000 USD -264399.490000 N N N PAGAYA AI DEBT TRUST 2024-3 N/A PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A 69547XAA0 1403376.400000 PA USD 1404473.000000 0.142064 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.258 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A 41161PLR2 131966.240000 PA USD 122682.340000 0.0124095 Long ABS-MBS CORP US N 2 2035-05-19 Floating 5.89315 N N N N N N N/A N/A RFR USD SOFR/3.86000 02/21/24-10Y LCH 000000000 1.000000 NC USD -57933.510000 -0.00586 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-21 0.000000 USD -19135.000000 USD 4300000.000000 USD -38798.510000 N N N SLM CONSOLIDATION STUD LN TRUST 2004-10 N/A SLM STUDENT LOAN TRUST SLMA 2004 10 A7B 144A 78442GNK8 95693.930000 PA USD 95749.600000 0.0096852 Long ABS-O CORP US N 2 2029-10-25 Floating 6.20948 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/34 4 91282CJZ5 52000000.000000 PA USD 50484687.760000 5.10659 Long DBT UST US N 2 2034-02-15 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/52 3 912810TJ7 66300000.000000 PA USD 49890750.000000 5.04651 Long DBT UST US N 2 2052-08-15 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL A38713 FG 01/35 FIXED 6.5 31297UVE7 894.830000 PA USD 939.900000 0.0000951 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 6.5 N N N N N N WASHINGTON MUTUAL ASSET BACKED 2006-HE5 N/A WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1 93934XAB9 71739.620000 PA USD 24578.850000 0.0024862 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.57971 N N N N N N ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM N/A ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM A 144A 04965JAA1 617011.890000 PA USD 604453.850000 0.0611413 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.556 N N N N N N N/A N/A RFR USD SOFR/3.66500 01/24/24-10Y LCH 000000000 1.000000 NC USD -61852.120000 -0.0062564 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-24 0.000000 USD -8100.000000 USD 2000000.000000 USD -53752.120000 N N N N/A N/A RFRF USD SF+26.161/0.400 03/30/21-5Y LCH 000000000 1.000000 NC USD 1246167.210000 0.126051 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-03-30 30026.010000 USD 0.000000 USD 17040000.000000 USD 1216141.200000 N N N N/A N/A REVERSE REPO NATEXIS BANQUE REVERSE REPO 000000000 -87890000.000000 PA USD -88115364.610000 -8.91298 Short RA US N 2 Reverse repurchase N 5.430000 2024-07-12 88000000.000000 USD 84968125.440000 USD UST N N N N/A N/A RFR USD SOFR/3.63761 03/01/24-4Y* LCH 000000000 1.000000 NC USD 60189.850000 0.0060883 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 2900000.000000 USD 60189.850000 N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-1 N/A GM FINANCIAL AUTOMOBILE LEASIN GMALT 2023 1 A2B 362541AC8 105385.840000 PA USD 105405.140000 0.0106619 Long ABS-O CORP US N 2 2025-06-20 Floating 5.883 N N N N N N FANNIE MAE 2002-21 N/A FANNIE MAE FNR 2002 21 FD 31392CRD8 2539.840000 PA USD 2550.840000 0.000258 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 6.34983 N N N N N N N/A N/A REVERSE REPO BANK OF MONTREAL REVERSE REPO 000000000 -60472750.000000 PA USD -60500063.530000 -6.11966 Short RA US N 2 Reverse repurchase N 5.420000 2024-07-01 59800000.000000 USD 58678750.000000 USD UST N N N FREDDIE MAC 2469 N/A FREDDIE MAC FHR 2469 FV 31392RDQ1 4032.530000 PA USD 4019.160000 0.0004065 Long ABS-MBS USGSE US N 2 2030-06-15 Floating 5.94751 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 303062 FN 10/24 FLOATING VAR 31373TTT7 16.140000 PA USD 16.080000 0.0000016 Long ABS-MBS USGSE US N 2 2024-10-01 Floating 6.875 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 616624 G2 09/34 FIXED 6.5 36290TAZ2 3344.210000 PA USD 3475.190000 0.0003515 Long ABS-MBS USGSE US N 2 2034-09-20 Fixed 6.5 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-8 N/A CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 5A1 22541NX20 260.370000 PA USD 249.110000 0.0000252 Long ABS-MBS CORP US N 3 2033-04-25 Fixed 6.5 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1 07386HVS7 176271.780000 PA USD 101820.610000 0.0102993 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.98416 N N N N N N N/A N/A RFR USD SOFR/3.70000 03/05/24-10Y LCH 000000000 1.000000 NC USD -112572.010000 -0.0113868 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-03-05 0.000000 USD -16340.000000 USD 4300000.000000 USD -96232.010000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008988 G2 10/26 FLOATING VAR 36202K6Z3 231.250000 PA USD 227.630000 0.000023 Long ABS-MBS USGSE US N 2 2026-10-20 Floating 3.75 N N N N N N FANNIE MAE 2001-28 N/A FANNIE MAE FNR 2001 28 PZ 313920DM9 158945.990000 PA USD 160798.090000 0.0162649 Long ABS-MBS USGSE US N 2 2031-07-25 Fixed 6.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 10/30 4.875 91282CJG7 2700000.000000 PA USD 2776781.250000 0.280875 Long DBT UST US N 2 2030-10-31 Fixed 4.875 N N N N N N N/A N/A RFR USD SOFR/4.08000 04/17/24-10Y LCH 000000000 1.000000 NC USD 28124.060000 0.0028448 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-17 0.000000 USD -13620.000000 USD 4000000.000000 USD 41744.060000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION (FANNIE MAE) B1V7KEBTPIMZEU4LTD58 FANNIE MAE NOTES 04/28 5.625 31364FYC9 200000.000000 PA USD 208528.590000 0.0210929 Long DBT USGSE US N 2 2028-04-17 Fixed 5.625 N N N N N N BEAR STEARNS ARM 2003-1 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 3A1 07384MTK8 2646.260000 PA USD 2547.520000 0.0002577 Long ABS-MBS CORP US N 3 2033-04-25 Floating 6.62499 N N N N N N N/A N/A US 10YR NOTE (CBT)SEP24 XCBT 20240919 000000000 -394.000000 NC USD -397769.450000 -0.0402349 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-19 -43281515.430000 USD -397769.450000 N N N TENNESSEE VALLEY AUTHORITY (TVA) 549300HE1ISW43LNKM54 TENN VALLEY AUTH BONDS 05/30 0.00000 88059FBG5 7400000.000000 PA USD 5610165.630000 0.567475 Long DBT USGA US N 2 2030-05-01 None 0 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-4 N/A STRUCTURED ADJUSTABLE RATE MOR SARM 2007 4 1A2 86363LAB9 388657.760000 PA USD 329920.650000 0.0333719 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.89971 N N N N N N N/A N/A RFR USD SOFR/3.60000 01/17/24-10Y LCH 000000000 1.000000 NC USD 18328.750000 0.001854 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-17 0.000000 USD -2287.500000 USD 500000.000000 USD 20616.250000 N N N FNMA PASS THRU POOLS N/A FNMA POOL 885414 FN 06/36 FIXED 6.5 31410CVF6 1440.170000 PA USD 1500.370000 0.0001518 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/41 1.75 912810TA6 60400000.000000 PA USD 39928882.890000 4.03886 Long DBT UST US N 2 2041-08-15 Fixed 1.75 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1 12465MAA2 9417.850000 PA USD 4171.930000 0.000422 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.57971 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/53 4.125 912810TT5 13000000.000000 PA USD 12108789.030000 1.22482 Long DBT UST US N 2 2053-08-15 Fixed 4.125 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008722 G2 10/25 FLOATING VAR 36202KVP7 278.860000 PA USD 274.520000 0.0000278 Long ABS-MBS USGSE US N 2 2025-10-20 Floating 4 N N N N N N N/A N/A US LONG BOND(CBT) SEP24 XCBT 20240919 000000000 -874.000000 NC USD -606547.350000 -0.061353 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-19 -103009093.750000 USD -606547.350000 N N N N/A N/A US ULTRA BOND CBT SEP24 XCBT 20240919 000000000 -94.000000 NC USD 28251.710000 0.0028577 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-19 -11707406.250000 USD 28251.710000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/45 3 912810RP5 680000.000000 PA USD 526734.380000 0.0532798 Long DBT UST US N 2 2045-11-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/43 4.375 912810TU2 188000000.000000 PA USD 181522813.440000 18.3613 Long DBT UST US N 2 2043-08-15 Fixed 4.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 01/33 1.125 91282CGK1 22375724.800000 PA USD 20711932.810000 2.09504 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N FANNIE MAE 2005-54 N/A FANNIE MAE FNR 2005 54 AY 31394DYW4 44763.440000 PA USD 44289.490000 0.0044799 Long ABS-MBS USGSE US N 2 2025-06-25 Fixed 4.5 N N N N N N N/A N/A RFR USD SOFR/4.20000 05/06/24-10Y LCH 000000000 1.000000 NC USD 17745.580000 0.001795 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-05-06 0.000000 USD -3250.000000 USD 1000000.000000 USD 20995.580000 N N N N/A N/A REVERSE REPO BANK OF AMERICA REVERSE REPO 000000000 -51610000.000000 PA USD -51633310.520000 -5.22277 Short RA US N 2 Reverse repurchase N 5.420000 2024-07-01 52000000.000000 USD 50484687.760000 USD UST N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 01/32 0.125 91282CDX6 11422797.000000 PA USD 9893932.040000 1.00078 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N N/A N/A REVERSE REPO BANK OF AMERICA REVERSE REPO 000000000 -35639250.000000 PA USD -35639250.000000 -3.60496 Short RA US N 2 Reverse repurchase N 5.430000 2024-07-02 36600000.000000 USD 34858640.810000 USD UST N N N N/A N/A REVERSE REPO JPM CHASE 000000000 -68923012.500000 PA USD -69338082.200000 -7.01363 Short RA US N 2 Reverse repurchase N 5.420000 2024-07-10 73310000.000000 USD 68981636.130000 USD UST N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 07/32 0.625 91282CEZ0 15322084.000000 PA USD 13745462.700000 1.39037 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N N/A N/A 317U67EA4 PIMCO SWAPTION 4.25 PUT USD 20240705 000000000 -3100000.000000 NC USD -1049.660000 -0.0001062 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A RFR USD SOFR/4.25000 07/09/24-5Y LCH 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 6545.340000 N N N FREDDIE MAC 2927 N/A FREDDIE MAC FHR 2927 YZ 31395MLM9 308582.580000 PA USD 293535.200000 0.0296915 Long ABS-MBS USGSE US N 2 2035-02-15 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-131 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2014 131 EZ 38379E2Z4 4077081.850000 PA USD 3752819.710000 0.379602 Long ABS-MBS USGSE US N 2 2044-09-20 Fixed 4 N N N N N N N/A N/A DEUTSCHE BANK REPO REPO 000000000 11474625.000000 PA USD 11474625.000000 1.16067 Long RA US N 2 Repurchase N 5.420000 2024-07-10 11100000.000000 USD 11250890.630000 USD UST N N N N/A N/A RFR USD SOFR/3.95000 09/13/23-10Y LCH 000000000 1.000000 NC USD -50550.230000 -0.0051132 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-09-13 0.000000 USD -13890.000000 USD 3900000.000000 USD -36660.230000 N N N N/A N/A RFR USD SOFR/3.76000 08/23/23-10Y LCH 000000000 1.000000 NC USD -122846.820000 -0.0124261 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-23 0.000000 USD -15990.000000 USD 4100000.000000 USD -106856.820000 N N N FNMA PASS THRU POOLS N/A FNMA POOL 505597 FN 04/28 FLOATING VAR 31383KUW5 1883.220000 PA USD 1853.660000 0.0001875 Long ABS-MBS USGSE US N 2 2028-04-01 Floating 5.395 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 PIMCO PRV SHORT TERM FLT III MUTUAL FUND 000000000 3093.530000 PA USD 30096.950000 0.0030443 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A FNMA POOL 851183 FN 04/36 FIXED 6.5 31408GUG0 2892.890000 PA USD 2964.450000 0.0002999 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/52 2.25 912810TD0 4500000.000000 PA USD 2867519.520000 0.290053 Long DBT UST US N 2 2052-02-15 Fixed 2.25 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE 01F022683 -100000.000000 PA USD -81753.910000 -0.0082695 Short ABS-MBS USGSE US N 2 2054-08-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 03/30 3.625 91282CGS4 3900000.000000 PA USD 3755882.830000 0.379912 Long DBT UST US N 2 2030-03-31 Fixed 3.625 N N N N N N FANNIE MAE 2000-34 N/A FANNIE MAE FNR 2000 34 F 31358SSV4 661.200000 PA USD 647.490000 0.0000655 Long ABS-MBS USGSE US N 2 2030-10-25 Floating 5.89983 N N N N N N BSST 2021-1818 MORTGAGE TRUST N/A BSST MORTGAGE TRUST BSST 2021 1818 A 144A 07403PAA0 200000.000000 PA USD 185064.340000 0.0187195 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.49348 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 417953 FN 06/27 FIXED 9 31379FH64 5169.860000 PA USD 5157.890000 0.0005217 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 9 N N N N N N HILTON USA TRUST 2016-HHV N/A HILTON USA TRUST HILT 2016 HHV A 144A 43300LAA8 2130000.000000 PA USD 2029802.240000 0.205317 Long ABS-MBS CORP US N 2 2038-11-05 Fixed 3.719 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/42 2.375 912810TF5 28000000.000000 PA USD 20391875.000000 2.06266 Long DBT UST US N 2 2042-02-15 Fixed 2.375 N N N N N N FREDDIE MAC 2185 N/A FREDDIE MAC FHR 2185 C 3133TLVN5 208.450000 PA USD 208.540000 0.0000211 Long ABS-MBS USGSE US N 2 2029-09-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008968 G2 09/26 FLOATING VAR 36202K6D2 4263.930000 PA USD 4233.380000 0.0004282 Long ABS-MBS USGSE US N 2 2026-09-20 Floating 3.625 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 970372 FN 02/38 FIXED 7 31414MQZ2 5284.170000 PA USD 5437.460000 0.00055 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 7 N N N N N N WORLDWIDE PLAZA TRUST 2017-WWP N/A WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A 98162JAA4 1600000.000000 PA USD 1179614.880000 0.11932 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 3.5263 N N N N N N GSR MTGE LOAN TRUST 2003-2F N/A GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1 36228FNB8 70.030000 PA USD 67.780000 0.0000069 Long ABS-MBS CORP US N 3 2032-03-25 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/49 2.25 912810SJ8 52090000.000000 PA USD 33677405.990000 3.40651 Long DBT UST US N 2 2049-08-15 Fixed 2.25 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1 86360KAE8 59279.370000 PA USD 45872.930000 0.0046401 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.89971 N N N N N N N/A N/A RFR USD SOFR/1.75000 10/23/23-30Y CME 000000000 1.000000 NC USD 2134820.770000 0.21594 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-10-23 0.000000 USD -98901.270000 USD 5700000.000000 USD 2233722.040000 N N N GNMA PASS THRU POOLS N/A GNMA II TBA 30 YR 4 JUMBOS 21H040673 8000000.000000 PA USD 7393437.520000 0.747856 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 4 N N N N N N N/A N/A 317U69VA1 PIMCO SWAPTION 4.235 PUT USD 2024071 000000000 -2300000.000000 NC USD -1131.370000 -0.0001144 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A RFR USD SOFR/4.23500 07/12/24-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.23500 07/12/24-10Y LCH 2034-07-12 0.000000 USD 0.000000 USD N/A USD N/A 4.240000 USD 2024-07-10 XXXX 6688.630000 N N N N/A N/A RFR USD SOFR/4.09000 04/30/24-10Y LCH 000000000 1.000000 NC USD 64039.260000 0.0064777 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-30 0.000000 USD -21470.000000 USD 7600000.000000 USD 85509.260000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A 64830NAA9 114515.330000 PA USD 107681.330000 0.0108921 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N N/A N/A REVERSE REPO JPM CHASE 000000000 -2026750.000000 PA USD -2027653.590000 -0.2051 Short RA US N 2 Reverse repurchase N 5.350000 2024-07-01 2200000.000000 USD 1989281.250000 USD UST N N N FNMA PASS THRU POOLS N/A FNMA POOL 395457 FN 06/26 FIXED 6.5 31378DJA9 47.160000 PA USD 48.010000 0.0000049 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 6.5 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION (FANNIE MAE) B1V7KEBTPIMZEU4LTD58 FANNIE MAE NOTES 05/30 0.00000 31358DDR2 13282000.000000 PA USD 10201785.330000 1.03192 Long DBT USGSE US N 2 2030-05-15 None 0 N N N N N N N/A N/A RFR USD SOFR/4.13000 05/03/24-10Y LCH 000000000 1.000000 NC USD 17774.800000 0.0017979 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-05-03 0.000000 USD -4050.000000 USD 1500000.000000 USD 21824.800000 N N N N/A N/A 317U67FA3 PIMCO SWAPTION 3.85 CALL USD 2024070 000000000 -3100000.000000 NC USD -1024.240000 -0.0001036 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A RFR USD SOFR/3.85000 07/09/24-5Y LCH 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 6570.760000 N N N BMO 2023-5C2 MORTGAGE TRUST N/A BMO MORTGAGE TRUST BMO 2023 5C2 A3 05610QAC7 1800000.000000 PA USD 1917648.360000 0.193973 Long ABS-MBS CORP US N 2 2056-11-15 Variable 7.29638 N N N N N N N/A N/A 317U65LA0 PIMCO SWAPTION 3.994 CALL USD 202406 000000000 -4400000.000000 NC USD -14323.320000 -0.0014488 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/3.99400 07/02/24-10Y LCH 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 -872.070000 N N N N/A N/A 317U6DDA2 PIMCO SWAPTION 3.675 CALL USD 202407 000000000 -3500000.000000 NC USD -6388.550000 -0.0006462 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A RFR USD SOFR/3.67500 07/24/24-10Y LCH 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 7261.450000 N N N BENCHMARK 2024-V6 MORTGAGE TRUST N/A BENCHMARK MORTGAGE TRUST BMARK 2024 V6 A3 081927AB1 2000000.000000 PA USD 2045337.200000 0.206888 Long ABS-MBS CORP US N 2 2029-03-15 Fixed 5.92554 N N N N N N FEDERAL FARM CREDIT BANKS (AKA: FEDERAL FARM CREDIT BANKS FUNDING CORP) 254900C5LP6DN9OP9V83 FEDERAL FARM CREDIT BANK BONDS 07/29 5.125 31331VEG7 675000.000000 PA USD 695787.850000 0.0703798 Long DBT USGSE US N 2 2029-07-09 Fixed 5.125 N N N N N N N/A N/A RFR USD SOFR/3.85400 12/29/23-10Y LCH 000000000 1.000000 NC USD 19601.120000 0.0019827 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-29 0.000000 USD -5115.000000 USD 1200000.000000 USD 24716.120000 N N N N/A N/A 317U6AJA2 PIMCO SWAPTION 4.23 PUT USD 20240708 000000000 -3000000.000000 NC USD -768.600000 -0.0000777 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/4.23000 07/10/24-10Y LCH 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 8381.400000 N N N N/A N/A RFR USD SOFR/3.87000 10/17/23-30Y LCH 000000000 1.000000 NC USD 12613.230000 0.0012758 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-17 0.000000 USD -8400.000000 USD 1600000.000000 USD 21013.230000 N N N FNMA PASS THRU POOLS N/A FNMA POOL 624085 FN 01/32 FIXED 6.5 31389FJ60 3453.890000 PA USD 3517.390000 0.0003558 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 616571 G2 08/34 FIXED 6.5 36290S6G1 503.640000 PA USD 518.210000 0.0000524 Long ABS-MBS USGSE US N 2 2034-08-20 Fixed 6.5 N N N N N N N/A N/A 317U6E5A9 PIMCO SWAPTION 3.648 CALL USD 202407 000000000 -1600000.000000 NC USD -2859.040000 -0.0002892 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/3.64800 07/26/24-10Y LCH 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 2940.960000 N N N FNMA PASS THRU POOLS N/A FNMA POOL 362971 FN 05/25 FLOATING VAR 31376RFL0 198.770000 PA USD 198.140000 0.00002 Long ABS-MBS USGSE US N 2 2025-05-01 Floating 6.44 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A1 92922F5T1 10877.640000 PA USD 9924.610000 0.0010039 Long ABS-MBS CORP US N 2 2045-11-25 Floating 5.97971 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1 86358HNX3 1126.180000 PA USD 1071.550000 0.0001084 Long ABS-MBS CORP US N 2 2032-09-19 Floating 6.11315 N N N N N N N/A N/A 317U6BZA2 PIMCO SWAPTION 4.139 PUT USD 2024071 000000000 -2500000.000000 NC USD -5885.750000 -0.0005954 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/4.13900 07/17/24-5Y LCH 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 -760.750000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/50 2 912810SL3 310000.000000 PA USD 188337.110000 0.0190505 Long DBT UST US N 2 2050-02-15 Fixed 2 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A 04410RAA4 247258.450000 PA USD 245504.740000 0.0248331 Long ABS-MBS CORP US N 2 2035-04-15 Floating 6.401 N N N N N N N/A N/A RFRF USD SF+26.161/0.7* 03/30/21-10Y LCH 000000000 1.000000 NC USD 1924620.290000 0.194678 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-03-30 76129.320000 USD 0.000000 USD 9590000.000000 USD 1848490.970000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008830 G2 03/26 FLOATING VAR 36202KY33 318.850000 PA USD 314.750000 0.0000318 Long ABS-MBS USGSE US N 2 2026-03-20 Floating 4.625 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A 30227FAA8 1543250.660000 PA USD 1538478.310000 0.155619 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.52348 N N N N N N N/A N/A 317U6E0A4 PIMCO SWAPTION 3.64 CALL USD 2024072 000000000 -1300000.000000 NC USD -2062.320000 -0.0002086 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A RFR USD SOFR/3.64000 07/25/24-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.64000 07/25/24-10Y LCH 2034-07-25 0.000000 USD 0.000000 USD N/A USD N/A 3.640000 USD 2024-07-23 XXXX 3137.680000 N N N MASTR ASSET BACKED SEC TR 2004-WMC3 N/A MASTR ASSET BACKED SECURITIES MABS 2004 WMC3 M1 57643LFN1 703087.120000 PA USD 670283.540000 0.0678 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.28471 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1 31395A3J2 182470.400000 PA USD 169018.970000 0.0170965 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 6.55277 N N N N N N N/A N/A 317U6DZA8 PIMCO SWAPTION 3.99 PUT USD 20240723 000000000 -1300000.000000 NC USD -8603.400000 -0.0008702 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A RFR USD SOFR/3.99000 07/25/24-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.99000 07/25/24-10Y LCH 2034-07-25 0.000000 USD 0.000000 USD N/A USD N/A 3.990000 USD 2024-07-23 XXXX -3403.400000 N N N FREDDIE MAC 2143 N/A FREDDIE MAC FHR 2143 FG 3133TKM23 928.560000 PA USD 910.950000 0.0000921 Long ABS-MBS USGSE US N 2 2029-04-15 Floating 5.94751 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/30 4 91282CGQ8 3900000.000000 PA USD 3830226.580000 0.387432 Long DBT UST US N 2 2030-02-28 Fixed 4 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-14 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1 12667GCB7 189524.850000 PA USD 168623.370000 0.0170565 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.87812 N N N N N N N/A N/A RFR USD SOFR/4.22000 10/20/23-10Y LCH 000000000 1.000000 NC USD 15906.320000 0.0016089 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-20 0.000000 USD -4798.500000 USD 1400000.000000 USD 20704.820000 N N N N/A N/A 317U61NA7 PIMCO SWAPTION 3.765 CALL USD 202407 000000000 -1300000.000000 NC USD -4073.420000 -0.000412 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A RFR USD SOFR/3.76500 07/24/24-10Y LCH 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 1419.080000 N N N GOVERNMENT NATL MTGE ASSOC 2003-65 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2003 65 ZA 38374BRG0 547927.610000 PA USD 549807.550000 0.0556137 Long ABS-MBS USGSE US N 2 2033-08-20 Fixed 6 N N N N N N N/A N/A RFR USD SOFR/3.55500 03/05/24-30Y LCH 000000000 1.000000 NC USD -48913.460000 -0.0049477 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-03-05 0.000000 USD -10290.000000 USD 1200000.000000 USD -38623.460000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/40 1.375 912810ST6 9060000.000000 PA USD 5720186.740000 0.578604 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N FANNIEMAE WHOLE LOAN 2002-W5 N/A FANNIEMAE WHOLE LOAN FNW 2002 W5 A11 31392DJ78 333684.480000 PA USD 343575.290000 0.0347531 Long ABS-MBS USGSE US N 2 2032-06-25 Fixed 6.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/49 3 912810SF6 64143800.000000 PA USD 48598950.970000 4.91585 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N FANNIE MAE REMICS 2014-33 N/A FANNIE MAE FNR 2014 33 PZ 3136AKAL7 3384004.210000 PA USD 2971469.730000 0.300568 Long ABS-MBS USGSE US N 2 2044-06-25 Fixed 3.5 N N N N N N N/A N/A RFR USD SOFR/3.69116 03/01/24-4Y* LCH 000000000 1.000000 NC USD 541264.570000 0.0547496 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 28800000.000000 USD 541264.570000 N N N FREDDIE MAC REMICS 4047 N/A FREDDIE MAC FHR 4047 KB 3137AQRS9 5490399.000000 PA USD 4736510.670000 0.479104 Long ABS-MBS USGSE US N 2 2042-05-15 Fixed 3.5 N N N N N N N/A N/A 317U6E6A8 PIMCO SWAPTION 3.998 PUT USD 2024072 000000000 -1600000.000000 NC USD -10441.280000 -0.0010561 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/3.99800 07/26/24-10Y LCH 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 -4641.280000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1 07384YGX8 110566.720000 PA USD 109008.040000 0.0110263 Long ABS-MBS CORP US N 2 2042-11-25 Floating 6.45971 N N N N N N N/A N/A US 10YR ULTRA FUT SEP24 XCBT 20240919 000000000 -1393.000000 NC USD -1445337.440000 -0.146198 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-19 -157811663.370000 USD -1445337.440000 N N N N/A N/A RFRF USD SOFR/2.33000 10/25/23-30Y CME 000000000 1.000000 NC USD 2387246.100000 0.241473 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-10-25 480135.920000 USD 0.000000 USD 7900000.000000 USD 1907110.180000 N N N FREDDIE MAC REMICS 4376 N/A FREDDIE MAC FHR 4376 KZ 3137BCU48 4985368.670000 PA USD 4696226.260000 0.475029 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 4 N N N N N N N/A N/A RFRF USD SF+26.161/1.4* 07/21/21-10Y LCH 000000000 1.000000 NC USD 1198515.310000 0.121231 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-07-21 0.000000 USD -23137.320000 USD 6800000.000000 USD 1221652.630000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QS7 N/A RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS7 A1 748940AA1 303158.750000 PA USD 228149.700000 0.0230776 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N FANNIE MAE REMICS 2014-66 N/A FANNIE MAE FNR 2014 66 QZ 3136ALFG1 2621770.350000 PA USD 2451007.370000 0.247922 Long ABS-MBS USGSE US N 2 2044-10-25 Fixed 4 N N N N N N N/A N/A RFR USD SOFR/4.20000 10/18/23-10Y LCH 000000000 1.000000 NC USD 11520.640000 0.0011653 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-18 0.000000 USD -4050.000000 USD 1200000.000000 USD 15570.640000 N N N N/A N/A RFR USD SOFR/4.08500 04/22/24-10Y LCH 000000000 1.000000 NC USD 30680.310000 0.0031034 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-22 0.000000 USD -15800.000000 USD 4000000.000000 USD 46480.310000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080051 G2 03/27 FLOATING VAR 36225CBV7 1407.220000 PA USD 1386.680000 0.0001403 Long ABS-MBS USGSE US N 2 2027-03-20 Floating 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 09/30 4.625 91282CHZ7 2700000.000000 PA USD 2738337.890000 0.276986 Long DBT UST US N 2 2030-09-30 Fixed 4.625 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008865 G2 05/26 FLOATING VAR 36202KZ65 736.540000 PA USD 732.500000 0.0000741 Long ABS-MBS USGSE US N 2 2026-05-20 Floating 3.875 N N N N N N N/A N/A RFR USD SOFR/4.15500 10/02/23-10Y LCH 000000000 1.000000 NC USD 10298.680000 0.0010417 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-02 0.000000 USD -7725.000000 USD 2000000.000000 USD 18023.680000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A 64828XAA1 775098.770000 PA USD 724913.140000 0.0733259 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008959 G2 08/26 FLOATING VAR 36202K5U5 520.210000 PA USD 511.780000 0.0000518 Long ABS-MBS USGSE US N 2 2026-08-20 Floating 4 N N N N N N N/A N/A 317U6D9A7 PIMCO SWAPTION 3.628 CALL USD 202407 000000000 -2400000.000000 NC USD -2743.440000 -0.0002775 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/3.62800 07/22/24-10Y LCH 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 6376.560000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008850 G2 04/26 FLOATING VAR 36202KZP3 441.780000 PA USD 436.630000 0.0000442 Long ABS-MBS USGSE US N 2 2026-04-20 Floating 3.875 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 732218 FN 06/43 FLOATING VAR 31402LPB2 49934.430000 PA USD 49858.730000 0.0050433 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 6.352 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/41 4.75 912810QN1 10750000.000000 PA USD 11043945.310000 1.11711 Long DBT UST US N 2 2041-02-15 Fixed 4.75 N N N N N N N/A N/A RFR USD SOFR/4.17500 10/10/23-10Y LCH 000000000 1.000000 NC USD 11476.990000 0.0011609 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-10 0.000000 USD -5740.000000 USD 1600000.000000 USD 17216.990000 N N N COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2016-667M N/A COMM MORTGAGE TRUST COMM 2016 667M A 144A 12636GAA9 2800000.000000 PA USD 2473754.640000 0.250223 Long ABS-MBS CORP US N 2 2036-10-10 Fixed 3.14 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080123 G2 10/27 FLOATING VAR 36225CD52 861.290000 PA USD 840.820000 0.0000851 Long ABS-MBS USGSE US N 2 2027-10-20 Floating 3.75 N N N N N N BENCHMARK MORTGAGE TRUST 2019-B9 N/A BENCHMARK MORTGAGE TRUST BMARK 2019 B9 A5 08160JAE7 3700000.000000 PA USD 3445071.110000 0.348473 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 4.0156 N N N N N N N/A N/A RFR USD SOFR/3.80000 03/10/23-5Y LCH 000000000 1.000000 NC USD -116839.380000 -0.0118185 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-03-10 0.000000 USD -13252.500000 USD 6200000.000000 USD -103586.880000 N N N N/A N/A 317U64WA1 PIMCO SWAPTION 4.06 CALL USD 2024062 000000000 -2900000.000000 NC USD -25099.790000 -0.0025389 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A RFR USD SOFR/4.06000 07/02/24-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.06000 07/02/24-10Y LCH 2034-07-02 0.000000 USD 0.000000 USD N/A USD N/A 4.060000 USD 2024-06-28 XXXX -15638.540000 N N N FREDDIE MAC 2551 N/A FREDDIE MAC FHR 2551 FD 31393JAZ1 12164.040000 PA USD 12123.910000 0.0012263 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 5.84751 N N N N N N N/A N/A RFR USD SOFR/3.37000 07/12/23-30Y LCH 000000000 1.000000 NC USD -151272.580000 -0.0153014 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-07-12 0.000000 USD -11135.000000 USD 1700000.000000 USD -140137.580000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080133 G2 11/27 FLOATING VAR 36225CEF9 8596.000000 PA USD 8486.710000 0.0008584 Long ABS-MBS USGSE US N 2 2027-11-20 Floating 3.75 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008684 G2 08/25 FLOATING VAR 36202KUH6 109.120000 PA USD 108.380000 0.000011 Long ABS-MBS USGSE US N 2 2025-08-20 Floating 3.625 N N N N N N SEQUOIA MORTGAGE TRUST 2003-4 N/A SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1 81743PBW5 55552.080000 PA USD 53473.200000 0.0054089 Long ABS-MBS CORP US N 2 2033-07-20 Floating 6.15315 N N N N N N N/A N/A RFR USD SOFR/3.64750 01/08/24-10Y LCH 000000000 1.000000 NC USD 86106.590000 0.0087098 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -11830.000000 USD 2600000.000000 USD 97936.590000 N N N FANNIE MAE REMICS 2014-52 N/A FANNIE MAE FNR 2014 52 AZ 3136AKE74 3970564.340000 PA USD 3758976.540000 0.380225 Long ABS-MBS USGSE US N 2 2044-09-25 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/52 2.875 912810TG3 20400000.000000 PA USD 14954953.180000 1.51271 Long DBT UST US N 2 2052-05-15 Fixed 2.875 N N N N N N N/A N/A RFR USD SOFR/3.69387 03/01/24-4Y* LCH 000000000 1.000000 NC USD 538403.760000 0.0544602 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 28800000.000000 USD 538403.760000 N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-8A LLC N/A AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 8A A 144A 05377RHM9 1700000.000000 PA USD 1745345.970000 0.176544 Long ABS-O CORP US N 2 2030-02-20 Fixed 6.02 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/53 3.625 912810TR9 19400000.000000 PA USD 16511976.510000 1.67021 Long DBT UST US N 2 2053-05-15 Fixed 3.625 N N N N N N N/A N/A 317U6F6A5 PIMCO SWAPTION 3.71 CALL USD 2024072 000000000 -1300000.000000 NC USD -3729.310000 -0.0003772 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A RFR USD SOFR/3.71000 07/30/24-10Y LCH 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 1197.690000 N N N FREDDIE MAC REMICS 4745 N/A FREDDIE MAC FHR 4745 CZ 3137FDBN1 10318334.860000 PA USD 9023557.180000 0.912744 Long ABS-MBS USGSE US N 2 2048-01-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 944027 FN 08/37 FIXED 6.5 31413FHC9 394.220000 PA USD 405.080000 0.000041 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.5 N N N N N N N/A N/A RFR USD SOFR/4.25500 10/23/23-10Y LCH 000000000 1.000000 NC USD 17321.700000 0.0017521 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-23 0.000000 USD -4245.000000 USD 1200000.000000 USD 21566.700000 N N N N/A N/A 317U69WA0 PIMCO SWAPTION 3.885 CALL USD 202407 000000000 -2300000.000000 NC USD -8801.870000 -0.0008903 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A RFR USD SOFR/3.88500 07/12/24-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.88500 07/12/24-10Y LCH 2034-07-12 0.000000 USD 0.000000 USD N/A USD N/A 3.880000 USD 2024-07-10 XXXX -981.870000 N N N N/A N/A RFR USD SOFR/4.15000 04/22/24-10Y LCH 000000000 1.000000 NC USD 18246.210000 0.0018456 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-22 0.000000 USD -4882.500000 USD 1400000.000000 USD 23128.710000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/43 3.875 912810TS7 72200000.000000 PA USD 65164730.200000 6.59149 Long DBT UST US N 2 2043-05-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/42 3.375 912810TK4 26200000.000000 PA USD 22136953.260000 2.23918 Long DBT UST US N 2 2042-08-15 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/42 3.25 912810TH1 22800000.000000 PA USD 18966304.720000 1.91847 Long DBT UST US N 2 2042-05-15 Fixed 3.25 N N N N N N N/A N/A 317U6BWA5 PIMCO SWAPTION 3.586 CALL USD 202407 000000000 -4600000.000000 NC USD -2700.660000 -0.0002732 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A RFR USD SOFR/3.58600 07/17/24-10Y LCH 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 14434.340000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/54 4.25 912810TX6 36600000.000000 PA USD 34858640.810000 3.526 Long DBT UST US N 2 2054-02-15 Fixed 4.25 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A 929227QB5 4255.540000 PA USD 3874.110000 0.0003919 Long ABS-MBS CORP US N 2 2042-06-25 Floating 6.55277 N N N N N N N/A N/A RFR USD SOFR/3.67000 01/08/24-10Y LCH 000000000 1.000000 NC USD 84349.750000 0.0085321 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-08 0.000000 USD -12690.000000 USD 2700000.000000 USD 97039.750000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080408 G2 05/30 FLOATING VAR 36225CN28 28437.710000 PA USD 28277.300000 0.0028603 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 3.875 N N N N N N FREDDIE MAC 3001 N/A FREDDIE MAC FHR 3001 YZ 31395WBB2 77524.030000 PA USD 74994.550000 0.0075858 Long ABS-MBS USGSE US N 2 2035-07-15 Fixed 4.5 N N N N N N N/A N/A RFR USD SOFR/3.68500 01/24/24-10Y LCH 000000000 1.000000 NC USD -49742.890000 -0.0050316 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-24 0.000000 USD -6970.000000 USD 1700000.000000 USD -42772.890000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 01/34 1.75 91282CJY8 17644270.000000 PA USD 17129648.220000 1.73269 Long DBT UST US N 2 2034-01-15 Fixed 1.75 N N N N N N N/A N/A RFR USD SOFR/3.90000 04/15/24-10Y LCH 000000000 1.000000 NC USD -8693.140000 -0.0008793 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-15 0.000000 USD -4152.500000 USD 1100000.000000 USD -4540.640000 N N N N/A N/A RFR USD SOFR/4.03000 10/04/23-10Y LCH 000000000 1.000000 NC USD -14854.980000 -0.0015026 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-04 0.000000 USD -9800.000000 USD 2800000.000000 USD -5054.980000 N N N FANNIE MAE-1997-38 N/A FANNIE MAE FNR 1997 38 PH 31359PXL5 20814.180000 PA USD 20738.100000 0.0020977 Long ABS-MBS USGSE US N 2 2027-05-17 Fixed 6 N N N N N N N/A N/A RFR USD SOFR/3.66213 03/01/24-4Y* LCH 000000000 1.000000 NC USD 571884.680000 0.0578469 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 28800000.000000 USD 571884.680000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/43 3.625 912810RC4 15300000.000000 PA USD 13299046.880000 1.34522 Long DBT UST US N 2 2043-08-15 Fixed 3.625 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 901457 FN 10/36 FIXED 6.5 31410YQJ6 2721.440000 PA USD 2802.630000 0.0002835 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N BWAY 2013-1515 MORTGAGE TRUST 2013-1515 N/A BWAY MORTGAGE TRUST BWAY 2013 1515 A2 144A 05604FAC9 3400000.000000 PA USD 3229305.040000 0.326648 Long ABS-MBS CORP US N 2 2033-03-10 Fixed 3.4543 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/46 2.5 912810RS9 2028000.000000 PA USD 1425937.500000 0.144235 Long DBT UST US N 2 2046-05-15 Fixed 2.5 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1 12669GPN5 265164.080000 PA USD 226815.890000 0.0229427 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.09971 N N N N N N N/A N/A RFR USD SOFR/3.75000 06/20/24-10Y LCH 000000000 1.000000 NC USD 163062.190000 0.0164939 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-20 47510.840000 USD 0.000000 USD 9400000.000000 USD 115551.350000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008971 G2 09/26 FLOATING VAR 36202K6G5 221.160000 PA USD 218.330000 0.0000221 Long ABS-MBS USGSE US N 2 2026-09-20 Floating 3.625 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-118 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2014 118 PZ 38379EGM8 2999160.830000 PA USD 2793448.690000 0.282561 Long ABS-MBS USGSE US N 2 2044-08-20 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE 01F060683 21500000.000000 PA USD 21552910.000000 2.1801 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6 N N N N N N N/A N/A RFR USD SOFR/3.65543 03/01/24-4Y* LCH 000000000 1.000000 NC USD 118604.610000 0.011997 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 5900000.000000 USD 118604.610000 N N N N/A N/A 317U6D8A8 PIMCO SWAPTION 3.978 PUT USD 2024071 000000000 -2400000.000000 NC USD -15498.960000 -0.0015677 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/3.97800 07/22/24-10Y LCH 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 -6378.960000 N N N N/A N/A RFR USD SOFR/3.83000 10/12/23-30Y LCH 000000000 1.000000 NC USD 675.740000 0.0000684 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-12 0.000000 USD -10830.000000 USD 1900000.000000 USD 11505.740000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/29 4.25 91282CKD2 122700000.000000 PA USD 122170376.490000 12.3577 Long DBT UST US N 2 2029-02-28 Fixed 4.25 N N N N N N N/A N/A RFR USD SOFR/1.60000 10/23/23-5Y CME 000000000 1.000000 NC USD -4415645.080000 -0.446648 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-10-23 79093.510000 USD 0.000000 USD 35100000.000000 USD -4494738.590000 N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A5 46630GAV7 32305.850000 PA USD 31352.130000 0.0031713 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.51369 N N N N N N N/A N/A REVERSE REPO BANK OF MONTREAL REVERSE REPO 000000000 -59874750.000000 PA USD -59874750.000000 -6.05641 Short RA US N 2 Reverse repurchase N 5.440000 2024-07-02 59800000.000000 USD 58678750.000000 USD UST N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080030 G2 01/27 FLOATING VAR 36225CA89 1212.880000 PA USD 1193.870000 0.0001208 Long ABS-MBS USGSE US N 2 2027-01-20 Floating 4.625 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2018-1A N/A ECMC GROUP STUDENT LOAN TRUST ECMC 2018 1A A 144A 26828HAA5 450397.790000 PA USD 448991.020000 0.045416 Long ABS-O CORP US N 2 2068-02-27 Floating 6.19983 N N N N N N N/A N/A RFRF USD SOFR/2.39500 10/25/23-5Y CME 000000000 1.000000 NC USD -3249574.430000 -0.328699 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-10-25 0.000000 USD -474920.000000 USD 38300000.000000 USD -2774654.430000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/53 3.625 912810TN8 66300000.000000 PA USD 56414566.570000 5.7064 Long DBT UST US N 2 2053-02-15 Fixed 3.625 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 775852 FN 03/44 FLOATING VAR 31404Q5M7 50109.650000 PA USD 50043.680000 0.005062 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 6.353 N N N N N N N/A N/A RFR USD SOFR/3.80740 03/01/24-4Y* LCH 000000000 1.000000 NC USD 33433.980000 0.0033819 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 2300000.000000 USD 33433.980000 N N N N/A N/A DEUTSCHE BANK REPO REPO 000000000 50437500.000000 PA USD 50437500.000000 5.10182 Long RA US N 2 Repurchase N 5.380000 2024-07-01 50000000.000000 USD 49062500.000000 USD UST N N N N/A N/A RFR USD SOFR/3.84200 12/26/23-10Y LCH 000000000 1.000000 NC USD 6988.660000 0.0007069 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-26 0.000000 USD -1700.000000 USD 400000.000000 USD 8688.660000 N N N N/A N/A RFR USD SOFR/3.08000 02/23/23-30Y LCH 000000000 1.000000 NC USD -165836.340000 -0.0167746 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-02-23 0.000000 USD -11830.000000 USD 1300000.000000 USD -154006.340000 N N N SEQUOIA MORTGAGE TRUST 5 N/A SEQUOIA MORTGAGE TRUST SEMT 5 A 81743WAA9 2311.280000 PA USD 2200.910000 0.0002226 Long ABS-MBS CORP US N 3 2026-10-19 Floating 6.15315 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/41 4.375 912810QQ4 29580000.000000 PA USD 29017286.640000 2.93514 Long DBT UST US N 2 2041-05-15 Fixed 4.375 N N N N N N MERRILL LYNCH MORTGAGE INV INC 2004-WMC5 N/A MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 WMC5 M1 59020UMF9 485485.110000 PA USD 481227.700000 0.0486768 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.38971 N N N N N N FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1 N/A FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 A2 144A 35563CAJ7 6438566.210000 PA USD 5583909.640000 0.56482 Long ABS-MBS USGSE US N 2 2052-10-25 Variable 4.31015 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008746 G2 11/25 FLOATING VAR 36202KWF8 238.090000 PA USD 235.410000 0.0000238 Long ABS-MBS USGSE US N 2 2025-11-20 Floating 3.75 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1 57563NAA6 46857.310000 PA USD 46752.320000 0.0047291 Long ABS-O CORP US N 2 2038-04-25 Floating 6.55948 N N N N N N N/A N/A RFR USD SOFR/3.67875 03/01/24-4Y* LCH 000000000 1.000000 NC USD 1041338.180000 0.105333 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 54100000.000000 USD 1041338.180000 N N N FEDERAL FARM CREDIT BANKS (AKA: FEDERAL FARM CREDIT BANKS FUNDING CORP) 254900C5LP6DN9OP9V83 FEDERAL FARM CREDIT BANK NOTES 12/28 5.75 31331RN68 500000.000000 PA USD 526971.530000 0.0533038 Long DBT USGSE US N 2 2028-12-07 Fixed 5.75 N N N N N N N/A N/A RFR USD SOFR/3.90000 08/30/23-10Y LCH 000000000 1.000000 NC USD -30250.540000 -0.0030599 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-30 0.000000 USD -6035.000000 USD 1700000.000000 USD -24215.540000 N N N N/A N/A RFR USD SOFR/3.61000 12/12/22-10Y LCH 000000000 1.000000 NC USD 89048.810000 0.0090074 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-12-12 0.000000 USD -11750.000000 USD 2500000.000000 USD 100798.810000 N N N N/A N/A 317U65KA1 PIMCO SWAPTION 4.344 PUT USD 2024062 000000000 -4400000.000000 NC USD -0.440000 0 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/4.34400 07/02/24-10Y LCH 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 13450.810000 N N N N/A N/A RFR USD SOFR/4.45000 10/31/23-10Y LCH 000000000 1.000000 NC USD 49825.940000 0.00504 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-31 0.000000 USD -5840.000000 USD 1600000.000000 USD 55665.940000 N N N FNMA PASS THRU POOLS N/A FNMA POOL 802467 FN 11/34 FLOATING VAR 31405XQU0 16899.100000 PA USD 16958.860000 0.0017154 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 5.996 N N N N N N N/A N/A RFR USD SOFR/4.45000 11/01/23-10Y LCH 000000000 1.000000 NC USD 99782.460000 0.0100931 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-01 0.000000 USD -13400.000000 USD 3200000.000000 USD 113182.460000 N N N N/A N/A REVERSE REPO BANK OF AMERICA REVERSE REPO 000000000 -36142500.000000 PA USD -36158613.530000 -3.65749 Short RA US N 2 Reverse repurchase N 5.350000 2024-07-01 36600000.000000 USD 34858640.810000 USD UST N N N N/A N/A 317U6C7A1 PIMCO SWAPTION 3.54 CALL USD 2024072 000000000 -1500000.000000 NC USD -1400.550000 -0.0001417 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/3.54000 07/26/24-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.54000 07/26/24-10Y LCH 2034-07-26 0.000000 USD 0.000000 USD N/A USD N/A 3.540000 USD 2024-07-24 XXXX 4899.450000 N N N NOMURA ASSET ACCEPTANCE CORP 2005-AR5 N/A NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1 65535VPU6 575026.770000 PA USD 482665.170000 0.0488222 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.76853 N N N N N N DBGS MORTGAGE TRUST 2018-5BP N/A DBGS MORTGAGE TRUST DBGS 2018 5BP A 144A 33830CAA8 300000.000000 PA USD 278944.680000 0.0282156 Long ABS-MBS CORP US N 2 2033-06-15 Floating 6.22101 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/42 4 912810TM0 72000000.000000 PA USD 66372187.680000 6.71363 Long DBT UST US N 2 2042-11-15 Fixed 4 N N N N N N N/A N/A RFR USD SOFR/4.17000 10/03/23-10Y LCH 000000000 1.000000 NC USD 25822.090000 0.0026119 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-03 0.000000 USD -15500.000000 USD 4000000.000000 USD 41322.090000 N N N IMPAC CMB TR 2005-6 N/A IMPAC CMB TRUST IMM 2005 6 1A1 45254NQG5 670330.320000 PA USD 588593.320000 0.059537 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.95971 N N N N N N N/A N/A 317U6DCA3 PIMCO SWAPTION 4.025 PUT USD 2024072 000000000 -3500000.000000 NC USD -18525.500000 -0.0018739 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A RFR USD SOFR/4.02500 07/24/24-10Y LCH 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 -4875.500000 N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P A 144A 61772WAA5 1800000.000000 PA USD 1706158.620000 0.17258 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.61252 N N N N N N FREDDIE MAC 3001 N/A FREDDIE MAC FHR 3001 BZ 31395W6J1 77524.000000 PA USD 74994.520000 0.0075858 Long ABS-MBS USGSE US N 2 2035-07-15 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/30 4.375 91282CJM4 5300000.000000 PA USD 5305382.790000 0.536646 Long DBT UST US N 2 2030-11-30 Fixed 4.375 N N N N N N N/A N/A RFR USD SOFR/3.95000 12/19/23-10Y LCH 000000000 1.000000 NC USD 61238.060000 0.0061943 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-19 0.000000 USD -29400.000000 USD 7000000.000000 USD 90638.060000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/43 3.875 912810TQ1 88700000.000000 PA USD 80204203.130000 8.11276 Long DBT UST US N 2 2043-02-15 Fixed 3.875 N N N N N N FANNIE MAE 2007-73 N/A FANNIE MAE FNR 2007 73 A1 31396V4Q8 39669.830000 PA USD 38666.200000 0.0039111 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 6.08732 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/51 1.875 912810SU3 19100000.000000 PA USD 11157832.080000 1.12863 Long DBT UST US N 2 2051-02-15 Fixed 1.875 N N N N N N VMC FINANCE 2022-FL5 LLC N/A VMC FINANCE LLC VMC 2022 FL5 A 144A 91835BAA3 368898.730000 PA USD 367999.710000 0.0372236 Long ABS-CBDO CORP US N 2 2039-02-18 Floating 7.23303 N N N N N N N/A N/A 317U6BXA4 PIMCO SWAPTION 3.986 PUT USD 2024071 000000000 -4600000.000000 NC USD -25541.960000 -0.0025836 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A RFR USD SOFR/3.98600 07/17/24-10Y LCH 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 -8406.960000 N N N N/A N/A 317U6BYA3 PIMCO SWAPTION 3.689 CALL USD 202407 000000000 -2500000.000000 NC USD -1123.250000 -0.0001136 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/3.68900 07/17/24-5Y LCH 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 4001.750000 N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE 01F062689 3900000.000000 PA USD 3967335.960000 0.401301 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6.5 N N N N N N N/A N/A US 2YR NOTE (CBT) SEP24 XCBT 20240930 000000000 -11.000000 NC USD -6760.630000 -0.0006838 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-09-30 -2246449.220000 USD -6760.630000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 06/30 3.75 91282CHJ3 6600000.000000 PA USD 6389496.100000 0.646306 Long DBT UST US N 2 2030-06-30 Fixed 3.75 N N N N N N N/A N/A RFR USD SOFR/3.50000 06/22/23-7Y LCH 000000000 1.000000 NC USD -172733.630000 -0.0174722 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-06-22 0.000000 USD -22785.000000 USD 6200000.000000 USD -149948.630000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/51 2.375 912810SX7 2400000.000000 PA USD 1581281.260000 0.159949 Long DBT UST US N 2 2051-05-15 Fixed 2.375 N N N N N N N/A N/A 317U64VA2 PIMCO SWAPTION 4.41 PUT USD 20240628 000000000 -2900000.000000 NC USD -0.290000 0 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A RFR USD SOFR/4.41000 07/02/24-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.41000 07/02/24-10Y LCH 2034-07-02 0.000000 USD 0.000000 USD N/A USD N/A 4.410000 USD 2024-06-28 XXXX 9460.960000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/43 4.75 912810TW8 10210000.000000 PA USD 10348792.190000 1.04679 Long DBT UST US N 2 2043-11-15 Fixed 4.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/40 1.125 912810SR0 10470000.000000 PA USD 6446820.730000 0.652104 Long DBT UST US N 2 2040-05-15 Fixed 1.125 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A 93363DAB3 169079.180000 PA USD 137527.910000 0.0139111 Long ABS-MBS CORP US N 2 2046-08-25 Floating 6.20077 N N N N N N N/A N/A RFR USD SOFR/3.75000 07/12/23-10Y LCH 000000000 1.000000 NC USD -68491.170000 -0.006928 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-07-12 0.000000 USD -7455.000000 USD 2100000.000000 USD -61036.170000 N N N COUNTRYWIDE HOME LOANS 2005-3 N/A COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1 12669GTV3 23977.470000 PA USD 21143.150000 0.0021387 Long ABS-MBS CORP US N 3 2035-04-25 Floating 6.03971 N N N N N N N/A N/A RFR USD SOFR/3.34000 02/23/23-7Y LCH 000000000 1.000000 NC USD -135440.830000 -0.0137 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-02-23 0.000000 USD -11008.000000 USD 3200000.000000 USD -124432.830000 N N N BEAR STEARNS MTGE SEC INC 1997-6 N/A BEAR STEARNS MORTGAGE SECURITI BSMSI 1997 6 3A 073914WC3 104.030000 PA USD 101.380000 0.0000103 Long ABS-MBS CORP US N 3 2030-06-25 Floating 4.97755 N N N N N N N/A N/A 317U66FA5 PIMCO SWAPTION 4.1935 PUT USD 202407 000000000 -1400000.000000 NC USD -362.600000 -0.0000367 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/4.19350 07/08/24-10Y LCH 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 4327.400000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/30 3.75 91282CHF1 3900000.000000 PA USD 3777515.630000 0.382101 Long DBT UST US N 2 2030-05-31 Fixed 3.75 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008611 G2 03/25 FLOATING VAR 36202KR80 199.550000 PA USD 197.680000 0.00002 Long ABS-MBS USGSE US N 2 2025-03-20 Floating 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/40 1.125 912810SQ2 99760000.000000 PA USD 60779559.130000 6.14793 Long DBT UST US N 2 2040-08-15 Fixed 1.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/52 4 912810TL2 105650000.000000 PA USD 96267372.470000 9.73757 Long DBT UST US N 2 2052-11-15 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 560837 FN 10/30 FIXED 9 31386EBE7 313.780000 PA USD 315.140000 0.0000319 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 9 N N N N N N N/A N/A RFR USD SOFR/3.80000 09/05/23-5Y LCH 000000000 1.000000 NC USD -61775.650000 -0.0062487 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-09-05 0.000000 USD -16847.500000 USD 2300000.000000 USD -44928.150000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/44 4.5 912810TZ1 59800000.000000 PA USD 58678750.000000 5.93543 Long DBT UST US N 2 2044-02-15 Fixed 4.5 N N N N N N STRUCTURED ASSET MTG INV INC 2003-AR1 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR1 A3 86358HRX9 38112.080000 PA USD 34157.880000 0.0034551 Long ABS-MBS CORP US N 2 2033-10-19 Floating 6.29315 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008781 G2 01/26 FLOATING VAR 36202KXJ9 633.960000 PA USD 625.750000 0.0000633 Long ABS-MBS USGSE US N 2 2026-01-20 Floating 4.625 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008989 G2 10/26 FLOATING VAR 36202K7A7 90.020000 PA USD 88.220000 0.0000089 Long ABS-MBS USGSE US N 2 2026-10-20 Floating 3.75 N N N N N N FREDDIE MAC 2990 N/A FREDDIE MAC FHR 2990 DZ 31395UZZ7 1549207.890000 PA USD 1582447.070000 0.160067 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 5.5 N N N N N N N/A N/A 317U6F5A6 PIMCO SWAPTION 4.06 PUT USD 20240726 000000000 -1300000.000000 NC USD -6472.180000 -0.0006547 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A RFR USD SOFR/4.06000 07/30/24-10Y LCH 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 -1545.180000 N N N RESOLUTION FUNDING CORP N/A RESOLUTION FUNDING STRIP BONDS 10/28 0.00000 76116EHL7 6371000.000000 PA USD 5258474.130000 0.531901 Long DBT USGSE US N 2 2028-10-15 None 0 N N N N N N N/A N/A 317U61MA8 PIMCO SWAPTION 4.265 PUT USD 2024072 000000000 -1300000.000000 NC USD -1477.580000 -0.0001495 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A RFR USD SOFR/4.26500 07/24/24-10Y LCH 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 4014.920000 N N N N/A N/A RFR USD SOFR/4.16500 09/27/23-10Y LCH 000000000 1.000000 NC USD 17924.640000 0.0018131 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-09-27 0.000000 USD -12640.250000 USD 3100000.000000 USD 30564.890000 N N N N/A N/A RFR USD SOFR/3.47000 02/22/23-7Y LCH 000000000 1.000000 NC USD -116801.430000 -0.0118146 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-02-22 0.000000 USD -11611.880000 USD 3300000.000000 USD -105189.550000 N N N HARBORVIEW MORTGAGE LOAN TR 2005-4 N/A HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 4A 41161PMZ3 2832.810000 PA USD 2459.800000 0.0002488 Long ABS-MBS CORP US N 3 2035-07-19 Floating 5.67758 N N N N N N N/A N/A RFR USD SOFR/4.07800 04/29/24-10Y LCH 000000000 1.000000 NC USD 8137.280000 0.0008231 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-29 0.000000 USD -3148.750000 USD 1100000.000000 USD 11286.030000 N N N FANNIE MAE 2007-30 N/A FANNIE MAE FNR 2007 30 MZ 31396VHC5 180997.150000 PA USD 172405.540000 0.017439 Long ABS-MBS USGSE US N 2 2037-04-25 Fixed 4.25 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 786067 FH 01/28 FLOATING VAR 31348SW42 4238.430000 PA USD 4218.070000 0.0004267 Long ABS-MBS USGSE US N 2 2028-01-01 Floating 6.271 N N N N N N N/A N/A RFR USD SOFR/3.65500 01/24/24-10Y LCH 000000000 1.000000 NC USD -31758.810000 -0.0032124 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-24 0.000000 USD -4100.000000 USD 1000000.000000 USD -27658.810000 N N N FREDDIE MAC 2477 N/A FREDDIE MAC FHR 2477 FZ 31392PU94 4567.460000 PA USD 4554.820000 0.0004607 Long ABS-MBS USGSE US N 2 2031-06-15 Floating 5.99751 N N N N N N N/A N/A RFR USD SOFR/3.97000 02/27/24-5Y LCH 000000000 1.000000 NC USD -34505.840000 -0.0034903 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-27 0.000000 USD -7755.000000 USD 3300000.000000 USD -26750.840000 N N N VESSEL MANAGEMENT SERVICES INC 549300FGG4OD84UNFA43 VESSEL MANAGEMENT SERVIC US GOVT GUAR 08/36 3.432 228027AA6 3434000.000000 PA USD 2988888.530000 0.30233 Long DBT CORP US N 2 2036-08-15 Fixed 3.432 N N N N N N N/A N/A 317U6C6A2 PIMCO SWAPTION 4.0 PUT USD 20240724 000000000 -1500000.000000 NC USD -9687.300000 -0.0009799 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/4.00000 07/26/24-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.00000 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 -3387.300000 N N N BEAR STEARNS ARM TRUST 2002-11 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A2 07384MSJ2 1639.510000 PA USD 1161.300000 0.0001175 Long ABS-MBS CORP US N 3 2033-02-25 Floating 3.24999 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 313968 FN 12/27 FLOATING VAR 31374GW52 9077.480000 PA USD 9069.810000 0.0009174 Long ABS-MBS USGSE US N 2 2027-12-01 Floating 6.628 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 826082 FN 07/35 FLOATING VAR 31407BXK0 6512.320000 PA USD 6529.840000 0.0006605 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.805 N N N N N N N/A N/A RFR USD SOFR/3.72147 06/03/24-9Y* LCH 000000000 1.000000 NC USD 992635.800000 0.100406 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 50900000.000000 USD 992635.800000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080059 G2 04/27 FLOATING VAR 36225CB54 350.770000 PA USD 347.080000 0.0000351 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 3.875 N N N N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A TOWD POINT MORTGAGE TRUST TPMT 2020 1 A2A 144A 89178WBB3 900000.000000 PA USD 786452.490000 0.0795507 Long ABS-MBS CORP US N 2 2060-01-25 Variable 3.1 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 902150 FN 10/36 FIXED 6.5 31411AH32 11268.820000 PA USD 11575.880000 0.0011709 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N N/A N/A RFR USD SOFR/4.10500 04/24/24-10Y LCH 000000000 1.000000 NC USD 37656.210000 0.003809 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-04-24 0.000000 USD -13300.000000 USD 4000000.000000 USD 50956.210000 N N N N/A N/A 317U66EA6 PIMCO SWAPTION 3.8435 CALL USD 20240 000000000 -1400000.000000 NC USD -2210.740000 -0.0002236 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/3.84350 07/08/24-10Y LCH 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 2479.260000 N N N COMM MORTGAGE TRUST 2018-HOME N/A COMM MORTGAGE TRUST COMM 2018 HOME B 144A 20048JAE0 2600000.000000 PA USD 2342374.320000 0.236934 Long ABS-MBS CORP US N 2 2033-04-10 Variable 3.94224 N N N N N N FREDDIE MAC 4677 N/A FREDDIE MAC FHR 4677 KT 3137BXHP0 1670552.700000 PA USD 1275295.420000 0.128998 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 0 N N N N N N READY CAPITAL MORTGAGE FINANCING 2022-FL8 LLC N/A READYCAP COMMERCIAL MORTGAGE T RCMT 2022 FL8 A 144A 75574PAA0 894176.910000 PA USD 892651.620000 0.0902928 Long ABS-MBS CORP US N 2 2037-01-25 Floating 6.98501 N N N N N N N/A N/A REPU STATE STREET GLOBAL MARKE USD REPU SSB T 000000000 -270864429.500000 PA USD -270987447.120000 -27.4107 Short RA US N 2 Reverse repurchase N 5.450000 2024-07-01 275460000.000000 USD 268723649.430000 USD UST N N N N/A N/A RFR USD SOFR/3.78300 02/07/24-10Y LCH 000000000 1.000000 NC USD -49152.700000 -0.0049719 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-07 0.000000 USD -12060.000000 USD 2400000.000000 USD -37092.700000 N N N FREDDIE MAC 2059 N/A FREDDIE MAC FHR 2059 C 3133TDV94 6649.190000 PA USD 6640.090000 0.0006717 Long ABS-MBS USGSE US N 2 2028-05-15 Fixed 6 N N N N N N FREDDIE MAC 2990 N/A FREDDIE MAC FHR 2990 LT 31395V3N7 5752318.090000 PA USD 5800963.720000 0.586775 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 5.5 N N N N N N HERTZ VEHICLE FINANCING LLC 2022-2A N/A HERTZ VEHICLE FINANCING LLC HERTZ 2022 2A A 144A 42806MAN9 1200000.000000 PA USD 1102112.280000 0.11148 Long ABS-O CORP US N 2 2028-06-26 Fixed 2.33 N N N N N N BANK-2018-BN11 N/A BANK BANK 2018 BN11 A3 06540TAD2 800000.000000 PA USD 762833.360000 0.0771616 Long ABS-MBS CORP US N 2 2061-03-15 Fixed 4.046 N N N N N N N/A N/A FIXED INC CLEARING CORP.REPO 000000000 594000.000000 PA USD 594000.000000 0.0600838 Long RA US N 2 Repurchase N 2.600000 2024-07-01 474000.000000 USD 606126.190000 USD UST N N N N/A N/A RFR USD SOFR/4.23000 10/23/23-10Y LCH 000000000 1.000000 NC USD 14797.610000 0.0014968 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-23 0.000000 USD -4215.000000 USD 1200000.000000 USD 19012.610000 N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 786064 FH 01/28 FLOATING VAR 31348SWZ3 4870.940000 PA USD 4846.990000 0.0004903 Long ABS-MBS USGSE US N 2 2028-01-01 Floating 6.262 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE 01F052680 32500000.000000 PA USD 32051855.230000 3.24209 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5.5 N N N N N N N/A N/A RFR USD SOFR/3.94000 02/22/24-5Y LCH 000000000 1.000000 NC USD -54289.140000 -0.0054914 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-22 0.000000 USD -10800.000000 USD 4500000.000000 USD -43489.140000 N N N FREDDIE MAC 4790 N/A FREDDIE MAC FHR 4790 F 3137F5BX6 1292090.490000 PA USD 1260676.410000 0.127519 Long ABS-MBS USGSE US N 2 2043-10-15 Floating 5.63751 N N N N N N ATRIUM HOTEL PORTFOLIO TRUST 2018-ATRM N/A ATRIUM HOTEL PORTFOLIO TRUST AHPT 2018 ATRM A 144A 04965KAA8 200000.000000 PA USD 199083.780000 0.0201376 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.576 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 564318 FN 11/30 FIXED 9 31386H4B4 54.290000 PA USD 54.330000 0.0000055 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 9 N N N N N N FREDDIE MAC 2585 N/A FREDDIE MAC FHR 2585 FD 31393MH61 5430.650000 PA USD 5401.510000 0.0005464 Long ABS-MBS USGSE US N 2 2032-12-15 Floating 5.94751 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008894 G2 06/26 FLOATING VAR 36202K3B9 664.820000 PA USD 659.590000 0.0000667 Long ABS-MBS USGSE US N 2 2026-06-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080054 G2 03/27 FLOATING VAR 36225CBY1 3439.400000 PA USD 3384.850000 0.0003424 Long ABS-MBS USGSE US N 2 2027-03-20 Floating 4.625 N N N N N N GNMA PASS THRU POOLS N/A GNMA II TBA 30 YR 4.5 JUMBOS 21H042687 2500000.000000 PA USD 2378404.480000 0.240579 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 4.5 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2018-SUN N/A MORGAN STANLEY CAPITAL I TRUST MSC 2018 SUN A 144A 61691MAA5 200000.000000 PA USD 199877.300000 0.0202178 Long ABS-MBS CORP US N 2 2035-07-15 Floating 6.52783 N N N N N N 2024-08-14 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX