NPORT-P false 0000810893 XXXXXXXX S000009692 C000026583 C000026582 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Low Duration Fund II S000009692 K2P23FCTK76TNWYHPM24 2025-03-31 2024-09-30 N 422569140.270000 125505301.570000 297063838.700000 0.000000 0.000000 22166174.280000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 2588353.990000 USD N 50% ICE BofA 1-3 Year US Treasury Index, 50% Bloomberg US Intermediate Credit Total Return Index G1O2, LUICTRUU BX TRUST 2022-FOX2 N/A 05610AAW8 400378.760000 PA USD 393718.620000 0.132537 Long ABS-MBS CORP US N 2 2039-04-15 Floating 5.84571 N N N N N N FNMA PASS THRU POOLS N/A 31371MP43 128417.300000 PA USD 127331.760000 0.0428634 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417AMS5 218696.850000 PA USD 215489.940000 0.0725399 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 4319.180000 0.001454 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-03-10 9878.920000 USD 0.000000 USD 600000.000000 USD -5559.740000 N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1 N/A 81377JAB9 80308.330000 PA USD 18294.330000 0.0061584 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.08926 N N N N N N FANNIEMAE WHOLE LOAN 2003-W1 N/A 31392GVX0 26795.860000 PA USD 26922.270000 0.0090628 Long ABS-MBS USGSE US N 2 2042-12-25 Variable 6.5 N N N N N N FANNIE MAE REMICS 2019-9 N/A 3136B33L2 518689.560000 PA USD 513081.280000 0.172718 Long ABS-MBS USGSE US N 2 2049-03-25 Floating 5.86564 N N N N N N N/A N/A 000000000 30800000.000000 NC USD 249190.480000 0.0838845 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Purchased 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/3.75000 08/05/25-1Y LCH 2026-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2025-08-01 XXXX 61310.480000 N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2J3 1000000.000000 PA USD 994073.050000 0.334633 Long DBT CORP US N 2 2025-04-11 Fixed 3.85 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134GW6C5 2600000.000000 PA USD 2448414.150000 0.824205 Long DBT USGSE US N 2 2026-10-28 Fixed 0.8 N N N N N N NIAGARA MOHAWK POWER CORPORATION 3T97Y9RR5EN5Y18QHB56 65364UAL0 1100000.000000 PA USD 1084121.830000 0.364946 Long DBT CORP US N 2 2028-12-15 Fixed 4.278 N N N N N N FNMA PASS THRU POOLS N/A 31418CLK8 593120.880000 PA USD 577382.360000 0.194363 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGE5 7400000.000000 PA USD 7404914.040000 2.4927 Long DBT UST US N 2 2026-01-15 Fixed 3.875 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -0.010000 0 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/3.16000 10/02/24-10Y LCH 2034-10-02 0.000000 USD 0.000000 USD N/A USD N/A 3.160000 USD 2024-09-30 XXXX 392.490000 N N N N/A N/A 000000000 -2.000000 NC USD -113.340000 -0.0000382 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 12/19/24 2024-12-20 N/A USD N/A 112.000000 USD 2024-10-25 XXXX 945.500000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FR4 500583.000000 PA USD 497280.730000 0.167399 Long DBT UST US N 2 2025-01-15 Fixed 2.375 N N N N N N N/A N/A 000000000 7400000.000000 NC USD 5.180000 0.0000017 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 11/04/24-1Y LCH 2025-11-04 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2024-10-31 XXXX -6192.320000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H12 N/A 38382YAZ6 493349.430000 PA USD 504095.320000 0.169693 Long ABS-MBS USGSE US N 2 2071-08-20 Floating 6.84541 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134GWZV1 6200000.000000 PA USD 5990355.060000 2.01652 Long DBT USGSE US N 2 2025-10-22 Fixed 0.65 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 24960.780000 PA USD 23867.480000 0.0080345 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.5793 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CKK6 1900000.000000 PA USD 1932730.460000 0.650611 Long DBT UST US N 2 2026-04-30 Fixed 4.875 N N N N N N UWM-2021-INV4 N/A 918307AM1 827140.490000 PA USD 774596.220000 0.260751 Long ABS-MBS CORP US N 2 2051-12-25 Floating 5 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -302.970000 -0.000102 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/3.48500 10/30/24-10Y LCH 2034-10-30 0.000000 USD 0.000000 USD N/A USD N/A 3.480000 USD 2024-10-28 XXXX 24.530000 N N N N/A N/A 000000000 -100000.000000 NC USD -53.730000 -0.0000181 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/3.00000 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2024-10-15 XXXX 281.270000 N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 146988.770000 PA USD 140071.360000 0.0471519 Long ABS-MBS CORP US N 2 2034-11-21 Floating 6.43478 N N N N N N FNMA PASS THRU POOLS N/A 31390STH4 24771.510000 PA USD 25028.500000 0.0084253 Long ABS-MBS USGSE US N 2 2042-07-01 Floating 6.323 N N N N N N N/A N/A 000000000 1.000000 NC USD -18394.480000 -0.0061921 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -45873.340000 USD 2600000.000000 USD 27478.860000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-C N/A 83207DAA6 620369.640000 PA USD 639627.150000 0.215316 Long ABS-O CORP US N 2 2052-11-15 Fixed 5.67 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 860063.230000 PA USD 849145.420000 0.285846 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.362 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07 N/A 38383KVE9 461506.020000 PA USD 460352.620000 0.154968 Long ABS-MBS USGSE US N 2 2074-02-20 Floating 5.99541 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXQ6 7283.110000 PA USD 7138.660000 0.0024031 Long ABS-MBS CORP US N 2 2035-09-25 Floating 7.18 N N N N N N N/A N/A 000000000 1.000000 NC USD -13143.630000 -0.0044245 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -20879.870000 USD 800000.000000 USD 7736.240000 N N N PAGAYA AI DEBT TRUST 2024-3 N/A 69547XAA0 476023.950000 PA USD 480974.500000 0.16191 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.258 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 24613.950000 PA USD 24603.730000 0.0082823 Long ABS-MBS CORP US N 2 2045-12-25 Floating 5.50926 N N N N N N GNMA PASS THRU POOLS N/A 36225CPL4 11214.690000 PA USD 11168.160000 0.0037595 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 31417V4Y6 428.060000 PA USD 429.150000 0.0001445 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4.5 N N N N N N N/A N/A 000000000 -30800000.000000 NC USD -86612.680000 -0.0291563 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.75000 08/05/25-1Y LCH 2026-08-05 0.000000 USD 0.000000 USD N/A USD N/A 2.750000 USD 2025-08-01 XXXX -15772.680000 N N N N/A N/A 000000000 1.000000 NC USD -74215.360000 -0.024983 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-04 0.000000 USD -29014.260000 USD 3400000.000000 USD -45201.100000 N N N N/A N/A 000000000 1.000000 NC USD -245363.250000 -0.0825961 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-15 0.000000 USD -187059.590000 USD 6100000.000000 USD -58303.660000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 1326320.000000 PA USD 1307428.470000 0.440117 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N WASHINGTON MUTUAL 2005-AR8 N/A 92922FR67 23584.860000 PA USD 22761.180000 0.0076621 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.50926 N N N N N N N/A N/A 000000000 -2.000000 NC USD -138.010000 -0.0000465 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 12/19/24 2024-12-20 N/A USD N/A 117.000000 USD 2024-10-25 XXXX 854.830000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05 N/A 38382YV26 499560.400000 PA USD 496869.720000 0.16726 Long ABS-MBS USGSE US N 2 2072-04-20 Floating 6.14541 N N N N N N IMPAC CMB TR 2005-8 N/A 45254NRT6 296968.310000 PA USD 281610.650000 0.094798 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.66926 N N N N N N FNMA PASS THRU POOLS N/A 31418CFM1 404999.330000 PA USD 394500.100000 0.1328 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 3 N N N N N N CAPITAL ONE MULTI-ASSET EXECUTION TRUST 2022-A3 N/A 14041NGB1 1000000.000000 PA USD 1006474.900000 0.338808 Long ABS-MBS CORP US N 2 2027-10-15 Fixed 4.95 N N N N N N FNMA PASS THRU POOLS N/A 3140QNUB6 1393212.920000 PA USD 1252558.460000 0.421646 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 7550.510000 PA USD 7271.580000 0.0024478 Long ABS-MBS CORP US N 2 2032-09-19 Floating 5.7393 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -358.560000 -0.0001207 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/3.37500 10/15/24-10Y LCH 2034-10-15 0.000000 USD 0.000000 USD N/A USD N/A 3.380000 USD 2024-10-10 XXXX -2.310000 N N N N/A N/A 000000000 1.000000 NC USD -52862.390000 -0.017795 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD -76091.760000 USD 4200000.000000 USD 23229.370000 N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 158182.980000 PA USD 144924.110000 0.0487855 Long ABS-MBS CORP US N 2 2036-02-20 Floating 7.93997 N N N N N N FNMA PASS THRU POOLS N/A 31410LLW0 120892.530000 PA USD 117852.280000 0.0396724 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H09 N/A 38376RTJ5 508891.720000 PA USD 510082.930000 0.171708 Long ABS-MBS USGSE US N 2 2066-04-20 Floating 6.36652 N N N N N N N/A N/A 000000000 -216.000000 NC USD -17177.400000 -0.0057824 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-12-19 -25584187.390000 USD -17177.400000 N N N N/A N/A 000000000 1.000000 NC USD -16342.120000 -0.0055012 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -28270.240000 USD 1200000.000000 USD 11928.120000 N N N STRUCTURED ASSET MTGE INV 1999-1 N/A 86358HGW3 19049.960000 PA USD 18258.750000 0.0061464 Long ABS-MBS CORP US N 2 2029-06-25 Floating 3.90507 N N N N N N N/A N/A 000000000 1.000000 NC USD -629.850000 -0.000212 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-05 0.000000 USD -690.230000 USD 100000.000000 USD 60.380000 N N N FANNIE MAE REMICS 2012-125 N/A 3136A9E79 977240.100000 PA USD 921114.460000 0.310073 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 2 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 72262.080000 PA USD 68559.990000 0.0230792 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.45372 N N N N N N 280 PARK AVENUE 2017-280P MORTGAGE TRUST N/A 90205FAA8 900000.000000 PA USD 878574.870000 0.295753 Long ABS-MBS CORP US N 2 2034-09-15 Floating 6.298 N N N N N N N/A N/A 000000000 1.000000 NC USD -4415.090000 -0.0014862 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -4589.420000 USD 200000.000000 USD 174.330000 N N N UMBS PASS THRU POOLS N/A 01F0306B9 -15100000.000000 PA USD -13570517.680000 -4.56822 Short ABS-MBS USGSE US N 2 2054-11-14 Fixed 3 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HBZ7 500000.000000 PA USD 498274.400000 0.167733 Long DBT CORP US N 2 2025-04-30 Fixed 4.25 N N N N N N SOFI CONSUMER LOAN PROGRAM 2023-1S TRUST N/A 83407EAA2 8837.750000 PA USD 8839.330000 0.0029756 Long ABS-O CORP US N 2 2031-05-15 Fixed 5.81 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAB7 41828.800000 PA USD 21052.180000 0.0070868 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.03926 N N N N N N FNMA PASS THRU POOLS N/A 3140NMHK6 393097.830000 PA USD 393091.720000 0.132326 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8E3 300000.000000 PA USD 306152.520000 0.10306 Long DBT CORP US N 2 2028-07-14 Floating 4.968 N N N N N N FNMA PASS THRU POOLS N/A 3138E1P27 34419.570000 PA USD 33930.640000 0.011422 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 927.380000 0.0003122 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-02 5273.560000 USD 0.000000 USD 400000.000000 USD -4346.180000 N N N N/A N/A 000000000 1.000000 NC USD -100808.920000 -0.0339351 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-07 0.000000 USD -9063.720000 USD 4300000.000000 USD -91745.200000 N N N N/A N/A 000000000 -100000.000000 NC USD -343.810000 -0.0001157 N/A DIR US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written UBS AG BFM8T61CT2L1QCEMIK50 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.14500 10/30/24-10Y LCH 2034-10-30 0.000000 USD 0.000000 USD N/A USD N/A 3.150000 USD 2024-10-28 XXXX -23.810000 N N N FANNIE MAE REMICS 2024-38 N/A 3136BR4S3 454400.800000 PA USD 461106.800000 0.155222 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 6.15116 N N N N N N FHLMC PASS THRU POOLS N/A 31307NT61 42792.680000 PA USD 42043.980000 0.0141532 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A 38382Y5F6 775979.870000 PA USD 788907.540000 0.265568 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 6.49541 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 801931.830000 PA USD 801575.770000 0.269833 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.29148 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 2964653.320000 PA USD 28940945.680000 9.74233 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 31362M2Q0 3987.190000 PA USD 3924.870000 0.0013212 Long ABS-MBS USGSE US N 2 2028-09-01 Floating 4.497 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1 N/A 36265LAB3 875890.850000 PA USD 768149.090000 0.25858 Long ABS-MBS CORP US N 2 2052-09-25 Variable 3 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAA4 900000.000000 PA USD 863102.610000 0.290544 Long ABS-MBS CORP US N 2 2038-09-15 Floating 6.26148 N N N N N N N/A N/A 000000000 1.000000 NC USD 760.660000 0.0002561 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 753.970000 USD 0.000000 USD 100000.000000 USD 6.690000 N N N FREDDIE MAC REMICS 5442 N/A 3137HF4U6 741227.910000 PA USD 746257.590000 0.251211 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 6.25012 N N N N N N FNMA PASS THRU POOLS N/A 31418ND31 95.700000 PA USD 95.950000 0.0000323 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31403HEM8 12134.110000 PA USD 12232.100000 0.0041177 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.5 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 113129.860000 PA USD 113721.140000 0.0382817 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 6.17655 N N N N N N FREDDIE MAC REMICS 4040 N/A 3137AQ7C6 47667.920000 PA USD 43603.550000 0.0146782 Long ABS-MBS USGSE US N 2 2037-05-15 None 0 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXP8 11985.960000 PA USD 11968.600000 0.004029 Long ABS-MBS CORP US N 2 2035-09-25 Floating 7.56 N N N N N N UMBS PASS THRU POOLS N/A 01F0326B5 -5200000.000000 PA USD -4846742.680000 -1.63155 Short ABS-MBS USGSE US N 2 2054-11-14 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -6870.190000 -0.0023127 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -11834.750000 USD 500000.000000 USD 4964.560000 N N N WASHINGTON MUTUAL 2006-AR1 N/A 92925CCE0 124019.130000 PA USD 116538.900000 0.0392303 Long ABS-MBS CORP US N 2 2046-01-25 Floating 6.19303 N N N N N N FREDDIE MAC STRIPS 332 N/A 3132HUCJ0 215422.330000 PA USD 229248.490000 0.0771715 Long ABS-MBS USGSE US N 2 2044-08-15 Floating 0.94952 N N N N N N MOSAIC SOLAR LOAN TRUST 2022-1A N/A 61946QAA9 658501.510000 PA USD 579635.680000 0.195122 Long ABS-O CORP US N 2 2053-01-20 Fixed 2.64 N N N N N N FNMA PASS THRU POOLS N/A 31418ATF5 29734.720000 PA USD 29178.050000 0.0098221 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 3 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AFZ3 2714.480000 PA USD 2032.960000 0.0006844 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.26129 N N N N N N N/A N/A 000000000 1.000000 NC USD -6904.000000 -0.0023241 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -7162.620000 USD 300000.000000 USD 258.620000 N N N FORD CREDIT AUTO OWNER TRUST 2023-REV1 N/A 34535QAA3 500000.000000 PA USD 509792.500000 0.17161 Long ABS-O CORP US N 2 2035-08-15 Fixed 4.85 N N N N N N FNMA PASS THRU POOLS N/A 31410FUB9 92890.440000 PA USD 93697.590000 0.0315412 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 4.5 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -686.740000 -0.0002312 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/3.46500 10/30/24-10Y LCH 2034-10-30 0.000000 USD 0.000000 USD N/A USD N/A 3.460000 USD 2024-10-28 XXXX -40.740000 N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 1689.770000 PA USD 1303.240000 0.0004387 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.24999 N N N N N N N/A N/A 000000000 1.000000 NC USD 441.310000 0.0001486 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 435.930000 USD 0.000000 USD 100000.000000 USD 5.380000 N N N UMBS PASS THRU POOLS N/A 01F0526B3 2000000.000000 PA USD 2023315.200000 0.681105 Long ABS-MBS USGSE US N 2 2054-11-15 Fixed 5.5 N N N N N N N/A N/A 000000000 23100000.000000 PA USD 23100000.000000 7.77611 Long RA US N 2 Repurchase N 4.960000 2024-10-01 24766000.000000 USD 23520927.980000 USD UST N N N SEASONED LOANS STRUCTURED TRANSACTION TRUST SERIES 2023-1 N/A 35564CNN3 567140.900000 PA USD 561867.230000 0.18914 Long ABS-MBS MUN US N 2 2033-10-25 Fixed 3.25 N N N N N N CHESAPEAKE FUNDING II LLC 2024-1A N/A 165183DJ0 725917.770000 PA USD 723591.350000 0.243581 Long ABS-O CORP US N 2 2036-05-15 Floating 6.11207 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ N/A 38376RC95 452713.490000 PA USD 453899.960000 0.152795 Long ABS-MBS USGSE US N 2 2066-10-20 Floating 6.23652 N N N N N N CHASE AUTO OWNER TRUST 2024-1A N/A 16144BAB4 649555.540000 PA USD 652066.850000 0.219504 Long ABS-O CORP US N 2 2027-04-26 Fixed 5.48 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAM2 1600000.000000 PA USD 1614466.190000 0.543474 Long DBT CORP US N 2 2026-08-10 Floating 5.798 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KBX1 N/A 3137F4CZ3 249928.780000 PA USD 247178.960000 0.0832074 Long ABS-MBS USGSE US N 2 2026-01-25 Fixed 2.92 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02 N/A 38382YN82 498163.370000 PA USD 489761.350000 0.164867 Long ABS-MBS USGSE US N 2 2073-01-20 Floating 6.24541 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGK1 2217390.000000 PA USD 2140489.120000 0.720549 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N N/A N/A 000000000 1.000000 NC USD -17182.150000 -0.005784 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -27905.670000 USD 1100000.000000 USD 10723.520000 N N N N/A N/A 000000000 -200000.000000 NC USD -292.720000 -0.0000985 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/3.06300 10/23/24-10Y LCH 2034-10-23 0.000000 USD 0.000000 USD N/A USD N/A 3.060000 USD 2024-10-21 XXXX 302.280000 N N N FNMA PASS THRU POOLS N/A 31406BEX4 15423.590000 PA USD 15509.610000 0.005221 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.758 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 10937.550000 PA USD 10384.450000 0.0034957 Long ABS-MBS CORP US N 2 2032-03-25 Floating 6.0589 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBF4 900000.000000 PA USD 917838.840000 0.30897 Long DBT CORP US N 2 2026-04-30 Fixed 5.438 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -353.930000 -0.0001191 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.39500 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.400000 USD 2024-10-15 XXXX -18.930000 N N N STRUCTURED ASSET MTG INV INC 2004-AR8 N/A 86359LGG8 260878.910000 PA USD 255171.400000 0.0858978 Long ABS-MBS CORP US N 2 2035-05-19 Floating 5.8393 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 105171.310000 PA USD 97787.950000 0.0329182 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.59076 N N N N N N FNMA PASS THRU POOLS N/A 31374CPJ9 345896.800000 PA USD 336858.160000 0.113396 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 2.5 N N N N N N SBNA AUTO LEASE TRUST 2024-B N/A 78437VAA8 26409.420000 PA USD 26419.810000 0.0088936 Long ABS-O CORP US N 2 2025-05-20 Fixed 5.584 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14 N/A 38380QGA4 1124619.560000 PA USD 1150111.990000 0.38716 Long ABS-MBS USGSE US N 2 2070-08-20 Floating 6.71652 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZS4 18777.390000 PA USD 18017.170000 0.0060651 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.68785 N N N N N N UMBS PASS THRU POOLS N/A 01F0606B6 20100000.000000 PA USD 20543566.400000 6.91554 Long ABS-MBS USGSE US N 2 2054-11-15 Fixed 6 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 6029.380000 PA USD 5583.530000 0.0018796 Long ABS-MBS CORP US N 2 2042-06-25 Floating 6.52303 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 15940.680000 PA USD 15649.750000 0.0052681 Long ABS-MBS CORP US N 2 2045-10-25 Floating 5.54926 N N N N N N N/A N/A 000000000 1.000000 NC USD -6668.090000 -0.0022447 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -10527.270000 USD 400000.000000 USD 3859.180000 N N N FNMA PASS THRU POOLS N/A 31418X4C9 5399.910000 PA USD 5414.070000 0.0018225 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36225CB62 6668.470000 PA USD 6648.090000 0.0022379 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 4.875 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -548.080000 -0.0001845 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/3.46300 10/23/24-10Y LCH 2034-10-23 0.000000 USD 0.000000 USD N/A USD N/A 3.460000 USD 2024-10-21 XXXX 46.920000 N N N FNMA PASS THRU POOLS N/A 3140LLHW4 500000.000000 PA USD 507191.770000 0.170735 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 4.43 N N N N N N FNMA PASS THRU POOLS N/A 31402RLN7 158057.440000 PA USD 159430.580000 0.0536688 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 10956.060000 0.0036881 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-22 11553.720000 USD 0.000000 USD 400000.000000 USD -597.660000 N N N TOWD POINT HE TRUST 2021-HE1 N/A 89180DAA4 147278.070000 PA USD 142987.330000 0.0481335 Long ABS-MBS CORP US N 2 2063-02-25 Variable 0.918 N N N N N N N/A N/A 000000000 1.000000 NC USD -3624.870000 -0.0012202 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -6651.100000 USD 300000.000000 USD 3026.230000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08 N/A 38375UVD9 780113.020000 PA USD 778735.030000 0.262144 Long ABS-MBS USGSE US N 2 2065-03-20 Floating 6.06652 N N N N N N N/A N/A 000000000 931.000000 NC USD 438570.180000 0.147635 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-12-31 193898934.290000 USD 438570.180000 N N N ONE MARKET PLAZA TRUST 2017-1MKT N/A 68245HAA2 1314805.970000 PA USD 1201512.690000 0.404463 Long ABS-MBS CORP US N 2 2032-02-10 Fixed 3.6139 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11 N/A 38375UXM7 262301.540000 PA USD 262590.540000 0.0883953 Long ABS-MBS USGSE US N 2 2066-05-20 Floating 6.26652 N N N N N N N/A N/A 000000000 1.000000 NC USD 31443.380000 0.0105847 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-22 46984.590000 USD 0.000000 USD 1700000.000000 USD -15541.210000 N N N WAIKIKI BEACH HOTEL TRUST 2019-WBM N/A 93065PAA9 1250000.000000 PA USD 1239341.880000 0.417197 Long ABS-MBS CORP US N 2 2033-12-15 Floating 6.444 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEM3 2900000.000000 PA USD 2872878.500000 0.967091 Long DBT CORP US N 2 2026-02-18 Floating 2.63 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEM4 600000.000000 PA USD 605672.530000 0.203886 Long DBT CORP US N 2 2028-07-22 Floating 6.2139 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15 N/A 38380LA78 523284.910000 PA USD 525609.970000 0.176935 Long ABS-MBS USGSE US N 2 2069-09-20 Floating 6.36652 N N N N N N N/A N/A 000000000 1.000000 NC USD -1909.120000 -0.0006427 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -1999.340000 USD 100000.000000 USD 90.220000 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YDR7 1000000.000000 PA USD 1019535.980000 0.343204 Long DBT CORP US N 2 2027-03-15 Fixed 4.8 N N N N N N GNMA PASS THRU POOLS N/A 36179RFD6 67234.080000 PA USD 65889.700000 0.0221803 Long ABS-MBS USGSE US N 2 2030-06-20 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 38165.130000 0.0128475 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-11-04 39778.700000 USD 0.000000 USD 3700000.000000 USD -1613.570000 N N N N/A N/A 000000000 1.000000 NC USD -4402.820000 -0.0014821 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-07-12 0.000000 USD -4661.790000 USD 100000.000000 USD 258.970000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 2381566.000000 PA USD 2230965.080000 0.751005 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 25402.750000 PA USD 24122.290000 0.0081202 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.73272 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K730 N/A 3137FEUA6 1015720.480000 PA USD 1010486.880000 0.340158 Long ABS-MBS USGSE US N 2 2025-01-25 Fixed 3.59 N N N N N N CITIBANK CREDIT CARD ISSUANCE TRUST 2018-A5 N/A 17305EGP4 900000.000000 PA USD 903084.120000 0.304003 Long ABS-MBS CORP US N 2 2027-08-07 Floating 5.84248 N N N N N N GNMA PASS THRU POOLS N/A 36179Q5E7 55874.930000 PA USD 54724.820000 0.0184219 Long ABS-MBS USGSE US N 2 2030-03-20 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -6862.550000 -0.0023101 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-22 0.000000 USD -7208.430000 USD 300000.000000 USD 345.880000 N N N VMC FINANCE 2022-FL5 LLC N/A 91835BAA3 1209405.670000 PA USD 1203638.380000 0.405178 Long ABS-CBDO CORP US N 2 2039-02-18 Floating 7.24137 N N N N N N FNMA PASS THRU POOLS N/A 3140J5TD1 2029511.120000 PA USD 1929429.860000 0.6495 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 3.5 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134GW5R3 4400000.000000 PA USD 4245112.080000 1.42902 Long DBT USGSE US N 2 2025-10-27 Fixed 0.65 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24 N/A 38382YC92 496288.070000 PA USD 505422.650000 0.170139 Long ABS-MBS USGSE US N 2 2072-11-20 Floating 6.50541 N N N N N N N/A N/A 000000000 1.000000 NC USD 77680.020000 0.0261493 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-10-15 80880.360000 USD 0.000000 USD 6600000.000000 USD -3200.340000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAB3 551182.280000 PA USD 553811.530000 0.186429 Long ABS-O CORP US N 2 2055-02-16 Floating 6.79207 N N N N N N FHLMC PASS THRU POOLS N/A 3133C9XU2 888958.480000 PA USD 888738.700000 0.299174 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31416WH88 12978.430000 PA USD 13012.090000 0.0043802 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N CARMAX AUTO OWNER TRUST 2024-2 N/A 14319EAC0 500000.000000 PA USD 503420.700000 0.169465 Long ABS-O CORP US N 2 2027-05-17 Fixed 5.65 N N N N N N MF1 2022-FL9 LLC N/A 55285AAA5 892379.050000 PA USD 893789.010000 0.300874 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 7.11482 N N N N N N FNMA PASS THRU POOLS N/A 31417MYT4 33.310000 PA USD 33.220000 0.0000112 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 365304.000000 PA USD 358813.860000 0.120787 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC USD -1823.860000 -0.000614 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -1914.950000 USD 100000.000000 USD 91.090000 N N N FS RIALTO 2022-FL4 N/A 30326MAA3 791959.370000 PA USD 794929.220000 0.267595 Long ABS-CBDO CORP US N 2 2039-01-19 Floating 7.24341 N N N N N N FHLMC PASS THRU POOLS N/A 3132CXLV2 489800.680000 PA USD 472358.190000 0.159009 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15 N/A 38376R5Y8 413969.250000 PA USD 412687.480000 0.138922 Long ABS-MBS USGSE US N 2 2067-07-20 Floating 5.96652 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JB0 900000.000000 PA USD 912591.430000 0.307204 Long DBT CORP US N 2 2026-03-01 Fixed 5.35 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 5874.610000 PA USD 5487.330000 0.0018472 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.36926 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -259.260000 -0.0000873 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/3.04600 10/23/24-10Y LCH 2034-10-23 0.000000 USD 0.000000 USD N/A USD N/A 3.050000 USD 2024-10-21 XXXX 300.740000 N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A 585525FX1 224655.670000 PA USD 215472.980000 0.0725342 Long ABS-MBS CORP US N 2 2032-08-15 Floating 6.07099 N N N N N N N/A N/A 000000000 1.000000 NC USD -3626.230000 -0.0012207 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-21 0.000000 USD -3878.200000 USD 200000.000000 USD 251.970000 N N N GNMA PASS THRU POOLS N/A 36179RDA4 38023.710000 PA USD 37261.910000 0.0125434 Long ABS-MBS USGSE US N 2 2030-05-20 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -1510.420000 -0.0005084 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -1569.170000 USD 100000.000000 USD 58.750000 N N N N/A N/A 000000000 -100000.000000 NC USD -51.450000 -0.0000173 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.99500 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2024-10-15 XXXX 283.550000 N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A 55286TAB1 583891.550000 PA USD 587014.670000 0.197606 Long ABS-O CORP US N 2 2032-02-17 Fixed 5.59 N N N N N N READYCAP COMMERCIAL MORTGAGE TRUST 2021-FL7 N/A 75575WAA4 397397.440000 PA USD 396479.810000 0.133466 Long ABS-MBS CORP US N 2 2036-11-25 Floating 6.16926 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAA5 551182.280000 PA USD 537357.360000 0.18089 Long ABS-O CORP US N 2 2055-02-16 Fixed 3.94 N N N N N N HERTZ VEHICLE FINANCING LLC 2022-4A N/A 42806MBA6 900000.000000 PA USD 892131.030000 0.300316 Long ABS-O CORP US N 2 2026-09-25 Fixed 3.73 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGX3 5100000.000000 PA USD 5087419.930000 1.71257 Long DBT UST US N 2 2025-04-30 Fixed 3.875 N N N N N N FREDDIE MAC REMICS 5426 N/A 3137HCY22 367145.860000 PA USD 368177.580000 0.123939 Long ABS-MBS USGSE US N 2 2050-12-15 Floating 6.25116 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134GWJN7 8300000.000000 PA USD 8064993.390000 2.7149 Long DBT USGSE US N 2 2025-08-06 Fixed 0.68 N N N N N N FHLMC PASS THRU POOLS N/A 3132Y16L7 413022.560000 PA USD 402985.960000 0.135656 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACX3 1000000.000000 PA USD 1021099.490000 0.343731 Long DBT CORP US N 2 2027-03-19 Fixed 5.3 N N N N N N FREDDIE MAC 3309 N/A 31397GEP1 521253.300000 PA USD 58575.420000 0.0197181 Long ABS-MBS USGSE US N 2 2037-04-15 Floating 0.99345 N N N N N N FNMA PASS THRU POOLS N/A 3140Q7NA1 1258548.550000 PA USD 1176717.990000 0.396116 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCQ7 1000000.000000 PA USD 1003396.710000 0.337771 Long DBT CORP US N 2 2027-09-22 Floating 5.62864 N N N N N N N/A N/A 000000000 13200000.000000 NC USD 1.320000 0.0000004 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased 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/5.00000 10/15/24-1Y LCH 2025-10-15 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2024-10-10 XXXX -7918.680000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAC2 1000000.000000 PA USD 1007822.500000 0.339261 Long ABS-O CORP US N 2 2028-04-10 Fixed 5.42 N N N N N N FHLMC PASS THRU POOLS N/A 31329KQR8 222493.580000 PA USD 218895.420000 0.0736863 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 3.5 N N N N N N CHESAPEAKE FUNDING II LLC 2024-1A N/A 165183DE1 725917.770000 PA USD 734819.120000 0.247361 Long ABS-O CORP US N 2 2036-05-15 Fixed 5.52 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAH4 101377.890000 PA USD 37230.720000 0.0125329 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.22926 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -340.370000 -0.0001146 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/3.40000 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.400000 USD 2024-10-15 XXXX -5.370000 N N N CARMAX AUTO OWNER TRUST 2022-2 N/A 14317HAC5 406061.110000 PA USD 403319.340000 0.135769 Long ABS-O CORP US N 2 2027-02-16 Fixed 3.49 N N N N N N COMM 2019-521F MORTGAGE TRUST N/A 20048GAA4 900000.000000 PA USD 849600.000000 0.285999 Long ABS-MBS CORP US N 2 2034-06-15 Floating 6.14401 N N N N N N FNMA PASS THRU POOLS N/A 3138ENEW5 88956.120000 PA USD 91722.960000 0.0308765 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 7.023 N N N N N N ENTERPRISE FLEET FUNDING LLC 2022-4 N/A 29374GAB7 336666.960000 PA USD 339646.560000 0.114335 Long ABS-O CORP US N 2 2029-10-22 Fixed 5.76 N N N N N N FREDDIE MAC-3891 N/A 3137ADTZ0 280950.560000 PA USD 280258.070000 0.0943427 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 6.00655 N N N N N N NAVIENT STUDENT LOAN TRUST 2015-BA N/A 63939KAC3 422632.330000 PA USD 423800.490000 0.142663 Long ABS-O CORP US N 2 2040-07-16 Floating 6.66099 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAQ4 242438.000000 PA USD 237752.190000 0.080034 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N FNMA PASS THRU POOLS N/A 3138WVTL5 32311.490000 PA USD 31659.640000 0.0106575 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 3 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -382.350000 -0.0001287 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/3.38500 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.380000 USD 2024-10-15 XXXX -42.350000 N N N FHLMC PASS THRU POOLS N/A 3133C8AR6 2802295.460000 PA USD 2803774.680000 0.943829 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 524221.300000 0.176468 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-12-21 408265.470000 USD 0.000000 USD 4380000.000000 USD 115955.830000 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6F9 800000.000000 PA USD 820262.460000 0.276123 Long DBT CORP US N 2 2026-12-11 Fixed 5.254 N N N N N N N/A N/A 000000000 1.000000 NC USD 430.240000 0.0001448 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-10 409.100000 USD 0.000000 USD 50000.000000 USD 21.140000 N N N MERRILL LYNCH MORTGAGE INVS 2005-A2 N/A 59020USJ5 46726.320000 PA USD 44351.810000 0.0149301 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.51741 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2019-1 N/A 95001TAA3 539951.460000 PA USD 523900.270000 0.17636 Long ABS-MBS CORP US N 2 2048-11-25 Variable 3.92463 N N N N N N FNMA PASS THRU POOLS N/A 3140XPPX1 443307.570000 PA USD 437951.650000 0.147427 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31386C4H2 25168.060000 PA USD 25228.520000 0.0084926 Long ABS-MBS USGSE US N 2 2030-08-01 Floating 6.523 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 84.910000 PA USD 84.500000 0.0000284 Long ABS-MBS CORP US N 2 2033-02-25 Floating 6.37484 N N N N N N GNMA PASS THRU POOLS N/A 36202KVJ1 1237.600000 PA USD 1232.800000 0.000415 Long ABS-MBS USGSE US N 2 2025-10-20 Floating 3.75 N N N N N N FNMA PASS THRU POOLS N/A 31407MWT8 49313.230000 PA USD 49730.290000 0.0167406 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 6.897 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -618.340000 -0.0002082 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/3.44600 10/23/24-10Y LCH 2034-10-23 0.000000 USD 0.000000 USD N/A USD N/A 3.450000 USD 2024-10-21 XXXX -58.340000 N N N N/A N/A 000000000 -100000.000000 NC USD -353.930000 -0.0001191 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/3.39500 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.400000 USD 2024-10-15 XXXX -18.930000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H19 N/A 38383KCS9 307335.520000 PA USD 309535.060000 0.104198 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 6.24541 N N N N N N CSMC 2021-ADV TRUST N/A 12660WAA3 100000.000000 PA USD 90817.220000 0.0305716 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.61148 N N N N N N UMBS PASS THRU POOLS N/A 01F0406B8 -3900000.000000 PA USD -3748913.920000 -1.26199 Short ABS-MBS USGSE US N 2 2054-11-14 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20 N/A 38383KDE9 797199.350000 PA USD 802886.250000 0.270274 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 6.24541 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 4681.400000 PA USD 4724.710000 0.0015905 Long ABS-MBS CORP US N 2 2035-02-20 Floating 5.06638 N N N N N N FHLMC PASS THRU POOLS N/A 31292GNV4 94.490000 PA USD 94.630000 0.0000319 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 8.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -3759.860000 -0.0012657 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-06 0.000000 USD -3926.500000 USD 100000.000000 USD 166.640000 N N N ENTERPRISE FLEET FINANCING LLC 2022-1 N/A 29375JAB0 104535.570000 PA USD 104015.730000 0.0350146 Long ABS-O CORP US N 2 2028-01-20 Fixed 3.03 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 1144019.610000 PA USD 11139318.900000 3.74981 Long STIV RF US N 1 N N N N/A N/A 000000000 -200000.000000 NC USD -575.220000 -0.0001936 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/3.11500 10/30/24-10Y LCH 2034-10-30 0.000000 USD 0.000000 USD N/A USD N/A 3.120000 USD 2024-10-28 XXXX 70.780000 N N N N/A N/A 000000000 -100000.000000 NC USD -300.760000 -0.0001012 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/3.13100 10/29/24-10Y LCH 2034-10-29 0.000000 USD 0.000000 USD N/A USD N/A 3.130000 USD 2024-10-25 XXXX 12.240000 N N N N/A N/A 000000000 -100000.000000 NC USD -284.360000 -0.0000957 N/A DIR US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Written UBS AG BFM8T61CT2L1QCEMIK50 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.49500 10/30/24-10Y LCH 2034-10-30 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-10-28 XXXX 35.640000 N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A 31394JD87 250302.330000 PA USD 261608.610000 0.0880648 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 6.5 N N N N N N BCP TRUST 2021-330N N/A 05553BAA3 900000.000000 PA USD 836775.540000 0.281682 Long ABS-MBS CORP US N 2 2038-06-15 Floating 6.01048 N N N N N N FNMA PASS THRU POOLS N/A 3140QNS86 1475908.480000 PA USD 1326241.030000 0.44645 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N N/A N/A 000000000 201.000000 NC USD 43170.830000 0.0145325 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-12-31 22099793.020000 USD 43170.830000 N N N FNMA PASS THRU POOLS N/A 31402C4C3 500853.510000 PA USD 505205.730000 0.170066 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.5 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAB1 6228.260000 PA USD 2856.430000 0.0009616 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.02926 N N N N N N FNMA PASS THRU POOLS N/A 3140QNUC4 1469148.860000 PA USD 1320308.930000 0.444453 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H18 N/A 38376R6V3 1129585.600000 PA USD 1146667.650000 0.386 Long ABS-MBS USGSE US N 2 2067-09-20 Floating 6.11121 N N N N N N FNMA PASS THRU POOLS N/A 3140HVCG7 200000.000000 PA USD 192101.740000 0.0646668 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 2.08 N N N N N N BANK OF AMERICA AUTO TRUST 2023-1A N/A 06428AAB4 174881.660000 PA USD 175238.490000 0.0589902 Long ABS-O CORP US N 2 2026-05-15 Fixed 5.83 N N N N N N N/A N/A 000000000 1.000000 NC USD -58777.460000 -0.0197861 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-12-11 0.000000 USD -8456.690000 USD 3700000.000000 USD -50320.770000 N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HCM5 1100000.000000 PA USD 1087932.270000 0.366228 Long DBT CORP US N 2 2026-03-03 Floating 2.636 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST N/A 46652DAA3 900000.000000 PA USD 679688.460000 0.228802 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.56148 N N N N N N N/A N/A 000000000 1.000000 NC USD -3171.560000 -0.0010676 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-20 0.000000 USD -3439.180000 USD 200000.000000 USD 267.620000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H12 N/A 38382Y5K5 985748.230000 PA USD 997585.880000 0.335815 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 6.34541 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08 N/A 38375UUZ1 644391.110000 PA USD 643788.670000 0.216717 Long ABS-MBS USGSE US N 2 2065-03-20 Floating 6.09652 N N N N N N ONSLOW BAY MORTGAGE LOAN TRUST 2021-INV2 N/A 67114KAL1 819004.760000 PA USD 764716.210000 0.257425 Long ABS-MBS CORP US N 2 2051-10-25 Floating 5 N N N N N N FNMA PASS THRU POOLS N/A 31417DW33 237724.990000 PA USD 232353.040000 0.0782165 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AN94 17.440000 PA USD 17.480000 0.0000059 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWEJ8 8325417.830000 PA USD 8003013.440000 2.69404 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4 N N N N N N CRSNT TRUST 2021-MOON N/A 22877LAA5 1300000.000000 PA USD 1265517.370000 0.426009 Long ABS-MBS CORP US N 2 2036-04-15 Floating 6.03448 N N N N N N FNMA PASS THRU POOLS N/A 3140QNGC0 2121430.220000 PA USD 1909348.440000 0.64274 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 56979.620000 PA USD 59360.870000 0.0199825 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 7.011 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2A N/A 78397XAB0 949899.400000 PA USD 954990.200000 0.321476 Long ABS-O CORP US N 2 2027-10-20 Fixed 5.71 N N N N N N FANNIE MAE 2003-21 N/A 31392JW96 2381.000000 PA USD 2345.300000 0.0007895 Long ABS-MBS USGSE US N 2 2033-01-25 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132Y16V5 549250.530000 PA USD 536104.010000 0.180468 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WEJ6 800000.000000 PA USD 802556.630000 0.270163 Long DBT CORP US N 2 2025-05-23 Fixed 5 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -26.800000 -0.000009 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.97500 10/15/24-10Y LCH 2034-10-15 0.000000 USD 0.000000 USD N/A USD N/A 2.980000 USD 2024-10-10 XXXX 329.450000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4 N/A 802919AB6 1000000.000000 PA USD 1002529.200000 0.337479 Long ABS-O CORP US N 2 2027-07-15 Fixed 5.41 N N N N N N FHLMC PASS THRU POOLS N/A 3128PXXM3 14881.990000 PA USD 14671.630000 0.0049389 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N N/A N/A 000000000 -173.000000 NC USD -46242.180000 -0.0155664 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-12-19 -19785523.520000 USD -46242.180000 N N N FREDDIE MAC REMICS 5345 N/A 3137HAQS8 405604.190000 PA USD 406941.020000 0.136988 Long ABS-MBS USGSE US N 2 2047-01-25 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202KS30 303.760000 PA USD 302.770000 0.0001019 Long ABS-MBS USGSE US N 2 2025-06-20 Floating 4.875 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -0.010000 0 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/3.56000 10/02/24-10Y LCH 2034-10-02 0.000000 USD 0.000000 USD N/A USD N/A 3.560000 USD 2024-09-30 XXXX 392.490000 N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4P8 134196.100000 PA USD 130756.560000 0.0440163 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.0963 N N N N N N N/A N/A 000000000 1.000000 NC USD 679.980000 0.0002289 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 685.470000 USD 0.000000 USD 100000.000000 USD -5.490000 N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 180945.720000 PA USD 172776.150000 0.0581613 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 6.32303 N N N N N N SYNCHRONY CARD ISSUANCE TRUST 2023-A2 N/A 87166PAL5 1000000.000000 PA USD 1029726.300000 0.346635 Long ABS-MBS CORP US N 2 2029-10-15 Fixed 5.74 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24 N/A 38382YC27 603994.440000 PA USD 615671.830000 0.207252 Long ABS-MBS USGSE US N 2 2072-11-20 Floating 6.51541 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -51.450000 -0.0000173 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/2.99500 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2024-10-15 XXXX 283.550000 N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 89236TMJ1 300000.000000 PA USD 303370.110000 0.102123 Long DBT CORP US N 2 2026-08-07 Fixed 4.55 N N N N N N FNMA PASS THRU POOLS N/A 31402RN62 2721.520000 PA USD 2761.050000 0.0009294 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.953 N N N N N N FNMA PASS THRU POOLS N/A 3140HNZC9 306152.880000 PA USD 300462.050000 0.101144 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36225CCN4 4034.420000 PA USD 4021.600000 0.0013538 Long ABS-MBS USGSE US N 2 2027-05-20 Floating 4.875 N N N N N N DROP MORTGAGE TRUST 2021-FILE N/A 26210YAA4 1100000.000000 PA USD 1043338.450000 0.351217 Long ABS-MBS CORP US N 2 2043-10-15 Floating 6.36148 N N N N N N BBCMS TRUST 2022-C15 N/A 05552FBA4 1700000.000000 PA USD 1588625.010000 0.534776 Long ABS-MBS CORP US N 2 2055-04-15 Variable 3.662 N N N N N N N/A N/A 000000000 1.000000 NC USD -3860.030000 -0.0012994 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -6863.710000 USD 300000.000000 USD 3003.680000 N N N METROPOLITAN LIFE GLOBAL FUNDING I 635400MMSOCXNNNZDZ82 59217GEJ4 1300000.000000 PA USD 1267665.710000 0.426732 Long DBT CORP US N 2 2025-07-02 Fixed 0.95 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAA1 1900000.000000 PA USD 1813981.680000 0.610637 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.36148 N N N N N N ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2 N/A 67114WAA9 746569.860000 PA USD 655220.090000 0.220565 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGG0 4800000.000000 PA USD 4792068.910000 1.61314 Long DBT UST US N 2 2025-01-31 Fixed 4.125 N N N N N N FREDDIE MAC REMICS 4779 N/A 3137F4BX9 238112.580000 PA USD 241333.050000 0.0812395 Long ABS-MBS USGSE US N 2 2044-07-15 Floating 5.81564 N N N N N N LAD AUTO RECEIVABLES TRUST 2022-1A N/A 501687AA5 267638.190000 PA USD 268071.920000 0.0902405 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.21 N N N N N N PRICOA GLOBAL FUNDING I 635400IBXEBMD9ADYA79 74153WCR8 900000.000000 PA USD 898284.260000 0.302388 Long DBT CORP US N 2 2025-08-28 Fixed 4.2 N N N N N N FREDDIE MAC REMICS 4678 N/A 3137BWWX8 293880.110000 PA USD 290764.860000 0.0978796 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 5.86564 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 92281.690000 PA USD 88360.020000 0.0297445 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.20206 N N N N N N FNMA PASS THRU POOLS N/A 3140Q7XY8 1521702.500000 PA USD 1423701.070000 0.479258 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0226A8 900000.000000 PA USD 776988.770000 0.261556 Long ABS-MBS USGSE US N 2 2054-10-15 Fixed 2.5 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -324.070000 -0.0001091 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/3.13500 10/30/24-10Y LCH 2034-10-30 0.000000 USD 0.000000 USD N/A USD N/A 3.130000 USD 2024-10-28 XXXX 3.430000 N N N FANNIE MAE REMICS 2009-115 N/A 31398GMG1 570075.660000 PA USD 60877.920000 0.0204932 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 0.8554 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3 N/A 36263TAB8 790772.370000 PA USD 669509.320000 0.225376 Long ABS-MBS CORP US N 2 2052-04-25 Variable 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -7671.260000 -0.0025824 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-02-23 3604.830000 USD 0.000000 USD 900000.000000 USD -11276.090000 N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NV1 17417.120000 PA USD 17558.160000 0.0059106 Long ABS-MBS CORP US N 2 2035-04-25 Floating 6.98862 N N N N N N N/A N/A 000000000 37900000.000000 NC USD 4790.560000 0.0016126 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 07/10/25-1Y LCH 2026-07-10 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-07-08 XXXX -40689.440000 N N N GNMA PASS THRU POOLS N/A 36202KVB8 5965.930000 PA USD 5943.360000 0.0020007 Long ABS-MBS USGSE US N 2 2025-10-20 Floating 3.75 N N N N N N FNMA PASS THRU POOLS N/A 3140HRQB2 600000.000000 PA USD 593828.590000 0.199899 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 3.59 N N N N N N FNMA PASS THRU POOLS N/A 3140MJ6N0 5871385.030000 PA USD 5282268.340000 1.77816 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -12870.880000 -0.0043327 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -13287.950000 USD 500000.000000 USD 417.070000 N N N FANNIE MAE 2000-34 N/A 31358SSV4 6380.700000 PA USD 6258.340000 0.0021067 Long ABS-MBS USGSE US N 2 2030-10-25 Floating 5.8446 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A 38382Y5C3 1078386.060000 PA USD 1097733.170000 0.369528 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 6.44541 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 10866.940000 PA USD 4961.980000 0.0016703 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.08926 N N N N N N N/A N/A 000000000 1.000000 NC USD 1649.300000 0.0005552 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 1659.300000 USD 0.000000 USD 200000.000000 USD -10.000000 N N N HSI ASSET LOAN OBLIGATION 2007-WF1 N/A 40431KAA8 70677.060000 PA USD 20870.580000 0.0070256 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.08926 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H15 N/A 38376RWY8 171118.250000 PA USD 171299.050000 0.0576641 Long ABS-MBS USGSE US N 2 2066-07-20 Floating 6.26652 N N N N N N ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM N/A 04965JAA1 793301.000000 PA USD 773966.990000 0.260539 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.324 N N N N N N N/A N/A 000000000 1.000000 NC USD -4808.320000 -0.0016186 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -9970.750000 USD 500000.000000 USD 5162.430000 N N N GNMA PASS THRU POOLS N/A 36179T7L3 904258.480000 PA USD 904556.080000 0.304499 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31391XDM8 62305.430000 PA USD 62805.760000 0.0211422 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 6.373 N N N N N N N/A N/A 000000000 1.000000 NC USD -554.030000 -0.0001865 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-02-22 4166.550000 USD 0.000000 USD 400000.000000 USD -4720.580000 N N N FNMA PASS THRU POOLS N/A 3140MJ6Y6 1561897.820000 PA USD 1403505.610000 0.472459 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -10995.100000 -0.0037013 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -11431.360000 USD 500000.000000 USD 436.260000 N N N FHLMC PASS THRU POOLS N/A 3128QJ4L7 9388.830000 PA USD 9519.170000 0.0032044 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 7.456 N N N N N N UMBS PASS THRU POOLS N/A 01F0506B7 16000000.000000 PA USD 15993125.120000 5.38373 Long ABS-MBS USGSE US N 2 2054-11-14 Fixed 5 N N N N N N BDS 2022-FL11 LLC N/A 054980AA5 1608169.680000 PA USD 1612222.270000 0.542719 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 6.76482 N N N N N N N/A N/A 000000000 1.000000 NC USD 350190.900000 0.117884 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-07-10 354982.700000 USD 0.000000 USD 19000000.000000 USD -4791.800000 N N N N/A N/A 000000000 1.000000 NC USD -89342.110000 -0.0300751 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-02-18 0.000000 USD -88466.690000 USD 1300000.000000 USD -875.420000 N N N N/A N/A 000000000 1.000000 NC USD -12325.310000 -0.004149 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -13020.920000 USD 400000.000000 USD 695.610000 N N N HHT-2019-MAUI N/A 41975AAA0 1300000.000000 PA USD 1298346.400000 0.43706 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.54401 N N N N N N AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST N/A 02376UAA3 929115.160000 PA USD 897220.310000 0.30203 Long DBT CORP US N 2 2029-07-15 Fixed 3.575 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -297.020000 -0.0001 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/3.48100 10/29/24-10Y LCH 2034-10-29 0.000000 USD 0.000000 USD N/A USD N/A 3.480000 USD 2024-10-25 XXXX 15.980000 N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C21 N/A 61764XBH7 1443224.240000 PA USD 1437462.170000 0.48389 Long ABS-MBS CORP US N 2 2048-03-15 Fixed 3.077 N N N N N N COMM 2021-2400 MORTGAGE TRUST N/A 20048FAA6 739870.070000 PA USD 707401.320000 0.238131 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.51148 N N N N N N N/A N/A 000000000 1.000000 NC USD -4225.390000 -0.0014224 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-05 0.000000 USD -4388.080000 USD 100000.000000 USD 162.690000 N N N N/A N/A 000000000 -30800000.000000 NC USD -152198.200000 -0.0512342 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/3.25000 08/05/25-1Y LCH 2026-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2025-08-01 XXXX -35158.200000 N N N STONEPEAK 2021-1 ABS N/A 78433XAA8 447488.510000 PA USD 426404.460000 0.14354 Long ABS-O CORP US N 2 2033-02-28 Fixed 2.301 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11 N/A 38375UWT3 549960.440000 PA USD 550900.930000 0.185449 Long ABS-MBS USGSE US N 2 2066-04-20 Floating 6.31652 N N N N N N N/A N/A 000000000 1.000000 NC USD -9933.410000 -0.0033439 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-07 0.000000 USD -10669.760000 USD 400000.000000 USD 736.350000 N N N FNMA PASS THRU POOLS N/A 3140HTEQ8 600000.000000 PA USD 590794.160000 0.198878 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 3.15 N N N N N N GS MORTGAGE SECURITIES TRUST 2015-GC28 N/A 36251FAX4 40248.020000 PA USD 40191.140000 0.0135295 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.206 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -47.160000 -0.0000159 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/2.98500 10/17/24-10Y LCH 2034-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.980000 USD 2024-10-15 XXXX 292.840000 N N N BBCMS TRUST 2018-CBM N/A 05549RAA5 900000.000000 PA USD 892254.780000 0.300358 Long ABS-MBS CORP US N 2 2037-07-15 Floating 6.39401 N N N N N N ENTERPRISE FLEET FINANCING LLC 2022-3 N/A 29374FAB9 852304.430000 PA USD 850599.390000 0.286336 Long ABS-O CORP US N 2 2029-07-20 Fixed 4.38 N N N N N N FNMA PASS THRU POOLS N/A 31418AET1 11621.140000 PA USD 11443.230000 0.0038521 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17 N/A 38376REV4 80401.640000 PA USD 80298.950000 0.0270309 Long ABS-MBS USGSE US N 2 2065-06-20 Floating 5.9064 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-2 N/A 379931AC2 800000.000000 PA USD 800649.280000 0.269521 Long ABS-O CORP US N 2 2027-03-16 Floating 5.73207 N N N N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A 647622AA7 900000.000000 PA USD 886338.180000 0.298366 Long ABS-MBS CORP US N 2 2032-04-15 Floating 6.13271 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHB0 40200000.000000 PA USD 40141113.430000 13.5126 Long DBT UST US N 2 2026-05-15 Fixed 3.625 N N N N N N GNMA PASS THRU POOLS N/A 36202KTR6 1073.800000 PA USD 1072.620000 0.0003611 Long ABS-MBS USGSE US N 2 2025-07-20 Floating 3.625 N N N N N N FNMA PASS THRU POOLS N/A 31412RB63 693.860000 PA USD 695.640000 0.0002342 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31402R4F3 63361.100000 PA USD 63873.080000 0.0215015 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.5 N N N N N N ASSET BACK SEC CORP HM EQ LN TR 2002-HE1 N/A 04541GCG5 29482.750000 PA USD 30282.650000 0.010194 Long ABS-MBS CORP US N 2 2032-03-15 Floating 6.86099 N N N N N N FCCU AUTO RECEIVABLES TRUST 2024-1 N/A 30336CAC9 700000.000000 PA USD 705210.800000 0.237394 Long ABS-O CORP US N 2 2027-11-15 Fixed 5.76 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 15138516.000000 PA USD 14953012.410000 5.0336 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3L5 800000.000000 PA USD 826206.100000 0.278124 Long DBT CORP US N 2 2028-04-22 Floating 5.707 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BKN1 1450000.000000 PA USD 1445595.150000 0.486628 Long DBT CORP US N 2 2024-10-22 None 0 N N N N N N 2024-11-25 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer