NPORT-P false 0000810893 XXXXXXXX S000009844 C000027272 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO ABS and Short-Term Investments Portfolio S000009844 TQNOV3FW01CZTFL8YK48 2025-03-31 2024-12-31 N 15471977937.430000 8473805569.910000 6998172367.520000 0.000000 0.000000 20962079.830000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 22300000.000000 0.000000 0.000000 39243330.350000 USD N N/A N/A 000000000 1.000000 NC USD -65023.540000 -0.0009292 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-02 0.000000 USD -4717.500000 USD 1700000.000000 USD -60306.040000 N N N MARATHON CLO 14 LTD N/A 56578HAU0 7400000.000000 PA USD 7409039.540000 0.105871 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 5.9974 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2021-A N/A 19424KAB9 7181193.660000 PA USD 6452776.460000 0.0922066 Long ABS-O CORP US N 2 2051-07-25 Fixed 1.6 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR9 N/A 45660LMZ9 847852.320000 PA USD 765515.770000 0.0109388 Long ABS-MBS CORP US N 2 2035-07-25 Variable 3.85885 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H21 N/A 38375UAL4 50593.250000 PA USD 50727.400000 0.0007249 Long ABS-MBS USGSE US N 2 2063-09-20 Floating 5.51648 N N N N N N N/A N/A 000000000 1.000000 NC USD 1321694.070000 0.0188863 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-12-20 849511.950000 USD 0.000000 USD 30600000.000000 USD 472182.120000 N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 77193.560000 PA USD 73572.850000 0.0010513 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.19322 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A N/A 36270YAE2 1000000.000000 PA USD 1000862.200000 0.0143018 Long ABS-O CORP US N 2 2028-07-17 Fixed 4.75 N N N N N N MERRILL LYNCH FIRST FRANKLIN MORTGAGE LOAN TRUST 2007-3 N/A 59024VAB5 1358459.880000 PA USD 1357163.370000 0.0193931 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.71322 N N N N N N FANNIE MAE 2001-61 N/A 313921R26 651.620000 PA USD 651.630000 0.0000093 Long ABS-MBS USGSE US N 2 2031-11-18 Floating 5.31471 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-1 N/A 41161PA86 5194083.810000 PA USD 4634348.560000 0.0662223 Long ABS-MBS CORP US N 2 2036-03-19 Floating 4.96083 N N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-1A N/A 16678RAV9 219073.470000 PA USD 201309.480000 0.0028766 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.1102 N N N N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A 55286TAB1 3563867.770000 PA USD 3580611.530000 0.051165 Long ABS-O CORP US N 2 2032-02-17 Fixed 5.59 N N N N N N NOMURA ASSET ACCEPT CORP 2006-AF1 N/A 65536PAC4 202180.070000 PA USD 35722.000000 0.0005104 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.159 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-14 N/A 12667GBZ5 91017.260000 PA USD 74692.610000 0.0010673 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.01688 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2006-1 N/A 68389FKR4 25000000.000000 PA USD 23276270.000000 0.332605 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.99322 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3 N/A 161927AC2 6129108.860000 PA USD 5431708.210000 0.0776161 Long ABS-MBS CORP US N 2 2063-09-25 Variable 3.25 N N N N N N BANK OF AMERICA MTGE SEC 2003-H N/A 05948XTN1 369445.840000 PA USD 311980.280000 0.004458 Long ABS-MBS CORP US N 2 2033-09-25 Floating 6.5302 N N N N N N N/A N/A 000000000 1.000000 NC USD -624838.350000 -0.0089286 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-01-18 0.000000 USD -17650.440000 USD 10200000.000000 USD -607187.910000 N N N MADISON PARK FUNDING XXVII LTD 2018-27A N/A 55820YAA5 1032962.950000 PA USD 1034300.110000 0.0147796 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 5.90901 N N N N N N BX TRUST 2019-OC11 N/A 05606FAA1 2726000.000000 PA USD 2465048.470000 0.0352242 Long ABS-MBS CORP US N 2 2041-12-09 Fixed 3.202 N N N N N N ANCHORAGE CAPITAL CLO LTD 2018-10A N/A 03331JAQ5 20187413.800000 PA USD 20217857.230000 0.288902 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 5.7559 N N N N N N JP MORGAN MORTGAGE TRUST 2006-S3 N/A 46629AAT8 31809.480000 PA USD 12846.970000 0.0001836 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 7.7 N N N N N N N/A N/A 000000000 1.000000 NC USD 832010.320000 0.011889 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 33800000.000000 USD 832010.320000 N N N PRPM 2024-NQM2 TRUST N/A 74448PAA7 19575431.170000 PA USD 19757196.880000 0.282319 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.327 N N N N N N IMPAC SECURED ASSETS CORP 2006-1 N/A 45254TTN4 10977.880000 PA USD 9932.170000 0.0001419 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.15322 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-MS9 N/A 939336P31 111738.260000 PA USD 39744.010000 0.0005679 Long ABS-MBS CORP US N 2 2033-04-25 Variable 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36225CM45 6120.600000 PA USD 6131.010000 0.0000876 Long ABS-MBS USGSE US N 2 2030-02-20 Floating 4.625 N N N N N N PRKCM 2023-AFC4 TRUST N/A 69380GAA7 1230456.230000 PA USD 1254669.270000 0.0179285 Long ABS-MBS CORP US N 2 2058-11-25 Fixed 7.225 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL1 N/A 52475PAA9 65675.400000 PA USD 65799.420000 0.0009402 Long ABS-MBS CORP US N 2 2060-09-25 Variable 4.991 N N N N N N UMBS PASS THRU POOLS N/A 01F040628 70450000.000000 PA USD 64417954.760000 0.920497 Long ABS-MBS USGSE US N 2 2055-02-13 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 3.440000 0 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 0.000000 USD -591.730000 USD 25316.790000 USD 595.170000 N N N GSAMP TRUST 2005-WMC1 N/A 362341PU7 5502260.360000 PA USD 5395760.260000 0.0771024 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.18822 N N N N N N COUNTRYWIDE HOME LOANS 2005-7 N/A 12669GNP2 17558.490000 PA USD 15311.030000 0.0002188 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.07322 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2004-J6 N/A 12667FRG2 13425.350000 PA USD 13626.130000 0.0001947 Long ABS-MBS CORP US N 2 2031-11-25 Fixed 6.5 N N N N N N INDYMAC INDEX MORTGAGE LOAN TRUST 2005-AR35 N/A 45660L2H1 2926245.110000 PA USD 2075809.810000 0.0296622 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.66386 N N N N N N FNMA PASS THRU POOLS N/A 3140JANZ7 983179.380000 PA USD 882780.260000 0.0126144 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N PREFERRED TERM SECURITIES XXI LTD / PREFERRED TERM SECURITIES XXI INC N/A 74042JAA1 17425338.980000 PA USD 16684762.070000 0.238416 Long DBT CORP KY N 2 2038-03-22 Floating 4.70857 N N N N N N HERTZ VEHICLE FINANCING LLC 2022-1A N/A 42806MAJ8 3000000.000000 PA USD 2977305.000000 0.042544 Long ABS-O CORP US N 2 2026-06-25 Fixed 1.99 N N N N N N FIRST FRANKLIN MTG LN ASSET BKD 2004-FF2 N/A 32027NHN4 1764933.010000 PA USD 1649626.230000 0.0235722 Long ABS-MBS CORP US N 2 2034-03-25 Floating 6.32822 N N N N N N WASHINGTON MUTUAL 2004-RP1 N/A 92922FYJ1 14717923.590000 PA USD 13607956.660000 0.19445 Long ABS-MBS CORP US N 2 2034-05-25 Floating 4.82322 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-8 N/A 22541NT58 4819.600000 PA USD 4711.100000 0.0000673 Long ABS-MBS CORP US N 2 2033-04-25 Fixed 5.75 N N N N N N OPEN TRUST 2023-AIR N/A 68373BAA9 3287391.130000 PA USD 3319843.930000 0.0474387 Long ABS-MBS CORP US N 2 2040-11-15 Floating 7.48618 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCBF0 2204.960000 PA USD 2233.020000 0.0000319 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.927 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2019-C N/A 83401CAB0 11469780.740000 PA USD 10947974.540000 0.156441 Long ABS-O CORP US N 2 2048-11-16 Fixed 2.37 N N N N N N FNMA PASS THRU POOLS N/A 31400XZG6 3355.470000 PA USD 3362.630000 0.0000481 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 7.008 N N N N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 023947AC8 4415126.520000 PA USD 4419877.640000 0.0631576 Long ABS-O CORP US N 2 2028-02-18 Floating 5.20293 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-C N/A 448976AD2 6900000.000000 PA USD 6875936.940000 0.0982533 Long ABS-O CORP US N 2 2029-05-15 Fixed 4.41 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-17 N/A 126670RE0 50400000.000000 PA USD 47507937.120000 0.678862 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.17322 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-14SL N/A 61749SAC0 548789.700000 PA USD 42257.850000 0.0006038 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.77322 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-14 N/A 12667GCC5 69270.560000 PA USD 57816.680000 0.0008262 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.95322 N N N N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 4639.940000 PA USD 4643.040000 0.0000663 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31400JYB9 7651.380000 PA USD 7687.880000 0.0001099 Long ABS-MBS USGSE US N 2 2033-02-01 Floating 6.309 N N N N N N MF1 2022-FL9 LLC N/A 55285AAA5 16356756.290000 PA USD 16382571.500000 0.234098 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 6.51635 N N N N N N FNMA PASS THRU POOLS N/A 31384V7K2 6636.570000 PA USD 6667.660000 0.0000953 Long ABS-MBS USGSE US N 2 2040-10-01 Floating 6.226 N N N N N N ANCHORAGE CAPITAL CLO 28 LTD N/A 03330RAA3 11800000.000000 PA USD 11884603.640000 0.169824 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 6.3174 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-6A LLC N/A 05377RHG2 1000000.000000 PA USD 1030358.400000 0.0147232 Long ABS-O CORP US N 2 2029-12-20 Fixed 5.81 N N N N N N JP MORGAN MORTGAGE TRUST 2024-10 N/A 46658LAX9 5945233.990000 PA USD 5960831.310000 0.085177 Long ABS-MBS CORP US N 2 2055-03-25 Floating 5.81879 N N N N N N BCAP LLC TRUST 2014-RR3 N/A 05544EAB7 3953955.280000 PA USD 3210983.750000 0.0458832 Long ABS-MBS CORP US N 2 2036-11-26 Variable 4.42421 N N N N N N CSMC 2022-RPL4 N/A 12663TAA7 5271727.760000 PA USD 4977219.530000 0.0711217 Long ABS-MBS CORP US N 2 2062-04-25 Variable 3.90435 N N N N N N FNMA PASS THRU POOLS N/A 3140MNN36 3576445.680000 PA USD 3044809.820000 0.0435086 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138YR4S4 11193.650000 PA USD 10412.750000 0.0001488 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2024-3 N/A 38012QAB4 3600000.000000 PA USD 3597215.400000 0.0514022 Long ABS-O CORP US N 2 2027-01-20 Fixed 4.29 N N N N N N FNMA PASS THRU POOLS N/A 3140E5TF1 51012.670000 PA USD 47390.220000 0.0006772 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL1 N/A 16159MAA4 3849219.260000 PA USD 3406469.740000 0.0486766 Long ABS-MBS CORP US N 2 2064-03-25 Variable 3.25 N N N N N N FHLMC PASS THRU POOLS N/A 3132WFDU0 61038.660000 PA USD 54878.990000 0.0007842 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.5 N N N N N N PRET 2024-NPL5 LLC N/A 74143QAA3 2171770.010000 PA USD 2154971.590000 0.0307933 Long ABS-MBS CORP US N 2 2054-09-25 Fixed 5.963 N N N N N N MOUNTAIN VIEW CLO LTD 2015-9A N/A 62432BAN3 731702.500000 PA USD 733058.520000 0.010475 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.03751 N N N N N N AFC HOME EQUITY LOAN TR 1998-2 N/A 00105HDM5 66134.960000 PA USD 65094.500000 0.0009302 Long ABS-MBS CORP US N 2 2028-06-25 Floating 5.05322 N N N N N N ACE SECURITIES CORP-2006-ASP5 N/A 004422AE1 14908592.210000 PA USD 5048346.000000 0.0721381 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.81322 N N N N N N LENDBUZZ SECURITIZATION TRUST 2024-3A N/A 52609YAB7 1900000.000000 PA USD 1900421.990000 0.027156 Long ABS-O CORP US N 2 2029-10-15 Fixed 4.97 N N N N N N CSMC 2021-RPL2 TRUST N/A 12656TAE8 3775397.000000 PA USD 2757240.760000 0.0393994 Long ABS-MBS CORP US N 2 2060-01-25 Variable 3.25 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-C N/A 448976AB6 4400000.000000 PA USD 4402937.880000 0.0629155 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.53 N N N N N N PENFED AUTO RECEIVABLES OWNER TRUST 2024-A N/A 70687FAC3 2500000.000000 PA USD 2498726.750000 0.0357054 Long ABS-O CORP US N 2 2029-06-15 Fixed 4.7 N N N N N N BANC OF AMERICA MORTGAGE SECURITIES 2003-K N/A 05948XZB0 23809.710000 PA USD 23176.180000 0.0003312 Long ABS-MBS CORP US N 2 2033-12-25 Floating 6.99653 N N N N N N CSMC SERIES 2011-6R N/A 12645QCY2 236627.150000 PA USD 215223.370000 0.0030754 Long ABS-MBS CORP US N 2 2037-04-28 Floating 4.38833 N N N N N N NAVIENT STUDENT LOAN TRUST 2020-IA N/A 63942AAA4 1232329.600000 PA USD 1116110.810000 0.0159486 Long ABS-O CORP US N 2 2069-04-15 Fixed 1.33 N N N N N N 522 FUNDING CLO 2020-6 LTD N/A 33835AAY5 2600000.000000 PA USD 2604446.000000 0.0372161 Long ABS-CBDO CORP KY N 2 2034-10-23 Floating 5.75833 N N N N N N DC COMMERCIAL MORTGAGE TRUST 2023-DC N/A 24023AAA8 1200000.000000 PA USD 1231609.680000 0.017599 Long ABS-MBS CORP US N 2 2040-09-12 Fixed 6.3143 N N N N N N FNMA PASS THRU POOLS N/A 31404YDZ2 5072.910000 PA USD 5090.800000 0.0000727 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 7.285 N N N N N N MASTR ASSET BACKED SEC TR 2005-NC1 N/A 57643LGG5 264059.540000 PA USD 261823.430000 0.0037413 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.95322 N N N N N N PRPM 2024-NQM1 TRUST N/A 693977AA8 868868.830000 PA USD 878762.290000 0.012557 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.265 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-B N/A 44934QAD3 52300000.000000 PA USD 52600463.500000 0.751631 Long ABS-O CORP US N 2 2029-03-15 Fixed 4.84 N N N N N N FNMA PASS THRU POOLS N/A 3140XLCS5 282211.290000 PA USD 264622.930000 0.0037813 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 4 N N N N N N ASSET BACKED SEC CORP HOME EQ 2005-HE8 N/A 04541GUQ3 16791740.940000 PA USD 16622016.740000 0.237519 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.15822 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2007-3 N/A 00703RAE0 300634.750000 PA USD 198532.790000 0.0028369 Long ABS-MBS CORP US N 2 2037-11-25 Floating 6.10601 N N N N N N COUNTRYWIDE HOME LOANS 2004-5 N/A 12669FXA6 1676604.040000 PA USD 1287709.700000 0.0184007 Long ABS-MBS CORP US N 2 2034-06-25 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XKQP8 595386.010000 PA USD 554307.660000 0.0079207 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 3 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 9910396.760000 PA USD 9440809.460000 0.134904 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAD1 6230050.030000 PA USD 5794993.800000 0.0828072 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.96083 N N N N N N INDYMAC HOME EQUITY LOAN 2004-A N/A 456606ER9 208816.090000 PA USD 200378.630000 0.0028633 Long ABS-MBS CORP US N 2 2034-07-25 Floating 6.47822 N N N N N N GNMA PASS THRU POOLS N/A 36179WQB7 530664.670000 PA USD 460977.510000 0.0065871 Long ABS-MBS USGSE US N 2 2051-10-20 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133BBF53 2148823.220000 PA USD 1830385.730000 0.0261552 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-3 N/A 542514NX8 15859076.780000 PA USD 13391591.570000 0.191358 Long ABS-MBS CORP US N 2 2045-08-25 Floating 5.15822 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 10872767.170000 PA USD 9111210.360000 0.130194 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.87322 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-3 N/A 38013KAB6 20000000.000000 PA USD 20097288.000000 0.287179 Long ABS-O CORP US N 2 2027-06-16 Fixed 5.35 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2006-3 N/A 00703QAH5 29822027.460000 PA USD 9412073.420000 0.134493 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.01322 N N N N N N OBX 2023-NQM9 TRUST N/A 673921AA0 3357512.180000 PA USD 3424195.060000 0.0489298 Long ABS-MBS CORP US N 2 2063-10-25 Fixed 7.159 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAA8 2829487.540000 PA USD 2826400.290000 0.0403877 Long ABS-O CORP US N 2 2047-12-26 Floating 5.65322 N N N N N N FNMA PASS THRU POOLS N/A 3140HDJF2 17064.590000 PA USD 15829.410000 0.0002262 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF4 N/A 863911AA1 188615.770000 PA USD 155530.090000 0.0022224 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.74322 N N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZM4 1334220.440000 PA USD 1003577.130000 0.0143406 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.30054 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37 N/A 17290XAU4 4937827.770000 PA USD 4895186.660000 0.0699495 Long ABS-MBS CORP US N 2 2049-04-10 Fixed 3.098 N N N N N N SACO I INC 1997-2 N/A 073919AK8 2052.400000 PA USD 1972.480000 0.0000282 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 7 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC4 N/A 61748LAD4 452402.170000 PA USD 380980.310000 0.005444 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.75322 N N N N N N WMALT MTGE PASS-THRU CERT 2005-3 N/A 9393365C3 1188086.530000 PA USD 1017236.480000 0.0145357 Long ABS-MBS CORP US N 2 2035-05-25 Fixed 5.5 N N N N N N N/A N/A 000000000 -748.000000 NC USD 2143837.650000 0.0306343 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-03-20 -85049937.500000 USD 2143837.650000 N N N RCKT MORTGAGE TRUST 2023-CES2 N/A 748956AA7 734797.560000 PA USD 744840.480000 0.0106434 Long ABS-MBS CORP US N 2 2043-09-25 Variable 6.808 N N N N N N N/A N/A 000000000 1.000000 NC USD 439508.520000 0.0062803 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-02-09 12024.960000 USD 0.000000 USD 3100000.000000 USD 427483.560000 N N N N/A N/A 000000000 1.000000 NC USD -820260.420000 -0.0117211 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-03-25 0.000000 USD -23661.250000 USD 11500000.000000 USD -796599.170000 N N N SEQUOIA MORTGAGE TRUST 5 N/A 81743WAA9 10097.960000 PA USD 9855.130000 0.0001408 Long ABS-MBS CORP US N 2 2026-10-19 Floating 5.18083 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAE6 19424214.380000 PA USD 8204343.340000 0.117236 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.79322 N N N N N N FREDDIE MAC 2344 N/A 3133994J3 2999.300000 PA USD 2986.880000 0.0000427 Long ABS-MBS USGSE US N 2 2031-08-15 Floating 5.26205 N N N N N N VERUS SECURITIZATION TRUST 2023-INV1 N/A 92539FAA1 1019730.220000 PA USD 1023047.500000 0.0146188 Long ABS-MBS CORP US N 2 2068-02-25 Fixed 5.999 N N N N N N FNMA PASS THRU POOLS N/A 3140N2RL7 302789.570000 PA USD 299325.910000 0.0042772 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 5.5 N N N N N N SLM STUDENT LOAN TRUST 2005-B N/A 78443CCB8 999606.380000 PA USD 963483.300000 0.0137676 Long ABS-O CORP US N 2 2039-06-15 Floating 4.95018 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 11292516.610000 PA USD 10099706.150000 0.144319 Long ABS-MBS CORP US N 2 2047-02-25 Floating 5.57522 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 3440245.210000 PA USD 3490619.690000 0.049879 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N FNMA PASS THRU POOLS N/A 31407X3X7 573.590000 PA USD 583.760000 0.0000083 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.515 N N N N N N GNMA PASS THRU POOLS N/A 36179XNB8 226254.940000 PA USD 196411.600000 0.0028066 Long ABS-MBS USGSE US N 2 2052-12-20 Fixed 3 N N N N N N COLT 2024-3 MORTGAGE LOAN TRUST N/A 19688VAA8 2413359.280000 PA USD 2437046.400000 0.034824 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.393 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A2 N/A 466278AF5 31473255.970000 PA USD 11537834.410000 0.164869 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.01322 N N N N N N PRPM 2024-NQM4 TRUST N/A 69381UAA5 4500000.000000 PA USD 4508325.450000 0.0644215 Long ABS-MBS CORP US N 2 2069-12-26 Fixed 5.674 N N N N N N N/A N/A 000000000 1.000000 NC USD -3938600.120000 -0.0562804 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-16 0.000000 USD -1300741.700000 USD 69500000.000000 USD -2637858.420000 N N N INDYMAC INDX MORTGAGE LOAN TR 2004-AR4 N/A 45660LEG0 6583.940000 PA USD 6479.310000 0.0000926 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.01322 N N N N N N FNMA PASS THRU POOLS N/A 3140MFXG3 168271.330000 PA USD 157377.440000 0.0022488 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 3 N N N N N N BEAR STEARNS ALT-A TRUST-2004-11 N/A 07386HMY4 197319.980000 PA USD 162473.590000 0.0023217 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.69844 N N N N N N 37 CAPITAL CLO 4 LTD 2023-2A N/A 883932AA3 5000000.000000 PA USD 5011537.200000 0.0716121 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 6.4559 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 7810200.350000 PA USD 7719945.670000 0.110314 Long ABS-MBS CORP US N 2 2038-11-15 Floating 5.976 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P4 N/A 14076LAD5 1800000.000000 PA USD 1792305.720000 0.0256111 Long ABS-O CORP US N 2 2030-12-10 Fixed 4.74 N N N N N N BEAR STEARNS ALT-A TR 2005-3 N/A 07386HSN2 11015.110000 PA USD 10671.860000 0.0001525 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.55624 N N N N N N BANC OF AMERICA FUNDING CORP 2006-6 N/A 05950RAA7 80161.490000 PA USD 65974.590000 0.0009427 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 5.75 N N N N N N IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1 N/A 45254TRN6 1170039.080000 PA USD 755483.940000 0.0107954 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.86691 N N N N N N FHLMC PASS THRU POOLS N/A 3133C5ZJ3 393958.180000 PA USD 380680.630000 0.0054397 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -268204.520000 -0.0038325 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-09-09 0.000000 USD -37022.500000 USD 5900000.000000 USD -231182.020000 N N N SALOMON BROTHERS MORTGAGE SECURITIES VII 1997-LB6 N/A 79548KYB8 340821.300000 PA USD 88747.310000 0.0012681 Long ABS-MBS CORP US N 2 2027-12-25 Fixed 7 N N N N N N BEAR STEARNS ASSETBACKED SEC 2001-3 N/A 07384YBM7 3888.270000 PA USD 3864.790000 0.0000552 Long ABS-MBS CORP US N 2 2032-10-27 Floating 5.25322 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-11 N/A 12666TAG1 20768.480000 PA USD 20744.260000 0.0002964 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.75322 N N N N N N AMERIQUEST MTGE SECURITIES INC 2005-R5 N/A 03072SE50 511059.050000 PA USD 506090.480000 0.0072318 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.39822 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAB9 1504.250000 PA USD 1469.150000 0.000021 Long ABS-MBS CORP US N 2 2027-10-20 Floating 5.24474 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 5759277.280000 PA USD 5771860.960000 0.0824767 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 5.77507 N N N N N N BEAR STEARNS ASSETBK SEC INC 2005-H N/A 073879PS1 2363972.270000 PA USD 2400353.330000 0.0342997 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.69822 N N N N N N FNMA PASS THRU POOLS N/A 3138WEB24 95259.760000 PA USD 86962.470000 0.0012426 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 475872.210000 0.0067999 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 22300000.000000 USD 475872.210000 N N N IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1 N/A 45254TRS5 871370.000000 PA USD 556649.280000 0.0079542 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.72322 N N N N N N N/A N/A 000000000 1.000000 NC USD 184.230000 0.0000026 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 LONG BEACH MORTGAGE LOAN TRUST 2003-3 LBMLT 2003-3 M3 TSFR1M+536.448BP Y Single Leg Swap 2033-07-25 0.000000 USD 0.000000 USD 56033.070000 USD 184.230000 N N N BANK OF AMERICA AUTO TRUST 2024-1A N/A 09709AAC6 1500000.000000 PA USD 1519285.950000 0.0217098 Long ABS-O CORP US N 2 2028-11-15 Fixed 5.35 N N N N N N VENTURE 44 CLO LTD N/A 92332KAQ4 800000.000000 PA USD 800000.000000 0.0114316 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.49138 N N N N N N N/A N/A 000000000 1.000000 NC USD 1047120.260000 0.0149628 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 42400000.000000 USD 1047120.260000 N N N N/A N/A 000000000 1.000000 NC USD -595476.330000 -0.008509 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-05-03 0.000000 USD -28046.250000 USD 8100000.000000 USD -567430.080000 N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T N/A 46652WAA1 18200000.000000 PA USD 16130370.620000 0.230494 Long ABS-MBS CORP US N 2 2042-03-05 Fixed 2.28704 N N N N N N SOUNDS POINT CLO IV-R LTD 2013-3RA N/A 83609YAC0 7394526.740000 PA USD 7409589.020000 0.105879 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 6.04396 N N N N N N LEHMAN XS TRUST 2005-5N N/A 86359DUM7 3643016.790000 PA USD 3596545.740000 0.0513926 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.81322 N N N N N N HILTON USA TRUST 2016-SFP N/A 43289VAA1 6500000.000000 PA USD 5079750.000000 0.0725868 Long ABS-MBS CORP US N 2 2035-11-05 Fixed 2.82844 N N N N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 401346.480000 PA USD 378642.830000 0.0054106 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.23322 N N N N N N NOVASTAR HOME EQUITY LOAN 2003-1 N/A 66987XCE3 411.980000 PA USD 402.350000 0.0000057 Long ABS-MBS CORP US N 2 2033-05-25 Floating 5.23322 N N N N N N FNMA PASS THRU POOLS N/A 31384VVZ2 1454.340000 PA USD 1531.840000 0.0000219 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 8.5 N N N N N N STRUCTURED ASSET MTGE INV 1998-2 N/A 073914F65 63173.050000 PA USD 342.270000 0.0000049 Long ABS-MBS CORP US N 2 2030-05-02 Fixed 6.75 N N N N N N FNMA PASS THRU POOLS N/A 31402RCB3 2930.320000 PA USD 2944.560000 0.0000421 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 6.55 N N N N N N FNMA PASS THRU POOLS N/A 31418ER93 844738.740000 PA USD 850530.240000 0.0121536 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36241L6M3 120070.100000 PA USD 116590.780000 0.001666 Long ABS-MBS USGSE US N 2 2041-12-20 Fixed 4.5 N N N N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-J3 N/A 125433AJ1 1047670.710000 PA USD 874692.730000 0.0124989 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 5.5 N N N N N N CENTEX HOME EQUITY 2005-B N/A 152314NF3 1412577.990000 PA USD 1352514.470000 0.0193267 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.47322 N N N N N N WAMMS MTG PASS THRU CERT 2002-AR3 N/A 939336KZ5 74998.530000 PA USD 73957.570000 0.0010568 Long ABS-MBS CORP US N 2 2032-12-25 Floating 6.70389 N N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 286489.660000 PA USD 274401.740000 0.003921 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.77322 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-3 N/A 41161QAM3 709638.160000 PA USD 289906.060000 0.0041426 Long ABS-MBS CORP US N 2 2036-06-19 Floating 4.22591 N N N N N N MP CLO VII LTD 2015-1A N/A 55320RAQ0 292180.970000 PA USD 292419.570000 0.0041785 Long ABS-CBDO CORP KY N 2 2028-10-18 Floating 5.78396 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-HE2 N/A 65536MAE7 7123904.310000 PA USD 6539295.350000 0.0934429 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.94822 N N N N N N GSMPS MORTGAGE LOAN TRUST 1998-1 N/A 36228FAA4 144135.370000 PA USD 138852.330000 0.0019841 Long ABS-MBS CORP US N 2 2027-09-19 Fixed 8 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2006-2 N/A 00437NAD4 352698.360000 PA USD 349569.930000 0.0049952 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.71322 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P4 N/A 14076LAC7 3000000.000000 PA USD 2995815.600000 0.0428085 Long ABS-O CORP US N 2 2030-01-10 Fixed 4.64 N N N N N N N/A N/A 000000000 1.000000 NC USD -19789.570000 -0.0002828 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A CMBX.NA.AAA.13 Y Single Leg Swap 2072-12-16 0.000000 USD -4563.650000 USD 11900000.000000 USD -15225.920000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAP5 53860808.870000 PA USD 20238818.330000 0.289202 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.58322 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2005-AR2 N/A 36185N6M7 5288.910000 PA USD 4874.810000 0.0000697 Long ABS-MBS CORP US N 2 2035-05-25 Floating 7.25 N N N N N N GREENPOINT MORTGAGE FUNDING TRUST 2005-HY1 N/A 39538WBF4 5061866.910000 PA USD 4645167.450000 0.0663769 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.33822 N N N N N N N/A N/A 000000000 1.000000 NC USD 52807.680000 0.0007546 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A CMBX.NA.AAA.9 Y Single Leg Swap 2058-09-17 0.000000 USD -5021604.850000 USD 81026162.350000 USD 5074412.530000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL92 1808924.040000 PA USD 1681600.570000 0.0240291 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.83575 N N N N N N RESIDENTIAL ASSET SEC CORP 2004-KS10 N/A 76110WG59 2653449.890000 PA USD 2674579.310000 0.0382183 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.40322 N N N N N N CDC MORTGAGE CAPITAL TRUST 2002-HE1 N/A 12506YAF6 425.870000 PA USD 425.270000 0.0000061 Long ABS-MBS CORP US N 2 2033-01-25 Floating 5.07322 N N N N N N VERUS SECURITIZATION TRUST 2023-INV3 N/A 92540CAA5 851707.500000 PA USD 864499.380000 0.0123532 Long ABS-MBS CORP US N 2 2068-11-25 Variable 6.876 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A N/A 64830KAA5 450449.780000 PA USD 435606.920000 0.0062246 Long ABS-MBS CORP US N 2 2058-05-25 Variable 4.5 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 12887892.810000 PA USD 6785915.040000 0.096967 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.75322 N N N N N N ING INVESTMENT MANAGEMENT CLO LTD 2012-4A N/A 92916GBE3 2891650.150000 PA USD 2896562.890000 0.0413903 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.91751 N N N N N N N/A N/A 000000000 1.000000 NC USD -909558.900000 -0.0129971 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-01-04 0.000000 USD -21192.700000 USD 14500000.000000 USD -888366.200000 N N N OBX 2024-HYB1 TRUST N/A 67448MAA8 3570631.630000 PA USD 3514901.930000 0.050226 Long ABS-MBS CORP US N 2 2053-03-25 Floating 3.62693 N N N N N N MOUNTAIN VIEW CLO XIV LTD 2019-1A N/A 62432MAN9 6300000.000000 PA USD 6309683.920000 0.0901619 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 6.07651 N N N N N N MILL CITY MORTGAGE TRUST 2015-2 N/A 599808BG6 76654.450000 PA USD 75790.430000 0.001083 Long ABS-MBS CORP US N 2 2057-09-25 Variable 3.73296 N N N N N N GSR MORTGAGE LOAN TRUST 2005-7F N/A 362341NJ4 2531712.860000 PA USD 2005659.890000 0.0286598 Long ABS-MBS CORP US N 2 2035-09-25 Variable 5.74231 N N N N N N FANNIE MAE 2001-62 N/A 31392ADL9 11848.300000 PA USD 11861.910000 0.0001695 Long ABS-MBS USGSE US N 2 2031-11-25 Floating 5.33327 N N N N N N FNMA PASS THRU POOLS N/A 3140EUEA3 282292.980000 PA USD 271742.010000 0.003883 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 3 N N N N N N APIDOS CLO XXII 2015-22A N/A 03765XAG1 995213.190000 PA USD 997065.840000 0.0142475 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 5.93901 N N N N N N PRPM 2024-RCF1 LLC N/A 693581AA8 863787.360000 PA USD 844018.460000 0.0120606 Long ABS-MBS CORP US N 2 2054-01-25 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31405UTZ2 899.310000 PA USD 904.110000 0.0000129 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.35 N N N N N N CSMC TRUST 2017-RPL1 N/A 22945AAC3 1000000.000000 PA USD 848922.100000 0.0121306 Long ABS-MBS CORP US N 2 2057-07-25 Variable 2.9783 N N N N N N FNMA PASS THRU POOLS N/A 3140J7P66 12742.750000 PA USD 11823.180000 0.0001689 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-C N/A 223920AA7 17771823.720000 PA USD 17875042.470000 0.255424 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.88 N N N N N N VERUS SECURITIZATION TRUST 2023-6 N/A 92539XAA2 7755692.020000 PA USD 7841031.000000 0.112044 Long ABS-MBS CORP US N 2 2068-09-25 Fixed 6.665 N N N N N N LAD AUTO RECEIVABLES TRUST 2024-2A N/A 505920AC2 1200000.000000 PA USD 1213530.960000 0.0173407 Long ABS-O CORP US N 2 2028-08-15 Fixed 5.61 N N N N N N BINOM SECURITIZATION TRUST 2022-INV1 N/A 090975AA1 7326701.720000 PA USD 6995565.570000 0.0999628 Long ABS-MBS CORP US N 2 2057-08-25 Variable 4.441 N N N N N N PALMER SQUARE LOAN FUNDING 2021-4 N/A 69702HAA6 1030763.740000 PA USD 1031786.260000 0.0147437 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 5.71751 N N N N N N FNMA PASS THRU POOLS N/A 3140FNCC6 16029.190000 PA USD 14796.180000 0.0002114 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N SCCU AUTO RECEIVABLES TRUST 2023-1A N/A 805922AG6 700000.000000 PA USD 712228.860000 0.0101774 Long ABS-O CORP US N 2 2029-08-15 Fixed 5.7 N N N N N N FNMA PASS THRU POOLS N/A 3140H56U0 1860.730000 PA USD 1728.600000 0.0000247 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N COUNTRYWIDE HOME LOANS 2001-HYB1 N/A 12669B2X9 955.530000 PA USD 937.930000 0.0000134 Long ABS-MBS CORP US N 2 2031-06-19 Floating 6.26736 N N N N N N AREIT TRUST 2023-CRE8 N/A 04002BAA3 3056490.540000 PA USD 3070147.700000 0.0438707 Long ABS-MBS CORP BM N 2 2041-08-17 Floating 6.49362 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGK1 18686.590000 PA USD 17913.840000 0.000256 Long ABS-MBS CORP US N 2 2034-02-25 Floating 7.2027 N N N N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST4 N/A 52608GAA9 516339.180000 PA USD 507047.500000 0.0072454 Long ABS-O CORP US N 2 2029-07-15 Fixed 5.7 N N N N N N N/A N/A 000000000 1.000000 NC USD 400886.880000 0.0057285 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 22300000.000000 USD 400886.880000 N N N SAXON ASSET SECURITIES TRUST 2005-3 N/A 805564SW2 758000.000000 PA USD 515836.890000 0.007371 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.42822 N N N N N N JP MORGAN MORTGAGE ACQ CORP 2007-HE1 N/A 46630KAU0 3507000.000000 PA USD 3297126.040000 0.0471141 Long ABS-MBS CORP US N 2 2047-03-25 Floating 4.73322 N N N N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-3 N/A 10805NAC9 12800000.000000 PA USD 12869570.560000 0.183899 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.34 N N N N N N MFA 2023-INV2 TRUST N/A 59319BAA5 1268266.830000 PA USD 1285914.510000 0.018375 Long ABS-MBS CORP US N 2 2058-10-25 Variable 6.775 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA2 N/A 02149LAA9 1775383.650000 PA USD 1497355.020000 0.0213964 Long ABS-MBS CORP US N 2 2047-03-25 Floating 5.66522 N N N N N N SYNCHRONY CARD ISSUANCE TRUST 2022-A1 N/A 87166PAG6 11500000.000000 PA USD 11457552.350000 0.163722 Long ABS-MBS CORP US N 2 2028-04-15 Fixed 3.37 N N N N N N BELLA VISTA MORTGAGE TRUST 2005-2 N/A 07820QCD5 1195576.600000 PA USD 776551.630000 0.0110965 Long ABS-MBS CORP US N 2 2045-05-20 Floating 4.98083 N N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA3 N/A 32051D6B3 189151.770000 PA USD 189105.900000 0.0027022 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.67804 N N N N N N REACH ABS TRUST 2024-2A N/A 75525HAA8 1007334.630000 PA USD 1012553.830000 0.0144688 Long ABS-O CORP US N 2 2031-07-15 Fixed 5.88 N N N N N N WSTN TRUST 2023-MAUI N/A 92943AAA2 4800000.000000 PA USD 4868871.840000 0.0695735 Long ABS-MBS CORP US N 2 2037-07-05 Variable 6.29674 N N N N N N FNMA PASS THRU POOLS N/A 3140H7ZB6 566252.580000 PA USD 508420.890000 0.0072651 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N LEHMAN XS TRUST 2006-GP3 N/A 525228AA0 4897165.880000 PA USD 4348850.290000 0.0621427 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.85322 N N N N N N N/A N/A 000000000 1.000000 NC USD 878508.530000 0.0125534 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 33500000.000000 USD 878508.530000 N N N N/A N/A 000000000 1.000000 NC USD -178462.550000 -0.0025501 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-03-06 0.000000 USD -8840.000000 USD 2600000.000000 USD -169622.550000 N N N RAD CLO LTD 2019 4A N/A 749984AA8 2739857.770000 PA USD 2745915.380000 0.0392376 Long ABS-CBDO CORP KY N 2 2032-04-25 Floating 5.85587 N N N N N N FNMA PASS THRU POOLS N/A 3138WD5R8 557246.970000 PA USD 500362.500000 0.0071499 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.5 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-SA1 N/A 74958WAF3 502457.960000 PA USD 434039.520000 0.0062022 Long ABS-MBS CORP US N 2 2037-02-25 Variable 5.94842 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-16IP N/A 45660LUD9 3058460.850000 PA USD 2384489.550000 0.034073 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.09322 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-7 N/A 12669VAE8 47529000.000000 PA USD 40486138.520000 0.578525 Long ABS-MBS CORP US N 2 2047-10-25 Floating 4.74322 N N N N N N N/A N/A 000000000 1.000000 NC USD -684837.930000 -0.009786 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-10-26 0.000000 USD -8367.890000 USD 4000000.000000 USD -676470.040000 N N N TCI-SYMPHONY CLO LTD 2016-1A N/A 87229WAQ4 9315784.450000 PA USD 9332368.690000 0.133354 Long ABS-CBDO CORP KY N 2 2032-10-13 Floating 5.93751 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-12 N/A 07384M6U1 309538.590000 PA USD 242906.420000 0.003471 Long ABS-MBS CORP US N 2 2035-02-25 Variable 4.66691 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAC8 500000.000000 PA USD 496711.050000 0.0070977 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.15 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN4 N/A 69359QAA2 989992.460000 PA USD 990210.360000 0.0141496 Long ABS-MBS CORP US N 2 2051-10-25 Variable 5.4871 N N N N N N REGATTA XV FUNDING LLC 2018 4A N/A 75888RAL3 7430326.250000 PA USD 7443398.500000 0.106362 Long ABS-CBDO CORP KY N 2 2031-10-25 Floating 5.82587 N N N N N N PORSCHE INNOVATIVE LEASE OWNER TRUST 2024-2A N/A 73328NAE1 3500000.000000 PA USD 3493722.400000 0.0499234 Long ABS-O CORP US N 2 2027-10-20 Fixed 4.35 N N N N N N BEAR STEARNS ALT-A TRUST 2003-6 N/A 07386HEL1 215506.290000 PA USD 201473.450000 0.0028789 Long ABS-MBS CORP US N 2 2034-01-25 Variable 5.61125 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTV3 4956.800000 PA USD 4756.590000 0.000068 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.03322 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-6 N/A 41161PFR9 48604.790000 PA USD 44666.880000 0.0006383 Long ABS-MBS CORP US N 2 2034-08-19 Floating 5.7386 N N N N N N COUNTRYWIDE HOME LOANS 2007-1 N/A 170255AA1 3062991.800000 PA USD 1328716.960000 0.0189866 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N VERDELITE STATIC CLO LTD 2024-1 N/A 92338VAA9 89363081.890000 PA USD 89516949.030000 1.27915 Long ABS-CBDO CORP JE N 2 2032-07-20 Floating 5.7474 N N N N N N PALMER SQUARE LOAN FUNDING 2021-3 N/A 69702BAA9 279138.730000 PA USD 279358.410000 0.0039919 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 5.67901 N N N N N N OBX 2023-NQM6 TRUST N/A 67117VAA8 1650620.010000 PA USD 1668197.460000 0.0238376 Long ABS-MBS CORP US N 2 2063-07-25 Variable 6.52 N N N N N N 37 CAPITAL CLO I 2021-1A N/A 88430TAQ4 2900000.000000 PA USD 2909654.250000 0.0415773 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.9359 N N N N N N RENAISSANCE HOME EQ LN TRUST 2002-4 N/A 759950AL2 7315.830000 PA USD 6774.810000 0.0000968 Long ABS-MBS CORP US N 2 2033-03-25 Floating 5.69322 N N N N N N FNMA PASS THRU POOLS N/A 31411EGB7 3094.460000 PA USD 3207.120000 0.0000458 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 6.701 N N N N N N LFT CRE 2021-FL1 LTD N/A 50203JAA6 437278.470000 PA USD 436590.360000 0.0062386 Long ABS-CBDO CORP KY N 2 2039-06-15 Floating 5.68157 N N N N N N N/A N/A 000000000 1.000000 NC USD 1501976.810000 0.0214624 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-12-18 249618.670000 USD 0.000000 USD 11800000.000000 USD 1252358.140000 N N N LONG BEACH MORTGAGE LOAN TR 2006-8 N/A 54251UAA4 1147760.700000 PA USD 723267.950000 0.0103351 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.75322 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR6 N/A 45660LGD5 81233.000000 PA USD 66215.830000 0.0009462 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.93322 N N N N N N COUNTRYWIDE ASSET-BACKED CERTI 2003-SD2 N/A 126671ZD1 113594.200000 PA USD 114981.210000 0.001643 Long ABS-MBS CORP US N 2 2032-09-25 Floating 5.45322 N N N N N N IXIS REAL ESTATE CAPITAL TRUST 2006-HE2 N/A 46602WAC8 21367989.440000 PA USD 5825700.260000 0.083246 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.77322 N N N N N N FHLMC PASS THRU POOLS N/A 31349T5E7 1325.730000 PA USD 1364.300000 0.0000195 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 6.52 N N N N N N N/A N/A 000000000 1.000000 NC USD 822604.930000 0.0117546 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 33700000.000000 USD 822604.930000 N N N MASTR ASSET BACKED SEC TRUST 2005-HE2 N/A 57643LKP0 1950000.000000 PA USD 1749146.690000 0.0249943 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.35322 N N N N N N JP MORGAN MORTGAGE TRUST 2024-9 N/A 46593DAX5 4284486.010000 PA USD 4299159.520000 0.0614326 Long ABS-MBS CORP US N 2 2055-02-25 Floating 5.91879 N N N N N N N/A N/A 000000000 1.000000 NC USD 25793076.490000 0.368569 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-06-23 0.000000 USD -525764.920000 USD 69000000.000000 USD 26318841.410000 N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1 N/A 17290YAR9 700000.000000 PA USD 683842.530000 0.0097717 Long ABS-MBS CORP US N 2 2049-05-10 Fixed 3.209 N N N N N N GNMA PASS THRU POOLS N/A 36202FSE7 60011.450000 PA USD 58264.530000 0.0008326 Long ABS-MBS USGSE US N 2 2041-04-20 Fixed 4.5 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 N/A 59982HAG5 8550000.000000 PA USD 7531635.150000 0.107623 Long ABS-MBS CORP US N 2 2060-11-25 Variable 1.85 N N N N N N SAXON ASSET SECURITIES TRUST 2007-3 N/A 80557BAA2 651803.110000 PA USD 620175.670000 0.008862 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.76322 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-3A N/A 96043CAB6 8700000.000000 PA USD 8714513.340000 0.124526 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.82 N N N N N N N/A N/A 000000000 1.000000 NC USD 18958.230000 0.0002709 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-06-20 0.000000 USD -3945.120000 USD 1100000.000000 USD 22903.350000 N N N GNMA PASS THRU POOLS N/A 36179YMH4 5337339.630000 PA USD 5049989.430000 0.0721615 Long ABS-MBS USGSE US N 2 2053-12-20 Fixed 4.5 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 4 LTD N/A 38137YBA8 16637773.830000 PA USD 16657971.260000 0.238033 Long ABS-CBDO CORP KY N 2 2031-04-24 Floating 5.78476 N N N N N N GSR MORTGAGE LOAN TRUST 2005-6F N/A 362341DV8 326891.730000 PA USD 281149.210000 0.0040175 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.95322 N N N N N N TESLA SUSTAINABLE ENERGY TRUST 2024-1A N/A 88164AAC8 600000.000000 PA USD 594412.500000 0.0084938 Long ABS-O CORP US N 2 2050-06-20 Fixed 5.29 N N N N N N PRPM 2023-RCF2 LLC N/A 69380RAA3 409232.180000 PA USD 400086.290000 0.005717 Long ABS-MBS CORP US N 2 2053-11-25 Fixed 4 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 670712.330000 PA USD 651331.160000 0.0093072 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.01322 N N N N N N CHL MORTGAGE PASS-THROUGH TRUST 2006-HYB1 2006-HYB1 N/A 126694WP9 3425516.720000 PA USD 2987779.530000 0.0426937 Long ABS-MBS CORP US N 2 2036-03-20 Variable 4.9524 N N N N N N SEQUOIA MORTGAGE TRUST 2005-1 N/A 81744FGM3 305202.270000 PA USD 279114.650000 0.0039884 Long ABS-MBS CORP US N 2 2035-02-20 Floating 4.94474 N N N N N N MASTR ASSET BACKED SECURITIES TRUST 2007-HE2 N/A 57646LAC7 11301000.000000 PA USD 8798522.380000 0.125726 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.55322 N N N N N N TRICON AMERICAN HOMES TRUST 2020-SFR1 N/A 89613GAB2 5280000.000000 PA USD 5048661.020000 0.0721426 Long ABS-MBS CORP US N 2 2038-07-17 Fixed 2.049 N N N N N N HONDA AUTO RECEIVABLES OWNER TRUST 2024-4 N/A 43816DAB1 12200000.000000 PA USD 12208364.320000 0.174451 Long ABS-O CORP US N 2 2027-03-15 Fixed 4.56 N N N N N N AMERIQUEST MTGE SECURITIES INC 2005-R8 N/A 03072SM36 11827050.030000 PA USD 11572939.950000 0.165371 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.32322 N N N N N N FHF ISSUER TRUST 2024-1A N/A 31568AAB2 2073269.510000 PA USD 2093868.270000 0.0299202 Long ABS-O CORP US N 2 2030-02-15 Fixed 5.69 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 4446725.550000 PA USD 4450583.080000 0.0635964 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 5.86748 N N N N N N SLM STUDENT LOAN TRUST 2003-7A N/A B018RFII0 10588129.090000 PA USD 10466867.480000 0.149566 Long ABS-O CORP US N 2 2033-12-15 Floating 6.2702 N N N N N N FIRST HORIZON ALT MTG SEC 2006-AA8 N/A 32052AAE7 1040865.920000 PA USD 709300.480000 0.0101355 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.98141 N N N N N N 280 PARK AVENUE 2017-280P MORTGAGE TRUST N/A 90205FAA8 1400000.000000 PA USD 1390416.860000 0.0198683 Long ABS-MBS CORP US N 2 2034-09-15 Floating 5.663 N N N N N N FHLMC PASS THRU POOLS N/A 31349SSF1 2797.660000 PA USD 2873.590000 0.0000411 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 6.797 N N N N N N WMALT MTGE PASS-THRU CERT 2005-4 N/A 9393366B4 100021.960000 PA USD 86872.050000 0.0012414 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.5 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2006-1 N/A 64352VQR5 62778.400000 PA USD 62448.640000 0.0008924 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.81322 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAE7 11615000.000000 PA USD 11880775.590000 0.16977 Long ABS-MBS CORP US N 2 2059-10-25 Floating 6.15322 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 68693.370000 PA USD 67067.310000 0.0009584 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.83 N N N N N N GREYWOLF CLO III LTD 2020-3RA N/A 39809CBA1 2700000.000000 PA USD 2700066.800000 0.0385825 Long ABS-CBDO CORP KY N 2 2033-04-22 Floating 6.74324 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-5 N/A 14311AAS1 6549055.030000 PA USD 6561240.070000 0.0937565 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.05751 N N N N N N FNMA PASS THRU POOLS N/A 3140FS4T7 34309.800000 PA USD 31833.870000 0.0004549 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N MORGAN STANLEY RESECURITIZATION TRUST 2014-R8 N/A 61764KAD5 11401366.710000 PA USD 10005078.950000 0.142967 Long ABS-MBS CORP US N 2 2047-06-26 Floating 3.25952 N N N N N N FNMA PASS THRU POOLS N/A 3140MMHM3 699893.090000 PA USD 657087.790000 0.0093894 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418CUB8 27080.380000 PA USD 25123.340000 0.000359 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N VERUS SECURITIZATION TRUST 2023-7 N/A 92539YAA0 4156030.650000 PA USD 4230334.660000 0.0604491 Long ABS-MBS CORP US N 2 2068-10-25 Fixed 7.07 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P2 N/A 14688PAB0 2307306.200000 PA USD 2318553.390000 0.0331308 Long ABS-O CORP US N 2 2027-11-10 Fixed 5.63 N N N N N N FNMA PASS THRU POOLS N/A 3140FACN0 54562.190000 PA USD 50671.350000 0.0007241 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4 N N N N N N HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-C N/A 44935VAD1 45300000.000000 PA USD 45708732.840000 0.653152 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC USD 32113035.190000 0.458877 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2051-06-16 12518833.000000 USD 0.000000 USD 65800000.000000 USD 19594202.190000 N N N ASSET BACKED FUNDING CERT 2007-NC1 N/A 00076BAE4 12189000.000000 PA USD 8606645.590000 0.122984 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.45322 N N N N N N FNMA PASS THRU POOLS N/A 31404NBN5 2085.990000 PA USD 2133.020000 0.0000305 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.148 N N N N N N TRINITAS CLO LTD 2020-14A N/A 89641QAN0 9400000.000000 PA USD 9416651.250000 0.134559 Long ABS-CBDO CORP KY N 2 2034-01-25 Floating 5.96587 N N N N N N RIVERVIEW HECM TRUST-2007-1 N/A 769422AA4 2422690.370000 PA USD 2134390.700000 0.0304993 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.76 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-SOAR N/A 05608WAA2 1172707.830000 PA USD 1171608.180000 0.0167416 Long ABS-MBS CORP US N 2 2038-06-15 Floating 5.18248 N N N N N N N/A N/A 000000000 1.000000 NC USD -8399148.790000 -0.120019 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -3537958.350000 USD 41770000.000000 USD -4861190.440000 N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-HA N/A 63935BAA1 1044597.630000 PA USD 970387.740000 0.0138663 Long ABS-O CORP US N 2 2069-01-15 Fixed 1.31 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC7 N/A 07384YPH3 18361.140000 PA USD 15151.090000 0.0002165 Long ABS-MBS CORP US N 2 2034-01-25 Variable 5.5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-C N/A 78449CAB4 749630.660000 PA USD 762491.920000 0.0108956 Long ABS-O CORP US N 2 2050-05-16 Floating 6.44757 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2005-AR5 N/A 76112BYB0 776718.010000 PA USD 621886.190000 0.0088864 Long ABS-MBS CORP US N 2 2035-09-19 Floating 4.83849 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAT2 9736696.550000 PA USD 8912741.260000 0.127358 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.73322 N N N N N N STRUCTURED ASSET SECURITIES COR 2001-SB1 N/A 86358RDU8 1927.090000 PA USD 1921.090000 0.0000275 Long ABS-MBS CORP US N 2 2031-08-25 Fixed 3.375 N N N N N N SBNA AUTO RECEIVABLES TRUST 2024-A N/A 78437PAC7 4200000.000000 PA USD 4222426.320000 0.0603361 Long ABS-O CORP US N 2 2028-12-15 Fixed 5.32 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2005-SA2 N/A 76111XVE0 1649378.400000 PA USD 966302.360000 0.0138079 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.49617 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3N6 797730.840000 PA USD 718475.880000 0.0102666 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.04155 N N N N N N VERUS SECURITIZATION TRUST 2024-3 N/A 92540MAA3 1942625.810000 PA USD 1960600.540000 0.0280159 Long ABS-MBS CORP US N 2 2069-04-25 Variable 6.338 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-4 N/A 88522YAB5 869399.020000 PA USD 857832.970000 0.012258 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.62414 N N N N N N VENTURE 38 CLO LTD N/A 92332NAS4 12900000.000000 PA USD 12930427.100000 0.184769 Long ABS-CBDO CORP KY N 2 2032-07-30 Floating 6.01078 N N N N N N COUNTRYWIDE HOME LOANS 2003-HYB2 N/A 12669D2Y3 44235.380000 PA USD 41947.610000 0.0005994 Long ABS-MBS CORP US N 2 2033-07-19 Floating 3.8242 N N N N N N NATIONSTAR HOME EQUITY LOAN TR 2006-B N/A 63860FAG8 5483000.000000 PA USD 5160546.960000 0.0737414 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.00822 N N N N N N WMALT MTGE PASS-THRU CERT 2006-AR9 N/A 939346AA0 11871787.990000 PA USD 9790023.670000 0.139894 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.65522 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 12549602.520000 PA USD 12542897.270000 0.179231 Long ABS-MBS CORP US N 2 2035-04-15 Floating 5.47 N N N N N N N/A N/A 000000000 1.000000 NC USD -267076.020000 -0.0038164 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A CMBX.NA.AAA.13 Y Single Leg Swap 2072-12-16 0.000000 USD -84094.520000 USD 160600000.000000 USD -182981.500000 N N N MASTR ADJ RATE MTGE TRUST 2007-HF2 N/A 57645TAB3 3443524.350000 PA USD 1373795.420000 0.0196308 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.55322 N N N N N N ONE MARKET PLAZA TRUST 2017-1MKT N/A 68245HAA2 2337432.830000 PA USD 2186762.380000 0.0312476 Long ABS-MBS CORP US N 2 2032-02-10 Fixed 3.6139 N N N N N N EFMT 2024-CES1 N/A 281907AA3 1000000.000000 PA USD 997791.920000 0.0142579 Long ABS-MBS CORP US N 3 2060-01-26 Fixed 5.522 N N N N N N N/A N/A 000000000 -104.000000 NC USD 466255.910000 0.0066625 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2026-03-17 -24973650.000000 USD 466255.910000 N N N UBS COMMERCIAL MORTGAGE TRUST 2018-NYCH N/A 90266HAA0 13576014.840000 PA USD 13572601.830000 0.193945 Long ABS-MBS CORP US N 2 2032-02-15 Floating 5.295 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-A N/A 589929G93 178985.010000 PA USD 149632.200000 0.0021382 Long ABS-MBS CORP US N 2 2028-03-25 Floating 5.65322 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BR2 2288785.350000 PA USD 2193613.080000 0.0313455 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.23322 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P1 N/A 14688NAD1 2000000.000000 PA USD 2015647.600000 0.0288025 Long ABS-O CORP US N 2 2030-03-11 Fixed 5.08 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2 N/A 16159RAC9 6172373.980000 PA USD 5486499.170000 0.078399 Long ABS-MBS CORP US N 2 2063-03-25 Fixed 3.25 N N N N N N BEAR STEARNS ABS INC 2003-SD2 N/A 07384YLH7 465503.660000 PA USD 409487.230000 0.0058513 Long ABS-MBS CORP US N 2 2043-06-25 Variable 5.50137 N N N N N N GNMA PASS THRU POOLS N/A 36225CN28 9759.220000 PA USD 9817.120000 0.0001403 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 4.875 N N N N N N COUNTRYWIDE ALTERNATIVE LN TRUST 9CB N/A 12667GEP4 119395.790000 PA USD 104780.260000 0.0014973 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.95322 N N N N N N FHLMC PASS THRU POOLS N/A 3133BTV31 127521.640000 PA USD 126117.900000 0.0018022 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.5 N N N N N N ASSET BACKED SEC HOME EQTY LN 2006-HE1 N/A 04541GVL3 10651477.250000 PA USD 10331305.560000 0.147629 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.05322 N N N N N N GNMA PASS THRU POOLS N/A 36202FQ74 384190.340000 PA USD 373007.000000 0.0053301 Long ABS-MBS USGSE US N 2 2041-03-20 Fixed 4.5 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-7 N/A 07384MX98 16223.320000 PA USD 12224.140000 0.0001747 Long ABS-MBS CORP US N 2 2034-10-25 Floating 0 N N N N N N MADISON PARK FUNDING XXXV LTD N/A 55819MAN6 2324386.420000 PA USD 2330609.220000 0.0333031 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 5.86901 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-WMC3 N/A 46629KAD1 548637.960000 PA USD 399636.720000 0.0057106 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.67322 N N N N N N GNMA PASS THRU POOLS N/A 36225CER3 360.370000 PA USD 361.790000 0.0000052 Long ABS-MBS USGSE US N 2 2027-12-20 Floating 3.75 N N N N N N FNMA PASS THRU POOLS N/A 31406DAF3 3447.550000 PA USD 3490.900000 0.0000499 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 6.026 N N N N N N PRPM-2022-1 N/A 693582AA6 9232073.310000 PA USD 9212516.090000 0.131642 Long ABS-MBS CORP US N 2 2027-02-25 Fixed 3.72 N N N N N N STEELE CREEK CLO LTD 2014-1 N/A 85816WAC8 1470268.320000 PA USD 1472666.740000 0.0210436 Long ABS-CBDO CORP KY N 2 2031-04-21 Floating 5.94901 N N N N N N N/A N/A 000000000 1.000000 NC USD 390949.840000 0.0055865 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 22300000.000000 USD 390949.840000 N N N FREDDIE MAC 2684 N/A 31394L5S7 12725.120000 PA USD 12200.250000 0.0001743 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 4 N N N N N N MASTR SPECIALIZED LOAN TRUST 2007-2 N/A 55291QAB0 236283.280000 PA USD 41625.650000 0.0005948 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.72822 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 93517.890000 PA USD 77310.880000 0.0011047 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.01322 N N N N N N WAMMS MTG PASS THRU CERT 2002-AR3 N/A 939336KT9 83196.760000 PA USD 76931.440000 0.0010993 Long ABS-MBS CORP US N 2 2032-12-25 Variable 6.29236 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-3 N/A 37989EAC0 8454338.440000 PA USD 8556671.440000 0.12227 Long ABS-O CORP US N 2 2029-10-15 Fixed 5.59 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 3699886.360000 PA USD 3707067.280000 0.0529719 Long ABS-O CORP US N 2 2041-02-20 Floating 6.8046 N N N N N N FORD CREDIT AUTO OWNER TRUST 2020-REV1 N/A 34531NAA4 6157000.000000 PA USD 6137345.010000 0.0876993 Long ABS-O CORP US N 2 2031-08-15 Fixed 2.04 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR15 N/A 22541QCT7 87315.460000 PA USD 82304.850000 0.0011761 Long ABS-MBS CORP US N 2 2033-06-25 Floating 6.02781 N N N N N N BELLA VISTA MORTGAGE TRUST 2004-1 N/A 07820QAQ8 1923695.770000 PA USD 1917308.140000 0.0273973 Long ABS-MBS CORP US N 2 2034-11-20 Variable 8.09943 N N N N N N FHF ISSUER TRUST 2024-2A N/A 30336NAC5 1638023.780000 PA USD 1658564.110000 0.0237 Long ABS-O CORP US N 2 2030-06-15 Fixed 5.89 N N N N N N ACRA TRUST 2024-NQM1 N/A 00112EAA2 994057.130000 PA USD 992879.770000 0.0141877 Long ABS-MBS CORP US N 2 2064-10-25 Fixed 5.608 N N N N N N HOME EQUITY PASS-THRU CERTS 2002-3 N/A 22541NHE2 1181.220000 PA USD 1127.910000 0.0000161 Long ABS-MBS CORP US N 2 2033-02-25 Floating 5.37322 N N N N N N FREDDIE MAC 2518 N/A 31392WQD5 1848.450000 PA USD 1832.740000 0.0000262 Long ABS-MBS USGSE US N 2 2032-10-15 Floating 4.96205 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE3 N/A 590212AB2 6437689.470000 PA USD 1698765.270000 0.0242744 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.63322 N N N N N N NOVASTAR HOME EQUITY LOAN 2007-1 N/A 669971AB9 9899.850000 PA USD 3222.250000 0.000046 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.65322 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR6 N/A 17309RAJ1 2161929.350000 PA USD 2024007.550000 0.0289219 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.95322 N N N N N N MF1 2022-FL8 LTD N/A 55284JAA7 24307445.850000 PA USD 24307777.890000 0.347345 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 5.71635 N N N N N N ARGENT SECURITIES INC 2005-W5 N/A 040104QK0 8342042.690000 PA USD 8234519.600000 0.117667 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.92322 N N N N N N N/A N/A 000000000 1.000000 NC USD -669952.720000 -0.0095733 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-21 0.000000 USD -50430.000000 USD 12300000.000000 USD -619522.720000 N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-2A N/A 37964VAB3 3144422.690000 PA USD 3156884.040000 0.0451101 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.77 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1510 N/A 3137FL2N3 85939279.240000 PA USD 2605464.100000 0.0372306 Long ABS-MBS USGSE US N 2 2034-01-25 Variable 0.481078 N N N N N N TOWD POINT MORTGAGE TRUST 2024-4 N/A 89183GAA4 7120831.490000 PA USD 6924376.290000 0.0989455 Long ABS-MBS CORP US N 2 2064-10-27 Variable 4.39125 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-2 N/A 17295FAD6 21600000.000000 PA USD 21899073.600000 0.312926 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.83 N N N N N N COUNTRYWIDE HOME LOANS 2003-58 N/A 12669E6K7 6465.010000 PA USD 5879.480000 0.000084 Long ABS-MBS CORP US N 2 2034-02-19 Floating 6.94341 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-D N/A 83207QAB5 18981074.460000 PA USD 19115312.410000 0.273147 Long ABS-O CORP US N 2 2053-07-15 Floating 5.69824 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2004-AP3 N/A 65535VGB8 6871000.000000 PA USD 6567611.680000 0.0938475 Long ABS-MBS CORP US N 2 2034-10-25 Variable 5.754 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWGR8 5125115.440000 PA USD 5061982.470000 0.0723329 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 5.5 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2024-A N/A 14319FAB9 9954498.440000 PA USD 10013626.170000 0.143089 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.78 N N N N N N BEAR STEARNS MTGE FUND TR 2006-AR5 N/A 07401NAA7 4764643.150000 PA USD 4157630.470000 0.0594102 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.61322 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCBW3 2603.680000 PA USD 2637.620000 0.0000377 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.032 N N N N N N CARMAX AUTO OWNER TRUST 2023-3 N/A 14319BAC6 4113000.000000 PA USD 4149354.400000 0.059292 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.28 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-1 N/A 126671Y91 378697.760000 PA USD 347478.710000 0.0049653 Long ABS-MBS CORP US N 2 2034-04-25 Floating 5.01322 N N N N N N PAGAYA AI DEBT TRUST 2023-1 N/A 69548JAC6 210974.400000 PA USD 212511.260000 0.0030367 Long ABS-O CORP US N 2 2030-07-15 Variable 8.95413 N N N N N N NELNET STUDENT LOAN TRUST 2019-2 N/A 64034NAA3 14493124.860000 PA USD 14496432.190000 0.207146 Long ABS-O CORP US N 2 2067-06-27 Floating 5.58327 N N N N N N UMBS PASS THRU POOLS N/A 01F062622 940831000.000000 PA USD 959537373.420000 13.7113 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -106722.400000 -0.001525 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-09 0.000000 USD -37080.000000 USD 4800000.000000 USD -69642.400000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-2 N/A 07400TAD9 6965584.010000 PA USD 5579117.950000 0.0797225 Long ABS-MBS CORP US N 2 2047-01-25 Floating 5.10322 N N N N N N ACREC 2023-FL2 LLC N/A 00501BAA7 2898190.560000 PA USD 2913217.390000 0.0416283 Long ABS-MBS CORP US N 2 2038-02-19 Floating 6.62709 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 637469.940000 PA USD 580799.240000 0.0082993 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.24821 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2017-3 N/A 59980CAJ2 97069.040000 PA USD 81628.800000 0.0011664 Long ABS-MBS CORP US N 2 2061-01-25 Variable 3.25 N N N N N N GNMA PASS THRU POOLS N/A 36241L7B6 50031.610000 PA USD 48574.800000 0.0006941 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 4.5 N N N N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAH6 62429.840000 PA USD 50947.910000 0.000728 Long ABS-MBS CORP US N 2 2046-09-20 Floating 5.01847 N N N N N N SBNA AUTO RECEIVABLES TRUST 2024-A N/A 78437PAB9 1567562.370000 PA USD 1570046.020000 0.0224351 Long ABS-O CORP US N 2 2027-03-15 Fixed 5.7 N N N N N N FNMA PASS THRU POOLS N/A 31418FAZ0 13148695.300000 PA USD 13639045.120000 0.194894 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31418C3A0 29577.800000 PA USD 28319.900000 0.0004047 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 4 N N N N N N AMERICAN HERITAGE AUTO RECEIVABLES TRUST 2024-1A N/A 026944AB4 800000.000000 PA USD 801596.480000 0.0114544 Long ABS-O CORP US N 2 2028-03-15 Fixed 4.83 N N N N N N MERCEDES-BENZ AUTO LEASE TRUST 2024-B N/A 58769GAB9 6600000.000000 PA USD 6602636.040000 0.094348 Long ABS-O CORP US N 2 2026-12-15 Fixed 4.57 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 2087485.070000 PA USD 1616732.760000 0.0231022 Long ABS-MBS CORP US N 2 2046-12-26 Floating 4.21892 N N N N N N N/A N/A 000000000 1.000000 NC USD -133900.200000 -0.0019134 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 0.000000 USD -8985.160000 USD 1530000.000000 USD -124915.040000 N N N ANGEL OAK MORTGAGE TRUST 2020-4 N/A 03464LAA4 122821.730000 PA USD 116240.050000 0.001661 Long ABS-MBS CORP US N 2 2065-06-25 Variable 1.469 N N N N N N MARLETTE FUNDING TRUST 2023-4A N/A 57108UAA2 2230506.970000 PA USD 2265044.140000 0.0323662 Long ABS-O CORP US N 2 2033-12-15 Fixed 7.13 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2015-3 N/A 17323LAQ0 488507.290000 PA USD 464816.880000 0.006642 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.58322 N N N N N N BANC OF AMERICA RE-REMIC TRUST 2015-200P N/A 05526QAA4 1450000.000000 PA USD 1438007.340000 0.0205483 Long ABS-MBS CORP US N 2 2033-04-14 Fixed 3.218 N N N N N N BAIN CAPITAL CREDIT CLO LTD 2021-6A N/A 05684PAL0 3700000.000000 PA USD 3700000.000000 0.0528709 Long ABS-CBDO CORP KY N 2 2034-10-21 Floating 5.48545 N N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AK7 939619.070000 PA USD 442042.850000 0.0063165 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.56336 N N N N N N TBW MORTGAGE BACKED PASS THRU CERT 2006 N/A 225470U50 1259779.110000 PA USD 384271.050000 0.005491 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EQA93 5921.180000 PA USD 5348.070000 0.0000764 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31371KM81 1334.130000 PA USD 1333.160000 0.0000191 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 8.5 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2006-3 N/A 542514UK8 40156412.800000 PA USD 12154077.210000 0.173675 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.81322 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 21664449.730000 PA USD 210946747.020000 3.01431 Long STIV RF US N 1 N N N TOYOTA AUTO RECEIVABLES 2024-D OWNER TRUST N/A 89239TAB8 4100000.000000 PA USD 4103875.730000 0.0586421 Long ABS-O CORP US N 2 2027-08-16 Fixed 4.55 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAB3 14424022.840000 PA USD 14626273.600000 0.209001 Long ABS-O CORP US N 2 2055-02-16 Floating 6.04757 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MJ3 4717000.000000 PA USD 4697680.760000 0.0671273 Long DBT UST US N 2 2025-02-06 None 0 N N N N N N GNRT-3A N/A 98625UBC5 50000000.000000 PA USD 50231163.000000 0.717775 Long ABS-CBDO CORP KY N 2 2036-10-20 Floating 6.4474 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1A N/A 78398AAB9 892518.080000 PA USD 894594.790000 0.0127833 Long ABS-O CORP US N 2 2027-03-22 Fixed 5.89 N N N N N N STRUCTURED ASSET SECUR CORP 2005-GEL2 N/A 86359DAY3 361097.950000 PA USD 363485.100000 0.005194 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.57822 N N N N N N FIRST HORIZON ALTER MTGE SEC 2006-AA2 N/A 32051GW50 396156.820000 PA USD 356929.290000 0.0051003 Long ABS-MBS CORP US N 2 2036-04-25 Variable 3 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA N/A 63942TAC9 4300000.000000 PA USD 4430562.620000 0.0633103 Long ABS-O CORP US N 2 2072-03-15 Fixed 7.23 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJYT1 29557.250000 PA USD 25687.910000 0.0003671 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797KJ5 314000.000000 PA USD 311208.440000 0.004447 Long DBT UST US N 2 2025-03-20 None 0 N N N N N N RCKT MORTGAGE TRUST 2024-CES1 N/A 749424AA5 826704.510000 PA USD 830661.370000 0.0118697 Long ABS-MBS CORP US N 2 2044-02-25 Fixed 6.025 N N N N N N GNMA PASS THRU POOLS N/A 36202K7A7 1862.310000 PA USD 1851.100000 0.0000265 Long ABS-MBS USGSE US N 2 2026-10-20 Floating 3.75 N N N N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 26654399.770000 PA USD 25339037.130000 0.362081 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.71 N N N N N N PRPM 2024-RPL3 LLC N/A 69381LAA5 1973424.060000 PA USD 1900607.080000 0.0271586 Long ABS-MBS CORP US N 2 2054-11-25 Fixed 4 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL7 N/A 74136TAA6 5209705.850000 PA USD 5219350.580000 0.0745816 Long ABS-MBS CORP US N 2 2054-10-25 Fixed 5.9251 N N N N N N OBX 2024-NQM8 TRUST N/A 67119CAA8 1629880.460000 PA USD 1645064.590000 0.0235071 Long ABS-MBS CORP US N 2 2064-05-25 Fixed 6.233 N N N N N N COUNTRYWIDE HOME LOANS 2005-HY10 N/A 126694VH8 505084.480000 PA USD 425048.240000 0.0060737 Long ABS-MBS CORP US N 2 2036-02-20 Floating 5.61216 N N N N N N HSI ASSET SEC CORP TRUST 2006-WMC1 N/A 40430MAC1 2089444.390000 PA USD 897200.940000 0.0128205 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.65322 N N N N N N PRKCM 2024-HOME1 TRUST N/A 69391XAA7 879192.620000 PA USD 890629.860000 0.0127266 Long ABS-MBS CORP US N 2 2059-05-25 Fixed 6.431 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAA9 59765483.560000 PA USD 47469028.170000 0.678306 Long ABS-MBS CORP US N 2 2037-10-25 Floating 5.35322 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DJ20 261728.850000 PA USD 244773.090000 0.0034977 Long ABS-MBS CORP US N 2 2035-04-25 Floating 7.32799 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR15 N/A 456610AA2 12104694.930000 PA USD 11519176.310000 0.164603 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.69322 N N N N N N COUNTRYWIDE HOME LOANS 2004-16 N/A 12669FY31 43563.570000 PA USD 37447.670000 0.0005351 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.37322 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-AR28 N/A 22541QT85 83538.880000 PA USD 82077.690000 0.0011728 Long ABS-MBS CORP US N 2 2033-12-25 Floating 4.72634 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A 07384YGX8 43810.400000 PA USD 43405.290000 0.0006202 Long ABS-MBS CORP US N 2 2042-11-25 Floating 5.45322 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-WFH3 N/A 17313CAE9 24348000.000000 PA USD 22972493.830000 0.328264 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.85822 N N N N N N COMMUNITY PROGRAM LOAN TRUST-1987-A N/A 204012AE8 1186.780000 PA USD 1184.850000 0.0000169 Long ABS-MBS CORP US N 2 2029-04-01 Fixed 4.5 N N N N N N RESIDENTIAL ASSET SEC TRUST 2007-A2 N/A 761120AL8 4345401.580000 PA USD 1176111.620000 0.016806 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6.5 N N N N N N RESIDENTIAL ASSET SEC CORP 2003-KS4 N/A 76110WRT5 423276.170000 PA USD 385652.800000 0.0055108 Long ABS-MBS CORP US N 2 2033-06-25 Floating 4.74322 N N N N N N CHASE FUND MTGE LN ASSET-BACKED 2003-3 N/A 161546FH4 1015.560000 PA USD 866.080000 0.0000124 Long ABS-MBS CORP US N 2 2032-09-25 Fixed 4.537 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAF2 25256000.000000 PA USD 20805069.450000 0.297293 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.76322 N N N N N N GNMA PASS THRU POOLS N/A 36225CZM1 2761.410000 PA USD 2790.530000 0.0000399 Long ABS-MBS USGSE US N 2 2033-10-20 Floating 3.75 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2004-11 N/A 41161PKD4 9967.950000 PA USD 9362.210000 0.0001338 Long ABS-MBS CORP US N 2 2035-01-19 Floating 5.18083 N N N N N N SBNA AUTO LEASE TRUST 2024-B N/A 78437VAC4 2524037.560000 PA USD 2535990.900000 0.0362379 Long ABS-O CORP US N 2 2026-11-20 Fixed 5.67 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247QR7 865762.970000 PA USD 710907.670000 0.0101585 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.01779 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H05 N/A 38376RU61 806337.910000 PA USD 805644.300000 0.0115122 Long ABS-MBS USGSE US N 2 2067-02-20 Floating 5.51648 N N N N N N AWPT-2021-14A N/A 28623RAC2 9800000.000000 PA USD 9816121.880000 0.140267 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 6.07901 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 43807.050000 PA USD 41445.300000 0.0005922 Long ABS-MBS CORP US N 2 2032-03-25 Floating 5.57459 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-5 N/A 69544LAA9 709820.280000 PA USD 717676.850000 0.0102552 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.278 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11 N/A 02151WAA0 4666422.350000 PA USD 3970351.730000 0.0567341 Long ABS-MBS CORP US N 2 2047-11-25 Floating 6.20522 N N N N N N FORD CREDIT AUTO OWNER TRUST 2024-D N/A 34535VAD6 7050000.000000 PA USD 7059772.010000 0.10088 Long ABS-O CORP US N 2 2029-08-15 Fixed 4.61 N N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAA6 7850556.740000 PA USD 6524655.800000 0.0932337 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.66522 N N N N N N J.P. MORGAN MORTGAGE TRUST 2023-DSC1 N/A 46656NAA7 1272971.250000 PA USD 1236490.570000 0.0176688 Long ABS-MBS CORP US N 2 2063-07-25 Variable 4.625 N N N N N N WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1 N/A 939335N68 3421.470000 PA USD 3440.250000 0.0000492 Long ABS-MBS CORP US N 2 2030-11-25 Floating 6.73694 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4C4 466408.090000 PA USD 467026.780000 0.0066736 Long ABS-O CORP US N 2 2032-09-15 Fixed 5.117 N N N N N N TOWD POINT MORTGAGE TRUST 2024-CES6 N/A 891947AA1 3345922.190000 PA USD 3355815.410000 0.0479527 Long ABS-MBS CORP US N 2 2064-11-25 Variable 5.725 N N N N N N NEW YORK MORTGAGE TRUST 2022-CP1 N/A 62955VAD8 2000000.000000 PA USD 1702829.000000 0.0243325 Long ABS-MBS CORP US N 2 2061-07-25 Fixed 3.5143 N N N N N N N/A N/A 000000000 1.000000 NC USD 1225848.360000 0.0175167 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-06-21 3242.590000 USD 0.000000 USD 70230000.000000 USD 1222605.770000 N N N HOME PARTNERS OF AMERICA 2021-3 TRUST N/A 43730XAA2 5263273.030000 PA USD 4713992.590000 0.0673603 Long ABS-MBS CORP US N 2 2041-01-17 Fixed 2.2 N N N N N N LUX 2023-LION N/A 55067LAA5 2800000.000000 PA USD 2847168.520000 0.0406845 Long ABS-MBS CORP US N 2 2040-08-15 Floating 7.08778 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2024-9 N/A 16160QAX2 4667925.390000 PA USD 4666419.050000 0.0666805 Long ABS-MBS CORP US N 2 2055-09-25 Floating 5.81879 N N N N N N COLONY AMERICAN FINANCE LTD 2020 3 N/A 21873CAA1 4340870.880000 PA USD 4184138.960000 0.059789 Long ABS-MBS CORP US N 2 2053-08-15 Fixed 1.358 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A2 N/A 466247L76 848847.290000 PA USD 827139.550000 0.0118194 Long ABS-MBS CORP US N 2 2034-08-25 Variable 7.20703 N N N N N N GSAMP TRUST 2005-WMC2 N/A 362341VA4 24789.780000 PA USD 23300.730000 0.000333 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.09822 N N N N N N NAVIENT STUDENT LOAN TRUST 2015-BA N/A 63939KAC3 1663171.190000 PA USD 1667879.130000 0.0238331 Long ABS-O CORP US N 2 2040-07-16 Floating 5.96157 N N N N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 023947AD6 5900000.000000 PA USD 5965235.710000 0.0852399 Long ABS-O CORP US N 2 2029-01-18 Fixed 5.43 N N N N N N LENDMARK FUNDING TRUST 2024-1A N/A 52603DAA1 800000.000000 PA USD 809767.200000 0.0115711 Long ABS-O CORP US N 2 2032-06-21 Fixed 5.53 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBZ1 186172.530000 PA USD 169723.030000 0.0024252 Long ABS-MBS CORP US N 2 2034-07-19 Floating 5.08083 N N N N N N WASHINGTON MUTUAL MSC MTG P/T 2003-MS6 N/A 939336ZC0 62546.230000 PA USD 53416.030000 0.0007633 Long ABS-MBS CORP US N 2 2033-03-25 Fixed 5.75 N N N N N N GSC CAPITAL CORP MORTGAGE TRUST 2006-2 N/A 362480AD7 667291.470000 PA USD 629945.030000 0.0090016 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.81322 N N N N N N FNMA PASS THRU POOLS N/A 3140GRFU3 461723.870000 PA USD 428742.300000 0.0061265 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N HSBC ASSET LOAN OBLIGATION 2007-2 N/A 40432BAZ2 1191764.900000 PA USD 373242.770000 0.0053334 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6 N N N N N N MADISON PARK FUNDING XXIX LTD 2018-29A N/A 55820CAN5 7367763.360000 PA USD 7379946.250000 0.105455 Long ABS-CBDO CORP KY N 2 2030-10-18 Floating 5.81235 N N N N N N N/A N/A 000000000 1.000000 NC USD 709985.180000 0.0101453 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 35700000.000000 USD 709985.180000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB N/A 021467AA3 3233844.780000 PA USD 1477364.850000 0.0211107 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6.5 N N N N N N ENTERPRISE FLEET FINANCING 2024-3 LLC N/A 29375QAB4 15100000.000000 PA USD 15214939.690000 0.217413 Long ABS-O CORP US N 2 2027-04-20 Fixed 5.31 N N N N N N AMERICAN BUSINESS FIN SERVICES 2002-2 N/A 000759CR9 499477.270000 PA USD 376923.380000 0.005386 Long ABS-MBS CORP US N 2 2033-07-15 Variable 6.785 N N N N N N GNMA PASS THRU POOLS N/A 36179NJC3 18976.210000 PA USD 18423.710000 0.0002633 Long ABS-MBS USGSE US N 2 2043-07-20 Fixed 4.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-32 N/A 3133TSQG1 19444.890000 PA USD 20396.790000 0.0002915 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 4.71322 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PTA1 2431781.710000 PA USD 1872276.160000 0.0267538 Long ABS-MBS CORP US N 2 2035-06-20 Floating 6.20974 N N N N N N LCM 31 LTD N/A 50201QAL8 40900000.000000 PA USD 41024410.850000 0.586216 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.8974 N N N N N N WMALT MTGE PASS-THRU CERT 2005-9 N/A 93934FEZ1 153439.270000 PA USD 128948.370000 0.0018426 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N SACO I TRUST 2005-10 N/A 785778ND9 14633.990000 PA USD 14439.500000 0.0002063 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.97322 N N N N N N SUNTRUST ADJR MRTG LN TR 2007-S1 N/A 855541AC2 79591.800000 PA USD 57690.670000 0.0008244 Long ABS-MBS CORP US N 2 2037-01-25 Variable 6.58148 N N N N N N CAPITAL ONE MULTI-ASSET EXECUTION TRUST 2022-A1 N/A 14041NFZ9 15639000.000000 PA USD 15581604.870000 0.222653 Long ABS-MBS CORP US N 2 2027-03-15 Fixed 2.8 N N N N N N N/A N/A 000000000 1.000000 NC USD -1271418.830000 -0.0181679 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-10-04 0.000000 USD -265150.460000 USD 36450000.000000 USD -1006268.370000 N N N SAXON ASSET SECURITIES TRUST 2007-2 N/A 80556YAD7 5885484.690000 PA USD 4153876.810000 0.0593566 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.69322 N N N N N N N/A N/A 000000000 1.000000 NC USD 2027705.510000 0.0289748 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-12-21 943870.810000 USD 0.000000 USD 40500000.000000 USD 1083834.700000 N N N MORGAN STANLEY MTGE LN TR 2006-2 N/A 61748HVH1 221688.030000 PA USD 208730.900000 0.0029826 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.35322 N N N N N N FNMA PASS THRU POOLS N/A 3140M3C24 321454.660000 PA USD 296492.430000 0.0042367 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 4 N N N N N N NEWARK BSL CLO 2 LTD 2017 1A N/A 65023PAN0 644528.970000 PA USD 645480.570000 0.0092236 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 5.85748 N N N N N N GNMA PASS THRU POOLS N/A 36202FJQ0 56645.060000 PA USD 54996.230000 0.0007859 Long ABS-MBS USGSE US N 2 2040-08-20 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -7841173.560000 -0.112046 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-16 0.000000 USD -2403810.530000 USD 62849000.000000 USD -5437363.030000 N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAA6 2476511.490000 PA USD 2334886.730000 0.0333642 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.64322 N N N N N N TOWD POINT MORTGAGE TRUST 2024-CES2 N/A 89182JAA9 817644.200000 PA USD 824291.970000 0.0117787 Long ABS-MBS CORP US N 2 2064-02-25 Variable 6.125 N N N N N N FHLMC PASS THRU POOLS N/A 3133AUQ92 78974.070000 PA USD 72424.390000 0.0010349 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 4 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-7 N/A 41161PGK3 3231.350000 PA USD 3065.430000 0.0000438 Long ABS-MBS CORP US N 2 2034-11-19 Floating 5.65524 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P2 N/A 14688PAC8 3300000.000000 PA USD 3336767.610000 0.0476806 Long ABS-O CORP US N 2 2029-07-10 Fixed 5.33 N N N N N N TCW CLO AMR LTD 2019-1A N/A 87241EAQ8 7200000.000000 PA USD 7216785.430000 0.103124 Long ABS-CBDO CORP KY N 2 2034-08-16 Floating 5.78439 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-4 N/A 05949ADQ0 328091.920000 PA USD 317085.910000 0.004531 Long ABS-MBS CORP US N 2 2034-05-25 Floating 7.15235 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC4 N/A 61748LAE2 5669719.040000 PA USD 4817582.950000 0.0688406 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.93322 N N N N N N FIRST FRANKLIN MTG LOAN 2005-FF11 N/A 362341YG8 962760.790000 PA USD 944734.350000 0.0134997 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.12822 N N N N N N MASTR ASSET BACKED SECURITIES TRUST 2002-OPT1 N/A 57643LAG1 3745440.110000 PA USD 3553260.450000 0.0507741 Long ABS-MBS CORP US N 2 2032-11-25 Floating 10.4532 N N N N N N ACE SECURITIES CORP 2004-FM1 N/A 004421DK6 759710.900000 PA USD 749271.180000 0.0107067 Long ABS-MBS CORP US N 2 2033-09-25 Floating 5.35322 N N N N N N N/A N/A 000000000 1.000000 NC USD 1555182.520000 0.0222227 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-12-10 0.000000 USD -21683.060000 USD 14800000.000000 USD 1576865.580000 N N N MAGNETITE XII LTD 2015-12A N/A 55953HBD4 3020098.400000 PA USD 3026138.600000 0.0432418 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 5.8059 N N N N N N TESLA ELECTRIC VEHICLE TRUST 2023-1 N/A 881943AE4 12500000.000000 PA USD 12663997.500000 0.180962 Long ABS-O CORP US N 2 2029-02-20 Fixed 5.38 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-6 N/A 02150AAD3 346873.260000 PA USD 181573.270000 0.0025946 Long ABS-MBS CORP US N 2 2047-04-25 Fixed 5.75 N N N N N N RAD CLO 21 LTD 2023-21A N/A 750099AA1 7800000.000000 PA USD 7814811.030000 0.111669 Long ABS-CBDO CORP KY N 2 2033-01-25 Floating 6.21587 N N N N N N CENTEX HOME EQUITY 2004-C N/A 152314KR0 217036.970000 PA USD 210351.780000 0.0030058 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.17322 N N N N N N N/A N/A 000000000 1.000000 NC USD 367618.770000 0.0052531 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 17800000.000000 USD 367618.770000 N N N N/A N/A 000000000 1.000000 NC USD 48332677.980000 0.690647 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-17 9752510.380000 USD 0.000000 USD 320180000.000000 USD 38580167.600000 N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F7C1 1091378.840000 PA USD 651743.070000 0.009313 Long ABS-MBS CORP US N 2 2034-11-25 Variable 5.16536 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWL27 459012.800000 PA USD 443280.650000 0.0063342 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 5 N N N N N N MASTR ALTERNATIVE LOANS TRUST 2005 3 N/A 576434M43 591141.760000 PA USD 529573.280000 0.0075673 Long ABS-MBS CORP US N 2 2035-04-25 Fixed 5.5 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-D N/A 589929V21 1272.250000 PA USD 1201.570000 0.0000172 Long ABS-MBS CORP US N 2 2028-08-25 Floating 5.07322 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL6 N/A 69381QAA4 2451779.310000 PA USD 2441433.780000 0.0348867 Long ABS-MBS CORP US N 2 2054-10-25 Fixed 5.9256 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-4A LLC N/A 05377RGY4 2800000.000000 PA USD 2848221.040000 0.0406995 Long ABS-O CORP US N 2 2029-06-20 Fixed 5.49 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAC2 500000.000000 PA USD 505374.000000 0.0072215 Long ABS-O CORP US N 2 2059-06-25 Fixed 5.55 N N N N N N MERRILL LYNCH MTGE INVESTORS 2003-A5 N/A 5899293Z9 27085.920000 PA USD 5063.870000 0.0000724 Long ABS-MBS CORP US N 2 2033-08-25 Floating 6.13714 N N N N N N RCKT MORTGAGE TRUST 2024-CES6 N/A 749410AA4 2005806.960000 PA USD 1997025.740000 0.0285364 Long ABS-MBS CORP US N 2 2044-09-25 Variable 5.344 N N N N N N MF1 2021-FL6 LTD N/A 55283TAA6 12293385.960000 PA USD 12308452.240000 0.175881 Long ABS-CBDO CORP KY N 2 2036-07-16 Floating 5.58969 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GKG5 55542.740000 PA USD 50208.970000 0.0007175 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.23322 N N N N N N FIRST FRANKLIN MTG LOAN ASSET 2004-FF6 N/A 32027NKK6 2017334.100000 PA USD 2007949.060000 0.0286925 Long ABS-MBS CORP US N 2 2034-07-25 Floating 6.32822 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-HE1 N/A 07384YPB6 1136486.210000 PA USD 1131977.310000 0.0161753 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.54822 N N N N N N FNMA PASS THRU POOLS N/A 3140N0DH5 175596.020000 PA USD 161156.530000 0.0023028 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PARK N/A 05491YAA8 1655000.000000 PA USD 1582793.340000 0.0226172 Long ABS-MBS CORP US N 2 2038-08-10 Variable 4.09075 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QS15 N/A 74922YAA3 16719439.520000 PA USD 14128035.070000 0.201882 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.5 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A2 N/A 46630PAA3 448243.110000 PA USD 234460.820000 0.0033503 Long ABS-MBS CORP US N 2 2037-04-25 Floating 6.292 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-13 N/A 23242EAK5 2872733.810000 PA USD 2811730.160000 0.0401781 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.95322 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB2 N/A 12669GWW7 1483339.100000 PA USD 965231.450000 0.0137926 Long ABS-MBS CORP US N 2 2035-05-20 Variable 4.96113 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYW7 21787.380000 PA USD 21848.400000 0.0003122 Long ABS-MBS CORP US N 2 2036-01-19 Floating 4.96083 N N N N N N NOVASTAR HOME EQUITY LOAN 2007-2 N/A 66989EAF2 12175104.270000 PA USD 10626105.930000 0.151841 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.75322 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-2 N/A 590219AJ0 4901012.650000 PA USD 4390415.840000 0.0627366 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.63423 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR9 N/A 45661EGK4 724831.920000 PA USD 620332.540000 0.0088642 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.52542 N N N N N N FNMA PASS THRU POOLS N/A 31418EHF0 28182.960000 PA USD 26426.590000 0.0003776 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -585970.570000 -0.0083732 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-02-16 0.000000 USD -19744.660000 USD 10400000.000000 USD -566225.910000 N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL4 N/A 126405AF6 7373425.000000 PA USD 5470902.910000 0.0781762 Long ABS-MBS CORP US N 2 2060-01-25 Variable 3.25 N N N N N N FHLMC PASS THRU POOLS N/A 3133BTZC7 202260.550000 PA USD 199779.200000 0.0028547 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.5 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2004-2 N/A 68389FFG4 8147.750000 PA USD 8189.940000 0.000117 Long ABS-MBS CORP US N 2 2034-05-25 Floating 5.24822 N N N N N N PIKES PEAK CLO 2018-2A N/A 72133JAY3 6000000.000000 PA USD 6016218.840000 0.0859684 Long ABS-CBDO CORP KY N 2 2034-10-11 Floating 5.85235 N N N N N N CSMC 2021-RPL6 TRUST N/A 12657GAA3 6011030.410000 PA USD 5364435.890000 0.0766548 Long ABS-MBS CORP US N 2 2060-10-25 Variable 2 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR17 N/A 45660LUW7 7318632.510000 PA USD 4929061.670000 0.0704336 Long ABS-MBS CORP US N 2 2035-09-25 Variable 4.70915 N N N N N N N/A N/A 000000000 1.000000 NC USD -3851685.210000 -0.0550384 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-04-05 0.000000 USD -115102.000000 USD 23300000.000000 USD -3736583.210000 N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL2 N/A 74142BAA7 9532197.290000 PA USD 9579097.610000 0.13688 Long ABS-MBS CORP US N 2 2054-02-25 Fixed 7.021 N N N N N N FHLMC PASS THRU POOLS N/A 3133BBPP8 1041939.150000 PA USD 887371.370000 0.01268 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AD5 3344575.760000 PA USD 2831968.690000 0.0404673 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.93322 N N N N N N FNMA PASS THRU POOLS N/A 3140NMHK6 489667.540000 PA USD 473280.570000 0.0067629 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 16A LTD N/A 38090AAC2 7700000.000000 PA USD 7715400.000000 0.110249 Long ABS-CBDO CORP JE N 2 2034-01-20 Floating 6.2874 N N N N N N N/A N/A 000000000 1.000000 NC USD 1041173.790000 0.0148778 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 42300000.000000 USD 1041173.790000 N N N N/A N/A 000000000 1.000000 NC USD -677269.630000 -0.0096778 N/A DCR US N 3 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -2406466.370000 USD 8559969.310000 USD 1729196.740000 N N N DIAMETER CAPITAL CLO 2024-6A N/A 25255UAA0 11700000.000000 PA USD 11722634.940000 0.16751 Long ABS-CBDO CORP KY N 2 2037-04-15 Floating 6.2659 N N N N N N FANNIE MAE REMICS 2019-62 N/A 3136B62S1 489963.630000 PA USD 54990.580000 0.0007858 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.31673 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H06 N/A 38375BKL5 77217.530000 PA USD 77098.360000 0.0011017 Long ABS-MBS USGSE US N 2 2061-02-20 Floating 5.21648 N N N N N N WASHINGTON MUTUAL 2001-AR5 N/A 22540VLG5 98489.090000 PA USD 91591.490000 0.0013088 Long ABS-MBS CORP US N 2 2039-12-19 Floating 6.16379 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2016-JP4 N/A 46645UAT4 300000.000000 PA USD 291641.910000 0.0041674 Long ABS-MBS CORP US N 2 2049-12-15 Variable 3.6483 N N N N N N GNMA PASS THRU POOLS N/A 21H042612 1200000.000000 PA USD 1134375.000000 0.0162096 Long ABS-MBS USGSE US N 2 2055-01-21 Fixed 4.5 N N N N N N NATIONSTAR HOME EQUITY LOAN TR 2007-A N/A 63860HAF6 5632000.000000 PA USD 5370381.770000 0.0767398 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.87322 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-2A N/A 379924AC7 2679536.800000 PA USD 2710794.670000 0.0387358 Long ABS-O CORP US N 2 2030-06-17 Fixed 5.58 N N N N N N FHLMC PASS THRU POOLS N/A 31336CMM2 1540.320000 PA USD 1593.480000 0.0000228 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 7.182 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYRX9 2150232.750000 PA USD 2048914.410000 0.0292779 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 4 N N N N N N FREDDIE MAC 2163 N/A 3133TLG51 2332.330000 PA USD 2365.050000 0.0000338 Long ABS-MBS USGSE US N 2 2029-06-15 Fixed 7 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAA1 289591.740000 PA USD 206762.570000 0.0029545 Long ABS-MBS CORP US N 2 2047-01-20 Floating 4.92261 N N N N N N ANGEL OAK MORTGAGE TRUST 2023-7 N/A 03466DAA0 26397878.290000 PA USD 25861885.210000 0.369552 Long ABS-MBS CORP US N 2 2067-11-25 Fixed 4.8 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC3 N/A 61744CQB5 2588234.970000 PA USD 2498335.480000 0.0356998 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.44322 N N N N N N FHLMC PASS THRU POOLS N/A 3132AEDA1 147639.750000 PA USD 141438.450000 0.0020211 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 1044001.540000 PA USD 992975.860000 0.0141891 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.09322 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-7 N/A 41161PPN7 220425.500000 PA USD 99012.690000 0.0014148 Long ABS-MBS CORP US N 2 2045-06-19 Floating 4.955 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P4 N/A 14687NAC4 500000.000000 PA USD 508072.400000 0.0072601 Long ABS-O CORP US N 2 2028-10-10 Fixed 6.16 N N N N N N FNMA PASS THRU POOLS N/A 3138M8HY2 18497.550000 PA USD 18163.410000 0.0002595 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3 N N N N N N NAVIENT PRIVATE EDUCATION LOAN TRUST 2016-A N/A 63939NAB9 909634.130000 PA USD 904203.340000 0.0129206 Long ABS-O CORP US N 2 2045-12-15 Fixed 3.91 N N N N N N N/A N/A 000000000 1.000000 NC USD 384753.800000 0.0054979 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -96705.850000 USD 14440000.000000 USD 481459.650000 N N N AMERICAN HOME MTGE INV TRUST 2005-2 N/A 02660TEV1 3377.030000 PA USD 3051.080000 0.0000436 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.63322 N N N N N N GREYWOLF CLO III LTD 2020-3RA N/A 39809CAY0 6400000.000000 PA USD 6422420.540000 0.0917728 Long ABS-CBDO CORP KY N 2 2033-04-22 Floating 6.18324 N N N N N N INDYMAC INDEX MORTGAGE LOAN TRUST 2005-AR35 N/A 45660L2F5 2034148.050000 PA USD 1577232.020000 0.0225378 Long ABS-MBS CORP US N 2 2036-02-25 Variable 3.71257 N N N N N N N/A N/A 000000000 1.000000 NC USD -450500.490000 -0.0064374 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-06-20 0.000000 USD -410277.060000 USD 13680000.000000 USD -40223.430000 N N N CREDIT BASED ASSET SRVC & SEC 2006-CB3 N/A 12489WQX5 3746519.020000 PA USD 3384353.140000 0.0483605 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.97322 N N N N N N MERRILL LYNCH MTGE INVESTORS 2006-A3 N/A 59023CAK8 226579.920000 PA USD 206649.430000 0.0029529 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.1679 N N N N N N FNMA PASS THRU POOLS N/A 3140E1BC6 117174.050000 PA USD 105210.650000 0.0015034 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H06 N/A 38382YPL1 324651.290000 PA USD 323494.820000 0.0046226 Long ABS-MBS USGSE US N 2 2072-01-20 Floating 5.0546 N N N N N N BEAR STEARNS ADJUST RT MTGE TR 2000- N/A 07384MAA0 34026.520000 PA USD 33540.050000 0.0004793 Long ABS-MBS CORP US N 2 2030-11-25 Floating 5.16194 N N N N N N SYMPHONY CLO 37 LTD N/A 87169VAS4 1700000.000000 PA USD 1716940.060000 0.0245341 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 6.4174 N N N N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GP5 2976.690000 PA USD 2939.570000 0.000042 Long ABS-MBS CORP US N 2 2033-12-25 Floating 6.75 N N N N N N WIND RIVER CLO LTD 2014-2A N/A 88390AAT7 349567.050000 PA USD 350127.660000 0.0050031 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 6.05751 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR9 N/A 17310RAH2 1957274.940000 PA USD 1874314.470000 0.0267829 Long ABS-MBS CORP US N 2 2036-11-25 Floating 6.32822 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-4A N/A 14311NAU8 912131.960000 PA USD 913956.180000 0.0130599 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.8374 N N N N N N AMERICAN HOME MTG INV TRUST 2005-1 N/A 02660TDF7 45048.480000 PA USD 44798.220000 0.0006401 Long ABS-MBS CORP US N 2 2045-06-25 Floating 6.86204 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC5 N/A 07384YMA1 56499.600000 PA USD 62201.870000 0.0008888 Long ABS-MBS CORP US N 2 2033-10-25 Variable 5.75 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 428788.070000 PA USD 408544.860000 0.0058379 Long ABS-MBS CORP US N 2 2031-12-15 Floating 5.89501 N N N N N N SEQUOIA MORTGAGE TRUST 2004-10 N/A 81744FET0 13030.580000 PA USD 12153.010000 0.0001737 Long ABS-MBS CORP US N 2 2034-11-20 Floating 5.10474 N N N N N N WORLD OMNI SELECT AUTO TRUST 2024-A N/A 98164LAB5 20000000.000000 PA USD 20084340.000000 0.286994 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.37 N N N N N N OCEAN TRAILS CLO 8 2020-8A N/A 67514UAU5 7500000.000000 PA USD 7522663.730000 0.107495 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.9459 N N N N N N N/A N/A 000000000 1.000000 NC USD -1066460.440000 -0.0152391 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-10-05 0.000000 USD -13633.970000 USD 6100000.000000 USD -1052826.470000 N N N N/A N/A 000000000 1.000000 NC USD -48997.690000 -0.0007001 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-04 0.000000 USD -16485.000000 USD 2100000.000000 USD -32512.690000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL2 N/A 64830HAA2 6439335.670000 PA USD 6209319.380000 0.0887277 Long ABS-MBS CORP US N 2 2059-02-25 Variable 3.25 N N N N N N SBNA AUTO LEASE TRUST 2023-A N/A 78436TAD8 1000000.000000 PA USD 1024362.000000 0.0146376 Long ABS-O CORP US N 2 2028-04-20 Fixed 6.52 N N N N N N FNMA PASS THRU POOLS N/A 3140JAB72 927460.580000 PA USD 886926.590000 0.0126737 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4 N N N N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAU7 2344465.040000 PA USD 1764813.640000 0.0252182 Long ABS-MBS CORP US N 2 2036-10-20 Floating 4.86474 N N N N N N FIRST NLC TRUST 2007-1 N/A 32115BAB6 24528438.550000 PA USD 12186890.920000 0.174144 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.59322 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-3 N/A 07384YLS3 242293.140000 PA USD 238660.170000 0.0034103 Long ABS-MBS CORP US N 2 2043-06-25 Floating 5.63322 N N N N N N FNMA PASS THRU POOLS N/A 3140GPQG6 83329.450000 PA USD 77412.200000 0.0011062 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4 N N N N N N ACE SECURITIES CORP 2003-OP1 N/A 004427BM1 478391.890000 PA USD 480655.160000 0.0068683 Long ABS-MBS CORP US N 2 2033-12-25 Floating 5.50322 N N N N N N N/A N/A 000000000 1.000000 NC USD -1831462.880000 -0.0261706 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -488231.050000 USD 11010000.000000 USD -1343231.830000 N N N PRET 2022-RN2 LLC N/A 69377NAA7 393197.980000 PA USD 393536.520000 0.0056234 Long ABS-MBS CORP US N 2 2052-06-25 Fixed 5 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8 N/A 46649JAA6 5680506.340000 PA USD 5644276.070000 0.0806536 Long ABS-MBS CORP US N 2 2035-02-15 Floating 5.495 N N N N N N SLM STUDENT LOAN TRUST 2008-5 N/A 78444YAD7 2614292.780000 PA USD 2620773.610000 0.0374494 Long ABS-O CORP US N 2 2025-01-27 Floating 7.14529 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-9 N/A 863579QW1 334628.710000 PA USD 258847.690000 0.0036988 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.22522 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-14 N/A 41161PWU3 346.350000 PA USD 339.850000 0.0000049 Long ABS-MBS CORP US N 2 2035-12-19 Floating 7.71013 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDX87 9416.860000 PA USD 9488.060000 0.0001356 Long ABS-MBS USGSE US N 2 2032-03-01 Floating 6.769 N N N N N N FIRSTKEY HOMES 2020-SFR1 TRUST N/A 33767MAA3 2946870.760000 PA USD 2887171.280000 0.0412561 Long ABS-MBS CORP US N 2 2037-08-17 Fixed 1.339 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-B N/A 43710EAD2 79527.600000 PA USD 43032.790000 0.0006149 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.61322 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 313541.520000 PA USD 274476.410000 0.0039221 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.83322 N N N N N N HOME EQUITY ASSET TRUST 2004-8 N/A 437084GS9 3370116.380000 PA USD 3299926.290000 0.0471541 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.36822 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-4 N/A 38014AAD3 4700000.000000 PA USD 4688920.220000 0.0670021 Long ABS-O CORP US N 2 2029-08-16 Fixed 4.4 N N N N N N TRESTLES CLO V LTD 2021-5A N/A 89532UAA1 2400000.000000 PA USD 2403743.950000 0.0343482 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 6.04901 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7 N/A 07387VAF6 1830416.370000 PA USD 1550202.690000 0.0221515 Long ABS-MBS CORP US N 2 2037-10-25 Floating 5.45322 N N N N N N VERUS SECURITIZATION TRUST 2022-2 N/A 92538XAA3 1331699.170000 PA USD 1258179.390000 0.0179787 Long ABS-MBS CORP US N 2 2067-02-25 Variable 4.26 N N N N N N GSR MORTGAGE LOAN TRUST 2004-2F N/A 36229RLX5 1035924.540000 PA USD 778844.430000 0.0111293 Long ABS-MBS CORP US N 2 2034-01-25 Variable 6.44216 N N N N N N REGIONAL MANAGEMENT ISSUANCE TRUST 2024-1 N/A 758983AA8 900000.000000 PA USD 918891.540000 0.0131305 Long ABS-O CORP US N 2 2036-07-15 Fixed 5.83 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB4 N/A 1248MEAE9 1753784.900000 PA USD 1703434.090000 0.0243411 Long ABS-MBS CORP US N 2 2037-04-25 Variable 5.723 N N N N N N N/A N/A 000000000 1.000000 NC USD -522194.880000 -0.0074619 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-01-26 0.000000 USD -9998.470000 USD 5100000.000000 USD -512196.410000 N N N LAD AUTO RECEIVABLES TRUST 2024-2A N/A 505920AD0 500000.000000 PA USD 506094.600000 0.0072318 Long ABS-O CORP US N 2 2029-07-16 Fixed 5.46 N N N N N N COUNTRYWIDE HOME LOANS 2006-3 N/A 126694YM4 5251657.640000 PA USD 4475091.350000 0.0639466 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.95322 N N N N N N BENEFIT STREET PARTNERS CLO IV LTD 2014-IVA N/A 08180FBU4 8500000.000000 PA USD 8520458.140000 0.121753 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.9674 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A N/A 14311UBA5 8300000.000000 PA USD 8301070.700000 0.118618 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.53413 N N N N N N PRET 2021-NPL5 LLC N/A 74143KAA6 12648632.990000 PA USD 12657289.710000 0.180866 Long ABS-MBS CORP US N 2 2051-10-25 Variable 5.487 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-WFH2 N/A 17309MAF0 7244162.260000 PA USD 7090676.570000 0.101322 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.87322 N N N N N N CROSS 2024-H8 MORTGAGE TRUST N/A 22757GAC7 1000000.000000 PA USD 1001959.800000 0.0143174 Long ABS-MBS CORP US N 2 2069-12-25 Variable 5.549 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1 N/A 69363JAA2 14847620.830000 PA USD 14815113.450000 0.2117 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 3.721 N N N N N N FANNIE MAE 2003-116 N/A 31393T5D4 31095.920000 PA USD 29775.230000 0.0004255 Long ABS-MBS USGSE US N 2 2033-11-25 Fixed 4 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DH71 247152.710000 PA USD 229791.640000 0.0032836 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.09103 N N N N N N FANNIE MAE 2006-15 N/A 31395BVE0 6480.630000 PA USD 6360.590000 0.0000909 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 4.81791 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2V1 34064.490000 PA USD 29586.750000 0.0004228 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3 N N N N N N ANGEL OAK MORTGAGE TRUST 2023-6 N/A 03464UAA4 846941.310000 PA USD 854616.970000 0.012212 Long ABS-MBS CORP US N 2 2067-12-25 Fixed 6.5 N N N N N N HARLEY-DAVIDSON MOTORCYCLE TRUST 2024-B N/A 41284PAB1 21900000.000000 PA USD 21930522.030000 0.313375 Long ABS-O CORP US N 2 2027-08-16 Fixed 4.62 N N N N N N FNMA PASS THRU POOLS N/A 31410MHH6 781.110000 PA USD 791.340000 0.0000113 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 6.98 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWKY8 13998607.560000 PA USD 14528366.520000 0.207602 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31371LBY4 4653.420000 PA USD 4733.130000 0.0000676 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 7.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JR2B6 94475.580000 PA USD 84827.290000 0.0012121 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N LCM LOAN INCOME FUND I LTD N/A 50189XAA3 8116081.530000 PA USD 8120915.140000 0.116043 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 5.90901 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAR8 356918.160000 PA USD 254801.880000 0.003641 Long ABS-MBS CORP US N 2 2047-01-20 Variable 4.20312 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-SA1 N/A 76111XG72 67497.310000 PA USD 62957.450000 0.0008996 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.47721 N N N N N N GREENSTATE AUTO RECEIVABLES TRUST 2024-1A N/A 39573AAB8 2291414.360000 PA USD 2300706.270000 0.0328758 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.53 N N N N N N FCCU AUTO RECEIVABLES TRUST 2024-1 N/A 30336CAG0 500000.000000 PA USD 506031.200000 0.0072309 Long ABS-O CORP US N 2 2030-04-15 Fixed 5.46 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD N/A 38136NAY2 1000000.000000 PA USD 1003508.750000 0.0143396 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.752 N N N N N N STRUCTURED ASSET MORTGAGE INV 2005-AR4 N/A 86359LLZ0 12666495.320000 PA USD 10137778.990000 0.144863 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.07322 N N N N N N BAIN CAPITAL CREDIT CLO 2021-3 LTD N/A 05683NAJ1 4000000.000000 PA USD 4000000.000000 0.0571578 Long ABS-CBDO CORP KY N 2 2034-07-24 Floating 5.38742 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-4 N/A 86359BNT4 1462.060000 PA USD 1438.720000 0.0000206 Long ABS-MBS CORP US N 2 2034-04-25 Floating 6.8112 N N N N N N REGIONAL MANAGEMENT ISSUANCE TRUST 2024-2 N/A 75907AAA1 1800000.000000 PA USD 1804116.060000 0.0257798 Long ABS-O CORP US N 2 2033-12-15 Fixed 5.11 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N2 N/A 14687VAC6 1482000.000000 PA USD 1500481.730000 0.0214411 Long ABS-O CORP US N 2 2028-07-10 Fixed 5.71 N N N N N N N/A N/A 000000000 1.000000 NC USD -18392.330000 -0.0002628 N/A DCR US N 3 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ABX.HE.AA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -43772.630000 USD 108597.450000 USD 25380.300000 N N N LONG BEACH MORTGAGE LOAD TR 2005-WL1 N/A 542514LL6 13628398.700000 PA USD 13222178.380000 0.188938 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.50322 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF18 N/A 32029AAC1 11054687.260000 PA USD 9953832.760000 0.142235 Long ABS-MBS CORP US N 2 2037-12-25 Floating 4.67322 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AHF5 1467443.190000 PA USD 1263262.120000 0.0180513 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.99322 N N N N N N SCCU AUTO RECEIVABLES TRUST 2023-1A N/A 805922AE1 1500000.000000 PA USD 1520153.400000 0.0217221 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.7 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-17 N/A 126670RD2 41926.830000 PA USD 41830.530000 0.0005977 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.14322 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A8 N/A 761119AR7 2726848.790000 PA USD 887655.540000 0.0126841 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.95322 N N N N N N COUNTRYWIDE HOME LOANS 2007-18 N/A 12544JAA4 68048.840000 PA USD 29582.970000 0.0004227 Long ABS-MBS CORP US N 2 2037-11-25 Fixed 6 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL4 N/A 126405AE9 9794500.000000 PA USD 7295429.410000 0.104248 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.75 N N N N N N COLT 2022-5 MORTGAGE LOAN TRUST N/A 19688LAA0 9527826.250000 PA USD 9303963.300000 0.132949 Long ABS-MBS CORP US N 2 2067-04-25 Fixed 4.55 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1 N/A 36261WAB3 1100000.000000 PA USD 929416.510000 0.0132808 Long ABS-MBS CORP US N 2 2060-12-25 Variable 2 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-11 N/A 07387AFP5 77861.630000 PA USD 67081.910000 0.0009586 Long ABS-MBS CORP US N 2 2035-12-25 Variable 6.08777 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 N/A 802920AD0 700000.000000 PA USD 699495.020000 0.0099954 Long ABS-O CORP US N 2 2028-11-15 Fixed 4.62 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT2 N/A 40430HEB0 817553.890000 PA USD 806987.990000 0.0115314 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.03822 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-J4 N/A 23242WAC3 3695337.380000 PA USD 1064772.300000 0.015215 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.25 N N N N N N CIM TRUST 2023-I2 N/A 12570HAA5 1014745.000000 PA USD 1025116.300000 0.0146483 Long ABS-MBS CORP US N 2 2067-12-25 Fixed 6.639 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PS6 346188.840000 PA USD 323725.230000 0.0046259 Long ABS-MBS CORP US N 2 2033-02-25 Variable 5.69724 N N N N N N CSMC 2021-RPL3 TRUST N/A 12661GAD1 1000000.000000 PA USD 810869.700000 0.0115869 Long ABS-MBS CORP US N 2 2060-01-25 Fixed 3.375 N N N N N N LUMINENT MORTGAGE TRUST 2006-3 N/A 55027AAU4 1936059.220000 PA USD 1721861.760000 0.0246044 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.87322 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 51726.840000 PA USD 47441.670000 0.0006779 Long ABS-MBS CORP US N 2 2042-06-25 Floating 6.22522 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2021-P1 N/A 14687BAH9 598580.770000 PA USD 592397.130000 0.008465 Long ABS-O CORP US N 2 2027-01-11 Fixed 0.86 N N N N N N FNMA PASS THRU POOLS N/A 3140NGAZ3 220050.320000 PA USD 226734.320000 0.0032399 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6.5 N N N N N N BENEFIT STREET PARTNERS CLO VIII LTD 2015 N/A 08180XAN2 439778.150000 PA USD 440597.870000 0.0062959 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 5.97901 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-3A N/A 30165AAB1 2972040.910000 PA USD 2980338.250000 0.0425874 Long ABS-O CORP US N 2 2027-02-15 Fixed 5.82 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR8 N/A 45660N2J3 2029423.480000 PA USD 1842601.860000 0.0263298 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.25322 N N N N N N FHLMC PASS THRU POOLS N/A 31295KFM1 1125.820000 PA USD 1132.260000 0.0000162 Long ABS-MBS USGSE US N 2 2028-09-01 Floating 7.09 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797LZ8 9105000.000000 PA USD 9075079.510000 0.129678 Long DBT UST US N 2 2025-01-30 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36202FXC5 13386.580000 PA USD 12996.850000 0.0001857 Long ABS-MBS USGSE US N 2 2041-09-20 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -195532.400000 -0.002794 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-02-23 0.000000 USD -13790.000000 USD 4000000.000000 USD -181742.400000 N N N MLCC MORTGAGE INVESTORS INC 2004-D N/A 59020UGG4 486906.740000 PA USD 469019.830000 0.006702 Long ABS-MBS CORP US N 2 2029-09-25 Floating 5.90301 N N N N N N SBNA AUTO LEASE TRUST 2024-B N/A 78437VAE0 4700000.000000 PA USD 4760355.050000 0.0680228 Long ABS-O CORP US N 2 2027-11-22 Fixed 5.56 N N N N N N BEAR STEARNS ASSETBACKED SEC 2004-AC3 N/A 073879BN7 172881.520000 PA USD 169902.110000 0.0024278 Long ABS-MBS CORP US N 2 2034-06-25 Variable 5.5 N N N N N N BAIN CAPITAL CREDIT CLO 2020-2 LTD N/A 05683EAW2 4300000.000000 PA USD 4311768.630000 0.0616128 Long ABS-CBDO CORP KY N 2 2034-07-19 Floating 5.8574 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2005-6 N/A 07387ADJ1 373699.280000 PA USD 361986.390000 0.0051726 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.65621 N N N N N N RESIDENTIAL ASSET SECURITIES C 2005-KS6 N/A 76110WZ41 798732.880000 PA USD 793492.470000 0.0113386 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.10322 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-9 N/A 007036SE7 9070.910000 PA USD 9055.160000 0.0001294 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.99322 N N N N N N ARES XXVII CLO LTD 2013-2A N/A 00190YBP9 6700000.000000 PA USD 6721331.260000 0.0960441 Long ABS-CBDO CORP KY N 2 2034-10-28 Floating 5.70254 N N N N N N GNMA PASS THRU POOLS N/A 36202FPG5 304270.010000 PA USD 295413.330000 0.0042213 Long ABS-MBS USGSE US N 2 2041-01-20 Fixed 4.5 N N N N N N BANC OF AMERICA FUNDING TRUST 2015-R5 N/A 05990WAD2 67875638.020000 PA USD 64369759.500000 0.919808 Long ABS-MBS CORP US N 2 2036-10-26 Floating 3.90364 N N N N N N FNMA PASS THRU POOLS N/A 31402VMV9 2059.790000 PA USD 2069.180000 0.0000296 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 7.27 N N N N N N N/A N/A 000000000 1.000000 NC USD 4969444.520000 0.0710106 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-12-20 771422.180000 USD 0.000000 USD 171170000.000000 USD 4198022.340000 N N N OCTAGON INVESTMENTS PARTNERS LTD 2018-1A N/A 67591UAC1 2605300.790000 PA USD 2609526.120000 0.0372887 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 5.88751 N N N N N N FNMA PASS THRU POOLS N/A 3138NWEC9 10614.160000 PA USD 9657.180000 0.000138 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.5 N N N N N N MF1 2021-FL7 LTD N/A 55284AAA6 17914245.830000 PA USD 17875108.040000 0.255425 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 5.56969 N N N N N N GNMA PASS THRU POOLS N/A 21H052611 5800000.000000 PA USD 5752957.190000 0.0822066 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 5.5 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB4 N/A 17307GMK1 25144.880000 PA USD 23815.730000 0.0003403 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.98 N N N N N N BCAP LLC TRUST 2008-IND1 N/A 05531CAA8 11798865.700000 PA USD 8761880.140000 0.125202 Long ABS-MBS CORP US N 2 2047-10-25 Floating 6.85322 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-6 N/A 576433NS1 641733.960000 PA USD 568297.900000 0.0081207 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.95284 N N N N N N FNMA PASS THRU POOLS N/A 31418E2E9 182237.720000 PA USD 183207.980000 0.0026179 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA8 N/A 32051GWC5 426622.950000 PA USD 180552.760000 0.00258 Long ABS-MBS CORP US N 2 2035-09-25 Variable 4.95621 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE1 N/A 617451DS5 7117124.000000 PA USD 5696291.260000 0.0813968 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.00822 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2004-8AR N/A 61748HEG2 12551.590000 PA USD 12099.130000 0.0001729 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.0376 N N N N N N VERUS SECURITIZATION TRUST 2022-3 N/A 92538UAA9 6411997.780000 PA USD 6046488.260000 0.086401 Long ABS-MBS CORP US N 2 2067-02-25 Fixed 4.13 N N N N N N BLUEMOUNTAIN CLO LTD 2018-3A N/A 09630AAN6 5655029.950000 PA USD 5665826.930000 0.0809615 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 5.81587 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH3 N/A 46630XAG3 3851000.000000 PA USD 3704596.920000 0.0529366 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.75322 N N N N N N VOYA CLO LTD 2019 3A N/A 92918FAF1 28900000.000000 PA USD 28941521.500000 0.413558 Long ABS-CBDO CORP KY N 2 2032-10-17 Floating 5.98906 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2005-1 N/A 004375CX7 892822.680000 PA USD 914814.420000 0.0130722 Long ABS-MBS CORP US N 2 2035-04-25 Floating 7.75322 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERT 2006 N/A 225470Q30 574417.380000 PA USD 403584.850000 0.005767 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 5.5 N N N N N N WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR5 TRUST N/A 92922FSD1 140874.170000 PA USD 137673.900000 0.0019673 Long ABS-MBS CORP US N 2 2034-06-25 Variable 6.50705 N N N N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4 N/A 10806EAC8 1300000.000000 PA USD 1300847.600000 0.0185884 Long ABS-O CORP US N 2 2028-09-15 Fixed 4.72 N N N N N N FHLMC PASS THRU POOLS N/A 3132D9MZ4 620319.910000 PA USD 581662.860000 0.0083116 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 4 N N N N N N RESIDENTIAL ACCREDIT LOANS 2004-QA4 N/A 76110HZH5 2806.120000 PA USD 2740.260000 0.0000392 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.87649 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 1517199.050000 PA USD 1101344.960000 0.0157376 Long ABS-MBS CORP US N 2 2036-01-26 Floating 5.51382 N N N N N N SEQUOIA MORTGAGE TRUST 2004-4 N/A 81744FBF3 130674.850000 PA USD 122679.590000 0.001753 Long ABS-MBS CORP US N 2 2034-05-20 Floating 5.36362 N N N N N N FNMA PASS THRU POOLS N/A 3140H7Z91 5509.500000 PA USD 4946.840000 0.0000707 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N ARROWMARK COLORADO HOLDINGS 2018-3A N/A 28623VAS8 1000000.000000 PA USD 1002615.260000 0.0143268 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 6.47587 N N N N N N CONSECO FINANCE SECURITIZATION 2000-3 N/A 20846QDJ4 22467042.420000 PA USD 4364110.650000 0.0623607 Long ABS-O CORP US N 2 2030-12-01 Variable 8.26 N N N N N N SLC STUDENT LOAN TRUST 2008-2 N/A 78444NAD1 1705553.700000 PA USD 1695554.380000 0.0242285 Long ABS-O CORP US N 2 2040-06-15 Floating 5.9702 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 759006.240000 PA USD 631364.460000 0.0090218 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.79107 N N N N N N ATLAS SENIOR LOAN FUND XV LTD N/A 04942MAN4 7900000.000000 PA USD 7917680.910000 0.113139 Long ABS-CBDO CORP KY N 2 2032-10-23 Floating 5.84626 N N N N N N GSMPS MORTGAGE LOAN TRUST 2005-RP3 N/A 362341LL1 14095057.750000 PA USD 12054317.500000 0.17225 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.80322 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2003-J3 N/A 12669FFD0 9992.270000 PA USD 10657.420000 0.0001523 Long ABS-MBS CORP US N 2 2033-12-25 Fixed 6.25 N N N N N N N/A N/A 000000000 -89.000000 NC USD 442692.060000 0.0063258 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-06-17 -21320506.250000 USD 442692.060000 N N N MORGAN STANLEY ABS CAPITAL I 2004-HE9 N/A 61744CJT4 1651031.550000 PA USD 1551501.420000 0.0221701 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.33822 N N N N N N GSMSC RESECURITIZATION TRUST 2014-2R N/A 36249UAC2 888528.190000 PA USD 829692.430000 0.0118558 Long ABS-MBS CORP US N 2 2037-11-26 Floating 5.31219 N N N N N N GNMA PASS THRU POOLS N/A 21H040616 22400000.000000 PA USD 20633492.100000 0.294841 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -217767.480000 -0.0031118 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-02-23 0.000000 USD -11847.500000 USD 1300000.000000 USD -205919.980000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE6 N/A 61755CAA0 69562.810000 PA USD 61512.260000 0.000879 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.51322 N N N N N N N/A N/A 000000000 1.000000 NC USD 386248.600000 0.0055193 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 22300000.000000 USD 386248.600000 N N N INDYMAC INDX MTGE LOAN TR 2005-AR2 N/A 45660LCL1 449031.410000 PA USD 414358.780000 0.005921 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.09322 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXC8 430917.600000 PA USD 403991.520000 0.0057728 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4 N N N N N N ENCORE CREDIT RECEIVABLES TRUST 2005-2 N/A 126673J45 11430000.000000 PA USD 10746521.430000 0.153562 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.38322 N N N N N N FREDDIE MAC 2395 N/A 31339LMA5 1029.270000 PA USD 1025.170000 0.0000146 Long ABS-MBS USGSE US N 2 2031-12-15 Floating 5.16205 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A N/A 14310MAW7 485697.710000 PA USD 486503.340000 0.0069519 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 5.87906 N N N N N N VERUS SECURITIZATION TRUST 2024-5 N/A 92540HAA4 3117404.470000 PA USD 3141514.480000 0.0448905 Long ABS-MBS CORP US N 2 2069-06-25 Variable 6.192 N N N N N N OCP CLO LTD 2014-7A N/A 67107KAZ9 395380.290000 PA USD 395748.650000 0.005655 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 5.99901 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2F6 20497.100000 PA USD 17809.210000 0.0002545 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWF65 1116413.980000 PA USD 1103337.960000 0.0157661 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.5 N N N N N N CHASE AUTO OWNER TRUST 2024-3A N/A 16144LAC0 25000000.000000 PA USD 25284027.500000 0.361295 Long ABS-O CORP US N 2 2029-07-25 Fixed 5.22 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA6 N/A 74922MAA9 539817.760000 PA USD 481215.250000 0.0068763 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.83322 N N N N N N CITICORP MORTGAGE SECURITIES INC 2006-4 N/A 17310DAJ9 460256.480000 PA USD 412571.100000 0.0058954 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N GOLDEN CREDIT CARD TRUST 2022-1A N/A 380881FE7 33100000.000000 PA USD 31342522.400000 0.447867 Long ABS-MBS CORP CA N 2 2029-01-15 Fixed 1.97 N N N N N N VERUS SECURITIZATION TRUST 2023-5 N/A 924934AA0 1137804.660000 PA USD 1147488.060000 0.016397 Long ABS-MBS CORP US N 2 2068-06-25 Variable 6.476 N N N N N N MTN COMMERCIAL MORTGAGE TRUST 2022-LPFL N/A 62475WAA3 6165000.000000 PA USD 6163776.860000 0.088077 Long ABS-MBS CORP US N 2 2039-03-15 Floating 5.7969 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2020-3A N/A 26833BAB9 5877473.990000 PA USD 5868580.780000 0.0838588 Long ABS-O CORP US N 2 2070-01-27 Floating 5.68327 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5GX7 444062.650000 PA USD 412054.570000 0.005888 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDE0 428966.020000 PA USD 382638.890000 0.0054677 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.82522 N N N N N N LCM 30 LTD N/A 50200YAQ1 1026244.350000 PA USD 1026627.080000 0.0146699 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 5.95901 N N N N N N ANCHORAGE CAPITAL CLO LTD 2015-6A N/A 03328QBL4 2700000.000000 PA USD 2706157.350000 0.0386695 Long ABS-CBDO CORP KY N 2 2034-04-22 Floating 6.07163 N N N N N N CROSS 2024-H2 MORTGAGE TRUST N/A 22757BAA2 2349652.350000 PA USD 2367430.290000 0.0338293 Long ABS-MBS CORP US N 2 2069-04-25 Fixed 6.093 N N N N N N JAMESTOWN CLO XVI LTD 2021-16A N/A 47048RAL9 6500000.000000 PA USD 6500053.690000 0.0928822 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 5.58273 N N N N N N N/A N/A 000000000 -99.000000 NC USD 435157.430000 0.0062182 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2026-06-16 -23775468.750000 USD 435157.430000 N N N ASSET BACKED SEC CORP HOME EQ 2003-HE2 N/A 04541GDS8 12879.460000 PA USD 12804.110000 0.000183 Long ABS-MBS CORP US N 2 2033-04-15 Floating 5.86157 N N N N N N FANNIE MAE WHOLE LOAN N/A 31359UPD1 2644.140000 PA USD 2643.290000 0.0000378 Long ABS-MBS USGSE US N 2 2028-06-25 Fixed 6.5 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P4 N/A 14076LAB9 2400000.000000 PA USD 2402666.880000 0.0343328 Long ABS-O CORP US N 2 2028-02-10 Fixed 4.62 N N N N N N N/A N/A 000000000 1.000000 NC USD 916025.320000 0.0130895 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-21 517118.410000 USD 0.000000 USD 13600000.000000 USD 398906.910000 N N N CITIGROUP MORTGAGE LOAN TR 2004-HE4 N/A 17307GDE5 2754112.090000 PA USD 2757060.640000 0.0393969 Long ABS-MBS CORP US N 2 2033-12-25 Floating 7.82822 N N N N N N SLM STUDENT LOAN TRUST 2008-7 N/A 78445FAD7 4697803.250000 PA USD 4659357.840000 0.0665796 Long ABS-O CORP US N 2 2049-07-25 Floating 6.34529 N N N N N N RESIDENTIAL ASSET SECUR TR 2003-A15 N/A 45660NWT8 14231.030000 PA USD 13371.050000 0.0001911 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.90322 N N N N N N FNMA PASS THRU POOLS N/A 31408XS68 1657.910000 PA USD 1696.180000 0.0000242 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 6.298 N N N N N N COUNTRYWIDE HOME LOANS 2003-HYB1 N/A 12669DC89 6436.210000 PA USD 5867.870000 0.0000838 Long ABS-MBS CORP US N 2 2033-05-19 Floating 4.46306 N N N N N N BHG-2021-A N/A 08861YAA4 1043403.110000 PA USD 1019476.210000 0.0145677 Long ABS-O CORP US N 2 2033-11-17 Fixed 1.42 N N N N N N FNMA PASS THRU POOLS N/A 31418EGF1 489241.470000 PA USD 458753.040000 0.0065553 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 2230087.830000 0.0318667 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-20 2858952.000000 USD 0.000000 USD 115100000.000000 USD -628864.170000 N N N WORLD OMNI AUTO RECEIVABLES TRUST 2024-B N/A 98164HAB4 417656.440000 PA USD 419501.480000 0.0059944 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.48 N N N N N N FNMA PASS THRU POOLS N/A 3138EQLM2 37358.290000 PA USD 36725.980000 0.0005248 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 3 N N N N N N TOWD POINT MORTGAGE TRUST 2024-CES3 N/A 89183EAA9 5198748.020000 PA USD 5248275.970000 0.074995 Long ABS-MBS CORP US N 2 2064-05-25 Variable 6.29 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2004-AR1 N/A 65535VEA2 634061.700000 PA USD 693122.260000 0.0099043 Long ABS-MBS CORP US N 2 2034-08-25 Floating 5.55322 N N N N N N HILTON USA TRUST 2016-HHV N/A 43300LAA8 1000000.000000 PA USD 972656.000000 0.0138987 Long ABS-MBS CORP US N 2 2038-11-05 Fixed 3.719 N N N N N N EQUIFIRST MORTGAGE LOAN TRUST 2004-2 N/A 29445FBR8 2280535.190000 PA USD 1877161.650000 0.0268236 Long ABS-MBS CORP US N 2 2034-10-25 Floating 9.55322 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HV9 3220.530000 PA USD 2886.740000 0.0000412 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.50322 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-4 N/A 88522YAQ2 15093268.350000 PA USD 7983145.080000 0.114075 Long ABS-MBS CORP US N 2 2037-09-25 Variable 4.42769 N N N N N N N/A N/A 000000000 1.000000 NC USD -829474.470000 -0.0118527 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-01-24 0.000000 USD -13960.740000 USD 5000000.000000 USD -815513.730000 N N N CROSS 2024-H6 MORTGAGE TRUST N/A 227919AA5 7640939.830000 PA USD 7572680.260000 0.108209 Long ABS-MBS CORP US N 2 2069-09-25 Fixed 5.129 N N N N N N N/A N/A 000000000 1.000000 NC USD -10445394.380000 -0.149259 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-01-19 0.000000 USD -169111.470000 USD 23500000.000000 USD -10276282.910000 N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3A N/A 78436XAC1 2900000.000000 PA USD 2897681.740000 0.0414063 Long ABS-O CORP US N 2 2030-06-20 Fixed 4.55 N N N N N N CSMC 2021-RPL2 TRUST N/A 12656TAD0 5626018.000000 PA USD 4183420.910000 0.0597788 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.75 N N N N N N OZLM XVIII LTD 2018-18A N/A 67112GAA6 2295243.730000 PA USD 2299834.220000 0.0328634 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 5.93751 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A 12668AVQ5 4617255.760000 PA USD 3870537.460000 0.0553078 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.21322 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-3 N/A 1266714L7 6546338.510000 PA USD 6361864.650000 0.0909075 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.87322 N N N N N N ACE SECURITIES CORP 2007-HE4 N/A 00442LAA7 57246290.540000 PA USD 8783120.890000 0.125506 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.89322 N N N N N N ARGENT SECURITIES INC 2005-W2 N/A 040104NE7 37500000.000000 PA USD 34162447.500000 0.488162 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.21822 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 529817.770000 PA USD 511135.710000 0.0073038 Long ABS-MBS CORP US N 2 2035-05-19 Floating 4.92083 N N N N N N BEAR STEARNS ALT-A TRUST 2004-8 N/A 07386HKV2 2667697.290000 PA USD 2546738.830000 0.0363915 Long ABS-MBS CORP US N 2 2034-09-25 Floating 6.17822 N N N N N N VERUS SECURITIZATION TRUST 2024-R1 N/A 924926AA6 2458459.690000 PA USD 2440723.870000 0.0348766 Long ABS-MBS CORP US N 2 2069-09-25 Fixed 5.218 N N N N N N NELNET STUDENT LOAN TRUST 2016-1A N/A 64033UAA8 6007609.160000 PA USD 6002640.870000 0.0857744 Long ABS-O CORP US N 2 2065-09-25 Floating 5.48327 N N N N N N N/A N/A 000000000 1.000000 NC USD 3632754.470000 0.05191 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-19 0.000000 USD -2985301.730000 USD 176400000.000000 USD 6618056.200000 N N N SYMPHONY CLO XXII LTD N/A 87167GCH1 2400000.000000 PA USD 2407752.890000 0.0344055 Long ABS-CBDO CORP KY N 2 2033-04-18 Floating 5.81235 N N N N N N ASSET BACKED FUNDING CERT 2003-OPT1 N/A 04542BDG4 452439.210000 PA USD 447459.710000 0.006394 Long ABS-MBS CORP US N 2 2033-04-25 Floating 5.13322 N N N N N N 1211 AVENUE OF THE AMERICAS TRUST 2015-1211 N/A 90117PAA3 2950000.000000 PA USD 2910035.170000 0.0415828 Long ABS-MBS CORP US N 2 2035-08-10 Fixed 3.9005 N N N N N N FNMA PASS THRU POOLS N/A 3140EAP80 72494.370000 PA USD 68452.810000 0.0009782 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -639460.850000 -0.0091375 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-09-06 0.000000 USD -74315.000000 USD 8900000.000000 USD -565145.850000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6 N/A 07387YAA1 2108455.650000 PA USD 2078123.830000 0.0296952 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.70322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H26 N/A 38375BYN6 643889.690000 PA USD 642192.460000 0.0091766 Long ABS-MBS USGSE US N 2 2062-10-20 Floating 5.11648 N N N N N N RESIDENTIAL ASSET SECURITIES C 2005-KS5 N/A 76110WX35 3500000.000000 PA USD 3461157.000000 0.049458 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.60322 N N N N N N UMBS PASS THRU POOLS N/A 01F030629 68500000.000000 PA USD 58192891.310000 0.831544 Long ABS-MBS USGSE US N 2 2055-02-13 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31406GD55 1452.840000 PA USD 1459.230000 0.0000209 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 5.732 N N N N N N CSMC 2021-RPL3 TRUST N/A 12661GAA7 5983234.950000 PA USD 5224592.470000 0.0746565 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2 N N N N N N SEQUOIA MORTGAGE TRUST 2004-1 N/A 81744FAA5 42493.170000 PA USD 37895.090000 0.0005415 Long ABS-MBS CORP US N 2 2034-02-20 Floating 6.16401 N N N N N N ASSET BACKED FUNDING CERT 2006-OPT3 N/A 00075VAA9 7778153.090000 PA USD 4868746.590000 0.0695717 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.73322 N N N N N N COUNTRYWIDE HOME LOANS 2005-11 N/A 12669GUX7 22882.260000 PA USD 14107.310000 0.0002016 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.05322 N N N N N N FNMA PASS THRU POOLS N/A 31362L4N7 328.440000 PA USD 323.890000 0.0000046 Long ABS-MBS USGSE US N 2 2027-10-01 Floating 4.467 N N N N N N MORGAN STANLEY CAPITAL INC 2005-HE7 N/A 61744CWM4 6288665.660000 PA USD 6055115.310000 0.0865242 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.11322 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2013-A N/A 17320XAC8 490479.880000 PA USD 462816.180000 0.0066134 Long ABS-MBS CORP US N 2 2042-05-25 Variable 5.57358 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAG4 3100000.000000 PA USD 3080886.330000 0.0440242 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.145 N N N N N N WELLS FARGO HOME EQUITY TRUST 2006-3 N/A 9497EBAD1 4630541.050000 PA USD 4529553.580000 0.0647248 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.79822 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3 N/A 83612KAA9 21297457.820000 PA USD 18086065.270000 0.25844 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.62322 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF18 N/A 32029AAA5 24094180.130000 PA USD 22988254.850000 0.328489 Long ABS-MBS CORP US N 2 2037-12-25 Floating 4.67322 N N N N N N CASCADE MH ASSET TRUST 2024-MH1 N/A 14731VAA6 981131.890000 PA USD 985765.580000 0.014086 Long ABS-O CORP US N 2 2056-11-25 Variable 5.695 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF9 N/A 320276AB4 687957.140000 PA USD 684425.440000 0.0097801 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.70322 N N N N N N BANC OF AMERICA FUNDING CORP 2006-I N/A 05951VAJ8 292328.490000 PA USD 244944.790000 0.0035001 Long ABS-MBS CORP US N 2 2046-10-20 Floating 3.51691 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GM3 163497.050000 PA USD 151715.630000 0.0021679 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N ACE SECURITIES CORP 2004-FM2 N/A 004421GM9 680332.480000 PA USD 549673.610000 0.0078545 Long ABS-MBS CORP US N 2 2034-06-25 Floating 7.64822 N N N N N N SACO I INC 2005-3 N/A 785778EV9 52918.550000 PA USD 51812.400000 0.0007404 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.20322 N N N N N N ENTERPRISE FLEET FINANCING LLC 2022-2 N/A 29374JAB1 4526127.640000 PA USD 4524677.470000 0.0646551 Long ABS-O CORP US N 2 2029-05-21 Fixed 4.65 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAB6 3861071.520000 PA USD 3716956.250000 0.0531132 Long ABS-O CORP US N 2 2047-12-26 Fixed 4.13 N N N N N N EQUIFIRST MORTGAGE LOAN TRUST N/A 29445FAG3 82115.080000 PA USD 78307.090000 0.001119 Long ABS-MBS CORP US N 2 2033-09-25 Variable 4.25 N N N N N N FHLMC PASS THRU POOLS N/A 31346AGV1 4440.730000 PA USD 4506.080000 0.0000644 Long ABS-MBS USGSE US N 2 2031-08-01 Floating 5.945 N N N N N N T-MOBILE US TRUST 2024-2A N/A 87268CAA5 2700000.000000 PA USD 2682891.180000 0.038337 Long ABS-O CORP US N 2 2029-05-21 Fixed 4.25 N N N N N N FNMA PASS THRU POOLS N/A 31402RBR9 1222.200000 PA USD 1237.160000 0.0000177 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 6.29 N N N N N N SUNTRUST ADJR MRTG LN TR 2007-S1 N/A 855541AB4 855762.770000 PA USD 842824.490000 0.0120435 Long ABS-MBS CORP US N 2 2037-01-25 Variable 7.09102 N N N N N N N/A N/A 000000000 1.000000 NC USD -53619.200000 -0.0007662 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-03-20 0.000000 USD -811774.650000 USD 17670000.000000 USD 758155.450000 N N N GNMA PASS THRU POOLS N/A 21H042620 20000000.000000 PA USD 18903906.200000 0.270126 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 4.5 N N N N N N OBX 2023-NQM4 TRUST N/A 67448GAA1 2966412.150000 PA USD 2982741.660000 0.0426217 Long ABS-MBS CORP US N 2 2063-03-25 Variable 6.113 N N N N N N STRUCTURED ASSET MTG INV INC 2003-AR1 N/A 86358HRX9 32708.050000 PA USD 29887.690000 0.0004271 Long ABS-MBS CORP US N 2 2033-10-19 Floating 5.32083 N N N N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 354908.120000 PA USD 342137.000000 0.0048889 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N FREDDIE MAC 3114 N/A 31396HHT9 80643.930000 PA USD 81169.150000 0.0011599 Long ABS-MBS USGSE US N 2 2036-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36225CPN0 9778.460000 PA USD 9785.550000 0.0001398 Long ABS-MBS USGSE US N 2 2030-07-20 Floating 5 N N N N N N PRPM 2024-RCF6 LLC N/A 74390FAA7 946991.060000 PA USD 913612.560000 0.013055 Long ABS-MBS CORP US N 2 2054-10-25 Fixed 4 N N N N N N FIRST NLC TRUST 2007-1 N/A 32115BAD2 1339785.170000 PA USD 665642.920000 0.0095117 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.73322 N N N N N N FHLMC PASS THRU POOLS N/A 31342AMT3 620.940000 PA USD 630.690000 0.000009 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 6.598 N N N N N N SOUND POINT CLO XIX LTD 2018-1A N/A 83610JAA4 8639271.810000 PA USD 8654822.500000 0.123673 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 5.91751 N N N N N N STEELE CREEK CLO LTD 2017-1 N/A 85816VAA4 2215529.430000 PA USD 2218912.880000 0.031707 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.16751 N N N N N N MFA 2023-NQM2 TRUST N/A 55285WAA7 5194038.670000 PA USD 5070781.540000 0.0724587 Long ABS-MBS CORP US N 2 2068-03-25 Fixed 4.4 N N N N N N PRKCM 2023-AFC3 TRUST N/A 693984AA4 2178977.910000 PA USD 2201132.450000 0.031453 Long ABS-MBS CORP US N 2 2058-09-25 Variable 6.584 N N N N N N N/A N/A 000000000 1.000000 NC USD 8.620000 0.0000001 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.8 N/A N/A Y Single Leg Swap 2057-10-17 0.000000 USD -1979.900000 USD 46254.420000 USD 1988.520000 N N N MARBLE POINT CLO XIV LTD 2018-2 N/A 56608KAW3 893193.220000 PA USD 894443.690000 0.0127811 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 5.8174 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-3AR N/A 61748HWM9 2010306.480000 PA USD 1326631.400000 0.0189568 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.70322 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-C N/A 589929S41 1437.910000 PA USD 1345.630000 0.0000192 Long ABS-MBS CORP US N 2 2028-06-25 Floating 5.11322 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-8 N/A 69544QAA8 1523215.690000 PA USD 1527926.690000 0.0218332 Long ABS-O CORP US N 2 2032-01-15 Fixed 5.331 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AA7 4363360.960000 PA USD 4293586.890000 0.061353 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.83322 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AD3 13579553.430000 PA USD 6414731.180000 0.0916629 Long ABS-MBS CORP US N 2 2037-06-27 Fixed 6.10598 N N N N N N FIRST HORIZON ALT MTGE SEC 2005-AA1 N/A 32051GGD1 73696.100000 PA USD 42399.580000 0.0006059 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.1354 N N N N N N CEDAR FUNDING V CLO LTD 2016-5A N/A 15032AAN7 3670055.590000 PA USD 3677424.510000 0.0525484 Long ABS-CBDO CORP KY N 2 2031-07-17 Floating 6.00906 N N N N N N SOUND POINT CLO XXIII 2019-2A N/A 83614BAQ2 7000000.000000 PA USD 7014000.000000 0.100226 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 6.08751 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX4 N/A 456687AC6 5273524.320000 PA USD 4873464.750000 0.0696391 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.81322 N N N N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-3 N/A 10805NAB1 6284899.310000 PA USD 6296629.450000 0.0899753 Long ABS-O CORP US N 2 2027-02-16 Fixed 5.54 N N N N N N VISIO TRUST 2023-2 N/A 92839CAA5 1012751.450000 PA USD 1023789.630000 0.0146294 Long ABS-MBS CORP US N 2 2058-10-25 Fixed 6.598 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-E N/A 05949AHA1 84483.290000 PA USD 80748.350000 0.0011538 Long ABS-MBS CORP US N 2 2034-06-25 Floating 6.28499 N N N N N N AAMES MORTGAGE INVESTMENT TRUST 2005-4 N/A 00252FCW9 1900000.000000 PA USD 1820265.170000 0.0260106 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.36822 N N N N N N ELEVATION CLO 2022-16A LTD N/A 28623YAU7 6100000.000000 PA USD 6100000.000000 0.0871656 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 5.46731 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS4 N/A 52475WAA4 1705677.600000 PA USD 1706977.500000 0.0243918 Long ABS-MBS CORP US N 2 2060-11-25 Fixed 4.65 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670HK7 4627183.870000 PA USD 4483102.620000 0.064061 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.14322 N N N N N N FHLMC PASS THRU POOLS N/A 31348S5M2 504.970000 PA USD 505.050000 0.0000072 Long ABS-MBS USGSE US N 2 2028-03-01 Floating 6.386 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR7 N/A 45660LLS6 2765204.760000 PA USD 2125238.210000 0.0303685 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.42348 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-1 N/A 863579Q92 53272.610000 PA USD 45148.200000 0.0006451 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.93513 N N N N N N FHLMC PASS THRU POOLS N/A 31295NKL1 16817.700000 PA USD 17044.680000 0.0002436 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 6.583 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAN3 65821.470000 PA USD 64487.280000 0.0009215 Long ABS-MBS CORP US N 2 2027-10-20 Floating 5.84474 N N N N N N BLUEMOUNTAIN CLO LTD 2016-3A N/A 09628VAW4 734486.610000 PA USD 736110.520000 0.0105186 Long ABS-CBDO CORP KY N 2 2030-11-15 Floating 5.72346 N N N N N N OBX 2024-NQM9 TRUST N/A 67119DAA6 2214029.820000 PA USD 2229491.940000 0.0318582 Long ABS-MBS CORP US N 2 2064-01-25 Fixed 6.03 N N N N N N FNMA PASS THRU POOLS N/A 31402RH69 2472.930000 PA USD 2481.190000 0.0000355 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 6.026 N N N N N N N/A N/A 000000000 1.000000 NC USD -1198673.670000 -0.0171284 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-06-20 0.000000 USD -962918.090000 USD 37230000.000000 USD -235755.580000 N N N TESLA SUSTAINABLE ENERGY TRUST 2024-1A N/A 88164AAA2 354269.140000 PA USD 354504.090000 0.0050657 Long ABS-O CORP US N 2 2025-12-03 Fixed 4.83 N N N N N N DRSLF-2017-54A N/A 26244RAF8 6854116.870000 PA USD 6867825.100000 0.0981374 Long ABS-CBDO CORP KY N 2 2029-10-19 Floating 5.7674 N N N N N N WASHINGTON MUTUAL 2004-AR3 N/A 92922FNJ3 19880.620000 PA USD 18229.580000 0.0002605 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.70316 N N N N N N LEHMAN XS TRUST 2006-3 N/A 525221JG3 6979829.660000 PA USD 6970187.030000 0.0996001 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.91322 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-ACNT N/A 05609QAA4 11496713.420000 PA USD 11491104.170000 0.164202 Long ABS-MBS CORP US N 2 2038-11-15 Floating 5.36148 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-3 N/A 38013KAD2 20000000.000000 PA USD 20233268.000000 0.289122 Long ABS-O CORP US N 2 2029-04-16 Fixed 5.13 N N N N N N FHLMC PASS THRU POOLS N/A 3142GRQZ6 9605165.190000 PA USD 9809246.520000 0.140169 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N OZLM XIX LTD 2017-17A N/A 67111NAQ7 731169.420000 PA USD 732159.660000 0.0104622 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 5.7674 N N N N N N GSAA HOME EQUITY TRUST 2004-7 N/A 36242DDF7 4009319.090000 PA USD 3876581.360000 0.0553942 Long ABS-MBS CORP US N 2 2034-06-25 Variable 6.114 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2003-5 N/A 68400XBT6 26237.910000 PA USD 27536.000000 0.0003935 Long ABS-MBS CORP US N 2 2033-08-25 Floating 5.35322 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3 N/A 74143JAA9 23991501.340000 PA USD 23880828.540000 0.341244 Long ABS-MBS CORP US N 2 2051-09-25 Variable 4.8429 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-BC3 N/A 86363WAH2 21126000.000000 PA USD 18123127.120000 0.258969 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.71322 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWJ79 12998701.820000 PA USD 13489260.740000 0.192754 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 7 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-82 N/A 12668A5X9 63848.300000 PA USD 53717.950000 0.0007676 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.99322 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1511 N/A 3137FLYL2 67184292.050000 PA USD 3238014.140000 0.0462694 Long ABS-MBS USGSE US N 2 2034-03-25 Variable 0.775036 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB N/A 02149HAN0 243868.430000 PA USD 127118.690000 0.0018165 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.75 N N N N N N FNMA PASS THRU POOLS N/A 3140HDJ47 201593.110000 PA USD 186897.100000 0.0026707 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 196830.950000 PA USD 166471.250000 0.0023788 Long ABS-MBS CORP US N 2 2046-03-20 Floating 4.90474 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACG8 115076.580000 PA USD 108941.310000 0.0015567 Long ABS-MBS CORP US N 2 2035-11-20 Floating 5.12474 N N N N N N WASHINGTON MUTUAL ASSET BACKED 2006-HE5 N/A 93934XAB9 74945.220000 PA USD 26024.660000 0.0003719 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.57322 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-A N/A 589929F94 2125.070000 PA USD 2009.410000 0.0000287 Long ABS-MBS CORP US N 2 2028-03-25 Floating 5.19322 N N N N N N N/A N/A 000000000 1.000000 NC USD 9713637.610000 0.138803 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-06-21 4228753.900000 USD 0.000000 USD 44800000.000000 USD 5484883.710000 N N N N/A N/A 000000000 1.000000 NC USD -14888.200000 -0.0002127 N/A DCR US N 3 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 ABX.HE.AA.07-1 N/A N/A Y Single Leg Swap 2037-08-25 0.000000 USD -162318.620000 USD 191385.330000 USD 147430.420000 N N N SALOMON BROTHERS MTGE SEC VII 2002-1 N/A 79549AQR3 59189.740000 PA USD 59085.710000 0.0008443 Long ABS-MBS CORP US N 2 2032-05-25 Fixed 8.5 N N N N N N GNMA PASS THRU POOLS N/A 21H022622 3600000.000000 PA USD 3007265.650000 0.0429722 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 759677.710000 0.0108554 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-01-17 7222.400000 USD 0.000000 USD 15800000.000000 USD 752455.310000 N N N N/A N/A 000000000 1.000000 NC USD -688506.620000 -0.0098384 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-10-22 0.000000 USD -8577.000000 USD 4000000.000000 USD -679929.620000 N N N N/A N/A 000000000 1.000000 NC USD 1.400000 0 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 0.000000 USD -222.680000 USD 10284.950000 USD 224.080000 N N N N/A N/A 000000000 1.000000 NC USD -93522.580000 -0.0013364 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-10 0.000000 USD -30955.000000 USD 4100000.000000 USD -62567.580000 N N N PORSCHE INNOVATIVE LEASE OWNER TRUST 2024-2A N/A 73328NAB7 2400000.000000 PA USD 2399338.800000 0.0342852 Long ABS-O CORP US N 2 2026-12-21 Fixed 4.47 N N N N N N KKR CLO LTD 21 N/A 48252KAA7 626160.670000 PA USD 626756.740000 0.008956 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 5.91751 N N N N N N FANNIE MAE REMICS 2024-88 N/A 3136BT6B4 1956333.860000 PA USD 1966086.580000 0.0280943 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.76879 N N N N N N DRYDEN 36 SENIOR LOAN FUND 2014-36A N/A 26249KAZ4 298649.390000 PA USD 299246.690000 0.0042761 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 5.93751 N N N N N N FNMA PASS THRU POOLS N/A 3140JN3W8 48998.900000 PA USD 45530.540000 0.0006506 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N MF1 2024-FL14 LLC N/A 55416AAA7 3500000.000000 PA USD 3510489.920000 0.050163 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 6.10335 N N N N N N ARGENT SECURITIES INC 2006-M3 N/A 03076MAE4 3044024.210000 PA USD 887075.530000 0.0126758 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.69322 N N N N N N BMW VEHICLE LEASE TRUST 2024-2 N/A 05613MAB5 3900000.000000 PA USD 3894587.580000 0.0556515 Long ABS-O CORP US N 2 2027-01-25 Fixed 4.29 N N N N N N COUNTRYWIDE HOME LOANS 2003-60 N/A 12669FJC8 5528.220000 PA USD 5431.440000 0.0000776 Long ABS-MBS CORP US N 2 2034-02-25 Floating 6.11598 N N N N N N N/A N/A 000000000 1.000000 NC USD 1084296.240000 0.015494 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 39300000.000000 USD 1084296.240000 N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TR7 212154.370000 PA USD 177035.080000 0.0025297 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.09322 N N N N N N ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2023-1A N/A 682685AA0 7800000.000000 PA USD 7885988.760000 0.112686 Long ABS-O CORP US N 2 2029-11-14 Fixed 5.41 N N N N N N COLT 2024-INV2 MORTGAGE LOAN TRUST N/A 12622SAA9 923881.420000 PA USD 934865.630000 0.0133587 Long ABS-MBS CORP US N 2 2069-05-25 Fixed 6.421 N N N N N N FNMA PASS THRU POOLS N/A 31403DFG9 7107.040000 PA USD 7165.680000 0.0001024 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 7.281 N N N N N N PARK PLACE SECURITIES INC 2004-WCW2 N/A 70069FAZ0 3716065.870000 PA USD 3656693.170000 0.0522521 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.50322 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE3 N/A 073879SA7 8392000.000000 PA USD 8321539.930000 0.11891 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.56822 N N N N N N JAMESTOWN CLO 2022 XVIIIA LTD N/A 47047RAN6 6700000.000000 PA USD 6719397.300000 0.0960165 Long ABS-CBDO CORP KY N 2 2035-07-25 Floating 5.89587 N N N N N N GNMA PASS THRU POOLS N/A 36225CKJ4 7055.740000 PA USD 7042.490000 0.0001006 Long ABS-MBS USGSE US N 2 2029-07-20 Floating 4.625 N N N N N N FANNIE MAE WHOLE LOAN 2001-W1 N/A 31359S2J8 27557.600000 PA USD 26428.990000 0.0003777 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 4.80327 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2023-RPL1 N/A 16159LAC2 3427199.300000 PA USD 3137337.750000 0.0448308 Long ABS-MBS CORP US N 2 2062-06-25 Variable 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -846659.080000 -0.0120983 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-04-18 0.000000 USD -33972.500000 USD 10700000.000000 USD -812686.580000 N N N FNMA PASS THRU POOLS N/A 31410GDF7 2428.450000 PA USD 2457.890000 0.0000351 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 6.498 N N N N N N BANK OF AMERICA MTGE SEC 2003-J N/A 05948XYQ8 5126.180000 PA USD 4987.190000 0.0000713 Long ABS-MBS CORP US N 2 2033-11-25 Floating 6.60051 N N N N N N ONE 2021-PARK MORTGAGE TRUST N/A 682413AA7 2600000.000000 PA USD 2568889.180000 0.036708 Long ABS-MBS CORP US N 2 2036-03-15 Floating 5.21148 N N N N N N GS MORTGAGE SECURITIES TRUST 2015-590M N/A 36250WAA8 2000000.000000 PA USD 1950892.600000 0.0278772 Long ABS-MBS CORP US N 2 2035-10-10 Fixed 3.621 N N N N N N ENT AUTO RECEIVABLES TRUST 2023-1A N/A 293601AG5 1000000.000000 PA USD 1023519.700000 0.0146255 Long ABS-O CORP US N 2 2029-11-15 Fixed 6.26 N N N N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2007-BC2 N/A 84752EAA1 8352626.690000 PA USD 5968725.220000 0.0852898 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.68322 N N N N N N WASHINGTON MUTUAL 2001-AR3 N/A 929227EM4 2433.190000 PA USD 2194.900000 0.0000314 Long ABS-MBS CORP US N 2 2041-11-25 Floating 2.74725 N N N N N N RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2006-RS3 N/A 75156VAD7 19089957.040000 PA USD 15946389.000000 0.227865 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.05322 N N N N N N J.P. MORGAN MORTGAGE TRUST 2023-DSC2 N/A 46657BAA2 836157.760000 PA USD 820110.390000 0.0117189 Long ABS-MBS CORP US N 2 2063-11-25 Variable 5.25 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2005-10 N/A 225470EH2 120661.470000 PA USD 87657.080000 0.0012526 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N TRINITAS CLO XIX LTD N/A 89642FAN3 6900000.000000 PA USD 6900000.000000 0.0985972 Long ABS-CBDO CORP BM N 2 2033-10-20 Floating 5.46603 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-8 N/A 007036QT6 183529.130000 PA USD 179515.130000 0.0025652 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.01322 N N N N N N WASHINGTON MUTUAL 2003-AR1 N/A 939336PC1 46350.360000 PA USD 45182.940000 0.0006456 Long ABS-MBS CORP US N 2 2033-03-25 Fixed 5.65918 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS1 N/A 52474JAA4 1782110.250000 PA USD 1783994.300000 0.0254923 Long ABS-MBS CORP US N 2 2066-10-25 Fixed 4.892 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4T0 631063.310000 PA USD 557522.920000 0.0079667 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.08129 N N N N N N FNMA PASS THRU POOLS N/A 3140MM2C1 46972.960000 PA USD 43732.650000 0.0006249 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 3 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-FF1 N/A 59023WAR9 550613.080000 PA USD 631099.390000 0.0090181 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.57822 N N N N N N EQUITY ONE ABS INC 2004-3 N/A 294751EY4 2019.710000 PA USD 1938.660000 0.0000277 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.13322 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1 N/A 07384MH70 34299.460000 PA USD 28943.490000 0.0004136 Long ABS-MBS CORP US N 2 2034-04-25 Floating 4.82214 N N N N N N N/A N/A 000000000 1.000000 NC USD 834896.840000 0.0119302 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 33800000.000000 USD 834896.840000 N N N FHLMC PASS THRU POOLS N/A 3133C2KJ6 4320107.150000 PA USD 4270238.680000 0.0610193 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FKN5 235681.610000 PA USD 228677.130000 0.0032677 Long ABS-MBS USGSE US N 2 2040-09-20 Fixed 4.5 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A6 N/A 59020UZL2 12000000.000000 PA USD 11321562.000000 0.161779 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.17322 N N N N N N N/A N/A 000000000 1.000000 NC USD -697221.340000 -0.0099629 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-04-21 0.000000 USD -19332.500000 USD 7400000.000000 USD -677888.840000 N N N MASTR SEASONED SECURITIES TRUST 2004-1 N/A 55265WBM4 1795949.800000 PA USD 289144.330000 0.0041317 Long ABS-MBS CORP US N 2 2032-08-25 Fixed 6.5 N N N N N N WORLD OMNI SELECT AUTO TRUST 2024-A N/A 98164LAD1 20000000.000000 PA USD 20111224.000000 0.287378 Long ABS-O CORP US N 2 2030-02-15 Fixed 4.98 N N N N N N CHASE FUND MTGE LN ASSET-BACKED 2003-3 N/A 161546FM3 252.870000 PA USD 252.320000 0.0000036 Long ABS-MBS CORP US N 2 2033-04-25 Floating 4.99322 N N N N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A 55286TAC9 3600000.000000 PA USD 3632449.680000 0.0519057 Long ABS-O CORP US N 2 2032-02-17 Fixed 5.22 N N N N N N MF1 2020-FL4 LTD N/A 58003UAA6 9153863.670000 PA USD 9168051.240000 0.131006 Long ABS-CBDO CORP US N 2 2035-12-15 Floating 6.1963 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTJ7 60782.820000 PA USD 57060.160000 0.0008154 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.22271 N N N N N N APEX CREDIT CLO 2024-1A LTD N/A 03753AAA8 6400000.000000 PA USD 6462900.740000 0.0923513 Long ABS-CBDO CORP BM N 2 2036-04-20 Floating 6.4174 N N N N N N ASSET BACKED FUNDING CERT 2006-OPT1 N/A 00075QAD4 4060000.000000 PA USD 3983062.190000 0.0569157 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.93322 N N N N N N MORGAN STANLEY CAPITAL INC 2004-NC7 N/A 61744CFP6 6519189.000000 PA USD 6589371.980000 0.0941585 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.30822 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL1 N/A 693989AA3 1075594.890000 PA USD 1019396.130000 0.0145666 Long ABS-MBS CORP US N 2 2063-10-25 Variable 3.9 N N N N N N FNMA PASS THRU POOLS N/A 3140XJ5Y5 57262.730000 PA USD 53311.980000 0.0007618 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 407361.020000 0.005821 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 22300000.000000 USD 407361.020000 N N N JP MORGAN MTGE TRUST 2005-A7 N/A 466247WQ2 165114.170000 PA USD 153293.860000 0.0021905 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.79282 N N N N N N BEAR STEARNS ASSETBK SEC INC 2007-S N/A 07387LAA9 535517.000000 PA USD 523235.450000 0.0074767 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.95322 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAA9 764000.020000 PA USD 404121.940000 0.0057747 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.59322 N N N N N N N/A N/A 000000000 1.000000 NC USD 926238.640000 0.0132354 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 33800000.000000 USD 926238.640000 N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 150.760000 PA USD 149.160000 0.0000021 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6.5 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3 N/A 073888BF5 16329.440000 PA USD 16162.340000 0.000231 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 5.28654 N N N N N N FNMA PASS THRU POOLS N/A 31411E2N6 2474.720000 PA USD 2511.880000 0.0000359 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 6.161 N N N N N N FNMA PASS THRU POOLS N/A 31418EYP9 88238309.780000 PA USD 90139125.330000 1.28804 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8ZY4 90307.960000 PA USD 83644.050000 0.0011952 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N TIAA CLO III LTD 2017-2A N/A 87272HAA8 260420.970000 PA USD 260879.000000 0.0037278 Long ABS-CBDO CORP KY N 2 2031-01-16 Floating 6.05891 N N N N N N N/A N/A 000000000 1.000000 NC USD -109361.270000 -0.0015627 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-07-11 0.000000 USD -15400.000000 USD 1100000.000000 USD -93961.270000 N N N N/A N/A 000000000 1.000000 NC USD 467393.240000 0.0066788 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 16900000.000000 USD 467393.240000 N N N TRICON AMERICAN HOMES TRUST 2020-SFR1 N/A 89613GAA4 26306377.530000 PA USD 25226769.060000 0.360476 Long ABS-MBS CORP US N 2 2038-07-17 Fixed 1.499 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 8900000.000000 PA USD 8205791.100000 0.117256 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N N/A N/A 000000000 1.000000 NC USD -185501.990000 -0.0026507 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-09-07 0.000000 USD -30311.250000 USD 5900000.000000 USD -155190.740000 N N N NEW CENTURY HM EQUITY LN TR 2001-NC1 N/A 64352VCA7 1103620.580000 PA USD 1013987.050000 0.0144893 Long ABS-MBS CORP US N 2 2031-06-20 Variable 7 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-7 N/A 69545AAA2 11339436.850000 PA USD 11464281.780000 0.163818 Long ABS-O CORP US N 2 2031-12-15 Fixed 6.117 N N N N N N NEW YORK MORTGAGE TRUST 2024-CP1 N/A 67118PAA0 915553.860000 PA USD 843981.440000 0.01206 Long ABS-MBS CORP US N 2 2068-02-25 Fixed 3.75 N N N N N N GSAA HOME EQUITY TRUST 2005-MTR1 N/A 362341UE7 3600000.000000 PA USD 3450419.280000 0.0493046 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.12822 N N N N N N GSMPS MORTGAGE LOAN TRUST 2003-3 N/A 36290PAS6 322948.350000 PA USD 330712.550000 0.0047257 Long ABS-MBS CORP US N 2 2043-06-25 Fixed 7 N N N N N N PRPM 2024-4 LLC N/A 74390EAA0 952970.890000 PA USD 955942.830000 0.0136599 Long ABS-MBS CORP US N 2 2029-08-25 Fixed 6.414 N N N N N N CHASE AUTO OWNER TRUST 2024-3A N/A 16144LAB2 22503194.760000 PA USD 22626989.340000 0.323327 Long ABS-O CORP US N 2 2027-09-27 Fixed 5.53 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWG98 15164758.440000 PA USD 14994574.210000 0.214264 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N WORLD OMNI AUTO RECEIVABLES TRUST 2024-B N/A 98164HAD0 2200000.000000 PA USD 2229157.920000 0.0318534 Long ABS-O CORP US N 2 2029-09-17 Fixed 5.27 N N N N N N LIBERTY STREET TRUST 2016-225L N/A 902055AA0 2000000.000000 PA USD 1897884.400000 0.0271197 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 3.597 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAC7 3300000.000000 PA USD 3303906.540000 0.047211 Long ABS-O CORP US N 2 2027-08-16 Floating 5.25757 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-4 N/A 542514BQ6 203.580000 PA USD 200.270000 0.0000029 Long ABS-MBS CORP US N 2 2032-03-25 Floating 5.15322 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND VII TRUST 2024-SN1 N/A 072926AC2 1300000.000000 PA USD 1312621.440000 0.0187566 Long ABS-O CORP US N 2 2028-03-15 Fixed 5.66 N N N N N N TESLA ELECTRIC VEHICLE TRUST 2023-1 N/A 881943AC8 15872081.470000 PA USD 15880820.640000 0.226928 Long ABS-O CORP US N 2 2026-12-21 Floating 5.1246 N N N N N N FHLMC PASS THRU POOLS N/A 31349ULF3 7052.370000 PA USD 7267.530000 0.0001038 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.238 N N N N N N GNMA PASS THRU POOLS N/A 21H020618 3000000.000000 PA USD 2399765.640000 0.0342913 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 2 N N N N N N FORD CREDIT AUTO OWNER TRUST 2024-D N/A 34535VAB0 6800000.000000 PA USD 6811710.960000 0.0973356 Long ABS-O CORP US N 2 2027-10-15 Fixed 4.59 N N N N N N AG TRUST 2024-NLP N/A 00792MAA1 6600000.000000 PA USD 6630305.880000 0.0947434 Long ABS-MBS CORP US N 2 2041-07-15 Floating 6.41273 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2024-2 N/A 26207AAC7 9500000.000000 PA USD 9511122.600000 0.135909 Long ABS-O CORP US N 2 2027-12-15 Fixed 4.94 N N N N N N COUNTRYWIDE HOME LOANS 2006-J1 N/A 126694XP8 3470423.250000 PA USD 1574129.850000 0.0224934 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P3 N/A 146919AB1 2700000.000000 PA USD 2700350.460000 0.0385865 Long ABS-O CORP US N 2 2027-11-10 Fixed 4.61 N N N N N N SOUNDVIEW HOME EQUITY LOAN 2006-1 N/A 83611MLA4 11206911.160000 PA USD 9968696.530000 0.142447 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.06822 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4 N/A 83613AAA0 7454120.810000 PA USD 5229078.420000 0.0747206 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.45322 N N N N N N SG COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C5 N/A 78419CAE4 588880.440000 PA USD 583740.460000 0.0083413 Long ABS-MBS CORP US N 2 2048-10-10 Fixed 2.895 N N N N N N FNMA PASS THRU POOLS N/A 31405UMM8 1911.400000 PA USD 1932.970000 0.0000276 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 6.854 N N N N N N TRALEE CLO VI LTD 2019 6A N/A 89289EBL7 1000000.000000 PA USD 1001862.090000 0.0143161 Long ABS-CBDO CORP KY N 2 2032-10-25 Floating 5.84587 N N N N N N OCP CLO LTD 2014-5A N/A 67102SAL8 2807316.730000 PA USD 2813122.630000 0.040198 Long ABS-CBDO CORP KY N 2 2031-04-26 Floating 5.95882 N N N N N N FANNIE MAE 2007-73 N/A 31396V4Q8 400497.330000 PA USD 392177.080000 0.005604 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.75017 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-12 N/A 17307GY69 35423.590000 PA USD 34282.440000 0.0004899 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.25322 N N N N N N PRP ADVISORS LLC 2024-RCF4 N/A 74448JAA1 880619.300000 PA USD 854021.160000 0.0122035 Long ABS-MBS CORP US N 2 2054-07-25 Fixed 4 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-13R N/A 12646ADL3 3684878.870000 PA USD 2377798.900000 0.0339774 Long ABS-MBS CORP US N 2 2036-02-27 Variable 4.60935 N N N N N N FREDDIE MAC 2411 N/A 31339D4L9 2797.660000 PA USD 2788.060000 0.0000398 Long ABS-MBS USGSE US N 2 2029-12-15 Floating 5.06205 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL2 N/A 69392CAA2 964580.570000 PA USD 902868.540000 0.0129015 Long ABS-MBS CORP US N 2 2064-06-25 Fixed 4.075 N N N N N N BX-2021-LBA N/A 05609BAV1 4151751.280000 PA USD 4153891.090000 0.0593568 Long ABS-MBS CORP US N 2 2036-02-15 Floating 5.31248 N N N N N N STRUCTURED ASSET INVEST LN TR 2004-BNC2 N/A 86358ENJ1 812938.180000 PA USD 777938.510000 0.0111163 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.72822 N N N N N N N/A N/A 000000000 1.000000 NC USD -1154188.980000 -0.0164927 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-02-08 0.000000 USD -24000.000000 USD 6400000.000000 USD -1130188.980000 N N N MERRILL LYNCH MORTGAGE INVESTOR 2006-RM2 N/A 590216AF4 15251575.020000 PA USD 1662055.640000 0.0237499 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.95322 N N N N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 023947AB0 4823934.520000 PA USD 4845088.920000 0.0692336 Long ABS-O CORP US N 2 2028-02-18 Fixed 5.75 N N N N N N FNMA PASS THRU POOLS N/A 3140JLYP3 11029.540000 PA USD 10265.180000 0.0001467 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31391T4G0 6865.090000 PA USD 6995.310000 0.0001 Long ABS-MBS USGSE US N 2 2032-11-01 Floating 6.302 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A3 N/A 46628UAD0 12840000.440000 PA USD 11481505.280000 0.164064 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.93322 N N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM4 N/A 59023QAB7 124730.760000 PA USD 24605.540000 0.0003516 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.61322 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P2 N/A 14688PAD6 2600000.000000 PA USD 2624247.860000 0.037499 Long ABS-O CORP US N 2 2030-06-10 Fixed 5.21 N N N N N N FNMA PASS THRU POOLS N/A 31411EJC2 1520.190000 PA USD 1544.170000 0.0000221 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 6.583 N N N N N N WASHINGTON MUTUAL 2004-AR12 N/A 92922FZF8 209541.240000 PA USD 201436.750000 0.0028784 Long ABS-MBS CORP US N 2 2044-10-25 Floating 5.23322 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4B6 1119379.410000 PA USD 1121680.290000 0.0160282 Long ABS-O CORP US N 2 2032-09-15 Fixed 4.97 N N N N N N REGATTA XVI FUNDING LTD 2019-2A N/A 75888TAL9 7100000.000000 PA USD 7122129.850000 0.101771 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 5.8559 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-14 N/A 126670LS5 5499999.950000 PA USD 5223632.100000 0.0746428 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.54822 N N N N N N VERUS SECURITIZATION TRUST 2024-INV1 N/A 92540FAA8 12871769.180000 PA USD 12970890.810000 0.185347 Long ABS-MBS CORP US N 2 2069-03-25 Variable 6.116 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11 N/A 12668ART4 704103.630000 PA USD 384681.740000 0.0054969 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N NORTHWOODS CAPITAL XII-B LTD 2018-12BA N/A 66858CAN7 3773904.790000 PA USD 3781432.300000 0.0540346 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 5.54857 N N N N N N N/A N/A 000000000 1.000000 NC USD 374455.410000 0.0053508 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 22300000.000000 USD 374455.410000 N N N FORTRESS CREDIT BSL VII LTD 2019-1A N/A 34956NAL6 3000000.000000 PA USD 3009329.610000 0.0430017 Long ABS-CBDO CORP KY N 2 2032-07-23 Floating 5.64946 N N N N N N FNMA PASS THRU POOLS N/A 3138EJVL9 62548.090000 PA USD 57014.710000 0.0008147 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.5 N N N N N N PRPM 2023-NQM3 TRUST N/A 69380TAA9 6293307.540000 PA USD 6342105.850000 0.0906252 Long ABS-MBS CORP US N 2 2068-11-25 Fixed 6.221 N N N N N N LCM XXIII LTD N/A 52111PAF8 18562.620000 PA USD 18577.610000 0.0002655 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 5.94901 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-3A N/A 96043CAD2 2500000.000000 PA USD 2500457.500000 0.0357302 Long ABS-O CORP US N 2 2028-04-17 Fixed 4.71 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N2 N/A 14687VAB8 1930060.070000 PA USD 1939361.420000 0.0277124 Long ABS-O CORP US N 2 2027-08-10 Fixed 5.9 N N N N N N CHASE AUTO OWNER TRUST 2024-5A N/A 16144QAB1 2000000.000000 PA USD 1998006.400000 0.0285504 Long ABS-O CORP US N 2 2027-11-26 Fixed 4.4 N N N N N N CITIGROUP MTGE LOAN TR INC 2005-WF2 N/A 17307GVM7 187694.190000 PA USD 179919.920000 0.002571 Long ABS-MBS CORP US N 2 2035-08-25 Variable 6.05 N N N N N N TOWD POINT MORTGAGE TRUST 2016-4 N/A 89172UAC2 819969.110000 PA USD 809899.480000 0.011573 Long ABS-MBS CORP US N 2 2056-07-25 Variable 3.25 N N N N N N FNMA PASS THRU POOLS N/A 3138XCCG5 19014.860000 PA USD 18785.230000 0.0002684 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N BDS 2021-FL10 LTD N/A 07335YAA4 7149815.890000 PA USD 7154287.170000 0.102231 Long ABS-CBDO CORP KY N 2 2036-12-16 Floating 5.83969 N N N N N N WASHINGTON MUTUAL 2004-AR2 N/A 92922FNX2 393456.880000 PA USD 333299.960000 0.0047627 Long ABS-MBS CORP US N 2 2044-04-25 Floating 6.22522 N N N N N N MELLON RESIDENTIAL FUNDING CO 2001-TBC1 N/A 585525FC7 14636.870000 PA USD 14009.780000 0.0002002 Long ABS-MBS CORP US N 2 2031-11-15 Floating 5.21157 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR3 N/A 86359LJZ3 3648155.200000 PA USD 3290389.010000 0.0470178 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.99322 N N N N N N GNMA PASS THRU POOLS N/A 36179WZA9 719675.000000 PA USD 624744.560000 0.0089273 Long ABS-MBS USGSE US N 2 2052-03-20 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133BSZQ8 124420.170000 PA USD 123108.260000 0.0017591 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.5 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-4 N/A 83611MKH0 2200000.000000 PA USD 2042858.180000 0.0291913 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.42822 N N N N N N LAD AUTO RECEIVABLES TRUST 2024-3A N/A 505709AC9 1200000.000000 PA USD 1195076.040000 0.017077 Long ABS-O CORP US N 2 2029-03-15 Fixed 4.52 N N N N N N FNMA PASS THRU POOLS N/A 31402RH77 7710.520000 PA USD 7802.450000 0.0001115 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 6.026 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2004-BC3 N/A 126673CB6 608565.600000 PA USD 601368.700000 0.0085932 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.35322 N N N N N N FHLMC PASS THRU POOLS N/A 3128NHK36 2274.730000 PA USD 2333.940000 0.0000334 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 7.068 N N N N N N FNMA PASS THRU POOLS N/A 3140EUUY3 20077.690000 PA USD 18641.650000 0.0002664 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4W9 977498.460000 PA USD 900404.520000 0.0128663 Long ABS-MBS CORP US N 2 2035-01-25 Variable 5.37343 N N N N N N VENTURE CLO LTD 2018-33A N/A 92330YAN3 1478246.480000 PA USD 1481075.770000 0.0211638 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 5.97751 N N N N N N SCCU AUTO RECEIVABLES TRUST 2024-1A N/A 78436RAG5 3200000.000000 PA USD 3209457.920000 0.0458614 Long ABS-O CORP US N 2 2030-05-15 Fixed 5.16 N N N N N N UMBS PASS THRU POOLS N/A 01F050619 32402000.000000 PA USD 31275409.680000 0.446908 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8 N/A 02147CAA1 7261969.180000 PA USD 6379655.170000 0.0911617 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.83322 N N N N N N LCM XXV LTD 25A N/A 50189PAY8 3530504.050000 PA USD 3531705.520000 0.0504661 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 5.7174 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AH9 7404683.840000 PA USD 6395953.390000 0.0913946 Long ABS-MBS CORP US N 2 2046-11-25 Variable 6.75 N N N N N N CITICORP MORTGAGE SECURITIES REMIC PASS-THROUGH CERTIFICATES TRUST SERIES 2005-5 N/A 1729732F5 1430017.360000 PA USD 918057.270000 0.0131185 Long ABS-MBS CORP US N 2 2035-08-25 Variable 5.36369 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGC3 36710.070000 PA USD 34600.830000 0.0004944 Long ABS-MBS CORP US N 2 2036-02-25 Floating 7.0009 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-7 N/A 863579PL6 33385.840000 PA USD 29652.000000 0.0004237 Long ABS-MBS CORP US N 2 2035-04-25 Variable 5.50099 N N N N N N N/A N/A 000000000 1.000000 NC USD -593452.360000 -0.0084801 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-04-22 0.000000 USD -27640.000000 USD 8000000.000000 USD -565812.360000 N N N TTAN 2021-MHC N/A 87303TAA5 1538088.990000 PA USD 1538495.970000 0.0219843 Long ABS-MBS CORP US N 2 2038-03-15 Floating 5.36248 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5 N/A 81379EAB8 19574212.940000 PA USD 14678490.880000 0.209748 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.63322 N N N N N N DC OFFICE TRUST 2019-MTC N/A 23312BAA8 2205000.000000 PA USD 1923700.430000 0.0274886 Long ABS-MBS CORP US N 2 2045-09-15 Fixed 2.965 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-3 N/A 38013KAC4 20000000.000000 PA USD 20010232.000000 0.285935 Long ABS-O CORP US N 2 2027-06-16 Floating 4.95757 N N N N N N SEC ASSET BACKED REC LLC 2006-NC3 N/A 81377CAM0 11693644.430000 PA USD 6584331.010000 0.0940864 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.73322 N N N N N N FNMA PASS THRU POOLS N/A 31402CUL4 2068.550000 PA USD 2079.210000 0.0000297 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 6.792 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2005-1R N/A 22546MAQ9 169464.930000 PA USD 99768.880000 0.0014256 Long ABS-MBS CORP US N 2 2035-12-26 Fixed 5.75 N N N N N N ACHV ABS TRUST 2024-1PL N/A 00092BAA2 188232.890000 PA USD 189963.350000 0.0027145 Long ABS-O CORP US N 2 2031-04-25 Fixed 5.9 N N N N N N FANNIE MAE REMIC-1997-76 N/A 31359QT20 206.070000 PA USD 205.610000 0.0000029 Long ABS-MBS USGSE US N 2 2027-09-17 Floating 5.11272 N N N N N N MORGAN STANLEY CAPITAL INC 2006-HE2 N/A 617451EV7 5350482.170000 PA USD 4393549.500000 0.0627814 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.99322 N N N N N N BANK OF AMERICA AUTO TRUST 2024-1A N/A 09709AAB8 2233182.740000 PA USD 2241757.270000 0.0320335 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.57 N N N N N N 37 CAPITAL CLO II 2022-1A N/A 88429PAU6 1600000.000000 PA USD 1605326.030000 0.0229392 Long ABS-CBDO CORP JE N 2 2034-07-15 Floating 5.9459 N N N N N N BEAR STEARNS ALT-A TRUST-2004-7 N/A 07386HKN0 417118.130000 PA USD 393558.840000 0.0056237 Long ABS-MBS CORP US N 2 2034-08-25 Floating 6.35707 N N N N N N MAGNETITE CLO LTD 2020-25A N/A 55955GAA1 786960.720000 PA USD 788670.120000 0.0112697 Long ABS-CBDO CORP KY N 2 2032-01-25 Floating 6.08748 N N N N N N GSAA HOME EQUITY TRUST 2005-MTR1 N/A 362341UF4 4148387.250000 PA USD 3717276.890000 0.0531178 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.15822 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC1 N/A 07387UCT6 46298.140000 PA USD 29943.240000 0.0004279 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWN56 57722.520000 PA USD 51969.050000 0.0007426 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N SAXON ASSET SECURITIES TR 2004-2 N/A 805564QK0 3480300.410000 PA USD 3582464.980000 0.0511914 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.32322 N N N N N N TRINITAS CLO VIII LTD N/A 89642RAA5 1180103.380000 PA USD 1182357.550000 0.0168952 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 5.97901 N N N N N N FANNIE MAE 2002-25 N/A 31392C6T6 1402.600000 PA USD 1411.480000 0.0000202 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 5.68327 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR3 N/A 86363NAY5 7306400.080000 PA USD 6628754.850000 0.0947212 Long ABS-MBS CORP US N 2 2047-09-25 Floating 4.83322 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAX8 410167.750000 PA USD 318161.090000 0.0045463 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.9202 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL37 2754677.120000 PA USD 2659041.070000 0.0379962 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.12941 N N N N N N NLT 2023-1 TRUST N/A 62917MAA1 11965759.480000 PA USD 10613378.570000 0.151659 Long ABS-MBS CORP US N 2 2062-10-25 Variable 3.2 N N N N N N NAVIENT STUDENT LOAN TRUST 2020-IA N/A 63942AAB2 1386370.800000 PA USD 1386249.630000 0.0198087 Long ABS-O CORP US N 2 2069-04-15 Floating 5.51157 N N N N N N AMERIQUEST MORTGAGE SEC INC 2004-R10 N/A 03072SVW2 3843676.250000 PA USD 3340231.920000 0.0477301 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.50822 N N N N N N OCEAN TRAILS CLO X 2020-10A N/A 67516CAW9 1000000.000000 PA USD 1003123.860000 0.0143341 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.9559 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-10 N/A 69544MAA7 2800000.000000 PA USD 2802429.000000 0.0400452 Long ABS-O CORP US N 2 2032-06-15 Fixed 5.183 N N N N N N FNMA PASS THRU POOLS N/A 31410BG57 3692.500000 PA USD 3790.190000 0.0000542 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 6.952 N N N N N N FHLMC PASS THRU POOLS N/A 31349SF32 10949.440000 PA USD 11233.600000 0.0001605 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 6.483 N N N N N N FNMA PASS THRU POOLS N/A 3140EWDJ1 35904.100000 PA USD 33337.990000 0.0004764 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2022-AHP N/A 05610FAA5 9600000.000000 PA USD 9578207.040000 0.136867 Long ABS-MBS CORP US N 2 2039-01-17 Floating 5.38709 N N N N N N N/A N/A 000000000 1.000000 NC USD -3692894.040000 -0.0527694 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-15 583099.220000 USD 0.000000 USD 35446000.000000 USD -4275993.260000 N N N TRINITAS CLO XII LTD N/A 89641GAN2 8300000.000000 PA USD 8308955.370000 0.11873 Long ABS-CBDO CORP KY N 2 2033-04-25 Floating 5.99587 N N N N N N BANK OF AMERICA ALT LN TRUST 2004-6 N/A 05948KSS9 421636.760000 PA USD 383716.520000 0.0054831 Long ABS-MBS CORP US N 2 2034-07-25 Fixed 6 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-EMX2 N/A 76110W2N5 1644694.930000 PA USD 1641142.880000 0.023451 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.37322 N N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA1 N/A 32051D3G5 524558.570000 PA USD 515429.100000 0.0073652 Long ABS-MBS CORP US N 2 2034-06-25 Fixed 6.28809 N N N N N N CITIGROUP MTGE LOAN TR INC 2005-WF2 N/A 17307GVL9 1042453.510000 PA USD 933136.620000 0.013334 Long ABS-MBS CORP US N 2 2035-08-25 Variable 6.129 N N N N N N ENCORE CREDIT RECEIVABLES TR 2005-1 N/A 126673VQ2 293675.940000 PA USD 284972.350000 0.0040721 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.14322 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT3 N/A 83611MGU6 678163.300000 PA USD 669959.900000 0.0095734 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.15822 N N N N N N FNMA PASS THRU POOLS N/A 3140E2LS8 4702.370000 PA USD 4385.580000 0.0000627 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 54480356.570000 0.778494 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-06-15 15462274.460000 USD 0.000000 USD 141000000.000000 USD 39018082.110000 N N N BEAR STEARNS ALT-A TRUST 2003-5 N/A 07386HDM0 122385.080000 PA USD 116990.570000 0.0016717 Long ABS-MBS CORP US N 2 2033-12-25 Fixed 6.38839 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-SA1 N/A 74958WAA4 204126.230000 PA USD 170972.950000 0.0024431 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.2 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA N/A 78449VAC0 5399135.420000 PA USD 5377707.870000 0.0768445 Long ABS-O CORP US N 2 2054-09-15 Floating 5.30322 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-16 N/A 12667GME0 1223357.780000 PA USD 1086610.600000 0.0155271 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.95322 N N N N N N FNMA PASS THRU POOLS N/A 3140FXLS9 202323.820000 PA USD 187364.420000 0.0026773 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 4 N N N N N N TESLA AUTO LEASE TRUST 2024-B N/A 881934AB9 2400000.000000 PA USD 2403747.840000 0.0343482 Long ABS-O CORP US N 2 2027-01-20 Fixed 4.79 N N N N N N N/A N/A 000000000 1.000000 NC USD 621193.200000 0.0088765 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-12-18 47116.590000 USD 0.000000 USD 33720000.000000 USD 574076.610000 N N N BEAR STEARNS ASSETBACKED SEC 2006-4 N/A 07389LAD1 15881856.300000 PA USD 14824494.720000 0.211834 Long ABS-MBS CORP US N 2 2036-10-25 Variable 5.00322 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 2502811.250000 PA USD 2242521.680000 0.0320444 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N MORGAN STANLEY DEAN WITT CAP I 2003-NC2 N/A 61746WA75 25618.750000 PA USD 26502.780000 0.0003787 Long ABS-MBS CORP US N 2 2033-02-25 Floating 5.80322 N N N N N N NEW YORK MORTGAGE TRUST 2022-CP1 N/A 62955VAC0 250000.000000 PA USD 212760.500000 0.0030402 Long ABS-MBS CORP US N 2 2061-07-25 Fixed 3.2145 N N N N N N MASTR ASSET BACKED SEC TR 2004-OPT2 N/A 57643LEV4 485816.340000 PA USD 417579.790000 0.005967 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.15322 N N N N N N FNMA PASS THRU POOLS N/A 31418E3F5 33987035.340000 PA USD 34709171.130000 0.495975 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6.5 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2004-R1 N/A 62951MAB6 299353.990000 PA USD 272609.230000 0.0038954 Long ABS-MBS CORP US N 2 2034-03-25 Fixed 7.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KQKE5 53687781.390000 PA USD 50629925.080000 0.723473 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -642530.480000 -0.0091814 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-01-12 0.000000 USD -10464.590000 USD 4000000.000000 USD -632065.890000 N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAB8 3333991.250000 PA USD 2199583.720000 0.0314308 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.53322 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A 07384YGY6 26801.660000 PA USD 26650.310000 0.0003808 Long ABS-MBS CORP US N 2 2042-11-25 Floating 5.95322 N N N N N N N/A N/A 000000000 1.000000 NC USD -563017.740000 -0.0080452 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-02-28 0.000000 USD -12367.500000 USD 6800000.000000 USD -550650.240000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-F N/A 83207VAA6 3521255.390000 PA USD 3492782.870000 0.0499099 Long ABS-O CORP US N 2 2054-03-16 Fixed 5.06 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA N/A 78449VAB2 12747828.210000 PA USD 11828573.390000 0.169024 Long ABS-O CORP US N 2 2054-09-15 Fixed 1.6 N N N N N N PIKES PEAK CLO 2019-4A N/A 72132WAN9 6100000.000000 PA USD 6116573.580000 0.0874024 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.8659 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR4 N/A 32051GTX3 1278032.630000 PA USD 1169440.750000 0.0167107 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.28162 N N N N N N FNMA PASS THRU POOLS N/A 3138WFGG5 1428995.100000 PA USD 1327521.130000 0.0189695 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS6 N/A 75406WAF8 18508000.000000 PA USD 16342936.010000 0.233532 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.74322 N N N N N N TBW MTGE BACKED PASS THRU CERT 2006-2 N/A 878048AM9 862933.950000 PA USD 358341.520000 0.0051205 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 7 N N N N N N FHLMC PASS THRU POOLS N/A 31349ULB2 6110.140000 PA USD 6324.140000 0.0000904 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.481 N N N N N N GSAA HOME EQUITY TRUST 2004-11 N/A 36242DQK2 3776969.520000 PA USD 3286885.820000 0.0469678 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.87822 N N N N N N RESIDENTIAL FUNDING MORTGAGE SECURITIES I 2007-SA4 N/A 74959AAD5 1062610.750000 PA USD 1020117.900000 0.0145769 Long ABS-MBS CORP US N 2 2037-10-25 Variable 6.42492 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-4A N/A 30166UAB6 7383900.020000 PA USD 7400874.870000 0.105754 Long ABS-O CORP US N 2 2027-05-17 Fixed 5.6 N N N N N N CITIGROUP MORTGAGE LOAN TR 2006-AMC1 N/A 17309PAB2 9215793.710000 PA USD 8029568.080000 0.114738 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.77322 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3 N/A 80287LAC3 7900000.000000 PA USD 8001605.060000 0.114339 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.63 N N N N N N NOVASTAR HOME EQUITY LOAN 2003-4 N/A 66987XDE2 5838410.270000 PA USD 5775994.160000 0.0825358 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.19322 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-10 N/A 126670BA5 6249999.990000 PA USD 5538570.620000 0.0791431 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.48822 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-NC1 N/A 81378AAC5 18187609.800000 PA USD 8695543.530000 0.124255 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.75322 N N N N N N ACE SECURITIES CORP 2007-HE3 N/A 00442GAA8 22770439.100000 PA USD 4963803.160000 0.07093 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.89322 N N N N N N OCTANE RECEIVABLES TRUST 2024-3A N/A 67571GAB8 900000.000000 PA USD 901844.460000 0.0128869 Long ABS-O CORP US N 2 2030-05-20 Fixed 4.94 N N N N N N MDPK-2021-39A N/A 55821LAJ3 1000000.000000 PA USD 1003475.830000 0.0143391 Long ABS-CBDO CORP KY N 2 2034-10-22 Floating 5.88163 N N N N N N OBX 2023-NQM3 TRUST N/A 67117PAA1 5916422.680000 PA USD 5938721.680000 0.084861 Long ABS-MBS CORP US N 2 2063-02-25 Fixed 5.94871 N N N N N N COLT 2022-8 MORTGAGE LOAN TRUST N/A 19688MAA8 3940392.950000 PA USD 3968577.790000 0.0567088 Long ABS-MBS CORP US N 2 2067-08-25 Variable 6.467 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAA9 740856.510000 PA USD 692515.620000 0.0098957 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.75322 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAD1 2375000.000000 PA USD 2401670.300000 0.0343185 Long ABS-O CORP US N 2 2028-01-18 Fixed 5.84 N N N N N N NEW CENTURY HOME EQUITY LN TRUST 2005-D N/A 64352VPQ8 6461966.690000 PA USD 6200934.250000 0.0886079 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.12822 N N N N N N COMM MORTGAGE TRUST 2016-787S N/A 12635WAA5 3800000.000000 PA USD 3696713.340000 0.052824 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 3.545 N N N N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A 68249DAA7 9700000.000000 PA USD 9263911.280000 0.132376 Long ABS-MBS CORP US N 2 2036-01-15 Floating 5.46248 N N N N N N PFP 2024-11 LTD N/A 69291WAA0 4390291.380000 PA USD 4427059.630000 0.0632602 Long ABS-MBS CORP KY N 2 2039-09-17 Floating 6.31491 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDK6 805612.630000 PA USD 650102.730000 0.0092896 Long ABS-MBS CORP US N 2 2046-01-25 Floating 5.15322 N N N N N N N/A N/A 000000000 1.000000 NC USD 7018150.110000 0.100286 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-06-20 930096.630000 USD 0.000000 USD 290900000.000000 USD 6088053.480000 N N N FORD CREDIT AUTO OWNER TRUST 2024-C N/A 34532UAB5 10500000.000000 PA USD 10493361.900000 0.149944 Long ABS-O CORP US N 2 2027-08-15 Fixed 4.32 N N N N N N OBX 2022-NQM8 TRUST N/A 67117YAA2 14082186.540000 PA USD 14099486.510000 0.201474 Long ABS-MBS CORP US N 2 2062-09-25 Variable 6.1 N N N N N N JP MORGAN MORTGAGE TRUST 2007-S3 N/A 46631NBD0 2399900.730000 PA USD 781079.610000 0.0111612 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.93322 N N N N N N FNMA PASS THRU POOLS N/A 31418EJZ4 18953.340000 PA USD 17772.160000 0.000254 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4 N N N N N N JP MORGAN MTGGE ACQUIS CORP 2005-OPT2 N/A 46626LEQ9 5000000.000000 PA USD 4626508.500000 0.0661102 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.42822 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QA12 N/A 761118NB0 627302.170000 PA USD 542685.630000 0.0077547 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.54184 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAA3 33342027.150000 PA USD 30188171.460000 0.431372 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.57322 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673AX0 12072.780000 PA USD 11768.180000 0.0001682 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.19322 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR7 N/A 172987BA6 989057.930000 PA USD 905017.280000 0.0129322 Long ABS-MBS CORP US N 2 2036-11-25 Variable 4.63516 N N N N N N HERTZ VEHICLE FINANCING III LLC 2023-2A N/A 42806MBW8 10000000.000000 PA USD 10079680.000000 0.144033 Long ABS-O CORP US N 2 2029-09-25 Fixed 5.57 N N N N N N BPCRE HOLDER LLC 2022-FL2 N/A 05602FAA5 1004921.530000 PA USD 1012440.390000 0.0144672 Long ABS-CBDO CORP BM N 2 2037-01-16 Floating 6.77521 N N N N N N LAD AUTO RECEIVABLES TRUST 2024-3A N/A 505709AB1 2000000.000000 PA USD 2001212.600000 0.0285962 Long ABS-O CORP US N 2 2027-11-15 Fixed 4.64 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-NC1 N/A 81375WAK2 1258529.560000 PA USD 1274596.200000 0.0182133 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.23322 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT N/A 46645WAC7 3238870.000000 PA USD 2917543.650000 0.0416901 Long ABS-MBS CORP US N 2 2033-07-05 Floating 6.015 N N N N N N STRUCTURED ARM LOAN TRUST 2004-12 N/A 863579BA5 354806.550000 PA USD 341166.720000 0.0048751 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.74871 N N N N N N RESIDENTIAL ASSET SECURITIES C 2005-KS6 N/A 76110WZ58 3000000.000000 PA USD 2768270.100000 0.039557 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.32822 N N N N N N FNMA PASS THRU POOLS N/A 3140X6S93 3306421.070000 PA USD 2968665.990000 0.0424206 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N BEAR STEARNS ALT-A TRUST 2005-5 N/A 07386HUJ8 6472282.740000 PA USD 4160758.740000 0.0594549 Long ABS-MBS CORP US N 2 2035-07-25 Variable 5.50933 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB N/A 02148FBX2 529369.750000 PA USD 439343.120000 0.006278 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 5840.690000 PA USD 5611.380000 0.0000802 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 6.02522 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAC7 1850000.000000 PA USD 1847013.550000 0.0263928 Long ABS-O CORP US N 2 2028-03-15 Fixed 4.45 N N N N N N FNMA PASS THRU POOLS N/A 3138XHG21 46117.970000 PA USD 42040.820000 0.0006007 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 3.5 N N N N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4 N/A 12498QAC0 4238061.140000 PA USD 2809345.890000 0.040144 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.75322 N N N N N N ACHV ABS TRUST 2024-3AL N/A 00092KAA2 379752.000000 PA USD 380024.510000 0.0054303 Long ABS-O CORP US N 2 2031-12-26 Fixed 5.01 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL1 N/A 03881CAA9 3038214.370000 PA USD 3046457.590000 0.0435322 Long ABS-CBDO CORP KY N 2 2035-12-15 Floating 5.48157 N N N N N N STRUCTURED ASSET SECUR CORP 2005-GEL1 N/A 86359BX30 778295.370000 PA USD 764819.420000 0.0109288 Long ABS-MBS CORP US N 2 2034-12-25 Floating 7.00322 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2023-A N/A 193938AA5 1117127.080000 PA USD 1142997.170000 0.0163328 Long ABS-O CORP US N 2 2055-05-25 Floating 6.46879 N N N N N N COUNTRYWIDE HOME LOANS 2003-49 N/A 12669EF68 254453.480000 PA USD 247313.290000 0.003534 Long ABS-MBS CORP US N 2 2033-12-19 Variable 6.20901 N N N N N N COUNTRYWIDE HOME LOANS 2004-16 N/A 12669FX99 105395.740000 PA USD 89787.560000 0.001283 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.37322 N N N N N N ASSET BACKED FUNDING CERT 2002-NC1 N/A 04542BAZ5 159639.500000 PA USD 156572.270000 0.0022373 Long ABS-MBS CORP US N 2 2032-03-25 Floating 5.13322 N N N N N N AMERIQUEST MORTGAGE SEC INC 2004-R10 N/A 03072SVR3 8011251.060000 PA USD 7854941.940000 0.112243 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.50322 N N N N N N BNC MORTGAGE LOAN TRUST 2007-3 N/A 05568QAA3 63624734.290000 PA USD 57556130.780000 0.822445 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.66322 N N N N N N FNMA PASS THRU POOLS N/A 3138WGEJ9 275427.740000 PA USD 271422.680000 0.0038785 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB3 N/A 12669FZA4 1200910.480000 PA USD 1105223.490000 0.015793 Long ABS-MBS CORP US N 2 2034-06-20 Variable 6.47568 N N N N N N READY CAPITAL MORTGAGE FINANCING 2023-FL11 LLC N/A 75575RAA5 1770221.040000 PA USD 1778775.280000 0.0254177 Long ABS-MBS CORP US N 2 2039-10-25 Floating 6.71274 N N N N N N N/A N/A 000000000 1.000000 NC USD 4733413.410000 0.0676379 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-06-20 1316423.600000 USD 0.000000 USD 246620000.000000 USD 3416989.810000 N N N BAIN CAPITAL CREDIT CLO 2021-4 LTD N/A 05685AAQ1 6800000.000000 PA USD 6814426.060000 0.0973744 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.75924 N N N N N N FNMA PASS THRU POOLS N/A 3140JR2D2 40780.340000 PA USD 36795.480000 0.0005258 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N SHENTON AIRCRAFT INVESTMENT LTD 2015-1A N/A 82321UAA1 5963059.930000 PA USD 5731179.190000 0.0818954 Long ABS-O CORP KY N 2 2042-10-15 Fixed 4.75 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA22 N/A 23245PAA9 4464266.590000 PA USD 4271266.970000 0.061034 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.77322 N N N N N N FHLMC PASS THRU POOLS N/A 31349SNK5 4141.540000 PA USD 4246.640000 0.0000607 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 6.46 N N N N N N HSI ASSET LOAN OBLIGATION 2007-WF1 N/A 40431KAA8 9262.730000 PA USD 2752.360000 0.0000393 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.57322 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR6 N/A 32051GJ48 1391724.940000 PA USD 709954.100000 0.0101449 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.99606 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE1 N/A 07389UAS8 1044380.630000 PA USD 1003611.560000 0.0143411 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.59322 N N N N N N INDYMAC INDX MORTGAGE LOAN TRUST 2007-FLX5 N/A 45669WAC0 2955329.220000 PA USD 2650565.920000 0.0378751 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.81322 N N N N N N HOME EQUITY PASS-THRU CERTS 2005-2 N/A 437084JV9 1389119.730000 PA USD 1366246.480000 0.0195229 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.65322 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2004-AR8 N/A 22541SXR4 241017.520000 PA USD 408508.210000 0.0058374 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.60322 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N3 N/A 14687WAB6 1200000.000000 PA USD 1201438.320000 0.0171679 Long ABS-O CORP US N 2 2027-12-10 Fixed 4.84 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2A N/A 68269HAE5 6000000.000000 PA USD 6108702.600000 0.08729 Long ABS-O CORP US N 2 2036-09-15 Floating 6.09757 N N N N N N NYO COMMERCIAL MORTGAGE TRUST 2021-1290 N/A 62955HAA5 3865000.000000 PA USD 3794122.470000 0.0542159 Long ABS-MBS CORP US N 2 2038-11-15 Floating 5.60748 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR5 N/A 45660LGQ6 1255840.180000 PA USD 1076149.540000 0.0153776 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.83758 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA6 N/A 74922MAC5 4649198.030000 PA USD 4176571.250000 0.0596809 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.83322 N N N N N N N/A N/A 000000000 2506.000000 NC USD -2739647.530000 -0.039148 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-03-20 272507923.130000 USD -2739647.530000 N N N LONG BEACH MTGE LOAN TRUST 2001-4 N/A 542514BK9 24602.580000 PA USD 27094.790000 0.0003872 Long ABS-MBS CORP US N 2 2032-03-25 Floating 5.87822 N N N N N N FNMA PASS THRU POOLS N/A 31391EUJ8 3568.820000 PA USD 3635.750000 0.000052 Long ABS-MBS USGSE US N 2 2032-10-01 Floating 6.336 N N N N N N JP MORGAN MTGE ACQUIS CORP 2005-FLD1 N/A 46626LAZ3 10000000.000000 PA USD 8902855.000000 0.127217 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.25322 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P4 N/A 14687NAB6 279742.610000 PA USD 280331.020000 0.0040058 Long ABS-O CORP US N 2 2027-01-11 Fixed 6.23 N N N N N N WASHINGTON MUTUAL 2004-AR10 N/A 92922FWV6 9814.180000 PA USD 9338.480000 0.0001334 Long ABS-MBS CORP US N 2 2044-07-25 Floating 5.45322 N N N N N N FHLMC PASS THRU POOLS N/A 3128LUSW7 1288.580000 PA USD 1315.780000 0.0000188 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 7.617 N N N N N N LENDINGPOINT 2022-B ASSET SECURITIZATION TRUST N/A 52606WAA6 152108.940000 PA USD 151864.850000 0.0021701 Long ABS-O CORP US N 2 2029-10-15 Fixed 4.77 N N N N N N N/A N/A 000000000 1.000000 NC USD 13181544.290000 0.188357 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-12-20 5438122.320000 USD 0.000000 USD 109800000.000000 USD 7743421.970000 N N N CSFB MORTGAGE SECURITIES CORP 2005-5 N/A 225458UE6 115204.860000 PA USD 115766.150000 0.0016542 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 6.25 N N N N N N BEAR STEARNS MORTGAGE FUNDING TRUST 2007-AR1 N/A 07401MAB7 293871.400000 PA USD 260711.630000 0.0037254 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.66322 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYYA1 116157.310000 PA USD 108909.360000 0.0015563 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4 N N N N N N FANNIEMAE GRANTOR TRUST 2002-T19 N/A 31392GVR3 2572.700000 PA USD 2697.860000 0.0000386 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 7 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPJ2 476687.770000 PA USD 418253.760000 0.0059766 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.94783 N N N N N N SCCU AUTO RECEIVABLES TRUST 2023-1A N/A 805922AC5 1144912.190000 PA USD 1149152.600000 0.0164208 Long ABS-O CORP US N 2 2027-05-17 Fixed 5.85 N N N N N N DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-2 N/A 24380XAA5 1601453.000000 PA USD 1526007.750000 0.0218058 Long ABS-MBS CORP US N 2 2067-03-25 Variable 4.3 N N N N N N FNMA PASS THRU POOLS N/A 3140MWVS2 3529226.680000 PA USD 3494554.820000 0.0499352 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1057788.380000 0.0151152 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 42300000.000000 USD 1057788.380000 N N N FNMA PASS THRU POOLS N/A 3140NAHC0 3342705.680000 PA USD 3307114.490000 0.0472568 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31349UEJ3 7642.580000 PA USD 7907.240000 0.000113 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.437 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1 N/A 23246KBK6 937973.280000 PA USD 481110.980000 0.0068748 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N LEHMAN XS TRUST 2007-3 N/A 525245AH9 10609763.800000 PA USD 9661569.210000 0.138059 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.93322 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL2 N/A 03881JAA4 26084259.160000 PA USD 26165624.310000 0.373892 Long ABS-CBDO CORP US N 2 2037-05-15 Floating 6.24709 N N N N N N TIAA CLO IV LTD 2018-1A N/A 88631YAL1 22409113.520000 PA USD 22441100.510000 0.320671 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 5.7574 N N N N N N UCFC MANU HOUSING 1996-1 N/A 90263AAF7 24759.220000 PA USD 24204.810000 0.0003459 Long ABS-O CORP US N 2 2028-01-15 Fixed 7.9 N N N N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB8 N/A 59020UPS8 1377232.430000 PA USD 1295794.470000 0.0185162 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.77322 N N N N N N LENDMARK FUNDING TRUST 2024-2 N/A 52590AAA2 1600000.000000 PA USD 1573147.680000 0.0224794 Long ABS-O CORP US N 2 2034-02-21 Fixed 4.47 N N N N N N BANK OF AMERICA MTGE SECS-2006-B N/A 05950TAG0 22381.020000 PA USD 17831.420000 0.0002548 Long ABS-MBS CORP US N 2 2046-11-20 Floating 3.9927 N N N N N N VENTURE XXVII CLO LTD 2017-27A N/A 92331LBC3 5360350.510000 PA USD 5371054.380000 0.0767494 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 5.92901 N N N N N N MANHATTAN WEST 2020-1MW N/A 563136AA8 3400000.000000 PA USD 3125404.440000 0.0446603 Long ABS-MBS CORP US N 2 2039-09-10 Fixed 2.13 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN57 14578.720000 PA USD 12866.200000 0.0001839 Long ABS-MBS CORP US N 2 2034-05-25 Floating 4.00002 N N N N N N OBX 2024-HYB2 TRUST N/A 67118RAA6 5496742.310000 PA USD 5368853.450000 0.0767179 Long ABS-MBS CORP US N 2 2053-04-25 Variable 3.64195 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-FRE1 N/A 46626LFP0 21778772.000000 PA USD 20403699.540000 0.291558 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.08322 N N N N N N FNMA PASS THRU POOLS N/A 3140GVZY4 8436385.860000 PA USD 7575039.220000 0.108243 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-22 N/A 12666BAA3 15244886.820000 PA USD 13644695.080000 0.194975 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.73322 N N N N N N FORD CREDIT AUTO OWNER TRUST 2024-C N/A 34532UAD1 2900000.000000 PA USD 2873165.140000 0.0410559 Long ABS-O CORP US N 2 2029-07-15 Fixed 4.07 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RT8 7888.220000 PA USD 7919.480000 0.0001132 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.68695 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-1 N/A 576433JT4 1129511.900000 PA USD 980697.350000 0.0140136 Long ABS-MBS CORP US N 2 2034-02-25 Variable 4.76944 N N N N N N HOMEBANC MORTGAGE TRUST 2005-4 N/A 43739EBV8 10450127.190000 PA USD 10338064.210000 0.147725 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.18822 N N N N N N NEWCASTLE MTGE SECURITIES TRUST 2006-1 N/A 65106AAS2 7700000.000000 PA USD 7535097.570000 0.107672 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.17322 N N N N N N FHLMC PASS THRU POOLS N/A 31342A6F1 5737.350000 PA USD 5955.370000 0.0000851 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 7.306 N N N N N N CHASE FUNDING MTGE LN ASSET-BKD 2003-6 N/A 161546HH2 1387.070000 PA USD 1351.550000 0.0000193 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.03322 N N N N N N FNMA PASS THRU POOLS N/A 31418EZN3 419640.190000 PA USD 428631.080000 0.0061249 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.5 N N N N N N GS MORTGAGE SECURITIES TRUST 2020-DUNE N/A 36258BAA6 4500000.000000 PA USD 4475274.750000 0.0639492 Long ABS-MBS CORP US N 2 2036-12-15 Floating 5.77 N N N N N N LCM LTD 26A N/A 50200FAC3 1327925.010000 PA USD 1330362.140000 0.0190101 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 5.94901 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2024-2 N/A 26207AAD5 3000000.000000 PA USD 2992516.500000 0.0427614 Long ABS-O CORP US N 2 2028-09-15 Fixed 4.5 N N N N N N SAXON ASSET SECURITIES TRUST 2007-4 N/A 80557CAA0 6640579.780000 PA USD 6246813.980000 0.0892635 Long ABS-MBS CORP US N 2 2037-12-25 Floating 6.20322 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AH4 3000000.000000 PA USD 2534023.200000 0.0362098 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.42322 N N N N N N J.P. MORGAN MORTGAGE TRUST 2024-VIS1 N/A 465970AA9 1259785.100000 PA USD 1267284.850000 0.0181088 Long ABS-MBS CORP US N 2 2064-07-25 Variable 5.99 N N N N N N N/A N/A 000000000 1.000000 NC USD -2312116.210000 -0.0330389 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-12-20 0.000000 USD -313934.010000 USD 207390000.000000 USD -1998182.200000 N N N FNMA PASS THRU POOLS N/A 3140QPVW4 855882.370000 PA USD 777713.950000 0.0111131 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 2.5 N N N N N N PRKCM 2024-AFC1 TRUST N/A 69380WAA2 1681264.810000 PA USD 1694208.360000 0.0242093 Long ABS-MBS CORP US N 2 2059-03-25 Fixed 6.333 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7 N/A 07387VAD1 3566515.560000 PA USD 3062364.330000 0.0437595 Long ABS-MBS CORP US N 2 2037-10-25 Floating 5.45322 N N N N N N FNMA PASS THRU POOLS N/A 3140GTYF1 81256.810000 PA USD 75349.920000 0.0010767 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N ASSET BACKED FUNDING CERT 2007-WMC1 N/A 04545EAA1 7618135.500000 PA USD 5432716.400000 0.0776305 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.70322 N N N N N N OSCAR US FUNDING XVII LLC 2024-2A N/A 68784BAC8 600000.000000 PA USD 600217.740000 0.0085768 Long ABS-O CORP US N 2 2029-03-12 Fixed 4.47 N N N N N N N/A N/A 000000000 1.000000 NC USD -193071.830000 -0.0027589 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-04 0.000000 USD -65103.130000 USD 8300000.000000 USD -127968.700000 N N N CHASE FUNDING MTGE LN ASSET-BKD 2003-5 N/A 161546GS9 633869.410000 PA USD 624340.010000 0.0089215 Long ABS-MBS CORP US N 2 2033-05-25 Floating 5.35322 N N N N N N CHASE AUTO OWNER TRUST 2024-5A N/A 16144QAC9 2300000.000000 PA USD 2280068.890000 0.0325809 Long ABS-O CORP US N 2 2029-08-27 Fixed 4.18 N N N N N N GREATAMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2024-2 N/A 39154GAB2 14300000.000000 PA USD 14416776.660000 0.206008 Long ABS-O CORP US N 2 2027-03-15 Fixed 5.28 N N N N N N ENCORE CREDIT RECEIVABLES TR 2005-4 N/A 29256PBB9 12708033.000000 PA USD 10494399.130000 0.149959 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.50322 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAB4 2202602.230000 PA USD 2215352.210000 0.0316562 Long ABS-O CORP US N 2 2059-06-25 Fixed 5.88 N N N N N N N/A N/A 000000000 1.000000 NC USD 1476960.900000 0.021105 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-03-10 0.000000 USD -12829.460000 USD 14100000.000000 USD 1489790.360000 N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-3 N/A 68383NBS1 6091000.000000 PA USD 6112594.420000 0.0873456 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.42822 N N N N N N N/A N/A 000000000 1.000000 NC USD 4230.950000 0.0000605 N/A DCR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD -73151.840000 USD 3900000.000000 USD 77382.790000 N N N BETONY CLO 2 LTD 2018-1A N/A 08763QAA0 1874105.060000 PA USD 1878142.370000 0.0268376 Long ABS-CBDO CORP KY N 2 2031-04-30 Floating 5.93078 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3 N/A 161917AB5 47498801.780000 PA USD 42065670.340000 0.601095 Long ABS-MBS CORP US N 2 2064-09-25 Variable 3.25 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT N/A 46645WBA0 23176000.000000 PA USD 19886176.070000 0.284162 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 4.5487 N N N N N N FREDDIE MAC-3156 N/A 31396R6F9 6154.840000 PA USD 6306.860000 0.0000901 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11 N/A 12668AJR7 2999683.820000 PA USD 1491796.160000 0.0213169 Long ABS-MBS CORP US N 2 2035-10-25 Fixed 7 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 4031.100000 PA USD 3422.320000 0.0000489 Long ABS-MBS CORP US N 2 2047-01-20 Floating 5.09976 N N N N N N GNMA PASS THRU POOLS N/A 36202FLP9 63507.740000 PA USD 61659.110000 0.0008811 Long ABS-MBS USGSE US N 2 2040-10-20 Fixed 4.5 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9 N/A 12658XAC1 4095543.570000 PA USD 4085715.080000 0.0583826 Long ABS-MBS CORP US N 2 2061-02-25 Fixed 3.6587 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3 N/A 83612KAE1 3000000.000000 PA USD 2702615.700000 0.0386189 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.70322 N N N N N N ATLAS SENIOR LOAN FUND LTD 2017-8A N/A 04943AAC3 38030.840000 PA USD 38058.820000 0.0005438 Long ABS-CBDO CORP KY N 2 2030-01-16 Floating 6.05891 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2005-3 N/A 64352VLQ2 23624696.080000 PA USD 19274250.820000 0.275418 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.40322 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 362583AD8 1700000.000000 PA USD 1700338.640000 0.0242969 Long ABS-O CORP US N 2 2028-02-16 Fixed 4.47 N N N N N N TOWD POINT MORTGAGE TRUST 2017-4 N/A 89173UAA5 4085722.260000 PA USD 3971203.960000 0.0567463 Long ABS-MBS CORP US N 2 2057-06-25 Variable 2.75 N N N N N N ATLANTIC AVENUE 2024-3A LTD N/A 04822JAA4 7400000.000000 PA USD 7399025.860000 0.105728 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.57608 N N N N N N COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC2 N/A 12668BRG0 171949.150000 PA USD 151140.530000 0.0021597 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.03322 N N N N N N N/A N/A 000000000 1.000000 NC USD -9051275.390000 -0.129338 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-16 0.000000 USD -3234977.850000 USD 44422000.000000 USD -5816297.540000 N N N GCAT 2024-NQM1 TRUST N/A 36169HAA1 987047.340000 PA USD 992446.190000 0.0141815 Long ABS-MBS CORP US N 2 2059-01-25 Fixed 6.007 N N N N N N GNMA PASS THRU POOLS N/A 36179W5D6 290122.610000 PA USD 259591.480000 0.0037094 Long ABS-MBS USGSE US N 2 2052-05-20 Fixed 3.5 N N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA2 N/A 76110HT90 429813.580000 PA USD 376614.820000 0.0053816 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.78884 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AC6 7256763.500000 PA USD 3397355.430000 0.0485463 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.55322 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-4A N/A 30166UAC4 1400000.000000 PA USD 1407709.800000 0.0201154 Long ABS-O CORP US N 2 2030-08-15 Fixed 5.28 N N N N N N LEHMAN MORTGAGE TRUST 2006-1 N/A 52520MFB4 202024.420000 PA USD 94747.390000 0.0013539 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.5 N N N N N N DRYDEN 47 SENIOR LOAN FUND 2017-47A N/A 26245EAJ8 274153.810000 PA USD 274342.610000 0.0039202 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 5.89751 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC N/A 74143EAA0 3152277.820000 PA USD 3150422.700000 0.0450178 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 4.8677 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAC6 1157380.250000 PA USD 1159661.680000 0.0165709 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.96 N N N N N N N/A N/A 000000000 1.000000 NC USD -832835.670000 -0.0119008 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-09-28 0.000000 USD -10442.800000 USD 8100000.000000 USD -822392.870000 N N N FANNIE MAE-2005-74 N/A 31394FDX0 2212769.000000 PA USD 2211008.960000 0.0315941 Long ABS-MBS USGSE US N 2 2035-09-25 Fixed 5.5 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAA3 7623946.730000 PA USD 3845762.700000 0.0549538 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.59322 N N N N N N SANDSTONE PEAK LTD 2021-1A N/A 800130AN6 6300000.000000 PA USD 6322724.480000 0.0903482 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.9359 N N N N N N N/A N/A 000000000 1.000000 NC USD -98101.720000 -0.0014018 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-04 0.000000 USD -32865.000000 USD 4200000.000000 USD -65236.720000 N N N CS FIRST BOSTON MTGE SEC CORP 2004-AR6 N/A 22541SPJ1 1861228.980000 PA USD 1731325.060000 0.0247397 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.65322 N N N N N N IMPAC SECURED ASSETS CMN OWNER TRUST 2004-1 N/A 45254TPA6 317027.970000 PA USD 285625.720000 0.0040814 Long ABS-MBS CORP US N 2 2034-03-25 Variable 5.55 N N N N N N FNMA PASS THRU POOLS N/A 3140E9JL1 33043.960000 PA USD 30697.180000 0.0004386 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BD3 433524.750000 PA USD 438597.940000 0.0062673 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.42822 N N N N N N WELLS FARGO HOME EQUITY TRUST 2007-1 N/A 9497EVAC9 230000.000000 PA USD 215372.370000 0.0030776 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.09322 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P5 N/A 14687RAD3 9457000.000000 PA USD 9680751.670000 0.138333 Long ABS-O CORP US N 2 2029-11-13 Fixed 5.74 N N N N N N MOUNTAIN VIEW CLO XVI LTD 2022-1A N/A 62432UAN1 3400000.000000 PA USD 3413387.360000 0.0487754 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 6.1159 N N N N N N N/A N/A 000000000 1.000000 NC USD -956380.870000 -0.0136662 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-20 0.000000 USD -969373.530000 USD 22500000.000000 USD 12992.660000 N N N FNMA PASS THRU POOLS N/A 31418EFC9 357743.270000 PA USD 335449.990000 0.0047934 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4 N N N N N N HARLEY-DAVIDSON MOTORCYCLE TRUST 2024-B N/A 41284PAC9 12200000.000000 PA USD 12145845.420000 0.173557 Long ABS-O CORP US N 2 2029-07-16 Fixed 4.31 N N N N N N N/A N/A 000000000 1.000000 NC USD -1033895.540000 -0.0147738 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-17 0.000000 USD -70977.500000 USD 17800000.000000 USD -962918.040000 N N N OBX 2023-NQM7 TRUST N/A 67117XAA4 1047204.570000 PA USD 1062896.300000 0.0151882 Long ABS-MBS CORP US N 2 2063-04-25 Fixed 6.844 N N N N N N WORLD OMNI AUTO RECEIVABLES TRUST 2022-D N/A 98163VAD0 903306.270000 PA USD 908876.060000 0.0129873 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.61 N N N N N N FNMA PASS THRU POOLS N/A 31418DNB4 5726.710000 PA USD 5360.520000 0.0000766 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 3 N N N N N N MASTR ASSET BACKED SEC TR 2004-WMC3 N/A 57643LFN1 413678.840000 PA USD 398729.520000 0.0056976 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.00322 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL8 N/A 69392DAA0 2779566.010000 PA USD 2788520.100000 0.0398464 Long ABS-MBS CORP US N 2 2054-11-25 Fixed 5.9632 N N N N N N COUNTRYWIDE HOME LOANS 2006-HYB4 N/A 125431AE6 583460.510000 PA USD 512637.800000 0.0073253 Long ABS-MBS CORP US N 2 2036-06-20 Variable 4.96209 N N N N N N WIND RIVER CLO LTD 2014-1A N/A 88432CBB1 338204.240000 PA USD 338786.970000 0.0048411 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 5.94396 N N N N N N GNMA PASS THRU POOLS N/A 36225CY83 4835.590000 PA USD 4873.740000 0.0000696 Long ABS-MBS USGSE US N 2 2033-09-20 Floating 4.625 N N N N N N OPTION ONE MORTGAGE LOAN 2000-5 N/A 68389FBH6 597.340000 PA USD 602.460000 0.0000086 Long ABS-MBS CORP US N 2 2030-08-20 Floating 4.98474 N N N N N N RENAISSANCE HOME EQUITY LOAN TRUST 2002-2 N/A 759950AH1 461640.840000 PA USD 441691.950000 0.0063115 Long ABS-MBS CORP US N 2 2032-08-25 Floating 5.65322 N N N N N N AMSR TRUST 2020-SFR2 N/A 00178UAA7 25747639.570000 PA USD 25394446.320000 0.362872 Long ABS-MBS CORP US N 2 2037-07-17 Fixed 1.632 N N N N N N CARMAX AUTO OWNER TRUST 2023-1 N/A 14318DAC3 4135080.700000 PA USD 4142728.120000 0.0591973 Long ABS-O CORP US N 2 2027-10-15 Fixed 4.75 N N N N N N CROSS 2024-H4 MORTGAGE TRUST N/A 22758HAA8 23281302.430000 PA USD 23436893.700000 0.3349 Long ABS-MBS CORP US N 2 2069-07-25 Fixed 6.147 N N N N N N CIM TRUST 2022-R1 N/A 12571YAA7 3102113.610000 PA USD 2844610.880000 0.0406479 Long ABS-MBS CORP US N 2 2061-01-25 Variable 3 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS5 N/A 52475XAA2 1923242.870000 PA USD 1919711.600000 0.0274316 Long ABS-MBS CORP US N 2 2067-07-25 Fixed 5.25 N N N N N N FNMA PASS THRU POOLS N/A 31417DAV5 38893.400000 PA USD 35452.940000 0.0005066 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.5 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM3 N/A 81377EAA2 4340445.480000 PA USD 1435914.420000 0.0205184 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.55322 N N N N N N PRET 2024-NPL9 LLC N/A 74143TAA7 3900000.000000 PA USD 3893762.300000 0.0556397 Long ABS-MBS CORP US N 3 2054-12-25 Fixed 5.8514 N N N N N N FIRST INVESTORS AUTO OWNER TRUST 2023-1A N/A 320986AA0 1144612.290000 PA USD 1158856.300000 0.0165594 Long ABS-O CORP US N 2 2028-10-16 Fixed 6.44 N N N N N N N/A N/A 000000000 1.000000 NC USD 940528.990000 0.0134396 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-06-21 0.000000 USD -3303.240000 USD 26150260.000000 USD 943832.230000 N N N VERUS SECURITIZATION TRUST 2021-R1 N/A 92538BAB9 27078.210000 PA USD 25601.600000 0.0003658 Long ABS-MBS CORP US N 2 2063-10-25 Variable 1.057 N N N N N N AMSR TRUST 2020-SFR2 N/A 00178UAB5 11000000.000000 PA USD 10822892.300000 0.154653 Long ABS-MBS CORP US N 2 2037-07-17 Fixed 2.033 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAA1 1800000.000000 PA USD 1758025.080000 0.0251212 Long ABS-MBS CORP US N 2 2038-05-15 Floating 5.66148 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TM0 49800000.000000 PA USD 44828273.270000 0.640571 Long DBT UST US N 2 2042-11-15 Fixed 4 N N N N N N LONG BEACH MTGE LOAN TRUST 2003-4 N/A 542514EE0 694782.480000 PA USD 681077.970000 0.0097322 Long ABS-MBS CORP US N 2 2033-08-25 Floating 5.07322 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2007-1 N/A 059496BF5 1376652.320000 PA USD 1146785.940000 0.0163869 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-3R LTD 2014-3RA N/A 14315LAA2 2593771.320000 PA USD 2597574.620000 0.0371179 Long ABS-CBDO CORP KY N 2 2031-07-27 Floating 5.92882 N N N N N N SEQUOIA MORTGAGE TRUST 2004-5 N/A 81744FBS5 33803.880000 PA USD 31300.340000 0.0004473 Long ABS-MBS CORP US N 2 2034-06-20 Floating 4.80564 N N N N N N OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A N/A 67592CAL0 4242198.380000 PA USD 4248765.220000 0.0607125 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 5.7674 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAR0 67757.350000 PA USD 63213.260000 0.0009033 Long ABS-MBS CORP US N 2 2034-03-19 Floating 5.18083 N N N N N N CIM TRUST 2022-R2 N/A 12567NAA7 10027535.150000 PA USD 9326356.750000 0.133269 Long ABS-MBS CORP US N 2 2061-12-25 Variable 3.75 N N N N N N FNMA PASS THRU POOLS N/A 3140NDC70 6243862.090000 PA USD 5881133.660000 0.0840381 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 4.5 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS3 N/A 52474XAA3 7331659.470000 PA USD 7327891.730000 0.104712 Long ABS-MBS CORP US N 2 2061-07-25 Variable 4.75 N N N N N N COUNTRYWIDE HOME LOANS 2005-31 N/A 126694UT3 15528.840000 PA USD 14506.370000 0.0002073 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.73911 N N N N N N CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2004-A N/A 16678RBT3 613822.300000 PA USD 478713.630000 0.0068406 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.48265 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 1086.920000 PA USD 841.450000 0.000012 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.24997 N N N N N N EMCM MORTGAGE LOAN TRUST 2003-A N/A 268668BU3 141174.110000 PA USD 141781.670000 0.002026 Long ABS-MBS CORP US N 2 2040-08-25 Floating 5.95322 N N N N N N MORGAN STANLEY DEAN WITTER CAPITAL I 2001-NC4 N/A 61746WLM0 47068.560000 PA USD 95777.540000 0.0013686 Long ABS-MBS CORP US N 2 2032-01-25 Floating 6.10322 N N N N N N GNMA PASS THRU POOLS N/A 36241LUT1 68284.820000 PA USD 65633.920000 0.0009379 Long ABS-MBS USGSE US N 2 2041-03-20 Fixed 4.5 N N N N N N PRIME MORTGAGE TRUST 2003-1 N/A 74160MAX0 323644.980000 PA USD 302370.080000 0.0043207 Long ABS-MBS CORP US N 2 2033-06-25 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC USD -1051764.390000 -0.0150291 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-10-15 0.000000 USD -10373.550000 USD 6100000.000000 USD -1041390.840000 N N N FNMA PASS THRU POOLS N/A 3138XYCC6 26397.050000 PA USD 26001.250000 0.0003715 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 3 N N N N N N ALLEGRO CLO XI LTD 2019-2A N/A 01750HAQ5 1000000.000000 PA USD 1000697.950000 0.0142994 Long ABS-CBDO CORP KY N 2 2033-01-19 Floating 5.8674 N N N N N N ENT AUTO RECEIVABLES TRUST 2023-1A N/A 293601AE0 2000000.000000 PA USD 2029392.000000 0.0289989 Long ABS-O CORP US N 2 2029-01-16 Fixed 6.24 N N N N N N GNMA PASS THRU POOLS N/A 21H050623 2500000.000000 PA USD 2424316.400000 0.0346421 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 5 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR2 N/A 39538RBB4 6637774.790000 PA USD 5177157.010000 0.0739787 Long ABS-MBS CORP US N 2 2045-06-25 Floating 4.91322 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-3A N/A 30165AAC9 1000000.000000 PA USD 1007120.300000 0.0143912 Long ABS-O CORP US N 2 2027-12-15 Fixed 5.65 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-15 N/A 863579UQ9 25166.750000 PA USD 21428.530000 0.0003062 Long ABS-MBS CORP US N 2 2035-07-25 Variable 5.23649 N N N N N N GCCT-2021-1A N/A 380881FB3 26900000.000000 PA USD 25461127.070000 0.363825 Long ABS-MBS CORP US N 2 2028-08-15 Fixed 1.14 N N N N N N MASTR ALTERNATIVE LOANS TR 2003-4 N/A 576434EW0 242480.470000 PA USD 153634.070000 0.0021953 Long ABS-MBS CORP US N 2 2033-06-25 Variable 6.15796 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC2 N/A 617451EG0 2491766.360000 PA USD 2316420.760000 0.0331004 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.99322 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 19304.980000 PA USD 19414.650000 0.0002774 Long ABS-MBS CORP US N 2 2035-02-20 Floating 5.39998 N N N N N N SALOMON BROMTGE SEC VII 2003-HYB1 N/A 79549AYG8 375.170000 PA USD 379.110000 0.0000054 Long ABS-MBS CORP US N 2 2033-09-25 Floating 7.73997 N N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QS-17 N/A 761118PY8 2390159.650000 PA USD 2010110.160000 0.0287234 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 6 N N N N N N SOUND POINT CLO LTD 2018-2A N/A 83611JAA3 4794876.590000 PA USD 4805198.230000 0.0686636 Long ABS-CBDO CORP KY N 2 2031-07-26 Floating 5.97882 N N N N N N BXMT 2020-FL3 LTD N/A 05608XAA0 12037121.650000 PA USD 11924121.360000 0.170389 Long ABS-MBS CORP KY N 2 2037-11-15 Floating 5.8963 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TL2 37800000.000000 PA USD 32939719.090000 0.47069 Long DBT UST US N 2 2052-11-15 Fixed 4 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-AF1 N/A 59024KAA1 79875.890000 PA USD 76719.900000 0.0010963 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 5.75 N N N N N N FNMA PASS THRU POOLS N/A 31418AVT2 16592.320000 PA USD 15093.170000 0.0002157 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.5 N N N N N N TESLA ELECTRIC VEHICLE TRUST 2023-1 N/A 881943AB0 8253482.360000 PA USD 8286027.490000 0.118403 Long ABS-O CORP US N 2 2026-12-21 Fixed 5.54 N N N N N N RAAC SERIES 2005-SP2 N/A 76112BE89 500000.000000 PA USD 493489.750000 0.0070517 Long ABS-MBS CORP US N 2 2044-05-25 Floating 6.55322 N N N N N N CS FIRST BOSTON MTGE SEC. CORP 2002-AR33 N/A 22541NXW4 26091.100000 PA USD 21211.480000 0.0003031 Long ABS-MBS CORP US N 2 2032-12-25 Floating 2.69218 N N N N N N AIMCO CLO SERIES 2015-AA N/A 00900LAY0 4300000.000000 PA USD 4314908.490000 0.0616576 Long ABS-CBDO CORP KY N 2 2034-10-17 Floating 5.89745 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 2133463.010000 PA USD 2153735.180000 0.0307757 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N STRUCTURED ASSET INVST LN TR 2005-7 N/A 86358EWD4 555006.240000 PA USD 536642.420000 0.0076683 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.21822 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZS4 17668.740000 PA USD 16869.460000 0.0002411 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.95672 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-OA4 N/A 25151XAD3 4074284.480000 PA USD 2894328.910000 0.0413584 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.09322 N N N N N N N/A N/A 000000000 1.000000 NC USD 35479.500000 0.000507 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-17 0.000000 USD -340058.400000 USD 135000000.000000 USD 375537.900000 N N N N/A N/A 000000000 1.000000 NC USD 270846.500000 0.0038702 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-02-09 10108.510000 USD 0.000000 USD 1900000.000000 USD 260737.990000 N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-FA N/A 63935CAB7 1416067.470000 PA USD 1345667.530000 0.0192288 Long ABS-O CORP US N 2 2068-08-15 Fixed 2.6 N N N N N N FHLMC PASS THRU POOLS N/A 3128JM4H7 3903.650000 PA USD 3953.100000 0.0000565 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.987 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 6291635.970000 PA USD 6337605.180000 0.0905609 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 6.03182 N N N N N N AMERIQUEST MORTGAGE SEC 2005-R1 N/A 03072SYB5 4117230.870000 PA USD 4044364.530000 0.0577917 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.56322 N N N N N N N/A N/A 000000000 1.000000 NC USD 35254.830000 0.0005038 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.11 N/A N/A Y Single Leg Swap 2054-11-18 231594.900000 USD 0.000000 USD 30000000.000000 USD -196340.070000 N N N COUNTRYWIDE HOME LOANS 2005-11 N/A 12669GUH2 612260.240000 PA USD 485394.780000 0.006936 Long ABS-MBS CORP US N 2 2035-04-25 Variable 4.491 N N N N N N GNMA PASS THRU POOLS N/A 36202FHX7 78146.710000 PA USD 75880.060000 0.0010843 Long ABS-MBS USGSE US N 2 2040-07-20 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 568856.600000 0.0081286 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 28300000.000000 USD 568856.600000 N N N COUNTRYWIDE HOME LOANS 2006-3 N/A 126694YJ1 8648155.150000 PA USD 8045461.760000 0.114965 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.93322 N N N N N N FNMA PASS THRU POOLS N/A 3138YF2H6 11227.110000 PA USD 10080.990000 0.0001441 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.5 N N N N N N CROSS 2024-H3 MORTGAGE TRUST N/A 22758DAA7 3183141.590000 PA USD 3211447.360000 0.0458898 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.272 N N N N N N STRUCTURED ASSET MTG INV INC 2003-AR1 N/A 86358HSD2 740593.670000 PA USD 742477.520000 0.0106096 Long ABS-MBS CORP US N 2 2033-10-19 Floating 5.68083 N N N N N N GOLUB CAPITAL PARTNERS STATIC 2024-1 LTD N/A 381929AA6 4444335.610000 PA USD 4446592.440000 0.0635393 Long ABS-CBDO CORP KY N 2 2033-04-20 Floating 5.8474 N N N N N N FNMA PASS THRU POOLS N/A 31418EUQ1 199156.670000 PA USD 185410.490000 0.0026494 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 3 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR4 N/A 23332UEP5 350828.200000 PA USD 237471.150000 0.0033933 Long ABS-MBS CORP US N 2 2045-08-19 Floating 5.08083 N N N N N N FHLMC PASS THRU POOLS N/A 3133BS6Y3 598069.930000 PA USD 591497.450000 0.0084522 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.5 N N N N N N WASHINGTON MUTUAL MTGE 2003-AR8 N/A 92922FAU2 3926.380000 PA USD 3794.820000 0.0000542 Long ABS-MBS CORP US N 2 2033-08-25 Floating 6.25205 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QS15 N/A 74922YAE5 1137101.440000 PA USD 960858.110000 0.0137301 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NBSA0 83952.050000 PA USD 83073.290000 0.0011871 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.5 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL4 N/A 16160NAB7 10072191.980000 PA USD 8987866.120000 0.128432 Long ABS-MBS CORP US N 2 2064-12-25 Variable 3.375 N N N N N N FHLMC PASS THRU POOLS N/A 3133BANT4 2047268.170000 PA USD 1740571.080000 0.0248718 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F052615 86411834.000000 PA USD 85280252.020000 1.21861 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 3022736.840000 0.0431932 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-02-12 0.000000 USD -362977.570000 USD 28600000.000000 USD 3385714.410000 N N N UMBS PASS THRU POOLS N/A 01F032625 85000000.000000 PA USD 75175426.300000 1.07422 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 3.5 N N N N N N ALLY AUTO RECEIVABLES TRUST 2024-2 N/A 02007NAB4 5600000.000000 PA USD 5599622.560000 0.0800155 Long ABS-O CORP US N 2 2027-07-15 Fixed 4.46 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2006-10 N/A 54251YAD0 13019177.150000 PA USD 3884185.580000 0.0555029 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.77322 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 180131.860000 PA USD 171493.740000 0.0024506 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.83322 N N N N N N FNMA PASS THRU POOLS N/A 3140MSQ40 7378705.860000 PA USD 6957513.240000 0.099419 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.5 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2004-A N/A 64352VGX3 56458.660000 PA USD 59464.160000 0.0008497 Long ABS-MBS CORP US N 2 2034-08-25 Variable 5.65 N N N N N N ANGEL OAK MORTGAGE TRUST 2024-2 N/A 034942AA0 863359.390000 PA USD 866220.390000 0.0123778 Long ABS-MBS CORP US N 2 2069-01-25 Fixed 5.985 N N N N N N AMERICAN HOME MTGE INV TRUST 2004-1 N/A 02660TAJ2 194188.060000 PA USD 193151.410000 0.00276 Long ABS-MBS CORP US N 2 2044-04-25 Floating 6.85256 N N N N N N FHLMC PASS THRU POOLS N/A 3133BASY8 529869.750000 PA USD 451455.890000 0.0064511 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 94946.420000 PA USD 94985.590000 0.0013573 Long ABS-O CORP US N 2 2038-04-25 Floating 6.39529 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL2 N/A 161930AB8 2867327.470000 PA USD 2532485.270000 0.0361878 Long ABS-MBS CORP US N 2 2064-08-25 Variable 3.25 N N N N N N FNMA PASS THRU POOLS N/A 3140YXQV6 181657.770000 PA USD 182850.500000 0.0026128 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N TBW MTGE BACKED PASS THRU CERT 2006-2 N/A 878048AF4 5765884.100000 PA USD 2018617.570000 0.0288449 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31374TXT1 1480.400000 PA USD 1458.700000 0.0000208 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.748 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE2 N/A 784208AA8 46443477.690000 PA USD 19308741.160000 0.275911 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.71322 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N3 N/A 14687WAC4 4600000.000000 PA USD 4587209.240000 0.0655487 Long ABS-O CORP US N 2 2029-01-10 Fixed 4.53 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A8 N/A 761119AD8 1751793.270000 PA USD 1076638.480000 0.0153846 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P5 N/A 14687RAC5 9200000.000000 PA USD 9316720.400000 0.133131 Long ABS-O CORP US N 2 2029-01-10 Fixed 5.62 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 34297.400000 PA USD 29204.150000 0.0004173 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.66218 N N N N N N MORGAN STANLEY MTGE LN TRUST 2007-14AR N/A 61756VBA6 1828010.050000 PA USD 894587.170000 0.0127832 Long ABS-MBS CORP US N 2 2037-11-25 Floating 7.62501 N N N N N N UMBS PASS THRU POOLS N/A 01F060626 968910000.000000 PA USD 972619113.440000 13.8982 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 21H032613 57000000.000000 PA USD 50955037.710000 0.728119 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 3.5 N N N N N N WASHINGTON MUTUAL 2003-S3 N/A 929227Z74 917161.190000 PA USD 775928.270000 0.0110876 Long ABS-MBS CORP US N 2 2033-06-25 Variable 5.5 N N N N N N POPULAR ABS MTGE PASS THRU TRUST 2005-6 N/A 73316PJF8 148369.360000 PA USD 134787.500000 0.001926 Long ABS-MBS CORP US N 2 2036-01-25 Variable 6.585 N N N N N N N/A N/A 000000000 1.000000 NC USD 1.000000 0 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 0.000000 USD -160.040000 USD 7384.060000 USD 161.040000 N N N LEHMAN XS TRUST 2005-7N N/A 525221EM5 2528469.370000 PA USD 2299406.730000 0.0328572 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.99322 N N N N N N PAGAYA AI DEBT TRUST 2023-3 N/A 69548BAC3 3513635.370000 PA USD 3542185.060000 0.0506159 Long ABS-O CORP US N 2 2030-12-16 Variable 8.46174 N N N N N N SOUND POINT CLO XVII 2017-3A N/A 83611GAL5 5432502.530000 PA USD 5441483.380000 0.0777558 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 5.85901 N N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A4 N/A 45660LHD4 3342381.480000 PA USD 1770126.900000 0.0252941 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.90322 N N N N N N DRYDEN SENIOR LOAN FUND 2016-43A N/A 26245CBQ5 1000000.000000 PA USD 1000000.000000 0.0142894 Long ABS-CBDO CORP KY N 3 2034-04-20 Floating 5.6874 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-MS2 N/A 939336RQ8 482006.200000 PA USD 484075.450000 0.0069172 Long ABS-MBS CORP US N 2 2033-02-25 Variable 5.76515 N N N N N N RCKT MORTGAGE TRUST 2024-CES2 N/A 74938PAA4 5731816.330000 PA USD 5768025.360000 0.0824219 Long ABS-MBS CORP US N 2 2044-04-25 Fixed 6.141 N N N N N N GNMA PASS THRU POOLS N/A 36225CU38 1528.120000 PA USD 1520.800000 0.0000217 Long ABS-MBS USGSE US N 2 2032-05-20 Floating 4.875 N N N N N N MFA 2021-RPL1 TRUST N/A 55283QAD6 500000.000000 PA USD 406117.450000 0.0058032 Long ABS-MBS CORP US N 2 2060-07-25 Variable 2.8547 N N N N N N IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1 N/A 45254TRX4 823301.900000 PA USD 532708.520000 0.0076121 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.76322 N N N N N N N/A N/A 000000000 1.000000 NC USD -12693148.380000 -0.181378 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-09 0.000000 USD -243525.000000 USD 102000000.000000 USD -12449623.380000 N N N BANK OF AMERICA MTG SEC 2005-3 N/A 05949A6L9 212940.370000 PA USD 201933.100000 0.0028855 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.77232 N N N N N N FNMA PASS THRU POOLS N/A 3138MQKD4 104747.040000 PA USD 95421.210000 0.0013635 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.5 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-PLND N/A 61691XAA1 5347000.000000 PA USD 3684884.520000 0.052655 Long ABS-MBS CORP US N 2 2036-05-15 Floating 5.51248 N N N N N N NOVASTAR HOME EQUITY LOAN 2003-4 N/A 66987XDG7 4573.720000 PA USD 4525.530000 0.0000647 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.55322 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 13965.150000 PA USD 13541.320000 0.0001935 Long ABS-MBS CORP US N 2 2032-01-25 Floating 5.07322 N N N N N N FHLMC PASS THRU POOLS N/A 3133KPQR2 310510.970000 PA USD 284587.830000 0.0040666 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36225CKX3 2612.370000 PA USD 2603.920000 0.0000372 Long ABS-MBS USGSE US N 2 2029-08-20 Floating 4.625 N N N N N N FNMA PASS THRU POOLS N/A 31418EVA5 5966264.390000 PA USD 6002300.510000 0.0857695 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 6 N N N N N N NAVIENT STUDENT LOAN TRUST 2019-BA N/A 63941LAC7 2657424.700000 PA USD 2655708.800000 0.0379486 Long ABS-O CORP US N 2 2059-12-15 Floating 5.49157 N N N N N N BANK OF AMERICA MTG SEC 2005-I N/A 05949CHQ2 168827.920000 PA USD 156108.410000 0.0022307 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.028 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A 31395A3J2 186795.560000 PA USD 179367.370000 0.0025631 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 6.22522 N N N N N N N/A N/A 000000000 1.000000 NC USD 941728.710000 0.0134568 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 47100000.000000 USD 941728.710000 N N N CARMAX AUTO OWNER TRUST 2024-4 N/A 14290DAB7 2800000.000000 PA USD 2805167.960000 0.0400843 Long ABS-O CORP US N 2 2027-12-15 Fixed 4.67 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-1A N/A 64829JAA1 16128745.070000 PA USD 15423835.040000 0.220398 Long ABS-MBS CORP US N 2 2057-02-25 Variable 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133GHCV1 88461.280000 PA USD 82358.680000 0.0011769 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 3 N N N N N N MASTR ASSET SECURIZATION TR 2004-3 N/A 55265K7Z6 580360.030000 PA USD 476486.550000 0.0068087 Long ABS-MBS CORP US N 2 2034-03-25 Fixed 5.5 N N N N N N PRPM 2024-2 LLC N/A 74448BAA8 4975738.860000 PA USD 5003501.990000 0.0714973 Long ABS-MBS CORP US N 2 2029-03-25 Variable 7.026 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247QP1 43648.580000 PA USD 35015.120000 0.0005003 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.97527 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-ST2 N/A 91680UAA7 911565.590000 PA USD 901080.310000 0.0128759 Long ABS-O CORP US N 2 2030-04-20 Fixed 3.8 N N N N N N BSPRT 2021-FL7 ISSUER LTD N/A 05602CAA2 8758921.270000 PA USD 8780817.780000 0.125473 Long ABS-CBDO CORP KY N 2 2038-12-15 Floating 5.83157 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB N/A 12668BLY7 61947.550000 PA USD 26832.640000 0.0003834 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 149467.430000 0.0021358 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-12-15 0.000000 USD -40285.210000 USD 2500000.000000 USD 189752.640000 N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-15 N/A 576433VQ6 194657.440000 PA USD 177976.820000 0.0025432 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.78322 N N N N N N ARGENT SECURITIES INC 2005-W2 N/A 040104ND9 176063.150000 PA USD 173180.800000 0.0024747 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.18822 N N N N N N KKR CLO LTD 18 N/A 48251JAL7 347248.150000 PA USD 347803.700000 0.0049699 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 5.83396 N N N N N N INDYMAC HOME EQUITY LOAN ASSET 2000-A N/A 456606AL6 321589.050000 PA USD 324294.900000 0.004634 Long ABS-MBS CORP US N 2 2031-06-25 Floating 5.35322 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P3 N/A 14688GAD6 1300000.000000 PA USD 1327379.300000 0.0189675 Long ABS-O CORP US N 2 2029-07-10 Fixed 5.71 N N N N N N FNMA PASS THRU POOLS N/A 31418CU85 69888.290000 PA USD 64966.260000 0.0009283 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31382PPZ4 2574.000000 PA USD 2585.340000 0.0000369 Long ABS-MBS USGSE US N 2 2029-03-01 Floating 6.375 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAB9 7300000.000000 PA USD 7343177.310000 0.10493 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 981870.390000 0.0140304 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 834327.460000 USD 0.000000 USD 33400000.000000 USD 147542.930000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 498585.240000 PA USD 481681.700000 0.006883 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.19322 N N N N N N FNMA PASS THRU POOLS N/A 3140F0N67 67742.300000 PA USD 62876.390000 0.0008985 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4 N N N N N N TESLA ELECTRIC VEHICLE TRUST 2023-1 N/A 881943AD6 25000000.000000 PA USD 25251557.500000 0.360831 Long ABS-O CORP US N 2 2028-06-20 Fixed 5.38 N N N N N N COUNTRYWIDE HOME LOANS 2003-58 N/A 12669FDH3 5990.800000 PA USD 5850.310000 0.0000836 Long ABS-MBS CORP US N 2 2034-02-19 Floating 6.6903 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 901604.270000 PA USD 821697.520000 0.0117416 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 6.02522 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 51085865.270000 PA USD 51152935.900000 0.730947 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.59148 N N N N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAA1 418421.060000 PA USD 406024.370000 0.0058019 Long ABS-MBS CORP US N 2 2046-09-20 Floating 5.86231 N N N N N N GNMA PASS THRU POOLS N/A 36179WVV7 2860807.790000 PA USD 2484519.300000 0.0355024 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418ETW0 66457.830000 PA USD 61869.920000 0.0008841 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 3 N N N N N N PALMER SQUARE CLO 2022-1 LTD N/A 69689QAA3 15600000.000000 PA USD 15646147.450000 0.223575 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 5.9374 N N N N N N JP MORGAN MORTGAGE TRUST 2006-S2 N/A 46628YAZ3 210478.950000 PA USD 84249.460000 0.0012039 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-SD1 N/A 126670VQ8 4003002.140000 PA USD 3276688.630000 0.0468221 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.54822 N N N N N N FNMA PASS THRU POOLS N/A 31406MYP5 4369.770000 PA USD 4401.310000 0.0000629 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 6.06 N N N N N N REGATTA XIX FUNDING LTD N/A 75888EAA6 2100000.000000 PA USD 2103796.570000 0.0300621 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 5.9374 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAL3 3200000.000000 PA USD 3166105.600000 0.0452419 Long ABS-MBS CORP US N 2 2035-06-15 Floating 7.445 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR29 N/A 45662DAA3 153961.520000 PA USD 148750.180000 0.0021256 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.79322 N N N N N N LONG BEACH MORTGAGE LOAN TR 2004-3 N/A 542514GM0 4421488.740000 PA USD 4280712.960000 0.061169 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.30822 N N N N N N STRUCTURED ASSET MTGE INV 2003-AR3 N/A 86358HUW7 713022.870000 PA USD 640236.710000 0.0091486 Long ABS-MBS CORP US N 2 2033-11-19 Floating 5.38083 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL2 N/A 52476TAA0 2819488.900000 PA USD 2809564.860000 0.0401471 Long ABS-MBS CORP US N 2 2068-10-25 Fixed 4.875 N N N N N N CSMC 2020-FACT TRUST N/A 126395AA0 1000000.000000 PA USD 978359.800000 0.0139802 Long ABS-MBS CORP US N 2 2037-10-15 Floating 6.36248 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAA5 274716.020000 PA USD 281004.100000 0.0040154 Long ABS-MBS CORP US N 2 2059-10-25 Floating 5.45322 N N N N N N DELL EQUIPMENT FINANCE TRUST 2024-2 N/A 24704EAC2 6200000.000000 PA USD 6212635.600000 0.0887751 Long ABS-O CORP US N 2 2030-08-22 Fixed 4.69 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-EMX1 N/A 75405KAE8 8683019.810000 PA USD 8486229.590000 0.121264 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.09822 N N N N N N N/A N/A 000000000 1.000000 NC USD -200427.650000 -0.002864 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-02-22 0.000000 USD -16890.000000 USD 4800000.000000 USD -183537.650000 N N N OBX 2023-NQM5 TRUST N/A 673919AL0 2607395.100000 PA USD 2637496.690000 0.0376884 Long ABS-MBS CORP US N 2 2063-06-25 Fixed 6.567 N N N N N N ICG-2021-3A N/A 449249AS0 6700000.000000 PA USD 6700000.000000 0.0957393 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.52521 N N N N N N ENTERPRISE FLEET FINANCING 2024-3 LLC N/A 29375QAC2 12600000.000000 PA USD 12684377.160000 0.181253 Long ABS-O CORP US N 2 2028-08-21 Fixed 4.98 N N N N N N N/A N/A 000000000 1.000000 NC USD -304626.970000 -0.004353 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-01-12 0.000000 USD -7107.170000 USD 5300000.000000 USD -297519.800000 N N N IXIS REAL ESTATE CAPITAL TRUST 2006-HE3 N/A 46602UAD0 41213811.520000 PA USD 14162705.950000 0.202377 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.91322 N N N N N N GNMA PASS THRU POOLS N/A 36202FP75 74171.880000 PA USD 72012.830000 0.001029 Long ABS-MBS USGSE US N 2 2041-02-20 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 12967427.980000 0.185297 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-06-15 5474616.680000 USD 0.000000 USD 33500000.000000 USD 7492811.300000 N N N N/A N/A 000000000 -81.000000 NC USD 367818.010000 0.0052559 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-12-16 -19444556.250000 USD 367818.010000 N N N GSAMP TRUST 2006-S6 N/A 36245CAB8 5045066.550000 PA USD 24247.600000 0.0003465 Long ABS-MBS CORP US N 2 2036-10-25 Variable 4.75322 N N N N N N FNMA PASS THRU POOLS N/A 31404Q5M7 931.760000 PA USD 943.320000 0.0000135 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 6.026 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC2 N/A 86358EAP1 3730754.150000 PA USD 3797597.330000 0.0542656 Long ABS-MBS CORP US N 2 2033-04-25 Floating 7.37822 N N N N N N N/A N/A 000000000 1.000000 NC USD 4.480000 0.0000001 N/A DCR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 0.000000 USD -713.720000 USD 32964.580000 USD 718.200000 N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR7 N/A 45670CAA5 100704.580000 PA USD 35162.390000 0.0005025 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.75322 N N N N N N PRPM 2023-NQM2 TRUST N/A 74390KAK4 2068747.500000 PA USD 2083701.440000 0.0297749 Long ABS-MBS CORP US N 2 2068-08-25 Fixed 6.25 N N N N N N WAMU MTGE P/T CERTIFICATES 2003-AR11 N/A 92922FJJ8 78240.500000 PA USD 65736.890000 0.0009393 Long ABS-MBS CORP US N 2 2033-10-25 Variable 6.72692 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413V9 17902608.590000 PA USD 14438215.720000 0.206314 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.80322 N N N N N N AMERIQUEST MTGE SECURITIES INC 2004-R12 N/A 03072SXE0 235102.420000 PA USD 234319.080000 0.0033483 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.36822 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A 31394JD87 237186.230000 PA USD 241102.220000 0.0034452 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 6.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040636 193000000.000000 PA USD 176475021.550000 2.52173 Long ABS-MBS USGSE US N 2 2055-03-15 Fixed 4 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P5 N/A 14687RAB7 8585373.070000 PA USD 8609921.230000 0.123031 Long ABS-O CORP US N 2 2027-04-12 Fixed 5.77 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 281309.120000 PA USD 253831.320000 0.0036271 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.22522 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19 N/A 12668RAA6 1178761.870000 PA USD 932019.550000 0.013318 Long ABS-MBS CORP US N 2 2047-02-20 Floating 4.66474 N N N N N N SEQUOIA MORTGAGE TRUST 2004-7 N/A 81744FCV7 30191.220000 PA USD 29008.840000 0.0004145 Long ABS-MBS CORP US N 2 2034-08-20 Floating 6.38089 N N N N N N ARROYO MORTGAGE TRUST 2021-1R N/A 042853AA9 3961877.440000 PA USD 3462806.470000 0.0494816 Long ABS-MBS CORP US N 2 2048-10-25 Variable 1.175 N N N N N N N/A N/A 000000000 1.000000 NC USD 262174.250000 0.0037463 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 14800000.000000 USD 262174.250000 N N N ATLX 2024-RPL1 TRUST N/A 049915AA9 2131504.560000 PA USD 2036862.990000 0.0291056 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 3.85 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO4 N/A 75114GAC3 1008546.630000 PA USD 911770.930000 0.0130287 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.83322 N N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AN5 1399099.840000 PA USD 898276.800000 0.0128359 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.84937 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 615126.760000 PA USD 616115.370000 0.0088039 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 5.73324 N N N N N N FCCU AUTO RECEIVABLES TRUST 2024-1 N/A 30336CAC9 2145083.740000 PA USD 2158549.720000 0.0308445 Long ABS-O CORP US N 2 2027-11-15 Fixed 5.76 N N N N N N FNMA PASS THRU POOLS N/A 31407MSQ9 1918.150000 PA USD 1949.410000 0.0000279 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 6.884 N N N N N N N/A N/A 000000000 1.000000 NC USD -440060.510000 -0.0062882 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-08-30 0.000000 USD -58500.000000 USD 11700000.000000 USD -381560.510000 N N N FNMA PASS THRU POOLS N/A 31418CHG2 3937.570000 PA USD 3654.240000 0.0000522 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N SAXON ASSET SECURITIES TR 2002-3 N/A 805564ML2 2971344.110000 PA USD 2686075.760000 0.0383825 Long ABS-MBS CORP US N 2 2032-12-25 Floating 7.04072 N N N N N N FNMA PASS THRU POOLS N/A 3138WJAU2 22812.050000 PA USD 19799.380000 0.0002829 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 96042YAD5 1400000.000000 PA USD 1414090.860000 0.0202066 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.56 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2021-A N/A 19424KAA1 4283519.030000 PA USD 4266030.710000 0.0609592 Long ABS-O CORP US N 2 2051-07-25 Floating 5.80219 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11 N/A 02151WAT9 2558570.010000 PA USD 2177174.210000 0.0311106 Long ABS-MBS CORP US N 2 2047-11-25 Floating 6.07522 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR2 N/A 45660NG90 1250135.560000 PA USD 975406.770000 0.013938 Long ABS-O CORP US N 2 2034-06-25 Variable 4.45895 N N N N N N CHASE AUTO OWNER TRUST 2023-AA N/A 16144KAC2 3000000.000000 PA USD 3043396.200000 0.0434884 Long ABS-O CORP US N 2 2029-01-25 Fixed 5.68 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-16IP N/A 45660LUE7 630664.400000 PA USD 462359.120000 0.0066069 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.19322 N N N N N N RAAC SERIES 2005-SP3 N/A 76112BS84 1447000.000000 PA USD 1529516.770000 0.0218559 Long ABS-MBS CORP US N 2 2035-12-25 Floating 8.20322 N N N N N N RAMP SERIES TRUST2006-EFC1 N/A 76112BV80 337743.780000 PA USD 336566.510000 0.0048093 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.05322 N N N N N N FREMONT HOME LOAN TRUST 2005-2 N/A 35729PLQ1 12455653.980000 PA USD 10167684.860000 0.145291 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.42822 N N N N N N HOME EQUITY ASSET TRUST 2005-6 N/A 437084NF9 6125385.990000 PA USD 6063632.300000 0.0866459 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.35322 N N N N N N AMERIQUEST MTGE SEC INC 2004-R4 N/A 03072SRG2 2703896.980000 PA USD 2532915.240000 0.036194 Long ABS-MBS CORP US N 2 2034-06-25 Floating 6.40322 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAA5 4085439.650000 PA USD 3697729.790000 0.0528385 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.82522 N N N N N N FNMA PASS THRU POOLS N/A 31400YDJ2 46682.510000 PA USD 48254.090000 0.0006895 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 7.833 N N N N N N FNMA PASS THRU POOLS N/A 31417AXF1 24109.910000 PA USD 23747.960000 0.0003393 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36225CN36 4965.430000 PA USD 4953.000000 0.0000708 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 5 N N N N N N BEAR STEARNS ASSETBACKED SEC 2005-C N/A 073879V21 15615.320000 PA USD 15345.250000 0.0002193 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.95322 N N N N N N MFA 2022-RPL1 TRUST N/A 55285TAA4 8323708.570000 PA USD 7693820.250000 0.10994 Long ABS-MBS CORP US N 2 2061-08-25 Fixed 3.3 N N N N N N BAIN CAPITAL CREDIT CLO 2021-4 LTD N/A 05685AAS7 1000000.000000 PA USD 999362.020000 0.0142803 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 6.00924 N N N N N N MORGAN STANLEY MTGE LN TRUST 2007-14AR N/A 61756VAE9 2456246.380000 PA USD 1403132.220000 0.02005 Long ABS-MBS CORP US N 2 2037-10-25 Variable 3.51552 N N N N N N PRPM 2024-RCF3 LLC N/A 74390BAA6 861137.500000 PA USD 841902.960000 0.0120303 Long ABS-MBS CORP US N 2 2054-05-25 Fixed 4 N N N N N N TRYSAIL CLO 2022-1A LTD N/A 89856JAA4 1000000.000000 PA USD 1000982.460000 0.0143035 Long ABS-CBDO CORP JE N 2 2033-10-20 Floating 7.2674 N N N N N N N/A N/A 000000000 1.000000 NC USD 372.520000 0.0000053 N/A DCR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 CMBX.NA.AAA.8 N/A N/A Y Single Leg Swap 2057-10-17 0.000000 USD -91700.160000 USD 2001555.060000 USD 92072.680000 N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAK9 348606.630000 PA USD 309049.920000 0.0044162 Long ABS-MBS CORP US N 2 2046-09-20 Floating 4.91969 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 27270052.270000 PA USD 24237807.890000 0.346345 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.72322 N N N N N N N/A N/A 000000000 1.000000 NC USD -573655.500000 -0.0081972 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-28 0.000000 USD -60530.250000 USD 12100000.000000 USD -513125.250000 N N N N/A N/A 000000000 1.000000 NC USD 1225332.400000 0.0175093 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-06-21 141013.190000 USD 0.000000 USD 14105000.000000 USD 1084319.210000 N N N MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 N/A 59982HAH3 3000000.000000 PA USD 2569197.900000 0.0367124 Long ABS-MBS CORP US N 2 2060-11-25 Variable 2.5 N N N N N N BARINGS CLO LTD 2021-III N/A 06762TAA9 3700000.000000 PA USD 3706976.760000 0.0529706 Long ABS-CBDO CORP KY N 2 2035-01-18 Floating 6.04396 N N N N N N STRUCTURED ASSET SEC CORP 2006-BC6 N/A 86362VAA0 4146112.620000 PA USD 3949723.700000 0.0564394 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.61322 N N N N N N FNMA PASS THRU POOLS N/A 3140M3DT4 188256.030000 PA USD 172339.930000 0.0024626 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 4 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-SA1 N/A 76111XG98 30288.490000 PA USD 27744.740000 0.0003965 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.0987 N N N N N N MADISON PARK FUNDING XVIII LTD 2015-18A N/A 55819BAW0 2682987.900000 PA USD 2684364.140000 0.0383581 Long ABS-CBDO CORP KY N 2 2030-10-21 Floating 5.81901 N N N N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAU0 836151.260000 PA USD 729308.940000 0.0104214 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6.5 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2006-NC2 N/A 75156TAD2 11733872.890000 PA USD 11249180.630000 0.160745 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.99322 N N N N N N UMBS PASS THRU POOLS N/A 01F022626 29400000.000000 PA USD 23954109.520000 0.342291 Long ABS-MBS USGSE US N 2 2055-02-13 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36225CTM8 1517.300000 PA USD 1511.130000 0.0000216 Long ABS-MBS USGSE US N 2 2031-11-20 Floating 3.75 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT5 N/A 83612CAF6 11121821.790000 PA USD 9167842.270000 0.131003 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.82822 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAG5 1560153.210000 PA USD 966167.160000 0.013806 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.54865 N N N N N N INDYMAC ARM TRUST 2001-H2 N/A 45660UAT6 2167.810000 PA USD 2075.750000 0.0000297 Long ABS-MBS CORP US N 2 2032-01-25 Floating 6.63598 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P1 N/A 14688NAB5 1464706.130000 PA USD 1468754.580000 0.0209877 Long ABS-O CORP US N 2 2027-08-10 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 107072.810000 0.00153 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 4800000.000000 USD 107072.810000 N N N MADISON PARK FUNDING XXI LTD 2016-21A N/A 55820JBC3 12000000.000000 PA USD 12025128.240000 0.171832 Long ABS-CBDO CORP KY N 2 2032-10-15 Floating 5.99751 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797JR9 266000.000000 PA USD 265342.120000 0.0037916 Long DBT UST US N 2 2025-01-23 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 845756.750000 0.0120854 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-22 0.000000 USD -1980.400000 USD 7800000.000000 USD 847737.150000 N N N MAGNETITE XV LTD 2015-15A N/A 55953MAN2 3527106.950000 PA USD 3533313.880000 0.0504891 Long ABS-CBDO CORP KY N 2 2031-07-25 Floating 5.89748 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE7 N/A 61756YAF0 348553.140000 PA USD 283343.940000 0.0040488 Long ABS-MBS CORP US N 2 2037-07-25 Floating 6.45322 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-NET N/A 126438AA8 596542.240000 PA USD 581570.040000 0.0083103 Long ABS-MBS CORP US N 2 2037-08-15 Fixed 2.2569 N N N N N N FNMA PASS THRU POOLS N/A 31418CS54 23526.620000 PA USD 21826.230000 0.0003119 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N STRUCTURED ASSET SECURITIES CP 2002-14A N/A 86358RR41 355.860000 PA USD 350.570000 0.000005 Long ABS-MBS CORP US N 2 2032-07-25 Floating 5.30575 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR24 N/A 22541QUX8 1192754.970000 PA USD 1075088.020000 0.0153624 Long ABS-MBS CORP US N 2 2033-10-25 Floating 7.52165 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-84 N/A 12668BAV5 1255290.630000 PA USD 1146417.890000 0.0163817 Long ABS-MBS CORP US N 2 2036-02-25 Variable 4.89955 N N N N N N COUNTRYWIDE HOME LOANS 2005-13 N/A 12669GC82 1240530.100000 PA USD 677681.120000 0.0096837 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.5 N N N N N N CIFC FUNDING LTD 2013-2A N/A 12549BAY4 3449597.770000 PA USD 3455797.150000 0.0493814 Long ABS-CBDO CORP KY N 2 2030-10-18 Floating 5.89396 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW95 193661.450000 PA USD 192214.470000 0.0027466 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.31 N N N N N N FHF ISSUER TRUST 2023-2A N/A 30333LAB4 1599301.600000 PA USD 1629455.790000 0.023284 Long ABS-O CORP US N 2 2029-10-15 Fixed 6.79 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-17 N/A 126670QU5 296425.240000 PA USD 235079.380000 0.0033592 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.547 N N N N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 92442.780000 PA USD 82318.180000 0.0011763 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.74254 N N N N N N FNMA PASS THRU POOLS N/A 3140XH5X1 4458182.990000 PA USD 4206750.300000 0.0601121 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.5 N N N N N N GCAT 2024-NQM2 TRUST N/A 36831CAA0 1544161.990000 PA USD 1553326.900000 0.0221962 Long ABS-MBS CORP US N 2 2059-06-25 Fixed 6.085 N N N N N N ACE SECURITIES CORP 2004-RM1 N/A 004421FS7 13935.410000 PA USD 13566.280000 0.0001939 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.50322 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAJ8 2300000.000000 PA USD 2279399.590000 0.0325714 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.545 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2020-2A N/A 682696AA7 1791000.000000 PA USD 1721296.430000 0.0245964 Long ABS-O CORP US N 2 2035-09-14 Fixed 1.75 N N N N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4 N/A 10806EAB0 1900000.000000 PA USD 1901349.760000 0.0271692 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.84 N N N N N N ANGEL OAK MORTGAGE TRUST 2024-4 N/A 034943AA8 2876915.410000 PA USD 2896473.830000 0.041389 Long ABS-MBS CORP US N 2 2069-01-25 Fixed 6.197 N N N N N N IMPAC SECURED ASSETS CORP. 2007-2 N/A 452570AA2 3341583.910000 PA USD 2722366.690000 0.0389011 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.67322 N N N N N N BAIN CAPITAL CREDIT CLO 2020-3 LTD N/A 05684CAW5 2600000.000000 PA USD 2607156.190000 0.0372548 Long ABS-CBDO CORP KY N 2 2034-10-23 Floating 5.83626 N N N N N N GCAT 2023-NQM4 TRUST N/A 36171FAA1 15684209.550000 PA USD 14534467.590000 0.20769 Long ABS-MBS CORP US N 2 2067-05-25 Variable 4.25 N N N N N N PRET 2024-RN2 LLC N/A 69391YAA5 994357.370000 PA USD 997906.830000 0.0142595 Long ABS-MBS CORP US N 2 2054-04-25 Fixed 7.1249 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2005-6 N/A 576433A55 9247939.060000 PA USD 4642566.210000 0.0663397 Long ABS-MBS CORP US N 2 2035-07-25 Variable 5.79301 N N N N N N FNMA PASS THRU POOLS N/A 3140NPPY0 1059906.990000 PA USD 1066104.930000 0.015234 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 6 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-2A N/A 36269EAB5 1446213.520000 PA USD 1463855.590000 0.0209177 Long ABS-O CORP US N 2 2028-06-15 Fixed 6.37 N N N N N N KKR CLO 28 LTD 28A N/A 48253WAL6 6000000.000000 PA USD 6025789.440000 0.0861052 Long ABS-CBDO CORP KY N 2 2035-02-09 Floating 6.0873 N N N N N N PENFED AUTO RECEIVABLES OWNER TRUST 2024-A N/A 70687FAB5 3600000.000000 PA USD 3610809.000000 0.0515965 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.04 N N N N N N MASTR ASSET SECURIZATION TR 2007-2 N/A 576429AA2 5391122.680000 PA USD 4818536.390000 0.0688542 Long ABS-MBS CORP US N 2 2047-03-25 Floating 4.75322 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 23207.340000 PA USD 22879.440000 0.0003269 Long ABS-MBS CORP US N 2 2035-05-25 Floating 7.41 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HZJ3 571737.630000 PA USD 534052.630000 0.0076313 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.43404 N N N N N N INDYMAC HOME EQUITY LOAN ASSET 2000-A N/A 456606AF9 210947.280000 PA USD 110878.240000 0.0015844 Long ABS-MBS CORP US N 2 2030-02-25 Variable 8.81 N N N N N N WASHINGTON MUTUAL 2004-AR3 N/A 92922FNM6 279184.580000 PA USD 240007.280000 0.0034296 Long ABS-MBS CORP US N 2 2034-06-25 Variable 5.70316 N N N N N N LCCM 2021-FL3 TRUST N/A 50190FAA9 8326281.290000 PA USD 8359860.350000 0.119458 Long ABS-CBDO CORP US N 2 2038-11-15 Floating 5.96157 N N N N N N BANKUNITED TRUST 2005-1 N/A 06652DAA7 51044.680000 PA USD 47122.330000 0.0006734 Long ABS-MBS CORP US N 2 2045-09-25 Floating 5.05322 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-3 N/A 126670WD6 16238848.440000 PA USD 15791448.680000 0.225651 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.03822 N N N N N N HONDA AUTO RECEIVABLES OWNER TRUST 2024-4 N/A 43816DAC9 5200000.000000 PA USD 5178186.520000 0.0739934 Long ABS-O CORP US N 2 2029-05-15 Fixed 4.33 N N N N N N NISSAN AUTO RECEIVABLES OWNER TRUST 2024-B N/A 65479WAB0 2100000.000000 PA USD 2101326.990000 0.0300268 Long ABS-O CORP US N 2 2027-06-15 Fixed 4.51 N N N N N N ANCHORAGE CAPITAL CLO 2021-20A LTD N/A 03330YAJ9 1000000.000000 PA USD 1000000.000000 0.0142894 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.47029 N N N N N N GNMA PASS THRU POOLS N/A 21H030625 17700000.000000 PA USD 15351292.840000 0.219361 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 3 N N N N N N JP MORGAN SEASONED MORTGAGE TRUST 2024-1 N/A 61777HAE5 1000000.000000 PA USD 934838.300000 0.0133583 Long ABS-MBS CORP US N 2 2054-10-25 Variable 4.50261 N N N N N N RESIDENTIAL ACCREDIT LOANS 2004-QA6 N/A 76110HH77 126071.690000 PA USD 80857.550000 0.0011554 Long ABS-MBS CORP US N 2 2034-12-26 Variable 6.1665 N N N N N N SCCU AUTO RECEIVABLES TRUST 2024-1A N/A 78436RAC4 5524648.150000 PA USD 5544924.710000 0.0792339 Long ABS-O CORP US N 2 2027-12-15 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC USD 4340425.850000 0.0620223 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-20 5406692.080000 USD 0.000000 USD 176800000.000000 USD -1066266.230000 N N N BANC OF AMERICA FUNDING CORP 2007-A N/A 05952DAR9 1385501.070000 PA USD 1264932.550000 0.0180752 Long ABS-MBS CORP US N 2 2047-02-20 Floating 4.94474 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-HE6 N/A 61744CFA9 753213.260000 PA USD 694062.820000 0.0099178 Long ABS-MBS CORP US N 2 2034-08-25 Floating 5.13322 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPN5 473488.190000 PA USD 427126.740000 0.0061034 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.09322 N N N N N N FNMA PASS THRU POOLS N/A 31410GD83 494.840000 PA USD 512.720000 0.0000073 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 7.054 N N N N N N FNMA PASS THRU POOLS N/A 3138XSP84 663493.510000 PA USD 617754.840000 0.0088274 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4 N N N N N N PREFERRED TERM SECURITIES X LTD / PREFERRED TERM SECURITIES X INC N/A 74040YAB8 325017.780000 PA USD 325017.780000 0.0046443 Long DBT CORP KY N 2 2033-07-03 Floating 5.44755 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-2 N/A 288547AE2 2069000.000000 PA USD 2015159.650000 0.0287955 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.95322 N N N N N N WMALT MTGE PASS-THRU CERT 2005-8 N/A 93934FCJ9 300674.380000 PA USD 269236.860000 0.0038472 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.10322 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-A N/A 78450QAA1 353718.540000 PA USD 355027.510000 0.0050731 Long ABS-O CORP US N 2 2053-01-15 Fixed 5.38 N N N N N N POPULAR ABS MTGE PASS THRU TRUST 2005-5 N/A 73316PGW4 4008272.870000 PA USD 3551908.560000 0.0507548 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.39822 N N N N N N CBAM 2018-7 LTD 2018-7A N/A 12482JAA8 12030353.430000 PA USD 12055069.910000 0.17226 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 5.97901 N N N N N N GSR MORTGAGE LOAN TRUST 2004-12 N/A 36242DKV4 965956.810000 PA USD 126647.180000 0.0018097 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.08997 N N N N N N BX-2021-XL2 N/A 05609KAA7 132064.830000 PA USD 131974.830000 0.0018858 Long ABS-MBS CORP US N 2 2038-10-15 Floating 5.19998 N N N N N N RCKT MORTGAGE TRUST 2024-CES7 N/A 749414AA6 3658248.500000 PA USD 3627495.430000 0.0518349 Long ABS-MBS CORP US N 2 2044-10-25 Variable 5.158 N N N N N N N/A N/A 000000000 1.000000 NC USD 3247674.060000 0.0464075 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-12-21 1429760.320000 USD 0.000000 USD 64900000.000000 USD 1817913.740000 N N N N/A N/A 000000000 1.000000 NC USD -5881794.160000 -0.0840476 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -1744918.050000 USD 29330000.000000 USD -4136876.110000 N N N CS FIRST BOSTON MTGE SEC CORP 2004-AR2 N/A 22541Q7J5 1144836.030000 PA USD 764913.490000 0.0109302 Long ABS-MBS CORP US N 2 2034-03-25 Floating 6.45322 N N N N N N FHLMC PASS THRU POOLS N/A 31349UCW6 4105.010000 PA USD 4258.690000 0.0000609 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 6.932 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-17 N/A 126670RF7 32299999.990000 PA USD 27308871.560000 0.390229 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.23322 N N N N N N GSAMP TRUST 2006-HE4 N/A 362439AF8 13061000.000000 PA USD 10582839.820000 0.151223 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.90322 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-44 N/A 12667G3L5 2569995.040000 PA USD 1688328.170000 0.0241253 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.11322 N N N N N N N/A N/A 000000000 1.000000 NC USD 230.010000 0.0000033 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-03-20 0.000000 USD -513505.000000 USD 15840000.000000 USD 513735.010000 N N N CPS AUTO RECEIVABLES TRUST 2024-D N/A 22411JAA3 2329684.520000 PA USD 2333778.710000 0.0333484 Long ABS-O CORP US N 2 2028-06-15 Fixed 4.91 N N N N N N NISSAN AUTO RECEIVABLES OWNER TRUST 2024-B N/A 65479WAD6 2800000.000000 PA USD 2790444.720000 0.0398739 Long ABS-O CORP US N 2 2029-03-15 Fixed 4.34 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 418.850000 PA USD 396.170000 0.0000057 Long ABS-MBS CORP US N 2 2042-11-25 Floating 6.02522 N N N N N N UMBS PASS THRU POOLS N/A 01F052623 536788166.000000 PA USD 529339435.750000 7.56397 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 5.5 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR7 N/A 45660NU45 61922.260000 PA USD 49024.230000 0.0007005 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.67322 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-9 N/A 126673GB2 841294.860000 PA USD 836890.850000 0.0119587 Long ABS-MBS CORP US N 2 2034-12-25 Fixed 5.125 N N N N N N OSCAR US FUNDING XVII LLC 2024-2A N/A 68784BAB0 2300000.000000 PA USD 2304698.210000 0.0329329 Long ABS-O CORP US N 2 2027-12-10 Fixed 4.63 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-AC4 N/A 07378RAB5 2443177.820000 PA USD 2071514.770000 0.0296008 Long ABS-MBS CORP US N 2 2037-02-25 Variable 11.7137 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UQ7 31319.380000 PA USD 30135.250000 0.0004306 Long ABS-MBS CORP US N 2 2034-12-21 Floating 6.85178 N N N N N N SOUND POINT CLO XVIII LTD 2017-4A N/A 83609TAA5 2858191.960000 PA USD 2864140.170000 0.040927 Long ABS-CBDO CORP KY N 2 2031-01-21 Floating 5.99901 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-6 N/A 69548KAA7 667158.030000 PA USD 674093.540000 0.0096324 Long ABS-O CORP US N 2 2031-11-15 Fixed 6.093 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2 N/A 81376VAC1 3299447.240000 PA USD 2026357.830000 0.0289555 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.95322 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-WFH2 N/A 17309MAG8 11277057.120000 PA USD 9907688.580000 0.141575 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.91822 N N N N N N N/A N/A 000000000 1.000000 NC USD -931427.500000 -0.0133096 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-03-22 0.000000 USD -22737.500000 USD 8500000.000000 USD -908690.000000 N N N FNMA PASS THRU POOLS N/A 31418E3Y4 9958121.870000 PA USD 10185772.400000 0.145549 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FVG8 134257.800000 PA USD 130349.180000 0.0018626 Long ABS-MBS USGSE US N 2 2041-07-20 Fixed 4.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 N/A 64829VAA4 304674.160000 PA USD 292845.370000 0.0041846 Long ABS-MBS CORP US N 2 2057-12-25 Variable 3.5 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2021-P2 N/A 14687TAD9 1010486.970000 PA USD 994303.310000 0.014208 Long ABS-O CORP US N 2 2027-01-10 Fixed 0.8 N N N N N N N/A N/A 000000000 1.000000 NC USD 3547.950000 0.0000507 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-17 0.000000 USD -37547.770000 USD 13500000.000000 USD 41095.720000 N N N SOUNDVIEW HOME EQUITY LOAN TR 2003-2 N/A 83611MAQ1 7406.260000 PA USD 7600.770000 0.0001086 Long ABS-MBS CORP US N 2 2033-11-25 Floating 5.75322 N N N N N N PRPM 2024-6 LLC N/A 74390PAA5 974678.160000 PA USD 975507.030000 0.0139395 Long ABS-MBS CORP US N 2 2029-11-25 Fixed 5.699 N N N N N N FNMA PASS THRU POOLS N/A 31404QGF0 8065.660000 PA USD 8220.640000 0.0001175 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 6.866 N N N N N N UMBS PASS THRU POOLS N/A 01F050627 597833000.000000 PA USD 576719911.840000 8.24101 Long ABS-MBS USGSE US N 2 2055-02-13 Fixed 5 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5 N/A 46654PAA4 7000000.000000 PA USD 6970078.500000 0.0995986 Long ABS-MBS CORP US N 2 2038-11-15 Floating 5.77748 N N N N N N WAMU MTGE P/T CERT 2007-HY5 N/A 92990GAJ2 787050.720000 PA USD 663965.200000 0.0094877 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.87896 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA17 N/A 12668PAA0 5269437.390000 PA USD 4502251.040000 0.0643347 Long ABS-MBS CORP US N 2 2046-12-20 Floating 4.67974 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA7 N/A 02146BAK2 1146618.040000 PA USD 893325.530000 0.0127651 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.87322 N N N N N N N/A N/A 000000000 1.000000 NC USD 0.950000 0 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 STRUCTURED ASSET INVST LN TR 2004-10 SAIL 2004-10 M3 TSFR1M+206.448BP Y Single Leg Swap 2034-11-25 0.000000 USD -413.950000 USD 440.370000 USD 414.900000 N N N TRUPS FINANCIALS NOTE SECURITIZATION 2017-2A N/A 898203AA2 11069197.520000 PA USD 10903159.560000 0.1558 Long ABS-CBDO CORP KY N 2 2039-09-20 Floating 6.18567 N N N N N N N/A N/A 000000000 1.000000 NC USD -157818.290000 -0.0022551 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-03-01 0.000000 USD -11180.000000 USD 2600000.000000 USD -146638.290000 N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MQ70 190.030000 PA USD 174.860000 0.0000025 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.25074 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAF6 19731452.600000 PA USD 17342616.940000 0.247816 Long ABS-MBS CORP US N 2 2038-01-19 Floating 4.86083 N N N N N N PRET 2024-NPL1 LLC N/A 69381VAA3 1402476.460000 PA USD 1416544.700000 0.0202416 Long ABS-MBS CORP US N 2 2054-01-25 Fixed 7.1429 N N N N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1 N/A 61776YAA7 2231814.790000 PA USD 2142019.060000 0.0306083 Long ABS-MBS CORP US N 2 2064-06-25 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 2881985.130000 0.041182 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-01-17 10582.420000 USD 0.000000 USD 98200000.000000 USD 2871402.710000 N N N CARLYLE GLOBAL MARKET STRATEGIES C17A N/A 14307PAC9 3402764.680000 PA USD 3409297.440000 0.048717 Long ABS-CBDO CORP KY N 2 2031-04-30 Floating 5.88078 N N N N N N SPECIALTY UNDERWRITING & RESID 2005-BC3 N/A 84751PHA0 9169029.540000 PA USD 8727706.730000 0.124714 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.35322 N N N N N N MASTR ASSET BACKED SECUR TRUST 2003-WMC2 N/A 57643LCD6 590798.360000 PA USD 626308.950000 0.0089496 Long ABS-MBS CORP US N 2 2033-08-25 Floating 8.45322 N N N N N N PRPM 2024-8 LLC N/A 74448KAA8 1600000.000000 PA USD 1603909.570000 0.022919 Long ABS-MBS CORP US N 3 2029-12-25 Fixed 5.897 N N N N N N TOWD POINT MORTGAGE TRUST 2017-6 N/A 89175JAB6 1000000.000000 PA USD 936971.500000 0.0133888 Long ABS-MBS CORP US N 2 2057-10-25 Variable 3 N N N N N N FNMA PASS THRU POOLS N/A 31418CNE0 422973.770000 PA USD 392406.560000 0.0056073 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140N2XU0 723630.080000 PA USD 673672.580000 0.0096264 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 3 N N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM5 N/A 59023FAA3 5872738.160000 PA USD 875627.020000 0.0125122 Long ABS-MBS CORP US N 2 2037-10-25 Floating 4.57322 N N N N N N FNMA PASS THRU POOLS N/A 31390WRA2 10727.910000 PA USD 10677.300000 0.0001526 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 6.612 N N N N N N STEELE CREEK CLO LTD 2018-1A N/A 85815CAA7 10648749.470000 PA USD 10666265.810000 0.152415 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 5.92751 N N N N N N HOME EQUITY PASS-THRU CERTS 2002-1 N/A 22541NAD1 3592.350000 PA USD 3259.050000 0.0000466 Long ABS-MBS CORP US N 2 2032-11-25 Floating 5.05322 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-4 N/A 36271BAC5 2900000.000000 PA USD 2888934.470000 0.0412813 Long ABS-O CORP US N 2 2029-12-17 Fixed 4.43 N N N N N N STRUCTURED ASSET SECURITIES CO-2006-BC2 N/A 86361GAA4 6196057.590000 PA USD 3741310.310000 0.0534612 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.60822 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 14922077.430000 PA USD 14248596.320000 0.203604 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N BAIN CAPITAL CREDIT CLO 2021-4 LTD N/A 05685AAU2 1000000.000000 PA USD 1003791.300000 0.0143436 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 6.20924 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYB1 638025.190000 PA USD 300381.880000 0.0042923 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.17548 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAA5 11961384.800000 PA USD 11455952.900000 0.163699 Long ABS-O CORP US N 2 2055-02-16 Fixed 3.94 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2024-A N/A 14319FAD5 6200000.000000 PA USD 6275096.260000 0.0896676 Long ABS-O CORP US N 2 2028-11-15 Fixed 5.4 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2002-BC3 N/A 126671RE8 123132.150000 PA USD 123205.930000 0.0017605 Long ABS-MBS CORP US N 2 2032-05-25 Floating 5.35322 N N N N N N SMRT 2022-MINI N/A 78457JAA0 25570000.000000 PA USD 25519877.690000 0.364665 Long ABS-MBS CORP US N 2 2039-01-15 Floating 5.398 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAA1 2869.490000 PA USD 2774.110000 0.0000396 Long ABS-MBS CORP US N 2 2027-10-20 Floating 5.28474 N N N N N N N/A N/A 000000000 1.000000 NC USD -356739.920000 -0.0050976 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-03-16 0.000000 USD -9875.250000 USD 2100000.000000 USD -346864.670000 N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 716459.730000 PA USD 684516.800000 0.0097814 Long ABS-MBS CORP US N 2 2042-08-25 Floating 6.22522 N N N N N N BCC-2021-5A N/A 05682EAN3 1000000.000000 PA USD 1002138.830000 0.01432 Long ABS-CBDO CORP KY N 2 2034-10-23 Floating 5.67094 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC3 N/A 61744CZE9 19088130.750000 PA USD 16216054.240000 0.231718 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.94822 N N N N N N ARGENT SECURITIES INC 2006-M3 N/A 03076MAD6 18348274.540000 PA USD 5347206.460000 0.0764086 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.61322 N N N N N N 1211 AVENUE OF THE AMERICAS TRUST 2015-1211 N/A 90117PAC9 1100000.000000 PA USD 1085782.280000 0.0155152 Long ABS-MBS CORP US N 2 2035-08-10 Fixed 3.9005 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-3 N/A 073881AA2 198016.720000 PA USD 176450.600000 0.0025214 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.2746 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSM6 119240.350000 PA USD 110450.370000 0.0015783 Long ABS-MBS CORP US N 2 2035-06-20 Floating 5.38474 N N N N N N TOYOTA AUTO RECEIVABLES 2024-D OWNER TRUST N/A 89239TAD4 5000000.000000 PA USD 4988559.500000 0.0712837 Long ABS-O CORP US N 2 2029-06-15 Fixed 4.4 N N N N N N ARROWMARK COLORADO HOLDINGS 2018-3A N/A 28623VAQ2 1000000.000000 PA USD 1001370.570000 0.014309 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 6.22587 N N N N N N AMORTIZING RESIDENTIAL COLLATERAL TRUST 2004-1 N/A 031733AE8 1522848.480000 PA USD 1508190.910000 0.0215512 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.45322 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB4 N/A 17307GMC9 51333.440000 PA USD 47952.960000 0.0006852 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.78322 N N N N N N CS FIRST BOSTON MTG SEC 2003-1 N/A 2254W0FJ9 7960.530000 PA USD 8026.530000 0.0001147 Long ABS-MBS CORP US N 2 2033-02-25 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31388RN78 6903.950000 PA USD 6957.270000 0.0000994 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 7.465 N N N N N N FNMA PASS THRU POOLS N/A 3140FUJ58 40309.520000 PA USD 37346.360000 0.0005337 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-C N/A 83206EAA5 3549575.910000 PA USD 3575483.200000 0.0510917 Long ABS-O CORP US N 2 2052-06-17 Fixed 5.5 N N N N N N INDYMAC INDEX MORTGAGE LOAN TRUST 2007-AR13 N/A 456681AA3 2485944.650000 PA USD 1074018.580000 0.0153471 Long ABS-MBS CORP US N 2 2037-07-25 Variable 4.80246 N N N N N N COUNTRYWIDE HOME LOANS 2005-29 N/A 126694TD0 961593.780000 PA USD 454851.550000 0.0064996 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.75 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF9 N/A 320276AE8 9635532.120000 PA USD 9457624.550000 0.135144 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.77322 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-SB1 N/A 91682PAA6 8372828.790000 PA USD 8454782.880000 0.120814 Long ABS-O CORP US N 2 2028-10-20 Fixed 7.9 N N N N N N OBX 2023-NQM8 TRUST N/A 67118CAA9 1962246.350000 PA USD 1991121.980000 0.028452 Long ABS-MBS CORP US N 2 2063-09-25 Fixed 7.045 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-10 N/A 126670AZ1 7238169.070000 PA USD 7071568.130000 0.101049 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.41322 N N N N N N N/A N/A 000000000 1.000000 NC USD 1607149.080000 0.0229653 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-16 28941.980000 USD 0.000000 USD 9102000.000000 USD 1578207.100000 N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAD6 500000.000000 PA USD 499845.800000 0.0071425 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.15 N N N N N N SEQUOIA MORTGAGE TRUST 2024-HYB1 N/A 81749EAA3 8325745.130000 PA USD 8177569.350000 0.116853 Long ABS-MBS CORP US N 2 2063-11-25 Variable 4.52023 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P3 N/A 14688GAC8 1900000.000000 PA USD 1923670.960000 0.0274882 Long ABS-O CORP US N 2 2028-08-10 Fixed 5.82 N N N N N N N/A N/A 000000000 1.000000 NC USD -402489.380000 -0.0057513 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-01-24 0.000000 USD -8009.960000 USD 1000000.000000 USD -394479.420000 N N N ASSET BACKED SEC CORP HEQ LN 2001-HE2 N/A 04541GBN1 111209.860000 PA USD 109300.720000 0.0015618 Long ABS-MBS CORP US N 2 2031-06-15 Floating 5.03157 N N N N N N BAYVIEW FINANCIAL ACQUISITION TR 2006-D N/A 07325HAM7 7063508.870000 PA USD 5914865.780000 0.0845201 Long ABS-MBS CORP US N 2 2036-12-28 Floating 5.05912 N N N N N N FNMA PASS THRU POOLS N/A 3140F3XV5 255854.260000 PA USD 237769.380000 0.0033976 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133BUH42 6685210.180000 PA USD 6602901.940000 0.0943518 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 66718.950000 0.0009534 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD -588086.310000 USD 61500000.000000 USD 654805.260000 N N N N/A N/A 000000000 1.000000 NC USD 64751.390000 0.0009253 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.11 N/A N/A Y Single Leg Swap 2054-11-18 196705.730000 USD 0.000000 USD 55100000.000000 USD -131954.340000 N N N N/A N/A 000000000 1.000000 NC USD 789610.580000 0.0112831 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 33600000.000000 USD 789610.580000 N N N BEAR STEARNS ARM TR 2004-8 N/A 07384MZ96 74794.860000 PA USD 70181.980000 0.0010029 Long ABS-MBS CORP US N 2 2034-11-25 Floating 7.19682 N N N N N N ARGENT SECURITIES INC 2004-W8 N/A 040104JQ5 1230622.980000 PA USD 1011317.970000 0.0144512 Long ABS-MBS CORP US N 2 2034-05-25 Floating 5.57822 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-4 N/A 86360BAL2 2337764.880000 PA USD 1274408.910000 0.0182106 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.01135 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2017-A N/A 78448WAB1 211216.370000 PA USD 209331.220000 0.0029912 Long ABS-O CORP US N 2 2034-09-15 Fixed 2.88 N N N N N N VERUS SECURITIZATION TRUST 2021-R1 N/A 92538BAA1 1001403.820000 PA USD 945023.580000 0.0135039 Long ABS-MBS CORP US N 2 2063-10-25 Variable 0.82 N N N N N N CIM TRUST 2019-R1 N/A 12555VAA3 1118858.240000 PA USD 995330.580000 0.0142227 Long ABS-MBS CORP US N 2 2058-10-25 Variable 3.25 N N N N N N N/A N/A 000000000 -97.000000 NC USD 509005.010000 0.0072734 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-03-18 -23197246.880000 USD 509005.010000 N N N FNMA PASS THRU POOLS N/A 31418DFJ6 46484.890000 PA USD 43688.080000 0.0006243 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 3 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL2 N/A 36269MAA9 2301472.100000 PA USD 2228962.610000 0.0318506 Long ABS-MBS CORP US N 2 2061-07-25 Variable 3.75 N N N N N N PRPM 2024-NQM3 TRUST N/A 69381FAA8 8200356.120000 PA USD 8133354.290000 0.116221 Long ABS-MBS CORP US N 2 2069-08-25 Fixed 5.228 N N N N N N PRIME MORTGAGE TR 2005-2 N/A 74160MHX3 422460.810000 PA USD 368092.890000 0.0052598 Long ABS-MBS CORP US N 2 2032-10-25 Variable 3.97523 N N N N N N SCCU AUTO RECEIVABLES TRUST 2024-1A N/A 78436RAE0 2800000.000000 PA USD 2809727.760000 0.0401495 Long ABS-O CORP US N 2 2029-06-15 Fixed 5.11 N N N N N N GNMA PASS THRU POOLS N/A 36225CM29 112.480000 PA USD 112.700000 0.0000016 Long ABS-MBS USGSE US N 2 2030-02-20 Floating 4.625 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10 N/A 12668ABR5 1975837.270000 PA USD 713594.970000 0.0101969 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.75322 N N N N N N N/A N/A 000000000 1.000000 NC USD -742271.000000 -0.0106066 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -716485.620000 USD 6660000.000000 USD -25785.380000 N N N FNMA PASS THRU POOLS N/A 31418EMN7 331327.390000 PA USD 310680.060000 0.0044394 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 4 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAL4 9821055.160000 PA USD 9841012.040000 0.140623 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.00751 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AC5 1046119.970000 PA USD 671602.640000 0.0095968 Long ABS-MBS CORP US N 2 2037-06-27 Floating 5.33215 N N N N N N FIRST HORIZON ALT MTG SEC 2005-AA5 N/A 32051GPM1 2567529.470000 PA USD 2373719.250000 0.0339191 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.57599 N N N N N N UMBS PASS THRU POOLS N/A 01F042632 -22300000.000000 PA USD -20962079.830000 -0.299536 Short ABS-MBS USGSE US N 2 2055-03-13 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1557629.550000 0.0222577 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-12-18 215137.190000 USD 0.000000 USD 117740000.000000 USD 1342492.360000 N N N VERUS SECURITIZATION TRUST 2021-R1 N/A 92538BAC7 40617.320000 PA USD 38472.220000 0.0005497 Long ABS-MBS CORP US N 2 2063-10-25 Variable 1.262 N N N N N N HOMEBANC MORTGAGE TRUST 2005-1 N/A 43739EAR8 112648.540000 PA USD 89604.930000 0.0012804 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.14322 N N N N N N BEAR STEARNS ALT-A TR 2005-2 N/A 07386HRC7 1315145.820000 PA USD 1019092.560000 0.0145623 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.66772 N N N N N N N/A N/A 000000000 1.000000 NC USD -322819.600000 -0.0046129 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-01-20 0.000000 USD -4878.780000 USD 3000000.000000 USD -317940.820000 N N N STRUCTURED ADJ RATE MTG LN 2004-7 N/A 86359BRV5 160324.380000 PA USD 153758.970000 0.0021971 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.18822 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAD8 387818.460000 PA USD 323609.060000 0.0046242 Long ABS-MBS CORP US N 2 2046-07-20 Floating 4.68474 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-BU1 N/A 41161PG72 169222.540000 PA USD 153697.150000 0.0021962 Long ABS-MBS CORP US N 2 2046-02-19 Floating 4.86083 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-9 N/A 69546QAA6 1976925.860000 PA USD 1978550.300000 0.0282724 Long ABS-O CORP US N 2 2032-03-15 Fixed 5.065 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXK0 609865.880000 PA USD 571766.380000 0.0081702 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4 N N N N N N SPECIALTY UNDERWRT& RES FIN 2006-BC3 N/A 84751WAD6 17673997.580000 PA USD 10137729.010000 0.144863 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.75322 N N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR2 N/A 45660LY86 306829.440000 PA USD 287171.740000 0.0041035 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.63373 N N N N N N ENTERPRISE FLEET FINANCING 2024-4 LLC N/A 29374MAC2 2700000.000000 PA USD 2690415.000000 0.0384445 Long ABS-O CORP US N 2 2028-11-20 Fixed 4.56 N N N N N N TOWD POINT MORTGAGE TRUST 2020-2 N/A 89176UAN4 33718512.940000 PA USD 30418647.300000 0.434666 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.636 N N N N N N PRPM 2024-RPL1 LLC N/A 69380XAA0 928237.310000 PA USD 902618.800000 0.0128979 Long ABS-MBS CORP US N 2 2064-12-25 Variable 4.2 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RN1 N/A 74143PAA5 2839319.250000 PA USD 2851018.100000 0.0407395 Long ABS-MBS CORP US N 2 2054-03-25 Variable 7.1428 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2022-LP2 N/A 05610HAA1 1655482.150000 PA USD 1656825.080000 0.0236751 Long ABS-MBS CORP US N 2 2039-02-15 Floating 5.40999 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6 N/A 02150PAB4 506854.930000 PA USD 455020.550000 0.006502 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.85322 N N N N N N GNMA PASS THRU POOLS N/A 36179NDT2 27164.780000 PA USD 26373.910000 0.0003769 Long ABS-MBS USGSE US N 2 2043-05-20 Fixed 4.5 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3A N/A 78436XAB3 2700000.000000 PA USD 2703695.760000 0.0386343 Long ABS-O CORP US N 2 2028-05-22 Fixed 4.71 N N N N N N FNMA PASS THRU POOLS N/A 31418EP38 7155430.220000 PA USD 7066367.080000 0.100974 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 5.5 N N N N N N GSR MORTGAGE LOAN TRUST 2004-2F N/A 36229RLL1 1008.840000 PA USD 995.920000 0.0000142 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.80322 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE10 N/A 073879X45 741559.060000 PA USD 736673.520000 0.0105267 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.50322 N N N N N N SAXON ASSET SECURITIES TRUST 2004-1 N/A 805564PL9 1791926.240000 PA USD 1547015.800000 0.022106 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.99322 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-3AR N/A 61748HWP2 7904203.870000 PA USD 5220962.990000 0.0746047 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.71322 N N N N N N SPECIALTY UNDERWRT& RES FIN 2006-BC3 N/A 84751WAA2 24856430.170000 PA USD 23343725.000000 0.333569 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.73322 N N N N N N CIFC FUNDING 2021-III LTD N/A 12564DAA2 7000000.000000 PA USD 7010366.160000 0.100174 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 6.05751 N N N N N N CSMC 2021-RPL7 TRUST N/A 12598JAC5 9020936.400000 PA USD 9001479.140000 0.128626 Long ABS-MBS CORP US N 2 2061-07-27 Variable 4.18428 N N N N N N TOWD POINT MORTGAGE TRUST 2024-5 N/A 891944AA8 12137410.620000 PA USD 11881530.940000 0.169781 Long ABS-MBS CORP US N 2 2064-10-25 Variable 4.48008 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-JP2 N/A 46590MAS9 2449112.230000 PA USD 2421353.260000 0.0345998 Long ABS-MBS CORP US N 2 2049-08-15 Fixed 2.713 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-2RA N/A 14314LAC9 4193628.400000 PA USD 4203478.770000 0.0600654 Long ABS-CBDO CORP KY N 2 2031-05-15 Floating 5.83507 N N N N N N VEROS AUTO RECEIVABLES TRUST 2024-1 N/A 92512WAA5 478356.530000 PA USD 482058.440000 0.0068883 Long ABS-O CORP US N 2 2027-11-15 Fixed 6.28 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 671941.420000 PA USD 276817.490000 0.0039556 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.55322 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 5565727.710000 PA USD 5537319.680000 0.0791252 Long ABS-MBS CORP US N 2 2051-07-25 Variable 4.7436 N N N N N N TSTAT 2022-1A LTD N/A 872899AY5 21382935.370000 PA USD 21395392.430000 0.305728 Long ABS-CBDO CORP BM N 2 2037-07-20 Floating 5.7674 N N N N N N UNITED AUTO CREDIT SECURITIZATION TRUST 2024-1 N/A 90945DAA8 247490.020000 PA USD 247948.030000 0.003543 Long ABS-O CORP US N 2 2026-08-10 Fixed 6.17 N N N N N N FNMA PASS THRU POOLS N/A 3140Q7FX0 61728.010000 PA USD 57266.800000 0.0008183 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138E9P20 26407.630000 PA USD 24072.670000 0.000344 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 3.5 N N N N N N LAD AUTO RECEIVABLES TRUST 2023-2A N/A 505713AC1 600000.000000 PA USD 603199.860000 0.0086194 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.42 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2004-3 N/A 759950DQ8 3846044.720000 PA USD 3320020.030000 0.0474412 Long ABS-MBS CORP US N 2 2034-11-25 Variable 5.784 N N N N N N CIM TRUST 2023-R4 N/A 12569UAA9 1452149.230000 PA USD 1438381.980000 0.0205537 Long ABS-MBS CORP US N 2 2062-05-25 Fixed 5 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BBK5 1259319.980000 PA USD 726935.150000 0.0103875 Long ABS-MBS CORP US N 2 2036-10-25 Variable 5.07209 N N N N N N CENTEX HOME EQUITY 2004-D N/A 152314LR9 7391.230000 PA USD 7027.810000 0.0001004 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.48822 N N N N N N N/A N/A 000000000 1.000000 NC USD -147281.970000 -0.0021046 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-02-27 0.000000 USD -10000.000000 USD 2500000.000000 USD -137281.970000 N N N RESIDENTIAL ASSET SECURITIES 2006-KS6 N/A 75406WAE1 3679603.340000 PA USD 3610040.440000 0.0515855 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.72322 N N N N N N FORD CREDIT AUTO OWNER TRUST 2023-C N/A 344940AD3 7626000.000000 PA USD 7729962.210000 0.110457 Long ABS-O CORP US N 2 2028-09-15 Fixed 5.53 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR6 N/A 32051GJ22 383065.670000 PA USD 335251.300000 0.0047906 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.28791 N N N N N N IXIS REAL ESTATE CAPITAL TRUST 2006-HE3 N/A 46602UAB4 15136576.410000 PA USD 5201180.440000 0.074322 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.65322 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJ5H5 654.770000 PA USD 659.600000 0.0000094 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 7.59 N N N N N N FANNIE MAE 2002-71 N/A 31392FDZ7 433000.000000 PA USD 421373.600000 0.0060212 Long ABS-MBS USGSE US N 2 2032-11-25 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ3M0 923230.700000 PA USD 801744.000000 0.0114565 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ3H1 8346711.850000 PA USD 7247484.120000 0.103563 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3 N N N N N N BEAR STEARNS MTGE SEC INC 1997-6 N/A 073914WC3 1021.620000 PA USD 1022.690000 0.0000146 Long ABS-MBS CORP US N 2 2030-06-25 Floating 5.88027 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-10 N/A 126673JW3 370283.390000 PA USD 357233.200000 0.0051047 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.02822 N N N N N N FNMA PASS THRU POOLS N/A 3140QRFZ1 289501.540000 PA USD 286411.750000 0.0040927 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 5.5 N N N N N N VERUS SECURITIZATION TRUST 2024-4 N/A 92540GAA6 2442101.230000 PA USD 2462399.490000 0.0351863 Long ABS-MBS CORP US N 2 2069-06-25 Variable 6.218 N N N N N N N/A N/A 000000000 1.000000 NC USD 54124.580000 0.0007734 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 3400000.000000 USD 54124.580000 N N N CASCADE FUNDING MORTGAGE TRUST 2024-RM5 N/A 147275AA9 5834724.260000 PA USD 5663271.470000 0.080925 Long ABS-MBS CORP US N 2 2054-10-25 Variable 4 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GKC4 310448.100000 PA USD 276176.210000 0.0039464 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.15322 N N N N N N FINANCE OF AMERICA HECM BUYOUT 2024-HB1 N/A 31737DAA4 5186055.140000 PA USD 5129050.020000 0.0732913 Long ABS-MBS CORP US N 2 2034-10-01 Variable 4 N N N N N N UMBS PASS THRU POOLS N/A 01F030413 60240000.000000 PA USD 56052163.390000 0.800954 Long ABS-MBS USGSE US N 2 2040-01-16 Fixed 3 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAA5 13454806.420000 PA USD 6614828.190000 0.0945222 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.71322 N N N N N N LEHMAN XS TRUST 2006-5 N/A 525221JT5 2134552.530000 PA USD 1779896.410000 0.0254337 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.87322 N N N N N N CSMC 2021-RPL2 TRUST N/A 12656TAF5 3343098.000000 PA USD 2248530.610000 0.0321303 Long ABS-MBS CORP US N 2 2060-01-25 Variable 3.64328 N N N N N N VERUS SECURITIZATION TRUST 2023-INV2 N/A 92540BAA7 1662560.830000 PA USD 1680716.330000 0.0240165 Long ABS-MBS CORP US N 2 2068-08-25 Fixed 6.443 N N N N N N FHF ISSUER TRUST 2024-3A N/A 30339EAB4 1600000.000000 PA USD 1597435.680000 0.0228265 Long ABS-O CORP US N 2 2030-11-15 Fixed 4.94 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-NC2 N/A 61744CPM2 3788392.960000 PA USD 3326100.290000 0.0475281 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.48822 N N N N N N SACO I TRUST 2006-5 N/A 785811AD2 64395.100000 PA USD 97470.870000 0.0013928 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.81322 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-2 N/A 07401EAG4 1576396.470000 PA USD 1378980.240000 0.0197049 Long ABS-MBS CORP US N 2 2046-12-25 Floating 6.1 N N N N N N CARVAL CLO LTD 2018-1A N/A 146865AJ9 4303571.910000 PA USD 4313548.970000 0.0616382 Long ABS-CBDO CORP KY N 2 2031-07-16 Floating 5.8773 N N N N N N BEAR STEARNS ABS INC 2004-HE7 N/A 073879EV6 18670.010000 PA USD 18130.020000 0.0002591 Long ABS-MBS CORP US N 2 2034-08-25 Floating 6.17822 N N N N N N CROSS 2023-H1 MORTGAGE TRUST N/A 22758CAA9 1655642.540000 PA USD 1672153.930000 0.0238942 Long ABS-MBS CORP US N 2 2068-03-25 Fixed 6.615 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO8 N/A 75115FAD2 5219743.540000 PA USD 4988060.000000 0.0712766 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.85322 N N N N N N FNMA PASS THRU POOLS N/A 31406BXP0 2822.130000 PA USD 2862.100000 0.0000409 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.811 N N N N N N SALOMON BROTHERS MTGE SEC VII 2002-1 N/A 79549AQP7 16090.670000 PA USD 16086.640000 0.0002299 Long ABS-MBS CORP US N 2 2032-05-25 Floating 4.95322 N N N N N N FHLMC PASS THRU POOLS N/A 3133C2NP9 15410247.340000 PA USD 15240021.900000 0.217772 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WVX55 34912.840000 PA USD 31803.840000 0.0004545 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -597527.030000 -0.0085383 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-02-02 0.000000 USD -11395.150000 USD 3800000.000000 USD -586131.880000 N N N N/A N/A 000000000 1.000000 NC USD -978214.760000 -0.0139781 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-02-14 0.000000 USD -20306.250000 USD 5700000.000000 USD -957908.510000 N N N FHLMC PASS THRU POOLS N/A 31349UDH8 1288.580000 PA USD 1320.610000 0.0000189 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.679 N N N N N N PAGAYA AI DEBT TRUST 2024-2 N/A 694961AA1 828513.510000 PA USD 836762.850000 0.0119569 Long ABS-O CORP US N 2 2031-08-15 Fixed 6.319 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2004-3 N/A 576433LP9 854220.880000 PA USD 525672.670000 0.0075116 Long ABS-MBS CORP US N 2 2034-05-25 Variable 5.49097 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF3 N/A 863592AD3 1026307.070000 PA USD 595513.450000 0.0085096 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 7.5 N N N N N N AMMC CLO 24 LTD N/A 00177LAJ9 2400000.000000 PA USD 2400017.590000 0.0342949 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.76017 N N N N N N ENT AUTO RECEIVABLES TRUST 2023-1A N/A 293601AC4 765603.100000 PA USD 767822.430000 0.0109718 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.22 N N N N N N APEX CREDIT CLO 2018-II LTD N/A 03754LAU9 9683455.970000 PA USD 9700617.960000 0.138616 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 5.8574 N N N N N N NASSAU LTD 2017-IIA N/A 631709AA0 84657.050000 PA USD 84657.050000 0.0012097 Long ABS-CBDO CORP KY N 2 2030-01-15 Floating 6.16751 N N N N N N COUNTRYWIDE HOME LOANS 2003-HYB2 N/A 12669D3C0 778605.310000 PA USD 678218.790000 0.0096914 Long ABS-MBS CORP US N 2 2033-07-19 Variable 4.61148 N N N N N N HERA COMMERCIAL MORTGAGE 2021-FL1 N/A 42704RAA9 1905348.250000 PA USD 1908443.580000 0.0272706 Long ABS-CBDO CORP KY N 2 2038-02-18 Floating 5.53969 N N N N N N STRUCTURED ASSET SECURITIES COR 2001-SB1 N/A 86358RDX2 2243.500000 PA USD 1824.750000 0.0000261 Long ABS-MBS CORP US N 2 2031-08-25 Fixed 3.375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H08 N/A 38380L7K3 301368.620000 PA USD 301687.620000 0.0043109 Long ABS-MBS USGSE US N 2 2070-02-20 Floating 5.41648 N N N N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGN8 2931675.090000 PA USD 1974798.040000 0.0282188 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.95322 N N N N N N ARROYO MORTGAGE TRUST 2021-1R N/A 042853AC5 2642119.260000 PA USD 2319891.420000 0.03315 Long ABS-MBS CORP US N 2 2048-10-25 Variable 1.637 N N N N N N FNMA PASS THRU POOLS N/A 3140QFWE5 11533.950000 PA USD 10701.120000 0.0001529 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N LEHMAN XS TRUST 2007-9 N/A 52524MAD1 20079483.450000 PA USD 17547755.760000 0.250748 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.05322 N N N N N N N/A N/A 000000000 1.000000 NC USD 0.040000 0 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 1.420000 USD 0.000000 USD 263.720000 USD -1.380000 N N N BCAP LLC TRUST 2014-RR5 N/A 05544GAB2 9314903.690000 PA USD 8445169.270000 0.120677 Long ABS-MBS CORP US N 2 2036-01-26 Variable 4.46228 N N N N N N COUNTRYWIDE HOME LOANS 2005-13 N/A 12669GC74 2245443.660000 PA USD 1226714.160000 0.0175291 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAB7 1000000.000000 PA USD 898669.200000 0.0128415 Long ABS-MBS CORP US N 2 2059-07-25 Variable 3 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB64 491802.120000 PA USD 460755.880000 0.0065839 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.43322 N N N N N N FNMA PASS THRU POOLS N/A 3138ABKB4 8421.430000 PA USD 7685.210000 0.0001098 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 3.5 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-4 N/A 38014AAB7 2400000.000000 PA USD 2402358.960000 0.0343284 Long ABS-O CORP US N 2 2027-10-18 Fixed 4.53 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 7953.930000 PA USD 7862.590000 0.0001124 Long ABS-MBS CORP US N 2 2035-10-25 Floating 7.23 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 3821649.310000 PA USD 3801167.940000 0.0543166 Long ABS-MBS CORP US N 2 2045-12-25 Floating 4.99322 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-7 N/A 12669VAA6 12371771.010000 PA USD 11578214.690000 0.165446 Long ABS-MBS CORP US N 2 2047-10-25 Floating 4.65322 N N N N N N FNMA PASS THRU POOLS N/A 31418CZF4 124049.140000 PA USD 118909.700000 0.0016992 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N RCKT MORTGAGE TRUST 2024-CES5 N/A 74938KAA5 47267052.720000 PA USD 47614101.600000 0.680379 Long ABS-MBS CORP US N 2 2044-08-25 Variable 5.846 N N N N N N N/A N/A 000000000 1.000000 NC USD -597611.650000 -0.0085395 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -164653.440000 USD 4100000.000000 USD -432958.210000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-D N/A 83207QAA7 37962148.910000 PA USD 38033286.180000 0.543475 Long ABS-O CORP US N 2 2053-07-15 Fixed 5.38 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BC3 455273.620000 PA USD 456531.720000 0.0065236 Long DBT CORP US N 2 2028-01-10 Fixed 5.88 N N N N N N OBX 2023-NQM10 TRUST N/A 67449CAA9 2435771.870000 PA USD 2461372.810000 0.0351717 Long ABS-MBS CORP US N 2 2063-10-25 Fixed 6.465 N N N N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 43081.750000 PA USD 59560.520000 0.0008511 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N N/A N/A 000000000 809.000000 NC USD -40648.780000 -0.0005808 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-03-31 166347465.050000 USD -40648.780000 N N N GREENPOINT MTGE FUNDING TR 2006-AR3 N/A 39538WHF8 84676.930000 PA USD 74330.000000 0.0010621 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.87322 N N N N N N ENTERPRISE FLEET FINANCING 2024-4 LLC N/A 29374MAB4 2500000.000000 PA USD 2504100.500000 0.0357822 Long ABS-O CORP US N 2 2027-07-20 Fixed 4.69 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 1396312.330000 PA USD 1398866.410000 0.019989 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 5.84637 N N N N N N FNMA PASS THRU POOLS N/A 3138YKM59 58093.420000 PA USD 52162.260000 0.0007454 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 3.5 N N N N N N VSTRONG AUTO RECEIVABLES TRUST 2024-A N/A 92891PAC7 367106.260000 PA USD 368374.540000 0.0052639 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.79 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB8 N/A 12669GGS4 1721379.220000 PA USD 1585000.370000 0.0226488 Long ABS-MBS CORP US N 2 2035-01-20 Variable 4.89537 N N N N N N FNMA PASS THRU POOLS N/A 31418EYQ7 12998706.240000 PA USD 13502475.130000 0.192943 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 7 N N N N N N FREDDIE MAC 2277 N/A 3133TQU47 883.140000 PA USD 936.180000 0.0000134 Long ABS-MBS USGSE US N 2 2031-01-15 Fixed 7.5 N N N N N N WASHINGTON MUTUAL 2002-AR18 N/A 929227ZC3 686072.160000 PA USD 672448.480000 0.0096089 Long ABS-MBS CORP US N 2 2033-01-25 Floating 6.34588 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH3 N/A 46630XAJ7 20645000.000000 PA USD 17467932.690000 0.249607 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.82322 N N N N N N WORLD OMNI AUTO RECEIVABLES TRUST 2024-B N/A 98164HAC2 417656.440000 PA USD 417964.590000 0.0059725 Long ABS-O CORP US N 2 2027-09-15 Floating 5.02757 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-C N/A 83390UAF4 861295.190000 PA USD 796443.710000 0.0113807 Long ABS-O CORP US N 2 2046-02-15 Fixed 1.95 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-3 N/A 41161PMG5 2985279.450000 PA USD 2890665.500000 0.041306 Long ABS-MBS CORP US N 2 2035-06-19 Floating 4.96083 N N N N N N FNMA PASS THRU POOLS N/A 3140E7K74 200669.270000 PA USD 186417.050000 0.0026638 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4 N N N N N N OZLM IX LTD 2014-9A N/A 67109KBG8 3397009.060000 PA USD 3403202.320000 0.0486299 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 5.8174 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-3 N/A 66987XGZ2 25000000.000000 PA USD 23967705.000000 0.342485 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.18822 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE1 N/A 44328AAF7 4202668.780000 PA USD 1097599.660000 0.0156841 Long ABS-MBS CORP US N 2 2036-10-25 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 11301234.020000 0.161488 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-06-21 2142669.700000 USD 0.000000 USD 182090000.000000 USD 9158564.320000 N N N FNMA PASS THRU POOLS N/A 31385XPA9 248.730000 PA USD 250.650000 0.0000036 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 7.369 N N N N N N 522 FUNDING CLO I LTD 2019-4A N/A 33834WAA0 459245.480000 PA USD 459618.950000 0.0065677 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 5.95901 N N N N N N PAGAYA AI DEBT TRUST 2024-3 N/A 69547XAA0 1889534.250000 PA USD 1901850.230000 0.0271764 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.258 N N N N N N PRPM 2024-7 LLC N/A 74448LAA6 2603028.980000 PA USD 2611664.790000 0.0373192 Long ABS-MBS CORP US N 2 2029-11-25 Fixed 5.87 N N N N N N PRPM 2024-RCF2 LLC N/A 693987AA7 884234.230000 PA USD 855436.580000 0.0122237 Long ABS-MBS CORP US N 2 2054-03-25 Fixed 3.75 N N N N N N GNMA PASS THRU POOLS N/A 36202FUF1 469940.590000 PA USD 453664.270000 0.0064826 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXR5 127684.260000 PA USD 119705.910000 0.0017105 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P3 N/A 146919AD7 2300000.000000 PA USD 2255079.160000 0.0322238 Long ABS-O CORP US N 2 2030-09-10 Fixed 4.31 N N N N N N FNMA PASS THRU POOLS N/A 3140GUMA2 381434.680000 PA USD 342490.950000 0.004894 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR1 N/A 25151RAB0 3557711.900000 PA USD 3154225.750000 0.0450721 Long ABS-MBS CORP US N 2 2047-01-25 Floating 4.81322 N N N N N N ROMARK WM-R LTD 2018-1A N/A 77587AAC0 7494803.800000 PA USD 7509750.240000 0.10731 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 5.90901 N N N N N N HERTZ VEHICLE FINANCING III LLC 2021-2A N/A 42806MAE9 5321000.000000 PA USD 4998650.100000 0.0714279 Long ABS-O CORP US N 2 2027-12-27 Fixed 1.68 N N N N N N GSAA TRUST 2004-NC1 N/A 36228FC61 391701.990000 PA USD 347836.110000 0.0049704 Long ABS-MBS CORP US N 2 2033-11-25 Variable 5.986 N N N N N N GREYWOLF CLO VI LTD 2018-1A N/A 39809GAA3 4558137.200000 PA USD 4566150.220000 0.0652478 Long ABS-CBDO CORP KY N 2 2031-04-26 Floating 5.90882 N N N N N N FHLMC PASS THRU POOLS N/A 3132CW2C7 928729.540000 PA USD 872812.620000 0.012472 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 3 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P3 N/A 146919AC9 3900000.000000 PA USD 3863504.580000 0.0552073 Long ABS-O CORP US N 2 2029-10-10 Fixed 4.26 N N N N N N ARES XXXIV CLO LTD 2015-2A N/A 04015GAX7 15300000.000000 PA USD 15330599.690000 0.219066 Long ABS-CBDO CORP KY N 2 2033-04-17 Floating 5.96745 N N N N N N N/A N/A 000000000 1.000000 NC USD 518848.870000 0.0074141 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-05-06 0.000000 USD -11331.130000 USD 10100000.000000 USD 530180.000000 N N N GSAA HOME EQUITY TRUAST 2005-11 N/A 362341NW5 1088066.080000 PA USD 1122349.740000 0.0160378 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.09322 N N N N N N FHLMC PASS THRU POOLS N/A 3132WGYK7 334008.280000 PA USD 290283.650000 0.004148 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 31349SCC5 204.270000 PA USD 208.560000 0.000003 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 7.331 N N N N N N FNMA PASS THRU POOLS N/A 31389L3H0 3774.340000 PA USD 3826.010000 0.0000547 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140MJGH2 712323.610000 PA USD 669773.750000 0.0095707 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140JLYQ1 42836.360000 PA USD 39846.070000 0.0005694 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2005-1 N/A 64352VKC4 1980156.880000 PA USD 1945881.550000 0.0278056 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.23322 N N N N N N ALLY AUTO RECEIVABLES TRUST 2024-2 N/A 02007NAC2 3500000.000000 PA USD 3477522.650000 0.0496919 Long ABS-O CORP US N 2 2029-07-16 Fixed 4.14 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAA4 24301235.070000 PA USD 21158363.630000 0.302341 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.62322 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2019-A N/A 19421UAB0 7403555.530000 PA USD 6956738.370000 0.0994079 Long ABS-O CORP US N 2 2048-12-28 Fixed 3.28 N N N N N N FNMA PASS THRU POOLS N/A 31418E3G3 13998604.900000 PA USD 14528288.310000 0.207601 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC USD -284699.290000 -0.0040682 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-03-07 0.000000 USD -17812.500000 USD 5000000.000000 USD -266886.790000 N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA N/A 63942TAB1 6643865.890000 PA USD 6689907.880000 0.0955951 Long ABS-O CORP US N 2 2072-03-15 Floating 6.29757 N N N N N N RAD CLO LTD 2019-5A N/A 74923EAA6 12442783.840000 PA USD 12445936.220000 0.177845 Long ABS-CBDO CORP KY N 2 2032-07-24 Floating 6.01637 N N N N N N PAGAYA AI DEBT TRUST 2022-3 N/A 69547MAD8 1799763.320000 PA USD 1811107.410000 0.0258797 Long ABS-O CORP US N 2 2030-03-15 Variable 8.05 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3N0 216461.960000 PA USD 199252.540000 0.0028472 Long ABS-MBS CORP US N 2 2034-11-25 Variable 6.6622 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2024-1 N/A 33843VAC7 3458976.190000 PA USD 3479418.050000 0.049719 Long ABS-O CORP US N 2 2028-03-15 Fixed 5.64 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 N/A 59982HAL4 2358000.000000 PA USD 1928535.340000 0.0275577 Long ABS-MBS CORP US N 2 2060-11-25 Variable 2.5 N N N N N N FCCU AUTO RECEIVABLES TRUST 2024-1 N/A 30336CAE5 1200000.000000 PA USD 1215727.080000 0.0173721 Long ABS-O CORP US N 2 2029-04-16 Fixed 5.54 N N N N N N FNMA PASS THRU POOLS N/A 31418DER9 70469.230000 PA USD 67251.570000 0.000961 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4 N N N N N N CROWN POINT CLO 7 LTD N/A 22846MAJ2 2711764.150000 PA USD 2715831.800000 0.0388077 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 5.8474 N N N N N N JP MORGAN MORTGAGE ACQ CORP 2005-RM1 N/A 46629NAC7 454719.670000 PA USD 198566.940000 0.0028374 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.61322 N N N N N N JP MORGAN MTGE TRUST 2005-ALT1 N/A 466247XK4 24069.450000 PA USD 16778.010000 0.0002397 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.59163 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7 N/A 232422AE5 5472801.010000 PA USD 5318099.700000 0.0759927 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.95322 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-6 N/A 12639PAA6 176639.320000 PA USD 102623.740000 0.0014664 Long ABS-MBS CORP US N 2 2037-10-25 Variable 6.4205 N N N N N N CAPITAL FOUR US CLO 2022-1A N/A 14016CAN6 30000000.000000 PA USD 30146200.500000 0.430773 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 6.5174 N N N N N N FNMA PASS THRU POOLS N/A 31400QJ87 631.170000 PA USD 637.280000 0.0000091 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 6.319 N N N N N N N/A N/A 000000000 1.000000 NC USD -124724.170000 -0.0017822 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 N/A CMBX.NA.AAA.13 Y Single Leg Swap 2072-12-16 300012.750000 USD 0.000000 USD 75000000.000000 USD -424736.920000 N N N ECMC GROUP STUDENT LOAN TRUST 2020-2A N/A 26829HAA4 4953723.410000 PA USD 4983078.180000 0.0712054 Long ABS-O CORP US N 2 2069-11-25 Floating 5.83327 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-13 N/A 23242EAG4 737108.260000 PA USD 735886.360000 0.0105154 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.75322 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2024-A N/A 14319FAC7 5757994.200000 PA USD 5763512.090000 0.0823574 Long ABS-O CORP US N 2 2027-09-15 Floating 5.32757 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR24 N/A 22541QUN0 23005.140000 PA USD 22465.820000 0.000321 Long ABS-MBS CORP US N 2 2033-10-25 Floating 7.63561 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4V7 688196.870000 PA USD 660240.460000 0.0094345 Long ABS-MBS CORP US N 2 2045-10-25 Floating 5.43322 N N N N N N ARROWMARK COLORADO HOLDINGS 2018-3A N/A 28623VAN9 6600000.000000 PA USD 6647216.660000 0.094985 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 5.92587 N N N N N N BEAR STEARNS ALT-A TRUST 2006-1 N/A 07386HB75 1916782.580000 PA USD 1338942.790000 0.0191327 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.67471 N N N N N N GNMA PASS THRU POOLS N/A 36225CLK0 2917.460000 PA USD 2902.390000 0.0000415 Long ABS-MBS USGSE US N 2 2029-10-20 Floating 3.75 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAE1 15432075.550000 PA USD 14421523.060000 0.206076 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.89322 N N N N N N MERITAGE MORTGAGE LOAN TRUST 2005-2 N/A 59001FCT6 6043115.680000 PA USD 5712090.720000 0.0816226 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.24822 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2005-SA4 N/A 76111XYH0 4316650.340000 PA USD 2520160.180000 0.0360117 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.66177 N N N N N N DEWOLF PARK CLO LTD 2017-1A N/A 25211AAE9 569969.140000 PA USD 570859.250000 0.0081573 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.83751 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5G33 433663.640000 PA USD 402405.230000 0.0057501 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N N/A N/A 000000000 -99.000000 NC USD 465238.650000 0.006648 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-09-16 -23748243.750000 USD 465238.650000 N N N BELLA VISTA MORTGAGE TRUST 2004-2 N/A 07820QAY1 1868471.190000 PA USD 1187368.410000 0.0169668 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.19322 N N N N N N VERUS SECURITIZATION TRUST 2023-4 N/A 92539TAA1 2373929.410000 PA USD 2381900.590000 0.034036 Long ABS-MBS CORP US N 2 2068-05-25 Fixed 5.811 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-4 N/A 12667F7B5 774342.100000 PA USD 524454.010000 0.0074942 Long ABS-MBS CORP US N 2 2035-04-25 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133BKL64 197649.570000 PA USD 181382.880000 0.0025919 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2024-3 N/A 38012QAD0 5000000.000000 PA USD 4974619.000000 0.0710845 Long ABS-O CORP US N 2 2027-10-20 Fixed 4.21 N N N N N N TIMES SQUARE HOTEL TRUST N/A 887367AA8 1203435.810000 PA USD 1209565.150000 0.017284 Long DBT CORP US N 2 2026-08-01 Fixed 8.528 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2008-2R N/A 021482AE4 367325.200000 PA USD 173320.270000 0.0024767 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYR50 1885327.260000 PA USD 1795499.810000 0.0256567 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4 N N N N N N OFSI BSL X LTD N/A 67115PAW5 5200000.000000 PA USD 5210549.240000 0.0744559 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.82429 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 N/A 802920AC2 7600000.000000 PA USD 7613265.040000 0.108789 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.88 N N N N N N N/A N/A 000000000 1.000000 NC USD -1902089.880000 -0.0271798 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-04-06 0.000000 USD -60770.000000 USD 11800000.000000 USD -1841319.880000 N N N FNMA PASS THRU POOLS N/A 31418EM23 133832.950000 PA USD 134733.560000 0.0019253 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138WGF74 4307.980000 PA USD 4002.040000 0.0000572 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-RS8 N/A 76112BZL7 2450000.000000 PA USD 2352838.640000 0.0336208 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.23322 N N N N N N OSD CLO 2021-23A LTD N/A 671026AA0 5204965.670000 PA USD 5213947.150000 0.0745044 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 5.77906 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-AA10 N/A 32051GA88 393248.730000 PA USD 299812.360000 0.0042842 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.48675 N N N N N N FHLMC PASS THRU POOLS N/A 3133WKJU1 881067.400000 PA USD 820273.800000 0.0117213 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 3 N N N N N N MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-H N/A 59025TAD5 93003.080000 PA USD 88840.230000 0.0012695 Long ABS-MBS CORP US N 2 2037-10-25 Floating 7.45322 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-6R N/A 12643PAW2 5656108.080000 PA USD 4418691.900000 0.0631407 Long ABS-MBS CORP US N 2 2048-05-26 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC USD -306208.500000 -0.0043755 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-01-20 0.000000 USD -4817.640000 USD 5000000.000000 USD -301390.860000 N N N AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2024-4 N/A 024945AA5 532773.550000 PA USD 533240.150000 0.0076197 Long ABS-O CORP US N 2 2028-03-13 Fixed 4.81 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AC3 279369.040000 PA USD 268223.030000 0.0038328 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.947 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4D2 466408.090000 PA USD 467032.240000 0.0066736 Long ABS-O CORP US N 2 2032-09-15 Fixed 5.215 N N N N N N N/A N/A 000000000 1.000000 NC USD -110124.130000 -0.0015736 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-07-11 0.000000 USD -15180.000000 USD 1100000.000000 USD -94944.130000 N N N WACHOVIA MORTGAGE LN TRUST LLC 2005-B N/A 92977YBR1 59428.060000 PA USD 56950.270000 0.0008138 Long ABS-MBS CORP US N 2 2035-10-20 Floating 7.50732 N N N N N N GNMA PASS THRU POOLS N/A 36225CA89 1439.200000 PA USD 1433.800000 0.0000205 Long ABS-MBS USGSE US N 2 2027-01-20 Floating 4.625 N N N N N N FNMA PASS THRU POOLS N/A 3140JHBE2 41265.220000 PA USD 38343.640000 0.0005479 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-F N/A 5899292M9 46655.670000 PA USD 44034.720000 0.0006292 Long ABS-MBS CORP US N 2 2028-10-25 Floating 5.09322 N N N N N N N/A N/A 000000000 1.000000 NC USD 1556497.960000 0.0222415 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 60500000.000000 USD 1556497.960000 N N N CREDIT-BASED ASSET SERV & SEC 2004-CB4 N/A 12489WJP0 181572.390000 PA USD 162142.150000 0.0023169 Long ABS-MBS CORP US N 2 2035-05-25 Variable 6.78 N N N N N N CANYON CLO 2020-1 LTD N/A 13876LAW7 1000000.000000 PA USD 1000000.000000 0.0142894 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.51433 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWDT7 370999.590000 PA USD 328905.900000 0.0046999 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.5 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAK6 2622260.960000 PA USD 2021203.090000 0.0288819 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.43471 N N N N N N GNMA PASS THRU POOLS N/A 21H052629 5000000.000000 PA USD 4954758.350000 0.0708007 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 5883600.250000 0.0840734 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-01-15 0.000000 USD -421991.150000 USD 49400000.000000 USD 6305591.400000 N N N AFFIRM ASSET SECURITIZATION TRUST 2024-X2 N/A 00833QAA3 3500000.000000 PA USD 3505624.850000 0.0500934 Long ABS-O CORP US N 2 2029-12-17 Fixed 5.22 N N N N N N DSLA MORTGAGE LOAN TRUST 2006-AR1 N/A 23332UGM0 237011.030000 PA USD 202647.840000 0.0028957 Long ABS-MBS CORP US N 2 2046-04-19 Floating 5.76522 N N N N N N WASHINGTON MUTUAL 2005-AR10 N/A 92922FW46 2899583.090000 PA USD 2660288.040000 0.038014 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.20935 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A8 N/A 761119AS5 6007770.950000 PA USD 2679163.050000 0.0382838 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N WELLS FARGO MORTGAGE LOAN TRUST 2010-RR3 N/A 94987AAF4 469629.310000 PA USD 459068.850000 0.0065598 Long ABS-MBS CORP US N 2 2036-09-27 Floating 4.21601 N N N N N N VOYA CLO 2019-2A LTD N/A 92917RAL3 2100000.000000 PA USD 2102186.900000 0.0300391 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.8174 N N N N N N LAD AUTO RECEIVABLES TRUST 2024-2A N/A 505920AB4 462168.630000 PA USD 463711.530000 0.0066262 Long ABS-O CORP US N 2 2027-03-15 Fixed 5.7 N N N N N N FNMA PASS THRU POOLS N/A 31371JL51 1550.150000 PA USD 1588.760000 0.0000227 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 8.5 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A N/A 36270YAC6 3400000.000000 PA USD 3404375.800000 0.0486466 Long ABS-O CORP US N 2 2027-10-15 Fixed 4.76 N N N N N N BEAR STEARNS ASSETBACKED SEC 2003-S N/A 07384YKL9 208789.360000 PA USD 211198.250000 0.0030179 Long ABS-MBS CORP US N 2 2033-12-25 Floating 5.35322 N N N N N N COLT 2022-4 MORTGAGE LOAN TRUST N/A 19685GAA4 6758562.880000 PA USD 6552841.010000 0.0936365 Long ABS-MBS CORP US N 2 2067-03-25 Variable 4.301 N N N N N N SOUND POINT CLO XXVII LTD N/A 83611VAS7 3500000.000000 PA USD 3506305.010000 0.0501032 Long ABS-CBDO CORP KY N 2 2034-10-25 Floating 6.06748 N N N N N N FNMA PASS THRU POOLS N/A 31385XK48 926.280000 PA USD 942.860000 0.0000135 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 6.575 N N N N N N TRICON AMERICAN HOMES TRUST 2020-SFR1 N/A 89613GAC0 3300000.000000 PA USD 3153886.890000 0.0450673 Long ABS-MBS CORP US N 2 2038-07-17 Fixed 2.249 N N N N N N FHLMC PASS THRU POOLS N/A 31336CJM6 248.060000 PA USD 246.660000 0.0000035 Long ABS-MBS USGSE US N 2 2026-05-01 Floating 6.42 N N N N N N BARINGS LOAN PARTNERS CLO LTD 3 N/A 06762QAL1 24000000.000000 PA USD 24035833.680000 0.343459 Long ABS-CBDO CORP KY N 2 2033-07-20 Floating 6.1374 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-2 N/A 126673ZG0 11400000.000000 PA USD 11353674.960000 0.162238 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.59322 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAB9 2900000.000000 PA USD 2901249.320000 0.0414572 Long ABS-O CORP US N 2 2027-04-15 Fixed 4.79 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A 12668AVP7 339657.440000 PA USD 304714.300000 0.0043542 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.01322 N N N N N N DIAMETER CAPITAL CLO 4 LTD N/A 25255NAQ1 50000000.000000 PA USD 50443276.500000 0.720806 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 6.4859 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2024-1A N/A 76088YAA8 475563.150000 PA USD 481515.960000 0.0068806 Long ABS-O CORP US N 2 2032-06-25 Fixed 7.09 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-S4 N/A 74958YAK8 92380.080000 PA USD 70715.280000 0.0010105 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2006-13AX N/A 61750PAC2 1207368.680000 PA USD 339970.510000 0.004858 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.97322 N N N N N N CIFC FUNDING LTD 2017-2A N/A 12550YAN4 585442.160000 PA USD 586474.360000 0.0083804 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 5.82901 N N N N N N N/A N/A 000000000 1.000000 NC USD -6660306.840000 -0.0951721 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -2014590.810000 USD 40170000.000000 USD -4645716.030000 N N N NAVIENT STUDENT LOAN TRUST 2017-2 N/A 63939RAA2 6438928.560000 PA USD 6472345.310000 0.0924862 Long ABS-O CORP US N 2 2066-12-27 Floating 5.73327 N N N N N N CIM TRUST 2023-R2 N/A 17181KAA8 20547190.650000 PA USD 20479664.360000 0.292643 Long ABS-MBS CORP US N 2 2064-08-25 Variable 5.5 N N N N N N OPORTUN ISSUANCE TRUST 2024-1A N/A 68377JAA8 156414.810000 PA USD 156742.530000 0.0022398 Long ABS-O CORP US N 2 2031-04-08 Fixed 6.334 N N N N N N SBNA AUTO RECEIVABLES TRUST 2024-A N/A 78437PAD5 1100000.000000 PA USD 1108370.780000 0.015838 Long ABS-O CORP US N 2 2029-04-16 Fixed 5.21 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2004-33 N/A 12667FB46 1341855.570000 PA USD 1270211.890000 0.0181506 Long ABS-MBS CORP US N 2 2034-12-25 Variable 5.31196 N N N N N N FIRST FRANKLIN MTG LN ASSET BC 2005-FFH4 N/A 32027NXE6 14928167.690000 PA USD 14395785.940000 0.205708 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.20322 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2005-AR2 N/A 36185N6N5 763455.320000 PA USD 697824.120000 0.0099715 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.35429 N N N N N N N/A N/A 000000000 1.000000 NC USD -46134.350000 -0.0006592 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-03-01 0.000000 USD -3003.000000 USD 780000.000000 USD -43131.350000 N N N NEW YORK MORTGAGE TRUST 2021-SP1 N/A 62955RAA3 2027298.380000 PA USD 2014402.530000 0.0287847 Long ABS-MBS CORP US N 2 2051-08-25 Variable 4.6696 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H04 N/A 38380VPL9 1190162.900000 PA USD 1185479.370000 0.0169398 Long ABS-MBS USGSE US N 2 2068-03-20 Floating 5.06648 N N N N N N N/A N/A 000000000 1.000000 NC USD -393364.060000 -0.005621 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-01-26 0.000000 USD -8763.470000 USD 1000000.000000 USD -384600.590000 N N N FREMONT HOME LOAN TRUST 2004-2 N/A 35729PED8 3182089.140000 PA USD 2978539.810000 0.0425617 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.30822 N N N N N N N/A N/A 000000000 1.000000 NC USD 406766.160000 0.0058125 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 22300000.000000 USD 406766.160000 N N N BENCHMARK MORTGAGE TRUST 2021-B25 N/A 08163DBV8 8809000.000000 PA USD 5565579.930000 0.079529 Long ABS-MBS CORP US N 2 2054-04-15 Variable 2.99421 N N N N N N WASHINGTON MUTUAL 2004-AR8 N/A 92922FTJ7 1013708.860000 PA USD 958741.610000 0.0136999 Long ABS-MBS CORP US N 2 2044-06-25 Floating 5.29322 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR33 N/A 45660L5A3 3003160.230000 PA USD 2669158.960000 0.0381408 Long ABS-MBS CORP US N 2 2036-01-25 Variable 4.12802 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC4 N/A 07388WAA4 9250187.370000 PA USD 7068796.160000 0.101009 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.70322 N N N N N N MARATHON CLO XIII LTD 2019-1A N/A 56579ABJ8 4690868.040000 PA USD 4698739.640000 0.0671424 Long ABS-CBDO CORP KY N 2 2032-04-15 Floating 5.8559 N N N N N N VENTURE XXVI CLO LTD 2017-26A N/A 92331MAE8 952323.810000 PA USD 953752.300000 0.0136286 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 5.97901 N N N N N N DRYDEN 38 SENIOR LOAN FUND 2015-38A N/A 26249QBA5 4959818.720000 PA USD 4969738.360000 0.0710148 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 5.8059 N N N N N N HARLEY-DAVIDSON MOTORCYCLE TRUST 2024-A N/A 412922AB2 2734147.390000 PA USD 2744617.260000 0.0392191 Long ABS-O CORP US N 2 2027-02-16 Fixed 5.65 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-C N/A 83206EAB3 840689.030000 PA USD 843972.090000 0.0120599 Long ABS-O CORP US N 2 2052-06-17 Floating 5.69824 N N N N N N NYMT LOAN TRUST 2024-INV1 N/A 62956XAA9 1194755.840000 PA USD 1188069.750000 0.0169769 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 5.379 N N N N N N TRINITAS CLO VI LTD 2017-6A N/A 89640YBN3 5100000.000000 PA USD 5111811.140000 0.0730449 Long ABS-CBDO CORP KY N 2 2034-01-25 Floating 5.95587 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX N/A 36257CAG2 15900000.000000 PA USD 6376540.770000 0.0911172 Long ABS-MBS CORP US N 2 2034-05-10 Fixed 3.10392 N N N N N N CQS US CLO 2021-1 LTD N/A 12659UAL6 3700000.000000 PA USD 3706223.770000 0.0529599 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.8174 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A 30166TAD5 1500000.000000 PA USD 1507247.700000 0.0215377 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.31 N N N N N N FNMA PASS THRU POOLS N/A 3140QPXP7 33531.620000 PA USD 30482.660000 0.0004356 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 2.5 N N N N N N RENAISSANCE HOME EQUITY LN TR 2005-2 N/A 75970NAL1 13624.430000 PA USD 13608.570000 0.0001945 Long ABS-MBS CORP US N 2 2035-08-25 Variable 5.434 N N N N N N MADISON PARK FUNDING XXIII LTD 2017-23A N/A 55820TAJ7 1842249.100000 PA USD 1845860.880000 0.0263763 Long ABS-CBDO CORP KY N 2 2031-07-27 Floating 5.84882 N N N N N N PRPM 2021-11 LLC N/A 69362QAA7 966851.780000 PA USD 967864.850000 0.0138303 Long ABS-MBS CORP US N 2 2026-11-25 Fixed 5.487 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H26 N/A 38376RN28 1017109.000000 PA USD 1019694.690000 0.0145709 Long ABS-MBS USGSE US N 2 2066-12-20 Floating 5.76648 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GZS3 1154146.500000 PA USD 832363.300000 0.011894 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.15322 N N N N N N COLT 2022-9 MORTGAGE LOAN TRUST N/A 19688PAE3 7516000.000000 PA USD 7540181.980000 0.107745 Long ABS-MBS CORP US N 2 2067-12-25 Variable 7.29719 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES 2018-2A N/A 14317PAJ2 5118877.760000 PA USD 5128205.230000 0.0732792 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 5.8059 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-21 N/A 22541QQQ8 788162.650000 PA USD 699558.350000 0.0099963 Long ABS-MBS CORP US N 2 2033-08-25 Variable 6.31685 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 36053.820000 PA USD 34850.520000 0.000498 Long ABS-MBS CORP US N 2 2036-12-25 Floating 6.94357 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA9 N/A 75115VAA3 6089474.630000 PA USD 3238355.810000 0.0462743 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.81322 N N N N N N N/A N/A 000000000 1.000000 NC USD -281664.320000 -0.0040248 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-09-08 0.000000 USD -37170.000000 USD 5900000.000000 USD -244494.320000 N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-EA N/A 63941TAA4 840201.900000 PA USD 775363.270000 0.0110795 Long ABS-O CORP US N 2 2069-05-15 Fixed 1.69 N N N N N N CATHEDRAL LAKE VIII LTD N/A 14919GAA3 3300000.000000 PA USD 3306288.320000 0.047245 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 6.09901 N N N N N N N/A N/A 000000000 1.000000 NC USD -1058531.200000 -0.0151258 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-02-24 0.000000 USD -22570.000000 USD 6100000.000000 USD -1035961.200000 N N N RCKT MORTGAGE TRUST 2024-CES9 N/A 749426AA0 4100000.000000 PA USD 4099950.390000 0.058586 Long ABS-MBS CORP US N 3 2044-12-25 Variable 5.582 N N N N N N TOWD POINT MORTGAGE TRUST 2021-SJ2 N/A 89180LAA6 6213804.830000 PA USD 5991254.300000 0.0856117 Long ABS-MBS CORP US N 2 2061-12-25 Variable 2.25 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-1 N/A 59020UVJ1 5833.180000 PA USD 5202.110000 0.0000743 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.5124 N N N N N N N/A N/A 000000000 1.000000 NC USD 1707258.830000 0.0243958 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-09-07 0.000000 USD -43722.590000 USD 10100000.000000 USD 1750981.420000 N N N SOUND POINT CLO XXVIII LTD 2020-3A N/A 83615CAL0 4590000.000000 PA USD 4596368.720000 0.0656796 Long ABS-CBDO CORP KY N 2 2032-01-25 Floating 5.90587 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAA3 539075.920000 PA USD 385410.710000 0.0055073 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.61322 N N N N N N WASHINGTON MUTUAL 2005-AR8 N/A 92922FR75 3786851.200000 PA USD 3658474.290000 0.0522776 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.03322 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P3 N/A 14688GAB0 298055.130000 PA USD 298559.500000 0.0042662 Long ABS-O CORP US N 2 2026-11-10 Fixed 6.09 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H31 N/A 38375BD74 800914.450000 PA USD 798286.650000 0.0114071 Long ABS-MBS USGSE US N 2 2062-12-20 Floating 5.10648 N N N N N N N/A N/A 000000000 1.000000 NC USD 1182439.940000 0.0168964 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-15 501192.040000 USD 0.000000 USD 12600000.000000 USD 681247.900000 N N N TOWD POINT MORTGAGE TRUST 2024-3 N/A 89183FAP3 915223.080000 PA USD 901625.890000 0.0128837 Long ABS-MBS CORP US N 2 2065-07-25 Variable 5.15315 N N N N N N SEQUOIA MORTGAGE TRUST 9 N/A 81743SAB6 9014.600000 PA USD 8619.000000 0.0001232 Long ABS-MBS CORP US N 2 2032-09-20 Floating 7.23469 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-6 N/A 41161PFX6 725375.480000 PA USD 508254.130000 0.0072627 Long ABS-MBS CORP US N 2 2034-08-19 Variable 5.76841 N N N N N N FREDDIE MAC REMICS 5485 N/A 3137HHLA7 1971198.380000 PA USD 1982186.230000 0.0283243 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.76879 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3 N/A 80287LAB5 5123698.410000 PA USD 5143762.810000 0.0735015 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.91 N N N N N N BMW VEHICLE LEASE TRUST 2024-2 N/A 05613MAD1 5300000.000000 PA USD 5261147.290000 0.0751789 Long ABS-O CORP US N 2 2027-10-25 Fixed 4.18 N N N N N N WASHINGTON MUTUAL 2004-AR7 N/A 92922FTF5 544742.960000 PA USD 494830.120000 0.0070708 Long ABS-MBS CORP US N 2 2034-07-25 Variable 6.13894 N N N N N N FNMA PASS THRU POOLS N/A 31418EMT4 633762.690000 PA USD 626089.450000 0.0089465 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.5 N N N N N N ARROYO MORTGAGE TRUST 2021-1R N/A 042853AB7 5209126.800000 PA USD 4578176.530000 0.0654196 Long ABS-MBS CORP US N 2 2048-10-25 Variable 1.483 N N N N N N N/A N/A 000000000 1.000000 NC USD 8563996.640000 0.122375 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-06-23 0.000000 USD -173181.460000 USD 22900000.000000 USD 8737178.100000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 908636.640000 PA USD 691946.250000 0.0098875 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.89083 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GKF7 38879.920000 PA USD 34934.760000 0.0004992 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.13322 N N N N N N UMBS PASS THRU POOLS N/A 01F070617 4000000.000000 PA USD 4147803.400000 0.0592698 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 7 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4 N/A 87276WAA1 3441314.690000 PA USD 3443111.300000 0.0492001 Long ABS-CBDO CORP KY N 2 2038-03-15 Floating 5.6963 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-2 N/A 89616PAA1 325444.210000 PA USD 327991.560000 0.0046868 Long ABS-O CORP US N 2 2027-12-15 Fixed 6.36 N N N N N N MFA 2023-NQM4 TRUST N/A 55286LAA0 16633427.650000 PA USD 16714538.900000 0.238842 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.105 N N N N N N N/A N/A 000000000 1.000000 NC USD 205545.940000 0.0029371 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 9500000.000000 USD 205545.940000 N N N NORTHWOODS CAPITAL XIV-B LTD N/A 66860CAL7 880718.540000 PA USD 882515.990000 0.0126107 Long ABS-CBDO CORP KY N 2 2031-11-13 Floating 5.76617 N N N N N N 2025-03-03 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX