GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H12 DF

NPORT-P false 0000810893 XXXXXXXX S000009692 C000026583 C000026582 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Low Duration Fund II S000009692 K2P23FCTK76TNWYHPM24 2025-03-31 2025-03-31 N 428073331.650000 155222932.590000 272850399.060000 0.000000 0.000000 21404337.770000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 2031869.980000 USD N 50% ICE BofA 1-3 Year US Treasury Index, 50% Bloomberg US Intermediate Credit Total Return Index G1O2, LUICTRUU GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H12 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H12 DF 38382YAZ6 495503.170000 PA USD 506001.540000 0.18545 Long ABS-MBS USGSE US N 2 2071-08-20 Floating 5.84436 N N N N N N CITIBANK CREDIT CARD ISSUANCE TRUST 2018-A5 N/A CITIBANK CREDIT CARD ISSUANCE CCCIT 2018 A5 A5 17305EGP4 900000.000000 PA USD 901578.150000 0.330429 Long ABS-MBS CORP US N 2 2027-08-07 Floating 5.03845 N N N N N N FANNIE MAE 2003-21 N/A FANNIE MAE FNR 2003 21 OG 31392JW96 1573.000000 PA USD 1551.000000 0.0005684 Long ABS-MBS USGSE US N 2 2033-01-25 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 888078 FN 05/34 FIXED VAR 31410FUB9 80785.330000 PA USD 80060.710000 0.0293423 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 4.5 N N N N N N N/A N/A RFR USD SOFR/3.89900 03/11/25-10Y LCH 000000000 1.000000 NC USD -2200.630000 -0.0008065 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-11 0.000000 USD -675.000000 USD 200000.000000 USD -1525.630000 N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL QG7216 FR 07/53 FIXED 5 3133C8AR6 2747417.700000 PA USD 2700259.070000 0.989648 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 HYUNDAI CAPITAL AMERICA HYUNDAI CAPITAL AMERICA 44891ACX3 1000000.000000 PA USD 1011074.630000 0.37056 Long DBT CORP US N 2 2027-03-19 Fixed 5.3 N N N N N N N/A N/A RFR USD SOFR/3.55500 08/28/24-10Y LCH 000000000 1.000000 NC USD 2229.710000 0.0008172 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -1914.950000 USD 100000.000000 USD 4144.660000 N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL C00404 FG 06/25 FIXED 8.5 31292GNV4 23.620000 PA USD 23.590000 0.0000086 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 8.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL CB3242 FN 04/52 FIXED 3 3140QNS86 1453366.600000 PA USD 1260957.630000 0.462143 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H14 FH 38380QGA4 1141735.640000 PA USD 1163394.820000 0.426386 Long ABS-MBS USGSE US N 2 2070-08-20 Floating 5.67309 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BY4733 FN 06/53 FIXED 5 3140NMHK6 387765.460000 PA USD 380721.210000 0.139535 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N COMM 2019-521F MORTGAGE TRUST N/A COMM MORTGAGE TRUST COMM 2019 521F A 144A 20048GAA4 900000.000000 PA USD 837323.730000 0.30688 Long ABS-MBS CORP US N 2 2034-06-15 Floating 5.36701 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA 38376RC95 358608.710000 PA USD 360370.700000 0.132076 Long ABS-MBS USGSE US N 2 2066-10-20 Floating 5.19309 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1 362341RX9 84904.710000 PA USD 81501.850000 0.0298705 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.32771 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1 36228F4P8 130202.130000 PA USD 127415.080000 0.0466978 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.05809 N N N N N N N/A N/A RFR USD SOFR/3.87400 03/05/25-10Y LCH 000000000 1.000000 NC USD -1771.350000 -0.0006492 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -696.000000 USD 200000.000000 USD -1075.350000 N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1 N/A GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A 36265LAB3 849787.090000 PA USD 724709.650000 0.265607 Long ABS-MBS CORP US N 2 2052-09-25 Variable 3 N N N N N N PAGAYA AI DEBT TRUST 2024-3 N/A PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A 69547XAA0 299650.080000 PA USD 302112.900000 0.110725 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.258 N N N N N N CHESAPEAKE FUNDING II LLC 2024-1A N/A CHESAPEAKE FUNDING II LLC CFII 2024 1A A1 144A 165183DE1 597734.180000 PA USD 604435.860000 0.221526 Long ABS-O CORP US N 2 2036-05-15 Fixed 5.52 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4 N/A SANTANDER DRIVE AUTO RECEIVABL SDART 2024 4 A2 802919AB6 537707.980000 PA USD 538832.220000 0.197483 Long ABS-O CORP US N 2 2027-07-15 Fixed 5.41 N N N N N N N/A N/A RFR USD SOFR/5.00000 10/15/24-1Y LCH 000000000 1.000000 NC USD 40882.120000 0.0149833 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-10-15 80880.360000 USD 0.000000 USD 6600000.000000 USD -39998.240000 N N N WASHINGTON MUTUAL 2005-AR13 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1 92922F4M7 15233.410000 PA USD 15148.740000 0.005552 Long ABS-MBS CORP US N 2 2045-10-25 Floating 5.01459 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BK8838 FN 08/48 FIXED 4 3140HNZC9 289132.860000 PA USD 274585.590000 0.100636 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL MA2797 G2 05/30 FIXED 3 36179RDA4 32530.190000 PA USD 31768.190000 0.0116431 Long ABS-MBS USGSE US N 2 2030-05-20 Fixed 3 N N N N N N ENTERPRISE FLEET FINANCING LLC 2022-3 N/A ENTERPRISE FLEET FINANCING LLC EFF 2022 3 A2 144A 29374FAB9 541028.920000 PA USD 540082.710000 0.197941 Long ABS-O CORP US N 2 2029-07-20 Fixed 4.38 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 310125 FN 05/28 FIXED VAR 31374CPJ9 270607.800000 PA USD 263845.150000 0.0966996 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2009-115 N/A FANNIE MAE FNR 2009 115 SB 31398GMG1 545189.920000 PA USD 51265.630000 0.0187889 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 1.79583 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BV5376 FN 04/52 FIXED 3 3140MJ6N0 5670374.430000 PA USD 4928063.960000 1.80614 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N N/A N/A RFR USD SOFR/3.23200 09/10/24-10Y LCH 000000000 1.000000 NC USD 2459.680000 0.0009015 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-10 409.100000 USD 0.000000 USD 50000.000000 USD 2050.580000 N N N FANNIE MAE REMICS 2019-9 N/A FANNIE MAE FNR 2019 9 FA 3136B33L2 468395.600000 PA USD 463731.130000 0.169958 Long ABS-MBS USGSE US N 2 2049-03-25 Floating 4.84307 N N N N N N FREDDIE MAC REMICS 5513 N/A FREDDIE MAC FHR 5513 MF 3137HKEX8 495977.900000 PA USD 496629.220000 0.182015 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.27969 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1 31395M2F5 170722.160000 PA USD 164491.250000 0.0602862 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 5.83529 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 679708 FN 09/41 FLOATING VAR 31391XDM8 56533.240000 PA USD 56966.690000 0.0208784 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 5.885 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1 86358HNX3 6409.540000 PA USD 6179.330000 0.0022647 Long ABS-MBS CORP US N 2 2032-09-19 Floating 5.09126 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BL3670 FN 10/26 FIXED 2.08 3140HVCG7 200000.000000 PA USD 193286.400000 0.0708397 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 2.08 N N N N N N NIAGARA MOHAWK POWER CORPORATION 3T97Y9RR5EN5Y18QHB56 NIAGARA MOHAWK POWER SR UNSECURED 144A 12/28 4.278 65364UAL0 1100000.000000 PA USD 1085978.040000 0.398012 Long DBT CORP US N 2 2028-12-15 Fixed 4.278 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A 78432WAA1 1900000.000000 PA USD 1874188.690000 0.686892 Long ABS-MBS CORP US N 2 2038-05-15 Floating 5.58348 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR 3128QJ4L7 9074.030000 PA USD 9282.400000 0.003402 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 7.454 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FE 38383KDE9 788013.710000 PA USD 795286.920000 0.291474 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 5.24436 N N N N N N N/A N/A US 2YR NOTE (CBT) JUN25 XCBT 20250630 000000000 958.000000 NC USD 986672.230000 0.361617 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-06-30 198534274.160000 USD 986672.230000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FC 38382Y5C3 1055235.750000 PA USD 1075724.630000 0.394254 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 5.44436 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AL5548 FN 05/38 FLOATING VAR 3138ENEW5 80756.950000 PA USD 83906.330000 0.0307518 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 7.182 N N N N N N CHASE AUTO OWNER TRUST 2024-1A N/A CHASE AUTO OWNER TRUST CHAOT 2024 1A A2 144A 16144BAB4 308007.880000 PA USD 308790.710000 0.113172 Long ABS-O CORP US N 2 2027-04-26 Fixed 5.48 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FA 38382YN82 491140.610000 PA USD 493455.060000 0.180852 Long ABS-MBS USGSE US N 2 2073-01-20 Floating 5.24436 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A 83206NAA5 502288.970000 PA USD 486735.040000 0.178389 Long ABS-O CORP US N 2 2055-02-16 Fixed 3.94 N N N N N N N/A N/A RFR USD SOFR/3.90500 03/12/25-10Y LCH 000000000 1.000000 NC USD -2303.860000 -0.0008444 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-12 0.000000 USD -592.500000 USD 200000.000000 USD -1711.360000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P2 A3 144A 14686TAC2 795144.490000 PA USD 798781.320000 0.292754 Long ABS-O CORP US N 2 2028-04-10 Fixed 5.42 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BS9244 FN 08/28 FIXED 4.43 3140LLHW4 500000.000000 PA USD 502828.420000 0.184287 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 4.43 N N N N N N N/A N/A RFR USD SOFR/3.84200 03/04/25-5Y LCH 000000000 1.000000 NC USD -4126.300000 -0.0015123 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-04 0.000000 USD -981.250000 USD 500000.000000 USD -3145.050000 N N N N/A N/A RFR USD SOFR/3.62330 03/01/24-7Y* LCH 000000000 1.000000 NC USD 2853.240000 0.0010457 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -9970.750000 USD 500000.000000 USD 12823.990000 N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 10/26 0.8 3134GW6C5 2600000.000000 PA USD 2472806.050000 0.906286 Long DBT USGSE US N 2 2026-10-28 Fixed 0.8 N N N N N N FREDDIE MAC STRIPS 332 N/A FREDDIEMAC STRIP FHS 332 V1 3132HUCJ0 204779.650000 PA USD 209655.350000 0.0768389 Long ABS-MBS USGSE US N 2 2044-08-15 Floating 2.53896 N N N N N N BCP TRUST 2021-330N N/A BCP TRUST BCP 2021 330N A 144A 05553BAA3 900000.000000 PA USD 815380.110000 0.298838 Long ABS-MBS CORP US N 2 2038-06-15 Floating 5.23348 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 FE 38375UWT3 404940.500000 PA USD 405279.350000 0.148535 Long ABS-MBS USGSE US N 2 2066-04-20 Floating 5.27309 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q029 N/A FHLMC MULTIFAMILY STRUCTURED P FHMS Q029 A 3137HHH38 500000.000000 PA USD 500122.900000 0.183296 Long ABS-MBS USGSE US N 2 2027-08-25 Floating 4.90268 N N N N N N GSAMP TRUST 2007-FM1 N/A GSAMP TRUST GSAMP 2007 FM1 A2A 3622MAAB7 40734.010000 PA USD 20127.270000 0.0073767 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.50459 N N N N N N BBCMS TRUST 2022-C15 N/A BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2022 C15 A5 05552FBA4 1700000.000000 PA USD 1558759.410000 0.571287 Long ABS-MBS CORP US N 2 2055-04-15 Variable 3.662 N N N N N N FREDDIE MAC REMICS 5505 N/A FREDDIE MAC FHR 5505 AF 3137HJ6H5 474348.290000 PA USD 470736.600000 0.172526 Long ABS-MBS USGSE US N 2 2050-03-15 Floating 5.12859 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL MA2645 G2 03/30 FIXED 3 36179Q5E7 47306.370000 PA USD 46197.430000 0.0169314 Long ABS-MBS USGSE US N 2 2030-03-20 Fixed 3 N N N N N N ENTERPRISE FLEET FUNDING LLC 2022-4 N/A ENTERPRISE FLEET FINANCING LLC EFF 2022 4 A2 144A 29374GAB7 228591.740000 PA USD 229799.710000 0.0842219 Long ABS-O CORP US N 2 2029-10-22 Fixed 5.76 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080076 G2 05/27 FLOATING VAR 36225CCN4 3003.550000 PA USD 2997.630000 0.0010986 Long ABS-MBS USGSE US N 2 2027-05-20 Floating 4.875 N N N N N N N/A N/A RFR USD SOFR/3.79761 06/02/25-7Y* LCH 000000000 1.000000 NC USD -90281.880000 -0.0330884 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-12-31 0.000000 USD 0.000000 USD 11700000.000000 USD -90281.880000 N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE 01F052656 2000000.000000 PA USD 1995778.900000 0.731455 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 736222 FN 08/33 FIXED 4.5 31402R4F3 37231.580000 PA USD 37146.870000 0.0136144 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.5 N N N N N N IMPAC CMB TR 2005-8 N/A IMPAC CMB TRUST IMM 2005 8 2A 45254NRT6 268280.300000 PA USD 254893.250000 0.0934187 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.13459 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL QG8791 FR 08/53 FIXED 5 3133C9XU2 882517.260000 PA USD 866648.470000 0.317628 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL SD8237 FR 08/52 FIXED 4 3132DWEJ8 8045007.530000 PA USD 7510454.510000 2.75259 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL FS7637 FN 09/35 FIXED VAR 3140XPPX1 380714.820000 PA USD 373814.770000 0.137004 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 3.5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A 83206NAB3 502288.970000 PA USD 509231.760000 0.186634 Long ABS-O CORP US N 2 2055-02-16 Floating 5.79867 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 890541 FN 06/28 FIXED VAR 31410LLW0 98017.190000 PA USD 95704.650000 0.0350759 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL CA0384 FN 09/47 FIXED 3.5 3140Q7NA1 1200626.640000 PA USD 1087150.790000 0.398442 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H19 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H19 FA 38383KCS9 297123.290000 PA USD 299852.960000 0.109896 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 5.24436 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 PIMCO PRV SHORT TERM FLT III MUTUAL FUND 000000000 560220.170000 PA USD 5453183.170000 1.9986 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A FNMA POOL 065583 FN 09/28 FLOATING VAR 31362M2Q0 3520.250000 PA USD 3480.680000 0.0012757 Long ABS-MBS USGSE US N 2 2028-09-01 Floating 4.41 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AB1154 FN 06/25 FIXED 4.5 31416WH88 2434.210000 PA USD 2426.830000 0.0008894 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N PRICOA GLOBAL FUNDING I 635400IBXEBMD9ADYA79 PRICOA GLOBAL FUNDING 1 SECURED 144A 08/25 4.2 74153WCR8 900000.000000 PA USD 898611.720000 0.329342 Long DBT CORP US N 2 2025-08-28 Fixed 4.2 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H08 FB 38375UUZ1 453759.460000 PA USD 452941.240000 0.166004 Long ABS-MBS USGSE US N 2 2065-03-20 Floating 5.05309 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 13A1 07387AFZ3 1260.440000 PA USD 903.080000 0.000331 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.73211 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AB6965 FN 11/27 FIXED 2.5 31417DW33 179100.300000 PA USD 175505.970000 0.0643231 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 2.5 N N N N N N N/A N/A RFR USD SOFR/3.88400 03/25/25-10Y LCH 000000000 1.000000 NC USD -990.170000 -0.0003629 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-25 0.000000 USD -290.000000 USD 100000.000000 USD -700.170000 N N N FANNIE MAE REMICS 2025-24 N/A FANNIE MAE FNR 2025 24 FB 3136BVSA7 500000.000000 PA USD 500047.150000 0.183268 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.24371 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008660 G2 07/25 FLOATING VAR 36202KTR6 271.700000 PA USD 271.170000 0.0000994 Long ABS-MBS USGSE US N 2 2025-07-20 Floating 4.625 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1 12465MAA2 10691.380000 PA USD 4829.030000 0.0017698 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.55459 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL Q58083 FG 08/48 FIXED 4 3132Y16V5 498710.200000 PA USD 471213.830000 0.1727 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA A 144A 647622AA7 900000.000000 PA USD 889899.660000 0.326149 Long ABS-MBS CORP US N 2 2032-04-15 Floating 5.35571 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AT7754 FN 06/28 FIXED 3 3138WVTL5 27805.370000 PA USD 27235.440000 0.0099818 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 735733 FN 10/33 FIXED VAR 31402RLN7 146381.950000 PA USD 144816.470000 0.0530754 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 5511 N/A FREDDIE MAC FHR 5511 FB 3137HKKK9 488757.180000 PA USD 492142.120000 0.180371 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.73969 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A 05493LAA4 900000.000000 PA USD 858549.150000 0.314659 Long ABS-MBS CORP US N 2 2038-09-15 Floating 5.48448 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/26 3.625 91282CHB0 40200000.000000 PA USD 40027265.420000 14.67 Long DBT UST US N 2 2026-05-15 Fixed 3.625 N N N N N N BDS 2022-FL11 LLC N/A BDS LTD BDS 2022 FL11 ATS 144A 054980AA5 1209107.590000 PA USD 1209446.790000 0.443264 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 6.11678 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A2 N/A MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A2 59020USJ5 43229.630000 PA USD 41111.520000 0.0150674 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.54314 N N N N N N N/A N/A RFR USD SOFR/3.23100 09/18/24-10Y LCH 000000000 1.000000 NC USD 9776.710000 0.0035832 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 1659.300000 USD 0.000000 USD 200000.000000 USD 8117.410000 N N N PIMCO FUNDS 549300F9QJIJF2GM8419 PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND 000000000 3763287.340000 PA USD 36842583.030000 13.5029 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A FNMA POOL CA0694 FN 11/47 FIXED 3.5 3140Q7XY8 1458510.300000 PA USD 1320769.070000 0.484063 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 ATHENE GLOBAL FUNDING SECURED 144A 07/26 VAR 04685A4J7 700000.000000 PA USD 700408.350000 0.256701 Long DBT CORP US N 2 2026-07-16 Floating 5.10321 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE 01F030652 -15100000.000000 PA USD -13085103.410000 -4.79571 Short ABS-MBS USGSE US N 2 2052-02-25 Fixed 3 N N N N N N N/A N/A 317U6RTA4 PIMCO SWAPTION 3.75 CALL USD 2025080 000000000 30800000.000000 NC USD 74175.640000 0.0271855 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Purchased Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A RFR USD SOFR/3.75000 08/05/25-1Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 08/05/25-1Y LCH 2026-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2025-08-01 XXXX -113704.360000 N N N N/A N/A US 5YR NOTE (CBT) JUN25 XCBT 20250630 000000000 287.000000 NC USD 365199.510000 0.133846 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-06-30 31073355.400000 USD 365199.510000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FN 38376R5Y8 312455.590000 PA USD 312224.150000 0.114431 Long ABS-MBS USGSE US N 2 2067-07-20 Floating 4.92309 N N N N N N READYCAP COMMERCIAL MORTGAGE TRUST 2021-FL7 N/A READYCAP COMMERCIAL MORTGAGE T RCMT 2021 FL7 A 144A 75575WAA4 339972.510000 PA USD 340046.010000 0.124627 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.63459 N N N N N N FREDDIE MAC REMICS 4040 N/A FREDDIE MAC FHR 4040 PO 3137AQ7C6 42748.880000 PA USD 38826.180000 0.0142298 Long ABS-MBS USGSE US N 2 2037-05-15 None 0 N N N N N N N/A N/A 317U8QSA5 PIMCO SWAPTION 4.06 PUT USD 20250414 000000000 -100000.000000 NC USD -76.070000 -0.0000279 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A RFR USD SOFR/4.06000 04/16/25-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.06000 04/16/25-10Y LCH 2035-04-16 0.000000 USD 0.000000 USD N/A USD N/A 4.060000 USD 2025-04-14 XXXX 363.930000 N N N WASHINGTON MUTUAL 2005-AR19 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1 92925CBA9 23744.610000 PA USD 23802.350000 0.0087236 Long ABS-MBS CORP US N 2 2045-12-25 Floating 4.97459 N N N N N N ASSET BACK SEC CORP HM EQ LN TR 2002-HE1 N/A ASSET BACKED SECURITIES CORP H ABSHE 2002 HE1 M1 04541GCG5 23642.230000 PA USD 24576.190000 0.0090072 Long ABS-MBS CORP US N 2 2032-03-15 Floating 6.08366 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 841068 FN 11/34 FLOATING VAR 31407UMR5 51309.780000 PA USD 53530.660000 0.0196191 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 7.041 N N N N N N FREDDIE MAC REMICS 5442 N/A FREDDIE MAC FHR 5442 FB 3137HF4U6 680627.550000 PA USD 683233.670000 0.250406 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 5.30969 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 725419 FN 10/33 FIXED VAR 31402C4C3 467215.450000 PA USD 462633.950000 0.169556 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.5 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 08/25 0.68 3134GWJN7 8300000.000000 PA USD 8194568.840000 3.00332 Long DBT USGSE US N 2 2025-08-06 Fixed 0.68 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AD9818 FN 07/25 FIXED 4.5 31418X4C9 2138.330000 PA USD 2130.850000 0.000781 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.5 N N N N N N MOSAIC SOLAR LOAN TRUST 2022-1A N/A MOSAIC SOLAR LOANS LLC MSAIC 2022 1A A 144A 61946QAA9 624412.300000 PA USD 546280.460000 0.200212 Long ABS-O CORP US N 2 2053-01-20 Fixed 2.64 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A 12564NAA0 836807.180000 PA USD 827271.930000 0.303196 Long ABS-MBS CORP US N 2 2038-11-15 Floating 5.808 N N N N N N NAVIENT STUDENT LOAN TRUST 2015-BA N/A NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A 63939KAC3 346901.870000 PA USD 349059.670000 0.127931 Long ABS-O CORP US N 2 2040-07-16 Floating 5.88366 N N N N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A M+T BANK AUTO RECEIVABLES TRUS MTBAT 2024 1A A2 144A 55286TAB1 340886.610000 PA USD 342096.480000 0.125379 Long ABS-O CORP US N 2 2032-02-17 Fixed 5.59 N N N N N N N/A N/A 317U8PRA8 PIMCO SWAPTION 4.073 PUT USD 2025041 000000000 -200000.000000 NC USD -135.640000 -0.0000497 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/4.07300 04/16/25-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.07300 04/16/25-10Y LCH 2035-04-16 0.000000 USD 0.000000 USD N/A USD N/A 4.070000 USD 2025-04-14 XXXX 774.360000 N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KBX1 N/A FHLMC MULTIFAMILY STRUCTURED P FHMS KBX1 A2 3137F4CZ3 58808.720000 PA USD 58017.900000 0.0212636 Long ABS-MBS USGSE US N 2 2026-01-25 Fixed 2.92 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR8 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR8 A2B 86359LGG8 223167.560000 PA USD 217983.780000 0.0798913 Long ABS-MBS CORP US N 2 2035-05-19 Floating 5.19126 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A FREMONT HOME LOAN TRUST FHLT 2006 E 2A1 35729NAB1 6139.830000 PA USD 2784.980000 0.0010207 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.49459 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 01/26 3.875 91282CGE5 7400000.000000 PA USD 7388255.680000 2.7078 Long DBT UST US N 2 2026-01-15 Fixed 3.875 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H15 DF 38380LA78 502033.390000 PA USD 503777.100000 0.184635 Long ABS-MBS USGSE US N 2 2069-09-20 Floating 5.32309 N N N N N N HERTZ VEHICLE FINANCING LLC 2022-4A N/A HERTZ VEHICLE FINANCING LLC HERTZ 2022 4A A 144A 42806MBA6 900000.000000 PA USD 897397.380000 0.328897 Long ABS-O CORP US N 2 2026-09-25 Fixed 3.73 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 MORGAN STANLEY BANK NA MORGAN STANLEY BANK NA 61690U8E3 300000.000000 PA USD 302653.540000 0.110923 Long DBT CORP US N 2 2028-07-14 Floating 4.968 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BM1447 FN 07/47 FIXED VAR 3140J5TD1 1920248.000000 PA USD 1764388.060000 0.64665 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA1449 FN 05/28 FIXED 3 31418ATF5 23755.850000 PA USD 23319.340000 0.0085466 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 3 N N N N N N AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST N/A AMER AIRLINE 16 1 AA PTT PASS THRU CE 07/29 3.575 02376UAA3 893507.460000 PA USD 864983.490000 0.317018 Long DBT CORP US N 2 2029-07-15 Fixed 3.575 N N N N N N MF1 2022-FL9 LLC N/A MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A 55285AAA5 889865.710000 PA USD 889573.870000 0.32603 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 6.46678 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE 01F040644 -2387000.000000 PA USD -2224370.130000 -0.815234 Short ABS-MBS USGSE US N 2 2055-04-15 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 UNITED STATES TREASURY NOTE 04/26 4.875 91282CKK6 1900000.000000 PA USD 1916454.150000 0.702383 Long DBT UST US N 2 2026-04-30 Fixed 4.875 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1 31394JD87 239496.790000 PA USD 247301.580000 0.0906363 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 6.5 N N N N N N N/A N/A RFR USD SOFR/4.75000 11/04/24-1Y LCH 000000000 1.000000 NC USD 15913.030000 0.0058321 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-11-04 39778.700000 USD 0.000000 USD 3700000.000000 USD -23865.670000 N N N N/A N/A RFR USD SOFR/5.00000 07/10/25-1Y LCH 000000000 1.000000 NC USD 229354.700000 0.0840588 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-07-10 354982.700000 USD 0.000000 USD 19000000.000000 USD -125628.000000 N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1 12669GHG9 4442.400000 PA USD 4487.560000 0.0016447 Long ABS-MBS CORP US N 2 2035-02-20 Floating 5.41484 N N N N N N LAD AUTO RECEIVABLES TRUST 2022-1A N/A LAD AUTO RECEIVABLES TRUST LADAR 2022 1A A 144A 501687AA5 126939.980000 PA USD 127083.660000 0.0465763 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.21 N N N N N N FANNIEMAE WHOLE LOAN 2003-W1 N/A FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1 31392GVX0 25216.250000 PA USD 25116.970000 0.0092054 Long ABS-MBS USGSE US N 2 2042-12-25 Variable 6.5 N N N N N N N/A N/A RFR USD SOFR/3.69100 03/01/24-7Y* LCH 000000000 1.000000 NC USD 1009.670000 0.00037 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -11834.750000 USD 500000.000000 USD 12844.420000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H08 FD 38375UVD9 625985.520000 PA USD 624493.610000 0.228878 Long ABS-MBS USGSE US N 2 2065-03-20 Floating 5.02309 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 07/32 0.625 91282CEZ0 1530368.000000 PA USD 1429234.630000 0.523816 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE + CO SR UNSECURED 09/27 VAR 46647PCQ7 1000000.000000 PA USD 1003905.540000 0.367933 Long DBT CORP US N 2 2027-09-22 Floating 5.10328 N N N N N N FREDDIE MAC REMICS 5511 N/A FREDDIE MAC FHR 5511 FG 3137HKKP8 486296.360000 PA USD 488847.670000 0.179163 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.48969 N N N N N N ENTERPRISE FLEET FINANCING LLC 2022-1 N/A ENTERPRISE FLEET FINANCING LLC EFF 2022 1 A2 144A 29375JAB0 18701.100000 PA USD 18670.210000 0.0068427 Long ABS-O CORP US N 2 2028-01-20 Fixed 3.03 N N N N N N N/A N/A RFR USD SOFR/2.15000 06/15/22-5Y LCH 000000000 1.000000 NC USD -333299.260000 -0.122155 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-15 0.000000 USD -187059.590000 USD 6100000.000000 USD -146239.670000 N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 TOYOTA MOTOR CREDIT CORP TOYOTA MOTOR CREDIT CORP 89236TMJ1 300000.000000 PA USD 301015.880000 0.110323 Long DBT CORP US N 2 2026-08-07 Fixed 4.55 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080426 G2 07/30 FLOATING VAR 36225CPL4 10206.560000 PA USD 10215.440000 0.003744 Long ABS-MBS USGSE US N 2 2030-07-20 Floating 4.625 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 FD 38382YC92 492170.900000 PA USD 501633.180000 0.183849 Long ABS-MBS USGSE US N 2 2072-11-20 Floating 5.50436 N N N N N N FREDDIE MAC 3360 N/A FREDDIE MAC FHR 3360 FC 31397KE31 103580.830000 PA USD 103656.330000 0.0379902 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 5.18315 N N N N N N N/A N/A RFR USD SOFR/3.6766* 03/01/24-7Y* LCH 000000000 1.000000 NC USD 840.090000 0.0003079 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -6863.710000 USD 300000.000000 USD 7703.800000 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 WELLS FARGO BANK NA WELLS FARGO BANK NA 94988J6F9 800000.000000 PA USD 811495.350000 0.297414 Long DBT CORP US N 2 2026-12-11 Fixed 5.254 N N N N N N ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM N/A ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM A 144A 04965JAA1 793301.000000 PA USD 779898.500000 0.285834 Long ABS-MBS CORP US N 2 2036-12-15 Floating 5.547 N N N N N N BX TRUST 2022-FOX2 N/A BX TRUST BX 2022 FOX2 A2 144A 05610AAW8 361047.330000 PA USD 358535.310000 0.131404 Long ABS-MBS CORP US N 2 2039-04-15 Floating 5.06838 N N N N N N WAIKIKI BEACH HOTEL TRUST 2019-WBM N/A WAIKIKI BEACH HOTEL TRUST WBHT 2019 WBM A 144A 93065PAA9 1250000.000000 PA USD 1247239.750000 0.457115 Long ABS-MBS CORP US N 2 2033-12-15 Floating 5.667 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 CITIBANK NA SR UNSECURED 11/27 VAR 17325FBL1 300000.000000 PA USD 301501.280000 0.110501 Long DBT CORP US N 2 2027-11-19 Floating 4.876 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE 01F060667 20100000.000000 PA USD 20376716.100000 7.46809 Long ABS-MBS USGSE US N 2 2054-06-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA1045 FN 04/27 FIXED 3 31418AET1 8526.860000 PA USD 8410.690000 0.0030825 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3 N N N N N N INTERNATIONAL BUSINESS MACHINES CORPORATION (IBM) VGRQXHF3J8VDLUA7XE92 IBM CORP SR UNSECURED 02/28 4.65 459200LF6 600000.000000 PA USD 603955.060000 0.22135 Long DBT CORP US N 2 2028-02-10 Fixed 4.65 N N N N N N FORD CREDIT AUTO OWNER TRUST 2023-REV1 N/A FORD CREDIT AUTO OWNER TRUST/F FORDR 2023 1 A 144A 34535QAA3 500000.000000 PA USD 505973.950000 0.18544 Long ABS-O CORP US N 2 2035-08-15 Fixed 4.85 N N N N N N N/A N/A RFR USD SOFR/3.97500 03/21/25-10Y LCH 000000000 1.000000 NC USD -5233.320000 -0.001918 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-21 0.000000 USD -855.000000 USD 300000.000000 USD -4378.320000 N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-2 N/A GM FINANCIAL SECURITIZED TERM GMCAR 2024 2 A2B 379931AC2 428412.610000 PA USD 428454.080000 0.157029 Long ABS-O CORP US N 2 2027-03-16 Floating 4.73867 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1 86363DAH4 100707.130000 PA USD 40689.340000 0.0149127 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.69459 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A 30227FAA8 779535.350000 PA USD 779321.210000 0.285622 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.51348 N N N N N N N/A N/A 317U8O1A9 PIMCO SWAPTION 3.985 PUT USD 2025041 000000000 -1000000.000000 NC USD -1074.200000 -0.0003937 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/3.98500 04/14/25-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.98500 04/14/25-10Y LCH 2035-04-14 0.000000 USD 0.000000 USD N/A USD N/A 3.980000 USD 2025-04-10 XXXX 3150.800000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008710 G2 10/25 FLOATING VAR 36202KVB8 2637.430000 PA USD 2630.300000 0.000964 Long ABS-MBS USGSE US N 2 2025-10-20 Floating 4.75 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A2 07384MSJ2 1684.730000 PA USD 1351.400000 0.0004953 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.25003 N N N N N N N/A N/A RFR USD SOFR/3.41000 09/05/24-10Y LCH 000000000 1.000000 NC USD 3427.510000 0.0012562 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-05 0.000000 USD -690.230000 USD 100000.000000 USD 4117.740000 N N N N/A N/A RFR USD SOFR/3.5815* 03/01/24-7Y* LCH 000000000 1.000000 NC USD 13484.780000 0.0049422 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -29817.670000 USD 1690000.000000 USD 43302.450000 N N N FREDDIE MAC REMICS 5426 N/A FREDDIE MAC FHR 5426 CF 3137HCY22 334275.620000 PA USD 332168.010000 0.12174 Long ABS-MBS USGSE US N 2 2050-12-15 Floating 5.22859 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST N/A JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST A 144A 46652DAA3 900000.000000 PA USD 596250.000000 0.218526 Long ABS-MBS CORP US N 2 2036-12-15 Floating 5.78348 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 804850 FN 01/35 FLOATING VAR 31406BEX4 12325.730000 PA USD 12488.220000 0.0045769 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.375 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 735813 FN 07/35 FLOATING VAR 31402RN62 2541.520000 PA USD 2591.330000 0.0009497 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 6.703 N N N N N N N/A N/A 317U8PSA7 PIMCO SWAPTION 3.723 CALL USD 202504 000000000 -200000.000000 NC USD -1144.640000 -0.0004195 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/3.72300 04/16/25-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.72300 04/16/25-10Y LCH 2035-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.720000 USD 2025-04-14 XXXX -234.640000 N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 GA GLOBAL FUNDING TRUST SECURED 144A 04/25 3.85 36143L2J3 1000000.000000 PA USD 999733.680000 0.366404 Long DBT CORP US N 2 2025-04-11 Fixed 3.85 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 BF 38382YC27 600903.610000 PA USD 610312.860000 0.22368 Long ABS-MBS USGSE US N 2 2072-11-20 Floating 5.51436 N N N N N N N/A N/A 317U6RUA2 PIMCO SWAPTION 3.25 CALL USD 2025080 000000000 -30800000.000000 NC USD -28570.080000 -0.010471 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A RFR USD SOFR/3.25000 08/05/25-1Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.25000 08/05/25-1Y LCH 2026-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2025-08-01 XXXX 88469.920000 N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/28 5.05 928668CP5 400000.000000 PA USD 399965.740000 0.146588 Long DBT CORP US N 2 2028-03-27 Fixed 5.05 N N N N N N ONE MARKET PLAZA TRUST 2017-1MKT N/A ONE MARKET PLAZA TRUST OMPT 2017 1MKT A 144A 68245HAA2 1314805.970000 PA USD 1234871.030000 0.452582 Long ABS-MBS CORP US N 2 2032-02-10 Fixed 3.6139 N N N N N N FREDDIE MAC 3309 N/A FREDDIE MAC FHR 3309 SC 31397GEP1 481222.890000 PA USD 49171.400000 0.0180214 Long ABS-MBS USGSE US N 2 2037-04-15 Floating 1.98685 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL J17884 FG 01/27 FIXED 3 3128PXXM3 8193.880000 PA USD 8091.570000 0.0029656 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N N/A N/A 317U8TOA3 PIMCO SWAPTION 4.063 PUT USD 2025042 000000000 -200000.000000 NC USD -340.520000 -0.0001248 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/4.06300 04/30/25-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.06300 04/30/25-10Y LCH 2035-04-30 0.000000 USD 0.000000 USD N/A USD N/A 4.060000 USD 2025-04-28 XXXX 412.480000 N N N N/A N/A 317U7HVA2 PIMCO SWAPTION 2.83 CALL USD 2025103 000000000 -7800000.000000 NC USD -8890.440000 -0.0032584 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A RFR USD SOFR/2.83000 11/03/25-1Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.83000 11/03/25-1Y LCH 2026-11-03 0.000000 USD 0.000000 USD N/A USD N/A 2.830000 USD 2025-10-30 XXXX 7021.560000 N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A 585525FX1 212480.960000 PA USD 205082.560000 0.075163 Long ABS-MBS CORP US N 2 2032-08-15 Floating 5.29366 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008638 G2 06/25 FLOATING VAR 36202KS30 63.650000 PA USD 63.510000 0.0000233 Long ABS-MBS USGSE US N 2 2025-06-20 Floating 4.875 N N N N N N FCCU AUTO RECEIVABLES TRUST 2024-1 N/A FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A2 144A 30336CAC9 436175.900000 PA USD 438343.870000 0.160654 Long ABS-O CORP US N 2 2027-11-15 Fixed 5.76 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3 N/A GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A 36263TAB8 762705.590000 PA USD 625590.570000 0.22928 Long ABS-MBS CORP US N 2 2052-04-25 Variable 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H12 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H12 FA 38382Y5K5 968777.260000 PA USD 981801.310000 0.359831 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 5.34436 N N N N N N 280 PARK AVENUE 2017-280P MORTGAGE TRUST N/A 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P A 144A 90205FAA8 900000.000000 PA USD 883883.070000 0.323944 Long ABS-MBS CORP US N 2 2034-09-15 Floating 5.502 N N N N N N N/A N/A RFR USD SOFR/3.51400 09/04/24-10Y LCH 000000000 1.000000 NC USD 2548.780000 0.0009341 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-04 0.000000 USD -1569.170000 USD 100000.000000 USD 4117.950000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL 38376REV4 61178.500000 PA USD 61112.310000 0.0223977 Long ABS-MBS USGSE US N 2 2065-06-20 Floating 4.90004 N N N N N N FANNIE MAE REMICS 2024-38 N/A FANNIE MAE FNR 2024 38 FA 3136BR4S3 403391.540000 PA USD 403761.210000 0.147979 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 5.12859 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL MA5399 G2 08/48 FIXED 4.5 36179T7L3 856960.140000 PA USD 833780.480000 0.305582 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 4.5 N N N N N N CARMAX AUTO OWNER TRUST 2024-2 N/A CARMAX AUTO OWNER TRUST CARMX 2024 2 A2A 14319EAC0 314857.000000 PA USD 315922.820000 0.115786 Long ABS-O CORP US N 2 2027-05-17 Fixed 5.65 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 07/25 0.375 912828XL9 1339290.000000 PA USD 1341662.420000 0.491721 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A COUNTRYWIDE HOME LOANS CWHL 2004 22 A3 12669F6Z1 22872.410000 PA USD 21870.900000 0.0080157 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.15958 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H18 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H18 FB 38376R6V3 1023554.050000 PA USD 1034847.740000 0.379273 Long ABS-MBS USGSE US N 2 2067-09-20 Floating 6.11121 N N N N N N METROPOLITAN LIFE GLOBAL FUNDING I 635400MMSOCXNNNZDZ82 MET LIFE GLOB FUNDING I SECURED 144A 07/25 0.95 59217GEJ4 1300000.000000 PA USD 1288382.190000 0.472194 Long DBT CORP US N 2 2025-07-02 Fixed 0.95 N N N N N N FANNIE MAE 2000-34 N/A FANNIE MAE FNR 2000 34 F 31358SSV4 5896.700000 PA USD 5844.180000 0.0021419 Long ABS-MBS USGSE US N 2 2030-10-25 Floating 4.90417 N N N N N N CRSNT TRUST 2021-MOON N/A CRSNT TRUST CRSNT 2021 MOON A 144A 22877LAA5 1300000.000000 PA USD 1281261.670000 0.469584 Long ABS-MBS CORP US N 2 2036-04-15 Floating 5.25448 N N N N N N HSI ASSET LOAN OBLIGATION 2007-WF1 N/A HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A1 40431KAA8 70012.830000 PA USD 20406.860000 0.0074791 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.55459 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2A N/A SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 2A A2 144A 78397XAB0 509595.460000 PA USD 511165.520000 0.187343 Long ABS-O CORP US N 2 2027-10-20 Fixed 5.71 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 BMW US CAPITAL LLC COMPANY GUAR 144A 03/28 4.75 05565ECW3 400000.000000 PA USD 401019.520000 0.146974 Long DBT CORP US N 2 2028-03-21 Fixed 4.75 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2019-1 N/A WELLS FARGO MORTGAGE BACKED SE WFMBS 2019 1 A1 144A 95001TAA3 515779.480000 PA USD 493522.250000 0.180877 Long ABS-MBS CORP US N 2 2048-11-25 Variable 3.92105 N N N N N N N/A N/A RFR USD SOFR/3.24800 09/18/24-10Y LCH 000000000 1.000000 NC USD 4743.990000 0.0017387 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-18 685.470000 USD 0.000000 USD 100000.000000 USD 4058.520000 N N N FNMA PASS THRU POOLS N/A FNMA POOL 654952 FN 07/42 FLOATING VAR 31390STH4 20476.610000 PA USD 20683.940000 0.0075807 Long ABS-MBS USGSE US N 2 2042-07-01 Floating 5.835 N N N N N N SYNCHRONY CARD ISSUANCE TRUST 2023-A2 N/A SYNCHRONY CARD ISSUANCE TRUST SYNIT 2023 A2 A 87166PAL5 1000000.000000 PA USD 1020407.600000 0.373981 Long ABS-MBS CORP US N 2 2029-10-15 Fixed 5.74 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL SB1240 FR 12/32 FIXED 2.5 3132CXLV2 432908.480000 PA USD 415031.660000 0.15211 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4678 N/A FREDDIE MAC FHR 4678 AF 3137BWWX8 271051.090000 PA USD 268595.690000 0.0984406 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 4.84307 N N N N N N N/A N/A RFR USD SOFR/3.68900 03/01/24-7Y* LCH 000000000 1.000000 NC USD 2553.930000 0.000936 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -28270.240000 USD 1200000.000000 USD 30824.170000 N N N WASHINGTON MUTUAL 2002-AR6 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A 929227QB5 5339.970000 PA USD 4972.410000 0.0018224 Long ABS-MBS CORP US N 2 2042-06-25 Floating 6.03529 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL Q58074 FG 08/48 FIXED 4 3132Y16L7 405911.050000 PA USD 384458.050000 0.140904 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N CSMC 2021-ADV TRUST N/A CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A 12660WAA3 100000.000000 PA USD 90357.560000 0.0331162 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.83448 N N N N N N N/A N/A RFR USD SOFR/3.6637* 03/01/24-7Y* LCH 000000000 1.000000 NC USD 1050.370000 0.000385 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -6651.100000 USD 300000.000000 USD 7701.470000 N N N N/A N/A RFR USD SOFR/3.85000 08/05/24-10Y LCH 000000000 1.000000 NC USD -183.560000 -0.0000673 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-05 0.000000 USD -4388.080000 USD 100000.000000 USD 4204.520000 N N N WASHINGTON MUTUAL 2006-AR1 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR1 2A1A 92925CCE0 122141.920000 PA USD 116029.730000 0.042525 Long ABS-MBS CORP US N 2 2046-01-25 Floating 5.70529 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1 07384MSH6 83.590000 PA USD 86.220000 0.0000316 Long ABS-MBS CORP US N 2 2033-02-25 Floating 6.74973 N N N N N N N/A N/A RFR USD SOFR/3.53200 08/20/24-10Y LCH 000000000 1.000000 NC USD 1723.660000 0.0006317 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-20 0.000000 USD -1203.710000 USD 70000.000000 USD 2927.370000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 NEXTERA ENERGY CAPITAL COMPANY GUAR 02/28 VAR 65339KDH0 200000.000000 PA USD 200989.180000 0.0736628 Long DBT CORP US N 2 2028-02-04 Floating 5.15366 N N N N N N FREDDIE MAC REMICS 4779 N/A FREDDIE MAC FHR 4779 WF 3137F4BX9 215079.550000 PA USD 211414.700000 0.0774837 Long ABS-MBS USGSE US N 2 2044-07-15 Floating 4.79307 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 10/25 0.65 3134GWZV1 6200000.000000 PA USD 6075624.900000 2.22672 Long DBT USGSE US N 2 2025-10-22 Fixed 0.65 N N N N N N N/A N/A 317U7HTA5 PIMCO SWAPTION 3.75 CALL USD 2025103 000000000 7800000.000000 NC USD 30793.620000 0.0112859 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A RFR USD SOFR/3.75000 11/03/25-1Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 11/03/25-1Y LCH 2026-11-03 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2025-10-30 XXXX -11014.380000 N N N N/A N/A US 10YR NOTE (CBT)JUN25 XCBT 20250618 000000000 -31.000000 NC USD -47027.770000 -0.0172357 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-06-18 -3453835.920000 USD -47027.770000 N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE 01F040651 -1513000.000000 PA USD -1407730.300000 -0.515935 Short ABS-MBS USGSE US N 2 2052-06-25 Fixed 4 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 AMERICAN HONDA FINANCE SR UNSECURED 05/25 5 02665WEJ6 800000.000000 PA USD 800498.620000 0.293384 Long DBT CORP US N 2 2025-05-23 Fixed 5 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2025-1 N/A GM FINANCIAL AUTOMOBILE LEASIN GMALT 2025 1 A3 36271VAD9 500000.000000 PA USD 502611.200000 0.184208 Long ABS-O CORP US N 2 2028-02-21 Fixed 4.66 N N N N N N WASHINGTON MUTUAL 2005-AR8 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 1A1A 92922FR67 23033.360000 PA USD 22516.730000 0.0082524 Long ABS-MBS CORP US N 2 2045-07-25 Floating 4.97459 N N N N N N FREDDIE MAC REMICS 5345 N/A FREDDIE MAC FHR 5345 A 3137HAQS8 310052.930000 PA USD 311950.980000 0.11433 Long ABS-MBS USGSE US N 2 2047-01-25 Fixed 5.5 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 BMW US CAPITAL LLC COMPANY GUAR 144A 08/28 5.05 05565ECE3 400000.000000 PA USD 403758.700000 0.147978 Long DBT CORP US N 2 2028-08-11 Fixed 5.05 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1 06051GDM8 94174.630000 PA USD 88136.040000 0.032302 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.69749 N N N N N N FREDDIE MAC REMICS 5517 N/A FREDDIE MAC FHR 5517 FE 3137HKGJ7 495110.790000 PA USD 492885.120000 0.180643 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.28969 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BV5386 FN 04/52 FIXED 3 3140MJ6Y6 1525271.510000 PA USD 1323343.160000 0.485007 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N COMM 2021-2400 MORTGAGE TRUST N/A COMM MORTGAGE TRUST COMM 2021 2400 A 144A 20048FAA6 739870.070000 PA USD 732402.600000 0.268426 Long ABS-MBS CORP US N 2 2038-12-15 Floating 5.73448 N N N N N N PROTECTIVE LIFE GLOBAL FUNDING 635400EVYITCJYWL2I50 PROTECTIVE LIFE GLOBAL SECURED 144A 07/26 VAR 743672AG2 400000.000000 PA USD 400592.330000 0.146818 Long DBT CORP US N 2 2026-07-22 Floating 4.85443 N N N N N N N/A N/A 317U4UUA7 PIMCO SWAPTION 5.0 PUT USD 20250708 000000000 37900000.000000 NC USD 697.360000 0.0002556 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A RFR USD SOFR/5.00000 07/10/25-1Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 07/10/25-1Y LCH 2026-07-10 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-07-08 XXXX -44782.640000 N N N N/A N/A RFR USD SOFR/3.56500 08/28/24-10Y LCH 000000000 1.000000 NC USD 2144.610000 0.000786 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-28 0.000000 USD -1999.340000 USD 100000.000000 USD 4143.950000 N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A 22540VK43 10311.320000 PA USD 9871.370000 0.0036179 Long ABS-MBS CORP US N 2 2032-03-25 Floating 5.08343 N N N N N N FANNIE MAE REMICS 2024-90 N/A FANNIE MAE FNR 2024 90 FA 3136BTXB4 908704.530000 PA USD 918040.200000 0.336463 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.83969 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL CB3277 FN 04/52 FIXED 3 3140QNUB6 1342080.570000 PA USD 1165798.020000 0.427266 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 10/25 0.65 3134GW5R3 4400000.000000 PA USD 4307677.440000 1.57877 Long DBT USGSE US N 2 2025-10-27 Fixed 0.65 N N N N N N N/A N/A 317U6RVA1 PIMCO SWAPTION 2.75 CALL USD 2025080 000000000 -30800000.000000 NC USD -11371.360000 -0.0041676 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A RFR USD SOFR/2.75000 08/05/25-1Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.75000 08/05/25-1Y LCH 2026-08-05 0.000000 USD 0.000000 USD N/A USD N/A 2.750000 USD 2025-08-01 XXXX 59468.640000 N N N N/A N/A RFR USD SOFR/4.00000 02/26/25-10Y LCH 000000000 1.000000 NC USD -964.220000 -0.0003534 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-02-26 0.000000 USD -172.500000 USD 50000.000000 USD -791.720000 N N N UWM-2021-INV4 N/A UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 A9 144A 918307AM1 801837.390000 PA USD 749089.400000 0.274542 Long ABS-MBS CORP US N 2 2051-12-25 Floating 5 N N N N N N MERCEDES-BENZ FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 MERCEDES BENZ FIN NA COMPANY GUAR 144A 03/28 4.75 58769JBE6 450000.000000 PA USD 450417.960000 0.165079 Long DBT CORP US N 2 2028-03-31 Fixed 4.75 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AJ8540 FN 01/27 FIXED 3 3138E1P27 24933.150000 PA USD 24612.080000 0.0090204 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N CAPITAL ONE MULTI-ASSET EXECUTION TRUST 2022-A3 N/A CAPITAL ONE MULTI ASSET EXECUT COMET 2022 A3 A 14041NGB1 1000000.000000 PA USD 1002168.000000 0.367296 Long ABS-MBS CORP US N 2 2027-10-15 Fixed 4.95 N N N N N N FS RIALTO 2022-FL4 N/A FS RIALTO ISSUER LTD FSRIA 2022 FL4 A 144A 30326MAA3 378848.380000 PA USD 379380.500000 0.139043 Long ABS-CBDO CORP US N 2 2039-01-19 Floating 6.24466 N N N N N N FANNIE MAE REMICS 2024-90 N/A FANNIE MAE FNR 2024 90 ED 3136BTYL1 469234.020000 PA USD 433964.040000 0.159048 Long ABS-MBS USGSE US N 2 2046-11-25 Fixed 2 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE + CO SR UNSECURED 07/28 VAR 46647PEM4 600000.000000 PA USD 602774.120000 0.220917 Long DBT CORP US N 2 2028-07-22 Floating 5.28443 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AB3968 FN 12/26 FIXED 3 31417AMS5 153159.750000 PA USD 151194.380000 0.0554129 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 JF 38382YV26 501868.060000 PA USD 499360.680000 0.183016 Long ABS-MBS USGSE US N 2 2072-04-20 Floating 5.14436 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL CB3278 FN 04/52 FIXED 3 3140QNUC4 1438912.110000 PA USD 1249400.840000 0.457907 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N N/A N/A RFR USD SOFR/3.79500 08/06/24-10Y LCH 000000000 1.000000 NC USD 281.080000 0.000103 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-08-06 0.000000 USD -3926.500000 USD 100000.000000 USD 4207.580000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL MA2864 G2 06/30 FIXED 3 36179RFD6 57789.310000 PA USD 56437.650000 0.0206845 Long ABS-MBS USGSE US N 2 2030-06-20 Fixed 3 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A JP MORGAN MORTGAGE TRUST JPMMT 2005 A2 5A2 466247NV1 15536.040000 PA USD 15643.630000 0.0057334 Long ABS-MBS CORP US N 2 2035-04-25 Floating 7.58254 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 04/25 0.125 912828ZJ2 368877.000000 PA USD 369238.650000 0.135326 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3 86359LPF0 20787.890000 PA USD 20331.210000 0.0074514 Long ABS-MBS CORP US N 2 2035-07-19 Floating 4.93126 N N N N N N N/A N/A RFR USD SOFR/2.69700 04/04/24-1Y LCH 000000000 1.000000 NC USD -79947.260000 -0.0293008 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-04-04 0.000000 USD -29014.260000 USD 3400000.000000 USD -50933.000000 N N N BBCMS TRUST 2018-CBM N/A BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM A 144A 05549RAA5 900000.000000 PA USD 890291.340000 0.326293 Long ABS-MBS CORP US N 2 2037-07-15 Floating 5.61701 N N N N N N SEASONED LOANS STRUCTURED TRANSACTION TRUST SERIES 2023-1 N/A FREDDIE MAC SLST SLST 2023 1 A11 144A 35564CNN3 357377.370000 PA USD 355499.530000 0.130291 Long ABS-MBS MUN US N 2 2033-10-25 Fixed 3.25 N N N N N N N/A N/A RFR USD SOFR/3.87000 03/05/25-10Y LCH 000000000 1.000000 NC USD -852.220000 -0.0003123 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -352.500000 USD 100000.000000 USD -499.720000 N N N N/A N/A RFR USD SOFR/3.24000 09/16/24-10Y LCH 000000000 1.000000 NC USD 4824.940000 0.0017683 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 753.970000 USD 0.000000 USD 100000.000000 USD 4070.970000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 01/33 1.125 91282CGK1 2239083.000000 PA USD 2145970.820000 0.786501 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N N/A N/A 317U7HUA3 PIMCO SWAPTION 3.29 CALL USD 2025103 000000000 -7800000.000000 NC USD -16427.580000 -0.0060207 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A RFR USD SOFR/3.29000 11/03/25-1Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.29000 11/03/25-1Y LCH 2026-11-03 0.000000 USD 0.000000 USD N/A USD N/A 3.290000 USD 2025-10-30 XXXX 9624.420000 N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE 01F032658 -5200000.000000 PA USD -4687133.930000 -1.71784 Short ABS-MBS USGSE US N 2 2052-03-25 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE 01F050650 16000000.000000 PA USD 15668932.480000 5.74268 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7 576433UM6 134688.900000 PA USD 128132.610000 0.0469608 Long ABS-MBS CORP US N 2 2034-11-21 Floating 6.36999 N N N N N N FANNIE MAE REMICS 2012-125 N/A FANNIE MAE FNR 2012 125 GC 3136A9E79 883790.930000 PA USD 830206.330000 0.304272 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 2 N N N N N N DROP MORTGAGE TRUST 2021-FILE N/A DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A 26210YAA4 1100000.000000 PA USD 1047078.010000 0.383755 Long ABS-MBS CORP US N 2 2043-10-15 Floating 5.58348 N N N N N N FREDDIE MAC-3891 N/A FREDDIE MAC FHR 3891 BF 3137ADTZ0 251419.920000 PA USD 249395.080000 0.0914036 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 5.01315 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE 01F022659 900000.000000 PA USD 748432.850000 0.274301 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 2.5 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 ABBVIE INC ABBVIE INC 00287YDR7 1000000.000000 PA USD 1010213.800000 0.370245 Long DBT CORP US N 2 2027-03-15 Fixed 4.8 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1 17307GXP8 10442.940000 PA USD 10424.020000 0.0038204 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2 74160MDL3 5058.110000 PA USD 4787.150000 0.0017545 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.83459 N N N N N N N/A N/A CITIGROUP REPO REPO 5807 000000000 34000000.000000 PA USD 34000000.000000 12.461 Long RA US N 2 Repurchase N 4.380000 2025-04-01 34343500.000000 USD 34464238.700000 USD UST N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1 07384MZS4 17978.620000 PA USD 17267.000000 0.0063284 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.95409 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL CB2894 FN 02/52 FIXED 3 3140QNGC0 2028851.190000 PA USD 1764528.320000 0.646702 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BL1942 FN 03/26 FIXED 3.15 3140HTEQ8 600000.000000 PA USD 592365.270000 0.217103 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 3.15 N N N N N N STRUCTURED ASSET MTGE INV 1999-1 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 1999 1 2A 86358HGW3 19049.960000 PA USD 18480.640000 0.0067732 Long ABS-MBS CORP US N 2 2029-06-25 Floating 3.90507 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 CITIBANK NA CITIBANK NA 17325FBF4 900000.000000 PA USD 909797.180000 0.333442 Long DBT CORP US N 2 2026-04-30 Fixed 5.438 N N N N N N MARS INCORPORATED 54930073HKEO6GZBSS03 MARS INC SR UNSECURED 144A 03/27 4.45 571676AW5 200000.000000 PA USD 200439.930000 0.0734615 Long DBT CORP US N 2 2027-03-01 Fixed 4.45 N N N N N N CARMAX AUTO OWNER TRUST 2022-2 N/A CARMAX AUTO OWNER TRUST CARMX 2022 2 A3 14317HAC5 219614.350000 PA USD 218856.500000 0.0802112 Long ABS-O CORP US N 2 2027-02-16 Fixed 3.49 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FD 38382Y5F6 772167.380000 PA USD 780866.850000 0.286189 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 5.49436 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 FC 38383KVE9 399838.200000 PA USD 398161.320000 0.145927 Long ABS-MBS USGSE US N 2 2074-02-20 Floating 4.99436 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BL0449 FN 12/25 FIXED 3.59 3140HRQB2 600000.000000 PA USD 595236.980000 0.218155 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 3.59 N N N N N N N/A N/A 317U8QTA4 PIMCO SWAPTION 3.71 CALL USD 2025041 000000000 -100000.000000 NC USD -529.420000 -0.000194 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A RFR USD SOFR/3.71000 04/16/25-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.71000 04/16/25-10Y LCH 2035-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2025-04-14 XXXX -89.420000 N N N N/A N/A RFR USD SOFR/3.27750 09/16/24-10Y LCH 000000000 1.000000 NC USD 4506.290000 0.0016516 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-16 435.930000 USD 0.000000 USD 100000.000000 USD 4070.360000 N N N ONSLOW BAY MORTGAGE LOAN TRUST 2021-INV2 N/A ONSLOW BAY FINANCIAL LLC OBX 2021 INV2 A11 144A 67114KAL1 795701.910000 PA USD 740956.270000 0.271561 Long ABS-MBS CORP US N 2 2051-10-25 Floating 5 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1 126670LE6 153934.500000 PA USD 142273.480000 0.0521434 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.24821 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA3029 FN 06/32 FIXED 3 31418CLK8 531246.680000 PA USD 514014.440000 0.188387 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H09 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H09 FB 38376RTJ5 374872.650000 PA USD 375348.330000 0.137566 Long ABS-MBS USGSE US N 2 2066-04-20 Floating 5.32309 N N N N N N N/A N/A RFR USD SOFR/2.00000 12/21/22-10Y CME 000000000 1.000000 NC USD 532653.280000 0.195218 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-12-21 408265.470000 USD 0.000000 USD 4380000.000000 USD 124387.810000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC SR UNSECURED 08/26 VAR 38145GAM2 1600000.000000 PA USD 1606554.620000 0.588804 Long DBT CORP US N 2 2026-08-10 Floating 5.798 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F 38375UXM7 207446.730000 PA USD 207482.660000 0.0760426 Long ABS-MBS USGSE US N 2 2066-05-20 Floating 5.22309 N N N N N N N/A N/A RFR USD SOFR/3.93000 03/24/25-10Y LCH 000000000 1.000000 NC USD -5487.980000 -0.0020114 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-24 0.000000 USD -1176.000000 USD 400000.000000 USD -4311.980000 N N N N/A N/A RFR USD SOFR/3.73910 03/01/24-7Y* LCH 000000000 1.000000 NC USD -240.140000 -0.000088 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -10527.270000 USD 400000.000000 USD 10287.130000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080060 G2 04/27 FLOATING VAR 36225CB62 5013.390000 PA USD 5004.870000 0.0018343 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 4.875 N N N N N N N/A N/A RFR USD SOFR/3.88500 07/12/24-10Y LCH 000000000 1.000000 NC USD -381.760000 -0.0001399 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-07-12 0.000000 USD -4661.790000 USD 100000.000000 USD 4280.030000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-C N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A 83207DAA6 559002.280000 PA USD 567761.290000 0.208085 Long ABS-O CORP US N 2 2052-11-15 Fixed 5.67 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/27 4.95 928668CN0 500000.000000 PA USD 500847.180000 0.183561 Long DBT CORP US N 2 2027-03-25 Fixed 4.95 N N N N N N FANNIE MAE REMICS 2025-19 N/A FANNIE MAE FNR 2025 19 FC 3136BVBY3 494160.490000 PA USD 496879.160000 0.182107 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.49969 N N N N N N N/A N/A RFR USD SOFR/3.72186 03/01/24-7Y* LCH 000000000 1.000000 NC USD 372.390000 0.0001365 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -27905.670000 USD 1100000.000000 USD 28278.060000 N N N FNMA PASS THRU POOLS N/A FNMA POOL 256143 FN 01/36 FIXED 4.5 31371MP43 123973.530000 PA USD 122774.130000 0.0449969 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 4.5 N N N N N N STONEPEAK 2021-1 ABS N/A STONEPEAK SALTT 2021 1A AA 144A 78433XAA8 349338.170000 PA USD 334282.850000 0.122515 Long ABS-O CORP US N 2 2033-02-28 Fixed 2.301 N N N N N N CHESAPEAKE FUNDING II LLC 2024-1A N/A CHESAPEAKE FUNDING II LLC CFII 2024 1A A2 144A 165183DJ0 597734.180000 PA USD 598735.210000 0.219437 Long ABS-O CORP US N 2 2036-05-15 Floating 5.11867 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL J32373 FG 05/29 FIXED 3 31307NT61 33844.390000 PA USD 33260.160000 0.0121899 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008717 G2 10/25 FLOATING VAR 36202KVJ1 582.900000 PA USD 581.270000 0.000213 Long ABS-MBS USGSE US N 2 2025-10-20 Floating 4.75 N N N N N N N/A N/A 317U8O2A8 PIMCO SWAPTION 3.535 CALL USD 202504 000000000 -1000000.000000 NC USD -1271.500000 -0.000466 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/3.53500 04/14/25-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.53500 04/14/25-10Y LCH 2035-04-14 0.000000 USD 0.000000 USD N/A USD N/A 3.540000 USD 2025-04-10 XXXX 2953.500000 N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL ZA2264 FR 05/32 FIXED 3.5 31329KQR8 206632.870000 PA USD 202330.410000 0.0741543 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 3.5 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1 N/A SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A 81377JAB9 78648.720000 PA USD 16938.120000 0.0062078 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.55459 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 WELLS FARGO + COMPANY WELLS FARGO + COMPANY 95000U3L5 800000.000000 PA USD 817571.020000 0.299641 Long DBT CORP US N 2 2028-04-22 Floating 5.707 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H15 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H15 FA 38376RWY8 120569.880000 PA USD 120582.590000 0.0441937 Long ABS-MBS USGSE US N 2 2066-07-20 Floating 5.22309 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1 07386HSY8 67281.170000 PA USD 64086.790000 0.0234879 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.56391 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 559824 FN 08/30 FLOATING VAR 31386C4H2 23517.320000 PA USD 23579.460000 0.0086419 Long ABS-MBS USGSE US N 2 2030-08-01 Floating 6.035 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2 17307GXQ6 6634.050000 PA USD 6513.630000 0.0023873 Long ABS-MBS CORP US N 2 2035-09-25 Floating 7.18 N N N N N N N/A N/A US 10YR ULTRA FUT JUN25 XCBT 20250618 000000000 -216.000000 NC USD -349614.790000 -0.128134 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-06-18 -24713437.390000 USD -349614.790000 N N N FNMA PASS THRU POOLS N/A FNMA POOL MA2871 FN 01/32 FIXED 3 31418CFM1 357236.060000 PA USD 345865.080000 0.12676 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 3 N N N N N N N/A N/A 317U8TPA2 PIMCO SWAPTION 3.713 CALL USD 202504 000000000 -200000.000000 NC USD -1504.060000 -0.0005512 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/3.71300 04/30/25-10Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.71300 04/30/25-10Y LCH 2035-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2025-04-28 XXXX -751.060000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 10/25 0.125 91282CAQ4 244810.000000 PA USD 245019.230000 0.0897998 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 835058 FN 06/35 FLOATING VAR 31407MWT8 47753.700000 PA USD 48488.590000 0.0177711 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 7.013 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 SOUTHERN CAL EDISON SOUTHERN CAL EDISON 842400JB0 900000.000000 PA USD 903919.620000 0.331288 Long DBT CORP US N 2 2026-03-01 Fixed 5.35 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 749040 FN 10/33 FIXED 4.5 31403HEM8 11468.860000 PA USD 11354.630000 0.0041615 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.5 N N N N N N N/A N/A RFR USD SOFR/3.7351* 03/01/24-7Y* LCH 000000000 1.000000 NC USD -308.220000 -0.000113 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD -20879.870000 USD 800000.000000 USD 20571.650000 N N N ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2 N/A ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A 67114WAA9 721059.340000 PA USD 614928.920000 0.225372 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N 2025-05-28 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer