NPORT-P false 0000810893 XXXXXXXX S000038441 C000118565 C000118566 C000118562 C000200465 C000118561 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Mortgage Opportunities and Bond Fund S000038441 549300PFV1F66T7RF111 2026-03-31 2025-06-30 N 47982788700.720000 35910059457.250000 12072729243.470000 0.000000 0.000000 9876832335.280000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 331494684.440000 0.000000 0.000000 132197326.670000 GBP EUR USD CAD N COUNTRYWIDE HOME LOANS 2007-7 N/A 12544TAC8 4102839.140000 PA USD 1886952.750000 0.0156299 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 5.75 N N N N N N FANNIE MAE REMICS 2015-47 N/A 3136APDE9 98091.190000 PA USD 5791.620000 0.000048 Long ABS-MBS USGSE US N 2 2044-06-25 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H15 N/A 38376RWY8 63696.040000 PA USD 63870.340000 0.000529 Long ABS-MBS USGSE US N 2 2066-07-20 Floating 5.24602 N N N N N N N/A N/A 000000000 354400000.000000 NC USD 5280.560000 0.0000437 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 12/18/25-1Y LCH 2026-12-18 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-12-16 XXXX -349119.440000 N N N N/A N/A 000000000 -354400000.000000 NC USD -1275.840000 -0.0000106 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 12/18/25-1Y LCH 2026-12-18 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-12-16 XXXX 172380.160000 N N N GNMA PASS THRU POOLS N/A 36179T7L3 2217480.660000 PA USD 2161340.280000 0.0179027 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 4.5 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q010 N/A 3137FMUL4 1031936.370000 PA USD 1019988.510000 0.0084487 Long ABS-MBS USGSE US N 2 2046-10-25 Variable 3.60651 N N N N N N FANNIE MAE REMICS 2018-27 N/A 3136B1L77 1608193.000000 PA USD 1343370.890000 0.0111273 Long ABS-MBS USGSE US N 2 2048-05-25 None 0 N N N N N N LEHMAN XS TRUST 2007-15N N/A 52524VAQ2 1646092.480000 PA USD 1472818.530000 0.0121995 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.33368 N N N N N N FANNIE MAE 2005-35 N/A 31394CV90 31483.330000 PA USD 32083.010000 0.0002657 Long ABS-MBS USGSE US N 2 2035-04-25 Fixed 5 N N N N N N ATLX 2024-RPL1 TRUST N/A 049915AA9 186089.070000 PA USD 179962.310000 0.0014907 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 3.85 N N N N N N N/A N/A 000000000 57700000.000000 NC USD 3327460.910000 0.0275618 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.26000 02/15/35-10Y LCH 2045-02-15 0.000000 USD 0.000000 USD N/A USD N/A 4.260000 USD 2035-02-13 XXXX -1712634.090000 N N N FNMA PASS THRU POOLS N/A 3140QSNB3 1789881.640000 PA USD 1684295.290000 0.0139512 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-1 N/A 759950GY8 2134216.560000 PA USD 948562.790000 0.0078571 Long ABS-MBS CORP US N 2 2036-05-25 Variable 5.746 N N N N N N FANNIE MAE REMICS 2020-85 N/A 3136BCU99 8810842.470000 PA USD 1184905.880000 0.0098147 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2012-67 N/A 3136A7JB9 414799.960000 PA USD 390185.030000 0.003232 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 3.5 N N N N N N WAMU MTGE P/T CERT 2007-HY7 N/A 93364FAL5 28089.160000 PA USD 25533.240000 0.0002115 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.96725 N N N N N N AFFIRM ASSET SECURITIZATION TRUST 2024-X2 N/A 00833QAA3 4802582.180000 PA USD 4805403.220000 0.0398038 Long ABS-O CORP US N 2 2029-12-17 Fixed 5.22 N N N N N N FANNIE MAE REMICS 2006-106 N/A 31396LNJ5 382143.190000 PA USD 350445.790000 0.0029028 Long ABS-MBS USGSE US N 2 2033-10-25 None 0 N N N N N N N/A N/A 000000000 -121800000.000000 NC USD -16552.620000 -0.0001371 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.21500 08/08/25-7Y LCH 2032-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.210000 USD 2025-08-06 XXXX 443242.380000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 3253208.060000 PA USD 3268841.030000 0.0270762 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 5.46121 N N N N N N GNMA PASS THRU POOLS N/A 3617ALZA1 136742.720000 PA USD 129035.630000 0.0010688 Long ABS-MBS USGSE US N 2 2047-06-15 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132Y0FE5 1397740.140000 PA USD 1325717.320000 0.0109811 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N GS MORTGAGE SECURITIES TRUST 2015-590M N/A 36250WAL4 11300000.000000 PA USD 11242157.560000 0.0931203 Long ABS-MBS CORP US N 2 2035-10-10 Variable 3.93225 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2024-PT2 N/A 69546YAA9 1498999.520000 PA USD 1498588.070000 0.012413 Long ABS-O CORP US N 3 2032-04-15 Fixed 6.261 N N N N N N GNMA PASS THRU POOLS N/A 36202FP75 1684368.560000 PA USD 1672215.370000 0.0138512 Long ABS-MBS USGSE US N 2 2041-02-20 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2015-64 N/A 3136AP3C4 427557.890000 PA USD 17413.750000 0.0001442 Long ABS-MBS USGSE US N 2 2045-09-25 Floating 1.88651 N N N N N N FNMA PASS THRU POOLS N/A 3140FE2P8 13086.720000 PA USD 12345.210000 0.0001023 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QPYK7 9262863.410000 PA USD 8884161.240000 0.0735887 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.5 N N N N N N VERUS SECURITIZATION TRUST 2023-INV1 N/A 92539FAA1 2932159.320000 PA USD 2933416.040000 0.0242979 Long ABS-MBS CORP US N 2 2068-02-25 Fixed 5.999 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-WMC3 N/A 61746RJL6 7029891.550000 PA USD 6434938.470000 0.0533014 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.22868 N N N N N N N/A N/A 000000000 214000000.000000 NC USD 13952.800000 0.0001156 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/15/25-10Y LCH 2035-09-15 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-11 XXXX -563847.200000 N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-11 N/A 863579RP5 873586.210000 PA USD 723927.790000 0.0059964 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.74946 N N N N N N N/A N/A 000000000 1.000000 NC USD 2602374.760000 0.0215558 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-06-20 2031046.330000 USD 0.000000 USD 34700000.000000 USD 571328.430000 N N N LEGACY MORTGAGE ASSET TRUST 2021-GS4 N/A 52475WAA4 4722381.940000 PA USD 4725072.750000 0.0391384 Long ABS-MBS CORP US N 2 2060-11-25 Fixed 4.65 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08 N/A 38382Y3J0 14874494.870000 PA USD 14961504.720000 0.123928 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 5.18185 N N N N N N FNMA PASS THRU POOLS N/A 3140X4F76 5043108.280000 PA USD 4781870.730000 0.0396089 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 5121 N/A 3137H13A2 10681883.330000 PA USD 1720992.410000 0.0142552 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 4136 N/A 3137AWHG3 733758.830000 PA USD 17203.930000 0.0001425 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31417EQ38 2836956.030000 PA USD 2694237.600000 0.0223167 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WG7A6 424464.450000 PA USD 402792.600000 0.0033364 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4 N N N N N N SBNA AUTO RECEIVABLES TRUST 2025-SF1 N/A 78437XAB2 3500000.000000 PA USD 3501380.050000 0.0290024 Long ABS-O CORP US N 2 2031-03-17 Fixed 5.12 N N N N N N JP MORGAN MORTGAGE TRUST 2021-13 N/A 46592XBX1 7349051.040000 PA USD 978989.140000 0.0081091 Long ABS-O CORP US N 2 2052-04-25 Variable 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -12956.340000 -0.0001073 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 1400000.000000 USD -12956.340000 N N N MFA 2024-RPL1 TRUST N/A 55287AAA3 903217.440000 PA USD 866258.690000 0.0071753 Long ABS-MBS CORP US N 2 2066-02-25 Variable 4.25 N N N N N N FNMA PASS THRU POOLS N/A 3138WKW92 4243.510000 PA USD 4021.100000 0.0000333 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H17 N/A 38383KBM3 5831795.050000 PA USD 5861200.130000 0.0485491 Long ABS-MBS USGSE US N 2 2073-07-20 Floating 5.20185 N N N N N N FANNIE MAE REMICS 2014-81 N/A 3136ALZU8 3278449.500000 PA USD 3213113.610000 0.0266146 Long ABS-MBS USGSE US N 2 2034-01-25 Fixed 2.5 N N N N N N REACH ABS TRUST 2025-1A N/A 75525PAA0 5092648.380000 PA USD 5093893.020000 0.0421934 Long ABS-O CORP US N 2 2032-08-16 Fixed 4.96 N N N N N N FHLMC PASS THRU POOLS N/A 3133ALUE6 682315.360000 PA USD 600896.260000 0.0049773 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2015-87 N/A 3136AQWT3 340776.550000 PA USD 35396.320000 0.0002932 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 3 N N N N N N FREDDIE MAC STRIPS 389 N/A 31325YRU4 132993253.020000 PA USD 20610824.890000 0.170722 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMU4 44995504.500000 PA USD 46505296.260000 0.385209 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6.5 N N N N N N FANNIE MAE-2020-42 N/A 3136B96V4 9425157.950000 PA USD 1273707.360000 0.0105503 Long ABS-MBS USGSE US N 2 2050-04-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-63 N/A 3136ATXU3 347134.320000 PA USD 27374.770000 0.0002267 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3.5 N N N N N N RCKT MORTGAGE TRUST 2024-CES4 N/A 74939FAA5 13959379.730000 PA USD 14091977.090000 0.116726 Long ABS-MBS CORP US N 2 2044-06-25 Variable 6.147 N N N N N N FANNIE MAE REMICS 2019-1 N/A 3136B3A75 1517483.040000 PA USD 1302387.410000 0.0107878 Long ABS-MBS USGSE US N 2 2042-12-25 Floating 0.127698 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2022-P3 N/A 14686MAD5 2000000.000000 PA USD 2010488.400000 0.0166531 Long ABS-O CORP US N 2 2028-06-12 Fixed 4.85 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-C N/A 223920AA7 4776081.980000 PA USD 4792930.090000 0.0397005 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.88 N N N N N N FNMA PASS THRU POOLS N/A 3140NWF91 24901043.210000 PA USD 25155037.340000 0.208363 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.4 N N N N N N FREDDIE MAC REMICS 4142 N/A 3137AX6D0 30990.440000 PA USD 1164.340000 0.0000096 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 3 N N N N N N MARLETTE FUNDING TRUST 2023-4A N/A 57108UAA2 4596506.240000 PA USD 4651713.040000 0.0385307 Long ABS-O CORP US N 2 2033-12-15 Fixed 7.13 N N N N N N AVON FINANCE 4A N/A ACI2JTXR2 14775083.580000 PA 20314816.120000 0.16827 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 5.11859 N N N N N N FREMONT HOME LOAN TRUST 2005-B N/A 35729PJZ4 4633570.370000 PA USD 4474692.660000 0.0370645 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.36368 N N N N N N CANYON CLO 2020-1 LTD N/A 13876LAW7 800000.000000 PA USD 800923.210000 0.0066342 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.3361 N N N N N N FANNIE MAE REMICS 2020-89 N/A 3136BC5C0 9001686.180000 PA USD 1617812.750000 0.0134006 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 3 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2017-A N/A 194204AA1 1603986.530000 PA USD 1618250.300000 0.0134042 Long ABS-O CORP US N 2 2046-11-26 Floating 6.08368 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-22CB N/A 12667FRY3 7707048.050000 PA USD 8045139.290000 0.0666389 Long ABS-MBS CORP US N 2 2034-10-25 Fixed 6 N N N N N N TIMES SQUARE HOTEL TRUST N/A 887367AA8 593480.290000 PA USD 595367.080000 0.0049315 Long DBT CORP US N 2 2026-08-01 Fixed 8.528 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAC0 152633.520000 PA USD 86539.160000 0.0007168 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.61368 N N N N N N CROSS 2024-H3 MORTGAGE TRUST N/A 22758DAA7 8280213.740000 PA USD 8376431.480000 0.0693831 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.272 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP2 N/A 36298XAA0 4126371.720000 PA USD 3561966.180000 0.0295042 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.83368 N N N N N N N/A N/A 000000000 1.000000 NC USD 2554221.430000 0.021157 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-04-15 3002737.500000 USD 0.000000 USD 143500000.000000 USD -448516.070000 N N N FREDDIE MAC REMICS 5004 N/A 3137FVBP6 6481905.980000 PA USD 724141.680000 0.0059982 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC USD 3388700.020000 0.028069 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-30 0.000000 USD -54788.530000 USD 99250000.000000 USD 3443488.550000 N N N FREDDIE MAC REMICS 4165 N/A 3137AYSK8 2604272.260000 PA USD 137837.100000 0.0011417 Long ABS-MBS USGSE US N 2 2042-12-15 Fixed 3 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 20102523.700000 PA USD 19313851.440000 0.159979 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N N/A N/A 000000000 34900000.000000 NC USD 2205788.190000 0.0182708 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.43000 05/18/35-10Y LCH 2045-05-18 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-05-16 XXXX -921251.810000 N N N JP MORGAN SEASONED MORTGAGE TRUST 2025-1 N/A 46659PAG6 12100000.000000 PA USD 11348102.370000 0.0939978 Long ABS-MBS CORP US N 2 2063-01-25 Variable 3.69994 N N N N N N CMLTI 2005-HE4 N/A 17307GP77 1036418.480000 PA USD 1020788.460000 0.0084553 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.10868 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H09 N/A 38375BLE0 56317.860000 PA USD 56452.020000 0.0004676 Long ABS-MBS USGSE US N 2 2061-03-20 Floating 4.94602 N N N N N N N/A N/A 000000000 24900000.000000 NC USD 1474719.930000 0.0122153 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.30750 05/04/35-10Y LCH 2045-05-04 0.000000 USD 0.000000 USD N/A USD N/A 4.310000 USD 2035-05-02 XXXX -740135.070000 N N N FANNIE MAE REMICS 2024-60 N/A 3136BSQ40 90888729.020000 PA USD 6663925.260000 0.0551982 Long ABS-MBS USGSE US N 2 2054-09-25 Floating 0.94483 N N N N N N FANNIE MAE 2004-10 N/A 31393XCU9 52791.340000 PA USD 54834.590000 0.0004542 Long ABS-MBS USGSE US N 2 2034-02-25 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132XSH37 418545.140000 PA USD 397061.820000 0.0032889 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31425YQ59 497866.740000 PA USD 516517.920000 0.0042784 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2024-INV3 N/A 17332ACD0 87843033.310000 PA USD 92256030.130000 0.764169 Long ABS-MBS CORP US N 2 2054-10-25 Variable 0 N N N N N N GREYWOLF CLO III LTD 2020-3RA N/A 39809CBA1 7700000.000000 PA USD 7718899.570000 0.0639367 Long ABS-CBDO CORP KY N 2 2033-04-22 Floating 6.12238 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-C N/A 78449CAB4 1907857.460000 PA USD 1926258.360000 0.0159555 Long ABS-O CORP US N 2 2050-05-16 Floating 6.15385 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-36T2 N/A 02146XAD0 7999609.430000 PA USD 3427179.070000 0.0283878 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FLP9 1443864.250000 PA USD 1433447.330000 0.0118734 Long ABS-MBS USGSE US N 2 2040-10-20 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 4324 N/A 3137BAGM8 214064.960000 PA USD 13779.060000 0.0001141 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 2.59051 N N N N N N N/A N/A 000000000 2092000000.000000 NC USD 8933467.600000 0.0739971 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased N/A USD-SOFR-COMPOUND N/A 0.030000 USD 2027-01-26 XXXX -16170532.400000 N N N GNMA PASS THRU POOLS N/A 21H042679 685816000.000000 PA USD 656579993.110000 5.43854 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 4988 N/A 3137FUQK3 47173303.400000 PA USD 11282174.800000 0.0934517 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 4 N N N N N N OBX 2024-HYB2 TRUST N/A 67118RAA6 14867775.390000 PA USD 14851588.840000 0.123018 Long ABS-MBS CORP US N 2 2053-04-25 Variable 3.6771 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWPK3 81991862.320000 PA USD 84730229.000000 0.701832 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.5 N N N N N N MORGAN STANLEY MTGE LN TR 2006-2 N/A 61748HVH1 100156.130000 PA USD 94894.110000 0.000786 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.33368 N N N N N N GNMA PASS THRU POOLS N/A 36179TZU2 227302.950000 PA USD 219371.040000 0.0018171 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-84 N/A 38380FJD9 3399210.360000 PA USD 179798.850000 0.0014893 Long ABS-MBS USGSE US N 2 2046-07-20 Floating 0.17888 N N N N N N RCKT MORTGAGE TRUST 2024-CES5 N/A 74938KAA5 11879242.700000 PA USD 11946049.190000 0.0989507 Long ABS-MBS CORP US N 2 2044-08-25 Variable 5.846 N N N N N N FREDDIE MAC STRIPS 414 N/A 3142G9VS6 10772576.520000 PA USD 1393641.650000 0.0115437 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 2 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-2 N/A 1266713T1 2320845.160000 PA USD 2283557.070000 0.018915 Long ABS-MBS CORP US N 2 2034-07-25 Floating 4.87368 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H20 N/A 38383K2U5 973741.890000 PA USD 971114.050000 0.0080439 Long ABS-MBS USGSE US N 2 2074-11-20 Floating 5.06185 N N N N N N FANNIE MAE REMICS 2012-118 N/A 3136A93T3 777590.820000 PA USD 16192.630000 0.0001341 Long ABS-MBS USGSE US N 2 2027-11-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140F2AR1 27058.210000 PA USD 25559.940000 0.0002117 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23 N/A 38383KEW8 7335566.220000 PA USD 7397526.080000 0.0612747 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 5.42185 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAJ5 4000000.000000 PA USD 3707041.200000 0.0307059 Long ABS-MBS CORP US N 2 2038-09-15 Floating 6.42648 N N N N N N FREDDIE MAC REMICS 4990 N/A 3137FURT3 13942454.030000 PA USD 3252865.150000 0.0269439 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 4 N N N N N N PAGAYA AI DEBT TRUST 2023-5 N/A 69546PAC4 608863.320000 PA USD 611429.010000 0.0050645 Long ABS-O CORP US N 2 2031-04-15 Fixed 9.099 N N N N N N FANNIE MAE 2003-71 N/A 31393EKS7 297216.720000 PA USD 278807.410000 0.0023094 Long ABS-MBS USGSE US N 2 2033-08-25 Floating 1.56398 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A N/A 36270YAC6 6546794.040000 PA USD 6547533.830000 0.0542341 Long ABS-O CORP US N 2 2027-10-15 Fixed 4.76 N N N N N N FREDDIE MAC REMICS 5045 N/A 3137F6RW9 9813570.360000 PA USD 1380310.070000 0.0114333 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.5 N N N N N N TOWD POINT MORTGAGE TRUST 2024-CES6 N/A 891947AA1 8836162.920000 PA USD 8885629.530000 0.0736008 Long ABS-MBS CORP US N 2 2064-11-25 Variable 5.725 N N N N N N KKR CLO LTD 21 N/A 48252KAC3 11700000.000000 PA USD 11741891.500000 0.0972596 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 5.91771 N N N N N N FANNIE MAE INTEREST STRIP 430 N/A 31424QLR4 42788037.690000 PA USD 2161455.690000 0.0179036 Long ABS-MBS USGSE US N 2 2037-04-25 Fixed 1.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-15 N/A 38380CSQ7 775755.580000 PA USD 33995.470000 0.0002816 Long ABS-MBS USGSE US N 2 2045-11-20 Floating 0.09183 N N N N N N VENTURE 44 CLO LTD N/A 92332KAQ4 5575000.000000 PA USD 5568606.980000 0.0461255 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.40947 N N N N N N FREDDIE MAC REMICS 4979 N/A 3137FTYA9 25786787.840000 PA USD 3285816.970000 0.0272169 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.63035 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVGG4 9865195.590000 PA USD 9499610.090000 0.0786865 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 21H042687 102000000.000000 PA USD 97599992.340000 0.808434 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 4.5 N N N N N N ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM N/A 04965JAE3 8800000.000000 PA USD 8532423.680000 0.0706752 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.259 N N N N N N N/A N/A 000000000 100000000.000000 NC USD 10.000000 0.0000001 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 07/24/25-10Y LCH 2035-07-24 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-07-22 XXXX -371240.000000 N N N N/A N/A 000000000 1.000000 NC -1289076.200000 -0.0106776 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 106935745.000000 GBP 145517627.120000 USD 2025-08-04 -1289076.200000 N N N C-BASS LTD 12A N/A 12498CAA5 15662100.550000 PA USD 1154375.120000 0.0095618 Long ABS-CBDO CORP KY N 2 2034-12-15 Floating 7.84 N N N N N N FREDDIE MAC REMICS 3753 N/A 3137A3ML0 468193.390000 PA USD 372530.850000 0.0030857 Long ABS-MBS USGSE US N 2 2040-11-15 None 0 N N N N N N HILDENE TRUPS 2018-1A N/A 43133AAA5 14412117.800000 PA USD 14412117.800000 0.119378 Long ABS-CBDO CORP KY N 2 2038-10-10 Floating 5.83183 N N N N N N FREDDIE MAC REMICS 5071 N/A 3137F9R60 26130620.210000 PA USD 3041481.380000 0.025193 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N FREDDIE MAC 4820 N/A 3137FHJ95 1658109.290000 PA USD 183520.860000 0.0015201 Long ABS-MBS USGSE US N 2 2048-08-15 Floating 1.73167 N N N N N N ATLANTIC AVENUE 2024-3A LTD N/A 04822JAA4 21900000.000000 PA USD 21892675.550000 0.18134 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.57608 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF2 N/A 61911CAA1 786371.840000 PA USD 775788.850000 0.006426 Long ABS-MBS CORP US N 2 2042-02-25 Floating 4.46 N N N N N N FNMA PASS THRU POOLS N/A 3140FPAV1 27498086.530000 PA USD 26058318.890000 0.215844 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -18289.460000 -0.0001515 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 2100000.000000 USD -18289.460000 N N N FREDDIE MAC REMICS 4748 N/A 3137FCZB3 1602382.950000 PA USD 1546593.740000 0.0128106 Long ABS-MBS USGSE US N 2 2047-08-15 Floating 4.71833 N N N N N N FNMA PASS THRU POOLS N/A 3138WVRU7 16642.160000 PA USD 16036.120000 0.0001328 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N ATCLO-2021-17A N/A 04942FAL3 1000000.000000 PA USD 999933.600000 0.0082826 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.32947 N N N N N N FNMA PASS THRU POOLS N/A 3138EJAY4 386599.910000 PA USD 385852.780000 0.0031961 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.5 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4E0 3906295.470000 PA USD 3904127.090000 0.0323384 Long ABS-O CORP US N 2 2032-09-15 Fixed 5.41 N N N N N N EFMT 2024-CES1 N/A 281907AA3 1470422.430000 PA USD 1480099.280000 0.0122599 Long ABS-MBS CORP US N 2 2060-01-26 Fixed 5.522 N N N N N N N/A N/A 000000000 1.000000 NC USD -21442.530000 -0.0001776 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 2100000.000000 USD -21442.530000 N N N ASSET BACKED SEC CORP HM EQ 2003-HE6 N/A 04541GGM8 2388583.200000 PA USD 2445964.850000 0.0202602 Long ABS-MBS CORP US N 2 2033-11-25 Floating 5.39368 N N N N N N FANNIE MAE REMICS 2018-3 N/A 3136B0UM6 2234382.680000 PA USD 2176757.730000 0.0180304 Long ABS-MBS USGSE US N 2 2046-02-25 Fixed 3 N N N N N N N/A N/A 000000000 112100000.000000 NC USD 157870.430000 0.0013077 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 03/24/26-7Y LCH 2033-03-24 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2026-03-20 XXXX -251874.400000 N N N N/A N/A 000000000 11210.000000 NC USD 21296361.020000 0.176401 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-19 1257008822.520000 USD 21296361.020000 N N N N/A N/A 000000000 1.000000 NC USD 3763542.000000 0.0311739 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-04-09 3053000.000000 USD 0.000000 USD 142000000.000000 USD 710542.000000 N N N FNMA PASS THRU POOLS N/A 31418CGR9 12820.680000 PA USD 12150.710000 0.0001006 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 5060 N/A 3137F8YX5 2617253.780000 PA USD 313634.680000 0.0025979 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SNZ85 51849429.540000 PA 71258963.620000 0.590247 Long ABS-MBS CORP GB N 2 2066-05-16 Floating 5.22522 N N N N N N FANNIEMAE STRIP-428 N/A 31423YJQ3 29395895.760000 PA USD 5236770.360000 0.0433769 Long ABS-MBS USGSE US N 2 2050-03-25 Fixed 3 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAG3 1500000.000000 PA USD 1538450.400000 0.0127432 Long ABS-O CORP US N 2 2059-06-25 Fixed 6.36 N N N N N N N/A N/A 000000000 1.000000 NC USD -18231.550000 -0.000151 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 2100000.000000 USD -18231.550000 N N N COMMONBOND STUDENT LOAN TRUST 2020-AGS N/A 20267WAA3 3910465.090000 PA USD 3495219.060000 0.0289514 Long ABS-O CORP US N 2 2050-08-25 Fixed 1.98 N N N N N N INDYMAC IMSC MTGE LN TRUST 2007-AR1 N/A 456672AC8 9904491.770000 PA USD 6030646.950000 0.0499526 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.88601 N N N N N N N/A N/A 000000000 -61700000.000000 NC USD -370181.490000 -0.0030663 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.30000 09/22/25-7Y LCH 2032-09-22 0.000000 USD 0.000000 USD N/A USD N/A 3.300000 USD 2025-09-18 XXXX -138806.490000 N N N FREDDIE MAC REMICS 5070 N/A 3137F9XF3 26939083.090000 PA USD 4872954.170000 0.0403633 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 3 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JP3 682000.000000 PA 923415.480000 0.0076488 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 7.36986 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ6 N/A 36267JAE0 34405142.640000 PA USD 1142495.010000 0.0094634 Long ABS-O CORP US N 2 2053-01-25 Variable 0.5 N N N N N N FNMA PASS THRU POOLS N/A 3138W9FH8 366339.650000 PA USD 360715.750000 0.0029879 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FTFW6 100838.470000 PA USD 98249.430000 0.0008138 Long ABS-MBS USGSE US N 2 2047-01-01 Floating 2.1 N N N N N N FREDDIE MAC REMICS 5070 N/A 3137F9XJ5 14166310.560000 PA USD 2636395.730000 0.0218376 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3.5 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-1 N/A 35563PPH6 10447000.000000 PA USD 10022116.330000 0.0830145 Long ABS-MBS CORP US N 2 2059-08-25 Variable 4.25 N N N N N N GNMA PASS THRU POOLS N/A 21H040681 380000000.000000 PA USD 353300238.600000 2.92643 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 4 N N N N N N FANNIE MAE REMICS 2020-41 N/A 3136B9Z91 9624821.500000 PA USD 1201379.840000 0.0099512 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.68035 N N N N N N REACH ABS TRUST 2025-1A N/A 75525PAB8 3400000.000000 PA USD 3417357.000000 0.0283064 Long ABS-O CORP US N 2 2032-08-16 Fixed 5.34 N N N N N N FREDDIE MAC REMICS 4182 N/A 3137B0ZW7 2858308.080000 PA USD 2510957.910000 0.0207986 Long ABS-MBS USGSE US N 2 2033-02-15 Floating 0 N N N N N N FHLMC PASS THRU POOLS N/A 3133KLAT4 35885493.750000 PA USD 32608417.540000 0.2701 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-158 N/A 38377RCR4 1073212.070000 PA USD 917417.420000 0.0075991 Long ABS-MBS USGSE US N 2 2040-12-20 None 0 N N N N N N FREDDIE MAC REMICS 4362 N/A 3137BCG36 522610.850000 PA USD 396187.210000 0.0032817 Long ABS-MBS USGSE US N 2 2043-05-15 Floating 0 N N N N N N OFSI BSL X LTD N/A 67115PAW5 13000000.000000 PA USD 13015413.710000 0.107808 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.53947 N N N N N N ACHV ABS TRUST 2025-1PL N/A 00112MAA4 1627639.040000 PA USD 1627925.180000 0.0134843 Long ABS-O CORP US N 2 2032-04-26 Fixed 4.76 N N N N N N SOFI CONSUMER LOAN PROGRAM 2025-A TRUST N/A 83407UAD0 2177000.000000 PA USD 2177999.330000 0.0180407 Long ABS-O CORP US N 3 2034-03-27 Fixed 6.26 N N N N N N FREDDIE MAC SEASONED LOANS STRUCTURED TRANSACTION SERIES 2024-1 N/A 35564CE45 40907429.450000 PA USD 41024432.880000 0.339811 Long ABS-MBS MUN US N 2 2034-05-25 Floating 5.27517 N N N N N N BANCO LA HIPOTECARIA SA 2016-1A N/A 50346VAA7 4090241.420000 PA USD 3769194.240000 0.0312207 Long ABS-MBS CORP PA N 3 2046-01-15 Fixed 3.3575 N N N N N N FNMA PASS THRU POOLS N/A 3140FVYP5 804954.480000 PA USD 796059.880000 0.0065939 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2006-5 N/A 05950BBB9 1088481.230000 PA USD 848013.190000 0.0070242 Long ABS-MBS CORP US N 2 2046-06-25 Fixed 6 N N N N N N N/A N/A 000000000 34600000.000000 NC USD 270167.180000 0.0022378 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% AUG 30YR N/A 97.640000 USD 2025-08-06 XXXX 170151.550000 N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4 N/A 12498QAC0 3956812.730000 PA USD 2673475.520000 0.0221447 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.73368 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMM2 80991938.070000 PA USD 83709564.240000 0.693377 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD2 N/A 07388EAC0 1669535.740000 PA USD 1753496.360000 0.0145244 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.63368 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-IM1 N/A 126670SP4 164527.670000 PA USD 146451.100000 0.0012131 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.91368 N N N N N N FHLMC PASS THRU POOLS N/A 3132JBDV2 50077.980000 PA USD 48313.950000 0.0004002 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02 N/A 38383KMK5 5623178.030000 PA USD 5656520.100000 0.0468537 Long ABS-MBS USGSE US N 2 2074-01-20 Floating 5.23185 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAC2 1800000.000000 PA USD 1843943.760000 0.0152736 Long ABS-O CORP US N 2 2059-06-25 Fixed 5.55 N N N N N N MF1 2021-FL5 LTD N/A 55282XAC4 19004676.360000 PA USD 18959431.930000 0.157044 Long ABS-MBS CORP KY N 2 2036-07-15 Floating 5.62818 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAF4 584000.000000 PA USD 594728.430000 0.0049262 Long ABS-O CORP US N 2 2054-11-25 Fixed 8.75 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF3 N/A 61911GAA2 3160178.670000 PA USD 2642111.620000 0.021885 Long ABS-MBS CORP US N 2 2042-05-25 Floating 10 N N N N N N FHLMC PASS THRU POOLS N/A 3132L92Z7 40321.210000 PA USD 39279.670000 0.0003254 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 4169 N/A 3137B02S2 2547213.000000 PA USD 2473114.830000 0.0204851 Long ABS-MBS USGSE US N 2 2028-02-15 Fixed 1.5 N N N N N N FANNIE MAE REMICS 2015-50 N/A 3136APNG3 12439489.860000 PA USD 744426.340000 0.0061662 Long ABS-MBS USGSE US N 2 2045-07-25 Floating 2.05312 N N N N N N OSCAR US FUNDING XVII LLC 2024-2A N/A 68784BAC8 2200000.000000 PA USD 2200463.320000 0.0182267 Long ABS-O CORP US N 2 2029-03-12 Fixed 4.47 N N N N N N FREDDIE MAC REMICS 5159 N/A 3137H3RQ7 22061011.720000 PA USD 3683227.100000 0.0305087 Long ABS-MBS USGSE US N 2 2044-03-25 Fixed 3.5 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 3831981.040000 PA 4514697.950000 0.0373958 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 2.979 N N N N N N FREDDIE MAC REMICS 5481 N/A 3137HHQF1 8108602.600000 PA USD 8110426.220000 0.0671797 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.45517 N N N N N N FEDERAL HOME LOAN MTGE 5199 N/A 3137H6AU9 8667420.200000 PA USD 846975.970000 0.0070156 Long ABS-MBS USGSE US N 2 2047-08-15 Floating 2.34718 N N N N N N FNMA PASS THRU POOLS N/A 31418EHF0 88498.600000 PA USD 85445.320000 0.0007078 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-25 N/A 12667TAA3 1640984.710000 PA USD 1544731.930000 0.0127952 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.71368 N N N N N N BCP TRUST 2021-330N N/A 05553BAL9 12750000.000000 PA USD 3770609.780000 0.0312325 Long ABS-MBS CORP US N 2 2038-06-15 Floating 6.91848 N N N N N N FANNIE MAE REMICS 2018-27 N/A 3136B1L69 1803703.380000 PA USD 222992.930000 0.0018471 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 1.78035 N N N N N N FNMA PASS THRU POOLS N/A 3140AMHT1 3199206.490000 PA USD 3289072.740000 0.0272438 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-157 N/A 38379FCF4 350723.570000 PA USD 361078.510000 0.0029909 Long ABS-MBS USGSE US N 2 2045-10-20 Floating 3.83382 N N N N N N N/A N/A 000000000 149500000.000000 NC USD 126207.900000 0.0010454 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% JUL 30YR N/A 98.440000 USD 2025-07-07 XXXX -340979.600000 N N N N/A N/A 000000000 212000000.000000 NC USD 130019.600000 0.001077 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% SEP 30YR N/A 99.160000 USD 2025-09-08 XXXX -110136.650000 N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAB4 2745678.780000 PA USD 2760197.380000 0.0228631 Long ABS-O CORP US N 2 2059-06-25 Fixed 5.88 N N N N N N DROP MORTGAGE TRUST 2021-FILE N/A 26210YAJ5 7200000.000000 PA USD 6570249.840000 0.0544222 Long ABS-MBS CORP US N 2 2043-10-15 Floating 6.67648 N N N N N N FHLMC PASS THRU POOLS N/A 3133B6UH1 4980864.180000 PA USD 4324982.240000 0.0358244 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3 N N N N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM3 N/A 61776UAA5 11395572.720000 PA USD 11345192.890000 0.0939737 Long ABS-MBS CORP US N 2 2069-07-25 Variable 5.044 N N N N N N STRUCTURED ASSET SECURITIES CRP 2003-26A N/A 86359AS95 24545.890000 PA USD 23810.920000 0.0001972 Long ABS-MBS CORP US N 2 2033-09-25 Floating 5.66211 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYE5 480473.820000 PA USD 370168.470000 0.0030662 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.90657 N N N N N N GNMA PASS THRU POOLS N/A 3620AGBG9 30073.520000 PA USD 29151.880000 0.0002415 Long ABS-MBS USGSE US N 2 2041-12-20 Fixed 4.5 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL1 N/A 69392FAA5 1908501.720000 PA USD 1849322.330000 0.0153182 Long ABS-MBS CORP US N 2 2069-07-25 Fixed 4 N N N N N N BANK OF AMERICA MTGE SECURITIES 2005-C N/A 05949AY79 887429.620000 PA USD 878850.480000 0.0072796 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.9003 N N N N N N FANNIE MAE INTEREST STRIP 418 N/A 31395Q3P3 22960459.220000 PA USD 3423713.520000 0.0283591 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 21H052678 60000000.000000 PA USD 60097487.400000 0.497795 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 5.5 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 2074262.640000 PA USD 1584664.060000 0.013126 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.75368 N N N N N N FANNIE MAE REMICS 2020-63 N/A 3136BBA36 11141524.210000 PA USD 1907583.810000 0.0158008 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 3 N N N N N N ARROWMARK COLORADO HOLDINGS 2018-3A N/A 28623VAQ2 2200000.000000 PA USD 2204570.210000 0.0182607 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 5.88177 N N N N N N PRPM 2024-RCF5 LLC N/A 69381JAA0 799999.710000 PA USD 784351.640000 0.0064969 Long ABS-MBS CORP US N 2 2054-08-25 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140XPA41 944661.000000 PA USD 895978.540000 0.0074215 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FREDDIE MAC STRIPS 414 N/A 3142G9U81 23831901.910000 PA USD 3541864.140000 0.0293377 Long ABS-MBS USGSE US N 2 2052-07-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2021-3 N/A 3136BDYC6 14416347.670000 PA USD 2508104.270000 0.020775 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QPSU2 10862022.410000 PA USD 10417560.620000 0.08629 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-7 N/A 38378CMZ7 692446.510000 PA USD 585860.430000 0.0048528 Long ABS-MBS USGSE US N 2 2041-05-20 None 0 N N N N N N FANNIE MAE REMICS 2016-14 N/A 3136ARNQ7 393340.520000 PA USD 49151.480000 0.0004071 Long ABS-MBS USGSE US N 2 2046-03-25 Fixed 3 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-4 N/A 05949ADG2 12547.580000 PA USD 12197.580000 0.000101 Long ABS-MBS CORP US N 2 2034-05-25 Floating 6.47972 N N N N N N WAMU COMMERCIAL MORTGAGE SECURITIES TRUST 2007-SL2 N/A 933632AH4 6956595.230000 PA USD 6966173.070000 0.0577017 Long ABS-MBS CORP US N 2 2049-12-27 Variable 6.94876 N N N N N N FREDDIE MAC REMICS 5000 N/A 3137FVH39 16516406.670000 PA USD 2826099.220000 0.023409 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140XQEQ6 27851358.710000 PA USD 28738080.520000 0.238041 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB N/A 02150EAN3 1622938.500000 PA USD 809691.650000 0.0067068 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N FREDDIE MAC REMICS 4010 N/A 3137AMUM7 4892812.240000 PA USD 868442.860000 0.0071934 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JB5N2 24977241.470000 PA USD 25056381.860000 0.207545 Long ABS-MBS USGSE US N 2 2028-02-01 Variable 4.37396 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20 N/A 38383KDE9 28428821.530000 PA USD 28572603.140000 0.236671 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 5.20185 N N N N N N FREDDIE MAC REMICS 5070 N/A 3137F9VX6 37055748.870000 PA USD 7101630.510000 0.0588237 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4326 N/A 3137BABQ4 9176648.010000 PA USD 7148120.600000 0.0592088 Long ABS-MBS USGSE US N 2 2054-04-15 Fixed 3.5 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNNH4 247549.590000 PA 287123.950000 0.0023783 Long ABS-CBDO CORP IE N 2 2031-01-15 Fixed 1.05 N N N N N N BAIN CAPITAL CREDIT CLO 2021-3 LTD N/A 05683NAJ1 11600000.000000 PA USD 11552137.820000 0.0956879 Long ABS-CBDO CORP KY N 2 2034-07-24 Floating 5.33518 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB N/A 021468AC7 1346806.120000 PA USD 157165.810000 0.0013018 Long ABS-O CORP US N 2 2036-06-25 Floating 1.16632 N N N N N N FHLMC PASS THRU POOLS N/A 3133W6EF0 582854.550000 PA USD 604688.650000 0.0050087 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QGEG8 43865235.070000 PA USD 38836339.850000 0.321686 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 3 N N N N N N PIKES PEAK CLO 2019-4A N/A 72132WAN9 8300000.000000 PA USD 8306125.650000 0.0688007 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.4661 N N N N N N FNMA PASS THRU POOLS N/A 31418FH26 81991819.680000 PA USD 84730184.930000 0.701831 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6.5 N N N N N N FANNIE MAE REMICS 2021-27 N/A 3136BHAY5 13995785.190000 PA USD 2630775.150000 0.0217911 Long ABS-MBS USGSE US N 2 2051-05-25 Fixed 3.5 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL4 N/A 74143RAA1 7937423.850000 PA USD 7955799.780000 0.0658989 Long ABS-MBS CORP US N 2 2054-07-25 Fixed 6.9961 N N N N N N FANNIE MAE INTEREST STRIP 440 N/A 31424U7Q3 79602862.950000 PA USD 12441802.500000 0.103057 Long ABS-MBS USGSE US N 2 2052-08-25 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140F3VB1 4827.720000 PA USD 4563.260000 0.0000378 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAA6 2096003.440000 PA USD 2097882.930000 0.017377 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.15 N N N N N N PRPM 2024-NQM2 TRUST N/A 74448PAA7 4368920.510000 PA USD 4450320.490000 0.0368626 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.327 N N N N N N FNMA PASS THRU POOLS N/A 3140XPX79 3200812.570000 PA USD 3082466.370000 0.0255325 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4 N N N N N N LEHMAN XS TRUST 2007-1 N/A 525241AC9 3417233.360000 PA USD 3310259.950000 0.0274193 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.67368 N N N N N N FNMA PASS THRU POOLS N/A 3140FTN64 1549380.420000 PA USD 1531120.060000 0.0126825 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 4 N N N N N N N/A N/A 000000000 32600000.000000 NC USD 2103531.300000 0.0174238 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.47000 06/06/35-10Y LCH 2045-06-06 0.000000 USD 0.000000 USD N/A USD N/A 4.470000 USD 2035-06-04 XXXX -819058.700000 N N N CSMC 2021-ADV TRUST N/A 12660WAJ4 5000000.000000 PA USD 2586603.000000 0.0214252 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.72648 N N N N N N GPMT LLC 2021-FL3 N/A 36264BAC4 15000000.000000 PA USD 14407976.250000 0.119343 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 6.27908 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-58 N/A 38382RFP8 3405182.850000 PA USD 99103.080000 0.0008209 Long ABS-MBS USGSE US N 2 2050-09-20 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2016-52 N/A 3136AS6K7 3897857.720000 PA USD 588169.970000 0.0048719 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 4 N N N N N N J.P. MORGAN MORTGAGE TRUST 2023-DSC2 N/A 46657BAA2 1180255.490000 PA USD 1180288.660000 0.0097765 Long ABS-MBS CORP US N 2 2063-11-25 Variable 5.25 N N N N N N FHLMC PASS THRU POOLS N/A 3133AMBZ8 1331540.040000 PA USD 1167629.830000 0.0096716 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N JAMESTOWN CLO XVI LTD 2021-16A N/A 47048RAL9 21200000.000000 PA USD 21139102.150000 0.175098 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 5.40177 N N N N N N FANNIE MAE REMICS 2022-78 N/A 3136BPHH7 82469674.940000 PA USD 81800763.410000 0.677566 Long ABS-MBS USGSE US N 2 2052-11-25 Floating 5.55517 N N N N N N COUNTRYWIDE HOME LOANS 2004-J4 N/A 12669FUM3 165079.630000 PA USD 158869.680000 0.0013159 Long ABS-MBS CORP US N 2 2034-05-01 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07 N/A 38383KVE9 3621025.500000 PA USD 3616373.210000 0.0299549 Long ABS-MBS USGSE US N 2 2074-02-20 Floating 4.95185 N N N N N N FNMA PASS THRU POOLS N/A 3140AXHE0 4917178.730000 PA USD 4973165.480000 0.0411934 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WHNV0 96028.920000 PA USD 91036.370000 0.0007541 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 5273 N/A 3137H9FR5 50992896.550000 PA USD 50919849.230000 0.421776 Long ABS-MBS USGSE US N 2 2052-11-25 Floating 5.55517 N N N N N N FREDDIE MAC REMICS 4119 N/A 3137AUUR8 1628017.500000 PA USD 1525779.790000 0.0126382 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 1.75 N N N N N N FHLMC PASS THRU POOLS N/A 31425UTG0 753114.540000 PA USD 781498.710000 0.0064733 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140B5XY8 2788205.200000 PA USD 2870147.930000 0.0237738 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140NW2Q7 10022000.000000 PA USD 10096401.120000 0.0836298 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H03 N/A 38381RDA4 1080068.270000 PA USD 1092462.050000 0.009049 Long ABS-MBS USGSE US N 2 2069-02-20 Floating 5.29754 N N N N N N FNMA PASS THRU POOLS N/A 3140FXM33 27803089.330000 PA USD 23978685.420000 0.198619 Long ABS-MBS USGSE US N 2 2059-04-01 Fixed 3 N N N N N N BX TRUST 2021-BXMF N/A 05609RAJ3 1212038.940000 PA USD 1211050.640000 0.0100313 Long ABS-MBS CORP US N 2 2026-10-15 Floating 5.61775 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-113 N/A 38380X3A3 53693.060000 PA USD 52795.040000 0.0004373 Long ABS-MBS USGSE US N 2 2042-09-20 None 0 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS12 N/A 761118DV7 479683.970000 PA USD 386043.090000 0.0031976 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.78368 N N N N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01 N/A 3137G1BL0 1701035.880000 PA USD 1500003.210000 0.0124247 Long ABS-MBS MUN US N 2 2046-12-25 Fixed 3.5 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 295501.920000 PA USD 242223.310000 0.0020064 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.87368 N N N N N N FREDDIE MAC REMICS 42314 N/A 3137B9ES0 370251.680000 PA USD 66565.220000 0.0005514 Long ABS-MBS USGSE US N 2 2044-03-15 Fixed 6 N N N N N N FHF TRUST 2022-1A N/A 30327CAC0 8000000.000000 PA USD 8000548.800000 0.0662696 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.39 N N N N N N FANNIE MAE REMICS 2023-39 N/A 3136BQFV6 280481707.970000 PA USD 35859642.460000 0.29703 Long ABS-MBS USGSE US N 2 2052-07-25 Fixed 2 N N N N N N BANC OF AMERICA FUND CORP 2006-5 N/A 05950NBC1 11711.180000 PA USD 11783.650000 0.0000976 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAE4 3900000.000000 PA USD 3925292.670000 0.0325137 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.26 N N N N N N FANNIE MAE REMICS 2012-138 N/A 3136AAFB6 1142189.570000 PA USD 24079.530000 0.0001995 Long ABS-MBS USGSE US N 2 2027-12-25 Fixed 3 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N3 N/A 14687WAD2 19760000.000000 PA USD 19791778.030000 0.163938 Long ABS-O CORP US N 2 2030-12-10 Fixed 4.67 N N N N N N FHLMC PASS THRU POOLS N/A 31339SR56 296576.700000 PA USD 270789.870000 0.002243 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132WMPB4 882477.600000 PA USD 811212.910000 0.0067194 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2010-49 N/A 31398P5R6 58957.900000 PA USD 57518.930000 0.0004764 Long ABS-MBS USGSE US N 2 2040-03-25 Floating 3.8207 N N N N N N N/A N/A 000000000 173000000.000000 NC USD 2880934.400000 0.0238632 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.31250 06/10/26-7Y LCH 2033-06-10 0.000000 USD 0.000000 USD N/A USD N/A 3.310000 USD 2026-06-08 XXXX -672053.100000 N N N FREDDIE MAC REMICS 5470 N/A 3137HHCK5 72876405.100000 PA USD 72380364.560000 0.599536 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.40517 N N N N N N FNMA PASS THRU POOLS N/A 31418C3A0 11041839.200000 PA USD 10869326.910000 0.0900321 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140XBKR0 6836901.310000 PA USD 6228343.800000 0.0515902 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.5 N N N N N N FANNIE MAE 2010-141 N/A 31398SXH1 31016.990000 PA USD 30207.840000 0.0002502 Long ABS-MBS USGSE US N 2 2040-12-25 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-115 N/A 38381YVM3 5649294.560000 PA USD 748973.300000 0.0062038 Long ABS-MBS USGSE US N 2 2049-09-20 Floating 1.61794 N N N N N N OBX 2023-NQM7 TRUST N/A 67117XAA4 3330119.460000 PA USD 3374639.830000 0.0279526 Long ABS-MBS CORP US N 2 2063-04-25 Fixed 6.844 N N N N N N AEGIS ASSET BACKED SECURITIES TRUST 2005-2 N/A 00764MFE2 15500000.000000 PA USD 12006447.250000 0.099451 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.37868 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAB0 1327560.570000 PA USD 1329830.300000 0.0110152 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.25 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QH4 N/A 74922TAA4 2800729.630000 PA USD 2605435.870000 0.0215812 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.81368 N N N N N N FIRST FRANKLIN MORTGAGE LOAN TRUS 2006-FF3 N/A 362334AW4 5500000.000000 PA USD 5213261.900000 0.0431821 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.00368 N N N N N N FREDDIE MAC REMICS 5167 N/A 3137H3M33 14385697.280000 PA USD 1956556.970000 0.0162064 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 5458 N/A 3137HFYB5 37695912.610000 PA USD 3680975.710000 0.03049 Long ABS-MBS USGSE US N 2 2054-10-25 Floating 1.69483 N N N N N N APIDOS CLO XI 2012-11A N/A 03763YBY1 2400000.000000 PA USD 2399163.190000 0.0198726 Long ABS-CBDO CORP KY N 2 2034-04-17 Floating 5.51979 N N N N N N FNMA PASS THRU POOLS N/A 3140QED66 23501808.290000 PA USD 20424493.730000 0.169179 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-1 N/A 3136AQG46 1954284.000000 PA USD 218012.110000 0.0018058 Long ABS-MBS USGSE US N 2 2046-02-25 Floating 1.73035 N N N N N N N/A N/A 000000000 1.000000 NC USD -16599.010000 -0.0001375 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 2800000.000000 USD -16599.010000 N N N FREDDIE MAC REMICS 5122 N/A 3137H1AT3 32485894.480000 PA USD 6558245.880000 0.0543228 Long ABS-MBS USGSE US N 2 2051-07-25 Fixed 3.5 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P1 N/A 14688EAC3 2059396.250000 PA USD 2069046.790000 0.0171382 Long ABS-O CORP US N 2 2027-12-10 Fixed 5.98 N N N N N N GNMA PASS THRU POOLS N/A 36202FJQ0 1288841.590000 PA USD 1279543.510000 0.0105986 Long ABS-MBS USGSE US N 2 2040-08-20 Fixed 4.5 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 3448086.840000 PA USD 3461572.650000 0.0286727 Long ABS-O CORP US N 2 2030-09-25 Fixed 5.32 N N N N N N UMBS PASS THRU POOLS N/A 01F032682 -56710000.000000 PA USD -51048432.010000 -0.422841 Short ABS-MBS USGSE US N 2 2054-08-15 Fixed 3.5 N N N N N N ANCHORAGE CREDIT FUNDING 7 LTD 2019-7A N/A 03331FAA8 1770587.480000 PA USD 1758613.240000 0.0145668 Long ABS-CBDO CORP KY N 2 2037-04-25 Fixed 4.62 N N N N N N N/A N/A 000000000 1823.000000 NC USD 2093499.370000 0.0173407 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-09-30 198742605.010000 USD 2093499.370000 N N N GNMA PASS THRU POOLS N/A 36195T3P8 710637.720000 PA USD 655590.290000 0.0054303 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2015-87 N/A 3136AQWR7 211527.270000 PA USD 20986.680000 0.0001738 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 3 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6FG3 2800000.000000 PA 3117859.100000 0.0258256 Long ABS-CBDO CORP IE N 2 2034-04-24 Fixed 1.6 N N N N N N FREDDIE MAC REMICS 4153 N/A 3137AXQZ9 3174512.000000 PA USD 3076482.750000 0.0254829 Long ABS-MBS USGSE US N 2 2028-01-15 Fixed 1.25 N N N N N N LENDBUZZ SECURITIZATION TRUST 2024-3A N/A 52609YAB7 4678441.610000 PA USD 4684718.210000 0.0388041 Long ABS-O CORP US N 2 2029-10-15 Fixed 4.97 N N N N N N FANNIE MAE REMICS 2016-50 N/A 3136ATDT8 2755256.790000 PA USD 620595.420000 0.0051405 Long ABS-MBS USGSE US N 2 2046-08-25 Fixed 3 N N N N N N N/A N/A 000000000 146000000.000000 NC USD 9533.800000 0.000079 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% AUG 30YR N/A 98.560000 USD 2025-08-06 XXXX -190075.580000 N N N FNMA PASS THRU POOLS N/A 3140AMGW5 557361.810000 PA USD 549672.100000 0.004553 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F020489 -32500000.000000 PA USD -29715953.150000 -0.246141 Short ABS-MBS USGSE US N 2 2039-08-15 Fixed 2 N N N N N N N/A N/A 000000000 166800000.000000 NC USD 106701.960000 0.0008838 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 02/03/26-10Y LCH 2036-02-03 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2026-01-30 XXXX -593858.040000 N N N FANNIE MAE 2008-41 N/A 31397LLL1 564475.660000 PA USD 67591.220000 0.0005599 Long ABS-MBS USGSE US N 2 2036-11-25 Floating 2.38035 N N N N N N FHLMC PASS THRU POOLS N/A 3132H3K51 158232.700000 PA USD 152363.280000 0.001262 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4 N N N N N N N/A N/A 000000000 391000000.000000 NC USD 195.500000 0.0000016 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 10/21/25-1Y LCH 2026-10-21 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-10-17 XXXX -766164.500000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H10 N/A 38382Y4C4 33621841.630000 PA USD 33060457.740000 0.273844 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 4.80185 N N N N N N PRPM 2024-NQM3 TRUST N/A 69381FAA8 3919578.940000 PA USD 3914000.990000 0.0324202 Long ABS-MBS CORP US N 2 2069-08-25 Fixed 5.228 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC2 N/A 61744CNV4 6057598.050000 PA USD 4945557.530000 0.0409647 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.40868 N N N N N N ANGEL OAK MORTGAGE TRUST 2024-2 N/A 034942AA0 779811.170000 PA USD 783859.640000 0.0064928 Long ABS-MBS CORP US N 2 2069-01-25 Fixed 5.985 N N N N N N N/A N/A 000000000 1.000000 NC USD 1588236.780000 0.0131556 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-04-26 2479278.330000 USD 0.000000 USD 112100000.000000 USD -891041.550000 N N N DRIVE AUTO RECEIVABLES TRUST 2024-2 N/A 26207AAF0 20000000.000000 PA USD 20038976.000000 0.165986 Long ABS-O CORP US N 2 2032-05-17 Fixed 4.67 N N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 3672016.890000 PA USD 3614798.050000 0.0299418 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.85368 N N N N N N TOWD POINT MORTGAGE TRUST 2017-1 N/A 89173FAD2 6020000.000000 PA USD 5799531.950000 0.0480383 Long ABS-MBS CORP US N 2 2056-10-25 Variable 3.75 N N N N N N RBSSP RESECURITIZATION TRUST 2009-12 N/A 74928UCD7 1932533.660000 PA USD 1835694.780000 0.0152053 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.74262 N N N N N N FANNIE MAE REMICS 2014-38 N/A 3136AKPN7 365599.200000 PA USD 50809.440000 0.0004209 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 4 N N N N N N FANNIE MAE 2011-98 N/A 3136A1GP4 40699.190000 PA USD 231.770000 0.0000019 Long ABS-MBS USGSE US N 2 2026-10-25 Floating 2.28035 N N N N N N N/A N/A 000000000 148000000.000000 NC USD 59.200000 0.0000005 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% JUL 30YR N/A 97.350000 USD 2025-07-07 XXXX -254315.800000 N N N OPEN TRUST 2023-AIR N/A 68373BAA9 5919405.030000 PA USD 5934545.680000 0.0491566 Long ABS-MBS CORP US N 2 2040-11-15 Floating 7.40085 N N N N N N 37 CAPITAL CLO 4 LTD 2023-2A N/A 883932AN5 2100000.000000 PA USD 2093416.250000 0.01734 Long ABS-CBDO CORP KY N 2 2035-04-15 Floating 5.3461 N N N N N N FREDDIE MAC REMICS 4776 N/A 3137F4RD6 1583278.100000 PA USD 221147.540000 0.0018318 Long ABS-MBS USGSE US N 2 2048-03-15 Floating 1.78167 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-D N/A 22411JAA3 4443110.410000 PA USD 4446383.210000 0.03683 Long ABS-O CORP US N 2 2028-06-15 Fixed 4.91 N N N N N N FHLMC PASS THRU POOLS N/A 3133ALUM8 639971.880000 PA USD 559544.290000 0.0046348 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133CVAD6 5866728.000000 PA USD 5933520.580000 0.0491481 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05 N/A 38382YW82 9984370.420000 PA USD 10013241.230000 0.082941 Long ABS-MBS USGSE US N 2 2073-01-20 Floating 5.10185 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-C N/A 83206EAA5 12928088.640000 PA USD 13251032.290000 0.10976 Long ABS-O CORP US N 2 2052-06-17 Fixed 5.5 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2017-ASHF N/A 61691KAJ0 4000000.000000 PA USD 3863287.200000 0.0320001 Long ABS-MBS CORP US N 2 2034-11-15 Floating 6.009 N N N N N N FREDDIE MAC 3117 N/A 31396HVU0 30659.050000 PA USD 26743.620000 0.0002215 Long ABS-MBS USGSE US N 2 2036-02-15 None 0 N N N N N N FANNIE MAE REMICS 2020-89 N/A 3136BCL40 11618943.330000 PA USD 2002495.840000 0.0165869 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 31425VYY3 1232440.490000 PA USD 1236929.940000 0.0102457 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36179XS80 18291980.170000 PA USD 16227513.450000 0.134415 Long ABS-MBS USGSE US N 2 2053-02-20 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-83 N/A 3136AUDP3 884252.610000 PA USD 78915.390000 0.0006537 Long ABS-MBS USGSE US N 2 2045-07-25 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -6446.750000 -0.0000534 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 3200000.000000 USD -6446.750000 N N N FNMA PASS THRU POOLS N/A 3140AEVL0 423365.460000 PA USD 438632.650000 0.0036333 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAF1 1450000.000000 PA USD 1464072.250000 0.0121271 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.55 N N N N N N FREDDIE MAC STRIPS 389 N/A 31325YRN0 101251342.790000 PA USD 13376607.510000 0.1108 Long ABS-MBS USGSE US N 2 2052-06-15 Fixed 2 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6CM3 2200000.000000 PA 2592557.050000 0.0214745 Long ABS-CBDO CORP IE N 2 2034-04-24 Floating 3.591 N N N N N N FREDDIE MAC REMICS 5155 N/A 3137H36X5 16649184.600000 PA USD 2463997.740000 0.0204096 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 2496704.700000 0.0206805 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-09-17 1117985.000000 USD 0.000000 USD 150500000.000000 USD 1378719.700000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H23 N/A 38376RB70 541424.300000 PA USD 542482.460000 0.0044935 Long ABS-MBS USGSE US N 2 2066-10-20 Floating 5.19602 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-DA N/A 63941HAA0 3970264.130000 PA USD 3763079.470000 0.0311701 Long ABS-O CORP US N 2 2069-05-15 Fixed 1.69 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXR5 131120.110000 PA USD 126596.240000 0.0010486 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140XBLQ1 2534283.500000 PA USD 2308968.540000 0.0191255 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XBHT0 29177602.810000 PA USD 25280009.610000 0.209398 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N PALMER SQUARE CLO 2022-1 LTD N/A 69689QAA3 10770000.000000 PA USD 10788935.060000 0.0893662 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 5.59238 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB N/A 021468AB9 1361058.040000 PA USD 562902.710000 0.0046626 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.83368 N N N N N N N/A N/A 000000000 -62000000.000000 NC USD -260586.000000 -0.0021585 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% SEP 30YR N/A 96.720000 USD 2025-09-08 XXXX -28086.000000 N N N FANNIE MAE REMICS 2016-64 N/A 3136ATUB8 2834970.450000 PA USD 327364.530000 0.0027116 Long ABS-MBS USGSE US N 2 2046-05-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36176PZ41 44608.010000 PA USD 44287.500000 0.0003668 Long ABS-MBS USGSE US N 2 2041-09-15 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-53 N/A 38380V7L9 4724218.920000 PA USD 4548493.570000 0.0376758 Long ABS-MBS USGSE US N 2 2048-04-20 Floating 1.81794 N N N N N N GNMA PASS THRU POOLS N/A 36241LVM5 6034339.800000 PA USD 5807223.840000 0.048102 Long ABS-MBS USGSE US N 2 2041-03-15 Fixed 4.5 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-12 N/A 41161PVF7 16925182.560000 PA USD 7994796.160000 0.0662219 Long ABS-MBS CORP US N 2 2035-10-19 Floating 6.39869 N N N N N N GOVERNMENT NATIONAL MTG ASSOC 2022-45 N/A 38383MP77 2952439.910000 PA USD 1888502.210000 0.0156427 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3.5 N N N N N N ALTERNATIVE LOAN TRUST 2004-25CB N/A 12667FWJ0 2613166.410000 PA USD 2349908.190000 0.0194646 Long ABS-MBS CORP US N 2 2034-12-25 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-63 N/A 38383RAC1 4399487.630000 PA USD 2850789.230000 0.0236135 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3.5 N N N N N N VERUS SECURITIZATION TRUST 2024-R1 N/A 924926AA6 8339174.640000 PA USD 8341364.510000 0.0690926 Long ABS-MBS CORP US N 2 2069-09-25 Fixed 5.218 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-2 N/A 07401EAE9 1446842.420000 PA USD 1270172.980000 0.010521 Long ABS-MBS CORP US N 2 2046-12-25 Floating 6.39821 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H19 N/A 38383KCS9 72880993.370000 PA USD 73253983.720000 0.606772 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 5.20185 N N N N N N SAXON ASSET SECURITIES TRUST 2007-3 N/A 80557BAA2 906165.360000 PA USD 872479.930000 0.0072269 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.74368 N N N N N N FREDDIE MAC STRIPS 367 N/A 31325X3J7 12268629.010000 PA USD 2131369.910000 0.0176544 Long ABS-MBS USGSE US N 2 2050-06-15 Fixed 4 N N N N N N FANNIE MAE REMICS 2009-36 N/A 31397NQ24 665536.500000 PA USD 649122.710000 0.0053768 Long ABS-MBS USGSE US N 2 2039-05-25 Fixed 3.5 N N N N N N GSAA HOME EQUITY TRUST 2006-10 N/A 362375AC1 609741.760000 PA USD 136412.590000 0.0011299 Long ABS-MBS CORP US N 2 2036-06-25 Variable 5.98458 N N N N N N FANNIE MAE INTEREST STRIP FNS 427 N/A 31423XMY4 26344942.790000 PA USD 3434904.490000 0.0284518 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N PIKES PEAK CLO 2018-2A N/A 72133JAY3 7900000.000000 PA USD 7907538.260000 0.0654992 Long ABS-CBDO CORP KY N 2 2034-10-11 Floating 5.48947 N N N N N N FNMA PASS THRU POOLS N/A 3140QBCD8 1007054.080000 PA USD 951774.320000 0.0078837 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QTP37 48433967.710000 PA USD 49975991.420000 0.413958 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6 N N N N N N FREDDIE MAC REMICS 5062 N/A 3137F8U27 13655378.280000 PA USD 1626513.960000 0.0134726 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3138WDN31 726342.720000 PA USD 684120.690000 0.0056667 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 3.5 N N N N N N FREDDIE MAC-3151 N/A 31396NU46 68495.680000 PA USD 57917.280000 0.0004797 Long ABS-MBS USGSE US N 2 2036-05-15 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31418ACE6 7061.520000 PA USD 7100.800000 0.0000588 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EZH5 2502.600000 PA USD 2621.630000 0.0000217 Long ABS-MBS USGSE US N 2 2039-01-20 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138WK2J3 1108054.450000 PA USD 1093681.340000 0.0090591 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 4 N N N N N N JP MORGAN RESECURITIZATION TRUST SERIES 2009-9 2009-9 N/A 46633XAB1 2971692.730000 PA USD 2277501.740000 0.0188648 Long ABS-MBS CORP US N 2 2036-09-26 Fixed 6 N N N N N N FANNIE MAE REMICS 2014-73 N/A 3136ALMS7 9442268.840000 PA USD 1071215.010000 0.008873 Long ABS-MBS USGSE US N 2 2044-11-25 Floating 1.63035 N N N N N N FREDDIE MAC REMICS 4255 N/A 3137B5HZ9 209985.540000 PA USD 207947.230000 0.0017225 Long ABS-MBS USGSE US N 2 2035-05-15 Floating 0.461253 N N N N N N FREDDIE MAC REMICS 5485 N/A 3137HHLA7 4616657.200000 PA USD 4618827.950000 0.0382584 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.50517 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282R0 21700000.000000 PA USD 21052390.630000 0.17438 Long DBT UST US N 2 2027-08-15 Fixed 2.25 N N N N N N FREDDIE MAC REMICS 4463 N/A 3137BHGF8 314983.480000 PA USD 17579.920000 0.0001456 Long ABS-MBS USGSE US N 2 2038-02-15 Floating 2.20557 N N N N N N FANNIE MAE REMICS 2024-88 N/A 3136BT6B4 5306664.420000 PA USD 5320210.210000 0.044068 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.50517 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-4 N/A 36271BAC5 7372003.960000 PA USD 7369649.340000 0.0610438 Long ABS-O CORP US N 2 2029-12-17 Fixed 4.43 N N N N N N FHLMC PASS THRU POOLS N/A 3132DTG46 58266.790000 PA USD 61472.110000 0.0005092 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36195EF37 935869.750000 PA USD 863370.940000 0.0071514 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4194 N/A 3137B1JU7 361284.890000 PA USD 247741.650000 0.0020521 Long ABS-MBS USGSE US N 2 2043-04-15 Floating 0 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 N/A 93934FJQ6 174591.060000 PA USD 144604.050000 0.0011978 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.93368 N N N N N N GNMA PASS THRU POOLS N/A 36179TSF3 5997419.740000 PA USD 5383197.900000 0.0445897 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3 N N N N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1 N/A 004421WQ2 202760.000000 PA USD 201496.540000 0.001669 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.03368 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAB4 3937000.000000 PA USD 4020267.160000 0.0333004 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.35 N N N N N N FNMA PASS THRU POOLS N/A 3140ATJW7 1069781.270000 PA USD 1100835.260000 0.0091184 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 6 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAN5 567.310000 PA USD 570.300000 0.0000047 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.81279 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6 N/A 36272QAH0 56271.540000 PA USD 55204.650000 0.0004573 Long ABS-MBS CORP US N 2 2064-01-25 Fixed 0 N N N N N N BX TRUST 2021-BXMF N/A 05609RAL8 3232103.830000 PA USD 3234037.920000 0.026788 Long ABS-MBS CORP US N 2 2026-10-15 Floating 6.25654 N N N N N N PRPM 2024-RCF3 LLC N/A 74390BAA6 761227.480000 PA USD 747452.230000 0.0061912 Long ABS-MBS CORP US N 2 2054-05-25 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133CRBN2 3695653.950000 PA USD 3788851.650000 0.0313836 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140LKP31 2141218.840000 PA USD 2170382.560000 0.0179776 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 4.74 N N N N N N JP MORGAN MORTGAGE TRUST SERIES 2024-CES2 N/A 000000000 118685916.000000 PA USD 128725433.010000 1.06625 Long ABS-MBS CORP US N 3 2055-07-01 Fixed 9 N N N N N N PRPM 2024-RCF1 LLC N/A 693581AA8 811508.040000 PA USD 796413.180000 0.0065968 Long ABS-MBS CORP US N 2 2054-01-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2013-10 N/A 3136ACBR1 446641.060000 PA USD 21778.220000 0.0001804 Long ABS-MBS USGSE US N 2 2042-01-25 Fixed 3.5 N N N N N N FANNIE MAE INTEREST STRIP 418 N/A 31395Q3F5 12313588.280000 PA USD 2139735.190000 0.0177237 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EP46 22446069.930000 PA USD 22877608.640000 0.189498 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3129882X5 363482.910000 PA USD 361445.170000 0.0029939 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2021-4 N/A 3136BDD39 18164427.260000 PA USD 2754987.780000 0.0228199 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 5003 N/A 3137FVJG8 5836491.820000 PA USD 792940.530000 0.006568 Long ABS-MBS USGSE US N 2 2050-08-25 Floating 1.68035 N N N N N N FREDDIE MAC REMICS 4325 N/A 3137B9UG8 658405.420000 PA USD 47587.370000 0.0003942 Long ABS-MBS USGSE US N 2 2044-02-15 Floating 1.68167 N N N N N N FREDDIE MAC STACR REMIC TRUST 2021-DNA5 N/A 35564KHE2 758264.200000 PA USD 761772.690000 0.0063099 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 5.95517 N N N N N N WELLS FARGO MTGE BACKED SEC 2007-7 N/A 94985JBU3 7845.410000 PA USD 6851.150000 0.0000567 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.93368 N N N N N N COUNTRYWIDE ALT LOAN TR 2004-2CB N/A 12667FAQ8 2621576.710000 PA USD 2687056.880000 0.0222572 Long ABS-MBS CORP US N 2 2034-03-25 Fixed 5.75 N N N N N N ANCHORAGE CREDIT FUNDING LTD. 2020-11A N/A 03330KAA8 25300000.000000 PA USD 24650825.530000 0.204186 Long ABS-CBDO CORP KY N 2 2038-04-25 Fixed 3.4 N N N N N N FREDDIE MAC-2962 N/A 31395TQ56 40096.820000 PA USD 393.370000 0.0000033 Long ABS-MBS USGSE US N 2 2035-03-15 Floating 2.23167 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-4 N/A 073882AC6 119548.540000 PA USD 105356.160000 0.0008727 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.3367 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2014-A N/A 784456AE5 11375786.440000 PA USD 11220718.540000 0.0929427 Long ABS-O CORP US N 2 2042-09-15 Fixed 4 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-MC N/A 05608GAE9 2900000.000000 PA USD 2801490.480000 0.0232051 Long ABS-MBS CORP US N 2 2034-04-15 Floating 5.62648 N N N N N N FANNIE MAE REMICS 2010-103 N/A 31398TW56 36486.090000 PA USD 488.700000 0.000004 Long ABS-MBS USGSE US N 2 2040-08-25 Floating 2.28035 N N N N N N FNMA PASS THRU POOLS N/A 3140B7DW0 6999305.740000 PA USD 7233068.760000 0.0599125 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.5 N N N N N N N/A N/A 000000000 396100000.000000 NC USD 23845.220000 0.0001975 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/12/25-10Y LCH 2035-09-12 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-10 XXXX -1073354.780000 N N N FNMA PASS THRU POOLS N/A 3140XPVC0 1985326.550000 PA USD 2094541.690000 0.0173494 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 7 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-70 N/A 38378TNC0 476175.590000 PA USD 69562.250000 0.0005762 Long ABS-MBS USGSE US N 2 2043-05-20 Fixed 4.5 N N N N N N BEAR STEARNS ALT-A TR 2005-3 N/A 07386HRX1 9368.700000 PA USD 8680.800000 0.0000719 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.4667 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 3642433.650000 PA 4283827.490000 0.0354835 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.059 N N N N N N N/A N/A 000000000 -93000000.000000 NC USD -158.100000 -0.0000013 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.98400 07/09/25-7Y LCH 2032-07-09 0.000000 USD 0.000000 USD N/A USD N/A 3.980000 USD 2025-07-07 XXXX 230016.900000 N N N FREDDIE MAC REMICS 3292 N/A 31397FRP9 330560.410000 PA USD 31203.750000 0.0002585 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 2.33167 N N N N N N FHLMC PASS THRU POOLS N/A 3132XXQF9 2028472.510000 PA USD 1922784.100000 0.0159267 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N N/A N/A 000000000 -130000000.000000 NC USD -13273.000000 -0.0001099 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% JUL 30YR N/A 91.440000 USD 2025-07-07 XXXX 692586.380000 N N N FREDDIE MAC REMICS 4088 N/A 3137ASRC0 1748247.290000 PA USD 1689799.540000 0.0139968 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QCBM7 1581737.890000 PA USD 1409926.390000 0.0116786 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2004-91 N/A 31394BYB4 25386.830000 PA USD 26404.750000 0.0002187 Long ABS-MBS USGSE US N 2 2034-12-25 Fixed 5.5 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2024-6 N/A 161931AP5 7631585.030000 PA USD 7637589.560000 0.0632632 Long ABS-MBS CORP US N 2 2055-05-25 Floating 5.55517 N N N N N N FREDDIE MAC REMICS 4028 N/A 3137APDM9 106099.660000 PA USD 8882.940000 0.0000736 Long ABS-MBS USGSE US N 2 2032-02-15 Floating 2.23167 N N N N N N FNMA PASS THRU POOLS N/A 3138E6VD5 95032.310000 PA USD 91807.880000 0.0007605 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 4 N N N N N N VERUS SECURITIZATION TRUST 2024-4 N/A 92540GAA6 6642770.850000 PA USD 6719470.940000 0.0556583 Long ABS-MBS CORP US N 2 2069-06-25 Variable 6.218 N N N N N N ANGEL OAK MORTGAGE TRUST 2021-8 N/A 03465MAD5 15681000.000000 PA USD 11484055.620000 0.0951239 Long ABS-MBS CORP US N 2 2066-11-25 Variable 3.29 N N N N N N VMC FINANCE 2021-FL4 LLC N/A 91835RAE0 6899146.410000 PA USD 6828632.650000 0.0565625 Long ABS-MBS CORP US N 2 2036-06-16 Floating 6.22908 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-116 N/A 38379MZB3 738537.450000 PA USD 86774.900000 0.0007188 Long ABS-MBS USGSE US N 2 2044-10-16 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140LLGW5 1076625.420000 PA USD 1114615.340000 0.0092325 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.11 N N N N N N GCAT 2023-NQM4 TRUST N/A 36171FAA1 3772360.550000 PA USD 3587788.380000 0.0297181 Long ABS-MBS CORP US N 2 2067-05-25 Variable 4.25 N N N N N N FHLMC PASS THRU POOLS N/A 3133CYRM2 8902649.580000 PA USD 8990643.550000 0.0744707 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 5.5 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST 2022-R06 N/A 20754NAB1 952668.300000 PA USD 975259.490000 0.0080782 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 7.05517 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N2 N/A 14687VAC6 4400000.000000 PA USD 4431386.080000 0.0367058 Long ABS-O CORP US N 2 2028-07-10 Fixed 5.71 N N N N N N ANCHORAGE CREDIT FUNDING 2018-6A LTD N/A 03330LAA6 9109680.130000 PA USD 9032924.790000 0.0748209 Long ABS-CBDO CORP KY N 2 2036-07-25 Fixed 4.3 N N N N N N FREDDIE MAC REMICS 3607 N/A 31398LQS0 362520.530000 PA USD 308476.800000 0.0025552 Long ABS-MBS USGSE US N 2 2037-07-15 None 0 N N N N N N N/A N/A 000000000 -96000000.000000 NC USD -9.600000 -0.0000001 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.75000 07/09/25-7Y LCH 2032-07-09 0.000000 USD 0.000000 USD N/A USD N/A 2.750000 USD 2025-07-07 XXXX 491328.980000 N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAN7 8200000.000000 PA USD 6980471.400000 0.0578202 Long ABS-MBS CORP US N 2 2038-12-15 Floating 7.50294 N N N N N N FHLMC PASS THRU POOLS N/A 31426LPF5 3820893.100000 PA USD 3933180.090000 0.032579 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2021-C N/A 19424WAB3 4247933.510000 PA USD 3859462.960000 0.0319684 Long ABS-O CORP US N 2 2055-07-26 Fixed 2.32 N N N N N N FREDDIE MAC REMICS 4135 N/A 3137AWBC8 1216684.920000 PA USD 25230.520000 0.000209 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 2.5 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2 N/A 81376GAD2 20095255.070000 PA USD 14162711.760000 0.117312 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.75368 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A N/A 14311UBA5 28500000.000000 PA USD 28532866.770000 0.236342 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.35947 N N N N N N UMBS PASS THRU POOLS N/A 01F032476 16100000.000000 PA USD 15538562.250000 0.128708 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140EBZR5 270505.500000 PA USD 254547.530000 0.0021085 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4 N N N N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4 N/A 10806EAC8 6400000.000000 PA USD 6404398.720000 0.0530485 Long ABS-O CORP US N 2 2028-09-15 Fixed 4.72 N N N N N N FREDDIE MAC REMICS 4130 N/A 3137AVY43 1390135.330000 PA USD 26735.220000 0.0002215 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 2.5 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAG5 9200000.000000 PA USD 9062709.320000 0.0750676 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.82648 N N N N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01 N/A 3137G1BK2 1575305.100000 PA USD 1362042.340000 0.011282 Long ABS-MBS MUN US N 2 2046-12-25 Fixed 3 N N N N N N PAGAYA AI DEBT TRUST 2025-2 N/A 69545GAD3 7000000.000000 PA USD 7019286.400000 0.0581417 Long ABS-O CORP US N 2 2032-10-15 Fixed 5.639 N N N N N N FNMA PASS THRU POOLS N/A 3140AQ2K7 7999205.520000 PA USD 8267613.100000 0.0684817 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 4814817.380000 PA USD 3874111.840000 0.0320898 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.39746 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT2 N/A 83611MML9 8149373.600000 PA USD 7954020.890000 0.0658842 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.99368 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7 N/A 232422AE5 1629171.880000 PA USD 1604470.860000 0.01329 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.93368 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N3 N/A 14687WAE0 8558000.000000 PA USD 8588925.190000 0.0711432 Long ABS-O CORP US N 2 2030-12-10 Fixed 4.9 N N N N N N PARALLEL 2021-1 LTD N/A 69916HAL4 19600000.000000 PA USD 19568498.680000 0.162088 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.3661 N N N N N N FANNIE MAE REMICS 2014-68 N/A 3136ALSC6 144194.850000 PA USD 28093.040000 0.0002327 Long ABS-MBS USGSE US N 2 2044-11-25 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HSNN7 12198000.000000 PA USD 12099486.270000 0.100222 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 3.575 N N N N N N FNMA PASS THRU POOLS N/A 3140LKCN1 11208000.000000 PA USD 11130488.610000 0.0921953 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.385 N N N N N N FREDDIEMAC STRIP-409 N/A 3142G6NP7 22654147.750000 PA USD 4952688.970000 0.0410238 Long ABS-MBS USGSE US N 2 2053-11-25 Fixed 5 N N N N N N CSMC 2022-RPL4 N/A 12663TAA7 2867999.110000 PA USD 2730925.960000 0.0226206 Long ABS-MBS CORP US N 2 2062-04-25 Variable 3.90435 N N N N N N CONSECO FINANCE SECURITIZATION 2000-4 N/A 20846QDV7 19650449.930000 PA USD 2793384.160000 0.023138 Long ABS-O CORP US N 2 2032-05-01 Fixed 8.31 N N N N N N N/A N/A 000000000 169600000.000000 NC USD 9836.800000 0.0000815 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 08/26/25-10Y LCH 2035-08-26 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2025-08-22 XXXX -2093203.200000 N N N FANNIE MAE REMICS 2013-18 N/A 3136ACXB2 8723047.390000 PA USD 7208081.730000 0.0597055 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 0.09642 N N N N N N FANNIE MAE REMICS 2021-63 N/A 3136BGT50 9016145.080000 PA USD 1824774.900000 0.0151148 Long ABS-MBS USGSE US N 2 2050-04-25 Fixed 3.5 N N N N N N FANNIEMAE STRIP-436 N/A 31424UFR2 21797826.900000 PA USD 1487595.530000 0.0123219 Long ABS-MBS USGSE US N 2 2037-07-25 Fixed 2 N N N N N N CSMC 2021-ADV TRUST N/A 12660WAL9 10000000.000000 PA USD 3873206.000000 0.0320823 Long ABS-MBS CORP US N 2 2038-07-15 Floating 7.32648 N N N N N N FNMA PASS THRU POOLS N/A 3140LKTW3 3178796.010000 PA USD 3189263.210000 0.0264171 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4.53 N N N N N N FNMA PASS THRU POOLS N/A 3140LKTR4 12320000.000000 PA USD 12247573.800000 0.101448 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4.44 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H04 N/A 38380LRN5 261778.830000 PA USD 264196.510000 0.0021884 Long ABS-MBS USGSE US N 2 2069-03-20 Floating 5.16353 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMK6 3069818.870000 PA USD 3072074.360000 0.0254464 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 5.5 N N N N N N FANNIE MAE REMICS 2013-75 N/A 3136AFQG2 8342771.070000 PA USD 817342.120000 0.0067702 Long ABS-MBS USGSE US N 2 2043-02-25 Floating 1.83035 N N N N N N FANNIE MAE REMICS 2019-32 N/A 3136B4XA1 1956502.240000 PA USD 222298.570000 0.0018413 Long ABS-MBS USGSE US N 2 2049-06-25 Floating 1.63035 N N N N N N FREDDIE MAC REMICS 4143 N/A 3137AX7K3 2029924.470000 PA USD 1970126.950000 0.0163188 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 1.375 N N N N N N GNMA PASS THRU POOLS N/A 36202EVP1 2995.520000 PA USD 3137.950000 0.000026 Long ABS-MBS USGSE US N 2 2038-08-20 Fixed 6 N N N N N N PRET 2025-NPL4 LLC N/A 74136UAA3 14248176.860000 PA USD 14331495.920000 0.11871 Long ABS-MBS CORP US N 2 2055-04-25 Fixed 6.3677 N N N N N N FREDDIE MAC REMICS 5411 N/A 3137HCRW4 53478312.810000 PA USD 8587953.910000 0.0711351 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.5 N N N N N N ROMARK CREDIT FUNDING I LTD 2020-1A N/A 77588EAA5 11000000.000000 PA USD 10760702.590000 0.0891323 Long ABS-CBDO CORP KY N 2 2038-04-28 Fixed 3.572 N N N N N N FANNIE MAE REMICS 2019-36 N/A 3136B4P28 2497684.460000 PA USD 269790.630000 0.0022347 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 1.63035 N N N N N N FANNIE MAE REMICS 2021-46 N/A 3136BH3S6 4077253.470000 PA USD 695315.640000 0.0057594 Long ABS-MBS USGSE US N 2 2051-07-25 Fixed 3 N N N N N N FREDDIE MAC-3145 N/A 31396NCS3 34330.820000 PA USD 30009.510000 0.0002486 Long ABS-MBS USGSE US N 2 2036-04-15 None 0 N N N N N N N/A N/A 000000000 -912400000.000000 NC USD -91.240000 -0.0000008 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 09/04/25-1Y LCH 2026-09-04 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-09-02 XXXX 1049168.760000 N N N FANNIE MAE REMICS 2012-97 N/A 3136A73E0 222606.760000 PA USD 219940.350000 0.0018218 Long ABS-MBS USGSE US N 2 2041-10-25 Fixed 4 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL3 N/A 542514PS7 7340386.610000 PA USD 6924352.580000 0.0573553 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.13868 N N N N N N SYCAMORE TREE CLO 2023-2A LTD N/A 87122CAJ2 19900000.000000 PA USD 20128053.010000 0.166723 Long ABS-CBDO CORP KY N 2 2037-01-20 Floating 5.94947 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-4 N/A 026934AD1 5345304.310000 PA USD 4816126.130000 0.0398926 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.01368 N N N N N N FREDDIE MAC REMICS 5458 N/A 3137HFY66 48822192.240000 PA USD 3327940.320000 0.0275658 Long ABS-MBS USGSE US N 2 2054-09-25 Floating 0.99483 N N N N N N ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 N/A 31572LAD8 2200000.000000 PA USD 1548228.880000 0.0128242 Long ABS-MBS CORP US N 2 2066-06-25 Fixed 2.296 N N N N N N GNMA PASS THRU POOLS N/A 36179TXL4 214197.480000 PA USD 206722.900000 0.0017123 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4.5 N N N N N N PAGAYA AI DEBT TRUST 2023-3 N/A 69548BAC3 363690.760000 PA USD 366264.890000 0.0030338 Long ABS-O CORP US N 2 2030-12-16 Variable 9.5241 N N N N N N GNMA PASS THRU POOLS N/A 36202EXM6 8523.660000 PA USD 8579.450000 0.0000711 Long ABS-MBS USGSE US N 2 2038-11-20 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWL50 81991825.420000 PA USD 84743002.090000 0.701937 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N N/A N/A 000000000 456200000.000000 NC USD 91.240000 0.0000008 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/04/25-1Y LCH 2026-09-04 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-02 XXXX -862126.760000 N N N RESIDENTIAL ACCREDIT LOANS 2005-QA6 N/A 76110H6F1 51462.020000 PA USD 27388.180000 0.0002269 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.84785 N N N N N N GNMA PASS THRU POOLS N/A 21H020675 149600000.000000 PA USD 121874459.960000 1.0095 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 2 N N N N N N CSMC TRUST 2017-RPL1 N/A 22945AAB5 6580000.000000 PA USD 6143325.540000 0.050886 Long ABS-MBS CORP US N 2 2057-07-25 Variable 2.97353 N N N N N N MASTR REPERFORMING LOAN TR 2006-1 N/A 57643QBM6 1982983.130000 PA USD 1276352.640000 0.0105722 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 7 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-9AR N/A 61748HQY0 1789145.870000 PA USD 1676634.180000 0.0138878 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.45569 N N N N N N FHR-5018 N/A 3137FXBF4 6838538.250000 PA USD 1199239.580000 0.0099335 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2014-84 N/A 3136AL2X8 3001606.070000 PA USD 19448.010000 0.0001611 Long ABS-MBS USGSE US N 2 2043-02-25 Floating 0.2 N N N N N N FNMA PASS THRU POOLS N/A 3140X5SX2 4474104.420000 PA USD 4103715.150000 0.0339916 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ1 N/A 70069FBW6 9202488.240000 PA USD 7923738.080000 0.0656334 Long ABS-MBS CORP US N 2 2034-09-25 Floating 6.53368 N N N N N N FANNIE MAE REMICS 2019-33 N/A 3136B44H8 5774224.110000 PA USD 777238.860000 0.006438 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 1.58035 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P4 N/A 14076LAC7 7400000.000000 PA USD 7447875.040000 0.0616917 Long ABS-O CORP US N 2 2030-01-10 Fixed 4.64 N N N N N N PAGAYA AI DEBT TRUST 2024-2 N/A 694961AA1 1749766.120000 PA USD 1763312.810000 0.0146058 Long ABS-O CORP US N 2 2031-08-15 Fixed 6.319 N N N N N N FREDDIE MAC STRIPS 183 N/A 31351BAP0 7120.470000 PA USD 6869.390000 0.0000569 Long ABS-MBS USGSE US N 2 2027-04-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -215307.320000 -0.0017834 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-12-20 21790.390000 USD 0.000000 USD 7400000.000000 USD -237097.710000 N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2A N/A 68269HAE5 2600000.000000 PA USD 2646269.860000 0.0219194 Long ABS-O CORP US N 2 2036-09-15 Floating 5.80385 N N N N N N FANNIE MAE 2007-14 N/A 31396PE72 2188.440000 PA USD 1912.510000 0.0000158 Long ABS-MBS USGSE US N 2 2037-03-25 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -103590.230000 -0.0008581 N/A DCR US N 3 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AA.06-1 N/A N/A Y Single Leg Swap 2045-07-25 0.000000 USD -476775.190000 USD 1381935.110000 USD 373184.960000 N N N PRPM 2024-7 LLC N/A 74448LAA6 4367176.250000 PA USD 4369164.190000 0.0361904 Long ABS-MBS CORP US N 2 2029-11-25 Fixed 5.87 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29 N/A 38376RMD5 938191.590000 PA USD 939984.290000 0.007786 Long ABS-MBS USGSE US N 2 2065-11-20 Floating 5.19602 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2024-PT2 N/A 69544PAC6 1429046.210000 PA USD 1428039.860000 0.0118286 Long ABS-O CORP US N 3 2032-04-15 Fixed 5.823 N N N N N N DOLP TRUST 2021-NYC N/A 23345LAL3 27180000.000000 PA USD 21827681.780000 0.180802 Long ABS-MBS CORP US N 2 2041-05-10 Variable 3.70378 N N N N N N N/A N/A 000000000 1.000000 NC USD 3890542.530000 0.0322259 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-09-17 1917230.000000 USD 0.000000 USD 506100000.000000 USD 1973312.530000 N N N FNMA PASS THRU POOLS N/A 3140AVWD9 1999800.620000 PA USD 2066590.020000 0.0171178 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133AJDD2 1017680.990000 PA USD 894366.110000 0.0074082 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 3 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2020-CNP N/A 61770YAA3 10000000.000000 PA USD 8738873.000000 0.0723852 Long ABS-MBS CORP US N 2 2042-04-05 Variable 2.50852 N N N N N N FREDDIE MAC REMICS 2568 N/A 31393KJC0 3231.790000 PA USD 3331.370000 0.0000276 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 5.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL5 N/A 362951AH8 43144.020000 PA USD 42831.350000 0.0003548 Long ABS-MBS CORP US N 2 2064-07-25 Fixed 0 N N N N N N FNMA PASS THRU POOLS N/A 3140QKSY5 56027277.590000 PA USD 48797370.340000 0.404195 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2007-S1 N/A 466275AA2 702790.090000 PA USD 675988.280000 0.0055993 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.99368 N N N N N N AMERIQUEST MTGE SEC INC 2004-R4 N/A 03072SRG2 357996.850000 PA USD 341266.330000 0.0028268 Long ABS-MBS CORP US N 2 2034-06-25 Floating 6.38368 N N N N N N FNMA PASS THRU POOLS N/A 3138WB6F7 293909.790000 PA USD 282382.800000 0.002339 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -16599.920000 -0.0001375 N/A DCR US N 3 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -61038.930000 USD 211406.010000 USD 44439.010000 N N N SOUNDVIEW HOME LOAN TRUST 2005-3 N/A 83611MFQ6 3116166.060000 PA USD 2996430.500000 0.0248198 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.42368 N N N N N N FANNIE MAE REMICS 2024-5 N/A 3136BQ3W7 22737793.860000 PA USD 4077659.520000 0.0337758 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XWS5 3920302.550000 PA USD 667641.250000 0.0055302 Long ABS-MBS USGSE US N 2 2049-05-15 Fixed 3.5 N N N N N N PRPM 2025-NQM1 TRUST N/A 74391EAA9 11457831.090000 PA USD 11559957.030000 0.0957526 Long ABS-MBS CORP US N 2 2069-11-25 Fixed 5.802 N N N N N N BX TRUST 2021-LGCY N/A 12434DAA0 5000000.000000 PA USD 4988830.000000 0.0413231 Long ABS-MBS CORP US N 2 2036-10-15 Floating 4.93248 N N N N N N MASTR ASSET BACKED SECURITIES 2004-OPT1 N/A 57643LCH7 755201.820000 PA USD 771951.890000 0.0063942 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.21368 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4 N/A 35563PMX4 28500000.000000 PA USD 27159382.800000 0.224965 Long ABS-MBS CORP US N 2 2059-02-25 Variable 4.5 N N N N N N JPMMT 2025-LTV2 N/A 955UAOII8 116900000.000000 PA USD 119753709.030000 0.991936 Long ABS-MBS CORP US N 3 2055-07-01 Fixed 7.5 N N N N N N PRPM 2025-3 LLC N/A 74449DAA3 2084387.110000 PA USD 2097569.190000 0.0173744 Long ABS-MBS CORP US N 2 2030-05-25 Fixed 6.255 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWYA3 504188.650000 PA USD 491796.290000 0.0040736 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140ATKK1 5999403.000000 PA USD 6200708.650000 0.0513613 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 31425W3N9 5999405.460000 PA USD 6200818.220000 0.0513622 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36179WVW5 8248968.010000 PA USD 7536787.340000 0.0624282 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3.5 N N N N N N FREDDIE MAC 4660 N/A 3137BVJ80 4123149.290000 PA USD 3519481.480000 0.0291523 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 0 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVM36 114711213.730000 PA USD 118151497.090000 0.978664 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3622A2LP5 128764.200000 PA USD 126315.490000 0.0010463 Long ABS-MBS USGSE US N 2 2044-05-20 Fixed 4.5 N N N N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAK2 7486394.660000 PA USD 3229102.120000 0.0267471 Long ABS-MBS CORP US N 2 2037-05-25 Variable 6.03162 N N N N N N VASA TRUST 2021-VASA N/A 92230AAE6 16314000.000000 PA USD 14845384.350000 0.122966 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.17648 N N N N N N FREDDIE MAC STRIPS 363 N/A 31325XBP4 1259565.350000 PA USD 192817.730000 0.0015971 Long ABS-MBS USGSE US N 2 2048-09-15 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140NJWH3 1167117.000000 PA USD 1158657.840000 0.0095973 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36180ACC5 185253069.230000 PA USD 190538628.290000 1.57826 Long ABS-MBS USGSE US N 2 2054-10-20 Fixed 6.5 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2006-2 N/A 00437NAD4 1378726.960000 PA USD 1373355.990000 0.0113757 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.69368 N N N N N N FREDDIE MAC REMICS 5051 N/A 3137F7XZ3 19198066.200000 PA USD 2093297.620000 0.0173391 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2 N N N N N N FREDDIE MAC-1958 N/A 3133TA3Z3 6976.340000 PA USD 6815.040000 0.0000564 Long ABS-MBS USGSE US N 2 2026-10-15 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3133CQD93 750527.150000 PA USD 795894.730000 0.0065925 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 7 N N N N N N FREDDIE MAC STRIPS 389 N/A 31325YQX9 30733118.280000 PA USD 3846960.300000 0.0318649 Long ABS-MBS USGSE US N 2 2052-03-15 Fixed 2 N N N N N N FANNIE MAE REMICS 2019-33 N/A 3136B46U7 3463843.740000 PA USD 3367169.940000 0.0278907 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 4.88965 N N N N N N MERRILL LYNCH ALTERNATIVE NOTE ASSET TRUST SERIES 2007-OAR5 N/A 590227AA2 4567868.830000 PA USD 1248202.590000 0.010339 Long ABS-MBS CORP US N 2 2047-10-25 Variable 3.68675 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3 N/A 02150TAA8 230889.240000 PA USD 212328.400000 0.0017587 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.71368 N N N N N N VERUS SECURITIZATION TRUST 2023-INV2 N/A 92540BAA7 3916919.980000 PA USD 3946897.740000 0.0326927 Long ABS-MBS CORP US N 2 2068-08-25 Fixed 6.443 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAC2 1088000.000000 PA USD 1103253.320000 0.0091384 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.45 N N N N N N JP MORGAN MORTGAGE TRUST 2007-S3 N/A 46631NDT3 963568.320000 PA USD 480682.320000 0.0039816 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 7 N N N N N N FANNIE MAE 2009-68 N/A 31396QD71 47926.050000 PA USD 4748.600000 0.0000393 Long ABS-MBS USGSE US N 2 2039-09-25 Floating 2.33035 N N N N N N MF1 2024-FL14 LLC N/A 55416AAA7 9500000.000000 PA USD 9540462.310000 0.0790249 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 6.05458 N N N N N N FREDDIE MAC STRIPS 244 N/A 3128HWJC2 129985.310000 PA USD 114669.460000 0.0009498 Long ABS-MBS USGSE US N 2 2036-12-15 None 0 N N N N N N FREDDIE MAC REMICS 5392 N/A 3137HBX25 96380905.460000 PA USD 11492401.340000 0.0951931 Long ABS-MBS USGSE US N 2 2051-04-25 Fixed 2 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N3 N/A 14687WAC4 13060000.000000 PA USD 13063297.650000 0.108205 Long ABS-O CORP US N 2 2029-01-10 Fixed 4.53 N N N N N N FREDDIE MAC 2454 N/A 31392KCZ7 49554.500000 PA USD 4231.610000 0.0000351 Long ABS-MBS USGSE US N 2 2031-06-15 Floating 3.58167 N N N N N N GNMA PASS THRU POOLS N/A 36202FSG2 1474.040000 PA USD 1542.190000 0.0000128 Long ABS-MBS USGSE US N 2 2041-04-20 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133CWFX5 1255046.190000 PA USD 1293398.900000 0.0107134 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVA70 1252159.910000 PA USD 1203462.840000 0.0099684 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 31426LV68 2321316.650000 PA USD 2392575.990000 0.019818 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H07 N/A 38382YY98 33758232.200000 PA USD 33886074.630000 0.280683 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 5.16185 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-121 N/A 38380YJ97 1376559.280000 PA USD 185000.070000 0.0015324 Long ABS-MBS USGSE US N 2 2048-09-20 Floating 1.76794 N N N N N N FREDDIE MAC REMICS 3753 N/A 3137A3L31 1460521.380000 PA USD 1448684.880000 0.0119996 Long ABS-MBS USGSE US N 2 2040-11-15 Floating 4.96833 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2 N/A 83611XAB0 2222467.160000 PA USD 1612737.070000 0.0133585 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.65368 N N N N N N HOME EQUITY PASS-THRU CERTS 2005-7 N/A 437084PA8 10696505.320000 PA USD 10237616.680000 0.0847995 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.13868 N N N N N N FANNIE MAE REMICS 2017-26 N/A 3136AWDP9 4805129.630000 PA USD 662064.700000 0.005484 Long ABS-MBS USGSE US N 2 2047-04-25 Floating 1.68035 N N N N N N FREDDIE MAC REMICS 4562 N/A 3137BNB60 1803878.400000 PA USD 91059.240000 0.0007543 Long ABS-MBS USGSE US N 2 2031-03-15 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4147 N/A 3137AXDJ9 4158022.920000 PA USD 626296.380000 0.0051877 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 1.68167 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-4 N/A 64830WAD3 588949.770000 PA USD 551745.280000 0.0045702 Long ABS-MBS CORP US N 2 2058-12-25 Variable 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 723322.420000 0.0059914 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-09-17 929288.020000 EUR 0.000000 EUR 18900000.000000 EUR -205965.600000 N N N PRET 2024-NPL9 LLC N/A 74143TAA7 10681105.420000 PA USD 10701298.050000 0.0886403 Long ABS-MBS CORP US N 2 2054-12-25 Fixed 5.8514 N N N N N N FNMA PASS THRU POOLS N/A 3140H6DW6 2942330.240000 PA USD 2786448.230000 0.0230805 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140K1AP1 5189903.240000 PA USD 4618144.990000 0.0382527 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAC8 1200000.000000 PA USD 1216192.920000 0.0100739 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.15 N N N N N N ACE SECURITIES CORP 2007-HE3 N/A 00442GAA8 4709309.910000 PA USD 1024878.170000 0.0084892 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.87368 N N N N N N FANNIE MAE REMICS 2015-1 N/A 3136AMLG2 1836106.720000 PA USD 316172.250000 0.0026189 Long ABS-MBS USGSE US N 2 2045-02-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GN6Z1 16384.650000 PA USD 15524.160000 0.0001286 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FANNIE MAE-2020-38 N/A 3136BACX0 8106893.500000 PA USD 712086.020000 0.0058983 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 0.58035 N N N N N N FNMA PASS THRU POOLS N/A 3140GS2M3 549171.390000 PA USD 520299.490000 0.0043097 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N N/A N/A 000000000 -118100000.000000 NC USD -1200982.520000 -0.0099479 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.45250 10/02/25-7Y LCH 2032-10-02 0.000000 USD 0.000000 USD N/A USD N/A 3.450000 USD 2025-09-30 XXXX -304195.140000 N N N GNMA PASS THRU POOLS N/A 36202FSE7 1355782.530000 PA USD 1345999.890000 0.0111491 Long ABS-MBS USGSE US N 2 2041-04-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JN6D7 233173.640000 PA USD 220476.060000 0.0018262 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4 N N N N N N CITIGROUP MTGE LOAN TR INC 2004-OPT1 N/A 17307GJK5 936579.230000 PA USD 911172.360000 0.0075474 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.37868 N N N N N N UMBS PASS THRU POOLS N/A 01F022683 -413735000.000000 PA USD -343168101.880000 -2.84251 Short ABS-MBS USGSE US N 2 2054-08-15 Fixed 2.5 N N N N N N ANGEL OAK MORTGAGE TRUST 2023-7 N/A 03466DAA0 7161303.270000 PA USD 7120001.170000 0.0589759 Long ABS-MBS CORP US N 2 2067-11-25 Fixed 4.8 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-C2 N/A 22545YAQ4 2500000.000000 PA USD 552641.250000 0.0045776 Long ABS-MBS CORP US N 2 2049-01-15 Variable 5.73512 N N N N N N FREDDIE MAC REMICS 3921 N/A 3137AFFZ0 478166.130000 PA USD 324330.090000 0.0026865 Long ABS-MBS USGSE US N 2 2041-09-15 Floating 0.84594 N N N N N N MASTR ASSET BACKED SEC TR 2006-AM3 N/A 57645EAM2 7025679.690000 PA USD 6290406.480000 0.0521043 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.91368 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 6170661.120000 PA USD 6140526.080000 0.0508628 Long ABS-MBS CORP US N 2 2051-07-25 Variable 4.7436 N N N N N N FANNIE MAE REMICS 2017-97 N/A 3136B0DY9 32844747.960000 PA USD 31987050.070000 0.264953 Long ABS-MBS USGSE US N 2 2047-12-25 Floating 4.71965 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58 N/A 12668AWH4 1728686.010000 PA USD 1633674.490000 0.0135319 Long ABS-MBS CORP US N 2 2035-12-20 Floating 5.07206 N N N N N N FANNIE MAE REMICS 2023-51 N/A 3136BQPY9 36967341.170000 PA USD 7228227.920000 0.0598724 Long ABS-MBS USGSE US N 2 2053-04-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418FHH3 19998016.000000 PA USD 20665910.340000 0.171178 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6.5 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D N/A 78471CAB5 64309.460000 PA USD 63545.020000 0.0005264 Long ABS-O CORP US N 2 2040-09-25 Fixed 2.65 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-1 N/A 288542AA1 2818889.110000 PA USD 2762102.030000 0.0228789 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.53368 N N N N N N N/A N/A 000000000 95200000.000000 NC USD 122246.320000 0.0010126 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.74000 11/03/25-10Y LCH 2035-11-03 0.000000 USD 0.000000 USD N/A USD N/A 2.740000 USD 2025-10-30 XXXX -591753.680000 N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAC7 8750000.000000 PA USD 8695801.630000 0.0720285 Long ABS-MBS CORP US N 2 2038-05-15 Floating 5.92648 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SNZQ5 956000.000000 PA 1317590.030000 0.0109138 Long ABS-MBS CORP GB N 2 2066-05-16 Floating 9.72522 N N N N N N GNMA PASS THRU POOLS N/A 36181GDD8 32229.040000 PA USD 29515.070000 0.0002445 Long ABS-MBS USGSE US N 2 2043-06-20 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2014-47 N/A 3136AKTL7 388794.620000 PA USD 20600.010000 0.0001706 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 2.08644 N N N N N N N/A N/A 000000000 -141300000.000000 NC USD -144422.730000 -0.0011963 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.10600 09/10/25-7Y LCH 2032-09-10 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2025-09-08 XXXX 95787.270000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-44 N/A 38380VVC2 9635008.600000 PA USD 160518.280000 0.0013296 Long ABS-MBS USGSE US N 2 2048-03-20 Floating 0 N N N N N N FNMA PASS THRU POOLS N/A 3140LNUD7 545320.690000 PA USD 476857.490000 0.0039499 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2023-66 N/A 3136BQWV7 316536481.640000 PA USD 16878168.350000 0.139804 Long ABS-MBS USGSE US N 2 2037-08-25 Fixed 1.5 N N N N N N FANNIE MAE REMICS 2014-92 N/A 3136AMEE5 454307.820000 PA USD 24913.010000 0.0002064 Long ABS-MBS USGSE US N 2 2045-01-25 Floating 2.06725 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-2 N/A 1266713X2 5733726.940000 PA USD 5673484.960000 0.0469942 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.13368 N N N N N N N/A N/A 000000000 1.000000 NC USD 4395148.950000 0.0364056 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-12-18 0.000000 USD -612082.540000 USD 56600000.000000 USD 5007231.490000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY3 N/A 02148DAA8 46240.720000 PA USD 36446.980000 0.0003019 Long ABS-MBS CORP US N 2 2047-03-25 Floating 6.50919 N N N N N N SCCU AUTO RECEIVABLES TRUST 2023-1A N/A 805922AE1 5100000.000000 PA USD 5149312.410000 0.0426524 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.7 N N N N N N FEDERAL HOME LOAN MTGE 5199 N/A 3137H6B61 19532342.160000 PA USD 2970435.620000 0.0246045 Long ABS-MBS USGSE US N 2 2052-03-25 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XKYD3 10710000.000000 PA USD 10846984.330000 0.089847 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 4.95 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2005-AR2 N/A 36185N6M7 7435.430000 PA USD 6990.520000 0.0000579 Long ABS-MBS CORP US N 2 2035-05-25 Floating 7.49999 N N N N N N N/A N/A 000000000 1.000000 NC USD -7412.920000 -0.0000614 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 3200000.000000 USD -7412.920000 N N N FNMA PASS THRU POOLS N/A 3140B16D3 911297.150000 PA USD 940100.670000 0.007787 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 21H040673 138200000.000000 PA USD 128516711.580000 1.06452 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 4 N N N N N N FANNIE MAE REMICS 2012-46 N/A 3136A5J64 1881362.850000 PA USD 1895413.240000 0.0157 Long ABS-MBS USGSE US N 2 2041-01-25 Floating 2.43079 N N N N N N FHLMC PASS THRU POOLS N/A 31426LPC2 6028083.110000 PA USD 6205230.690000 0.0513987 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140KA2J4 1616051.310000 PA USD 1413384.640000 0.0117073 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N N/A N/A 000000000 -2828570405.820000 PA USD -2830322548.160000 -23.4439 Short RA US N 2 Reverse repurchase N 4.460000 2025-07-14 2993786914.000000 USD 2952553178.000000 USD AMBS N N N FANNIEMAE STRIP-428 N/A 31423YJU4 19262916.910000 PA USD 3567484.510000 0.0295499 Long ABS-MBS USGSE US N 2 2048-11-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2021-3 N/A 3136BDR42 43043517.430000 PA USD 7257644.950000 0.060116 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N ACE SECURITIES CORP 2003-HE1 N/A 004421DA8 1752289.460000 PA USD 1763256.690000 0.0146053 Long ABS-MBS CORP US N 2 2033-11-25 Floating 5.40868 N N N N N N FNMA PASS THRU POOLS N/A 3140FXRT1 25978191.490000 PA USD 22399764.450000 0.18554 Long ABS-MBS USGSE US N 2 2060-07-01 Fixed 3 N N N N N N DIAMETER CREDIT FUNDING I LTD 2019-1A N/A 25255AAA4 899298.870000 PA USD 892484.880000 0.0073926 Long ABS-CBDO CORP KY N 2 2037-07-25 Fixed 4.6 N N N N N N N/A N/A 000000000 1.000000 NC USD 6283545.050000 0.0520474 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-06-20 0.000000 USD -4308657.620000 USD 85800000.000000 USD 10592202.670000 N N N FANNIE MAE REMICS 2019-19 N/A 3136B4SV1 11233696.870000 PA USD 1401567.700000 0.0116094 Long ABS-MBS USGSE US N 2 2049-05-25 Floating 1.58035 N N N N N N N/A N/A 000000000 183500000.000000 NC USD 165.150000 0.0000014 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 11/05/25-1Y LCH 2026-11-05 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-11-03 XXXX -309949.850000 N N N JP MORGAN MORTGAGE TRUST 2024-6 N/A 46657YAP9 65597602.890000 PA USD 65648526.310000 0.543775 Long ABS-MBS CORP US N 2 2054-12-25 Floating 5.55517 N N N N N N BAIN CAPITAL CREDIT CLO 2021-2 LTD N/A 05684RAQ5 5100000.000000 PA USD 5111324.300000 0.0423378 Long ABS-CBDO CORP KY N 2 2034-07-16 Floating 5.91054 N N N N N N FHLMC PASS THRU POOLS N/A 3133CS2D2 1074108.620000 PA USD 1080128.440000 0.0089468 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LK3U5 7877911.540000 PA USD 8061250.320000 0.0667724 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 4.99 N N N N N N ACE SECURITIES CORP 2003-NC1 N/A 004421CN1 4771384.280000 PA USD 4592737.930000 0.0380423 Long ABS-MBS CORP US N 2 2033-07-25 Floating 5.11368 N N N N N N FNMA PASS THRU POOLS N/A 3140QSN80 9693318.240000 PA USD 9386027.550000 0.0777457 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3142GSYX0 4999502.500000 PA USD 5167257.210000 0.0428011 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N2 N/A 14687VAB8 2375928.870000 PA USD 2381101.030000 0.019723 Long ABS-O CORP US N 2 2027-08-10 Fixed 5.9 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6FF5 4284839.210000 PA 5036692.390000 0.0417196 Long ABS-CBDO CORP IE N 2 2034-04-24 Floating 2.811 N N N N N N ANCHORAGE CAPITAL CLO 28 LTD N/A 03330RAA3 34000000.000000 PA USD 34074949.940000 0.282247 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 5.96947 N N N N N N ACRA TRUST 2024-NQM1 N/A 00112EAA2 4097930.260000 PA USD 4103467.380000 0.0339896 Long ABS-MBS CORP US N 2 2064-10-25 Fixed 5.608 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-15 N/A 126673UA8 5174490.450000 PA USD 4446082.600000 0.0368275 Long ABS-MBS CORP US N 2 2035-02-25 Variable 5.541 N N N N N N FANNIE MAE REMICS 2014-4 N/A 3136AH4J6 32780.000000 PA USD 3169.530000 0.0000263 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140L2MB6 129515.410000 PA USD 115114.430000 0.0009535 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 3 N N N N N N PROVIDUS CLO II DAC 2A N/A ACI2RB411 1750000.000000 PA 2064267.670000 0.0170986 Long ABS-CBDO CORP IE N 2 2038-10-15 Floating 3.439 N N N N N N GNMA PASS THRU POOLS N/A 21H062677 -576600000.000000 PA USD -592077154.860000 -4.90425 Short ABS-MBS USGSE US N 2 2054-07-15 Fixed 6.5 N N N N N N FANNIE MAE REMICS 2015-31 N/A 3136ANPP6 2100852.300000 PA USD 2055313.390000 0.0170244 Long ABS-MBS USGSE US N 2 2045-05-25 Floating 4.81965 N N N N N N FNMA PASS THRU POOLS N/A 3138LMPN7 962557.410000 PA USD 890913.370000 0.0073796 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 3.43 N N N N N N FREDDIE MAC REMICS 4544 N/A 3137BMQG4 3666142.530000 PA USD 643638.610000 0.0053313 Long ABS-MBS USGSE US N 2 2046-01-15 Fixed 4 N N N N N N FANNIE MAE INTEREST STRIP 377 N/A 3136FC5M4 18596.480000 PA USD 15680.010000 0.0001299 Long ABS-MBS USGSE US N 2 2036-10-25 None 0 N N N N N N BX TRUST 2022-FOX2 N/A 05610AAW8 7204859.730000 PA USD 7198489.190000 0.059626 Long ABS-MBS CORP US N 2 2039-04-15 Floating 5.06096 N N N N N N OBX 2024-HYB1 TRUST N/A 67448MAA8 9854753.260000 PA USD 9715089.730000 0.0804714 Long ABS-MBS CORP US N 2 2053-03-25 Floating 3.64611 N N N N N N GNMA PASS THRU POOLS N/A 36179SQV2 1224071.130000 PA USD 1098376.930000 0.009098 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3 N N N N N N COLOGIX CANADIAN ISSUER LP 2022-1CAN N/A 19521DAD3 30000000.000000 PA 21642078.210000 0.179264 Long ABS-O CORP CA N 2 2052-01-25 Fixed 4.94 N N N N N N GREENPOINT MTGE FUNDING TR 2007-AR1 N/A 39539KAH6 7042513.060000 PA USD 6653016.310000 0.0551078 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.89368 N N N N N N N/A N/A 000000000 192500000.000000 NC USD 865499.250000 0.007169 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 06/02/26-7Y LCH 2033-06-02 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2026-05-29 XXXX 105124.250000 N N N FANNIE MAE INTEREST STRIP 444 N/A 31424VC44 7927867.090000 PA USD 1079412.880000 0.0089409 Long ABS-MBS USGSE US N 2 2052-08-25 Fixed 2 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H08 N/A 38383KYQ9 354663.410000 PA USD 354214.870000 0.002934 Long ABS-MBS USGSE US N 2 2074-05-20 Floating 4.95185 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAL1 24544000.000000 PA USD 22187437.290000 0.183781 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.80384 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 4788098.330000 PA 5643666.940000 0.0467472 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 2.929 N N N N N N FNMA PASS THRU POOLS N/A 3140AGMX9 330305.020000 PA USD 349064.160000 0.0028913 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 7 N N N N N N FANNIE MAE REMICS 2020-84 N/A 3136BC5Y2 75565057.230000 PA USD 12078530.330000 0.100048 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.5 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC2 N/A 07387UGS4 3470451.520000 PA USD 1353086.710000 0.0112078 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6 N N N N N N FREDDIE MAC REMICS 4134 N/A 3137AW2L8 297157.110000 PA USD 155693.980000 0.0012896 Long ABS-MBS USGSE US N 2 2042-11-15 Floating 0.087564 N N N N N N FANNIE MAE REMICS 2021-56 N/A 3136BGM32 18565170.880000 PA USD 1605046.280000 0.0132948 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 2.5 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2A N/A 30168JAB9 6800000.000000 PA USD 6801160.080000 0.0563349 Long ABS-O CORP US N 2 2027-06-15 Fixed 4.78 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-118 N/A 38380GNH3 1872982.350000 PA USD 71305.750000 0.0005906 Long ABS-MBS USGSE US N 2 2046-06-20 Floating 0.0826 N N N N N N N/A N/A 000000000 88600000.000000 NC USD 332250.000000 0.0027521 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.98500 10/31/25-7Y LCH 2032-10-31 0.000000 USD 0.000000 USD N/A USD N/A 3.980000 USD 2025-10-29 XXXX -1360010.000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-45 N/A 38381TYZ2 9883034.700000 PA USD 1108963.460000 0.0091857 Long ABS-MBS USGSE US N 2 2049-04-20 Floating 1.61794 N N N N N N FNMA PASS THRU POOLS N/A 3138XE3L0 284362.390000 PA USD 271222.120000 0.0022466 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -23809.380000 -0.0001972 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 3400000.000000 USD -23809.380000 N N N SBNA AUTO RECEIVABLES TRUST 2025-SF1 N/A 78437XAD8 7250000.000000 PA USD 7277639.540000 0.0602816 Long ABS-O CORP US N 2 2031-09-15 Fixed 5.34 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAD2 25461.060000 PA USD 25409.430000 0.0002105 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.57368 N N N N N N FANNIE MAE REMICS 2012-63 N/A 3136A6TM6 796.670000 PA USD 668.890000 0.0000055 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-82 N/A 38379NMD1 967316.790000 PA USD 543855.780000 0.0045048 Long ABS-MBS USGSE US N 2 2044-01-20 Floating 1.11794 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-145 N/A 38380BHF5 262203.000000 PA USD 9049.390000 0.000075 Long ABS-MBS USGSE US N 2 2045-07-20 Fixed 3 N N N N N N FREDDIE MAC REMICS 5010 N/A 3137FVPT3 3532395.980000 PA USD 516574.760000 0.0042789 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.5 N N N N N N N/A N/A 000000000 -151300000.000000 NC USD -574.940000 -0.0000048 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.94300 07/09/25-7Y LCH 2032-07-09 0.000000 USD 0.000000 USD N/A USD N/A 3.940000 USD 2025-07-07 XXXX 441977.560000 N N N FANNIE MAE REMICS 2019-68 N/A 3136B6R21 11229297.310000 PA USD 1462614.850000 0.012115 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.58035 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H12 N/A 38383KZF2 8001241.750000 PA USD 8027187.380000 0.0664902 Long ABS-MBS USGSE US N 2 2074-07-20 Floating 5.20185 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XWQ9 1765674.700000 PA USD 268202.610000 0.0022216 Long ABS-MBS USGSE US N 2 2049-04-15 Fixed 3 N N N N N N MASTR ASSET SECURITIZATION TRUST 2007-2 N/A 57646NAC3 432171.500000 PA USD 225464.430000 0.0018676 Long ABS-MBS CORP US N 2 2038-01-25 Fixed 6.25 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4B6 2678602.610000 PA USD 2699319.460000 0.0223588 Long ABS-O CORP US N 2 2032-09-15 Fixed 4.97 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 1837613.580000 PA USD 834577.020000 0.0069129 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.55368 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-2 N/A 89616PAA1 584759.070000 PA USD 586630.070000 0.0048591 Long ABS-O CORP US N 2 2027-12-15 Fixed 6.36 N N N N N N FNMA PASS THRU POOLS N/A 3140F9WB7 6048494.730000 PA USD 5597169.120000 0.0463621 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5092 N/A 3137FYCM6 9947240.120000 PA USD 1508663.090000 0.0124965 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.5 N N N N N N N/A N/A 000000000 32400000.000000 NC USD 2102390.640000 0.0174144 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.26500 05/03/35-10Y LCH 2045-05-03 0.000000 USD 0.000000 USD N/A USD N/A 4.260000 USD 2035-05-01 XXXX -766629.360000 N N N WSTN TRUST 2023-MAUI N/A 92943AAA2 15600000.000000 PA USD 15835539.720000 0.131168 Long ABS-MBS CORP US N 2 2037-07-05 Variable 6.518 N N N N N N NEW YORK MORTGAGE TRUST 2005-2 N/A 649603AD9 1017115.340000 PA USD 915757.760000 0.0075853 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.09368 N N N N N N FANNIE MAE REMICS 2012-137 N/A 3136AAH40 93870.540000 PA USD 54783.470000 0.0004538 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 2 N N N N N N FANNIE MAE 2007-4 N/A 31396PMC2 148833.280000 PA USD 147462.820000 0.0012215 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 4.86465 N N N N N N FREDDIE MAC-3152 N/A 31396R2P1 10644.450000 PA USD 9352.070000 0.0000775 Long ABS-MBS USGSE US N 2 2036-03-15 None 0 N N N N N N FANNIEMAE GRANTOR TRUST 2004-T3 N/A 31393YV77 13453.170000 PA USD 13507.410000 0.0001119 Long ABS-MBS USGSE US N 2 2043-08-25 Floating 5.11873 N N N N N N PAGAYA AI DEBT TRUST 2023-7 N/A 69548RAC8 19992549.980000 PA USD 20199131.000000 0.167312 Long ABS-O CORP US N 2 2031-07-15 Fixed 8.798 N N N N N N FREDDIE MAC REMICS 4104 N/A 3137ATT36 980617.720000 PA USD 963784.930000 0.0079832 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 4.81833 N N N N N N FANNIE MAE 2025-42 N/A 3136BWLC8 19719501.200000 PA USD 19948077.830000 0.165233 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 5.85517 N N N N N N FANNIE MAE REMICS 2012-138 N/A 3136AAEZ4 561168.070000 PA USD 9660.560000 0.00008 Long ABS-MBS USGSE US N 2 2027-12-25 Fixed 2.5 N N N N N N WELLS FARGO MTGE BACKED SEC 2007-7 N/A 94985JAH3 19793.680000 PA USD 17657.680000 0.0001463 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.93368 N N N N N N FANNIE MAE REMICS 2021-22 N/A 3136BFSJ3 5807239.070000 PA USD 907174.370000 0.0075142 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAD4 6272325.160000 PA USD 2737068.960000 0.0226715 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.53368 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H18 N/A 38376R6Q4 172593.330000 PA USD 173474.800000 0.0014369 Long ABS-MBS USGSE US N 2 2067-08-20 Floating 5.36121 N N N N N N C-BASS CBO XV LTD 15A N/A 124670AA8 248639703.310000 PA USD 4157504.480000 0.0344372 Long ABS-CBDO CORP KY N 2 2041-02-16 Floating 7.77 N N N N N N GNMA PASS THRU POOLS N/A 21H060689 16000000.000000 PA USD 16218091.360000 0.134337 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6 N N N N N N FANNIE MAE REMICS 2013-10 N/A 3136ACCD1 313220.390000 PA USD 29426.300000 0.0002437 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F012478 -9500000.000000 PA USD -8444619.640000 -0.0699479 Short ABS-MBS USGSE US N 2 2039-07-15 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 4674850.420000 0.0387224 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-03-19 7947383.750000 USD 0.000000 USD 121100000.000000 USD -3272533.330000 N N N FANNIE MAE REMICS 2018-24 N/A 3136B1LT9 1964675.290000 PA USD 259685.670000 0.002151 Long ABS-MBS USGSE US N 2 2048-04-25 Floating 1.78035 N N N N N N FANNIE MAE INTEREST STRIP FNS 427 N/A 31423XMV0 36646326.670000 PA USD 4733487.650000 0.0392081 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 31418UE83 71118.440000 PA USD 70893.810000 0.0005872 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H08 N/A 38383KYE6 6867038.290000 PA USD 6880799.150000 0.0569946 Long ABS-MBS USGSE US N 2 2074-05-20 Floating 5.15185 N N N N N N PREFERRED TERM SECURITIES XXIV LTD/PREFERRED TERM SECURITIES XXIV INC N/A 74043CAA5 198785.340000 PA USD 183379.480000 0.001519 Long DBT CORP KY N 2 2037-03-22 Floating 4.88008 N N N N N N LENDBUZZ SECURITIZATION TRUST 2025-1A N/A 525938AC0 3100000.000000 PA USD 3111371.730000 0.0257719 Long ABS-O CORP US N 2 2030-10-15 Fixed 5.1 N N N N N N REPERFORMING LOAN REMIC TRUST 2006-R1 N/A 12669UCN8 94382.020000 PA USD 89161.620000 0.0007385 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.77368 N N N N N N RCKT MORTGAGE TRUST 2024-CES9 N/A 749426AA0 11334222.430000 PA USD 11391004.620000 0.0943532 Long ABS-MBS CORP US N 2 2044-12-25 Variable 5.582 N N N N N N N/A N/A 000000000 1.000000 NC USD 166103256.460000 1.37586 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 140695856.390000 USD 0.000000 USD 1496600000.000000 USD 25407400.070000 N N N ACHV ABS TRUST 2024-3AL N/A 00092KAA2 581855.560000 PA USD 584192.760000 0.0048389 Long ABS-O CORP US N 2 2031-12-26 Fixed 5.01 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57 N/A 38380B7Q2 700114.590000 PA USD 30979.300000 0.0002566 Long ABS-MBS USGSE US N 2 2045-12-20 Floating 0.14343 N N N N N N FNMA PASS THRU POOLS N/A 3140AJUX4 4297290.650000 PA USD 4349606.900000 0.0360284 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 4575 N/A 3137BNU69 654574.620000 PA USD 119702.520000 0.0009915 Long ABS-MBS USGSE US N 2 2045-11-15 Fixed 3.5 N N N N N N FREDDIEMAC STRIP-186 N/A 31351BFA8 34246.580000 PA USD 33038.800000 0.0002737 Long ABS-MBS USGSE US N 2 2027-08-01 None 0 N N N N N N FANNIE MAE REMICS 2024-38 N/A 3136BR5A1 2284993.080000 PA USD 2286115.700000 0.0189362 Long ABS-MBS USGSE US N 2 2047-12-25 Floating 5.13001 N N N N N N FREDDIE MAC REMICS 4182 N/A 3137B0ZL1 227365.200000 PA USD 11258.760000 0.0000933 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 3 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-11 N/A 69544AAC9 1499827.710000 PA USD 1505961.410000 0.0124741 Long ABS-O CORP US N 2 2032-07-15 Fixed 5.871 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAF9 16214221.690000 PA USD 3406090.740000 0.0282131 Long ABS-MBS CORP US N 2 2046-09-25 Fixed 6.5 N N N N N N OBX 2024-NQM9 TRUST N/A 67119DAA6 7317477.560000 PA USD 7386266.240000 0.0611814 Long ABS-MBS CORP US N 2 2064-01-25 Fixed 6.03 N N N N N N N/A N/A 000000000 1.000000 NC USD -9935.600000 -0.0000823 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 1600000.000000 USD -9935.600000 N N N MADISON PARK FUNDING XXXVI LTD 2019-36A N/A 55819PBE8 1000000.000000 PA USD 995878.680000 0.008249 Long ABS-CBDO CORP KY N 2 2035-04-15 Floating 5.3161 N N N N N N FANNIE MAE REMICS 2010-53 N/A 31398R3N3 99344.080000 PA USD 96274.380000 0.0007975 Long ABS-MBS USGSE US N 2 2040-07-25 Fixed 5 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-4A N/A 30166UAC4 4200000.000000 PA USD 4208561.280000 0.0348601 Long ABS-O CORP US N 2 2030-08-15 Fixed 5.28 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-118 N/A 38380AUU9 400864.070000 PA USD 58836.100000 0.0004873 Long ABS-MBS USGSE US N 2 2046-09-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140B5XS1 1185315.620000 PA USD 1221702.970000 0.0101195 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6 N N N N N N FANNIE MAE INTEREST STRIP 439 N/A 31424UK39 28612408.640000 PA USD 6642755.500000 0.0550228 Long ABS-MBS USGSE US N 2 2053-09-25 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202E7A1 2318.780000 PA USD 2296.030000 0.000019 Long ABS-MBS USGSE US N 2 2039-07-20 Fixed 5 N N N N N N FREDDIE MAC REMICS 5069 N/A 3137F9C58 11983002.170000 PA USD 1615107.380000 0.0133781 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4136 N/A 3137AWM36 1036953.100000 PA USD 135538.270000 0.0011227 Long ABS-MBS USGSE US N 2 2042-11-15 Floating 1.73167 N N N N N N FREDDIE MAC 4820 N/A 3137FHHV8 1134812.280000 PA USD 157585.140000 0.0013053 Long ABS-MBS USGSE US N 2 2048-03-15 Floating 1.78167 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAC5 4813820.260000 PA USD 3341353.510000 0.0276769 Long ABS-MBS CORP US N 2 2045-07-25 Floating 4.69368 N N N N N N RAMP SERIES 2005-RS7 N/A 76112BXA3 2500000.000000 PA USD 2252251.000000 0.0186557 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.48368 N N N N N N FANNIE MAE REMICS 2022-3 N/A 3136BLFD7 63746188.310000 PA USD 111358.220000 0.0009224 Long ABS-MBS USGSE US N 2 2052-02-25 Floating 0 N N N N N N MASTR ASSET BACKED SEC TR 2006-HE2 N/A 57644UAE5 9102246.530000 PA USD 3139675.210000 0.0260063 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.73368 N N N N N N FREDDIE MAC REMICS 4988 N/A 3137FUP57 4231635.130000 PA USD 862132.610000 0.0071412 Long ABS-MBS USGSE US N 2 2047-08-15 Fixed 4.5 N N N N N N FANNIEMAE WHOLE LOAN 2004-W14 N/A 31394BT53 15297775.560000 PA USD 211156.730000 0.001749 Long ABS-MBS USGSE US N 2 2044-07-25 Variable 0 N N N N N N FANNIE MAE REMICS 2013-4 N/A 3136ACGD7 3308008.540000 PA USD 3214584.760000 0.0266268 Long ABS-MBS USGSE US N 2 2028-02-25 Fixed 1.5 N N N N N N FANNIE MAE REMICS 2018-32 N/A 3136B1C28 4836349.490000 PA USD 3896790.420000 0.0322776 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 1.78035 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-FRE2 N/A 46626LHB9 2246466.970000 PA USD 2225706.920000 0.0184358 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.94368 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAA8 874778.350000 PA USD 873202.170000 0.0072328 Long ABS-O CORP US N 2 2047-12-26 Floating 5.63368 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-BC5 N/A 126670NH7 1910879.510000 PA USD 1907482.730000 0.0157999 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.51368 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAC1 22503056.620000 PA USD 22195237.310000 0.183846 Long ABS-O CORP US N 2 2055-02-16 Fixed 4.55 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWNZ2 80991914.580000 PA USD 83696884.970000 0.693272 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6.5 N N N N N N COUNTRYWIDE HOME LOANS 2005-31 N/A 126694UN6 34667.620000 PA USD 31359.370000 0.0002598 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.47847 N N N N N N FANNIE MAE REMICS 2012-77 N/A 3136A6H98 562615.170000 PA USD 27986.840000 0.0002318 Long ABS-MBS USGSE US N 2 2052-07-25 Floating 1.64572 N N N N N N N/A N/A 000000000 173000000.000000 NC USD 1099691.800000 0.0091089 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.08100 12/10/25-7Y LCH 2032-12-10 0.000000 USD 0.000000 USD N/A USD N/A 3.080000 USD 2025-12-08 XXXX -993608.200000 N N N FREDDIEMAC STRIP-314 N/A 31325UUE4 7273345.690000 PA USD 759569.820000 0.0062916 Long ABS-MBS USGSE US N 2 2043-09-15 Floating 1.47167 N N N N N N FREDDIE MAC STRIPS 397 N/A 3142G4N23 14609063.840000 PA USD 3382633.480000 0.0280188 Long ABS-MBS USGSE US N 2 2053-01-25 Fixed 5 N N N N N N N/A N/A 000000000 -79000000.000000 NC USD -267422.900000 -0.0022151 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 6.0% AUG 30YR N/A 101.530000 USD 2025-08-06 XXXX -94610.400000 N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAJ9 34137564.050000 PA USD 34217213.810000 0.283426 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.67648 N N N N N N PRPM 2024-RPL1 LLC N/A 69380XAA0 2166268.760000 PA USD 2120451.090000 0.017564 Long ABS-MBS CORP US N 2 2064-12-25 Variable 4.2 N N N N N N WAMU MTGE P/T CERT 2007-HY7 N/A 93364FAE1 50244.180000 PA USD 45069.450000 0.0003733 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.05927 N N N N N N ACCUNIA EUROPEAN CLO I DAC 1A N/A ACI19ZJ97 385404.790000 PA 454649.280000 0.0037659 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 3.229 N N N N N N FANNIE MAE REMICS 2013-20 N/A 3136ACVE8 1319468.040000 PA USD 239684.540000 0.0019853 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 4 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 3770734.720000 PA USD 2960204.360000 0.0245198 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.84206 N N N N N N SARANAC CLO II LTD 2014-3A N/A 803169AN1 147657.120000 PA USD 147805.350000 0.0012243 Long ABS-CBDO CORP JE N 2 2030-06-22 Floating 6.45372 N N N N N N GNMA PASS THRU POOLS N/A 3620ADKS0 412971.730000 PA USD 401341.410000 0.0033244 Long ABS-MBS USGSE US N 2 2041-12-20 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133WARZ3 3698427.690000 PA USD 3808623.600000 0.0315473 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G3C0 10409.750000 PA USD 10476.920000 0.0000868 Long ABS-MBS CORP US N 2 2036-03-25 Floating 6.3 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-4 N/A 126670WW4 14424999.980000 PA USD 13789098.380000 0.114217 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.98868 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QS1 N/A 74922KAE5 2921960.820000 PA USD 2167611.640000 0.0179546 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.98368 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-27 N/A 38378FZB9 1468291.960000 PA USD 1304652.880000 0.0108066 Long ABS-MBS USGSE US N 2 2043-02-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H26 N/A 38383KKA9 3869101.440000 PA USD 3848717.850000 0.0318794 Long ABS-MBS USGSE US N 2 2073-09-20 Floating 4.60185 N N N N N N FNMA PASS THRU POOLS N/A 3140FVYZ3 561020.110000 PA USD 553659.830000 0.004586 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4 N N N N N N SCCU AUTO RECEIVABLES TRUST 2024-1A N/A 78436RAG5 9100000.000000 PA USD 9231585.090000 0.0764664 Long ABS-O CORP US N 2 2030-05-15 Fixed 5.16 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 15811640.600000 PA USD 14223468.820000 0.117815 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.71368 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-C N/A 83206EAB3 2602970.870000 PA USD 2587732.040000 0.0214345 Long ABS-O CORP US N 2 2052-06-17 Floating 5.40319 N N N N N N FHLMC PASS THRU POOLS N/A 31427M6K2 7484957.370000 PA USD 7709997.850000 0.0638629 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133CCPZ3 1906293.780000 PA USD 1876462.780000 0.015543 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N MASTR REPERFORMING LOAN TRUST 2005-1 N/A 576436AR0 744196.900000 PA USD 459241.000000 0.003804 Long ABS-MBS CORP US N 2 2034-08-25 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133ATY47 1028907.090000 PA USD 905673.150000 0.0075018 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140AMGK1 920224.490000 PA USD 975171.340000 0.0080775 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 7 N N N N N N PRPM 2023-RCF2 LLC N/A 69380RAA3 883603.050000 PA USD 867687.150000 0.0071872 Long ABS-MBS CORP US N 2 2053-11-25 Fixed 4 N N N N N N AMERIQUEST MORTGAGE SECURITIES 2006-R2 N/A 03072SZ99 12700000.000000 PA USD 11674951.250000 0.0967052 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.00368 N N N N N N FREDDIE MAC REMICS 5471 N/A 3137HH7G0 48747531.860000 PA USD 48836925.080000 0.404523 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.60517 N N N N N N FREDDIE MAC REMICS 5069 N/A 3137F9CZ2 20085814.510000 PA USD 3398786.960000 0.0281526 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3 N N N N N N MADISON PARK FUNDING XLIX LTD 2021-49A N/A 55820VAL7 20000000.000000 PA USD 19973501.600000 0.165443 Long ABS-CBDO CORP KY N 2 2034-10-19 Floating 5.31947 N N N N N N FREDDIE MAC REMICS 5096 N/A 3137FYS72 30600815.330000 PA USD 5234890.660000 0.0433613 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 3 N N N N N N CSMC 2021-INV1 TRUST N/A 12661XAC6 1827440.720000 PA USD 1496679.610000 0.0123972 Long ABS-MBS CORP US N 2 2056-07-25 Variable 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F020687 -88000000.000000 PA USD -69710858.800000 -0.577424 Short ABS-MBS USGSE US N 2 2054-08-15 Fixed 2 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SP013 8407.000000 PA 722927.770000 0.0059881 Long ABS-MBS CORP GB N 2 2066-05-16 Fixed 0 N N N N N N SAPPHIRE AVIATION FINANCE I LIMITED 2018-1X N/A G7820FAA0 350560.120000 PA USD 350447.340000 0.0029028 Long ABS-O CORP KY N 2 2040-03-15 Fixed 4.25 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAA5 4360022.210000 PA USD 4377118.730000 0.0362562 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.15 N N N N N N FHLMC PASS THRU POOLS N/A 3133KHLP9 5162743.320000 PA USD 4744729.310000 0.0393012 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-CIP N/A 12434FAA5 12948375.550000 PA USD 12945166.940000 0.107227 Long ABS-MBS CORP US N 2 2038-12-15 Floating 5.34748 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-2 N/A 542514FX7 25119.130000 PA USD 25837.030000 0.000214 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.22868 N N N N N N FNMA PASS THRU POOLS N/A 3140AXZY6 1170522.110000 PA USD 1185587.140000 0.0098204 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N FREDDIEMAC STRIP-179 N/A 31282XYN5 227.550000 PA USD 221.220000 0.0000018 Long ABS-MBS USGSE US N 2 2026-09-01 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3140LKQJ5 5007618.890000 PA USD 5086685.440000 0.0421337 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.56 N N N N N N MADISON PARK FUNDING XXIII LTD 2017-23A N/A 55820TAJ7 2858564.090000 PA USD 2862685.080000 0.023712 Long ABS-CBDO CORP KY N 2 2031-07-27 Floating 5.51423 N N N N N N FNMA PASS THRU POOLS N/A 3140QUGG5 5911523.520000 PA USD 6081550.290000 0.0503743 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAF5 410000.000000 PA USD 417192.300000 0.0034557 Long ABS-O CORP US N 2 2054-11-25 Fixed 8.75 N N N N N N FREDDIE MAC STRIPS 399 N/A 3142G4V32 24114688.970000 PA USD 3370560.240000 0.0279188 Long ABS-MBS USGSE US N 2 2052-07-25 Fixed 2.5 N N N N N N N/A N/A 000000000 50900000.000000 NC USD 3234028.210000 0.0267879 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.44000 06/21/35-10Y LCH 2045-06-21 0.000000 USD 0.000000 USD N/A USD N/A 4.440000 USD 2035-06-18 XXXX -1318976.790000 N N N GNMA PASS THRU POOLS N/A 36179NJC3 432868.020000 PA USD 429744.540000 0.0035596 Long ABS-MBS USGSE US N 2 2043-07-20 Fixed 4.5 N N N N N N N/A N/A 000000000 -121000000.000000 NC USD -48.400000 -0.0000004 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUL 30YR N/A 94.810000 USD 2025-07-07 XXXX 472607.850000 N N N OBX 2022-NQM8 TRUST N/A 67117YAA2 2737024.850000 PA USD 2731539.030000 0.0226257 Long ABS-MBS CORP US N 2 2062-09-25 Variable 6.1 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2 N/A 81376GAE0 3675685.890000 PA USD 2590444.780000 0.021457 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.91368 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH N/A 46654EAA9 1520000.000000 PA USD 1494850.840000 0.012382 Long ABS-MBS CORP US N 2 2038-06-15 Floating 5.43648 N N N N N N FHLMC PASS THRU POOLS N/A 3133BTJX9 795589.700000 PA USD 812045.640000 0.0067263 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H12 N/A 38382Y5K5 3605272.080000 PA USD 3644124.290000 0.0301848 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 5.30185 N N N N N N FHLMC PASS THRU POOLS N/A 3133CYQ43 1157361.830000 PA USD 1190869.120000 0.0098641 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132XW5X5 2805541.640000 PA USD 2656783.010000 0.0220065 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140XKEW6 23310982.930000 PA USD 23733780.520000 0.19659 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202FHX7 1781752.280000 PA USD 1768898.020000 0.014652 Long ABS-MBS USGSE US N 2 2040-07-20 Fixed 4.5 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-5 N/A 69544LAA9 1627331.290000 PA USD 1643306.800000 0.0136117 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.278 N N N N N N FANNIE MAE INTEREST STRIP 323 N/A 3136FAMT4 57990.480000 PA USD 4858.980000 0.0000402 Long ABS-MBS USGSE US N 2 2032-01-25 Variable 5.5 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A 30166TAD5 134524.470000 PA USD 134736.860000 0.001116 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.31 N N N N N N N/A N/A 000000000 35100000.000000 NC USD 2432693.250000 0.0201503 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09800 02/08/35-10Y LCH 2045-02-08 0.000000 USD 0.000000 USD N/A USD N/A 4.100000 USD 2035-02-06 XXXX -684186.750000 N N N FNMA PASS THRU POOLS N/A 3140Q77G6 80958.830000 PA USD 79800.560000 0.000661 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FT5R8 139494.260000 PA USD 131735.220000 0.0010912 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AA1 2462795.780000 PA USD 2102533.830000 0.0174156 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.75368 N N N N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 11141809.730000 PA USD 10012451.380000 0.0829344 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.73368 N N N N N N GCAT 2024-NQM2 TRUST N/A 36831CAA0 4292304.640000 PA USD 4330072.630000 0.0358666 Long ABS-MBS CORP US N 2 2059-06-25 Fixed 6.085 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 2464870.710000 PA USD 1207564.070000 0.0100024 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.65368 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4 N/A 362948AA9 6973657.270000 PA USD 6785123.750000 0.0562021 Long ABS-MBS CORP US N 2 2061-09-25 Variable 3.9 N N N N N N FREDDIE MAC REMICS 5155 N/A 3137H35P3 6354694.880000 PA USD 498431.130000 0.0041286 Long ABS-MBS USGSE US N 2 2047-04-15 Floating 2.32009 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 311535.530000 PA USD 310489.180000 0.0025718 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.64368 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAD0 544000.000000 PA USD 552128.670000 0.0045734 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.75 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-9 N/A 69546QAA6 2881420.850000 PA USD 2881872.080000 0.0238709 Long ABS-O CORP US N 2 2032-03-15 Fixed 5.065 N N N N N N FANNIE MAE REMICS 2021-28 N/A 3136BHMN6 7424999.530000 PA USD 3403027.270000 0.0281877 Long ABS-MBS USGSE US N 2 2051-05-25 Floating 0 N N N N N N GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2024-1A N/A 36252MDE7 3275957.390000 PA 2436628.980000 0.0201829 Long ABS-O CORP CA N 2 2026-12-21 Fixed 4.883 N N N N N N FANNIE MAE 2020-12 N/A 3136B8D89 10766272.620000 PA USD 687352.220000 0.0056934 Long ABS-MBS USGSE US N 2 2060-03-25 Variable 1.90182 N N N N N N FHLMC PASS THRU POOLS N/A 31426G6S9 3999602.960000 PA USD 4133181.820000 0.0342357 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 31427MTX9 89368459.470000 PA USD 92213835.040000 0.763819 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6 N N N N N N FANNIE MAE REMICS 2015-19 N/A 3136ANJM0 900790.090000 PA USD 44556.500000 0.0003691 Long ABS-MBS USGSE US N 2 2055-04-25 Floating 2.02571 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVMT9 165305692.680000 PA USD 170108753.720000 1.40903 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6 N N N N N N N/A N/A 000000000 332400000.000000 NC USD 6215.880000 0.0000515 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 12/31/25-1Y LCH 2026-12-31 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-12-29 XXXX -409284.120000 N N N FNMA PASS THRU POOLS N/A 3140LLVD0 2218488.000000 PA USD 2355404.030000 0.0195101 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 5.59 N N N N N N BAYVIEW FINANCIAL ASSET TR 2007-SR1A N/A 07325QAA3 3102556.580000 PA USD 3119790.970000 0.0258416 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.88368 N N N N N N N/A N/A 000000000 684200000.000000 NC USD 615.780000 0.0000051 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/29/25-1Y LCH 2026-09-29 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-25 XXXX -1128314.220000 N N N PAGAYA AI DEBT SELECTION TRUST 2024-PT2 N/A 69546YAF8 2230000.000000 PA USD 1450962.080000 0.0120185 Long ABS-O CORP US N 3 2032-04-15 Variable 0 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 9136952.570000 PA USD 9463558.420000 0.0783879 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N FANNIE MAE REMICS 2012-149 N/A 3136AA4K8 658274.340000 PA USD 49526.390000 0.0004102 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133C7ZM2 1298722.750000 PA USD 1281110.670000 0.0106116 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138WJXQ6 25264.500000 PA USD 23945.590000 0.0001983 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31406MAT3 169045.910000 PA USD 175167.910000 0.0014509 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.437 N N N N N N N/A N/A 000000000 1.000000 NC USD -17632.060000 -0.000146 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 2600000.000000 USD -17632.060000 N N N FREDDIE MAC REMICS 4076 N/A 3137ASG24 828141.300000 PA USD 135838.690000 0.0011252 Long ABS-MBS USGSE US N 2 2042-07-15 Floating 2.28167 N N N N N N N/A N/A 000000000 -98900000.000000 NC USD -5795.540000 -0.000048 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.39500 07/09/25-10Y LCH 2035-07-09 0.000000 USD 0.000000 USD N/A USD N/A 3.400000 USD 2025-07-07 XXXX 520846.960000 N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL6 N/A 69381QAA4 6961051.040000 PA USD 6955051.310000 0.0576096 Long ABS-MBS CORP US N 2 2054-10-25 Fixed 5.9256 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAL0 5000000.000000 PA USD 4537246.000000 0.0375826 Long ABS-MBS CORP US N 2 2038-09-15 Floating 7.17648 N N N N N N FREDDIE MAC REMICS 3798 N/A 3137A6AN2 225008.300000 PA USD 21732.830000 0.00018 Long ABS-MBS USGSE US N 2 2041-01-15 Floating 2.18167 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H08 N/A 38375BQP0 549847.310000 PA USD 553337.080000 0.0045834 Long ABS-MBS USGSE US N 2 2062-04-20 Floating 5.14602 N N N N N N FNMA PASS THRU POOLS N/A 31418XYC6 84473.370000 PA USD 83353.380000 0.0006904 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H20 N/A 38375UP87 596899.700000 PA USD 601339.740000 0.004981 Long ABS-MBS USGSE US N 2 2067-10-20 Floating 5.16281 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-168 N/A 38381BGP3 4335398.470000 PA USD 443347.390000 0.0036723 Long ABS-MBS USGSE US N 2 2048-12-20 Floating 1.66794 N N N N N N N/A N/A 000000000 238500000.000000 NC USD 1232138.700000 0.010206 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25000 12/02/25-10Y LCH 2035-12-02 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2025-11-28 XXXX -2434798.800000 N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HYW5 481351.020000 PA USD 454941.890000 0.0037683 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.93368 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2018-TWR N/A 36251SAJ7 11605000.000000 PA USD 3664742.950000 0.0303555 Long ABS-MBS CORP US N 2 2031-07-15 Floating 5.809 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2018-TWR N/A 36251SAL2 3293000.000000 PA USD 693224.250000 0.0057421 Long ABS-MBS CORP US N 2 2031-07-15 Floating 6.059 N N N N N N FREDDIE MAC STRIPS 226 N/A 3128HVBU2 282656.120000 PA USD 241183.740000 0.0019978 Long ABS-MBS USGSE US N 2 2034-02-01 None 0 N N N N N N ANCHORAGE CREDIT FUNDING 2 LTD 2015-2A N/A 03329LAS0 16700000.000000 PA USD 16403833.850000 0.135875 Long ABS-CBDO CORP KY N 2 2038-04-25 Fixed 3.928 N N N N N N HOMESTAR MORTGAGE ACCEPTANCE CORP 2004-1 N/A 437690AB6 968660.440000 PA USD 983143.660000 0.0081435 Long ABS-MBS CORP US N 2 2034-03-25 Floating 5.22868 N N N N N N HOME PARTNERS OF AMERICA TRUST 2021-2 N/A 43732VAT3 7976196.420000 PA USD 7682283.950000 0.0636334 Long ABS-MBS CORP US N 2 2026-12-17 Fixed 1.901 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-90 N/A 38378TA91 80193.420000 PA USD 2517.590000 0.0000209 Long ABS-MBS USGSE US N 2 2041-12-16 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 3607 N/A 31398LQT8 18062.290000 PA USD 15027.660000 0.0001245 Long ABS-MBS USGSE US N 2 2037-05-15 None 0 N N N N N N FANNIE MAE 2006-119 N/A 31396LM72 23192.500000 PA USD 25096.480000 0.0002079 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 7.8414 N N N N N N ANCHORAGE CREDIT FUNDING 2020-10A LTD N/A 03332AAA8 7100000.000000 PA USD 6986223.210000 0.0578678 Long ABS-CBDO CORP KY N 2 2038-04-25 Fixed 3.619 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-110 N/A 38376GTH3 616185.440000 PA USD 1512.980000 0.0000125 Long ABS-MBS USGSE US N 2 2050-05-16 Variable 0.3 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX4 N/A 75406DAD5 6542810.140000 PA USD 6441333.120000 0.0533544 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.89368 N N N N N N GSR MORTGAGE LOAN TRUST 2006-7F N/A 36298NAV6 670305.340000 PA USD 185838.470000 0.0015393 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N FHLMC PASS THRU POOLS N/A 3133KG4N5 10384221.090000 PA USD 9536808.630000 0.0789946 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A N/A 64830TAD0 1725171.140000 PA USD 1620162.560000 0.01342 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N OCEANVIEW MORTGAGE TRUST 2025-INV3 N/A 67648CAU4 20400000.000000 PA USD 20451004.080000 0.169398 Long ABS-MBS CORP US N 2 2055-05-25 Floating 5.26091 N N N N N N FNMA PASS THRU POOLS N/A 3140L7Y55 919714.830000 PA USD 806122.410000 0.0066772 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 3 N N N N N N JP MORGAN MORTGAGE TRUST 2021-14 N/A 46653QBD6 20301938.010000 PA USD 18967816.460000 0.157113 Long ABS-MBS CORP US N 2 2052-05-25 Floating 5 N N N N N N FNMA PASS THRU POOLS N/A 3140LLNV9 23455249.000000 PA USD 24017258.810000 0.198938 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 4.88 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 43801760.000000 PA USD 426497737.100000 3.53274 Long STIV RF US N 1 N N N N/A N/A 000000000 -880000000.000000 NC USD -1953776.000000 -0.0161834 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written N/A USD-SOFR-COMPOUND N/A 0.020000 USD 2027-10-01 XXXX 5086224.000000 N N N N/A N/A 000000000 -110000000.000000 NC USD -540914.000000 -0.0044805 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.55000 07/15/25-7Y LCH 2032-07-15 0.000000 USD 0.000000 USD N/A USD N/A 3.550000 USD 2025-07-11 XXXX 339086.000000 N N N GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL3 N/A 362963AA8 10900000.000000 PA USD 10493424.550000 0.0869184 Long ABS-MBS CORP US N 2 2065-07-25 Fixed 4.1 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-HE9 N/A 61744CJT4 1649365.480000 PA USD 1574529.310000 0.013042 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.31868 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-11 N/A 69544AAB1 1599816.230000 PA USD 1605226.810000 0.0132963 Long ABS-O CORP US N 2 2032-07-15 Fixed 5.637 N N N N N N FREDDIE MAC REMICS 5171 N/A 3137H4HW3 29167199.320000 PA USD 4766999.560000 0.0394857 Long ABS-MBS USGSE US N 2 2050-04-25 Fixed 2.5 N N N N N N VERUS SECURITIZATION TRUST 2023-6 N/A 92539XAA2 12427267.380000 PA USD 12579152.200000 0.104195 Long ABS-MBS CORP US N 2 2068-09-25 Fixed 6.665 N N N N N N BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV6 N/A 07335UAU8 1102959.290000 PA USD 1026452.190000 0.0085022 Long ABS-MBS CORP US N 2 2051-10-25 Floating 5 N N N N N N FREDDIE MAC REMICS 4795 N/A 3137F5RR2 1033252.660000 PA USD 140811.670000 0.0011664 Long ABS-MBS USGSE US N 2 2048-06-15 Floating 1.78167 N N N N N N GNMA PASS THRU POOLS N/A 36180AB69 142844307.390000 PA USD 130180923.850000 1.07831 Long ABS-MBS USGSE US N 2 2054-10-20 Fixed 3.5 N N N N N N N/A N/A 000000000 -101.000000 NC USD -311047.180000 -0.0025764 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-09-19 -12017421.880000 USD -311047.180000 N N N FANNIE MAE REMICS 2020-40 N/A 3136B9P50 16994359.220000 PA USD 3390738.340000 0.0280859 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617ALXP0 351119.690000 PA USD 331330.940000 0.0027445 Long ABS-MBS USGSE US N 2 2047-05-15 Fixed 4 N N N N N N FANNIE MAE REMICS 2016 30 N/A 3136ARZ76 212723.070000 PA USD 23840.240000 0.0001975 Long ABS-MBS USGSE US N 2 2046-05-25 Floating 1.58035 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H09 N/A 38380QAW2 465227.340000 PA USD 471906.840000 0.0039089 Long ABS-MBS USGSE US N 2 2070-05-20 Floating 5.59602 N N N N N N FANNIE MAE REMICS 2016-91 N/A 3136AURC7 2329760.580000 PA USD 280324.020000 0.002322 Long ABS-MBS USGSE US N 2 2046-12-25 Floating 1.58035 N N N N N N N/A N/A 000000000 -110000000.000000 NC USD -13068.000000 -0.0001082 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.23600 08/08/25-7Y LCH 2032-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.240000 USD 2025-08-06 XXXX 184932.000000 N N N N/A N/A 000000000 1.000000 NC -2713245.960000 -0.0224742 N/A DFE N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 66335858.000000 EUR 75427121.000000 USD 2025-07-02 -2713245.960000 N N N FHLMC PASS THRU POOLS N/A 3132XVSB0 2829007.160000 PA USD 2679725.540000 0.0221965 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 4973 N/A 3137FT2D8 18358786.340000 PA USD 3938989.600000 0.0326272 Long ABS-MBS USGSE US N 2 2050-05-25 Fixed 5 N N N N N N N/A N/A 000000000 -139500000.000000 NC USD -334.800000 -0.0000028 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.96700 07/09/25-7Y LCH 2032-07-09 0.000000 USD 0.000000 USD N/A USD N/A 3.970000 USD 2025-07-07 XXXX 425140.200000 N N N SILVER ROCK CLO II LTD 2021-2A N/A 82812LAN9 15300000.000000 PA USD 15271990.900000 0.1265 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.30947 N N N N N N FREDDIE MAC 2885 N/A 31395J3Z7 4663.650000 PA USD 4974.180000 0.0000412 Long ABS-MBS USGSE US N 2 2034-11-15 Floating 6.22147 N N N N N N FREDDIE MAC REMICS 5068 N/A 3137F8PA5 10600249.350000 PA USD 1206704.830000 0.0099953 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 3 N N N N N N FANNIE MAE INTEREST STRIP 438 N/A 31424UWK8 67002451.970000 PA USD 16463607.990000 0.13637 Long ABS-MBS USGSE US N 2 2053-08-25 Fixed 5 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2019-GS1 N/A 59981BAC8 1367898.740000 PA USD 1333400.880000 0.0110447 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2024-PT2 N/A 69544PAB8 2478345.860000 PA USD 2479521.340000 0.0205382 Long ABS-O CORP US N 3 2032-04-15 Fixed 5.617 N N N N N N FREDDIE MAC REMICS 4598 N/A 3137BQVM6 2752762.430000 PA USD 569076.100000 0.0047137 Long ABS-MBS USGSE US N 2 2046-03-15 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GQNB8 86264.850000 PA USD 81466.310000 0.0006748 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2012-60 N/A 3136A6MK7 1121025.000000 PA USD 1052790.340000 0.0087204 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 4 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 1750.550000 PA USD 1764.350000 0.0000146 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.49 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEV9 2881676.590000 PA USD 121484.860000 0.0010063 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 0.07769 N N N N N N BCP TRUST 2021-330N N/A 05553BAJ4 5000000.000000 PA USD 3183257.500000 0.0263673 Long ABS-MBS CORP US N 2 2038-06-15 Floating 6.02248 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-2 N/A 288547AA0 1700613.400000 PA USD 1670004.910000 0.0138329 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.48368 N N N N N N FANNIE MAE REMICS 2024-10 N/A 3136BQ6B0 52890164.540000 PA USD 2687946.920000 0.0222646 Long ABS-MBS USGSE US N 2 2050-12-25 Floating 1.51222 N N N N N N ANCHORAGE CREDIT FUNDING 3 LTD 2016-3A N/A 03330EAJ3 5300000.000000 PA USD 5027872.930000 0.0416465 Long ABS-CBDO CORP KY N 2 2039-01-28 Fixed 2.871 N N N N N N FNMA PASS THRU POOLS N/A 3140XA2C5 51952245.550000 PA USD 46099080.090000 0.381845 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-8 N/A 41161PRT2 2166426.980000 PA USD 1554102.210000 0.0128728 Long ABS-MBS CORP US N 2 2035-09-19 Floating 6.29869 N N N N N N FNMA PASS THRU POOLS N/A 31406AUA8 93714.690000 PA USD 95111.890000 0.0007878 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 6.143 N N N N N N PAGAYA AI DEBT TRUST 2022-3 N/A 69547MAD8 1306.930000 PA USD 1308.370000 0.0000108 Long ABS-O CORP US N 2 2030-03-15 Variable 8.05 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AU2 3061.700000 PA USD 3082.480000 0.0000255 Long ABS-MBS CORP US N 2 2037-02-25 Floating 7.291 N N N N N N MOUNTAIN VIEW CLO XIV LTD 2019-1A N/A 62432MAN9 17100000.000000 PA USD 17084682.160000 0.141515 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.4151 N N N N N N FNMA PASS THRU POOLS N/A 3140H96J7 192935.980000 PA USD 182084.570000 0.0015082 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 3805 N/A 3137A7D56 77059.320000 PA USD 63971.300000 0.0005299 Long ABS-MBS USGSE US N 2 2041-02-15 Floating 1.20501 N N N N N N FANNIE MAE REMICS 2018-94 N/A 3136B3XP0 38348.000000 PA USD 31377.450000 0.0002599 Long ABS-MBS USGSE US N 2 2043-01-25 Floating 0 N N N N N N VISIO TRUST 2023-2 N/A 92839CAA5 3535498.830000 PA USD 3566121.200000 0.0295386 Long ABS-MBS CORP US N 2 2058-10-25 Fixed 6.598 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KL0 5822573.360000 PA 8021125.930000 0.06644 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 5.16986 N N N N N N FNMA PASS THRU POOLS N/A 3140H6HW2 218360.500000 PA USD 206803.190000 0.001713 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31425UTJ4 1082074.980000 PA USD 1114781.510000 0.0092339 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140QUB39 5808834.860000 PA USD 5975900.260000 0.0494992 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-39 N/A 38379LDY9 170.200000 PA USD 115.470000 0.000001 Long ABS-MBS USGSE US N 2 2045-03-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36179XQT6 1083079.660000 PA USD 988691.850000 0.0081895 Long ABS-MBS USGSE US N 2 2053-01-20 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F042681 786000000.000000 PA USD 751563060.600000 6.2253 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 31425W2R1 8236149.900000 PA USD 8326359.540000 0.0689683 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N PRPM 2023-NQM2 TRUST N/A 74390KAK4 6146044.030000 PA USD 6180386.890000 0.051193 Long ABS-MBS CORP US N 2 2068-08-25 Fixed 6.25 N N N N N N FANNIE MAE REMICS 2012-146 N/A 3136ABFJ7 3677282.500000 PA USD 356009.850000 0.0029489 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J55F2 522923.840000 PA USD 539655.920000 0.00447 Long ABS-MBS USGSE US N 2 2043-09-01 Floating 6.705 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797PW1 4704000.000000 PA USD 4664171.230000 0.0386339 Long DBT UST US N 2 2025-09-11 None 0 N N N N N N FREDDIE MAC 2400 N/A 31339NBP0 2205.670000 PA USD 2061.780000 0.0000171 Long ABS-MBS USGSE US N 2 2032-01-15 None 0 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM1 N/A 36271LAL3 100389752.970000 PA USD 104312673.310000 0.864036 Long ABS-MBS CORP US N 2 2065-04-25 Variable 5.75461 N N N N N N GNMA PASS THRU POOLS N/A 36241LUT1 1580641.840000 PA USD 1536288.410000 0.0127253 Long ABS-MBS USGSE US N 2 2041-03-20 Fixed 4.5 N N N N N N FREDDIEMAC STRIP-207 N/A 3128CU7F7 23574.850000 PA USD 21941.590000 0.0001817 Long ABS-MBS USGSE US N 2 2030-04-01 None 0 N N N N N N FREDDIE MAC REMICS 5083 N/A 3137FFQB6 4037257.590000 PA USD 600708.000000 0.0049757 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2013-45 N/A 3136AD3D9 174001.790000 PA USD 16249.370000 0.0001346 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3 N N N N N N FANNIEMAE 322 N/A 3136FALR9 54916.850000 PA USD 6519.450000 0.000054 Long ABS-MBS USGSE US N 2 2032-04-25 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 21H022671 -10300000.000000 PA USD -8752444.360000 -0.0724976 Short ABS-MBS USGSE US N 2 2054-07-15 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 5426 N/A 3137HCY30 43754107.040000 PA USD 1864196.240000 0.0154414 Long ABS-MBS USGSE US N 2 2050-12-15 Floating 1.69916 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-54 N/A 38378MRJ6 1216284.070000 PA USD 1023246.770000 0.0084757 Long ABS-MBS USGSE US N 2 2043-04-20 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2012-149 N/A 3136AA2Y0 631744.990000 PA USD 11838.330000 0.0000981 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2019-10 N/A 3136B3N30 2919724.040000 PA USD 280105.480000 0.0023202 Long ABS-MBS USGSE US N 2 2049-03-25 Floating 1.63035 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-8 N/A 54251UAD8 22861010.530000 PA USD 6107584.150000 0.0505899 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.75368 N N N N N N FANNIE MAE REMICS 2020-66 N/A 3136BBL42 22753775.950000 PA USD 4969524.780000 0.0411632 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 3.5 N N N N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAA0 397524.240000 PA USD 333684.750000 0.002764 Long ABS-MBS CORP US N 2 2047-07-25 Floating 5.20869 N N N N N N N/A N/A 000000000 229500000.000000 NC USD 138985.200000 0.0011512 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% SEP 30YR N/A 99.140000 USD 2025-09-08 XXXX -129960.110000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-35 N/A 38381RG78 7425162.240000 PA USD 895999.530000 0.0074217 Long ABS-MBS USGSE US N 2 2049-03-20 Floating 1.61794 N N N N N N FREDDIE MAC REMICS 3223 N/A 31397BZN4 685962.500000 PA USD 36027.920000 0.0002984 Long ABS-MBS USGSE US N 2 2032-04-15 Floating 2.03167 N N N N N N FREDDIE MAC REMICS 3423 N/A 31397RVR4 330163.970000 PA USD 289762.700000 0.0024001 Long ABS-MBS USGSE US N 2 2038-03-15 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3140LH3L2 23527000.000000 PA USD 23581769.440000 0.195331 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -10428.430000 -0.0000864 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 3200000.000000 USD -10428.430000 N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR12 N/A 45660N5H4 188607.480000 PA USD 145910.310000 0.0012086 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.21368 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A 38382Y5F6 4321423.110000 PA USD 4363932.950000 0.036147 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 5.45185 N N N N N N N/A N/A 000000000 93000000.000000 NC USD 142996.800000 0.0011845 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 04/02/26-7Y LCH 2033-04-02 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2026-03-31 XXXX -202870.970000 N N N GNMA PASS THRU POOLS N/A 36202FJT4 2448.550000 PA USD 2560.490000 0.0000212 Long ABS-MBS USGSE US N 2 2040-08-20 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140AXZP5 2332056.260000 PA USD 2358290.890000 0.019534 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N FANNIE MAE 2006-46 N/A 31395D5N5 128180.010000 PA USD 132701.870000 0.0010992 Long ABS-MBS USGSE US N 2 2036-06-25 Fixed 5.5 N N N N N N RCKT MORTGAGE TRUST 2025-CES6 N/A 748949AA2 20200000.000000 PA USD 20299323.600000 0.168142 Long ABS-MBS CORP US N 3 2055-06-25 Fixed 5.472 N N N N N N FREDDIE MAC REMICS 5152 N/A 3137H3BN1 15561561.490000 PA USD 2708600.260000 0.0224357 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XPK0 266237.130000 PA USD 13548.980000 0.0001122 Long ABS-MBS USGSE US N 2 2034-05-15 Variable 3 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-BC1 N/A 86362PAA3 9325882.880000 PA USD 8968967.350000 0.0742911 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.70368 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-4 N/A 68389FJJ4 5480462.530000 PA USD 5287730.010000 0.043799 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.12368 N N N N N N FNMA PASS THRU POOLS N/A 3140J8QY2 1585680.960000 PA USD 1527209.480000 0.0126501 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 3.5 N N N N N N RAAC SERIES 2005-SP2 N/A 76112BF54 17727.640000 PA USD 16169.230000 0.0001339 Long ABS-MBS CORP US N 2 2044-06-25 Floating 5.03368 N N N N N N N/A N/A 000000000 154000000.000000 NC USD 7268.800000 0.0000602 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% AUG 30YR N/A 98.280000 USD 2025-08-06 XXXX -305543.700000 N N N FANNIE MAE REMICS 2012-111 N/A 3136A9EX2 2194069.200000 PA USD 182771.450000 0.0015139 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 1.73035 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9 N/A 07389MAB3 1023841.240000 PA USD 1014842.900000 0.0084061 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.73368 N N N N N N ARROWMARK COLORADO HOLDINGS 2018-3A N/A 28623VAS8 3500000.000000 PA USD 3492734.180000 0.0289308 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 6.13177 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-105 N/A 38381NKM9 77000000.000000 PA USD 77101740.100000 0.638644 Long ABS-MBS USGSE US N 2 2055-06-20 Floating 5.30385 N N N N N N PRPM 2024-RCF2 LLC N/A 693987AA7 1720733.960000 PA USD 1675694.260000 0.01388 Long ABS-MBS CORP US N 2 2054-03-25 Fixed 3.75 N N N N N N CENTEX HOME EQUITY 2005-B N/A 152314NE6 1652947.150000 PA USD 1643905.860000 0.0136167 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.39368 N N N N N N PRET 2025-NPL5 LLC N/A 74143LAA4 11806173.740000 PA USD 11860347.550000 0.0982408 Long ABS-MBS CORP US N 2 2055-05-25 Fixed 6.2441 N N N N N N GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-NQM1 N/A 36262EAD8 17128000.000000 PA USD 13815843.880000 0.114438 Long ABS-MBS CORP US N 2 2061-07-25 Variable 2.3 N N N N N N SBNA AUTO RECEIVABLES TRUST 2025-SF1 N/A 78437XAC0 7900000.000000 PA USD 7919081.270000 0.0655948 Long ABS-O CORP US N 2 2031-04-15 Fixed 5.14 N N N N N N N/A N/A 000000000 -115800000.000000 NC USD -908173.080000 -0.0075225 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.33000 10/10/25-7Y LCH 2032-10-10 0.000000 USD 0.000000 USD N/A USD N/A 3.330000 USD 2025-10-08 XXXX 635826.920000 N N N MFA 2021-NQM1 TRUST N/A 55283FAD0 8966000.000000 PA USD 7524687.710000 0.062328 Long ABS-MBS CORP US N 2 2065-04-25 Variable 2.306 N N N N N N AYRESOME CDO I LTD N/A 05473WAE6 2266377.340000 PA USD 545392.370000 0.0045176 Long ABS-CBDO CORP KY N 2 2045-12-08 Floating 7.83 N N N N N N N/A N/A 000000000 -332400000.000000 NC USD -1628.760000 -0.0000135 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 12/31/25-1Y LCH 2026-12-31 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-12-29 XXXX 194487.240000 N N N FREDDIE MAC-2614 N/A 31393QP30 5684.080000 PA USD 5672.140000 0.000047 Long ABS-MBS USGSE US N 2 2033-05-15 Floating 4.78828 N N N N N N FNMA PASS THRU POOLS N/A 3140A3ZD8 9999005.600000 PA USD 10334515.030000 0.0856021 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -9854399.980000 -0.0816253 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-20 0.000000 USD -2656945.590000 USD 679300000.000000 USD -7197454.390000 N N N GNMA PASS THRU POOLS N/A 21H062685 213500000.000000 PA USD 218780435.720000 1.81219 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3618N5ML0 1141165.970000 PA USD 1039732.260000 0.0086122 Long ABS-MBS USGSE US N 2 2055-05-20 Fixed 3.5 N N N N N N PRPM 2024-NQM4 TRUST N/A 69381UAA5 5363747.230000 PA USD 5375468.090000 0.0445257 Long ABS-MBS CORP US N 2 2069-12-26 Fixed 5.674 N N N N N N FREDDIE MAC REMICS 5092 N/A 3137FYFG6 5571983.400000 PA USD 204656.720000 0.0016952 Long ABS-MBS USGSE US N 2 2031-04-25 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3140EW6G5 47753.110000 PA USD 45290.170000 0.0003751 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179T4E2 429300.820000 PA USD 414319.270000 0.0034319 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.5 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2017-ASHF N/A 61691KAG6 2500000.000000 PA USD 2429936.500000 0.0201275 Long ABS-MBS CORP US N 2 2034-11-15 Floating 5.859 N N N N N N GNMA PASS THRU POOLS N/A 36202FPG5 6889582.670000 PA USD 6839873.570000 0.0566556 Long ABS-MBS USGSE US N 2 2041-01-20 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H12 N/A 38383KZE5 16642065.980000 PA USD 16646639.220000 0.137886 Long ABS-MBS USGSE US N 2 2074-07-20 Floating 5.15185 N N N N N N FANNIE MAE REMICS 2021-58 N/A 3136BGXZ9 6359925.160000 PA USD 488961.860000 0.0040501 Long ABS-MBS USGSE US N 2 2061-09-25 Floating 2.32596 N N N N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3 N/A 84751XAC6 859104.490000 PA USD 589902.290000 0.0048862 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.73368 N N N N N N N/A N/A 000000000 146000000.000000 NC USD 8993.600000 0.0000745 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% AUG 30YR N/A 98.510000 USD 2025-08-06 XXXX -276162.650000 N N N TOWD POINT MORTGAGE TRUST 2016-4 N/A 89172UAC2 619375.330000 PA USD 611895.010000 0.0050684 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 3140XMNC6 7699821.820000 PA USD 7980558.250000 0.066104 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 6 N N N N N N FREDDIE MAC REMICS 3298 N/A 31397GG87 62991.280000 PA USD 56379.390000 0.000467 Long ABS-MBS USGSE US N 2 2036-12-15 None 0 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SNZB8 4995000.000000 PA 6873361.560000 0.056933 Long ABS-MBS CORP GB N 2 2066-05-16 Floating 5.72522 N N N N N N FANNIE MAE INTEREST STRIP 430 N/A 31424QKY0 4072719.420000 PA USD 588285.060000 0.0048728 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WTST4 37161.030000 PA USD 36707.410000 0.0003041 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4 N N N N N N PREFERRED TERM SECURITIES XXVI LTD / PREFERRED TERM SECURITIES XXVI INC N/A 74042QAA5 1719123.380000 PA USD 1564402.280000 0.0129581 Long DBT CORP KY N 2 2037-09-22 Floating 4.88008 N N N N N N ASSET BACKED FUNDING CERTS 2004-OPT5 N/A 04542BKB7 5421221.250000 PA USD 5477462.080000 0.0453705 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.68368 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2005-2 N/A 64352VKW0 2838125.910000 PA USD 2981941.130000 0.0246998 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.37868 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0Q6 186.000000 PA 2093067.690000 0.0173372 Long ABS-MBS CORP GB N 2 2049-12-21 Variable 0 N N N N N N GUGGENHEIM CLO 2022-2A LTD N/A 40172PAL6 14000000.000000 PA USD 13975182.760000 0.115758 Long ABS-CBDO CORP KY N 2 2035-01-15 Floating 5.4061 N N N N N N FNMA PASS THRU POOLS N/A 3140LKVD2 1500000.000000 PA USD 1531057.710000 0.012682 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 4.84 N N N N N N FREDDIE MAC REMICS 4168 N/A 3137AYFP1 762901.000000 PA USD 16116.970000 0.0001335 Long ABS-MBS USGSE US N 2 2028-02-15 Fixed 2.5 N N N N N N ACE SECURITIES CORP-2006-ASP5 N/A 004422AD3 5160999.180000 PA USD 1772179.770000 0.0146792 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.69368 N N N N N N FREDDIE MAC REMICS 4154 N/A 3137AXS95 1621311.520000 PA USD 190258.800000 0.0015759 Long ABS-MBS USGSE US N 2 2043-01-15 Floating 1.73167 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 N/A 802920AD0 4900000.000000 PA USD 4905796.700000 0.0406354 Long ABS-O CORP US N 2 2028-11-15 Fixed 4.62 N N N N N N N/A N/A 000000000 35100000.000000 NC USD 1849282.110000 0.0153178 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09800 02/08/35-10Y LCH 2045-02-08 0.000000 USD 0.000000 USD N/A USD N/A 4.100000 USD 2035-02-06 XXXX -1267597.890000 N N N UMBS PASS THRU POOLS N/A 01F020471 -106600000.000000 PA USD -97435013.830000 -0.807067 Short ABS-MBS USGSE US N 2 2039-07-15 Fixed 2 N N N N N N ARROWMARK COLORADO HOLDINGS 2018-3A N/A 28623VAN9 19700000.000000 PA USD 19707514.170000 0.16324 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 5.58177 N N N N N N FNMA PASS THRU POOLS N/A 3140LKYT4 2331007.480000 PA USD 2349872.860000 0.0194643 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 4.32 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H04 N/A 38380VPG0 260056.690000 PA USD 260954.250000 0.0021615 Long ABS-MBS USGSE US N 2 2068-03-20 Floating 4.91353 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 371532.240000 PA USD 358070.960000 0.0029659 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.17368 N N N N N N FREDDIE MAC REMICS 3005 N/A 31395WJR9 100244.220000 PA USD 103704.780000 0.000859 Long ABS-MBS USGSE US N 2 2033-10-15 Floating 5.10473 N N N N N N GNMA PASS THRU POOLS N/A 36196PG71 722466.760000 PA USD 666479.390000 0.0055205 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N FANNIE MAE INTEREST STRIP 22 N/A 31397VSM0 8067545.940000 PA USD 1460291.400000 0.0120958 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CYK4 2829161.040000 PA USD 2786522.100000 0.0230811 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 4 N N N N N N PREFERRED TERM SECURITIES XVI LTD / PREFERRED TERM SECURITIES XVI INC N/A 74041EAB1 2957725.700000 PA USD 2735896.270000 0.0226618 Long DBT CORP KY N 2 2035-03-23 Floating 5.16008 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAA3 5152.640000 PA USD 5152.360000 0.0000427 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.7389 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-5 N/A 12668KAA1 582018.040000 PA USD 544466.530000 0.0045099 Long ABS-MBS CORP US N 2 2047-09-25 Floating 4.83368 N N N N N N FNMA PASS THRU POOLS N/A 3138WKNK7 1129312.530000 PA USD 1070062.610000 0.0088635 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 4141 N/A 3137AX2S1 90711.610000 PA USD 47747.420000 0.0003955 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 0 N N N N N N FANNIE MAE REMICS 2016-62 N/A 3136ATWH3 2972148.200000 PA USD 333821.580000 0.0027651 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 1.58035 N N N N N N CHASEFLEX TRUST 2007-2 N/A 16165WAC0 8700000.000000 PA USD 7849509.750000 0.0650185 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.03368 N N N N N N AEGIS ASSET BACKED SEC TR 2005-1 N/A 00764MEN3 867348.410000 PA USD 852672.090000 0.0070628 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.13368 N N N N N N RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2004-RS10 N/A 76112BED8 9284123.220000 PA USD 8657942.530000 0.0717149 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.68368 N N N N N N FANNIE MAE 2009-11 N/A 31397NNF8 3673.340000 PA USD 3976.530000 0.0000329 Long ABS-MBS USGSE US N 2 2049-03-25 Fixed 7 N N N N N N SEQUOIA MORTGAGE TRUST 2007-2 N/A 81744LAZ7 38190.850000 PA USD 35858.030000 0.000297 Long ABS-MBS CORP US N 2 2036-06-20 Floating 4.81206 N N N N N N FANNIE MAE REMICS 2013-54 N/A 3136AEVQ7 662283.680000 PA USD 70450.360000 0.0005835 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-6 N/A 68403KAB1 2018622.810000 PA USD 1301104.950000 0.0107772 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.56368 N N N N N N CIM TRUST 2023-R3 N/A 12570GAB5 12438749.880000 PA USD 11837565.200000 0.0980521 Long ABS-MBS CORP US N 2 2063-01-25 Variable 4.5 N N N N N N FREDDIE MAC REMICS 4062 N/A 3137ARG83 37.690000 PA USD 36.390000 0.0000003 Long ABS-MBS USGSE US N 2 2041-02-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140B46Z8 2998142.380000 PA USD 3092906.050000 0.0256189 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6 N N N N N N FREDDIE MAC 3001 N/A 31395WBC0 658747.160000 PA USD 709854.680000 0.0058798 Long ABS-MBS USGSE US N 2 2035-07-15 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-126 N/A 38376G4P2 206359.500000 PA USD 2.060000 0 Long ABS-MBS USGSE US N 2 2053-04-16 Variable 0 N N N N N N GNRT-3A N/A 98625UBC5 31600000.000000 PA USD 32076770.690000 0.265696 Long ABS-CBDO CORP KY N 2 2036-10-20 Floating 6.09947 N N N N N N N/A N/A 000000000 -34000000.000000 NC USD -1757.800000 -0.0000146 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUL 30YR N/A 96.440000 USD 2025-07-07 XXXX 146992.200000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1 N/A 02149VAG4 750982.930000 PA USD 332567.610000 0.0027547 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31417GUP9 891668.880000 PA USD 859197.450000 0.0071168 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N HSI ASSET SECURI CORP TRUS 2005-I1 N/A 40430HCN6 560942.130000 PA USD 521452.360000 0.0043193 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.21368 N N N N N N GNMA PASS THRU POOLS N/A 36179TZ65 365808.710000 PA USD 356999.120000 0.0029571 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4.5 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS5 N/A 52475XAA2 9626670.980000 PA USD 9615608.970000 0.0796474 Long ABS-MBS CORP US N 2 2067-07-25 Fixed 5.25 N N N N N N PRPM 2023-NQM3 TRUST N/A 69380TAA9 8382936.370000 PA USD 8438112.020000 0.069894 Long ABS-MBS CORP US N 2 2068-11-25 Fixed 6.221 N N N N N N LEHMAN XS TRUST 2006-18N N/A 52522GAC8 5470195.130000 PA USD 5310930.400000 0.0439911 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.79368 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DBC7 9750000.000000 PA USD 9786173.180000 0.0810602 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.23108 N N N N N N FNMA PASS THRU POOLS N/A 3140YWQA4 6377133.200000 PA USD 6609659.290000 0.0547487 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N FANNIE MAE REMICS 2016-88 N/A 3136AUTX9 857216.400000 PA USD 849537.280000 0.0070368 Long ABS-MBS USGSE US N 2 2046-12-25 Floating 4.90449 N N N N N N FNMA PASS THRU POOLS N/A 3140QV3U6 61969942.370000 PA USD 63928649.890000 0.529529 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6 N N N N N N FREDDIE MAC-4110 N/A 3137AU5Y1 153919.110000 PA USD 2923.250000 0.0000242 Long ABS-MBS USGSE US N 2 2027-09-15 Fixed 2.5 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3 N/A 161917AB5 12046536.800000 PA USD 10734871.320000 0.0889183 Long ABS-MBS CORP US N 2 2064-09-25 Variable 3.25 N N N N N N FNMA PASS THRU POOLS N/A 3140BAXW1 3363833.860000 PA USD 3470157.250000 0.0287438 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179QRZ6 573042.880000 PA USD 544727.830000 0.0045121 Long ABS-MBS USGSE US N 2 2044-10-20 Fixed 4 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2021-B N/A 19425AAB0 7550943.940000 PA USD 6818632.250000 0.0564796 Long ABS-O CORP US N 2 2052-06-25 Fixed 1.76 N N N N N N FNMA PASS THRU POOLS N/A 3140QCMJ2 13824.210000 PA USD 12151.460000 0.0001007 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-NINE N/A 46646GAA5 10000000.000000 PA USD 9753280.000000 0.0807877 Long ABS-MBS CORP US N 2 2038-09-06 Variable 2.94924 N N N N N N FNMA PASS THRU POOLS N/A 3140JA2Y3 1370278.630000 PA USD 1423102.100000 0.0117877 Long ABS-MBS USGSE US N 2 2049-08-01 Floating 6.146 N N N N N N FREDDIE MAC REMICS 3706 N/A 3137A1AD5 1150573.920000 PA USD 51442.390000 0.0004261 Long ABS-MBS USGSE US N 2 2040-08-15 Floating 0.08167 N N N N N N GNMA PASS THRU POOLS N/A 36179TV77 274319.150000 PA USD 267938.930000 0.0022194 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4.5 N N N N N N FREDDIE MAC-2177 N/A 3133TLQB7 1818.100000 PA USD 1746.330000 0.0000145 Long ABS-MBS USGSE US N 2 2029-08-15 None 0 N N N N N N N/A N/A 000000000 24900000.000000 NC USD 1589767.890000 0.0131683 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.30750 05/04/35-10Y LCH 2045-05-04 0.000000 USD 0.000000 USD N/A USD N/A 4.310000 USD 2035-05-02 XXXX -625087.110000 N N N N/A N/A 000000000 -241036767.590000 PA USD -241605413.540000 -2.00125 Short RA US N 2 Reverse repurchase N 4.470000 2025-07-14 245076559.000000 USD 250727599.300000 USD AMBS N N N N/A N/A 000000000 1.000000 NC -1992392.650000 -0.0165032 N/A DFE GB N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 106935745.000000 GBP 144792923.570000 USD 2025-07-02 -1992392.650000 N N N FREDDIE MAC STRIPS 399 N/A 3142G4VX6 105543146.690000 PA USD 13377820.760000 0.11081 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 2 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-61 N/A 38379WD66 1959757.480000 PA USD 374972.160000 0.0031059 Long ABS-MBS USGSE US N 2 2046-05-20 Fixed 3.5 N N N N N N START IRELAND 2019-1 N/A 85573LAA9 2640532.690000 PA USD 2615133.930000 0.0216615 Long ABS-O CORP BM N 2 2044-03-15 Fixed 4.089 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20 N/A 38383KDY5 334457.900000 PA USD 337084.500000 0.0027921 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 5.40185 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H16 N/A 38380LG64 1116060.940000 PA USD 1111254.620000 0.0092047 Long ABS-MBS USGSE US N 2 2069-10-20 Floating 5.04602 N N N N N N N/A N/A 000000000 1.000000 NC USD 682898.720000 0.0056565 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-09-17 0.000000 USD -1098562.000000 USD 131600000.000000 USD 1781460.720000 N N N JP MORGAN MORTGAGE TRUST 2021-13 N/A 46592XAH7 9096239.180000 PA USD 170236.120000 0.0014101 Long ABS-O CORP US N 2 2052-04-25 Variable 0.5 N N N N N N FREDDIE MAC REMICS 4604 N/A 3137BRMT9 550161.760000 PA USD 59769.190000 0.0004951 Long ABS-MBS USGSE US N 2 2046-01-15 Fixed 3 N N N N N N JP MORGAN MTGGE ACQUIS CORP 2005-OPT2 N/A 46626LEP1 538586.820000 PA USD 530983.320000 0.0043982 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.36368 N N N N N N FNMA PASS THRU POOLS N/A 31418E5P1 13652559.010000 PA USD 13662588.450000 0.113169 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.5 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-4R N/A 12639QAA4 433861.120000 PA USD 395647.930000 0.0032772 Long ABS-MBS CORP US N 2 2036-10-26 Fixed 5.15383 N N N N N N FNMA PASS THRU POOLS N/A 3140QSNE7 14313207.180000 PA USD 13887841.710000 0.115035 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.5 N N N N N N STRUCTURED ARM LOAN TRUST 2005-16XS N/A 863579WV6 4688566.880000 PA USD 4179500.570000 0.0346194 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.40868 N N N N N N N/A N/A 000000000 1.000000 NC USD -31014.720000 -0.0002569 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 4500000.000000 USD -31014.720000 N N N COUNTRYWIDE HOME LOANS 2007-4 N/A 12544RAB4 22855.680000 PA USD 9484.420000 0.0000786 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 5.75 N N N N N N N/A N/A 000000000 190000000.000000 NC USD 2981252.000000 0.0246941 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.66000 09/30/25-10Y LCH 2035-09-30 0.000000 USD 0.000000 USD N/A USD N/A 3.660000 USD 2025-09-26 XXXX -642998.000000 N N N FREDDIE MAC REMICS 5051 N/A 3137F7ZF5 9929254.430000 PA USD 1496084.450000 0.0123923 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15 N/A 38376R5Y8 70163.660000 PA USD 70329.110000 0.0005825 Long ABS-MBS USGSE US N 2 2067-07-20 Floating 4.94602 N N N N N N FHLMC PASS THRU POOLS N/A 3131YA2J8 303370.060000 PA USD 295283.770000 0.0024459 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-A N/A 78448YAK7 568937.080000 PA USD 564880.270000 0.004679 Long ABS-O CORP US N 2 2053-01-15 Floating 5.15624 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H33 N/A 38376RNF9 206021.930000 PA USD 206190.890000 0.0017079 Long ABS-MBS USGSE US N 2 2065-12-20 Floating 5.10602 N N N N N N FANNIE MAE 2008-53 N/A 31397LC31 77064.600000 PA USD 77084.440000 0.0006385 Long ABS-MBS USGSE US N 2 2038-07-25 Floating 5.26965 N N N N N N FNMA PASS THRU POOLS N/A 3140F97D1 11252.840000 PA USD 10626.480000 0.000088 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4 N N N N N N FANNIE MAE 2004-53 N/A 31394ABQ8 238504.100000 PA USD 205997.280000 0.0017063 Long ABS-MBS USGSE US N 2 2034-07-25 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3140HEM41 108630.120000 PA USD 106872.600000 0.0008852 Long ABS-MBS USGSE US N 2 2048-06-01 Floating 3.975 N N N N N N FNMA PASS THRU POOLS N/A 3138WX4Z7 24964.910000 PA USD 24045.400000 0.0001992 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N FANNIE MAE 2021-61 N/A 3136BGVA6 35108559.400000 PA USD 5346043.540000 0.044282 Long ABS-MBS USGSE US N 2 2049-04-25 Fixed 2.5 N N N N N N NASSAU LTD 2018-IA N/A 63170MAA1 2919737.160000 PA USD 2922691.930000 0.024209 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 5.66771 N N N N N N N/A N/A 000000000 -102000000.000000 NC USD -8721.000000 -0.0000722 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.28700 08/08/25-7Y LCH 2032-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.290000 USD 2025-08-06 XXXX 270249.000000 N N N FREDDIE MAC-2528 N/A 31397JJW5 34847.100000 PA USD 30760.320000 0.0002548 Long ABS-MBS USGSE US N 2 2037-06-15 None 0 N N N N N N JAMESTOWN CLO 2022 XVIIIA LTD N/A 47047RAN6 20100000.000000 PA USD 20130464.360000 0.166743 Long ABS-CBDO CORP KY N 2 2035-07-25 Floating 5.55177 N N N N N N FHLMC PASS THRU POOLS N/A 3133KLZ75 34229674.640000 PA USD 29827222.300000 0.247063 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SNZ69 5212000.000000 PA 7157627.660000 0.0592876 Long ABS-MBS CORP GB N 2 2066-05-16 Floating 6.22522 N N N N N N FNMA PASS THRU POOLS N/A 3138WJBN7 37172.230000 PA USD 35226.040000 0.0002918 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 4 N N N N N N FANNIE MAE-ACES 2001-M2 N/A 313920HM5 11249.820000 PA USD 11190.610000 0.0000927 Long ABS-MBS USGSE US N 2 2031-06-25 Fixed 6.3 N N N N N N FREDDIE MAC REMICS 4922 N/A 3137FP2R5 1301280.500000 PA USD 159400.750000 0.0013203 Long ABS-MBS USGSE US N 2 2049-04-25 Floating 1.63035 N N N N N N LUX 2023-LION N/A 55067LAA5 8300000.000000 PA USD 8369199.590000 0.0693232 Long ABS-MBS CORP US N 2 2040-08-15 Floating 7.00178 N N N N N N FNMA PASS THRU POOLS N/A 3140W0AN5 9382675.030000 PA USD 9559949.130000 0.0791863 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 6 N N N N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A 81744MAQ5 48343.900000 PA USD 38844.420000 0.0003218 Long ABS-MBS CORP US N 2 2037-07-20 Floating 4.63053 N N N N N N N/A N/A 000000000 -374470467.490000 PA USD -375353905.720000 -3.10911 Short RA US N 2 Reverse repurchase N 4.470000 2025-07-14 400595533.000000 USD 390750708.300000 USD AMBS N N N NYMT LOAN TRUST 2024-INV1 N/A 62956XAA9 4789044.820000 PA USD 4788007.030000 0.0396597 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 5.379 N N N N N N FANNIEMAE STRIP 419 N/A 31395Q5Q9 1008005.780000 PA USD 137360.910000 0.0011378 Long ABS-MBS USGSE US N 2 2043-11-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 3607 N/A 31398LQM3 24647.290000 PA USD 21563.680000 0.0001786 Long ABS-MBS USGSE US N 2 2036-04-15 None 0 N N N N N N PRPM 2024-NQM1 TRUST N/A 693977AA8 1900077.950000 PA USD 1917072.250000 0.0158794 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.265 N N N N N N FREDDIE MAC STRIPS 303 N/A 31325UEH5 3602887.350000 PA USD 599075.610000 0.0049622 Long ABS-MBS USGSE US N 2 2043-01-15 Fixed 3.5 N N N N N N UWM-2021-INV4 N/A 918307AM1 13558702.740000 PA USD 12666130.630000 0.104915 Long ABS-MBS CORP US N 2 2051-12-25 Floating 5 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAH1 5000000.000000 PA USD 5195306.000000 0.0430334 Long ABS-O CORP US N 2 2059-06-25 Fixed 7.33 N N N N N N AREIT TRUST 2023-CRE8 N/A 04002BAA3 8912772.810000 PA USD 8945434.560000 0.0740962 Long ABS-MBS CORP BM N 2 2041-08-17 Floating 6.4255 N N N N N N FANNIE MAE REMICS 2012-136 N/A 3136A97E2 734083.060000 PA USD 535550.810000 0.004436 Long ABS-MBS USGSE US N 2 2042-12-25 Floating 0.127698 N N N N N N FANNIE MAE REMICS 2013-84 N/A 3136AF5K6 1952748.350000 PA USD 1578146.190000 0.013072 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 1.2607 N N N N N N FANNIE MAE REMICS 2013-8 N/A 3136AB6C2 2104929.450000 PA USD 266991.360000 0.0022115 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 3 N N N N N N N/A N/A 000000000 202000000.000000 NC USD 2242.200000 0.0000186 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/6.00000 10/24/25-10Y LCH 2035-10-24 0.000000 USD 0.000000 USD N/A USD N/A 6.000000 USD 2025-10-22 XXXX -1240057.800000 N N N FNMA PASS THRU POOLS N/A 3140XL5X2 3469523.900000 PA USD 3416345.990000 0.028298 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140B15H5 647311.030000 PA USD 655641.650000 0.0054308 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H22 N/A 38383KEF5 6176668.450000 PA USD 6222940.960000 0.0515454 Long ABS-MBS USGSE US N 2 2073-09-20 Floating 5.25185 N N N N N N FANNIE MAE REMICS 2013-101 N/A 3136AGYM8 9800343.430000 PA USD 1482662.600000 0.0122811 Long ABS-MBS USGSE US N 2 2043-10-25 Floating 1.53035 N N N N N N N/A N/A 000000000 1.000000 NC 14524.800000 0.0001203 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1617555.670000 USD 1189000.000000 GBP 2025-07-02 14524.800000 N N N FHLMC PASS THRU POOLS N/A 3132JAV69 13953.390000 PA USD 13446.010000 0.0001114 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F070690 207000000.000000 PA USD 216930903.660000 1.79687 Long ABS-MBS USGSE US N 2 2054-09-15 Fixed 7 N N N N N N CREDIT SUISSE MORTGAGE TRUST 2013-MH1 N/A 12647RAA2 1979190.200000 PA USD 1768792.190000 0.0146511 Long ABS-MBS CORP US N 2 2053-05-27 Variable 4.69913 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF1 N/A 86359DXR3 1171813.830000 PA USD 1055478.380000 0.0087427 Long ABS-MBS CORP US N 2 2036-01-25 Variable 4.76686 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXC8 1369609.670000 PA USD 1322358.490000 0.0109533 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4 N N N N N N PAGAYA AI DEBT TRUST 2023-8 N/A 694960AC9 3891455.090000 PA USD 3994104.670000 0.0330837 Long ABS-O CORP US N 2 2031-06-16 Fixed 9.538 N N N N N N FNMA PASS THRU POOLS N/A 3140J5NV7 272329.130000 PA USD 258537.110000 0.0021415 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20 N/A 38383KCV2 45219449.650000 PA USD 45471403.380000 0.376646 Long ABS-MBS USGSE US N 2 2073-07-20 Floating 5.20185 N N N N N N BEAR STEARNS COMM MTGE SEC 2006-T24 N/A 07388NAH9 79027.480000 PA USD 77241.510000 0.0006398 Long ABS-MBS CORP US N 2 2041-10-12 Variable 5.657 N N N N N N GNMA PASS THRU POOLS N/A 36196VYM5 1090120.170000 PA USD 1005647.750000 0.0083299 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-7 N/A 69545AAA2 1941872.580000 PA USD 1958261.980000 0.0162205 Long ABS-O CORP US N 2 2031-12-15 Fixed 6.117 N N N N N N SOFI CONSUMER LOAN PROGRAM 2025-A TRUST N/A 83407UAC2 2944000.000000 PA USD 2934476.720000 0.0243067 Long ABS-O CORP US N 3 2034-03-27 Fixed 5.77 N N N N N N FNMA PASS THRU POOLS N/A 3140FXJG8 16357330.410000 PA USD 14107106.940000 0.116851 Long ABS-MBS USGSE US N 2 2058-05-01 Fixed 3 N N N N N N FREDDIE MAC REMICS 5167 N/A 3137H3MA7 37533187.000000 PA USD 2946554.110000 0.0244067 Long ABS-MBS USGSE US N 2 2046-12-15 Floating 2.42899 N N N N N N GNMA PASS THRU POOLS N/A 36241KV47 398763.250000 PA USD 392215.530000 0.0032488 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 31426LX33 1790249.230000 PA USD 1844184.820000 0.0152756 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N FANNIE MAE REMICS 2021-59 N/A 3136BGB75 21319130.350000 PA USD 4577679.910000 0.0379175 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 4 N N N N N N N/A N/A 000000000 154000000.000000 NC USD 77.000000 0.0000006 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% JUL 30YR N/A 94.840000 USD 2025-07-07 XXXX -505235.500000 N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A N/A 02007GZ71 307860.090000 PA USD 311118.670000 0.002577 Long ABS-O CORP US N 2 2032-05-17 Fixed 6.315 N N N N N N NEW YORK MORTGAGE TRUST 2024-CP1 N/A 67118PAA0 1741027.710000 PA USD 1612697.250000 0.0133582 Long ABS-MBS CORP US N 2 2068-02-25 Fixed 3.75 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8EK7 950710.000000 PA USD 935802.330000 0.0077514 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 4 N N N N N N FREMONT HOME LOAN TRUST 2006-A N/A 35729RAE6 14625823.130000 PA USD 9346768.290000 0.0774205 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.75368 N N N N N N FANNIE MAE INTEREST STRIP 331 N/A 3136FAXY1 64011.610000 PA USD 7443.480000 0.0000617 Long ABS-MBS USGSE US N 2 2033-02-25 Fixed 6 N N N N N N N/A N/A 000000000 880000000.000000 NC USD 7600648.000000 0.0629572 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased N/A USD-SOFR-COMPOUND N/A 0.030000 USD 2027-10-01 XXXX -13519352.000000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC4 N/A 07384YKJ4 88481.480000 PA USD 54038.470000 0.0004476 Long ABS-MBS CORP US N 2 2033-09-25 Floating 6.73368 N N N N N N PAGAYA AI DEBT TRUST 2025-1 N/A 69544NAC1 17298522.910000 PA USD 17398894.130000 0.144117 Long ABS-O CORP US N 2 2032-07-15 Fixed 5.628 N N N N N N BANK OF AMERICA MTGE SECS-2006-B N/A 05950TAC9 42473.270000 PA USD 37882.480000 0.0003138 Long ABS-MBS CORP US N 2 2046-11-20 Floating 5.32916 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVKN4 757027.740000 PA USD 716277.700000 0.005933 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4 N N N N N N PAGAYA AI DEBT TRUST 2024-3 N/A 69547XAA0 3937961.890000 PA USD 3965044.040000 0.032843 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.258 N N N N N N FNMA PASS THRU POOLS N/A 3140QK6F0 23204959.440000 PA USD 21069561.570000 0.174522 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31346YFQ1 459144.980000 PA USD 403589.150000 0.003343 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 31425W3E9 1678562.380000 PA USD 1709886.100000 0.0141632 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-MC N/A 05608GAG4 11732500.000000 PA USD 11220271.960000 0.092939 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.07648 N N N N N N FANNIE MAE REMICS 2014-42 N/A 3136AKPR8 541439.330000 PA USD 21815.780000 0.0001807 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 1.58027 N N N N N N N/A N/A 000000000 -12000000.000000 NC USD -4478.400000 -0.0000371 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUL 30YR N/A 96.470000 USD 2025-07-07 XXXX 51771.600000 N N N GNMA PASS THRU POOLS N/A 36179W5D6 10359953.750000 PA USD 9455864.310000 0.0783242 Long ABS-MBS USGSE US N 2 2052-05-20 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2024-9 N/A 3136BRGW1 43601893.810000 PA USD 7463362.320000 0.06182 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 N/A 85573HAD2 6564000.000000 PA USD 5869236.050000 0.0486157 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.175 N N N N N N FANNIE MAE REMICS 2019-20 N/A 3136B4NL8 3317622.530000 PA USD 547669.150000 0.0045364 Long ABS-MBS USGSE US N 2 2049-05-25 Fixed 4 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-ST3 N/A 91681EAA2 607779.720000 PA USD 603728.080000 0.0050008 Long ABS-O CORP US N 2 2030-05-20 Fixed 4.3 N N N N N N FREDDIE MAC REMICS 3393 N/A 31397PGA2 5120.540000 PA USD 4615.010000 0.0000382 Long ABS-MBS USGSE US N 2 2032-09-15 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 31426LU69 1650060.110000 PA USD 1690008.030000 0.0139986 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-NQM1 N/A 36262EAF3 2039000.000000 PA USD 1664195.710000 0.0137848 Long ABS-MBS CORP US N 2 2061-07-25 Variable 4.211 N N N N N N MORGAN STANLEY CAPITAL INC 2004-NC7 N/A 61744CFQ4 78896.910000 PA USD 83733.570000 0.0006936 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.36368 N N N N N N N/A N/A 000000000 -96000000.000000 NC USD -9.600000 -0.0000001 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.15000 07/02/25-7Y LCH 2032-07-02 0.000000 USD 0.000000 USD N/A USD N/A 3.150000 USD 2025-06-30 XXXX 345590.400000 N N N FREDDIE MAC REMICS 5500 N/A 3137HJBW6 44308318.000000 PA USD 44294653.310000 0.366898 Long ABS-MBS USGSE US N 2 2054-09-25 Floating 5.30517 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H14 N/A 38383KG48 27999393.990000 PA USD 28174048.610000 0.233369 Long ABS-MBS USGSE US N 2 2074-07-20 Floating 5.20185 N N N N N N ONSLOW BAY FINANCIAL LLC 2022-NQM7 N/A 67117DAA8 5441119.980000 PA USD 5416944.000000 0.0448693 Long ABS-MBS CORP US N 2 2062-08-25 Variable 5.11 N N N N N N FNMA PASS THRU POOLS N/A 31417Y2J5 20166.160000 PA USD 20249.540000 0.0001677 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 4.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2019-SL1 N/A 36257EAH6 18306000.000000 PA USD 17824921.980000 0.147646 Long ABS-MBS CORP US N 2 2059-01-25 Variable 3.625 N N N N N N FREDDIE MAC-3123 N/A 31396JPR0 30870.790000 PA USD 25643.860000 0.0002124 Long ABS-MBS USGSE US N 2 2036-03-15 None 0 N N N N N N UMBS PASS THRU POOLS N/A 01F040685 -742300000.000000 PA USD -690165212.720000 -5.71673 Short ABS-MBS USGSE US N 2 2054-08-15 Fixed 4 N N N N N N FANNIE MAE REMICS 2013-16 N/A 3136ACSM4 10512815.060000 PA USD 9560290.940000 0.0791891 Long ABS-MBS USGSE US N 2 2033-03-25 Floating 0.39642 N N N N N N SLM STUDENT LOAN TRUST 2003-7X N/A 763369II8 517263.180000 PA 576331.800000 0.0047738 Long DBT CORP US N 2 2033-12-15 Floating 2.525 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1 N/A 76112BR28 6141045.620000 PA USD 5493171.450000 0.0455007 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.11368 N N N N N N FREDDIE MAC 2990 N/A 31395V4K2 36435.270000 PA USD 184.800000 0.0000015 Long ABS-MBS USGSE US N 2 2035-03-15 Floating 2.23167 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LZ7 1931999.760000 PA USD 1810352.360000 0.0149954 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.38368 N N N N N N BHG SECURITIZATION TRUST 2025-1CON N/A 08860AAA7 5013701.460000 PA USD 5048247.870000 0.0418153 Long ABS-O CORP US N 2 2036-04-17 Fixed 4.82 N N N N N N GSAA HOME EQUITY TRUST 2007-9 N/A 3622EEAA0 34200.200000 PA USD 30207.470000 0.0002502 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132DSM90 50330253.790000 PA USD 52159523.470000 0.432044 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N SECURITIZED ASSET BACKED REC 2006-HE1 N/A 81376YAC5 3004431.320000 PA USD 986681.380000 0.0081728 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.61368 N N N N N N TESLA SUSTAINABLE ENERGY TRUST 2024-1A N/A 88164AAB0 2996736.480000 PA USD 3009857.390000 0.024931 Long ABS-O CORP US N 2 2050-06-21 Fixed 5.08 N N N N N N FNMA PASS THRU POOLS N/A 3140H1WK2 7920353.560000 PA USD 7493205.090000 0.0620672 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J6CP0 165149.110000 PA USD 156458.600000 0.001296 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140LKDW0 7900000.000000 PA USD 7895373.920000 0.0653984 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.49 N N N N N N N/A N/A 000000000 1.000000 NC USD 22763702.830000 0.188555 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-09-17 5886662.000000 USD 0.000000 USD 1589300000.000000 USD 16877040.830000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H21 N/A 38383KEA6 35994864.710000 PA USD 36261457.080000 0.300358 Long ABS-MBS USGSE US N 2 2073-09-20 Floating 5.25185 N N N N N N FNMA PASS THRU POOLS N/A 3140HLEQ5 129692.800000 PA USD 126602.880000 0.0010487 Long ABS-MBS USGSE US N 2 2048-06-01 Floating 3.725 N N N N N N FREDDIE MAC STRIPS 345 N/A 31325VRC0 3293668.290000 PA USD 501253.130000 0.0041519 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LLUK5 7900000.000000 PA USD 8057179.590000 0.0667387 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 4.815 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H29 N/A 38375BZQ8 34690.430000 PA USD 34773.360000 0.000288 Long ABS-MBS USGSE US N 2 2062-10-20 Floating 4.96102 N N N N N N FHLMC PASS THRU POOLS N/A 3132Y0UU2 1066177.680000 PA USD 1010682.630000 0.0083716 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329N6Q6 4790354.160000 PA USD 4537065.760000 0.0375811 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4 N N N N N N HSI ASSET SEC CORP TRUST 2006-WMC1 N/A 40430MAC1 6521373.760000 PA USD 2818323.840000 0.0233445 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.63368 N N N N N N FHLMC PASS THRU POOLS N/A 3133CMJ88 2064956.360000 PA USD 2163818.130000 0.0179232 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.5 N N N N N N CSMC TRUST 2021-RPL4 N/A 12662GAC2 19699873.820000 PA USD 19635246.410000 0.162641 Long ABS-MBS CORP US N 2 2060-12-27 Variable 4.11756 N N N N N N FREDDIE MAC REMICS 5458 N/A 3137HFWZ4 13985135.460000 PA USD 13907611.660000 0.115199 Long ABS-MBS USGSE US N 2 2054-10-25 Floating 5.40517 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-10 N/A 69544MAB5 3075044.530000 PA USD 3090317.660000 0.0255975 Long ABS-O CORP US N 2 2032-06-15 Fixed 5.75 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07 N/A 38383KVX7 3859334.390000 PA USD 3858666.730000 0.0319618 Long ABS-MBS USGSE US N 2 2074-04-20 Floating 5.09185 N N N N N N FANNIE MAE REMICS 2012-132 N/A 3136AAPX7 606529.850000 PA USD 41929.410000 0.0003473 Long ABS-MBS USGSE US N 2 2032-12-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-123 N/A 3136A9YV4 1678265.150000 PA USD 1417984.850000 0.0117454 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 0 N N N N N N SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM1 N/A 80262BAA8 2850833.720000 PA USD 2860943.350000 0.0236976 Long ABS-MBS CORP US N 2 2065-01-25 Fixed 5.545 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YN7 2014909.190000 PA USD 1654968.430000 0.0137083 Long ABS-MBS CORP US N 2 2035-11-25 Variable 5.70981 N N N N N N J.P. MORGAN MORTGAGE TRUST 2022-1 N/A 46654WCC3 62664772.090000 PA USD 1577090.590000 0.0130632 Long ABS-O CORP US N 2 2052-07-25 Variable 0.45 N N N N N N FHLMC PASS THRU POOLS N/A 3133CQDX0 692818.110000 PA USD 706976.040000 0.005856 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6 N N N N N N FREDDIE MAC REMICS 3607 N/A 31398LQK7 48621.350000 PA USD 41678.400000 0.0003452 Long ABS-MBS USGSE US N 2 2036-04-15 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36202FKN5 5360935.090000 PA USD 5318981.810000 0.0440578 Long ABS-MBS USGSE US N 2 2040-09-20 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 60 N/A 38376UFG9 1258123.160000 PA USD 95254.010000 0.000789 Long ABS-MBS USGSE US N 2 2040-02-16 Floating 2.02376 N N N N N N FANNIE MAE REMICS 2020-68 N/A 3136BB4P4 8254288.210000 PA USD 1029296.530000 0.0085258 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC USD 2495802.600000 0.0206731 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-22 1833590.000000 USD 0.000000 USD 211000000.000000 USD 662212.600000 N N N CIM TRUST 2024-R1 N/A 17179VAA8 6936993.840000 PA USD 6885001.070000 0.0570294 Long ABS-MBS CORP US N 2 2064-06-25 Variable 4.75 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2025-3 N/A 17332RCX9 21925978.280000 PA USD 21997886.720000 0.182211 Long ABS-MBS CORP US N 2 2055-06-25 Floating 5.80517 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-180 N/A 38379TGM5 786045.870000 PA USD 42171.050000 0.0003493 Long ABS-MBS USGSE US N 2 2042-06-20 Floating 0.0863 N N N N N N N/A N/A 000000000 210500000.000000 NC USD 198122.600000 0.0016411 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% SEP 30YR N/A 96.740000 USD 2025-09-08 XXXX -467912.560000 N N N FANNIE MAE REMICS 2020-99 N/A 3136BDHS0 10646533.990000 PA USD 1819802.470000 0.0150737 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 3 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR1 N/A 25151RAG9 5617580.990000 PA USD 4909025.950000 0.0406621 Long ABS-MBS CORP US N 2 2047-01-25 Floating 4.91368 N N N N N N FNMA PASS THRU POOLS N/A 3140LK5N9 2820300.000000 PA USD 2930081.220000 0.0242702 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 5.17 N N N N N N STREAM INNOVATIONS 2024-1 ISSUER TRUST N/A 86324CAA9 2611807.900000 PA USD 2714490.340000 0.0224845 Long ABS-O CORP US N 2 2044-07-15 Fixed 6.27 N N N N N N FANNIE MAE REMICS 2016-68 N/A 3136ATR22 707628.130000 PA USD 701806.400000 0.0058132 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 4.91449 N N N N N N GNMA PASS THRU POOLS N/A 36179SNU7 844870.780000 PA USD 758660.590000 0.0062841 Long ABS-MBS USGSE US N 2 2046-10-20 Fixed 3 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A N/A 37989AAE4 2000000.000000 PA USD 2005013.600000 0.0166078 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.02 N N N N N N FNMA PASS THRU POOLS N/A 31418EPE4 21997286.430000 PA USD 22425544.780000 0.185754 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140QB6D5 2880449.250000 PA USD 2803721.430000 0.0232236 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.5 N N N N N N TRINITAS CLO VII LTD 2017-7A N/A 89641CAU5 16000000.000000 PA USD 15939663.360000 0.13203 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 5.34177 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2006-12XS N/A 61749EAH0 2213299.860000 PA USD 603346.870000 0.0049976 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.22629 N N N N N N FREDDIE MAC REMICS 4073 N/A 3137ARXH4 49287.890000 PA USD 80.830000 0.0000007 Long ABS-MBS USGSE US N 2 2027-05-15 Fixed 3 N N N N N N FREDDIE MAC 3016 N/A 31395WXJ1 10.880000 PA USD 0.010000 0 Long ABS-MBS USGSE US N 2 2025-08-15 Floating 1.73167 N N N N N N N/A N/A 000000000 -12000000.000000 NC USD -9.600000 -0.0000001 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUL 30YR N/A 92.470000 USD 2025-07-07 XXXX 65615.400000 N N N N/A N/A 000000000 -104000000.000000 NC USD -145.600000 -0.0000012 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.99300 07/09/25-7Y LCH 2032-07-09 0.000000 USD 0.000000 USD N/A USD N/A 3.990000 USD 2025-07-07 XXXX 254654.400000 N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAA4 219875.730000 PA USD 194243.390000 0.0016089 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.60368 N N N N N N FNMA PASS THRU POOLS N/A 3140ADNY3 2404426.260000 PA USD 2435075.630000 0.0201701 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133W9FG1 2389643.090000 PA USD 2460843.460000 0.0203835 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31426A3C0 1329495.410000 PA USD 1371516.170000 0.0113604 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-38 N/A 12667GY98 468763.330000 PA USD 422589.350000 0.0035004 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.89869 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23 N/A 38383KGD8 14228493.130000 PA USD 14351645.010000 0.118877 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 5.26185 N N N N N N FANNIE MAE-2020-33 N/A 3136B9B22 1317527.750000 PA USD 1315728.270000 0.0108983 Long ABS-MBS USGSE US N 2 2050-05-25 Floating 5.11449 N N N N N N FANNIE MAE INTEREST STRIP 405 N/A 3136FGS73 241682.630000 PA USD 190733.220000 0.0015799 Long ABS-MBS USGSE US N 2 2040-10-25 None 0 N N N N N N FANNIE MAE REMICS 2012-16 N/A 3136A4QV4 5460.690000 PA USD 5409.580000 0.0000448 Long ABS-MBS USGSE US N 2 2041-10-25 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140LLM32 4884179.000000 PA USD 4962528.220000 0.0411053 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 4.64 N N N N N N FANNIE MAE REMICS 2023-43 N/A 3136BQJR1 86927391.580000 PA USD 6059552.000000 0.0501921 Long ABS-MBS USGSE US N 2 2037-12-25 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11 N/A 38383KZS4 7861763.390000 PA USD 7890152.220000 0.0653552 Long ABS-MBS USGSE US N 2 2074-07-20 Floating 5.20185 N N N N N N FREDDIE MAC REMICS 4052 N/A 3137APQH6 1964492.520000 PA USD 187763.840000 0.0015553 Long ABS-MBS USGSE US N 2 2042-05-15 Floating 1.58167 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q010 N/A 3137FMUK6 92995.350000 PA USD 92926.350000 0.0007697 Long ABS-MBS USGSE US N 2 2047-12-25 Variable 7.38815 N N N N N N FREDDIE MAC 3725 N/A 3137A1TW3 5100675.530000 PA USD 4937057.080000 0.0408943 Long ABS-MBS USGSE US N 2 2040-05-15 Fixed 2.25 N N N N N N GNMA PASS THRU POOLS N/A 3622AB6P2 6889810.900000 PA USD 6929555.530000 0.0573984 Long ABS-MBS USGSE US N 2 2049-06-20 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1436189.690000 0.0118961 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-03-06 894250.000000 USD 0.000000 USD 122500000.000000 USD 541939.690000 N N N PRET 2025-RPL3 TRUST N/A 69382RAA1 5855755.790000 PA USD 5644661.060000 0.0467555 Long ABS-MBS CORP US N 2 2065-04-25 Fixed 4.15 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAG1 8335000.000000 PA USD 8274652.930000 0.06854 Long ABS-MBS CORP US N 2 2035-04-15 Floating 5.734 N N N N N N ANCHORAGE CREDIT FUNDING 8 LTD 2019-8A N/A 03331XAA9 5641843.190000 PA USD 5587318.100000 0.0462805 Long ABS-CBDO CORP KY N 2 2037-07-25 Fixed 4.43 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P3 N/A 14688GAD6 4270000.000000 PA USD 4389998.960000 0.0363629 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 3140FXFU1 2573658.110000 PA USD 2238593.170000 0.0185426 Long ABS-MBS USGSE US N 2 2057-03-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 473529.120000 0.0039223 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-05-01 573165.000000 USD 0.000000 USD 27100000.000000 USD -99635.880000 N N N BLACKROCK EUROPEAN CLO VII DAC 7A N/A ACI1W2WD0 4302995.660000 PA 5054639.690000 0.0418682 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 2.899 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAA5 88267.180000 PA USD 58077.900000 0.0004811 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.55368 N N N N N N FNMA PASS THRU POOLS N/A 31410GD91 7624.820000 PA USD 7817.380000 0.0000648 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 6.175 N N N N N N FREDDIE MAC REMICS 4610 N/A 3137BRHU2 2849627.750000 PA USD 390651.760000 0.0032358 Long ABS-MBS USGSE US N 2 2045-12-15 Fixed 3.5 N N N N N N CRSNT TRUST 2021-MOON N/A 22877LAF4 17000000.000000 PA USD 16674183.100000 0.138114 Long ABS-MBS CORP US N 2 2036-04-15 Floating 6.43448 N N N N N N FANNIE MAE REMICS 2013-83 N/A 3136AFU77 404965.410000 PA USD 205152.400000 0.0016993 Long ABS-MBS USGSE US N 2 2043-07-25 None 0 N N N N N N PARK PLACE SECURITIES INC 2004-MCW1 N/A 70069FCJ4 10313169.780000 PA USD 10294994.880000 0.0852748 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.55868 N N N N N N BCC-2021-5A N/A 05682EAN3 1800000.000000 PA USD 1795512.260000 0.0148725 Long ABS-CBDO CORP KY N 2 2034-10-23 Floating 5.42238 N N N N N N PRPM 2025-RPL2 LLC N/A 69392MAA0 1963064.090000 PA USD 1898897.220000 0.0157288 Long ABS-MBS CORP US N 2 2055-04-25 Fixed 3.75 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2023-3A N/A 36267PAJ5 3690000.000000 PA USD 3780684.330000 0.0313159 Long ABS-O CORP US N 2 2029-05-15 Fixed 6.44 N N N N N N FHLMC PASS THRU POOLS N/A 31426L3Q5 932549.570000 PA USD 960645.520000 0.0079572 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36241KED6 237104.280000 PA USD 246085.740000 0.0020384 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 6.5 N N N N N N OCTANE RECEIVABLES TRUST 2024-3A N/A 67571GAB8 4756908.880000 PA USD 4772378.820000 0.0395302 Long ABS-O CORP US N 2 2030-05-20 Fixed 4.94 N N N N N N PRPM 2024-8 LLC N/A 74448KAA8 6933899.450000 PA USD 6893798.630000 0.0571022 Long ABS-MBS CORP US N 2 2029-12-25 Fixed 5.897 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QA12 N/A 761118MY1 3748337.710000 PA USD 1453044.240000 0.0120358 Long ABS-MBS CORP US N 2 2035-12-25 Variable 5.81339 N N N N N N FREDDIE MAC REMICS 5003 N/A 3137FVHZ8 5913376.060000 PA USD 852690.500000 0.0070629 Long ABS-MBS USGSE US N 2 2050-08-25 Floating 1.68035 N N N N N N FANNIE MAE REMICS 2006-124 N/A 31396PFL0 114662.850000 PA USD 94202.800000 0.0007803 Long ABS-MBS USGSE US N 2 2037-01-25 None 0 N N N N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AG9 502129.220000 PA USD 453136.720000 0.0037534 Long ABS-MBS CORP US N 2 2036-02-20 Floating 4.87903 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-1 N/A 88522EAC7 2741921.660000 PA USD 1933254.380000 0.0160134 Long ABS-MBS CORP US N 2 2037-03-25 Floating 6.04933 N N N N N N OPORTUN ISSUANCE TRUST 2025-A N/A 68377TAC2 500000.000000 PA USD 500141.000000 0.0041427 Long ABS-O CORP US N 2 2033-02-08 Fixed 5.89 N N N N N N OXFORD FINANCE FUNDING 2022-1A LLC N/A 69145BAA4 8833068.490000 PA USD 8809949.700000 0.072974 Long ABS-O CORP US N 2 2030-02-15 Fixed 3.602 N N N N N N FANNIE MAE REMICS 2013-1 N/A 3136ABA60 1156568.520000 PA USD 51009.180000 0.0004225 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617HF6R2 578625.820000 PA USD 569676.230000 0.0047187 Long ABS-MBS USGSE US N 2 2048-11-20 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140HEGA4 389644.510000 PA USD 386058.810000 0.0031978 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 5 N N N N N N FREDDIE MAC REMICS 4840 N/A 3137FJRD3 1736975.000000 PA USD 1191194.700000 0.0098668 Long ABS-MBS USGSE US N 2 2053-12-15 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 31425VXJ7 1729994.030000 PA USD 1734390.140000 0.0143662 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 5.5 N N N N N N INDYMAC INDB MORTGAGE LOAN TR 2006-1 N/A 45661JAA1 10455463.830000 PA USD 3286487.900000 0.0272224 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.57368 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A8 N/A 761119AD8 450637.090000 PA USD 294361.420000 0.0024382 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N FREDDIE MAC REMICS 4990 N/A 3137FUYG3 8518419.880000 PA USD 1132574.180000 0.0093813 Long ABS-MBS USGSE US N 2 2050-05-25 Floating 1.73035 N N N N N N UMBS PASS THRU POOLS N/A 01F052474 38000000.000000 PA USD 38694590.220000 0.320512 Long ABS-MBS USGSE US N 2 2040-07-17 Fixed 5.5 N N N N N N NAVIENT REFINANCE LOAN TRUST 2025-A N/A 63943FAA2 5241372.390000 PA USD 5304596.970000 0.0439387 Long ABS-O CORP US N 2 2055-02-16 Fixed 5.15 N N N N N N FNMA PASS THRU POOLS N/A 3140H6LZ0 467084.790000 PA USD 441928.420000 0.0036606 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H05 N/A 38380LAY9 709528.830000 PA USD 713965.510000 0.0059139 Long ABS-MBS USGSE US N 2 2068-02-20 Floating 4.94353 N N N N N N JP MORGAN MORTGAGE TRUST 2024-10 N/A 46658LAX9 14088959.800000 PA USD 14099484.250000 0.116788 Long ABS-MBS CORP US N 2 2055-03-25 Floating 5.55517 N N N N N N FREDDIE MAC REMICS 4181 N/A 3137B0KH6 892545.530000 PA USD 43294.620000 0.0003586 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 3 N N N N N N VASA TRUST 2021-VASA N/A 92230AAG1 11635000.000000 PA USD 10326359.190000 0.0855346 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.52648 N N N N N N FANNIE MAE REMICS 2019-68 N/A 3136B6P49 3602401.380000 PA USD 445225.470000 0.0036879 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.58035 N N N N N N JP MORGAN MORTGAGE TRUST 2021-14 N/A 46653QAE5 73434147.530000 PA USD 2182756.600000 0.0180801 Long ABS-O CORP US N 2 2052-05-25 Variable 0.5 N N N N N N FANNIE MAE INTEREST STRIP FNS 426 N/A 31422MZZ2 17534688.610000 PA USD 2259480.520000 0.0187156 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2 N N N N N N LENDMARK FUNDING TRUST 2024-1A N/A 52603DAA1 5400000.000000 PA USD 5495002.200000 0.0455158 Long ABS-O CORP US N 2 2032-06-21 Fixed 5.53 N N N N N N TRYSAIL CLO 2022-1A LTD N/A 89856JAA4 5500000.000000 PA USD 5502340.910000 0.0455766 Long ABS-CBDO CORP JE N 2 2033-10-20 Floating 5.51138 N N N N N N NAVESINK CLO 2 LTD 2024-2A N/A 63942YAA2 2000000.000000 PA USD 2001015.480000 0.0165747 Long ABS-CBDO CORP KY N 2 2036-04-15 Floating 5.5261 N N N N N N N/A N/A 000000000 49000000.000000 NC USD 60265.100000 0.0004992 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.44250 07/09/25-7Y LCH 2032-07-09 0.000000 USD 0.000000 USD N/A USD N/A 3.440000 USD 2025-07-07 XXXX -40184.900000 N N N GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A N/A 39571NAB2 10247142.460000 PA USD 10268585.630000 0.085056 Long ABS-O CORP US N 2 2060-03-25 Fixed 5.12 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 N/A 3137HLY30 34000000.000000 PA USD 31901768.200000 0.264247 Long ABS-MBS USGSE US N 2 2054-07-25 Floating 2.86223 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-SB1 N/A 91682PAA6 1586244.080000 PA USD 1610680.010000 0.0133415 Long ABS-O CORP US N 2 2028-10-20 Fixed 7.9 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAQ7 16522387.890000 PA USD 1879178.740000 0.0155655 Long ABS-O CORP US N 2 2036-11-25 Floating 2.11632 N N N N N N FHLMC PASS THRU POOLS N/A 3133CSM40 5411740.820000 PA USD 5480729.530000 0.0453976 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 4059 N/A 3137AQZX9 563821.030000 PA USD 534581.670000 0.004428 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 4.36252 N N N N N N FNMA PASS THRU POOLS N/A 3138WKKN4 940218.770000 PA USD 930012.170000 0.0077034 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 4 N N N N N N JP MORGAN MORTGAGE TRUST 2021-12 N/A 46592WBU9 45419570.400000 PA USD 1271243.810000 0.0105299 Long ABS-O CORP US N 2 2052-02-25 Variable 0.484084 N N N N N N FNMA PASS THRU POOLS N/A 31418ENL0 82064057.240000 PA USD 83684635.260000 0.693171 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202FQ74 8718703.740000 PA USD 8655795.760000 0.0716971 Long ABS-MBS USGSE US N 2 2041-03-20 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 3158 N/A 31396NX27 191567.500000 PA USD 200275.160000 0.0016589 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B4JZ1 71554.140000 PA USD 67521.990000 0.0005593 Long ABS-MBS USGSE US N 2 2047-08-15 Fixed 4 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 9746540.190000 PA USD 565691.140000 0.0046857 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.34931 N N N N N N FREDDIE MAC REMICS 4203 N/A 3137B2EV8 632616.720000 PA USD 526468.060000 0.0043608 Long ABS-MBS USGSE US N 2 2033-05-15 Floating 0 N N N N N N GNMA PASS THRU POOLS N/A 36197MRM2 529471.020000 PA USD 499630.560000 0.0041385 Long ABS-MBS USGSE US N 2 2047-04-15 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H18 N/A 38375BUL4 100993.220000 PA USD 101180.480000 0.0008381 Long ABS-MBS USGSE US N 2 2062-08-20 Floating 4.96602 N N N N N N FANNIE MAE REMICS 2021-3 N/A 3136BDYF9 18070618.190000 PA USD 2339875.800000 0.0193815 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-13 N/A 23242EAL3 16600000.000000 PA USD 15522455.820000 0.128575 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.86868 N N N N N N ANGEL OAK MORTGAGE TRUST 2023-6 N/A 03464UAA4 2969178.170000 PA USD 2992058.060000 0.0247836 Long ABS-MBS CORP US N 2 2067-12-25 Fixed 6.5 N N N N N N VIBRANT CLO XI LTD 2019-11A N/A 92558NAN2 12125000.000000 PA USD 12151347.630000 0.100651 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.23108 N N N N N N FREDDIE MAC REMICS 5156 N/A 3137H2VR2 11715136.520000 PA USD 1524616.070000 0.0126286 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 31426MDN9 1600448.540000 PA USD 1648667.410000 0.0136561 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140LKQC0 4005000.000000 PA USD 4001303.510000 0.0331433 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 4.49 N N N N N N FHLMC PASS THRU POOLS N/A 3132AEQW9 22206887.360000 PA USD 21057032.720000 0.174418 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAC1 1554000.000000 PA USD 1574911.400000 0.0130452 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.45 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-152 N/A 38379FAR0 3125537.160000 PA USD 124182.900000 0.0010286 Long ABS-MBS USGSE US N 2 2040-05-20 Floating 0.24246 N N N N N N RCKT MORTGAGE TRUST 2024-CES2 N/A 74938PAA4 13658331.740000 PA USD 13764965.070000 0.114017 Long ABS-MBS CORP US N 2 2044-04-25 Fixed 6.141 N N N N N N ARGENT SECURITIES INC 2004-W3 N/A 040104FW6 265685.900000 PA USD 277386.070000 0.0022976 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.25368 N N N N N N FHLMC PASS THRU POOLS N/A 3128KTLY4 316750.950000 PA USD 325539.190000 0.0026965 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 21H050680 210530000.000000 PA USD 206713886.900000 1.71224 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140QB6E3 6152211.820000 PA USD 5982260.290000 0.0495518 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H16 N/A 38375B4Y5 80553.880000 PA USD 80805.510000 0.0006693 Long ABS-MBS USGSE US N 2 2063-07-20 Floating 4.98602 N N N N N N FREDDIE MAC REMICS 3611 N/A 31398LSE9 43881.130000 PA USD 38912.390000 0.0003223 Long ABS-MBS USGSE US N 2 2034-07-15 None 0 N N N N N N N/A N/A 000000000 148000000.000000 NC USD 44.400000 0.0000004 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% JUL 30YR N/A 97.280000 USD 2025-07-07 XXXX -231205.600000 N N N FREDDIE MAC REMICS 4585 N/A 3137BPGW3 1224786.230000 PA USD 188624.920000 0.0015624 Long ABS-MBS USGSE US N 2 2046-04-15 Fixed 3.5 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2024-9 N/A 16160QAX2 13177876.590000 PA USD 13190353.400000 0.109257 Long ABS-MBS CORP US N 2 2055-09-25 Floating 5.55517 N N N N N N FNMA PASS THRU POOLS N/A 3140QKGG7 21663586.930000 PA USD 18769826.510000 0.155473 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3 N N N N N N FREDDIE MAC 4615 N/A 3137BRYG4 1691556.770000 PA USD 1669584.970000 0.0138294 Long ABS-MBS USGSE US N 2 2038-10-15 Floating 4.81449 N N N N N N FNMA PASS THRU POOLS N/A 31412EH82 30032.240000 PA USD 30910.720000 0.000256 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N RCKT MORTGAGE TRUST 2024-CES7 N/A 749414AA6 9070976.110000 PA USD 9051757.430000 0.0749769 Long ABS-MBS CORP US N 2 2044-10-25 Variable 5.158 N N N N N N FNMA PASS THRU POOLS N/A 3138WEKJ7 1747412.220000 PA USD 1624973.350000 0.0134599 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2021-78 N/A 3136BJZL2 11765119.140000 PA USD 2224934.620000 0.0184294 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-43 N/A 38378KDF3 1759243.720000 PA USD 381.580000 0.0000032 Long ABS-MBS USGSE US N 2 2048-08-16 Variable 0.02301 N N N N N N GNMA PASS THRU POOLS N/A 36179WXL7 11058853.950000 PA USD 10105727.050000 0.0837071 Long ABS-MBS USGSE US N 2 2052-02-20 Fixed 3.5 N N N N N N PAGAYA AI DEBT TRUST 2023-3 N/A 69548BAB5 3437147.310000 PA USD 3456856.600000 0.0286336 Long ABS-O CORP US N 2 2030-12-16 Fixed 9.57 N N N N N N FNMA PASS THRU POOLS N/A 3140XLDW5 7496414.460000 PA USD 7522183.980000 0.0623072 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 5 N N N N N N GSAMP TRUST 2005-HE4 N/A 362341KF5 4400000.000000 PA USD 4077687.240000 0.033776 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.31868 N N N N N N BNC MORTGAGE LOAN TRUST 2007-1 N/A 05569GAE6 29581000.000000 PA USD 24666412.660000 0.204315 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.65368 N N N N N N GNMA PASS THRU POOLS N/A 36202E6V6 115505.560000 PA USD 110555.240000 0.0009157 Long ABS-MBS USGSE US N 2 2039-07-20 Fixed 4.5 N N N N N N PRKCM 2024-AFC1 TRUST N/A 69380WAA2 4279343.040000 PA USD 4317507.930000 0.0357625 Long ABS-MBS CORP US N 2 2059-03-25 Fixed 6.333 N N N N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MR87 27997.180000 PA USD 26535.420000 0.0002198 Long ABS-MBS CORP US N 2 2034-07-25 Floating 4.84804 N N N N N N NLT 2023-1 TRUST N/A 62917MAA1 3111916.150000 PA USD 2841846.640000 0.0235394 Long ABS-MBS CORP US N 2 2062-10-25 Variable 3.2 N N N N N N FNMA PASS THRU POOLS N/A 3140FT2T7 131883.910000 PA USD 124570.120000 0.0010318 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140AMHF1 6988774.470000 PA USD 7073859.300000 0.0585937 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36179WTZ1 1477764.320000 PA USD 1308608.790000 0.0108394 Long ABS-MBS USGSE US N 2 2051-12-20 Fixed 3 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST N/A 05555XAB1 10000000.000000 PA USD 8726156.100000 0.0722799 Long ABS-MBS CORP US N 3 2052-08-25 Variable 3.10885 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2009-41 N/A 38374UU41 609885.240000 PA USD 36143.450000 0.0002994 Long ABS-MBS USGSE US N 2 2039-06-16 Floating 1.62376 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-ECC1 N/A 126673AF9 883891.210000 PA USD 871915.630000 0.0072222 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.37868 N N N N N N FANNIE MAE REMICS 2014-43 N/A 3136AKKU6 786171.760000 PA USD 45247.880000 0.0003748 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 1.88031 N N N N N N FANNIE MAE REMICS 2020-62 N/A 3136BBXG2 6305793.690000 PA USD 1065600.940000 0.0088265 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-20 N/A 38378DLZ6 725324.710000 PA USD 58201.360000 0.0004821 Long ABS-MBS USGSE US N 2 2041-05-20 Floating 2.26794 N N N N N N N/A N/A 000000000 391000000.000000 NC USD 3362.600000 0.0000279 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/6.00000 10/21/25-10Y LCH 2035-10-21 0.000000 USD 0.000000 USD N/A USD N/A 6.000000 USD 2025-10-17 XXXX -2538137.400000 N N N RALI SERIES 2005-QO1 TRUST N/A 761118EN4 101257.270000 PA USD 71071.250000 0.0005887 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.73368 N N N N N N N/A N/A 000000000 49000000.000000 NC USD 191.100000 0.0000016 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.94250 07/09/25-7Y LCH 2032-07-09 0.000000 USD 0.000000 USD N/A USD N/A 3.940000 USD 2025-07-07 XXXX -100258.900000 N N N ASCENT EDUCATION FUNDING TRUST 2024-A N/A 04362VAA3 2671715.490000 PA USD 2729700.270000 0.0226105 Long ABS-O CORP US N 2 2050-10-25 Fixed 6.14 N N N N N N FANNIE MAE REMICS 2024-54 N/A 3136BSSC0 5482889.610000 PA USD 5495742.600000 0.045522 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 5.27517 N N N N N N FANNIE MAE REMICS 2020-47 N/A 3136BATP9 17132638.050000 PA USD 2106776.520000 0.0174507 Long ABS-MBS USGSE US N 2 2050-07-25 Floating 1.68035 N N N N N N N/A N/A 000000000 132400000.000000 NC USD 588306.160000 0.004873 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.75000 02/11/26-7Y LCH 2033-02-11 0.000000 USD 0.000000 USD N/A USD N/A 2.750000 USD 2026-02-09 XXXX 101736.160000 N N N LEHMAN XS TRUST 2006-14N N/A 52522CAG8 78028.420000 PA USD 83212.240000 0.0006893 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.67368 N N N N N N FREDDIE MAC REMICS 4976 N/A 3137FTAM9 8286354.750000 PA USD 1586082.050000 0.0131377 Long ABS-MBS USGSE US N 2 2050-05-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4990 N/A 3137FUSA3 3509305.830000 PA USD 778913.590000 0.0064518 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 4 N N N N N N N/A N/A 000000000 154000000.000000 NC USD 10918.600000 0.0000904 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% AUG 30YR N/A 98.630000 USD 2025-08-06 XXXX -187597.030000 N N N FNMA PASS THRU POOLS N/A 3140JAZY7 426749.000000 PA USD 441030.300000 0.0036531 Long ABS-MBS USGSE US N 2 2048-12-01 Floating 6.813 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAA3 15528425.570000 PA USD 8040842.370000 0.0666034 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.57368 N N N N N N FANNIE MAE REMICS 2018-28 N/A 3136B1P32 731260.780000 PA USD 653465.310000 0.0054127 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140GNKM4 730856.440000 PA USD 693432.850000 0.0057438 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N N/A N/A 000000000 83300000.000000 NC USD 57002.190000 0.0004722 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 10/07/25-7Y LCH 2032-10-07 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2025-10-03 XXXX -442797.810000 N N N FNMA PASS THRU POOLS N/A 3140Q77E1 840816.360000 PA USD 828831.520000 0.0068653 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 4 N N N N N N N/A N/A 000000000 1042200000.000000 NC USD 86189.940000 0.0007139 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 10/10/25-7Y LCH 2032-10-10 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-10-08 XXXX -1457810.060000 N N N TABERNA PREFERRED FUNDING LTD 2006-6A N/A 87331AAB0 27031450.230000 PA USD 24328305.210000 0.201515 Long ABS-CBDO CORP KY N 2 2036-12-05 Floating 4.88208 N N N N N N FANNIE MAE REMICS 2010-133 N/A 31398N6F6 100000.000000 PA USD 97032.130000 0.0008037 Long ABS-MBS USGSE US N 2 2040-11-25 Fixed 4 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KJ5 2387000.000000 PA 3297812.130000 0.0273162 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 5.86986 N N N N N N FREDDIE MAC 2611 N/A 31393QYH9 2577.660000 PA USD 2589.860000 0.0000215 Long ABS-MBS USGSE US N 2 2033-05-15 Floating 4.16334 N N N N N N FANNIE MAE REMICS 2014-79 N/A 3136ALF48 2406807.310000 PA USD 240179.150000 0.0019894 Long ABS-MBS USGSE US N 2 2044-06-25 Floating 1.18035 N N N N N N FNMA PASS THRU POOLS N/A 3138E2GX7 173644.930000 PA USD 172274.360000 0.001427 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -19832.930000 -0.0001643 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 2100000.000000 USD -19832.930000 N N N FNMA PASS THRU POOLS N/A 3138WFCP9 1754659.570000 PA USD 1668163.660000 0.0138176 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4 N N N N N N CROSS 2024-H2 MORTGAGE TRUST N/A 22757BAA2 5991262.290000 PA USD 6037494.460000 0.0500094 Long ABS-MBS CORP US N 2 2069-04-25 Fixed 6.093 N N N N N N N/A N/A 000000000 1.000000 NC USD 54832629.840000 0.454186 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-09-17 24749247.000000 USD 0.000000 USD 3357600000.000000 USD 30083382.840000 N N N ELLINGTON LOAN ACQUISITION TRUST 2007-2 N/A 288547AE2 5907209.680000 PA USD 5819933.610000 0.0482073 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.93368 N N N N N N FNMA PASS THRU POOLS N/A 3140XBWS5 5083616.480000 PA USD 4658569.760000 0.0385875 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3.5 N N N N N N COLT 2024-3 MORTGAGE LOAN TRUST N/A 19688VAA8 6417050.070000 PA USD 6501601.120000 0.0538536 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.393 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08 N/A 38382Y3K7 68133167.900000 PA USD 68384797.320000 0.56644 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 5.30185 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 4798077.010000 PA USD 4801927.080000 0.039775 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 5.57794 N N N N N N GNMA PASS THRU POOLS N/A 36202FHY5 3383.210000 PA USD 3426.650000 0.0000284 Long ABS-MBS USGSE US N 2 2040-07-20 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140J5UX5 1803506.620000 PA USD 1778495.570000 0.0147315 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 486963.140000 0.0040336 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-21 0.000000 USD -93087.250000 USD 126500000.000000 USD 580050.390000 N N N CARRINGTON MTGE LOAN TRUST 2007-RFC1 N/A 144526AD2 11809000.000000 PA USD 10569442.340000 0.0875481 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.65368 N N N N N N GS MORTGAGE-BACKED SECURITIES CORP TRUST 2020-PJ6 N/A 36260RAT6 15780456.620000 PA USD 211858.940000 0.0017549 Long ABS-O CORP US N 2 2051-05-25 Variable 0.25 N N N N N N JP MORGAN MORTGAGE TRUST 2024-5 N/A 46658RAP3 45883037.620000 PA USD 45919055.800000 0.380354 Long ABS-MBS CORP US N 2 2054-11-25 Floating 5.55517 N N N N N N FNMA PASS THRU POOLS N/A 3140AACA3 1466701.230000 PA USD 1494278.220000 0.0123773 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31417YYC5 16898.500000 PA USD 16971.920000 0.0001406 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 5069 N/A 3137F9C66 26734845.330000 PA USD 4695972.910000 0.0388974 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-6 N/A 54251RAA1 8229286.800000 PA USD 5696797.850000 0.0471873 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.72368 N N N N N N GNMA PASS THRU POOLS N/A 3618N5A66 18683755.990000 PA USD 19216832.700000 0.159176 Long ABS-MBS USGSE US N 2 2054-11-20 Fixed 6.5 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL7 N/A 74136TAA6 15152723.780000 PA USD 15124485.160000 0.125278 Long ABS-MBS CORP US N 2 2054-10-25 Fixed 5.9251 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BC5 424298.270000 PA USD 420643.580000 0.0034842 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.33368 N N N N N N N/A N/A 000000000 35900000.000000 NC USD 366833.380000 0.0030385 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.29000 12/15/25-7Y LCH 2032-12-15 0.000000 USD 0.000000 USD N/A USD N/A 3.290000 USD 2025-12-11 XXXX -150126.620000 N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAG5 30192016.450000 PA USD 30236622.140000 0.250454 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.12648 N N N N N N BAIN CAPITAL CREDIT CLO 2021-2 LTD N/A 05684RAL6 13200000.000000 PA USD 13190619.680000 0.10926 Long ABS-CBDO CORP KY N 2 2034-07-16 Floating 5.49054 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4Q2 4176369.930000 PA USD 640147.970000 0.0053024 Long ABS-MBS USGSE US N 2 2047-10-15 Fixed 3 N N N N N N CSMC 2021-RPL7 TRUST N/A 12598JAC5 21100346.400000 PA USD 20928992.600000 0.173358 Long ABS-MBS CORP US N 2 2061-07-27 Variable 4.19749 N N N N N N OPORTUN ISSUANCE TRUST 2025-A N/A 68377TAB4 1000000.000000 PA USD 999330.600000 0.0082776 Long ABS-O CORP US N 2 2033-02-08 Fixed 5.3 N N N N N N FREDDIE MAC REMICS 4979 N/A 3137FTXU6 13232897.610000 PA USD 1692005.930000 0.0140151 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.63035 N N N N N N FREDDIE MAC 2189 N/A 3133TLXZ6 9239.220000 PA USD 8860.260000 0.0000734 Long ABS-MBS USGSE US N 2 2027-07-15 None 0 N N N N N N UMBS PASS THRU POOLS N/A 01F060683 -163624000.000000 PA USD -166127859.530000 -1.37606 Short ABS-MBS USGSE US N 2 2054-08-15 Fixed 6 N N N N N N FANNIE MAE REMICS 2021-26 N/A 3136BHFV6 10925760.400000 PA USD 1523161.350000 0.0126165 Long ABS-MBS USGSE US N 2 2051-05-25 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05 N/A 38382YV75 1554885.130000 PA USD 1561532.730000 0.0129344 Long ABS-MBS USGSE US N 2 2073-01-20 Floating 5.17185 N N N N N N FANNIE MAE REMICS 2021-25 N/A 3136BHEL9 52002091.480000 PA USD 10077090.090000 0.0834699 Long ABS-MBS USGSE US N 2 2051-05-25 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-153 N/A 38380HB35 3008666.670000 PA USD 137491.850000 0.0011389 Long ABS-MBS USGSE US N 2 2046-10-20 Floating 0.19787 N N N N N N FNMA PASS THRU POOLS N/A 3140GNH22 861605.170000 PA USD 852117.980000 0.0070582 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QDFB5 5916075.390000 PA USD 5420004.420000 0.0448946 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36181GDE6 101597.030000 PA USD 93041.690000 0.0007707 Long ABS-MBS USGSE US N 2 2043-06-20 Fixed 3.5 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR39 N/A 45660KAA9 1747500.900000 PA USD 1604677.830000 0.0132918 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.79368 N N N N N N LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1A N/A 50346EAA5 7560214.960000 PA USD 7219341.350000 0.0597988 Long ABS-MBS CORP PA N 3 2042-11-24 Floating 3.508 N N N N N N N/A N/A 000000000 57700000.000000 NC USD 3299978.400000 0.0273342 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.24500 02/22/35-10Y LCH 2045-02-22 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2035-02-20 XXXX -1673761.600000 N N N BEAR STEARNS ADJ RATE MTGE TR 2007-2 N/A 07401EAC3 251978.280000 PA USD 210256.300000 0.0017416 Long ABS-MBS CORP US N 2 2046-12-25 Floating 6.37321 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-D N/A 83207QAB5 17771584.920000 PA USD 17798860.750000 0.14743 Long ABS-O CORP US N 2 2053-07-15 Floating 5.40319 N N N N N N FANNIE MAE REMICS 2023-39 N/A 3136BQFT1 163268431.370000 PA USD 26073086.840000 0.215967 Long ABS-MBS USGSE US N 2 2052-10-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWPA5 81991809.020000 PA USD 84730173.920000 0.701831 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6.5 N N N N N N HARLEY MARINE FINANCING LLC 2023-1 N/A 41284LAH7 5602749.750000 PA USD 5638685.230000 0.046706 Long ABS-O CORP US N 2 2027-12-15 Fixed 9.7503 N N N N N N N/A N/A 000000000 147500000.000000 NC USD 125906.000000 0.0010429 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% JUL 30YR N/A 98.430000 USD 2025-07-07 XXXX -392648.690000 N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP2 N/A 12654QBH8 2044144.290000 PA USD 2037805.810000 0.0168794 Long ABS-MBS CORP US N 2 2050-06-01 Variable 7.1831 N N N N N N FREDDIE MAC REMICS 5070 N/A 3137F9WW7 35404673.170000 PA USD 6567464.200000 0.0543992 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3.5 N N N N N N SOUND POINT CLO XXVII LTD N/A 83611VAS7 10400000.000000 PA USD 10415447.020000 0.0862725 Long ABS-CBDO CORP KY N 2 2034-10-25 Floating 5.72338 N N N N N N FANNIE MAE REMICS 2021-82 N/A 3136BKFS6 11706984.500000 PA USD 1383951.710000 0.0114635 Long ABS-MBS USGSE US N 2 2046-05-25 Fixed 3 N N N N N N ELEVATION CLO 2022-16A LTD N/A 28623YAU7 18700000.000000 PA USD 18720607.400000 0.155065 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 5.41177 N N N N N N FREDDIE MAC REMICS 4973 N/A 3137FT2J5 3733343.580000 PA USD 2980099.700000 0.0246846 Long ABS-MBS USGSE US N 2 2041-01-15 None 0 N N N N N N FREDDIE MAC REMICS 3032 N/A 31396AHT4 286031.190000 PA USD 25952.550000 0.000215 Long ABS-MBS USGSE US N 2 2035-09-15 Floating 2.28167 N N N N N N FNMA PASS THRU POOLS N/A 3140AGJY1 401758.270000 PA USD 424741.210000 0.0035182 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 7 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SNZ51 2693000.000000 PA 3701249.070000 0.0306579 Long ABS-MBS CORP GB N 2 2066-05-16 Floating 7.22522 N N N N N N FANNIE MAE REMICS 2014-52 N/A 3136AKF81 3271392.540000 PA USD 3212558.180000 0.02661 Long ABS-MBS USGSE US N 2 2044-09-25 Floating 4.76965 N N N N N N N/A N/A 000000000 162400000.000000 NC USD 261691.360000 0.0021676 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 04/08/26-7Y LCH 2033-04-08 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2026-04-06 XXXX -229285.380000 N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KH9 1193000.000000 PA 1636097.250000 0.013552 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 6.36986 N N N N N N GCAT 2021-NQM3 TRUST N/A 36167HAE5 9952000.000000 PA USD 7344445.630000 0.060835 Long ABS-MBS CORP US N 2 2066-05-25 Fixed 2.565 N N N N N N FNMA PASS THRU POOLS N/A 3140B1VV5 820080.220000 PA USD 786977.460000 0.0065186 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 4.5 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-3 N/A 37989EAE6 500000.000000 PA USD 514632.750000 0.0042628 Long ABS-O CORP US N 2 2030-08-15 Fixed 5.64 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4U3 14354049.760000 PA USD 2568470.030000 0.021275 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3.5 N N N N N N N/A N/A 000000000 -1039306595.430000 PA USD -1041747522.490000 -8.62893 Short RA US N 2 Reverse repurchase N 4.450000 2025-07-14 1182634854.000000 USD 1099048350.000000 USD AMBS N N N GNMA PASS THRU POOLS N/A 36179TNQ4 6453932.690000 PA USD 5780161.930000 0.0478778 Long ABS-MBS USGSE US N 2 2047-12-20 Fixed 3 N N N N N N SCCU AUTO RECEIVABLES TRUST 2024-1A N/A 78436RAC4 7992424.410000 PA USD 8011344.080000 0.066359 Long ABS-O CORP US N 2 2027-12-15 Fixed 5.45 N N N N N N CSMC 2021-NQM5 N/A 22946DAA0 984609.050000 PA USD 835010.210000 0.0069165 Long ABS-MBS CORP US N 2 2066-05-25 Variable 0.938 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWJ61 291340.100000 PA USD 301115.810000 0.0024942 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N FREDDIE MAC STRIPS 324 N/A 31325VBT0 12106423.320000 PA USD 2042296.710000 0.0169166 Long ABS-MBS USGSE US N 2 2043-12-15 Fixed 4 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO8 N/A 75115FAD2 532011.360000 PA USD 511644.160000 0.004238 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.83368 N N N N N N ACE SECURITIES CORP 2006-ASP1 N/A 004421VX8 5536766.330000 PA USD 5292240.580000 0.0438363 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.04868 N N N N N N FANNIE MAE REMICS 2024-74 N/A 3136BS3V5 39265613.060000 PA USD 4032452.810000 0.0334013 Long ABS-MBS USGSE US N 2 2054-10-25 Floating 1.79483 N N N N N N GNMA PASS THRU POOLS N/A 36180UMA4 45444.590000 PA USD 41646.100000 0.000345 Long ABS-MBS USGSE US N 2 2043-05-20 Fixed 3.5 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2009-6 2009-6 N/A 17315JCF7 1704268.010000 PA USD 608927.120000 0.0050438 Long ABS-MBS CORP US N 2 2037-08-25 Variable 6 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XWE6 1432320.070000 PA USD 261573.010000 0.0021666 Long ABS-MBS USGSE US N 2 2049-06-15 Fixed 4 N N N N N N N/A N/A 000000000 287100000.000000 NC USD 6574.590000 0.0000545 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.95000 07/15/25-7Y LCH 2032-07-15 0.000000 USD 0.000000 USD N/A USD N/A 2.950000 USD 2025-07-11 XXXX -2749585.410000 N N N FNMA PASS THRU POOLS N/A 3138EQ7E6 1117339.900000 PA USD 1080134.180000 0.0089469 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QS3R0 6234693.560000 PA USD 6361534.470000 0.0526934 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5.5 N N N N N N FANNIE MAE REMICS 2021-42 N/A 3136BGAW1 15390686.100000 PA USD 2079035.440000 0.0172209 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC USD 3179712.760000 0.026338 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-09 1891175.000000 USD 0.000000 USD 264500000.000000 USD 1288537.760000 N N N FNMA PASS THRU POOLS N/A 3140B1VU7 945331.880000 PA USD 908226.860000 0.007523 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 4.5 N N N N N N OCTAGON INVESTMENT PARTNERS 40 LTD 2019-1A N/A 67592BAY4 26200000.000000 PA USD 26055544.200000 0.215822 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.30947 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 1427179.940000 PA USD 1387230.030000 0.0114906 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.81368 N N N N N N FNMA PASS THRU POOLS N/A 3138LMSA2 23874000.000000 PA USD 23421785.850000 0.194006 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 3.29 N N N N N N FANNIE MAE INTEREST STRIP 386 N/A 3136FFSR1 168609.230000 PA USD 38424.690000 0.0003183 Long ABS-MBS USGSE US N 2 2038-04-25 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LLXM8 3713012.480000 PA USD 3833116.770000 0.0317502 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 5.57 N N N N N N FREDDIE MAC REMICS 5002 N/A 3137FUAM6 5077055.850000 PA USD 626266.010000 0.0051874 Long ABS-MBS USGSE US N 2 2050-07-25 Floating 1.68035 N N N N N N FHLMC PASS THRU POOLS N/A 31425VZA4 4125724.960000 PA USD 4175558.150000 0.0345867 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 5.5 N N N N N N FANNIE MAE-2020-27 N/A 3136B9UP0 9269431.540000 PA USD 680813.790000 0.0056393 Long ABS-MBS USGSE US N 2 2035-05-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5158 N/A 3137H3ZJ4 59577910.100000 PA USD 14238727.300000 0.117941 Long ABS-MBS USGSE US N 2 2049-01-25 Fixed 4.5 N N N N N N VERUS SECURITIZATION TRUST 2023-2 N/A 92539DAA6 4665809.080000 PA USD 4676827.850000 0.0387388 Long ABS-MBS CORP US N 2 2068-03-25 Fixed 6.193 N N N N N N WELLS FARGO MTGE BACKED SEC 2007-AR8 N/A 94985YAA5 2283174.740000 PA USD 2106940.130000 0.0174521 Long ABS-MBS CORP US N 2 2037-11-25 Floating 6.67772 N N N N N N GNMA PASS THRU POOLS N/A 36241L7B6 1141404.380000 PA USD 1133167.990000 0.0093862 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 31425YQZ3 1438262.040000 PA USD 1481735.450000 0.0122734 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 21H050672 246970000.000000 PA USD 242638077.050000 2.0098 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 5 N N N N N N FANNIE MAE REMICS 2020-86 N/A 3136BCM72 25959070.410000 PA USD 3627883.930000 0.0300502 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 31427MAZ4 67116763.770000 PA USD 69253715.220000 0.573638 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4F7 2083357.580000 PA USD 2095953.350000 0.0173611 Long ABS-O CORP US N 2 2032-09-15 Fixed 6.678 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-182 N/A 38380UAZ6 5204113.850000 PA USD 344006.500000 0.0028495 Long ABS-MBS USGSE US N 2 2047-05-20 Floating 0.11529 N N N N N N GRIFONAS FINANCE NO.1 PLC GRIF-1 N/A B1DFQWII3 5280745.180000 PA 6050271.720000 0.0501152 Long ABS-MBS CORP GB N 2 2039-08-28 Floating 2.669 N N N N N N FNMA PASS THRU POOLS N/A 3140NTCG5 6064294.980000 PA USD 6290164.680000 0.0521023 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-101 N/A 38384CBD0 19459150.570000 PA USD 2190650.850000 0.0181454 Long ABS-MBS USGSE US N 2 2051-01-20 Fixed 2 N N N N N N FREDDIE MAC REMICS 5457 N/A 3137HH4K4 34498548.320000 PA USD 34318755.690000 0.284267 Long ABS-MBS USGSE US N 2 2054-10-25 Floating 5.40517 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ45 N/A 3137HA4L7 27615000.000000 PA USD 27968775.770000 0.231669 Long ABS-MBS USGSE US N 2 2031-01-25 Fixed 4.66 N N N N N N ARES XXVII CLO LTD 2013-2A N/A 00190YBP9 19100000.000000 PA USD 19121682.320000 0.158387 Long ABS-CBDO CORP KY N 2 2034-10-28 Floating 5.43262 N N N N N N GNMA PASS THRU POOLS N/A 36179XS98 407787.990000 PA USD 373264.780000 0.0030918 Long ABS-MBS USGSE US N 2 2053-02-20 Fixed 3.5 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A N/A 36270YAG7 6100000.000000 PA USD 6125882.300000 0.0507415 Long ABS-O CORP US N 2 2029-04-16 Fixed 4.89 N N N N N N ACE SECURITIES CORP 2007-HE2 N/A 00443PAE9 3379557.930000 PA USD 1763618.250000 0.0146083 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.03368 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-C N/A 43709BAF6 8745525.680000 PA USD 8142762.190000 0.0674476 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.91368 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6 N/A 02151JAD3 2636803.590000 PA USD 2206815.020000 0.0182793 Long ABS-MBS CORP US N 2 2047-08-25 Floating 4.99368 N N N N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAE8 10008147.600000 PA USD 2830646.420000 0.0234466 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.89368 N N N N N N FNMA PASS THRU POOLS N/A 3140JR3L3 219631.530000 PA USD 200465.970000 0.0016605 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N SANDSTONE PEAK LTD 2021-1A N/A 800130AN6 18500000.000000 PA USD 18511599.500000 0.153334 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.5361 N N N N N N HARLEY MARINE FINANCING LLC 2023-1 N/A 41284LAG9 5561000.000000 PA USD 5605699.320000 0.0464327 Long ABS-O CORP US N 2 2027-12-15 Fixed 9.2503 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC4 N/A 61744CRF5 136201.280000 PA USD 127585.600000 0.0010568 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.48368 N N N N N N FREDDIE MAC REMICS 5508 N/A 3137HJGF8 39253570.860000 PA USD 39305888.020000 0.325576 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.30517 N N N N N N ENTERPRISE FLEET FINANCING 2024-3 LLC N/A 29375QAC2 3500000.000000 PA USD 3548001.800000 0.0293886 Long ABS-O CORP US N 2 2028-08-21 Fixed 4.98 N N N N N N FANNIE MAE REMICS 2022-20 N/A 3136BL6W5 7446719.680000 PA USD 6065210.950000 0.0502389 Long ABS-MBS USGSE US N 2 2050-05-25 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 1437459.910000 0.0119067 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-03-01 992250.000000 USD 0.000000 USD 122500000.000000 USD 445209.910000 N N N VERUS SECURITIZATION TRUST 2022-2 N/A 92538XAA3 4691134.460000 PA USD 4487927.180000 0.0371741 Long ABS-MBS CORP US N 2 2067-02-25 Variable 4.26 N N N N N N COUNTRYWIDE HOME LOANS 2003-R4 N/A 12669FFS7 2384622.130000 PA USD 2154558.560000 0.0178465 Long ABS-MBS CORP US N 2 2034-01-25 Variable 4.74405 N N N N N N FREDDIE MAC REMICS 4111 N/A 3137AUC56 373747.770000 PA USD 9132.900000 0.0000756 Long ABS-MBS USGSE US N 2 2027-09-15 Fixed 3 N N N N N N CIM TRUST 2025-R1 N/A 12575LAA1 2445116.300000 PA USD 2419190.490000 0.0200385 Long ABS-MBS CORP US N 2 2099-02-25 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 238794.230000 0.001978 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 25305684.440000 USD 34785193.830000 CAD 2025-07-02 238794.230000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02 N/A 38382YN82 1168845.350000 PA USD 1171003.970000 0.0096996 Long ABS-MBS USGSE US N 2 2073-01-20 Floating 5.20185 N N N N N N TOWD POINT MORTGAGE TRUST 2024-3 N/A 89183FAP3 14354617.170000 PA USD 14646650.370000 0.12132 Long ABS-MBS CORP US N 2 2065-07-25 Variable 5.10699 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC5 N/A 76112BH60 6294.950000 PA USD 6274.700000 0.000052 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.12368 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 60 N/A 38376UEU9 1330748.080000 PA USD 34579.620000 0.0002864 Long ABS-MBS USGSE US N 2 2035-01-20 Floating 1.66794 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF1 N/A 61910AAA6 4595818.200000 PA USD 4477622.950000 0.0370887 Long ABS-MBS CORP US N 2 2042-01-25 Floating 4.49 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H15 N/A 38384AV59 8187502.830000 PA USD 8222298.080000 0.0681064 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 5.30185 N N N N N N FREMONT HOME LOAN TRUST 2006-B N/A 35729QAD0 24323030.590000 PA USD 7591157.040000 0.0628785 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.75368 N N N N N N AMERICAN HOME MTG INV TRUST 2005-1 N/A 02660TDH3 1696.210000 PA USD 1690.090000 0.000014 Long ABS-MBS CORP US N 2 2045-06-25 Floating 6.70146 N N N N N N FANNIE MAE REMICS 2016-32 N/A 3136ASTX4 45685.600000 PA USD 29097.760000 0.000241 Long ABS-MBS USGSE US N 2 2043-01-25 Floating 0 N N N N N N WELLS FARGO ALTERNATIVE LOAN TR 2007-PA1 N/A 94984TAH2 263003.670000 PA USD 211959.020000 0.0017557 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.97368 N N N N N N JP MORGAN MORTGAGE TRUST 2024-9 N/A 46593DAX5 10620423.730000 PA USD 10671643.910000 0.0883946 Long ABS-MBS CORP US N 2 2055-02-25 Floating 5.65517 N N N N N N PRPM 2025-4 LLC N/A 69382KAA6 5300000.000000 PA USD 5346780.980000 0.0442881 Long ABS-MBS CORP US N 2 2030-06-25 Fixed 6.179 N N N N N N N/A N/A 000000000 35700000.000000 NC USD 2363215.050000 0.0195748 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.52000 05/31/35-10Y LCH 2045-05-31 0.000000 USD 0.000000 USD N/A USD N/A 4.520000 USD 2035-05-29 XXXX -847999.950000 N N N GNMA PASS THRU POOLS N/A 36179SSP3 5501953.220000 PA USD 4941876.940000 0.0409342 Long ABS-MBS USGSE US N 2 2046-12-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MTGE ASSOC 2004-91 N/A 38374JJ72 213444.400000 PA USD 771.350000 0.0000064 Long ABS-MBS USGSE US N 2 2034-11-16 Floating 1.67376 N N N N N N FREDDIE MAC REMICS 3954 N/A 3137AJ3V4 635296.970000 PA USD 602540.420000 0.0049909 Long ABS-MBS USGSE US N 2 2041-07-15 Fixed 2 N N N N N N MFA 2023-INV2 TRUST N/A 59319BAA5 4350597.130000 PA USD 4399582.240000 0.0364423 Long ABS-MBS CORP US N 2 2058-10-25 Variable 6.775 N N N N N N GPMT LLC 2021-FL3 N/A 36264BAG5 10000000.000000 PA USD 9158411.000000 0.0758603 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 7.32908 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2024-A N/A 14319FAB9 1500910.350000 PA USD 1506314.530000 0.012477 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.78 N N N N N N CROSS 2024-H4 MORTGAGE TRUST N/A 22758HAA8 5433679.000000 PA USD 5486097.700000 0.0454421 Long ABS-MBS CORP US N 2 2069-07-25 Fixed 6.147 N N N N N N JP MORGAN MORTGAGE TRUST 2021-10 N/A 46654AAE9 63463924.250000 PA USD 1865426.860000 0.0154516 Long ABS-O CORP US N 2 2051-12-25 Variable 0.5 N N N N N N MASTR ASSET BACKED SECURITIES 2005-HE1 N/A 57643LJK3 3080000.000000 PA USD 3051668.930000 0.0252774 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.48368 N N N N N N FREDDIE MAC REMICS 3233 N/A 31397BYN5 2819.510000 PA USD 2349.770000 0.0000195 Long ABS-MBS USGSE US N 2 2036-05-15 None 0 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF4 N/A 863911AA1 771117.420000 PA USD 645210.290000 0.0053444 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.72368 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-14T2 N/A 02150BAA7 12165183.990000 PA USD 6241566.620000 0.0516997 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 N N N N N N FREDDIE MAC 2259 N/A 3133TQAX5 5319.560000 PA USD 4914.860000 0.0000407 Long ABS-MBS USGSE US N 2 2030-10-15 None 0 N N N N N N KKR CLO LTD 18 N/A 48251JAN3 19500000.000000 PA USD 19559808.260000 0.162017 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 6.13108 N N N N N N FNMA PASS THRU POOLS N/A 3140F1U26 48135.320000 PA USD 45619.650000 0.0003779 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JX6 682000.000000 PA 931091.890000 0.0077124 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 6.86986 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-141 N/A 38379Q4L6 981487.500000 PA USD 838047.420000 0.0069417 Long ABS-MBS USGSE US N 2 2045-06-20 Floating 0 N N N N N N N/A N/A 000000000 34900000.000000 NC USD 2126376.730000 0.0176131 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.43000 05/18/35-10Y LCH 2045-05-18 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-05-16 XXXX -1000663.270000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-128 N/A 38381AAH9 328877.670000 PA USD 323427.710000 0.002679 Long ABS-MBS USGSE US N 2 2041-03-20 Floating 4.68206 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A N/A 37989AAG9 3200000.000000 PA USD 3215240.320000 0.0266323 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.08 N N N N N N ANCHORAGE CREDIT FUNDING 2020-10A LTD N/A 03332AAC4 1000000.000000 PA USD 963123.600000 0.0079777 Long ABS-CBDO CORP KY N 2 2038-04-25 Fixed 4.169 N N N N N N FNMA PASS THRU POOLS N/A 31418EGF1 1536978.110000 PA USD 1483953.390000 0.0122918 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3622AC3V0 18096670.090000 PA USD 16523066.360000 0.136863 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3.5 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR2 N/A 25151UAA5 826504.490000 PA USD 772121.320000 0.0063956 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.73368 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2024-A N/A 14319FAC7 828088.470000 PA USD 828850.060000 0.0068655 Long ABS-O CORP US N 2 2027-09-15 Floating 5.03385 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W4389 5600000.000000 PA 6267309.610000 0.0519129 Long ABS-CBDO CORP IE N 2 2033-04-15 Fixed 1.65 N N N N N N FNMA PASS THRU POOLS N/A 3140J8QX4 3390062.680000 PA USD 3272456.460000 0.0271062 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 3.5 N N N N N N FREDDIE MAC 4836 N/A 3137FJB57 1797923.860000 PA USD 232433.440000 0.0019253 Long ABS-MBS USGSE US N 2 2048-10-15 Floating 1.73167 N N N N N N AMSR-2021-SFR1 N/A 00179DAA4 4000000.000000 PA USD 3732903.600000 0.0309201 Long ABS-MBS CORP US N 2 2038-06-17 Fixed 1.953 N N N N N N FNMA PASS THRU POOLS N/A 3140FUCC0 733043.210000 PA USD 716563.060000 0.0059354 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 4 N N N N N N N/A N/A 000000000 -34000000.000000 NC USD -217528.600000 -0.0018018 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUL 30YR N/A 97.440000 USD 2025-07-07 XXXX -76747.350000 N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA4 N/A 32052NAE9 73645.590000 PA USD 64916.310000 0.0005377 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.26195 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-1 N/A 86362TAA5 2014847.670000 PA USD 1987941.390000 0.0164664 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.73368 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAE3 10000000.000000 PA USD 9992830.000000 0.0827719 Long ABS-O CORP US N 2 2029-04-16 Fixed 4.48 N N N N N N GNMA PASS THRU POOLS N/A 21H032670 -883100000.000000 PA USD -802974464.830000 -6.65114 Short ABS-MBS USGSE US N 2 2054-07-15 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133CYRG5 4230753.470000 PA USD 4275892.390000 0.0354178 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J8BG7 1902586.180000 PA USD 1838050.510000 0.0152248 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4 N N N N N N ANCHORAGE CREDIT FUNDING 13 LTD N/A 03290AAA8 1000000.000000 PA USD 939577.090000 0.0077826 Long ABS-CBDO CORP KY N 2 2039-07-27 Fixed 2.875 N N N N N N FNMA PASS THRU POOLS N/A 3140FPBW8 514601.200000 PA USD 505239.810000 0.004185 Long ABS-MBS USGSE US N 2 2047-05-01 Floating 3.278 N N N N N N N/A N/A 000000000 34800000.000000 NC USD 2063466.000000 0.017092 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.31000 04/26/35-10Y LCH 2045-04-26 0.000000 USD 0.000000 USD N/A USD N/A 4.310000 USD 2035-04-24 XXXX -1016334.000000 N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR27 N/A 45661LAG3 5046.960000 PA USD 4547.010000 0.0000377 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.83368 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAD2 3635084.220000 PA USD 1674413.580000 0.0138694 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.64368 N N N N N N N/A N/A 000000000 96600000.000000 NC USD 226111.620000 0.0018729 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.75000 11/13/25-7Y LCH 2032-11-13 0.000000 USD 0.000000 USD N/A USD N/A 2.750000 USD 2025-11-10 XXXX -532198.380000 N N N MASTR ASSET BACKED SECUR TR 2005-FRE1 N/A 57643LMA1 4004957.400000 PA USD 3827137.290000 0.0317007 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.18368 N N N N N N FNMA PASS THRU POOLS N/A 3140FPDG1 61994.790000 PA USD 58748.790000 0.0004866 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4 N N N N N N FREDDIE MAC 2416 N/A 31339DRH3 1108.870000 PA USD 1075.800000 0.0000089 Long ABS-MBS USGSE US N 2 2032-02-15 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWF73 105244633.200000 PA USD 107364997.880000 0.889318 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1512 N/A 3137FMTU6 132351736.300000 PA USD 6913207.650000 0.057263 Long ABS-MBS USGSE US N 2 2034-04-25 Variable 1.04705 N N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GP21 133374.450000 PA USD 136858.860000 0.0011336 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 7.5 N N N N N N FANNIE MAE REMICS 2013-66 N/A 3136AFWB6 60448.740000 PA USD 6791.300000 0.0000563 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 3 N N N N N N FEDERAL HOME LOAN MTGE 5123 N/A 3137H15V4 6994601.110000 PA USD 824557.150000 0.0068299 Long ABS-MBS USGSE US N 2 2051-07-25 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 3224 N/A 31397BY47 346476.400000 PA USD 30554.610000 0.0002531 Long ABS-MBS USGSE US N 2 2036-10-15 Floating 1.58167 N N N N N N FREDDIE MAC REMICS 5013 N/A 3137FW3E8 13816938.560000 PA USD 2355503.400000 0.0195109 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.5 N N N N N N TROPIC CDO CORP 2006-5A N/A 89708BAB9 8949635.610000 PA USD 8614024.270000 0.0713511 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 4.83771 N N N N N N REGIONAL MANAGEMENT ISSUANCE TRUST 2024-2 N/A 75907AAA1 5400000.000000 PA USD 5433176.520000 0.0450037 Long ABS-O CORP US N 2 2033-12-15 Fixed 5.11 N N N N N N FREDDIE MAC REMICS 5426 N/A 3137HCXU1 1086145.010000 PA USD 1089718.750000 0.0090263 Long ABS-MBS USGSE US N 2 2050-03-15 Floating 5.25001 N N N N N N CVC CORDATUS LOAN FUND V LTD 5A N/A ACI1G4C04 256975.630000 PA 303223.590000 0.0025116 Long ABS-CBDO CORP IE N 2 2030-07-21 Floating 2.886 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413V9 428368.920000 PA USD 346593.510000 0.0028709 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.78368 N N N N N N N/A N/A 000000000 1.000000 NC USD -2679875.000000 -0.0221978 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -10778902.210000 USD 909400000.000000 USD 8099027.210000 N N N FHLMC PASS THRU POOLS N/A 3128KMMC6 66161.470000 PA USD 67923.820000 0.0005626 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23 N/A 38383KFR8 10292093.600000 PA USD 10397243.800000 0.0861217 Long ABS-MBS USGSE US N 2 2073-09-20 Floating 5.28185 N N N N N N MORGAN STANLEY IXIS RE CAP TR 2006-2 N/A 617463AP9 9130562.640000 PA USD 2938429.630000 0.0243394 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.57368 N N N N N N FANNIE MAE INTEREST STRIP FNS 426 N/A 31422MZN9 9151331.940000 PA USD 1123416.590000 0.0093054 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N FREDDIE MAC REMICS 4167 N/A 3137AYKL4 2800901.600000 PA USD 2720402.290000 0.0225334 Long ABS-MBS USGSE US N 2 2028-02-15 Fixed 1.5 N N N N N N FANNIE MAE REMICS 2018-35 N/A 3136B1D27 3874932.990000 PA USD 537519.850000 0.0044523 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 1.78035 N N N N N N PRKCM 2023-AFC3 TRUST N/A 693984AA4 6433702.290000 PA USD 6497586.380000 0.0538204 Long ABS-MBS CORP US N 2 2058-09-25 Variable 6.584 N N N N N N FANNIE MAE REMICS 2017-16 N/A 3136AVZF9 255685.530000 PA USD 171133.060000 0.0014175 Long ABS-MBS USGSE US N 2 2047-03-25 Floating 0.57297 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAE3 15140000.000000 PA USD 14939990.000000 0.12375 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.22648 N N N N N N FNMA PASS THRU POOLS N/A 3140QKME5 42635463.540000 PA USD 36993016.370000 0.306418 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133BPF52 2162194.950000 PA USD 2135051.900000 0.0176849 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5 N N N N N N AMERICAN HOME MTGE ASSETS 2006-3 N/A 02660UAA8 6894242.200000 PA USD 5722075.560000 0.0473967 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.36869 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1 N/A 36261WAB3 2770000.000000 PA USD 2400384.770000 0.0198827 Long ABS-MBS CORP US N 2 2060-12-25 Variable 2 N N N N N N FREDDIE MAC REMICS 5460 N/A 3137HFUG8 54114407.520000 PA USD 5887203.800000 0.0487645 Long ABS-MBS USGSE US N 2 2054-10-25 Floating 1.69483 N N N N N N VMC FINANCE 2021-FL4 LLC N/A 91835RAG5 3000000.000000 PA USD 2954395.500000 0.0244716 Long ABS-MBS CORP US N 2 2036-06-16 Floating 6.67908 N N N N N N GNMA PASS THRU POOLS N/A 36177XEZ7 47091.960000 PA USD 43067.040000 0.0003567 Long ABS-MBS USGSE US N 2 2042-06-20 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2015-8 N/A 3136AMUT4 15220312.800000 PA USD 1874236.930000 0.0155246 Long ABS-MBS USGSE US N 2 2045-03-25 Floating 1.68035 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-1 N/A 41161PCY7 57606.650000 PA USD 53757.160000 0.0004453 Long ABS-MBS CORP US N 2 2034-04-19 Floating 5.99689 N N N N N N FREDDIE MAC STRIPS 295 N/A 31283DAS3 988041.700000 PA USD 78204.210000 0.0006478 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 3 N N N N N N FANNIE MAE REMICS 2015-10 N/A 3136AMZT9 1188860.890000 PA USD 66184.000000 0.0005482 Long ABS-MBS USGSE US N 2 2045-03-25 Floating 2.08053 N N N N N N BINOM SECURITIZATION TRUST 2022-INV1 N/A 090975AA1 21757432.520000 PA USD 21102401.080000 0.174794 Long ABS-MBS CORP US N 2 2057-08-25 Variable 4.441 N N N N N N OPORTUN ISSUANCE TRUST 2025-1 N/A 68377PAA4 5218541.140000 PA USD 5211216.400000 0.0431652 Long ABS-O CORP US N 2 2032-08-16 Fixed 4.96 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAB1 2230797.240000 PA USD 1631833.980000 0.0135167 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.79368 N N N N N N FANNIE MAE 2020-37 N/A 3136B9T56 1991317.120000 PA USD 388763.650000 0.0032202 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 4 N N N N N N FREDDIE MAC REMICS 4804 N/A 3137FGLZ6 929433.890000 PA USD 122799.970000 0.0010172 Long ABS-MBS USGSE US N 2 2048-06-15 Floating 1.73167 N N N N N N GNMA PASS THRU POOLS N/A 3617BXYV9 995833.340000 PA USD 918654.580000 0.0076093 Long ABS-MBS USGSE US N 2 2047-12-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-42 N/A 38376MTE7 216332.240000 PA USD 3638.670000 0.0000301 Long ABS-MBS USGSE US N 2 2046-01-20 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 31426MAD4 1600604.530000 PA USD 1649200.390000 0.0136605 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140B04J4 671717.600000 PA USD 693984.130000 0.0057484 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6 N N N N N N PAGAYA AI DEBT TRUST 2025-4 N/A 69547DAA4 8100000.000000 PA USD 8102551.500000 0.0671145 Long ABS-O CORP US N 2 2026-06-15 Fixed 4.858 N N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 13835.120000 PA USD 13049.290000 0.0001081 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.75368 N N N N N N VERUS SECURITIZATION TRUST 2024-3 N/A 92540MAA3 5837339.980000 PA USD 5905562.720000 0.0489166 Long ABS-MBS CORP US N 2 2069-04-25 Variable 6.338 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAG9 7825000.000000 PA USD 7779962.350000 0.0644424 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 6.52908 N N N N N N FANNIE MAE INTEREST STRIP 338 N/A 3136FAW30 398991.000000 PA USD 346797.920000 0.0028726 Long ABS-MBS USGSE US N 2 2033-07-25 None 0 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-5AR N/A 61748HLF6 38729.260000 PA USD 25257.750000 0.0002092 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.54462 N N N N N N FHLMC PASS THRU POOLS N/A 31425VYJ6 2766615.680000 PA USD 2775672.640000 0.0229913 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACG8 133123.150000 PA USD 125685.490000 0.0010411 Long ABS-MBS CORP US N 2 2035-11-20 Floating 5.07591 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180 N/A 38376T6N7 1121494.890000 PA USD 46314.710000 0.0003836 Long ABS-MBS USGSE US N 2 2045-09-20 Floating 0.13666 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAB9 2755106.990000 PA USD 994399.110000 0.0082367 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.73368 N N N N N N FREDDIE MAC REMICS 5262 N/A 3137H95T2 62414762.560000 PA USD 60967095.830000 0.504999 Long ABS-MBS USGSE US N 2 2052-10-25 Floating 5.10517 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A N/A 37989AAC8 2529732.720000 PA USD 2532647.480000 0.0209783 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.35 N N N N N N FANNIE MAE INTEREST STRIP 440 N/A 31424U8A7 45131648.500000 PA USD 9936223.000000 0.082303 Long ABS-MBS USGSE US N 2 2053-10-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2015-73 N/A 3136AP7M8 584450.250000 PA USD 372223.920000 0.0030832 Long ABS-MBS USGSE US N 2 2045-10-25 Floating 0 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST N/A 05555XAA3 28821336.870000 PA USD 27743570.760000 0.229804 Long ABS-MBS CORP US N 3 2050-04-25 Variable 3.10885 N N N N N N FANNIE MAE REMICS 2012-55 N/A 3136A52M7 341610.000000 PA USD 293191.050000 0.0024285 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HNV66 1043354.990000 PA USD 1014699.200000 0.0084049 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H07 N/A 38380LCX9 297146.600000 PA USD 297007.420000 0.0024602 Long ABS-MBS USGSE US N 2 2068-05-20 Floating 4.74602 N N N N N N N/A N/A 000000000 1.000000 NC USD 1571.860000 0.000013 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 1500000.000000 USD 1571.860000 N N N N/A N/A 000000000 1.000000 NC 1184130.750000 0.0098083 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 76955751.740000 USD 66335446.720000 EUR 2025-07-02 1184130.750000 N N N GSAA HOME EQUITY TRUST 2007-6 N/A 36245RAF6 261801.210000 PA USD 160132.990000 0.0013264 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.03368 N N N N N N ANCHORAGE CAPITAL CLO 21 LTD N/A 03331KAJ8 19500000.000000 PA USD 19504955.730000 0.161562 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.31947 N N N N N N FANNIE MAE REMICS 2016-89 N/A 3136AUNR8 6671311.330000 PA USD 1201053.520000 0.0099485 Long ABS-MBS USGSE US N 2 2046-12-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2012-20 N/A 3136A4FS3 730501.410000 PA USD 114721.370000 0.0009503 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 2.01035 N N N N N N AMERICAN HOME MORTGAGE INVT TR 2006-1 N/A 02660TJB0 3578472.300000 PA USD 3179093.680000 0.0263328 Long ABS-MBS CORP US N 2 2046-03-25 Floating 4.83368 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 133276.350000 PA USD 127791.680000 0.0010585 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XVP2 5468719.960000 PA USD 970711.790000 0.0080405 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4999 N/A 3137FV4Y5 13127824.320000 PA USD 1840024.740000 0.0152412 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.73035 N N N N N N FNMA PASS THRU POOLS N/A 31418EFC9 376208.810000 PA USD 363230.130000 0.0030087 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2019 57 N/A 3136B6QD8 3027852.590000 PA USD 385352.070000 0.0031919 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 1.63035 N N N N N N GNMA PASS THRU POOLS N/A 36179UCC4 454781.790000 PA USD 443080.860000 0.0036701 Long ABS-MBS USGSE US N 2 2048-09-20 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-138 N/A 38376MCQ8 502255.690000 PA USD 19667.980000 0.0001629 Long ABS-MBS USGSE US N 2 2045-08-20 Floating 0.21314 N N N N N N RCKT MORTGAGE TRUST 2025-CES1 N/A 749427AA8 8946939.110000 PA USD 9006802.180000 0.0746045 Long ABS-MBS CORP US N 2 2045-01-25 Variable 5.653 N N N N N N FANNIE MAE REMICS 2019-81 N/A 3136B8EF2 2420046.630000 PA USD 583477.360000 0.004833 Long ABS-MBS USGSE US N 2 2050-01-25 Fixed 4.5 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL3 N/A 03880KAA2 1437425.610000 PA USD 1438457.750000 0.0119149 Long ABS-CBDO CORP KY N 2 2034-08-15 Floating 5.49624 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR5 N/A 32051GXQ3 8444.670000 PA USD 6551.470000 0.0000543 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.36851 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAE0 30020470.900000 PA USD 30051178.840000 0.248918 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.80648 N N N N N N FREDDIE MAC STRIPS 367 N/A 31325X2Z2 7983913.950000 PA USD 1374075.500000 0.0113816 Long ABS-MBS USGSE US N 2 2050-06-15 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140LPA28 401330.740000 PA USD 351093.750000 0.0029082 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A N/A 76088LAA6 7696543.760000 PA USD 7532201.000000 0.0623902 Long ABS-O CORP US N 2 2030-03-25 Fixed 2.65 N N N N N N FANNIE MAE REMICS 2020-99 N/A 3136BDEZ7 17576394.870000 PA USD 795669.330000 0.0065906 Long ABS-MBS USGSE US N 2 2035-11-25 Fixed 1.5 N N N N N N MADISON PARK FUNDING XLVI LTD 2020-46A N/A 55822AAW7 31900000.000000 PA USD 31936808.770000 0.264537 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.2561 N N N N N N N/A N/A 000000000 1.000000 NC USD -6811.700000 -0.0000564 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-06-20 0.000000 USD -2510.530000 USD 700000.000000 USD -4301.170000 N N N CITICORP RESIDENTIAL MORTGAGE SEC 2007-2 N/A 17312HAH2 8833873.810000 PA USD 7607819.580000 0.0630166 Long ABS-MBS CORP US N 2 2037-06-25 Variable 6.94 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAF0 10000000.000000 PA USD 10016208.000000 0.0829656 Long ABS-O CORP US N 2 2030-01-15 Fixed 4.64 N N N N N N LEHMAN MORTGAGE TRUST 2007-2 N/A 52521DAB8 3632206.000000 PA USD 2391737.550000 0.0198111 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 5.75 N N N N N N ICG US CLO LTD 2015-2RA N/A 44933WAL3 10064348.530000 PA USD 10063022.350000 0.0833533 Long ABS-CBDO CORP KY N 2 2033-01-16 Floating 5.25054 N N N N N N FHLMC PASS THRU POOLS N/A 3133KPQ27 2274350.990000 PA USD 2180386.880000 0.0180604 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H2Z92 2348299.940000 PA USD 2221700.060000 0.0184026 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2022-3 N/A 3136BLEX4 185179893.320000 PA USD 1220816.960000 0.0101122 Long ABS-MBS USGSE US N 2 2052-02-25 Floating 0 N N N N N N FNMA PASS THRU POOLS N/A 3140XCTU2 3450981.050000 PA USD 2989966.940000 0.0247663 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 3 N N N N N N N/A N/A 000000000 173000000.000000 NC USD 1256516.300000 0.0104079 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.31250 06/10/26-7Y LCH 2033-06-10 0.000000 USD 0.000000 USD N/A USD N/A 4.310000 USD 2026-06-08 XXXX -2296471.200000 N N N FHLMC PASS THRU POOLS N/A 3132XW4M0 308480.790000 PA USD 292505.300000 0.0024229 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2021-59 N/A 3136BGW64 24065433.000000 PA USD 3517743.010000 0.0291379 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F052680 119600000.000000 PA USD 119493216.340000 0.989778 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5.5 N N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 3192106.500000 PA USD 2779922.560000 0.0230265 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.77464 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL2 N/A 69392LAA2 4381901.710000 PA USD 4242765.810000 0.0351434 Long ABS-MBS CORP US N 2 2064-08-25 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202EXU8 2597.240000 PA USD 2720.760000 0.0000225 Long ABS-MBS USGSE US N 2 2038-11-20 Fixed 6 N N N N N N GS MORTGAGE SECURITIES CORP II 2010-C1 N/A 36249KAE0 7225864.610000 PA USD 106.220000 0.0000009 Long ABS-MBS CORP US N 2 2043-08-10 Variable 0.533286 N N N N N N FANNIE MAE REMICS 2017-87 N/A 3136AYV34 2885397.940000 PA USD 465916.170000 0.0038592 Long ABS-MBS USGSE US N 2 2047-11-25 Floating 1.78035 N N N N N N N/A N/A 000000000 186000000.000000 NC USD 1599.600000 0.0000132 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/6.00000 10/21/25-10Y LCH 2035-10-21 0.000000 USD 0.000000 USD N/A USD N/A 6.000000 USD 2025-10-17 XXXX -1272500.400000 N N N ENCORE CREDIT RECEIVABLES TRUST 2005-3 N/A 29256PAK0 3552105.530000 PA USD 3293222.750000 0.0272782 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.46868 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO2 N/A 761118HU5 1369349.610000 PA USD 1165175.340000 0.0096513 Long ABS-MBS CORP US N 2 2045-09-25 Floating 5.75869 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H06 N/A 38381TC60 1152677.990000 PA USD 1116630.980000 0.0092492 Long ABS-MBS USGSE US N 2 2069-01-20 Variable 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION H03 N/A 38382YR47 20233365.040000 PA USD 20142055.910000 0.166839 Long ABS-MBS USGSE US N 2 2073-02-20 Floating 5.09185 N N N N N N MORTGAGEIT TRUST 2004-1 N/A 61913PAA0 82708.190000 PA USD 79939.090000 0.0006621 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.21368 N N N N N N FREDDIEMAC STRIP-209 N/A 3128CVC51 56795.330000 PA USD 50947.970000 0.000422 Long ABS-MBS USGSE US N 2 2030-09-15 None 0 N N N N N N FANNIE MAE INTEREST STRIP 22 N/A 31397VQG5 110763.430000 PA USD 18559.540000 0.0001537 Long ABS-MBS USGSE US N 2 2045-11-25 Fixed 3.5 N N N N N N N/A N/A 000000000 -116600000.000000 NC USD -1393241.740000 -0.0115404 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67000 09/03/25-10Y LCH 2035-09-03 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2025-08-29 XXXX -356797.300000 N N N FNMA PASS THRU POOLS N/A 3140NAJQ7 1921474.750000 PA USD 1959498.390000 0.0162308 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N FANNIE MAE REMICS 2015-84 N/A 3136AQRG7 502350.030000 PA USD 75288.050000 0.0006236 Long ABS-MBS USGSE US N 2 2045-11-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 5051 N/A 3137F83L5 109709948.080000 PA USD 3647384.020000 0.0302118 Long ABS-MBS USGSE US N 2 2048-11-15 Floating 0 N N N N N N FREDDIE MAC REMICS 5160 N/A 3137H3WD0 4771944.810000 PA USD 618333.340000 0.0051217 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140W0D51 1898184.840000 PA USD 1823328.270000 0.0151029 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2014-73 N/A 3136ALMD0 2008911.070000 PA USD 222507.390000 0.0018431 Long ABS-MBS USGSE US N 2 2044-11-25 Floating 1.78035 N N N N N N AIMCO CLO SERIES 2015-AA N/A 00900LAY0 13100000.000000 PA USD 13119844.540000 0.108673 Long ABS-CBDO CORP KY N 2 2034-10-17 Floating 5.52979 N N N N N N FANNIE MAE REMICS 2019-49 N/A 3136B55K7 3780385.430000 PA USD 458904.390000 0.0038012 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 1.60035 N N N N N N AMERICAN HOME MTG INV TRUST 2005-1 N/A 02660TDM2 5293866.530000 PA USD 4928409.750000 0.0408227 Long ABS-MBS CORP US N 2 2045-06-25 Floating 5.2942 N N N N N N GNMA PASS THRU POOLS N/A 36202E2C2 24026.660000 PA USD 25169.410000 0.0002085 Long ABS-MBS USGSE US N 2 2039-02-20 Fixed 6 N N N N N N FREDDIE MAC REMICS 4394 N/A 3137BEV43 163990.930000 PA USD 9096.660000 0.0000753 Long ABS-MBS USGSE US N 2 2041-08-15 Floating 2.19245 N N N N N N FREDDIE MAC REMICS 4923 N/A 3137FPZ32 7879889.520000 PA USD 1054164.530000 0.0087318 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.58035 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9 N/A 12658XAC1 685836.510000 PA USD 679715.830000 0.0056302 Long ABS-MBS CORP US N 2 2061-02-25 Fixed 3.78406 N N N N N N N/A N/A 000000000 -118500000.000000 NC USD -45504.000000 -0.0003769 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17000 07/18/25-7Y LCH 2032-07-18 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2025-07-16 XXXX 467996.000000 N N N FNMA PASS THRU POOLS N/A 3140AMHV6 783082.630000 PA USD 811802.620000 0.0067243 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GRAU8 766935.940000 PA USD 726695.950000 0.0060193 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 5152 N/A 3137H3BV3 10745352.660000 PA USD 2842948.460000 0.0235485 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 4.5 N N N N N N N/A N/A 000000000 190000000.000000 NC USD 232579.000000 0.0019265 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.91000 09/30/25-10Y LCH 2035-09-30 0.000000 USD 0.000000 USD N/A USD N/A 2.910000 USD 2025-09-26 XXXX -3391671.000000 N N N FANNIE MAE REMICS 2021-96 N/A 3136BKYL0 26714357.990000 PA USD 4734353.250000 0.0392153 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132DS5G3 12562732.530000 PA USD 11981611.180000 0.0992453 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 4 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-B N/A 78449HAB3 1525287.460000 PA USD 1557029.610000 0.0128971 Long ABS-O CORP US N 2 2056-10-16 Floating 6.10385 N N N N N N FHLMC PASS THRU POOLS N/A 3133CRBQ5 1128610.640000 PA USD 1131855.380000 0.0093753 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 5.5 N N N N N N RCKT MORTGAGE TRUST 2024-CES1 N/A 749424AA5 2589434.130000 PA USD 2606192.950000 0.0215874 Long ABS-MBS CORP US N 2 2044-02-25 Fixed 6.025 N N N N N N ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A N/A 033296AG9 16287739.730000 PA USD 15989990.560000 0.132447 Long ABS-CBDO CORP KY N 2 2037-07-28 Fixed 3.9 N N N N N N LYRA MUSIC ASSETS DELAWARE LP 2024-2A N/A 552339AA1 27959871.100000 PA USD 28118403.570000 0.232908 Long ABS-O CORP US N 2 2064-12-22 Fixed 5.76 N N N N N N FREDDIE MAC REMICS 4988 N/A 3137FUNQ3 12901835.520000 PA USD 1935830.110000 0.0160347 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-7 N/A 38378B4W6 45602.390000 PA USD 992.230000 0.0000082 Long ABS-MBS USGSE US N 2 2053-05-16 Variable 1.81334 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5NM8 1291.150000 PA USD 1330.150000 0.000011 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE3 N/A 590238AB7 10203510.480000 PA USD 4050738.560000 0.0335528 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.71368 N N N N N N FREDDIEMAC STRIP-203-215 N/A 3128CVPV0 95858.320000 PA USD 89721.240000 0.0007432 Long ABS-MBS USGSE US N 2 2031-06-15 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3140QKY85 53864772.610000 PA USD 47306325.560000 0.391844 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N FREDDIEMAC STRIP-401 N/A 3142G47L9 59981774.030000 PA USD 14597979.080000 0.120917 Long ABS-MBS USGSE US N 2 2053-06-25 Fixed 5 N N N N N N FNR-2020-46 N/A 3136BAXC3 15905670.980000 PA USD 2528419.540000 0.0209432 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.5 N N N N N N VERUS SECURITIZATION TRUST 2024-6 N/A 92540JAA0 9495194.670000 PA USD 9558185.790000 0.0791717 Long ABS-MBS CORP US N 2 2069-07-25 Variable 5.799 N N N N N N FREDDIE MAC REMICS 4704 N/A 3137F1HV3 8099844.240000 PA USD 948882.170000 0.0078597 Long ABS-MBS USGSE US N 2 2047-07-15 Floating 1.73167 N N N N N N FREDDIE MAC REMICS 5071 N/A 3137F9R52 6766498.090000 PA USD 1440106.350000 0.0119286 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 4 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF18 N/A 32029AAA5 931166.940000 PA USD 897281.500000 0.0074323 Long ABS-MBS CORP US N 2 2037-12-25 Floating 4.65368 N N N N N N FANNIE MAE REMICS 2016-63 N/A 3136ATXF6 209293.090000 PA USD 22846.410000 0.0001892 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 1.58035 N N N N N N N/A N/A 000000000 623500000.000000 NC USD 311.750000 0.0000026 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/16/25-1Y LCH 2026-09-16 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-12 XXXX -183620.750000 N N N COLLEGE AVE STUDENT LOANS LLC 2021-A N/A 19424KAB9 9462679.230000 PA USD 8626815.220000 0.071457 Long ABS-O CORP US N 2 2051-07-25 Fixed 1.6 N N N N N N LCM 36 LTD N/A 50190LAL2 1000000.000000 PA USD 996654.690000 0.0082554 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 5.3261 N N N N N N FNMA PASS THRU POOLS N/A 3140X4VG8 7837371.360000 PA USD 6804152.280000 0.0563597 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3 N N N N N N FREDDIE MAC REMICS 4438 N/A 3137BGLL1 528783.800000 PA USD 30019.800000 0.0002487 Long ABS-MBS USGSE US N 2 2038-11-15 Floating 2.19962 N N N N N N GSAMP TRUST 2006-HE6 N/A 36245AAC0 9563207.780000 PA USD 7772296.300000 0.0643789 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.73368 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A4 N/A 46628LAQ1 2688492.090000 PA USD 1837510.950000 0.0152203 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.48402 N N N N N N GNMA PASS THRU POOLS N/A 3618N5GK9 22515820.920000 PA USD 20514478.990000 0.169924 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 3.5 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1 N/A 07387AAB1 112000.020000 PA USD 103209.470000 0.0008549 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.84683 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2TB8 4473468.570000 PA 5259136.340000 0.0435621 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 2.929 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAJ5 15035000.000000 PA USD 14889494.280000 0.123332 Long ABS-MBS CORP US N 2 2035-04-15 Floating 5.884 N N N N N N CRSNT TRUST 2021-MOON N/A 22877LAD9 24753000.000000 PA USD 24366083.380000 0.201827 Long ABS-MBS CORP US N 2 2036-04-15 Floating 5.63448 N N N N N N FANNIE MAE REMICS 2006-72 N/A 31396KJK9 6692.860000 PA USD 5876.890000 0.0000487 Long ABS-MBS USGSE US N 2 2036-08-25 None 0 N N N N N N UMBS PASS THRU POOLS N/A 01F050676 10000000.000000 PA USD 9801345.400000 0.0811858 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 5 N N N N N N FREDDIE MAC REMICS 5203 N/A 3137H6KL8 15818830.560000 PA USD 390698.220000 0.0032362 Long ABS-MBS USGSE US N 2 2052-03-25 Floating 0 N N N N N N FANNIE MAE INTEREST STRIP 433 N/A 31423XYP0 4233920.590000 PA USD 546542.290000 0.0045271 Long ABS-MBS USGSE US N 2 2052-03-25 Fixed 2 N N N N N N FHLMC PASS THRU POOLS N/A 3133C1UD0 2840332.520000 PA USD 2803819.450000 0.0232244 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5 N N N N N N CSMC 2021-RPL6 TRUST N/A 12657GAA3 508813.940000 PA USD 460517.730000 0.0038145 Long ABS-MBS CORP US N 2 2060-10-25 Variable 2 N N N N N N REACH ABS TRUST 2024-2A N/A 75525HAA8 1803870.790000 PA USD 1808600.720000 0.0149809 Long ABS-O CORP US N 2 2031-07-15 Fixed 5.88 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-5 N/A 17307GXW3 258759.400000 PA USD 238418.920000 0.0019749 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.97803 N N N N N N BX TRUST 2018-GW 2018-GW N/A 12433UAA3 8778000.000000 PA USD 8761853.750000 0.0725756 Long ABS-MBS CORP US N 2 2035-05-15 Floating 5.40901 N N N N N N FNMA PASS THRU POOLS N/A 3140J9D40 1949984.800000 PA USD 1846770.780000 0.015297 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N MORGAN STANLEY MTGE LN TR 2007-6XS N/A 61751JAM3 1991745.760000 PA USD 687910.350000 0.0056981 Long ABS-MBS CORP US N 2 2047-02-25 Variable 6.20097 N N N N N N GNMA PASS THRU POOLS N/A 36202D7G0 1091.500000 PA USD 1099.880000 0.0000091 Long ABS-MBS USGSE US N 2 2034-08-20 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -6621.160000 -0.0000548 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 3900000.000000 USD -6621.160000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAD9 777000.000000 PA USD 788580.100000 0.0065319 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.75 N N N N N N GNMA PASS THRU POOLS N/A 3617KJKR4 52719.540000 PA USD 48157.140000 0.0003989 Long ABS-MBS USGSE US N 2 2049-06-15 Fixed 3.5 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAE0 5000000.000000 PA USD 4930577.500000 0.0408406 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.27648 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7 N/A 36273CAR8 105986410.850000 PA USD 95705071.880000 0.792738 Long ABS-MBS CORP US N 2 2064-07-25 Variable 3.99502 N N N N N N VERUS SECURITIZATION TRUST 2024-5 N/A 92540HAA4 7722413.820000 PA USD 7803417.310000 0.0646367 Long ABS-MBS CORP US N 2 2069-06-25 Variable 6.192 N N N N N N FNMA PASS THRU POOLS N/A 3138LHW91 46900000.000000 PA USD 46232016.900000 0.382946 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3.29 N N N N N N FHLMC PASS THRU POOLS N/A 3133AKET3 912029.720000 PA USD 794740.980000 0.0065829 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-99 N/A 38380F3T1 265090.080000 PA USD 19209.670000 0.0001591 Long ABS-MBS USGSE US N 2 2046-11-20 Floating 0.32813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-4 N/A 126670WV6 4346328.660000 PA USD 4315183.740000 0.0357432 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.95868 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-4 N/A 75970HAG5 9077143.610000 PA USD 2864915.360000 0.0237305 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.473 N N N N N N FNMA PASS THRU POOLS N/A 3140QK5H7 27723523.520000 PA USD 24433309.060000 0.202384 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N N/A N/A 000000000 50900000.000000 NC USD 3087527.830000 0.0255744 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.44000 06/21/35-10Y LCH 2045-06-21 0.000000 USD 0.000000 USD N/A USD N/A 4.440000 USD 2035-06-18 XXXX -1465477.170000 N N N FANNIE MAE REMICS 2025-6 N/A 3136BUVB3 2706118.950000 PA USD 2719499.080000 0.022526 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.70517 N N N N N N FANNIE MAE INTEREST STRIP 430 N/A 31424QKU8 9552145.280000 PA USD 1195092.300000 0.0098991 Long ABS-MBS USGSE US N 2 2052-04-25 Fixed 2 N N N N N N N/A N/A 000000000 162900000.000000 NC USD 1177799.580000 0.0097559 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% AUG 30YR N/A 97.730000 USD 2025-08-06 XXXX 706916.770000 N N N PAGAYA AI DEBT SELECTION TRUST 2024-PT2 N/A 69544PAA0 1808854.110000 PA USD 1809535.160000 0.0149886 Long ABS-O CORP US N 3 2032-04-15 Fixed 5.162 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H19 N/A 38382YKG7 2329550.530000 PA USD 2325020.950000 0.0192585 Long ABS-MBS USGSE US N 2 2071-12-20 Floating 5.12185 N N N N N N JP MORGAN MORTGAGE TRUST 2021-7 N/A 46592NBV7 41875255.630000 PA USD 479639.180000 0.0039729 Long ABS-O CORP US N 2 2051-11-25 Variable 0.1875 N N N N N N FNMA PASS THRU POOLS N/A 3140NABZ5 1398063.450000 PA USD 1424440.800000 0.0117988 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMJA4 6457696.980000 PA USD 5596364.060000 0.0463554 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138EQ4S8 669176.190000 PA USD 635147.510000 0.005261 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4 N N N N N N J.P. MORGAN MORTGAGE TRUST 2022-LTV2 N/A 46655LAE4 10448129.790000 PA USD 9231672.850000 0.0764672 Long ABS-MBS CORP US N 2 2052-09-25 Variable 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31417SQA1 791129.240000 PA USD 783327.880000 0.0064884 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LJ7J9 11125000.000000 PA USD 11129846.270000 0.09219 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.7 N N N N N N FNMA PASS THRU POOLS N/A 3140LKSQ7 1747000.000000 PA USD 1764483.430000 0.0146154 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4.49 N N N N N N N/A N/A 000000000 181400000.000000 NC USD 2267.500000 0.0000188 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 11/04/25-1Y LCH 2026-11-04 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2025-10-31 XXXX -241715.500000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-143 N/A 38382AZF5 7002833.830000 PA USD 871810.790000 0.0072213 Long ABS-MBS USGSE US N 2 2046-04-20 Floating 1.61794 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110 N/A 38381YWG5 5353077.360000 PA USD 670482.570000 0.0055537 Long ABS-MBS USGSE US N 2 2049-09-20 Floating 1.61794 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H12 N/A 38382YAZ6 1970046.600000 PA USD 2012959.340000 0.0166736 Long ABS-MBS USGSE US N 2 2071-08-20 Floating 5.80185 N N N N N N FNMA PASS THRU POOLS N/A 3140QR6X6 1824618.320000 PA USD 1825837.350000 0.0151237 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 5 N N N N N N OBX 2024-NQM8 TRUST N/A 67119CAA8 5417976.830000 PA USD 5480852.450000 0.0453986 Long ABS-MBS CORP US N 2 2064-05-25 Fixed 6.233 N N N N N N FREDDIE MAC REMICS 5140 N/A 3137H24K7 3725509.450000 PA USD 836237.540000 0.0069267 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AYM3 1117638.600000 PA USD 1080644.290000 0.0089511 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVK79 28433099.000000 PA USD 25115721.770000 0.208037 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3 N N N N N N GOVT NATL MORTGAGE ASSOC SERIES 2007-18 N/A 38375JD69 375280.100000 PA USD 356651.200000 0.0029542 Long ABS-MBS USGSE US N 2 2035-03-20 None 0 N N N N N N FANNIE MAE REMICS 2016-79 N/A 3136AUHB0 1165035.530000 PA USD 130686.700000 0.0010825 Long ABS-MBS USGSE US N 2 2046-11-25 Floating 1.63035 N N N N N N FANNIE MAE REMICS 2012-111 N/A 3136A9GA0 216988.230000 PA USD 6313.640000 0.0000523 Long ABS-MBS USGSE US N 2 2027-10-25 Fixed 3.5 N N N N N N CIM TRUST 2023-I2 N/A 12570HAA5 3068464.170000 PA USD 3091369.330000 0.0256062 Long ABS-MBS CORP US N 2 2067-12-25 Fixed 6.639 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-3 N/A 9497ENAH6 12824000.000000 PA USD 12651941.670000 0.104798 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.53368 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWJW2 1419535.860000 PA USD 1345239.400000 0.0111428 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N MFA 2021-RPL1 TRUST N/A 55283QAD6 1372000.000000 PA USD 1136751.670000 0.0094159 Long ABS-MBS CORP US N 2 2060-07-25 Variable 2.8547 N N N N N N BBCMS TRUST 2018-CBM N/A 05549RAE7 7000000.000000 PA USD 6518907.500000 0.053997 Long ABS-MBS CORP US N 2 2037-07-15 Floating 6.50011 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 BA000GR85 6869998.610000 PA USD 6783863.320000 0.0561916 Long LON CORP US N 3 2030-01-09 Floating 4.735 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ49 N/A 3137HBPF5 12893877.260000 PA USD 13235601.110000 0.109632 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 5.007 N N N N N N FNMA PASS THRU POOLS N/A 3140Y6JB7 26219749.810000 PA USD 26991922.490000 0.223578 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6 N N N N N N MERRILL LYNCH MTGE INVESTORS 2006-A2 N/A 590215AC3 263824.420000 PA USD 174330.590000 0.001444 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.88349 N N N N N N CSMC 2021-INV2 TRUST N/A 12659TAC9 5694521.100000 PA USD 4868815.540000 0.040329 Long ABS-MBS CORP US N 2 2056-11-25 Fixed 3 N N N N N N FREDDIE MAC STRIPS 390 N/A 31325YYN2 48120419.520000 PA USD 6632809.870000 0.0549404 Long ABS-MBS USGSE US N 2 2052-04-15 Fixed 2 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2024-RP4 N/A 17332EAS1 75269.730000 PA USD 73901.800000 0.0006121 Long ABS-MBS CORP US N 2 2064-09-25 Variable 0 N N N N N N FANNIE MAE REMICS 2013-17 N/A 3136ACHY0 798146.360000 PA USD 73644.730000 0.00061 Long ABS-MBS USGSE US N 2 2042-08-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XKG46 22226507.400000 PA USD 22639317.210000 0.187524 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2007-15 N/A 17025TAR2 56746.360000 PA USD 33915.200000 0.0002809 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.25 N N N N N N GNMA PASS THRU POOLS N/A 3617HAMT1 537694.430000 PA USD 518662.010000 0.0042961 Long ABS-MBS USGSE US N 2 2048-08-15 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-22 N/A 38383MRW0 6875036.110000 PA USD 4511407.630000 0.0373686 Long ABS-MBS USGSE US N 2 2051-08-20 Fixed 3 N N N N N N FHF ISSUER TRUST 2024-3A N/A 30339EAB4 6279122.300000 PA USD 6299837.120000 0.0521824 Long ABS-O CORP US N 2 2030-11-15 Fixed 4.94 N N N N N N MF1 2021-FL7 LTD N/A 55284AAE8 10000000.000000 PA USD 9750516.900000 0.0807648 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 6.17908 N N N N N N N/A N/A 000000000 1.000000 NC USD 3230741.950000 0.0267607 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-07 1792250.000000 USD 0.000000 USD 267500000.000000 USD 1438491.950000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 5348610.270000 PA USD 5368567.000000 0.0444685 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N FREDDIE MAC REMICS 5069 N/A 3137F9BQ3 10936717.880000 PA USD 1535864.070000 0.0127218 Long ABS-MBS USGSE US N 2 2041-02-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2018 N/A 3136B1VD3 4898231.820000 PA USD 672629.600000 0.0055715 Long ABS-MBS USGSE US N 2 2048-04-25 Floating 1.78035 N N N N N N FREDDIE MAC 3171 N/A 31396TUR2 1310136.460000 PA USD 1109818.950000 0.0091928 Long ABS-MBS USGSE US N 2 2036-06-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -20464.990000 -0.0001695 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 1900000.000000 USD -20464.990000 N N N VEROS AUTO RECEIVABLES TRUST 2024-1 N/A 92512WAA5 959292.860000 PA USD 963651.690000 0.0079821 Long ABS-O CORP US N 2 2027-11-15 Fixed 6.28 N N N N N N FHR 3387 N/A 31397PFH8 6261.580000 PA USD 5344.030000 0.0000443 Long ABS-MBS USGSE US N 2 2037-11-15 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3132XGVJ2 20500000.000000 PA USD 20213643.290000 0.167432 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 4.19 N N N N N N FREDDIE MAC STRIPS 328 N/A 31352DC24 8145913.670000 PA USD 440846.100000 0.0036516 Long ABS-MBS USGSE US N 2 2038-02-15 Floating 2.23951 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAE8 685000.000000 PA USD 694755.220000 0.0057547 Long ABS-O CORP US N 2 2054-11-25 Fixed 6.6 N N N N N N FANNIE MAE REMICS 2025-49 N/A 3136BWAF3 40335860.980000 PA USD 39382962.570000 0.326214 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 5.10517 N N N N N N WASHINGTON MUTUAL 2004-AR12 N/A 92922FZF8 1416652.410000 PA USD 1382263.460000 0.0114495 Long ABS-MBS CORP US N 2 2044-10-25 Floating 5.21368 N N N N N N FANNIE MAE REMICS 2013-31 N/A 3136ADGC7 228865.620000 PA USD 1305.220000 0.0000108 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 3 N N N N N N STRUCTURED ASSET SEC CORP 2005-RF7 N/A 86359DWT0 4409519.500000 PA USD 3947767.410000 0.0326999 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.69368 N N N N N N RCKT MORTGAGE TRUST 2024-CES6 N/A 749410AA4 5665144.860000 PA USD 5668853.260000 0.0469559 Long ABS-MBS CORP US N 2 2044-09-25 Variable 5.344 N N N N N N FHLMC PASS THRU POOLS N/A 3132DPQG6 21852858.800000 PA USD 22268233.790000 0.184451 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140HCAX4 565427.120000 PA USD 534179.220000 0.0044247 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-PLND N/A 61691XAA1 2671000.000000 PA USD 1682730.000000 0.0139383 Long ABS-MBS CORP US N 2 2036-05-15 Floating 5.42648 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-160 N/A 38380B5Q4 476996.300000 PA USD 31273.830000 0.000259 Long ABS-MBS USGSE US N 2 2046-06-20 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797NX1 583000.000000 PA USD 582864.420000 0.0048279 Long DBT UST US N 2 2025-07-03 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-20 N/A 38381RAX7 19731076.710000 PA USD 572522.840000 0.0047423 Long ABS-MBS USGSE US N 2 2049-02-20 Floating 0 N N N N N N FREDDIE MAC REMICS 4959 N/A 3137FRNT4 9495065.690000 PA USD 1573307.700000 0.0130319 Long ABS-MBS USGSE US N 2 2050-03-25 Fixed 3.5 N N N N N N ARBOUR CLO VI DAC 6A N/A ACI2RC930 2000000.000000 PA 2356455.170000 0.0195188 Long ABS-CBDO CORP IE N 2 2037-11-15 Floating 3.293 N N N N N N FANNIEMAE WHOLE LOAN-2002-W4 N/A 31392DUC4 13601.340000 PA USD 13490.350000 0.0001117 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 5.11502 N N N N N N ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-HE1 N/A 04544RAD7 9200000.000000 PA USD 8450215.640000 0.0699942 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.87368 N N N N N N FHLMC PASS THRU POOLS N/A 3132AA3S1 658991.690000 PA USD 646867.150000 0.0053581 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAE0 793791.540000 PA USD 766013.280000 0.006345 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.68368 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB N/A 12668BXS7 165136.640000 PA USD 68211.360000 0.000565 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.13368 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-93 N/A 38378TUW8 279024.410000 PA USD 46835.500000 0.0003879 Long ABS-MBS USGSE US N 2 2043-03-16 Fixed 4.5 N N N N N N SAXON ASSET SECURITIES TRUST-2006-2 N/A 80556XAG2 2255792.580000 PA USD 2146384.840000 0.0177788 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.86868 N N N N N N PAGAYA AI DEBT TRUST 2024-1 N/A 69548AAA9 307221.390000 PA USD 309247.580000 0.0025615 Long ABS-O CORP US N 2 2031-07-15 Fixed 6.66 N N N N N N FHLMC PASS THRU POOLS N/A 3132H5EK0 43235.110000 PA USD 41480.340000 0.0003436 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132JASY2 10428.440000 PA USD 10083.090000 0.0000835 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140LKYS6 3164711.980000 PA USD 3190324.720000 0.0264259 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 4.32 N N N N N N TOWD POINT MORTGAGE TRUST 2024-4 N/A 89183GAA4 22550013.420000 PA USD 22670518.440000 0.187783 Long ABS-MBS CORP US N 2 2064-10-27 Variable 4.435 N N N N N N FHLMC PASS THRU POOLS N/A 3133CSMT5 463814.180000 PA USD 490753.700000 0.004065 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 7 N N N N N N CHASEFLEX TRUST 2007-1 N/A 16165VAD0 4679200.260000 PA USD 1167547.500000 0.0096709 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.78368 N N N N N N FNMA PASS THRU POOLS N/A 31418FAY3 46995305.170000 PA USD 48572198.800000 0.40233 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GL5 3901246.420000 PA USD 3697585.750000 0.0306276 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202FXC5 304345.250000 PA USD 302149.010000 0.0025027 Long ABS-MBS USGSE US N 2 2041-09-20 Fixed 4.5 N N N N N N FIRST FRANKLIN MTG LN ASSET BC 2005-FFH4 N/A 32027NXE6 7184701.470000 PA USD 7008094.320000 0.058049 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.18368 N N N N N N EMCM MORTGAGE LOAN TRUST 2003-A N/A 268668BS8 487421.230000 PA USD 490775.810000 0.0040652 Long ABS-MBS CORP US N 2 2040-08-25 Floating 5.53368 N N N N N N FANNIE MAE WHOLE LOAN 2007-W8 N/A 31396XVV3 1375267.700000 PA USD 83956.790000 0.0006954 Long ABS-MBS USGSE US N 2 2037-09-25 Floating 0 N N N N N N GNMA PASS THRU POOLS N/A 36179W2W7 51159753.650000 PA USD 46703087.330000 0.386848 Long ABS-MBS USGSE US N 2 2052-04-20 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5060 N/A 3137F87A5 6093308.900000 PA USD 1105449.320000 0.0091566 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 3 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A N/A 37989AAJ3 8200000.000000 PA USD 8291603.020000 0.0686804 Long ABS-O CORP US N 2 2031-02-18 Fixed 5.21 N N N N N N GSMSC PASS-THROUGH TRUST 2009-6R N/A 36190NAB9 3289754.640000 PA USD 2979618.610000 0.0246806 Long ABS-MBS CORP US N 2 2037-06-26 Variable 4.02448 N N N N N N FREDDIE MAC REMICS 4124 N/A 3137AUR68 1256296.220000 PA USD 91775.580000 0.0007602 Long ABS-MBS USGSE US N 2 2042-04-15 Floating 0.58167 N N N N N N FREDDIE MAC 4974 N/A 3137FTDK0 11264608.220000 PA USD 1738994.170000 0.0144043 Long ABS-MBS USGSE US N 2 2050-02-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-32 N/A 3136ASVX1 516710.820000 PA USD 32881.720000 0.0002724 Long ABS-MBS USGSE US N 2 2045-10-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202EZ44 10336.090000 PA USD 10387.850000 0.000086 Long ABS-MBS USGSE US N 2 2039-02-20 Fixed 5.5 N N N N N N BCAP LLC TRUST 2011-R11 N/A 05533FLT6 2564775.720000 PA USD 2370831.480000 0.0196379 Long ABS-MBS CORP US N 2 2036-02-26 Variable 4.87903 N N N N N N FHF ISSUER TRUST 2024-1A N/A 31568AAB2 4646152.740000 PA USD 4695066.510000 0.0388899 Long ABS-O CORP US N 2 2030-02-15 Fixed 5.69 N N N N N N N/A N/A 000000000 1.000000 NC USD -18863.270000 -0.0001562 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 2100000.000000 USD -18863.270000 N N N BANC OF AMERICA ALT LOAN TRUST 2007-2 N/A 059475AQ6 258375.430000 PA USD 32200.300000 0.0002667 Long ABS-O CORP US N 2 2037-06-25 Floating 2.20632 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0R4 186.000000 PA 87133.720000 0.0007217 Long ABS-MBS CORP GB N 2 2049-12-21 Fixed 0 N N N N N N BWAY MORTGAGE TRUST 2021-1450 N/A 12430YAJ9 6000000.000000 PA USD 5417654.700000 0.0448751 Long ABS-MBS CORP US N 2 2036-09-15 Floating 6.62624 N N N N N N FNMA PASS THRU POOLS N/A 3140H4UM4 398458.620000 PA USD 377345.370000 0.0031256 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617B4HP5 517075.100000 PA USD 487931.710000 0.0040416 Long ABS-MBS USGSE US N 2 2047-08-15 Fixed 4 N N N N N N N/A N/A 000000000 248700000.000000 NC USD 33773.460000 0.0002797 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/30/25-10Y LCH 2035-09-30 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-26 XXXX -861546.540000 N N N CITIGROUP MORTGAGE LOAN TRUST 2025-RP2 N/A 17332KAS7 123949606.580000 PA USD 108268419.580000 0.896802 Long ABS-MBS CORP US N 2 2065-02-25 Variable 0 N N N N N N FANNIE MAE REMICS 2020-60 N/A 3136BBZX3 4454158.440000 PA USD 902412.950000 0.0074748 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36196EST5 620320.800000 PA USD 572264.720000 0.0047401 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2019-68 N/A 3136B6L84 7421308.880000 PA USD 1027113.600000 0.0085077 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.58035 N N N N N N N/A N/A 000000000 201000000.000000 NC USD 576749.400000 0.0047773 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 02/24/26-7Y LCH 2033-02-24 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2026-02-20 XXXX 179774.400000 N N N FREDDIE MAC 4930 N/A 3137FPV69 12235170.050000 PA USD 1991960.320000 0.0164997 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.63035 N N N N N N JP MORGAN MORTGAGE TRUST SERIES 2024-CES2 N/A 46658QAN0 92134457.620000 PA USD 100391556.930000 0.831556 Long ABS-MBS CORP US N 2 2055-02-25 Fixed 9.60335 N N N N N N FNMA PASS THRU POOLS N/A 3140LKDR1 1272000.000000 PA USD 1291357.740000 0.0106965 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 4.55 N N N N N N GNMA PASS THRU POOLS N/A 36202FG26 17719.830000 PA USD 18534.520000 0.0001535 Long ABS-MBS USGSE US N 2 2040-06-20 Fixed 6 N N N N N N FANNIE MAE REMICS 2012-142 N/A 3136A96P8 2479340.320000 PA USD 324602.920000 0.0026887 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 3 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-12 N/A 126673NX6 909486.430000 PA USD 907736.120000 0.0075189 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.93368 N N N N N N AQFIT 2025-1 N/A 955WCLII8 28200000.000000 PA USD 28219130.600000 0.233743 Long ABS-MBS CORP US N 3 2050-12-19 Fixed 5.25 N N N N N N FNMA PASS THRU POOLS N/A 3138XZFG1 115526.010000 PA USD 113641.380000 0.0009413 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CV50 419090.100000 PA USD 395799.040000 0.0032785 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140NSPT5 1194924.400000 PA USD 1180385.400000 0.0097773 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N FREDDIEMAC STRIP-188 N/A 31351BGV1 4401.650000 PA USD 4239.440000 0.0000351 Long ABS-MBS USGSE US N 2 2027-10-01 None 0 N N N N N N WIND RIVER CLO LTD 2016-1KRA N/A 97314DAN8 17008218.530000 PA USD 16957346.780000 0.14046 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.3161 N N N N N N FANNIE MAE REMICS 2018-31 N/A 3136B1XV1 2993477.080000 PA USD 397957.330000 0.0032963 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 1.78035 N N N N N N FHLMC PASS THRU POOLS N/A 3133BGYZ5 3303731.310000 PA USD 3167749.890000 0.0262389 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.5 N N N N N N FREDDIE MAC 2437 N/A 31339WW51 10379.460000 PA USD 9955.510000 0.0000825 Long ABS-MBS USGSE US N 2 2032-04-15 None 0 N N N N N N FANNIE MAE 2007-1 N/A 31396PHR5 509192.480000 PA USD 446609.310000 0.0036993 Long ABS-MBS USGSE US N 2 2037-02-25 None 0 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2021-J3 N/A 17330BBK5 49032344.100000 PA USD 757358.490000 0.0062733 Long ABS-O CORP US N 2 2051-09-25 Variable 0.25 N N N N N N EQUIFIRST LOAN SECURITIZATION TRUST 2007-1 N/A 29445UAB1 19472692.460000 PA USD 18056204.020000 0.149562 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.62368 N N N N N N FREDDIEMAC STRIP-208 N/A 3128CVBL7 53091.430000 PA USD 49214.890000 0.0004077 Long ABS-MBS USGSE US N 2 2030-06-15 None 0 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 9782722.140000 PA USD 10001589.030000 0.0828445 Long ABS-O CORP US N 2 2041-02-20 Floating 6.50185 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-D N/A 22411JAC9 8700000.000000 PA USD 8696398.200000 0.0720334 Long ABS-O CORP US N 2 2031-01-15 Fixed 4.76 N N N N N N GNMA PASS THRU POOLS N/A 36179VKL3 12479207.620000 PA USD 11073527.090000 0.0917235 Long ABS-MBS USGSE US N 2 2050-04-20 Fixed 3 N N N N N N FREDDIE MAC REMICS 3852 N/A 3137ABB59 20005.890000 PA USD 20236.580000 0.0001676 Long ABS-MBS USGSE US N 2 2041-05-15 Floating 5.5 N N N N N N FANNIE MAE REMICS 2013-109 N/A 3136AGRJ3 1889799.070000 PA USD 1079291.650000 0.0089399 Long ABS-MBS USGSE US N 2 2043-07-25 None 0 N N N N N N FORTRESS CREDIT BSL VII LTD 2019-1A N/A 34956NAL6 5712188.360000 PA USD 5718149.370000 0.0473642 Long ABS-CBDO CORP KY N 2 2032-07-23 Floating 5.36934 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS4 N/A 749228AH5 115731.940000 PA USD 97963.110000 0.0008114 Long ABS-MBS CORP US N 2 2036-04-25 Floating 8 N N N N N N BSST 2021-1818 MORTGAGE TRUST N/A 07403PAL6 32020000.000000 PA USD 14129183.620000 0.117034 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.92648 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W43B2 4904440.560000 PA 5775023.080000 0.0478353 Long ABS-CBDO CORP IE N 2 2033-04-15 Floating 2.939 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XQG8 383059.980000 PA USD 54545.980000 0.0004518 Long ABS-MBS USGSE US N 2 2049-05-15 Variable 4 N N N N N N FREDDIE MAC STRIPS 337 N/A 31325VL36 2201507.500000 PA USD 233977.360000 0.0019381 Long ABS-MBS USGSE US N 2 2044-09-15 Floating 1.63167 N N N N N N FHLMC PASS THRU POOLS N/A 3133BSQN5 865585.620000 PA USD 876615.460000 0.0072611 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H23K2 1041322.910000 PA USD 986352.420000 0.0081701 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N CSMC 2021-RPL3 TRUST N/A 12661GAD1 1000000.000000 PA USD 812399.200000 0.0067292 Long ABS-MBS CORP US N 2 2060-01-25 Fixed 3.375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H16 N/A 38376RWJ1 121283.970000 PA USD 122388.240000 0.0010138 Long ABS-MBS USGSE US N 2 2066-07-20 Floating 6.2971 N N N N N N SEQUOIA MORTGAGE TRUST 2024-HYB1 N/A 81749EAA3 7980155.460000 PA USD 8066177.550000 0.0668132 Long ABS-MBS CORP US N 2 2063-11-25 Variable 4.46596 N N N N N N FNMA PASS THRU POOLS N/A 3140AMH46 912387.910000 PA USD 945475.120000 0.0078315 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N FANNIE MAE REMICS 2013-86 N/A 3136AF2R4 355899.120000 PA USD 28993.750000 0.0002402 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EYD5 17804.410000 PA USD 17629.720000 0.000146 Long ABS-MBS USGSE US N 2 2038-12-20 Fixed 5 N N N N N N FREDDIE MAC REMICS 5129 N/A 3137H1NP7 53937048.820000 PA USD 7554849.160000 0.0625778 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -5326.840000 -0.0000441 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 5600000.000000 USD -5326.840000 N N N REGATTA XVI FUNDING LTD 2019-2A N/A 75888TAL9 10806694.340000 PA USD 10809598.310000 0.0895373 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 5.4561 N N N N N N FREDDIE MAC REMICS-3997 N/A 3137AMCA3 973817.000000 PA USD 851839.800000 0.0070559 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 4 N N N N N N FANNIE MAE REMICS 2014-29 N/A 3136AJT97 17973.760000 PA USD 17407.900000 0.0001442 Long ABS-MBS USGSE US N 2 2044-01-25 Fixed 3.75 N N N N N N GNMA PASS THRU POOLS N/A 36197AND2 704319.070000 PA USD 649740.910000 0.0053819 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -166.250000 -0.0000014 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15187.700000 CAD 10986.830000 USD 2025-07-02 -166.250000 N N N GNMA PASS THRU POOLS N/A 36179TXW0 779400.660000 PA USD 761272.420000 0.0063057 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 787185.480000 0.0065204 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-09-17 0.000000 USD -114588.000000 USD 567300000.000000 USD 901773.480000 N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAG7 5000000.000000 PA USD 4869854.500000 0.0403376 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.154 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8EM3 445402.920000 PA USD 438983.980000 0.0036362 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140B85C1 1086190.720000 PA USD 1118915.640000 0.0092681 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N FREDDIE MAC REMICS 4274 N/A 3137B5V67 2274114.960000 PA USD 264685.600000 0.0021924 Long ABS-MBS USGSE US N 2 2043-11-15 Floating 1.63167 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02 N/A 38383KMM1 3840556.960000 PA USD 3854661.790000 0.0319287 Long ABS-MBS USGSE US N 2 2073-12-20 Floating 5.30185 N N N N N N MORGAN STANLEY MTGE LN TR 2007-13 N/A 61756HAG5 273899.120000 PA USD 268192.870000 0.0022215 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 5.5 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAB6 1201188.180000 PA USD 1177053.190000 0.0097497 Long ABS-O CORP US N 2 2047-12-26 Fixed 4.13 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-136 N/A 38380HJC7 3472410.750000 PA USD 174648.720000 0.0014466 Long ABS-MBS USGSE US N 2 2047-01-20 Floating 0.1914 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H15 N/A 38384AV34 9021995.140000 PA USD 9172637.200000 0.0759782 Long ABS-MBS USGSE US N 2 2073-06-20 Floating 5.40185 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2025-RP2 N/A 17332KAR9 220830.560000 PA USD 208071.170000 0.0017235 Long ABS-MBS CORP US N 2 2065-02-25 Variable 0 N N N N N N RIVERVIEW HECM TRUST 2007-4A N/A 76942LAA2 886059.100000 PA USD 779459.100000 0.0064564 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.70368 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS1 N/A 52474JAA4 4593556.050000 PA USD 4596657.620000 0.0380747 Long ABS-MBS CORP US N 2 2066-10-25 Variable 5.892 N N N N N N N/A N/A 000000000 1.000000 NC USD -165999.100000 -0.001375 N/A DCR US N 3 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -510940.050000 USD 2114060.110000 USD 344940.950000 N N N FANNIE MAE REMICS 2021-1 N/A 3136BDT24 37255347.000000 PA USD 5617074.350000 0.046527 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 3 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-3 N/A 37989EAG1 500000.000000 PA USD 515967.200000 0.0042738 Long ABS-O CORP US N 2 2030-08-15 Fixed 5.92 N N N N N N FANNIE MAE REMICS 2015-58 N/A 3136APU75 577779.840000 PA USD 32514.390000 0.0002693 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 2.30058 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 1888259.030000 PA USD 1934123.710000 0.0160206 Long ABS-MBS CORP US N 2 2058-05-25 Floating 5.43368 N N N N N N FREDDIE MAC-2504 N/A 31392UL44 1073.260000 PA USD 1071.340000 0.0000089 Long ABS-MBS USGSE US N 2 2032-09-17 Floating 3.38292 N N N N N N FNMA PASS THRU POOLS N/A 3138Y4DA4 46581.020000 PA USD 44284.000000 0.0003668 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2019-30 N/A 3136B5AS4 1687770.000000 PA USD 1662869.490000 0.0137738 Long ABS-MBS USGSE US N 2 2059-07-25 Floating 4.86965 N N N N N N FNMA PASS THRU POOLS N/A 3140QVEZ3 30254943.150000 PA USD 31218265.680000 0.258585 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140B8K59 1155712.040000 PA USD 1190532.880000 0.0098613 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N NAVIENT STUDENT LOAN TRUST 2018-DA N/A 63940UAB0 1844175.430000 PA USD 1825557.370000 0.0151213 Long ABS-O CORP US N 2 2059-12-15 Fixed 4 N N N N N N ANCHORAGE CREDIT FUNDING 12 LTD N/A 03332DAA2 1000000.000000 PA USD 959204.500000 0.0079452 Long ABS-CBDO CORP KY N 2 2038-10-25 Fixed 3.177 N N N N N N FREDDIE MAC REMICS 3385 N/A 31397PAB6 18284.010000 PA USD 16690.920000 0.0001383 Long ABS-MBS USGSE US N 2 2037-11-15 None 0 N N N N N N CIM TRUST 2023-R4 N/A 12569UAA9 2278072.740000 PA USD 2283791.390000 0.0189169 Long ABS-MBS CORP US N 2 2062-05-25 Fixed 5 N N N N N N FANNIE MAE 2009-86 N/A 31398FRR4 1592.240000 PA USD 1421.300000 0.0000118 Long ABS-MBS USGSE US N 2 2037-03-25 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36241LWR3 8949.790000 PA USD 9435.120000 0.0000782 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 6 N N N N N N UMBS PASS THRU POOLS N/A 01F030678 -408280000.000000 PA USD -353347167.170000 -2.92682 Short ABS-MBS USGSE US N 2 2054-07-15 Fixed 3 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2014-8 N/A 17323AAF8 6037805.150000 PA USD 5447662.230000 0.0451237 Long ABS-MBS CORP US N 2 2037-06-27 Variable 4.31917 N N N N N N FNMA PASS THRU POOLS N/A 3140QQLA1 24393241.090000 PA USD 23388013.920000 0.193726 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.5 N N N N N N FANNIE MAE 2005-70 N/A 31394E2B3 757731.840000 PA USD 781407.470000 0.0064725 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 5.5 N N N N N N SMRT 2022-MINI N/A 78457JAA0 30128000.000000 PA USD 30028875.870000 0.248733 Long ABS-MBS CORP US N 2 2039-01-15 Floating 5.312 N N N N N N GNMA PASS THRU POOLS N/A 3617BX3P6 438656.960000 PA USD 404663.250000 0.0033519 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4072 N/A 3137ARRJ7 1335531.440000 PA USD 1255031.080000 0.0103956 Long ABS-MBS USGSE US N 2 2042-05-15 Fixed 3.5 N N N N N N WHITEHORSE XII LTD 12A N/A 96525YAC3 4761072.560000 PA USD 4768281.490000 0.0394963 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 5.76771 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAB3 6327000.000000 PA USD 6421542.460000 0.0531905 Long ABS-O CORP US N 2 2054-11-25 Fixed 5.35 N N N N N N FHLMC PASS THRU POOLS N/A 31425WZT1 3575611.020000 PA USD 3587316.180000 0.0297142 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N RAAC 2004-SP1 N/A 7609855V9 32225.200000 PA USD 32107.820000 0.000266 Long ABS-MBS CORP US N 2 2034-03-25 Floating 5.13368 N N N N N N CROSS 2024-H8 MORTGAGE TRUST N/A 22757GAC7 5131215.490000 PA USD 5158010.180000 0.0427245 Long ABS-MBS CORP US N 2 2069-12-25 Variable 5.549 N N N N N N TERWIN MORTGAGE TRUST 2007-4HE N/A 88157QAK4 4537244.160000 PA USD 2357159.590000 0.0195247 Long ABS-MBS CORP US N 2 2038-05-25 Floating 4.93368 N N N N N N FNMA PASS THRU POOLS N/A 3140B84P3 858665.570000 PA USD 886467.730000 0.0073427 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 3932803.060000 0.0325759 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-05-07 3575700.000000 USD 0.000000 USD 164400000.000000 USD 357103.060000 N N N FNMA PASS THRU POOLS N/A 3140LLYV7 8806000.000000 PA USD 9061407.990000 0.0750568 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 5.23 N N N N N N STRUCTURED ASSET SEC CORP 2005-RF7 N/A 86359DWU7 4409519.500000 PA USD 104345.550000 0.0008643 Long ABS-O CORP US N 2 2035-11-25 Variable 0 N N N N N N GNMA PASS THRU POOLS N/A 36179QYT2 947642.210000 PA USD 900831.920000 0.0074617 Long ABS-MBS USGSE US N 2 2045-01-20 Fixed 4 N N N N N N CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A N/A ACI2VPZ11 2800000.000000 PA 3303241.860000 0.0273612 Long ABS-CBDO CORP IE N 2 2033-08-15 Floating 3.683 N N N N N N FREDDIEMAC STRIP-176 N/A 31282XVL2 311.140000 PA USD 304.490000 0.0000025 Long ABS-MBS USGSE US N 2 2026-06-01 None 0 N N N N N N FREDDIE MAC STRIPS 205 N/A 3128CU3D6 74634.430000 PA USD 70012.530000 0.0005799 Long ABS-MBS USGSE US N 2 2029-09-01 None 0 N N N N N N SYMPHONY CLO XXII LTD N/A 87167GCH1 8500000.000000 PA USD 8506838.250000 0.0704633 Long ABS-CBDO CORP KY N 2 2033-04-18 Floating 5.44947 N N N N N N FHLMC PASS THRU POOLS N/A 31426LWB6 1386359.280000 PA USD 1427101.630000 0.0118209 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418EW48 6793146.360000 PA USD 6917406.120000 0.0572978 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6 N N N N N N BWAY MORTGAGE TRUST 2021-1450 N/A 12430YAL4 7000000.000000 PA USD 6054789.650000 0.0501526 Long ABS-MBS CORP US N 2 2036-09-15 Floating 7.27624 N N N N N N FANNIE MAE REMICS 2022-3 N/A 3136BLFH8 294562448.220000 PA USD 3658259.410000 0.0303018 Long ABS-MBS USGSE US N 2 2052-02-25 Floating 0 N N N N N N FREDDIE MAC REMICS 3635 N/A 31398WJ21 174014.250000 PA USD 8570.930000 0.000071 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 1.64065 N N N N N N N/A N/A 000000000 57700000.000000 NC USD 3755583.370000 0.031108 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.26000 02/15/35-10Y LCH 2045-02-15 0.000000 USD 0.000000 USD N/A USD N/A 4.260000 USD 2035-02-13 XXXX -1284511.630000 N N N FANNIE MAE REMICS 2013-31 N/A 3136ADFK0 1265206.960000 PA USD 26757.860000 0.0002216 Long ABS-MBS USGSE US N 2 2028-04-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5070 N/A 3137F9Y54 33256055.270000 PA USD 6222869.740000 0.0515448 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140J8LH4 7357167.300000 PA USD 7281445.940000 0.0603132 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 1102341.570000 0.0091308 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-13 666275.000000 USD 0.000000 USD 91900000.000000 USD 436066.570000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-79 N/A 38376LPM5 519682.670000 PA USD 407434.950000 0.0033748 Long ABS-MBS USGSE US N 2 2040-06-20 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3140J84U4 1166000.720000 PA USD 1166954.930000 0.009666 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 5 N N N N N N CFMT 2025-HB16 LLC N/A 12531BAA6 11027895.160000 PA USD 10798262.400000 0.0894434 Long ABS-MBS CORP US N 2 2035-03-25 Variable 3 N N N N N N PEOPLE'S CHOICE HOME LOAN SECURITIES TRUST SERIES 2004-1 N/A 71085PAE3 2214204.720000 PA USD 2091812.560000 0.0173268 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.31868 N N N N N N PRP ADVISORS LLC 2024-RCF4 N/A 74448JAA1 777583.870000 PA USD 762476.970000 0.0063157 Long ABS-MBS CORP US N 2 2054-07-25 Fixed 4 N N N N N N BARINGS CLO LTD 2021-III N/A 06762TAA9 12300000.000000 PA USD 12326569.350000 0.102103 Long ABS-CBDO CORP KY N 2 2035-01-18 Floating 5.68108 N N N N N N KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP N/A 50085PAJ6 17515000.000000 PA USD 11459906.870000 0.0949239 Long ABS-MBS CORP US N 2 2044-11-05 Fixed 3.02449 N N N N N N FREDDIE MAC REMICS 5146 N/A 3137H2FW9 12816439.300000 PA USD 1402508.080000 0.0116172 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 2.5 N N N N N N VERUS SECURITIZATION TRUST 2023-8 N/A 92540DAA3 3437839.820000 PA USD 3470730.320000 0.0287485 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.25912 N N N N N N N/A N/A 000000000 1.000000 NC USD 552593.350000 0.0045772 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-14 410290.000000 USD 0.000000 USD 46100000.000000 USD 142303.350000 N N N GNMA PASS THRU POOLS N/A 36193TAF4 598207.380000 PA USD 541157.590000 0.0044825 Long ABS-MBS USGSE US N 2 2046-04-20 Fixed 3.5 N N N N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9 N/A 12669GFK2 150267.060000 PA USD 152017.760000 0.0012592 Long ABS-MBS CORP US N 2 2035-01-25 Fixed 5.5 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4C4 1413706.930000 PA USD 1423725.590000 0.0117929 Long ABS-O CORP US N 2 2032-09-15 Fixed 5.117 N N N N N N FANNIE MAE REMICS 2022-4 N/A 3136BLJ76 10937484.640000 PA USD 1290454.750000 0.010689 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2014-45 N/A 3136AKUC5 459957.990000 PA USD 30375.580000 0.0002516 Long ABS-MBS USGSE US N 2 2044-08-25 Floating 2.0114 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-6 N/A 161922BA6 37478742.740000 PA USD 37506724.370000 0.310673 Long ABS-MBS CORP US N 2 2056-04-25 Floating 5.80517 N N N N N N ASSET BACKED SEC HOME EQTY LN 2007-HE2 N/A 04544TAB7 295667.840000 PA USD 209595.680000 0.0017361 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.51368 N N N N N N FANNIE MAE REMICS 2019-25 N/A 3136B4ZD3 4692386.460000 PA USD 534113.700000 0.0044241 Long ABS-MBS USGSE US N 2 2049-06-25 Floating 1.63035 N N N N N N FREDDIE MAC STRIPS 408 N/A 3142G6GP5 80027178.330000 PA USD 19911078.880000 0.164926 Long ABS-MBS USGSE US N 2 2053-09-25 Fixed 5 N N N N N N FANNIE MAE REMICS 2021-56 N/A 3136BGV99 8136939.140000 PA USD 608827.760000 0.005043 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 933822.900000 0.007735 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-02-07 2078720.000000 USD 0.000000 USD 179200000.000000 USD -1144897.100000 N N N J.P. MORGAN MORTGAGE TRUST 2023-DSC1 N/A 46656NAA7 3965426.120000 PA USD 3863456.380000 0.0320015 Long ABS-MBS CORP US N 2 2063-07-25 Variable 4.625 N N N N N N FNMA PASS THRU POOLS N/A 3140QT4L0 20131537.620000 PA USD 20869770.970000 0.172867 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N N/A N/A 000000000 2655900000.000000 NC USD 28418.130000 0.0002354 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/03/25-7Y LCH 2032-09-03 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-08-29 XXXX -1008030.650000 N N N FNMA PASS THRU POOLS N/A 3140FUKX5 41820.690000 PA USD 39273.230000 0.0003253 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N BANC OF AMERICA FUNDING TRUST 2014-R2 N/A 05968KAG9 23779114.170000 PA USD 21034531.190000 0.174232 Long ABS-MBS CORP US N 2 2037-05-26 Floating 4.64562 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2 N/A 35563PRE1 1010331.850000 PA USD 973810.170000 0.0080662 Long ABS-MBS CORP US N 2 2059-11-25 Variable 4.25 N N N N N N OSCAR US FUNDING XVII LLC 2024-2A N/A 68784BAB0 5888953.000000 PA USD 5897133.930000 0.0488467 Long ABS-O CORP US N 2 2027-12-10 Fixed 4.63 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL5 N/A 362951AR6 106485086.000000 PA USD 91823048.020000 0.760582 Long ABS-MBS CORP US N 2 2064-07-25 Fixed 3.57314 N N N N N N HAYFIN EMERALD CLO X DAC 10A N/A ACI2PCMS2 2500000.000000 PA 2950352.620000 0.0244382 Long ABS-CBDO CORP IE N 2 2038-07-18 Floating 3.586 N N N N N N FANNIE MAE REMICS 2015-64 N/A 3136AP5U2 203766.700000 PA USD 15771.200000 0.0001306 Long ABS-MBS USGSE US N 2 2045-02-25 Fixed 3 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB N/A 02147RAK6 884049.120000 PA USD 840579.630000 0.0069626 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6 N N N N N N FNMA PASS THRU POOLS N/A 3140W1KF9 31737909.840000 PA USD 32689766.250000 0.270774 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6 N N N N N N FANNIE MAE REMICS 2012-145 N/A 3136AAZ65 329823.430000 PA USD 7590.690000 0.0000629 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -262278.590000 -0.0021725 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 -900286.030000 USD 3340214.980000 USD 638007.440000 N N N CARMAX SELECT RECEIVABLES TRUST 2025-A N/A 14319UAB6 10800000.000000 PA USD 10806693.840000 0.0895133 Long ABS-O CORP US N 2 2028-05-15 Fixed 4.76 N N N N N N FANNIE MAE 2004-88 N/A 31394BPY4 377166.150000 PA USD 17476.520000 0.0001448 Long ABS-MBS USGSE US N 2 2034-10-25 Floating 2.68035 N N N N N N FNMA PASS THRU POOLS N/A 3140B86D8 848125.480000 PA USD 874854.000000 0.0072465 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N N/A N/A 000000000 2450.000000 NC USD -2651586.000000 -0.0219634 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2026-03-17 590036562.500000 USD -2651586.000000 N N N GNMA PASS THRU POOLS N/A 3620AMZ21 51014.110000 PA USD 46623.460000 0.0003862 Long ABS-MBS USGSE US N 2 2042-03-20 Fixed 3.5 N N N N N N CSMC 2021-RPL2 TRUST N/A 12656TAA6 15600119.690000 PA USD 13731752.640000 0.113742 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2 N N N N N N FNMA PASS THRU POOLS N/A 3140B46Y1 1181815.400000 PA USD 1221265.050000 0.0101159 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133CCNP7 3009867.960000 PA USD 2972403.440000 0.0246208 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3133CJPU9 2481724.880000 PA USD 2491258.720000 0.0206354 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QVQA5 6295348.640000 PA USD 6087951.590000 0.0504273 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2017-90 N/A 3136AYRB1 5709991.310000 PA USD 885600.810000 0.0073355 Long ABS-MBS USGSE US N 2 2047-11-25 Fixed 4 N N N N N N FANNIE MAE 2005-70 N/A 31394EW38 19789.300000 PA USD 20329.100000 0.0001684 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H18 N/A 38376RXY7 2006909.120000 PA USD 2010976.320000 0.0166572 Long ABS-MBS USGSE US N 2 2066-08-20 Floating 5.19602 N N N N N N GNMA PASS THRU POOLS N/A 3617G44R0 72155.990000 PA USD 69204.690000 0.0005732 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2013-80 N/A 3136AFZF4 3899214.240000 PA USD 2988720.420000 0.024756 Long ABS-MBS USGSE US N 2 2043-08-25 None 0 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-10 N/A 69544MAA7 4406090.770000 PA USD 4423380.270000 0.0366394 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 3140FU3G1 621960.960000 PA USD 607783.660000 0.0050344 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2012-146 N/A 3136ABGH0 2906564.610000 PA USD 336645.870000 0.0027885 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -5538213.070000 -0.0458737 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-03-20 0.000000 USD -6091311.500000 USD 187800000.000000 USD 553098.430000 N N N FNMA PASS THRU POOLS N/A 3140NGED8 6068495.170000 PA USD 6103203.200000 0.0505536 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 4077 N/A 3137ASCE2 4614513.040000 PA USD 496389.630000 0.0041117 Long ABS-MBS USGSE US N 2 2042-07-15 Floating 1.58167 N N N N N N FNMA PASS THRU POOLS N/A 3140XQQ26 2412193.390000 PA USD 2506983.950000 0.0207657 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140AET90 763241.260000 PA USD 776662.010000 0.0064332 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6 N N N N N N GREYWOLF CLO III LTD 2020-3RA N/A 39809CAY0 18900000.000000 PA USD 18945686.970000 0.15693 Long ABS-CBDO CORP KY N 2 2033-04-22 Floating 5.50238 N N N N N N FREDDIE MAC REMICS 4116 N/A 3137AVL54 484269.090000 PA USD 48964.350000 0.0004056 Long ABS-MBS USGSE US N 2 2042-08-15 Floating 1.78167 N N N N N N FREDDIE MAC REMICS 5172 N/A 3137H4PS3 34412426.150000 PA USD 5738241.090000 0.0475306 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 3 N N N N N N N/A N/A 000000000 74200000.000000 NC USD 4568961.460000 0.0378453 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.40000 06/27/35-10Y LCH 2045-06-27 0.000000 USD 0.000000 USD N/A USD N/A 4.400000 USD 2035-06-25 XXXX -2135008.540000 N N N BANC OF AMERICA COMM MTGE INC 2006-4 N/A 05950WAM0 392873.270000 PA USD 389239.190000 0.0032241 Long ABS-MBS CORP US N 2 2046-07-10 Variable 5.754 N N N N N N FNMA PASS THRU POOLS N/A 3140N9S64 24506442.960000 PA USD 24974828.480000 0.20687 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAD2 229471.010000 PA USD 238569.330000 0.0019761 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.87368 N N N N N N FANNIE MAE REMICS 2016-32 N/A 3136ASTU0 55017.680000 PA USD 32949.630000 0.0002729 Long ABS-MBS USGSE US N 2 2043-01-25 Floating 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11 N/A 38383KZJ4 90919545.780000 PA USD 91224035.340000 0.755621 Long ABS-MBS USGSE US N 2 2074-07-20 Floating 5.20185 N N N N N N ACHV ABS TRUST 2025-1PL N/A 00112MAB2 2252582.960000 PA USD 2248959.460000 0.0186284 Long ABS-O CORP US N 2 2032-04-26 Fixed 5.04 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-158 N/A 38377RGV1 818805.760000 PA USD 765633.500000 0.0063418 Long ABS-MBS USGSE US N 2 2040-12-20 Floating 0.73588 N N N N N N GNMA PASS THRU POOLS N/A 36202E4K2 4396.460000 PA USD 4605.570000 0.0000381 Long ABS-MBS USGSE US N 2 2039-04-20 Fixed 6 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-9 N/A 12666RAV2 6636732.400000 PA USD 6569691.450000 0.0544176 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.91368 N N N N N N FNMA PASS THRU POOLS N/A 31418EYP9 589186.640000 PA USD 608956.370000 0.0050441 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N FANNIE MAE REMICS 2010-62 N/A 31398RWN1 14807.900000 PA USD 14711.770000 0.0001219 Long ABS-MBS USGSE US N 2 2040-03-25 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 31335BMB9 1858833.970000 PA USD 1762667.880000 0.0146004 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36194GH98 61729.980000 PA USD 56948.360000 0.0004717 Long ABS-MBS USGSE US N 2 2046-05-20 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2015-19 N/A 3136ANJE8 7125628.110000 PA USD 1226314.900000 0.0101577 Long ABS-MBS USGSE US N 2 2045-04-25 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MH7 221000.000000 PA USD 219304.630000 0.0018165 Long DBT UST US N 2 2025-09-04 None 0 N N N N N N FANNIE MAE REMICS 2017-37 N/A 3136AWGD3 1147251.400000 PA USD 202435.150000 0.0016768 Long ABS-MBS USGSE US N 2 2046-09-25 Fixed 4.5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-F N/A 83207VAA6 9856339.370000 PA USD 9971958.170000 0.082599 Long ABS-O CORP US N 2 2054-03-16 Fixed 5.06 N N N N N N FREDDIE MAC REMICS 4698 N/A 3137F1XH6 15307116.000000 PA USD 552274.620000 0.0045746 Long ABS-MBS USGSE US N 2 2047-07-15 Floating 0 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-2 N/A 542514FT6 850209.290000 PA USD 845818.980000 0.007006 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.87368 N N N N N N N/A N/A 000000000 148000000.000000 NC USD 281.200000 0.0000023 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% JUL 30YR N/A 95.290000 USD 2025-07-07 XXXX -427531.300000 N N N FNMA PASS THRU POOLS N/A 31418CU85 85832.070000 PA USD 81451.460000 0.0006747 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FREDDIE MAC STRIPS 408 N/A 3142G6F35 48380807.640000 PA USD 6057662.710000 0.0501764 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 3617GAPT9 550771.020000 PA USD 495839.940000 0.0041071 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4315 N/A 3137B8JG3 1438275.720000 PA USD 183006.920000 0.0015159 Long ABS-MBS USGSE US N 2 2041-08-15 Floating 1.63167 N N N N N N FANNIE MAE INTEREST STRIP FNS 426 N/A 31422MZK5 11728830.640000 PA USD 1187873.100000 0.0098393 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 1.5 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A N/A 36270YAE2 3600000.000000 PA USD 3609186.480000 0.0298954 Long ABS-O CORP US N 2 2028-07-17 Fixed 4.75 N N N N N N FNMA PASS THRU POOLS N/A 3140FPFW4 3709012.230000 PA USD 3616350.240000 0.0299547 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ADA62 151003.940000 PA USD 149377.440000 0.0012373 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.5 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL4 N/A 16160NAB7 7760692.650000 PA USD 6951675.360000 0.0575816 Long ABS-MBS CORP US N 2 2064-12-25 Variable 3.375 N N N N N N FNMA PASS THRU POOLS N/A 31417EK75 855063.700000 PA USD 812560.490000 0.0067305 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.5 N N N N N N WASHINGTON MUTUAL 2007-OA3 N/A 93364AAB8 501820.630000 PA USD 433407.620000 0.00359 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.16869 N N N N N N FNMA PASS THRU POOLS N/A 3140L7W32 746866.870000 PA USD 655243.020000 0.0054275 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 3 N N N N N N WASHINGTON MUTUAL 2004-AR14 N/A 939336W25 2307124.750000 PA USD 2197649.830000 0.0182034 Long ABS-MBS CORP US N 2 2035-01-25 Variable 5.32277 N N N N N N FNMA PASS THRU POOLS N/A 3140XQXF9 37875698.760000 PA USD 38845430.650000 0.321762 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6 N N N N N N REGIONAL MANAGEMENT ISSUANCE TRUST 2024-1 N/A 758983AA8 2500000.000000 PA USD 2558276.000000 0.0211905 Long ABS-O CORP US N 2 2036-07-15 Fixed 5.83 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H01 N/A 38383KNN8 8199140.210000 PA USD 8231593.230000 0.0681834 Long ABS-MBS USGSE US N 2 2074-01-20 Floating 5.20185 N N N N N N VERUS SECURITIZATION TRUST 2022-INV1 N/A 92539JAA3 1000418.500000 PA USD 996221.940000 0.0082518 Long ABS-MBS CORP US N 2 2067-08-25 Fixed 5.041 N N N N N N MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10 N/A 55284DAA0 5270000.000000 PA USD 5257326.700000 0.0435471 Long ABS-MBS CORP US N 2 2034-12-15 Floating 5.38233 N N N N N N FREDDIE MAC 2774 N/A 31394XGU4 4233.810000 PA USD 4111.000000 0.0000341 Long ABS-MBS USGSE US N 2 2032-12-15 None 0 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAD2 10000000.000000 PA USD 9134109.000000 0.075659 Long ABS-MBS CORP US N 2 2058-10-25 Variable 2.2012 N N N N N N FANNIE MAE REMICS 2013-54 N/A 3136AEUQ8 46606.840000 PA USD 42964.300000 0.0003559 Long ABS-MBS USGSE US N 2 2033-06-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X4Y59 9244266.990000 PA USD 8025623.750000 0.0664773 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3 N N N N N N N/A N/A 000000000 355500000.000000 NC USD 3803.850000 0.0000315 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 08/20/25-10Y LCH 2035-08-20 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-08-18 XXXX -450446.150000 N N N ALLEGRO CLO XI LTD 2019-2A N/A 01750HAQ5 1000000.000000 PA USD 1000887.430000 0.0082905 Long ABS-CBDO CORP KY N 2 2033-01-19 Floating 5.51947 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMC4 81991852.480000 PA USD 84743030.060000 0.701938 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N FREDDIE MAC REMICS 5510 N/A 3137HJMM6 18604014.800000 PA USD 18661573.760000 0.154576 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.28517 N N N N N N FREDDIE MAC REMICS 3842 N/A 3137A9QP4 6969.950000 PA USD 6915.370000 0.0000573 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 4 N N N N N N N/A N/A 000000000 35400000.000000 NC USD 2071374.360000 0.0171575 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.28500 05/09/35-10Y LCH 2045-05-09 0.000000 USD 0.000000 USD N/A USD N/A 4.290000 USD 2035-05-07 XXXX -1111970.640000 N N N GE-WMC MORTGAGE SECURITIES LLC 2006-1 N/A 36829JAB7 12266693.630000 PA USD 5184096.090000 0.0429405 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.73368 N N N N N N FREDDIE MAC STRIPS 399 N/A 3142G4VZ1 140049871.400000 PA USD 17491923.630000 0.144888 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 2 N N N N N N FHLMC PASS THRU POOLS N/A 3132XXE47 170992.360000 PA USD 162154.900000 0.0013432 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N BCAP LLC TRUST 2007-AA2 N/A 05530NBA4 965368.330000 PA USD 391995.730000 0.003247 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 5.5 N N N N N N GS MORTGAGE SECURITIES TRUST 2020-DUNE N/A 36258BAN8 3800731.010000 PA USD 3750646.120000 0.0310671 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.23 N N N N N N FREDDIE MAC REMICS 4043 N/A 3137APTE0 124169.730000 PA USD 2075.660000 0.0000172 Long ABS-MBS USGSE US N 2 2027-05-15 Fixed 3 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45 N/A 12667G6K4 909268.990000 PA USD 650860.380000 0.0053912 Long ABS-MBS CORP US N 2 2035-10-20 Floating 6.44869 N N N N N N FANNIE MAE 2007-30 N/A 31396VJP4 319683.640000 PA USD 260458.310000 0.0021574 Long ABS-MBS USGSE US N 2 2037-04-25 Fixed 0 N N N N N N N/A N/A 000000000 1.000000 NC -239535.770000 -0.0019841 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 34727091.980000 CAD 25305684.440000 USD 2025-08-05 -239535.770000 N N N GNMA PASS THRU POOLS N/A 3617B5D35 484763.000000 PA USD 447196.270000 0.0037042 Long ABS-MBS USGSE US N 2 2047-09-20 Fixed 3.5 N N N N N N MORTGAGEIT TRUST 2007-1 N/A 61915YAA9 1819175.200000 PA USD 1593630.580000 0.0132003 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.89368 N N N N N N N/A N/A 000000000 -121000000.000000 NC USD -31339.000000 -0.0002596 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUL 30YR N/A 98.810000 USD 2025-07-07 XXXX 384598.500000 N N N ANCHORAGE CREDIT FUNDING 14 LTD N/A 033295AA4 1000000.000000 PA USD 931832.380000 0.0077185 Long ABS-CBDO CORP KY N 2 2040-01-21 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 5630296.940000 0.0466365 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-03-19 4857076.000000 USD 0.000000 USD 633000000.000000 USD 773220.940000 N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7 N/A 36273CAH0 144392.120000 PA USD 141641.880000 0.0011732 Long ABS-MBS CORP US N 2 2064-07-25 Fixed 0 N N N N N N FREDDIE MAC REMICS 5093 N/A 3137FYKD7 13708880.900000 PA USD 2335372.290000 0.0193442 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202E6U8 8879.030000 PA USD 8228.160000 0.0000682 Long ABS-MBS USGSE US N 2 2039-07-20 Fixed 4 N N N N N N FREDDIE MAC REMICS 5087 N/A 3137FFMC8 8064330.720000 PA USD 1346770.650000 0.0111555 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2020-75 N/A 3136BCJC5 38332257.780000 PA USD 5701536.190000 0.0472266 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2021-9 N/A 3136BD5Q7 33593121.930000 PA USD 5214660.320000 0.0431937 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X6J69 8179928.300000 PA USD 7811236.760000 0.0647015 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2016-59 N/A 3136ATPP3 1571428.000000 PA USD 391306.310000 0.0032412 Long ABS-MBS USGSE US N 2 2046-09-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4385 N/A 3137BDTX4 2935733.250000 PA USD 2472934.870000 0.0204836 Long ABS-MBS USGSE US N 2 2037-07-15 Floating 0 N N N N N N GNMA PASS THRU POOLS N/A 36196RX78 912145.920000 PA USD 841505.390000 0.0069703 Long ABS-MBS USGSE US N 2 2046-12-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127 N/A 38379MY32 989607.130000 PA USD 50500.840000 0.0004183 Long ABS-MBS USGSE US N 2 2041-07-20 Floating 0.14097 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-172 N/A 38380B5X9 481549.820000 PA USD 11513.860000 0.0000954 Long ABS-MBS USGSE US N 2 2046-04-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140XPAM1 19659803.200000 PA USD 20376602.770000 0.168782 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N FANNIEMAE STRIP-435 N/A 31424UBC9 50994942.150000 PA USD 8379705.620000 0.0694102 Long ABS-MBS USGSE US N 2 2052-08-25 Fixed 3 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNPD1 2822065.340000 PA 3326595.640000 0.0275546 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 2.999 N N N N N N GNMA PASS THRU POOLS N/A 36179W7L6 129086850.080000 PA USD 117841682.780000 0.976098 Long ABS-MBS USGSE US N 2 2052-06-20 Fixed 3.5 N N N N N N PARK PLACE SEC INC 2004-WCW1 N/A 70069FAE7 150442.180000 PA USD 147390.820000 0.0012209 Long ABS-MBS CORP US N 2 2034-09-25 Floating 6.30868 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H06 N/A 38380QP71 11157372.640000 PA USD 11394785.910000 0.0943845 Long ABS-MBS USGSE US N 2 2071-03-20 Floating 5.80185 N N N N N N FANNIE MAE REMICS 2012-9 N/A 3136A3F55 172660.650000 PA USD 165320.190000 0.0013694 Long ABS-MBS USGSE US N 2 2041-07-25 Fixed 2 N N N N N N OBX 2023-NQM6 TRUST N/A 67117VAA8 10837314.590000 PA USD 10929968.210000 0.0905344 Long ABS-MBS CORP US N 2 2063-07-25 Variable 6.52 N N N N N N COUNTRYWIDE HOME LOANS 2007-9 N/A 12544XAX3 1269042.660000 PA USD 596790.150000 0.0049433 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75 N N N N N N FHLMC PASS THRU POOLS N/A 3132DQ5K8 967411.460000 PA USD 932044.030000 0.0077202 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 4825 N/A 3137FH6Z1 1203601.380000 PA USD 200379.170000 0.0016598 Long ABS-MBS USGSE US N 2 2048-09-15 Fixed 3 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-6R N/A 12643PAW2 5742713.850000 PA USD 4761560.280000 0.0394406 Long ABS-MBS CORP US N 2 2048-05-26 Fixed 6.25 N N N N N N GNMA PASS THRU POOLS N/A 3617B4GK7 312046.360000 PA USD 294458.570000 0.002439 Long ABS-MBS USGSE US N 2 2047-07-15 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31414KGV6 3184.690000 PA USD 3160.000000 0.0000262 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 4.5 N N N N N N BEAR STEARNS ALT-A TRUST 2006-R1 N/A 073866BN4 4887666.950000 PA USD 3287497.090000 0.0272308 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.18037 N N N N N N N/A N/A 000000000 35400000.000000 NC USD 2279278.560000 0.0188796 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.28500 05/09/35-10Y LCH 2045-05-09 0.000000 USD 0.000000 USD N/A USD N/A 4.290000 USD 2035-05-07 XXXX -904066.440000 N N N N/A N/A 000000000 696700000.000000 NC USD 69.670000 0.0000006 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 07/15/25-7Y LCH 2032-07-15 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-07-11 XXXX -879972.440000 N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8 N/A 46649JAJ7 1021075.960000 PA USD 983072.430000 0.0081429 Long ABS-MBS CORP US N 2 2035-02-15 Floating 5.909 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 N/A 36256BAC4 1085610.880000 PA USD 1060878.170000 0.0087874 Long ABS-MBS CORP US N 2 2057-10-25 Fixed 3.75 N N N N N N N/A N/A 000000000 -268392758.340000 PA USD -269024525.080000 -2.22837 Short RA US N 2 Reverse repurchase N 4.460000 2025-07-14 304281386.900000 USD 284823279.300000 USD AMBS N N N GNMA PASS THRU POOLS N/A 36195B4W1 1155039.350000 PA USD 1065553.620000 0.0088261 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2025-SJ1 N/A 36273PAR9 95032837.060000 PA USD 89859021.330000 0.744314 Long ABS-MBS CORP US N 2 2071-08-25 Variable 3.29725 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-4 N/A 07401CAD5 1764669.360000 PA USD 1468045.910000 0.01216 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.69872 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL1 N/A 693989AA3 3692500.460000 PA USD 3564209.330000 0.0295228 Long ABS-MBS CORP US N 2 2063-10-25 Variable 3.9 N N N N N N N/A N/A 000000000 1.000000 NC USD -21257.800000 -0.0001761 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 2200000.000000 USD -21257.800000 N N N FANNIE MAE REMICS 2013-103 N/A 3136AGMW9 2218284.000000 PA USD 1641789.030000 0.0135992 Long ABS-MBS USGSE US N 2 2043-10-25 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-164 N/A 38380KJB2 3399994.760000 PA USD 183009.820000 0.0015159 Long ABS-MBS USGSE US N 2 2046-11-20 Floating 0.0537 N N N N N N GNMA PASS THRU POOLS N/A 36202D3Y5 1062.160000 PA USD 1087.680000 0.000009 Long ABS-MBS USGSE US N 2 2034-02-20 Fixed 5.5 N N N N N N WMALT MTGE PASS-THRU CERT 2005-10 N/A 93934FFZ0 544851.740000 PA USD 523734.590000 0.0043382 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.75 N N N N N N FHLMC PASS THRU POOLS N/A 3133CSZ79 4600830.360000 PA USD 4700404.890000 0.0389341 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -8208.770000 -0.000068 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 3900000.000000 USD -8208.770000 N N N FNMA PASS THRU POOLS N/A 3140LKD91 24223000.000000 PA USD 24360645.990000 0.201782 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4.59 N N N N N N GLOBAL MORTGAGE SECURITIZATION LTD 2005-A N/A 378961AQ9 397315.270000 PA USD 386746.920000 0.0032035 Long ABS-MBS CORP KY N 2 2032-04-25 Floating 4.70368 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE5 N/A 073879CC0 5620566.980000 PA USD 5591821.710000 0.0463178 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.28868 N N N N N N FREDDIE MAC REMICS 5383 N/A 3137HBGR9 43860441.820000 PA USD 1676227.660000 0.0138844 Long ABS-MBS USGSE US N 2 2048-08-15 Floating 1.59963 N N N N N N FNMA PASS THRU POOLS N/A 3140GNHP1 108725.650000 PA USD 107633.210000 0.0008915 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 4 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH1 N/A 46630LBD5 4000000.000000 PA USD 4266444.000000 0.0353395 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.93368 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-110 N/A 38380FUN4 4977194.440000 PA USD 278967.270000 0.0023107 Long ABS-MBS USGSE US N 2 2043-04-20 Floating 0.49053 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4 N/A 03880RAA7 2301224.430000 PA USD 2306842.290000 0.0191079 Long ABS-CBDO CORP KY N 2 2036-11-15 Floating 5.77624 N N N N N N DOLP TRUST 2021-NYC N/A 23345LAJ8 19360000.000000 PA USD 16694666.210000 0.138284 Long ABS-MBS CORP US N 2 2041-05-10 Variable 3.70378 N N N N N N FNMA PASS THRU POOLS N/A 3140FXFH0 13755526.430000 PA USD 11998331.520000 0.0993838 Long ABS-MBS USGSE US N 2 2057-02-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132DPPU6 20731847.860000 PA USD 21132804.290000 0.175046 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132FPAH9 51797.170000 PA USD 51837.910000 0.0004294 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 4.5 N N N N N N BAIN CAPITAL CREDIT CLO 2020-2 LTD N/A 05683EAW2 13300000.000000 PA USD 13332288.540000 0.110433 Long ABS-CBDO CORP KY N 2 2034-07-19 Floating 5.50947 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAJ6 8896000.000000 PA USD 8190419.990000 0.0678423 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.22464 N N N N N N EFMT 2025-CES2 N/A 28225GAA2 5033043.710000 PA USD 5075204.010000 0.0420386 Long ABS-MBS CORP US N 2 2060-02-25 Variable 5.655 N N N N N N IMS ECUADORIAN MORTGAGE 2021-1 TRUST N/A 44970EAA1 1172380.480000 PA USD 1147156.600000 0.009502 Long ABS-MBS CORP US N 2 2043-08-18 Fixed 3.4 N N N N N N MASTR ASSET BACKED SEC TRUST 2006-WMC1 N/A 57643LRK4 4647927.450000 PA USD 1695083.340000 0.0140406 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.79368 N N N N N N T-MOBILE US TRUST 2024-2A N/A 87268CAA5 7700000.000000 PA USD 7715101.240000 0.0639052 Long ABS-O CORP US N 2 2029-05-21 Fixed 4.25 N N N N N N FANNIE MAE 2006-30 N/A 31395B6Q1 624635.900000 PA USD 76137.310000 0.0006307 Long ABS-MBS USGSE US N 2 2036-05-25 Floating 2.23035 N N N N N N FREDDIE MAC-2835 N/A 31395FEZ3 30765.000000 PA USD 27443.690000 0.0002273 Long ABS-MBS USGSE US N 2 2032-12-15 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3128M9PU0 12353.160000 PA USD 13077.160000 0.0001083 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31418NPP9 259841.560000 PA USD 257278.680000 0.0021311 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.5 N N N N N N N/A N/A 000000000 35700000.000000 NC USD 2101676.850000 0.0174085 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.52000 05/31/35-10Y LCH 2045-05-31 0.000000 USD 0.000000 USD N/A USD N/A 4.520000 USD 2035-05-29 XXXX -1109538.150000 N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL1 N/A 16159MAA4 12818757.190000 PA USD 11418618.180000 0.0945819 Long ABS-MBS CORP US N 2 2064-03-25 Variable 3.25 N N N N N N FANNIE MAE REMICS 2012-99 N/A 3136A8TN0 3054088.680000 PA USD 494839.330000 0.0040988 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 2.18035 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE1 N/A 40430FAD4 2152541.060000 PA USD 1540339.440000 0.0127588 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.62368 N N N N N N FREDDIE MAC REMICS 4851 N/A 3137FKAX4 23770115.120000 PA USD 22441299.130000 0.185884 Long ABS-MBS USGSE US N 2 2057-08-15 Floating 4.81833 N N N N N N FANNIE MAE REMICS 2015-83 N/A 3136AQKF6 5206199.370000 PA USD 768168.990000 0.0063628 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 4 N N N N N N N/A N/A 000000000 186000000.000000 NC USD 93.000000 0.0000008 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 10/21/25-1Y LCH 2026-10-21 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-10-17 XXXX -371907.000000 N N N FANNIE MAE REMICS 2024-79 N/A 3136BTLY7 36934785.220000 PA USD 36880926.920000 0.30549 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.40517 N N N N N N FNMA PASS THRU POOLS N/A 3140X6S77 20887023.870000 PA USD 18359296.290000 0.152073 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3 N N N N N N LONG BEACH MTGE LOAN TR 2005-1 N/A 542514KC7 1760946.030000 PA USD 1732705.740000 0.0143522 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.70868 N N N N N N GCAT 2024-NQM1 TRUST N/A 36169HAA1 3037176.500000 PA USD 3050241.220000 0.0252655 Long ABS-MBS CORP US N 2 2059-01-25 Fixed 6.007 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 4134409.470000 PA USD 4177834.830000 0.0346056 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.68368 N N N N N N N/A N/A 000000000 1619800000.000000 NC USD 93300.480000 0.0007728 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 10/02/25-7Y LCH 2032-10-02 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-30 XXXX -803522.350000 N N N PAGAYA AI DEBT TRUST 2025-2 N/A 69545GAC5 18900000.000000 PA USD 18940850.460000 0.156889 Long ABS-O CORP US N 2 2032-10-15 Fixed 5.329 N N N N N N FHLMC PASS THRU POOLS N/A 31425VZF3 5523565.160000 PA USD 5584611.110000 0.0462581 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 4731 N/A 3137FBQY5 339274.890000 PA USD 266936.120000 0.0022111 Long ABS-MBS USGSE US N 2 2042-10-15 Floating 0.131048 N N N N N N FREDDIE MAC STRIPS 375 N/A 3133Q5AA4 32572311.000000 PA USD 5184094.040000 0.0429405 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-24 N/A 38383WDB9 33662175.000000 PA USD 33314690.470000 0.27595 Long ABS-MBS USGSE US N 2 2053-02-20 Floating 5.05185 N N N N N N FNMA PASS THRU POOLS N/A 3138WUHY2 19257.770000 PA USD 18560.480000 0.0001537 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N FCCU AUTO RECEIVABLES TRUST 2024-1 N/A 30336CAE5 3900000.000000 PA USD 3951791.220000 0.0327332 Long ABS-O CORP US N 2 2029-04-16 Fixed 5.54 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAG2 1468650.670000 PA USD 788700.470000 0.0065329 Long ABS-O CORP US N 3 2054-11-25 Fixed 0 N N N N N N FREDDIE MAC REMICS 2978 N/A 31395UKP5 5848.070000 PA USD 6089.880000 0.0000504 Long ABS-MBS USGSE US N 2 2035-05-15 Fixed 5.5 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P4 N/A 14076LAD5 3700000.000000 PA USD 3745408.620000 0.0310237 Long ABS-O CORP US N 2 2030-12-10 Fixed 4.74 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2021-A N/A 83405YAA0 7669693.180000 PA USD 6838852.960000 0.0566471 Long ABS-O CORP US N 2 2043-08-17 Fixed 1.03 N N N N N N FNMA PASS THRU POOLS N/A 3140H5JG7 4385156.980000 PA USD 4134136.340000 0.0342436 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3 N N N N N N CHASE AUTO OWNER TRUST 2024-3A N/A 16144LAC0 13600000.000000 PA USD 13763178.240000 0.114002 Long ABS-O CORP US N 2 2029-07-25 Fixed 5.22 N N N N N N ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2 N/A 67114WAA9 4602449.000000 PA USD 3916416.240000 0.0324402 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 3623.540000 0.00003 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 3700000.000000 USD 3623.540000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10 N/A 12668BUH4 902345.750000 PA USD 860322.430000 0.0071262 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.37202 N N N N N N FREDDIE MAC REMICS 4999 N/A 3137FV3C4 8884737.430000 PA USD 917898.220000 0.0076031 Long ABS-MBS USGSE US N 2 2043-03-15 Floating 1.78167 N N N N N N FREDDIE MAC 4660 N/A 3137BVKJ4 5071505.570000 PA USD 4553261.090000 0.0377153 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 0 N N N N N N COUNTRYWIDE HOME LOANS 2005-31 N/A 126694US5 833164.980000 PA USD 791674.280000 0.0065575 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.92484 N N N N N N FREDDIE MAC REMICS 5003 N/A 3137FVJ60 7193895.520000 PA USD 962674.870000 0.007974 Long ABS-MBS USGSE US N 2 2050-08-25 Floating 1.68035 N N N N N N UMBS PASS THRU POOLS N/A 01F040479 74600000.000000 PA USD 72977844.630000 0.604485 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617MYGP8 182380.720000 PA USD 166670.090000 0.0013806 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWK93 13745760.530000 PA USD 13755858.170000 0.113942 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 5.5 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAG9 650000.000000 PA USD 658714.160000 0.0054562 Long ABS-O CORP US N 2 2059-10-27 Fixed 6.43 N N N N N N FNMA PASS THRU POOLS N/A 3138LMVK6 6617000.000000 PA USD 6450946.450000 0.053434 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 3.02 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-SA2 N/A 74958XAF1 115196.530000 PA USD 100313.070000 0.0008309 Long ABS-MBS CORP US N 2 2037-04-25 Floating 6.2771 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P3 N/A 146919AD7 2875000.000000 PA USD 2875730.830000 0.0238201 Long ABS-O CORP US N 2 2030-09-10 Fixed 4.31 N N N N N N MERX AVIATION FINANCE LLC 2018-1A N/A 56564RAA8 1013959.240000 PA USD 1012429.780000 0.0083861 Long ABS-O CORP BM N 2 2043-05-15 Fixed 4.212 N N N N N N FHLMC PASS THRU POOLS N/A 3142GSEC8 2999701.110000 PA USD 3100353.920000 0.0256806 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36179RMD8 381645.550000 PA USD 389483.280000 0.0032261 Long ABS-MBS USGSE US N 2 2045-08-20 Floating 4.625 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-OA2 N/A 93935QAB3 1203095.590000 PA USD 1014355.160000 0.008402 Long ABS-MBS CORP US N 2 2047-01-25 Floating 5.09869 N N N N N N FANNIE MAE REMICS 2016-55 N/A 3136ATJG0 5048570.170000 PA USD 646832.400000 0.0053578 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126 N/A 38379QFL4 323051.970000 PA USD 207976.110000 0.0017227 Long ABS-MBS USGSE US N 2 2045-09-20 Floating 0 N N N N N N FHLMC PASS THRU POOLS N/A 3133C3W36 1210453.900000 PA USD 1226370.670000 0.0101582 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N INDIGO CREDIT MANAGEMENT II DAC 2A N/A ACI2RZXL2 2000000.000000 PA 2364729.090000 0.0195874 Long ABS-CBDO CORP IE N 2 2038-07-15 Floating 4.379 N N N N N N AMERIQUEST MTGE SECURITIES INC 2004-R12 N/A 03072SXE0 1102061.210000 PA USD 1118580.450000 0.0092653 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.34868 N N N N N N FANNIE MAE REMICS 2011-117 N/A 3136A14J1 750543.630000 PA USD 525683.010000 0.0043543 Long ABS-MBS USGSE US N 2 2041-11-25 Floating 0.94594 N N N N N N FNMA PASS THRU POOLS N/A 3140K0SM1 348007.170000 PA USD 305896.730000 0.0025338 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138MTEY9 5828.890000 PA USD 5616.600000 0.0000465 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4 N N N N N N CROSSROADS ASSET TRUST 2025-A N/A 22767VAB4 2100000.000000 PA USD 2106685.560000 0.01745 Long ABS-O CORP US N 2 2032-02-20 Fixed 4.91 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2025-1 N/A 35563VAA4 385000.000000 PA USD 322973.420000 0.0026752 Long ABS-MBS CORP US N 2 2064-11-25 Variable 5 N N N N N N FREDDIE MAC REMICS 4792 N/A 3137F5B81 512516.380000 PA USD 90517.110000 0.0007498 Long ABS-MBS USGSE US N 2 2048-05-15 Fixed 4 N N N N N N FANNIE MAE REMICS 2016-17 N/A 3136ARWA2 558054.440000 PA USD 26729.470000 0.0002214 Long ABS-MBS USGSE US N 2 2046-04-25 Floating 1.85222 N N N N N N FANNIE MAE REMICS 2020-96 N/A 3136BDWU8 10575759.740000 PA USD 1747191.650000 0.0144722 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 31425YP35 2118297.970000 PA USD 2181072.160000 0.0180661 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6 N N N N N N STRUCTURED ASSET INVST LN TR 2006-2 N/A 86358EE77 32869792.740000 PA USD 15714640.320000 0.130166 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.03368 N N N N N N GNMA PASS THRU POOLS N/A 21H062693 171000000.000000 PA USD 174922028.640000 1.4489 Long ABS-MBS USGSE US N 2 2054-09-15 Fixed 6.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OC10 N/A 23245FAC7 941908.880000 PA USD 1223648.520000 0.0101356 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.79368 N N N N N N MORGAN STANLEY REREMIC TRUST 2012-R1 N/A 61757SAB1 8409780.470000 PA USD 7803329.330000 0.064636 Long ABS-MBS CORP US N 2 2037-02-26 Floating 3.84923 N N N N N N ROMARK CREDIT FUNDING II LTD N/A 77588JAA4 1500000.000000 PA USD 1410565.500000 0.0116839 Long ABS-CBDO CORP KY N 2 2039-10-25 Fixed 2.625 N N N N N N FANNIE MAE REMICS FNR-2016-26 N/A 3136AR4B1 11164657.800000 PA USD 2801834.510000 0.023208 Long ABS-MBS USGSE US N 2 2045-05-25 Fixed 4 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-24 N/A 02151GAC1 5865618.260000 PA USD 800547.210000 0.006631 Long ABS-O CORP US N 2 2037-10-25 Floating 2.51632 N N N N N N PRET 2024-NPL5 LLC N/A 74143QAA3 6672311.710000 PA USD 6684538.720000 0.0553689 Long ABS-MBS CORP US N 2 2054-09-25 Fixed 5.963 N N N N N N FREDDIE MAC REMICS 5174 N/A 3137H4MC1 15803644.620000 PA USD 2170077.460000 0.017975 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 5009 N/A 3137FWEG1 30160006.810000 PA USD 5163287.610000 0.0427682 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4136 N/A 3137AWM77 1218362.190000 PA USD 177045.690000 0.0014665 Long ABS-MBS USGSE US N 2 2042-11-15 Floating 1.73167 N N N N N N FANNIE MAE REMICS 2015-6 N/A 3136AMVR7 193342.760000 PA USD 11703.370000 0.0000969 Long ABS-MBS USGSE US N 2 2034-08-25 Fixed 3.5 N N N N N N N/A N/A 000000000 456200000.000000 NC USD 45.620000 0.0000004 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/6.00000 09/04/25-1Y LCH 2026-09-04 0.000000 USD 0.000000 USD N/A USD N/A 6.000000 USD 2025-09-02 XXXX -346666.380000 N N N PRPM 2024-RCF6 LLC N/A 74390FAA7 2157556.020000 PA USD 2107041.160000 0.0174529 Long ABS-MBS CORP US N 2 2054-10-25 Fixed 4 N N N N N N VERUS SECURITIZATION TRUST 2022-4 N/A 92538NAD9 3550000.000000 PA USD 3297790.610000 0.027316 Long ABS-MBS CORP US N 2 2067-04-25 Variable 4.7659 N N N N N N FANNIE MAE REMICS 2007-50 N/A 31396V6E3 203466.810000 PA USD 18170.070000 0.0001505 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 1.68035 N N N N N N FNMA PASS THRU POOLS N/A 3140AU4Y6 241478.100000 PA USD 252583.160000 0.0020922 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 6.5 N N N N N N PRKCM 2023-AFC4 TRUST N/A 69380GAA7 4047711.530000 PA USD 4111377.180000 0.0340551 Long ABS-MBS CORP US N 2 2058-11-25 Fixed 7.225 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P4 N/A 14076LAB9 4197432.280000 PA USD 4197815.090000 0.0347711 Long ABS-O CORP US N 2 2028-02-10 Fixed 4.62 N N N N N N COLT 2022-5 MORTGAGE LOAN TRUST N/A 19688LAA0 25416895.410000 PA USD 25487879.720000 0.211119 Long ABS-MBS CORP US N 2 2067-04-25 Fixed 4.55 N N N N N N GPMT LLC 2021-FL3 N/A 36264BAE0 5000000.000000 PA USD 4677683.750000 0.0387459 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 6.87908 N N N N N N FNMA PASS THRU POOLS N/A 3140LLY54 2259000.000000 PA USD 2334791.570000 0.0193394 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 5.61 N N N N N N FNMA PASS THRU POOLS N/A 3140J7PH2 2582590.200000 PA USD 2562656.250000 0.0212268 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H20 N/A 38376RFJ0 178246.190000 PA USD 178274.420000 0.0014767 Long ABS-MBS USGSE US N 2 2065-08-20 Floating 5.04602 N N N N N N FREDDIE MAC REMICS 5442 N/A 3137HF4U6 25577286.010000 PA USD 25638057.640000 0.212363 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 5.27517 N N N N N N FREDDIE MAC REMICS 5080 N/A 3137FXV62 4515437.760000 PA USD 958221.500000 0.0079371 Long ABS-MBS USGSE US N 2 2050-04-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2013-54 N/A 3136AEUG0 102309.790000 PA USD 70468.460000 0.0005837 Long ABS-MBS USGSE US N 2 2043-06-25 Fixed 3 N N N N N N FREDDIE MAC-3149 N/A 31396RH59 63462.060000 PA USD 55405.060000 0.0004589 Long ABS-MBS USGSE US N 2 2036-05-15 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 31425VYP2 425616.260000 PA USD 435068.090000 0.0036037 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6 N N N N N N N/A N/A 000000000 230100000.000000 NC USD 943.410000 0.0000078 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.70000 09/29/25-1Y LCH 2026-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.700000 USD 2025-09-25 XXXX -104902.590000 N N N FREDDIE MAC REMICS 4851 N/A 3137FKAP1 1133130.930000 PA USD 922679.730000 0.0076427 Long ABS-MBS USGSE US N 2 2057-08-15 Fixed 0 N N N N N N FREDDIE MAC REMICS 4804 N/A 3137FGM51 1933410.160000 PA USD 236891.080000 0.0019622 Long ABS-MBS USGSE US N 2 2048-05-15 Floating 1.73167 N N N N N N FHLMC PASS THRU POOLS N/A 3132LQQW0 382258.540000 PA USD 369769.400000 0.0030628 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3.5 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2 N/A 81376GAC4 2300070.270000 PA USD 1621040.990000 0.0134273 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.55368 N N N N N N FANNIE MAE REMICS 2017-87 N/A 3136AYT86 2020405.700000 PA USD 332779.810000 0.0027565 Long ABS-MBS USGSE US N 2 2047-11-25 Fixed 3.5 N N N N N N FREDDIE MAC STRIPS 389 N/A 31325YRB6 41923091.880000 PA USD 7520409.470000 0.0622925 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5056 N/A 3137F74P7 6772892.490000 PA USD 1043402.690000 0.0086426 Long ABS-MBS USGSE US N 2 2050-12-25 Floating 1.99483 N N N N N N GNMA PASS THRU POOLS N/A 36179TT96 48683.490000 PA USD 43548.470000 0.0003607 Long ABS-MBS USGSE US N 2 2048-03-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138EA7K7 44110.600000 PA USD 42618.470000 0.000353 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 4 N N N N N N N/A N/A 000000000 32400000.000000 NC USD 1875315.240000 0.0155335 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.26500 05/03/35-10Y LCH 2045-05-03 0.000000 USD 0.000000 USD N/A USD N/A 4.260000 USD 2035-05-01 XXXX -993704.760000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-168 N/A 38380TTB2 24684.260000 PA USD 22576.990000 0.000187 Long ABS-MBS USGSE US N 2 2046-11-20 Floating 1.12278 N N N N N N WAMU COMMERCIAL MORTGAGE SECURITIES TRUST 2006-SL1 N/A 933633AF6 134013.510000 PA USD 133776.210000 0.0011081 Long ABS-MBS CORP US N 2 2043-11-23 Variable 6.11454 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAA5 2793462.310000 PA USD 2816128.460000 0.0233264 Long ABS-MBS CORP US N 2 2059-10-25 Floating 5.43368 N N N N N N FREDDIE MAC REMICS 5183 N/A 3137H4ZD5 9742706.350000 PA USD 1246767.310000 0.0103271 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.5 N N N N N N FREDDIE MAC 3266 N/A 31397EHY4 16806.950000 PA USD 15392.830000 0.0001275 Long ABS-MBS USGSE US N 2 2037-01-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797RD1 8186000.000000 PA USD 8079182.700000 0.0669209 Long DBT UST US N 2 2025-10-21 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36179UGE6 6206.410000 PA USD 6197.410000 0.0000513 Long ABS-MBS USGSE US N 2 2048-11-20 Fixed 5 N N N N N N SOFI CONSUMER LOAN PROGRAM 2025-A TRUST N/A 83407UAB4 3796000.000000 PA USD 3788428.230000 0.03138 Long ABS-O CORP US N 3 2034-03-27 Fixed 5.25 N N N N N N FNMA PASS THRU POOLS N/A 3140FXM90 5504317.500000 PA USD 5273899.940000 0.0436844 Long ABS-MBS USGSE US N 2 2059-04-01 Fixed 4.5 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAA9 5096901.620000 PA USD 2719666.950000 0.0225274 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.57368 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413J6 1933974.090000 PA USD 1738248.950000 0.0143981 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.21259 N N N N N N FNMA PASS THRU POOLS N/A 3140LLMR9 7368000.000000 PA USD 7412932.500000 0.0614023 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.58 N N N N N N GCAT 2024-INV1 TRUST N/A 36831BBC7 6520672.530000 PA USD 6651605.030000 0.0550961 Long ABS-MBS CORP US N 2 2054-01-25 Variable 6.5 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-11 N/A 41161PUK7 17462.100000 PA USD 16534.820000 0.000137 Long ABS-MBS CORP US N 2 2045-08-19 Floating 5.05206 N N N N N N GNMA PASS THRU POOLS N/A 21H060671 24500000.000000 PA USD 24865534.370000 0.205964 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 6 N N N N N N FANNIE MAE REMICS 2020-56 N/A 3136BBMQ2 13028622.920000 PA USD 2209896.780000 0.0183049 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2.5 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2024-7 N/A 16159TAP6 21370181.210000 PA USD 21429829.660000 0.177506 Long ABS-MBS CORP US N 2 2055-06-25 Floating 5.60517 N N N N N N FANNIE MAE REMICS 2016-52 N/A 3136AS6D3 1907975.930000 PA USD 208416.990000 0.0017263 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 1287472.220000 0.0106643 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 145497844.000000 USD 106935745.000000 GBP 2025-07-02 1287472.220000 N N N SBNA AUTO LEASE TRUST 2023-A N/A 78436TAD8 3400000.000000 PA USD 3446688.460000 0.0285494 Long ABS-O CORP US N 2 2028-04-20 Fixed 6.52 N N N N N N FHLMC PASS THRU POOLS N/A 3132D9BT0 30792043.690000 PA USD 28700819.900000 0.237733 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 3 N N N N N N FANNIE MAE INTEREST STRIP 417 N/A 31395QF96 687209.400000 PA USD 17683.150000 0.0001465 Long ABS-MBS USGSE US N 2 2028-02-25 Fixed 3 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAC8 1900000.000000 PA USD 1382947.870000 0.0114551 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.17648 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC N/A ACI2QLH16 691668.630000 PA 815367.870000 0.0067538 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 3.259 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-57 N/A 38381VSX9 4129580.150000 PA USD 333409.910000 0.0027617 Long ABS-MBS USGSE US N 2 2049-05-20 Floating 1.10794 N N N N N N DRYDEN SENIOR LOAN FUND 2016-43A N/A 26245CBQ5 1000000.000000 PA USD 1000254.370000 0.0082852 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.33947 N N N N N N FNMA PASS THRU POOLS N/A 3140B86E6 925063.770000 PA USD 952934.180000 0.0078933 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202FUF1 6796825.790000 PA USD 6710253.060000 0.0555819 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 5196 N/A 3137H5WD5 63889922.990000 PA USD 11226309.210000 0.092989 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWNK5 26931409.840000 PA USD 26944887.930000 0.223188 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N DEUTSCHE ALT-A SECURITIES INC MORTGAGE LOAN TRUST 2007-2 N/A 25152BAE8 13272945.560000 PA USD 11400118.340000 0.0944287 Long ABS-MBS CORP US N 2 2047-09-25 Floating 4.73368 N N N N N N PREFERRED TERM SECURITIES XXI LTD / PREFERRED TERM SECURITIES XXI INC N/A 74042JAA1 1202790.020000 PA USD 1145657.490000 0.0094896 Long DBT CORP KY N 2 2038-03-22 Floating 4.66847 N N N N N N FREDDIE MAC STRIPS 304 N/A 31325UP34 131794.550000 PA USD 3339.170000 0.0000277 Long ABS-MBS USGSE US N 2 2027-12-15 Variable 3.11244 N N N N N N PRPM 2025-RCF1 LLC N/A 74390RAA1 1879624.170000 PA USD 1855178.720000 0.0153667 Long ABS-MBS CORP US N 2 2055-02-25 Fixed 4.5 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAE5 408388.330000 PA USD 411045.300000 0.0034047 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.59368 N N N N N N N/A N/A 000000000 236100000.000000 NC USD 1313447.910000 0.0108795 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 3.40000 05/21/27-1Y (GRN) CME N/A N/A 2028-05-21 0.000000 USD 0.000000 USD N/A USD N/A 3.400000 USD 2027-05-19 XXXX -20517.090000 N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 735307.230000 PA USD 730686.120000 0.0060524 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N MORGAN STANLEY IXIS REAL ESTATE CAPITAL TRUST 2006-1 N/A 61749QAD2 15758566.670000 PA USD 6187202.510000 0.0512494 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.73368 N N N N N N FNMA PASS THRU POOLS N/A 3140XSC84 3761059.120000 PA USD 3905635.400000 0.0323509 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31418BXN1 12156.390000 PA USD 11536.970000 0.0000956 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4 N N N N N N FCCU AUTO RECEIVABLES TRUST 2024-1 N/A 30336CAG0 1200000.000000 PA USD 1229046.240000 0.0101804 Long ABS-O CORP US N 2 2030-04-15 Fixed 5.46 N N N N N N FANNIE MAE REMICS 2019-80 N/A 3136B74R9 1597364.710000 PA USD 195775.260000 0.0016216 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 1.53035 N N N N N N FREDDIE MAC REMICS 4140 N/A 3137AWRZ0 833520.900000 PA USD 16838.960000 0.0001395 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140F0CC6 50489.630000 PA USD 47848.370000 0.0003963 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 4 N N N N N N AQFIT 2025-1 N/A 955WAKII2 15500000.000000 PA USD 15510515.050000 0.128476 Long ABS-MBS CORP US N 3 2050-12-19 Fixed 5.56 N N N N N N VERUS SECURITIZATION TRUST 2023-7 N/A 92539YAA0 9842521.130000 PA USD 9989393.200000 0.0827435 Long ABS-MBS CORP US N 2 2068-10-25 Fixed 7.07 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAF6 10849327.840000 PA USD 9527086.620000 0.0789141 Long ABS-MBS CORP US N 2 2038-01-19 Floating 4.81206 N N N N N N GNMA PASS THRU POOLS N/A 3617GUYE8 270884.820000 PA USD 261296.260000 0.0021644 Long ABS-MBS USGSE US N 2 2048-07-15 Fixed 4 N N N N N N FREDDIEMAC STRIP-206 N/A 3128CU5E2 41434.010000 PA USD 38654.440000 0.0003202 Long ABS-MBS USGSE US N 2 2029-12-15 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31418CWV2 3798147.400000 PA USD 3582956.220000 0.0296781 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3 N N N N N N GSAA HOME EQUITY TRUST 2006-19 N/A 362244AC9 6035779.480000 PA USD 2071363.030000 0.0171574 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.91368 N N N N N N IMPAC SECURED ASSETS CORP 2006-1 N/A 45254TTN4 7223.390000 PA USD 6670.420000 0.0000553 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.13368 N N N N N N FANNIE MAE REMICS 2017-13 N/A 3136AVFR5 12767493.770000 PA USD 1515475.980000 0.0125529 Long ABS-MBS USGSE US N 2 2047-02-25 Floating 1.63035 N N N N N N TOWD POINT MORTGAGE TRUST 2018-3 N/A 89175MAA1 12821182.950000 PA USD 12587774.600000 0.104266 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.75 N N N N N N FHR-5018 N/A 3137FX6Y9 38703112.160000 PA USD 8948209.850000 0.0741192 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 4.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-18 N/A 23243WAD0 9985311.600000 PA USD 9528452.640000 0.0789254 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.91368 N N N N N N FHLMC PASS THRU POOLS N/A 3133AMBY1 1550520.470000 PA USD 1359225.120000 0.0112586 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N SCULPTOR CLO XXVII LTD 27A N/A 81124UAW4 15700000.000000 PA USD 15704012.140000 0.130078 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.32947 N N N N N N FHLMC PASS THRU POOLS N/A 3132HBXZ3 767256.200000 PA USD 736111.870000 0.0060973 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2013-15 N/A 3136ACQ38 2601806.250000 PA USD 2524432.960000 0.0209102 Long ABS-MBS USGSE US N 2 2028-03-25 Fixed 1.5 N N N N N N FREDDIE MAC REMICS 5010 N/A 3137FVQG0 16782391.730000 PA USD 2819428.380000 0.0233537 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2013-1 N/A 3136ABYR8 275733.600000 PA USD 5416.240000 0.0000449 Long ABS-MBS USGSE US N 2 2028-02-25 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36196JWZ5 420969.220000 PA USD 388355.140000 0.0032168 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132AA3T9 238856.380000 PA USD 233973.040000 0.001938 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FKR6 18718.760000 PA USD 19608.380000 0.0001624 Long ABS-MBS USGSE US N 2 2040-09-20 Fixed 6 N N N N N N FREDDIE MAC REMICS 5052 N/A 3137F7HC2 30141130.000000 PA USD 5139415.320000 0.0425705 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 3 N N N N N N GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-NQM1 N/A 36262EAE6 5664000.000000 PA USD 4464014.760000 0.036976 Long ABS-MBS CORP US N 2 2061-07-25 Variable 3.207 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05 N/A 38382YV26 1686884.110000 PA USD 1681230.350000 0.0139259 Long ABS-MBS USGSE US N 2 2072-04-20 Floating 5.10185 N N N N N N FNMA PASS THRU POOLS N/A 3140X63B5 5547654.090000 PA USD 5449984.810000 0.0451429 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F070674 73900000.000000 PA USD 77811994.050000 0.644527 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 7 N N N N N N FREDDIE MAC 3200 N/A 31397AJ95 32691.010000 PA USD 27764.010000 0.00023 Long ABS-MBS USGSE US N 2 2036-08-15 None 0 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AC0 4357502.300000 PA USD 4135472.310000 0.0342547 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.89368 N N N N N N FREDDIE MAC REMICS 4024 N/A 3137ANLB9 400000.000000 PA USD 337642.160000 0.0027967 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5039 N/A 3137F63T2 5766226.530000 PA USD 635539.070000 0.0052643 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A N/A 75585RQM0 4609173.250000 PA 3375739.200000 0.0279617 Long ABS-MBS CORP CA N 2 2053-08-12 Fixed 3.65 N N N N N N GNMA PASS THRU POOLS N/A 36179XFF8 655064.770000 PA USD 597693.680000 0.0049508 Long ABS-MBS USGSE US N 2 2052-09-20 Fixed 3.5 N N N N N N FANNIEMAE WHOLE LOAN 2006-W3 N/A 31396L7D6 3915544.970000 PA USD 172355.630000 0.0014276 Long ABS-MBS USGSE US N 2 2046-10-25 Variable 1.54251 N N N N N N FANNIE MAE REMICS 2013-63 N/A 3136AENU7 4334569.000000 PA USD 4185774.520000 0.0346713 Long ABS-MBS USGSE US N 2 2028-06-25 Fixed 1.4 N N N N N N FREDDIE MAC REMICS-3800 N/A 3137A7G46 16319.830000 PA USD 16307.920000 0.0001351 Long ABS-MBS USGSE US N 2 2031-02-15 Fixed 4 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2024-2 N/A 26207AAE3 20000000.000000 PA USD 20001932.000000 0.165679 Long ABS-O CORP US N 2 2029-07-16 Fixed 4.52 N N N N N N FANNIE MAE REMICS 2021-53 N/A 3136BGNB3 23552804.220000 PA USD 4006379.100000 0.0331854 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYYA1 140060.110000 PA USD 135227.970000 0.0011201 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4 N N N N N N BNC MORTGAGE LOAN TRUST 2007-2 N/A 05569QAD6 10000000.000000 PA USD 8457886.000000 0.0700578 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.72368 N N N N N N GNMA PASS THRU POOLS N/A 3622A2AN2 18055.150000 PA USD 17759.680000 0.0001471 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-21 N/A 38383VX37 12928575.880000 PA USD 12758846.950000 0.105683 Long ABS-MBS USGSE US N 2 2053-02-20 Floating 5.00185 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3 N/A 83611MPJ1 3351694.200000 PA USD 3317122.820000 0.0274762 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.93368 N N N N N N FNMA PASS THRU POOLS N/A 3140XRMW2 898818.540000 PA USD 931185.760000 0.0077131 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6.5 N N N N N N MORGAN STANLEY CAPITAL I-2005-HQ7 N/A 617451BW8 23523.680000 PA USD 23150.310000 0.0001918 Long ABS-MBS CORP US N 2 2042-11-14 Variable 5.44381 N N N N N N N/A N/A 000000000 1.000000 NC USD 10545351.740000 0.0873485 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-06-18 9681911.750000 USD 0.000000 USD 281300000.000000 USD 863439.990000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2024-1A N/A 76088YAA8 1458474.690000 PA USD 1471324.730000 0.0121872 Long ABS-O CORP US N 2 2032-06-25 Fixed 7.09 N N N N N N OBP DEPOSITOR LLC TRUST 2019-OBP N/A 68236JAA9 40000000.000000 PA USD 36456888.000000 0.301977 Long ABS-MBS CORP US N 2 2054-09-15 Fixed 2.51641 N N N N N N FANNIE MAE REMICS 2016-16 N/A 3136ARTM0 1221268.140000 PA USD 208227.070000 0.0017248 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138LNGZ8 9728000.000000 PA USD 9562472.340000 0.0792072 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 3.43 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-3 N/A 93934FNT5 5998416.180000 PA USD 4556576.880000 0.0377427 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6.5 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC3 N/A 55275RAD4 1969160.440000 PA USD 961701.920000 0.0079659 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.75368 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAF7 2500000.000000 PA USD 2264475.750000 0.0187569 Long ABS-MBS CORP US N 2 2058-10-25 Variable 3.96289 N N N N N N N/A N/A 000000000 1.000000 NC USD 2514.590000 0.0000208 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 3200000.000000 USD 2514.590000 N N N UWM-2021-INV2 N/A 90354TAJ8 7330728.790000 PA USD 6820301.870000 0.0564935 Long ABS-MBS CORP US N 2 2051-09-25 Floating 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797PP6 8827000.000000 PA USD 8773124.670000 0.0726689 Long DBT UST US N 2 2025-08-21 None 0 N N N N N N JP MORGAN MORTGAGE TRUST 2021-8 N/A 46592TBL6 2561233.730000 PA USD 2511452.310000 0.0208027 Long ABS-MBS CORP US N 2 2051-12-25 Variable 5 N N N N N N FANNIE MAE REMICS 2016-11 N/A 3136ARPK8 1801654.780000 PA USD 247206.490000 0.0020476 Long ABS-MBS USGSE US N 2 2046-03-25 Fixed 3 N N N N N N POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C N/A 73316MAE7 4026701.490000 PA USD 3848296.470000 0.0318759 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.92868 N N N N N N FREDDIE MAC REMICS 4797 N/A 3137F5U72 1416425.600000 PA USD 184257.710000 0.0015262 Long ABS-MBS USGSE US N 2 2048-06-15 Floating 1.73167 N N N N N N LEHMAN MORTGAGE TRUST 2007-5 N/A 52521RBH3 71916.260000 PA USD 47559.500000 0.0003939 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.75368 N N N N N N FANNIE MAE REMICS 2024-33 N/A 3136BSDZ5 82533789.910000 PA USD 82663830.150000 0.684715 Long ABS-MBS USGSE US N 2 2054-01-25 Floating 5.30517 N N N N N N FNMA PASS THRU POOLS N/A 3140JAAA6 4584638.120000 PA USD 4364466.880000 0.0361515 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 4367 N/A 3137BCL55 186109.690000 PA USD 10250.680000 0.0000849 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 2.00258 N N N N N N STRUCTURED ASSET INVST LN TR 2005-7 N/A 86358EWD4 2367840.290000 PA USD 2316045.680000 0.0191841 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.19868 N N N N N N N/A N/A 000000000 84200000.000000 NC USD 127714.560000 0.0010579 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 04/01/26-7Y LCH 2033-04-01 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2026-03-30 XXXX -200588.190000 N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 1490426.530000 PA USD 784671.860000 0.0064995 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.73368 N N N N N N FANNIE MAE REMICS 2017-25 N/A 3136AWAJ6 491796.960000 PA USD 28612.940000 0.000237 Long ABS-MBS USGSE US N 2 2046-01-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140XQXW2 19224066.750000 PA USD 19590254.270000 0.162269 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6 N N N N N N RBSSP RESECURITIZATION TRUST 2009-6 N/A 74928XDE8 91530.790000 PA USD 81793.380000 0.0006775 Long ABS-MBS CORP US N 2 2037-06-26 Variable 6.00001 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797PN1 5114000.000000 PA USD 5087130.900000 0.0421374 Long DBT UST US N 2 2025-08-14 None 0 N N N N N N N/A N/A 000000000 -2092000000.000000 NC USD -2567093.200000 -0.0212636 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written N/A USD-SOFR-COMPOUND N/A 0.020000 USD 2027-01-26 XXXX 6930586.800000 N N N FANNIE MAE REMICS 2013-9 N/A 3136ABSD6 1488269.880000 PA USD 168163.330000 0.0013929 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 3.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAB7 1837000.000000 PA USD 1683349.830000 0.0139434 Long ABS-MBS CORP US N 2 2059-07-25 Variable 3 N N N N N N FNMA PASS THRU POOLS N/A 31418MNF5 81502.550000 PA USD 83389.930000 0.0006907 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.58 N N N N N N GNMA PASS THRU POOLS N/A 36202EVG1 7981.140000 PA USD 8045.620000 0.0000666 Long ABS-MBS USGSE US N 2 2038-08-20 Fixed 5.5 N N N N N N FANNIE MAE REMICS 2016-45 N/A 3136ASXT8 3666113.290000 PA USD 437605.250000 0.0036247 Long ABS-MBS USGSE US N 2 2046-07-25 Floating 1.58035 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30 N/A 38376RLJ3 61368.560000 PA USD 61604.650000 0.0005103 Long ABS-MBS USGSE US N 2 2065-10-20 Floating 5.04602 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P4 N/A 14687NAC4 1306674.360000 PA USD 1320943.510000 0.0109415 Long ABS-O CORP US N 2 2028-10-10 Fixed 6.16 N N N N N N GNMA PASS THRU POOLS N/A 36179RLQ0 1059364.340000 PA USD 1003101.870000 0.0083088 Long ABS-MBS USGSE US N 2 2045-08-20 Fixed 4 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAC5 720853.130000 PA USD 357391.630000 0.0029603 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.55368 N N N N N N FNMA PASS THRU POOLS N/A 3138WEB24 233901.080000 PA USD 220206.760000 0.001824 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 3.5 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 196779.970000 PA USD 171642.140000 0.0014217 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.72759 N N N N N N FANNIE MAE INTEREST STRIP 376 N/A 3136FC2Y1 2169.940000 PA USD 102.270000 0.0000008 Long ABS-MBS USGSE US N 2 2029-02-25 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JL2A1 1863429.070000 PA USD 1864663.950000 0.0154453 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 5 N N N N N N HUNDRED ACRE WOOD TRUST 2021-INV3 N/A 44555QAL3 6580966.630000 PA USD 6145343.490000 0.0509027 Long ABS-MBS CORP US N 2 2051-12-25 Floating 5 N N N N N N PAGAYA AI DEBT TRUST 2025-1 N/A 69544NAB3 3399709.710000 PA USD 3410071.690000 0.0282461 Long ABS-O CORP US N 2 2032-07-15 Fixed 5.156 N N N N N N FANNIE MAE INTEREST STRIP 418 N/A 31395Q2T6 2581815.260000 PA USD 421577.180000 0.003492 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2022-27 N/A 3136BM5J3 11759992.410000 PA USD 834864.210000 0.0069153 Long ABS-MBS USGSE US N 2 2052-06-25 Floating 2.10392 N N N N N N RBSGC MTGE PASS THRU CERT 2007-B N/A 74927XAA0 20231996.710000 PA USD 3544799.590000 0.029362 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.73368 N N N N N N 522 FUNDING CLO 2020-6 LTD N/A 33835AAY5 4600000.000000 PA USD 4601935.590000 0.0381184 Long ABS-CBDO CORP KY N 2 2034-10-23 Floating 5.47934 N N N N N N FREDDIE MAC REMICS 4123 N/A 3137AUXP9 1584316.190000 PA USD 253342.300000 0.0020985 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 4.5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL84 2541817.600000 PA USD 2421856.010000 0.0200606 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.79869 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8N84 1315829.340000 PA USD 1247830.310000 0.0103359 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N AMMC CLO 24 LTD N/A 00177LAJ9 5500000.000000 PA USD 5502007.010000 0.0455738 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.46947 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL2 N/A 542514NE0 3000000.000000 PA USD 2719400.700000 0.0225252 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.34868 N N N N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4 N/A 12498QAD8 3809759.540000 PA USD 2573402.280000 0.0213158 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.91368 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H02 N/A 38380LQA4 1275856.180000 PA USD 1219359.350000 0.0101001 Long ABS-MBS USGSE US N 2 2068-12-20 Fixed 3.5 N N N N N N TOWD POINT MORTGAGE TRUST 2024-5 N/A 891944AA8 44473458.500000 PA USD 44441597.710000 0.368116 Long ABS-MBS CORP US N 2 2064-10-25 Variable 4.51781 N N N N N N FNMA PASS THRU POOLS N/A 3140QAEK2 3169261.380000 PA USD 3174131.110000 0.0262917 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36195DLV0 612161.930000 PA USD 564739.960000 0.0046778 Long ABS-MBS USGSE US N 2 2046-10-20 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2024-6 N/A 3136BQ2Z1 23093174.800000 PA USD 4297482.800000 0.0355966 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3.5 N N N N N N GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-2A N/A 38238FAA8 11100000.000000 PA USD 11197745.490000 0.0927524 Long ABS-O CORP US N 3 2049-06-20 Fixed 5.32 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-22R N/A 02147LAH6 35655.420000 PA USD 19732.790000 0.0001634 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-9 N/A 54251WAD4 18307939.460000 PA USD 5691740.650000 0.0471454 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.75368 N N N N N N FHLMC PASS THRU POOLS N/A 31334YHW0 205110.070000 PA USD 186955.290000 0.0015486 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB N/A 02147RAG5 1095540.580000 PA USD 1041671.860000 0.0086283 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H05 N/A 38376RU61 608682.560000 PA USD 609901.390000 0.0050519 Long ABS-MBS USGSE US N 2 2067-02-20 Floating 5.19602 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2005-FF9 N/A 32027NVZ1 5410218.750000 PA USD 6210260.260000 0.0514404 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.24368 N N N N N N LAD AUTO RECEIVABLES TRUST 2024-2A N/A 505920AD0 1200000.000000 PA USD 1222429.200000 0.0101255 Long ABS-O CORP US N 2 2029-07-16 Fixed 5.46 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 68693.090000 PA USD 49272.340000 0.0004081 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.43146 N N N N N N FREDDIE MAC STRIPS 390 N/A 31325YXN3 24122884.140000 PA USD 4914788.210000 0.0407098 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 3.5 N N N N N N N/A N/A 000000000 -167300000.000000 NC USD -66.920000 -0.0000006 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.05300 07/09/25-7Y LCH 2032-07-09 0.000000 USD 0.000000 USD N/A USD N/A 4.050000 USD 2025-07-07 XXXX 506015.580000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2005-22 N/A 38374KJ79 853915.720000 PA USD 3172.210000 0.0000263 Long ABS-MBS USGSE US N 2 2035-03-16 Floating 1.77376 N N N N N N TOWD POINT MORTGAGE TRUST 2018-4 N/A 89175TAA6 2059457.020000 PA USD 1952685.910000 0.0161744 Long ABS-MBS CORP US N 2 2058-06-25 Variable 3 N N N N N N UMBS PASS THRU POOLS N/A 01F030686 -1108525000.000000 PA USD -959116515.080000 -7.94449 Short ABS-MBS USGSE US N 2 2055-08-13 Fixed 3 N N N N N N CHASEFLEX TRUST 2007-2 N/A 16165WAB2 737417.590000 PA USD 707255.960000 0.0058583 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.11368 N N N N N N J.P. MORGAN MORTGAGE TRUST 2021-15 N/A 46654TCA4 37026976.660000 PA USD 1100841.640000 0.0091184 Long ABS-O CORP US N 2 2052-06-25 Variable 0.5 N N N N N N FANNIEMAE STRIP-437 N/A 31424UPT7 33168387.900000 PA USD 7871095.600000 0.0651973 Long ABS-MBS USGSE US N 2 2053-05-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140AB7K5 4104964.020000 PA USD 4227352.370000 0.0350157 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6 N N N N N N FREDDIE MAC REMICS 5179 N/A 3137H4YX2 32003743.550000 PA USD 4623203.190000 0.0382946 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133W6Q67 16842405.310000 PA USD 16623372.020000 0.137694 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 5 N N N N N N FANNIE MAE REMICS 2024-38 N/A 3136BR4S3 8773176.070000 PA USD 8778845.300000 0.0727163 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 5.15001 N N N N N N FANNIE MAE REMICS 2021-84 N/A 3136BKCG5 1065383.280000 PA USD 134134.840000 0.0011111 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3 N N N N N N TCI-SYMPHONY CLO LTD 2016-1A N/A 87229WAS0 18530000.000000 PA USD 18644547.090000 0.154435 Long ABS-CBDO CORP KY N 2 2032-10-13 Floating 6.05332 N N N N N N COUNTRYWIDE HOME LOANS 2007-8 N/A 12545AAR5 256202.060000 PA USD 107956.860000 0.0008942 Long ABS-MBS CORP US N 2 2038-01-25 Fixed 6 N N N N N N N/A N/A 000000000 199500000.000000 NC USD 11411.400000 0.0000945 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% JUL 30YR N/A 102.200000 USD 2025-07-07 XXXX -315893.290000 N N N FREDDIE MAC REMICS 5040 N/A 3137F6N60 6833377.930000 PA USD 1486281.570000 0.0123111 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 4 N N N N N N FREDDIE MAC REMICS 4121 N/A 3137AV7B7 5500217.210000 PA USD 626649.100000 0.0051906 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QKAH1 22309867.210000 PA USD 19394056.360000 0.160643 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3 N N N N N N FREDDIE MAC 2469 N/A 31392RDB4 4191.100000 PA USD 3984.610000 0.000033 Long ABS-MBS USGSE US N 2 2032-07-15 None 0 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XLU2 529581.840000 PA USD 83006.950000 0.0006876 Long ABS-MBS USGSE US N 2 2046-09-15 Variable 5 N N N N N N FNMA PASS THRU POOLS N/A 3140FM7B6 202202.000000 PA USD 191688.410000 0.0015878 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2020-75 N/A 3136BCJE1 14454186.030000 PA USD 2415582.120000 0.0200086 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2020-89 N/A 3136BC5G1 50483940.670000 PA USD 8628871.640000 0.0714741 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797PG6 2000.000000 PA USD 1993.090000 0.0000165 Long DBT UST US N 2 2025-07-31 None 0 N N N N N N FANNIE MAE REMICS 2012-143 N/A 3136AAS48 1421248.590000 PA USD 122533.230000 0.001015 Long ABS-MBS USGSE US N 2 2033-01-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2016-32 N/A 3136ASUL8 3441029.980000 PA USD 577505.650000 0.0047836 Long ABS-MBS USGSE US N 2 2046-06-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4238 N/A 3137B4EG7 2470093.290000 PA USD 339366.610000 0.002811 Long ABS-MBS USGSE US N 2 2043-08-15 Floating 1.68167 N N N N N N AFFIRM MASTER TRUST 2025-1A N/A 00833BAA6 25800000.000000 PA USD 26012068.260000 0.215461 Long ABS-O CORP US N 2 2033-02-15 Fixed 4.99 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMA8 6351548.660000 PA USD 6356215.080000 0.0526494 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.5 N N N N N N ANGEL OAK MORTGAGE TRUST 2024-4 N/A 034943AA8 7403512.610000 PA USD 7469092.920000 0.0618675 Long ABS-MBS CORP US N 2 2069-01-25 Fixed 6.197 N N N N N N FANNIE MAE REMICS 2012-111 N/A 3136A9DU9 3858294.490000 PA USD 455595.520000 0.0037738 Long ABS-MBS USGSE US N 2 2042-10-25 Floating 1.63035 N N N N N N FNMA PASS THRU POOLS N/A 3140NVYJ0 3976550.420000 PA USD 4132404.160000 0.0342292 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 5.2 N N N N N N FANNIE MAE REMICS 2021-3 N/A 3136BDYR3 19162649.220000 PA USD 864423.270000 0.0071601 Long ABS-MBS USGSE US N 2 2036-02-25 Fixed 1.5 N N N N N N OCEAN TRAILS CLO X 2020-10A N/A 67516CAY5 1400000.000000 PA USD 1403528.000000 0.0116256 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.9561 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SNZ44 7775000.000000 PA 7316867.980000 0.0606066 Long ABS-MBS CORP GB N 2 2066-05-16 Fixed 0 N N N N N N GSAA HOME EQUITY TRUST 2005-5 N/A 36242DS38 807865.350000 PA USD 810281.590000 0.0067117 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.30868 N N N N N N FANNIE MAE-2020-29 N/A 3136B9TA5 541676.190000 PA USD 539527.580000 0.004469 Long ABS-MBS USGSE US N 2 2050-05-25 Floating 5.11449 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H19 N/A 38380QNU2 6049346.900000 PA USD 5991771.640000 0.0496306 Long ABS-MBS USGSE US N 2 2070-11-20 Floating 4.89602 N N N N N N AG TRUST 2024-NLP N/A 00792MAA1 1520530.190000 PA USD 1525422.340000 0.0126353 Long ABS-MBS CORP US N 2 2041-07-15 Floating 6.3274 N N N N N N FNMA PASS THRU POOLS N/A 31418CXT6 3804828.950000 PA USD 3747943.790000 0.0310447 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4 N N N N N N PAGAYA AI DEBT TRUST 2025-1 N/A 69544NAA5 5371389.860000 PA USD 5371266.320000 0.0444909 Long ABS-O CORP US N 2 2026-02-17 Fixed 4.708 N N N N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAC6 1401612.830000 PA USD 368022.180000 0.0030484 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.91368 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H04 N/A 38383KQT2 5048897.180000 PA USD 5030505.560000 0.0416683 Long ABS-MBS USGSE US N 2 2074-02-20 Floating 5.00185 N N N N N N FREDDIE MAC REMICS 5115 N/A 3137H0ZX9 8243792.270000 PA USD 1563930.660000 0.0129542 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2014-17 N/A 3136AJYB6 504304.370000 PA USD 8804.550000 0.0000729 Long ABS-MBS USGSE US N 2 2028-07-25 Fixed 3 N N N N N N COUNTRYWIDE HOME LOANS 2007-HYB1 N/A 22239EAG1 239413.730000 PA USD 205132.080000 0.0016991 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.25165 N N N N N N FHF ISSUER TRUST 2025-1A N/A 30340RAB2 11500000.000000 PA USD 11541151.600000 0.0955969 Long ABS-O CORP US N 2 2031-02-15 Fixed 4.92 N N N N N N FREDDIE MAC REMICS 5468 N/A 3137HHAZ4 99677670.230000 PA USD 98981421.700000 0.819876 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.60517 N N N N N N DIAMETER CREDIT FUNDING II LTD 2019-2A N/A 25253YAA4 7000000.000000 PA USD 6887608.000000 0.057051 Long ABS-CBDO CORP KY N 2 2038-01-25 Fixed 3.94 N N N N N N DROP MORTGAGE TRUST 2021-FILE N/A 26210YAG1 5500000.000000 PA USD 5197777.750000 0.0430539 Long ABS-MBS CORP US N 2 2043-10-15 Floating 6.12648 N N N N N N FNMA PASS THRU POOLS N/A 3138LT4G0 61529.080000 PA USD 60983.540000 0.0005051 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 31425WZ95 1270326.350000 PA USD 1296286.690000 0.0107373 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-1 N/A 759950GX0 3373844.720000 PA USD 1607758.470000 0.0133173 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.166 N N N N N N N/A N/A 000000000 34800000.000000 NC USD 2219801.520000 0.0183869 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.31000 04/26/35-10Y LCH 2045-04-26 0.000000 USD 0.000000 USD N/A USD N/A 4.310000 USD 2035-04-24 XXXX -859998.480000 N N N FNMA PASS THRU POOLS N/A 3140QTLD9 2068100.350000 PA USD 2145930.820000 0.017775 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.5 N N N N N N RALI TRUST 2007-QS8 N/A 74922UAA1 2192326.660000 PA USD 1597943.280000 0.013236 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.83368 N N N N N N FNMA PASS THRU POOLS N/A 31417YQ91 6058.070000 PA USD 5835.270000 0.0000483 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-3 N/A 37989EAC0 1444073.570000 PA USD 1461884.200000 0.012109 Long ABS-O CORP US N 2 2029-10-15 Fixed 5.59 N N N N N N UNITED WHOLESALE MORTGAGE LLC 2021-INV3 N/A 90355RBD3 6077984.270000 PA USD 809060.540000 0.0067016 Long ABS-O CORP US N 2 2051-11-25 Variable 2.5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-E N/A 78450XAA6 2228144.370000 PA USD 2252758.460000 0.0186599 Long ABS-O CORP US N 2 2056-10-16 Fixed 5.09 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAE4 29900000.000000 PA USD 18634714.540000 0.154354 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.72648 N N N N N N FNMA PASS THRU POOLS N/A 3140XKHQ6 16516591.170000 PA USD 15813920.550000 0.130989 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTS2 4035554.790000 PA USD 2928667.080000 0.0242585 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 N N N N N N HILTON USA TRUST 2016-SFP N/A 43289VAA1 1000000.000000 PA USD 850460.500000 0.0070445 Long ABS-MBS CORP US N 2 2035-11-05 Fixed 2.82844 N N N N N N N/A N/A 000000000 202100000.000000 NC USD 4102.630000 0.000034 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/6.00000 11/05/25-10Y LCH 2035-11-05 0.000000 USD 0.000000 USD N/A USD N/A 6.000000 USD 2025-11-03 XXXX -1333799.370000 N N N PAGAYA AI DEBT GRANTOR TRUST 2024-6 N/A 69548KAA7 1505493.950000 PA USD 1515579.250000 0.0125537 Long ABS-O CORP US N 2 2031-11-15 Fixed 6.093 N N N N N N FNMA PASS THRU POOLS N/A 3140B04Y1 657022.600000 PA USD 681788.720000 0.0056473 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6 N N N N N N FANNIE MAE 2008-29 N/A 31396YF98 255299.220000 PA USD 22712.290000 0.0001881 Long ABS-MBS USGSE US N 2 2038-04-25 Floating 2.48035 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-151 N/A 38378UUL9 469079.270000 PA USD 65187.150000 0.00054 Long ABS-MBS USGSE US N 2 2043-05-16 Fixed 5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2015-A N/A 78448PAF7 3000000.000000 PA USD 2966094.900000 0.0245686 Long ABS-O CORP US N 2 2048-10-15 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2004-61 N/A 31394ATH9 135823.450000 PA USD 7810.880000 0.0000647 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 3.28035 N N N N N N FANNIE MAE INTEREST STRIP 430 N/A 31424QLX1 188893863.300000 PA USD 24678794.350000 0.204418 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 2 N N N N N N VASA TRUST 2021-VASX N/A U9223AAB2 2500000.000000 PA USD 2384876.750000 0.0197542 Long ABS-MBS CORP US N 2 2039-07-15 Floating 5.67648 N N N N N N FANNIE MAE REMICS 2017-42 N/A 3136AWY50 499318.010000 PA USD 336270.760000 0.0027854 Long ABS-MBS USGSE US N 2 2043-05-25 Floating 0 N N N N N N GNMA PASS THRU POOLS N/A 36196FZE7 22610.430000 PA USD 20858.780000 0.0001728 Long ABS-MBS USGSE US N 2 2046-10-20 Fixed 3.5 N N N N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB8 N/A 59020UPR0 458259.710000 PA USD 454799.620000 0.0037672 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.22868 N N N N N N FANNIE MAE REMICS 2012-137 N/A 3136AAK53 649782.510000 PA USD 72196.620000 0.000598 Long ABS-MBS USGSE US N 2 2032-12-25 Floating 2.38035 N N N N N N FHR-5100 N/A 3137FYVU7 20436079.740000 PA USD 3768699.210000 0.0312166 Long ABS-MBS USGSE US N 2 2048-09-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EVU1 3110850.180000 PA USD 3054827.130000 0.0253035 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F042475 37800000.000000 PA USD 37564885.890000 0.311155 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617BB7B1 919292.350000 PA USD 848053.490000 0.0070245 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2 N/A 64831GAX3 10212710.790000 PA USD 1075126.790000 0.0089054 Long ABS-O CORP US N 2 2051-09-25 Variable 2 N N N N N N COUNTRYWIDE HOME LOANS 2007-HY7 N/A 12544HAY6 843582.420000 PA USD 806484.530000 0.0066802 Long ABS-MBS CORP US N 2 2037-11-25 Variable 4.60737 N N N N N N AMERIQUEST MTGE SECURITIES INC 2005-R11 N/A 03072SV51 5000000.000000 PA USD 4381842.000000 0.0362954 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.45368 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF5 N/A 32027EAE1 1974699.010000 PA USD 1934113.420000 0.0160205 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.75368 N N N N N N GNMA PASS THRU POOLS N/A 3617H6P42 296064.590000 PA USD 284063.100000 0.0023529 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.5 N N N N N N NORTHWOODS CAPITAL XII-B LTD 2018-12BA N/A 66858CAN7 8499424.240000 PA USD 8489771.020000 0.0703219 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 5.50847 N N N N N N FREDDIE MAC REMICS 4143 N/A 3137AX7M9 1038142.210000 PA USD 21491.520000 0.000178 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2016-62 N/A 3136ATVF8 640985.700000 PA USD 635917.810000 0.0052674 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 4.91449 N N N N N N N/A N/A 000000000 -2092000000.000000 NC USD -4825407.200000 -0.0399695 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written N/A USD-SOFR-COMPOUND N/A 0.030000 USD 2027-01-26 XXXX 10655392.800000 N N N FNMA PASS THRU POOLS N/A 3140LLZ38 910656.800000 PA USD 954482.630000 0.0079061 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 5.91 N N N N N N SAXON ASSET SECURITIES TRUST 2005-3 N/A 805564SU6 687847.070000 PA USD 681406.410000 0.0056442 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.18368 N N N N N N AMERIQUEST MORTGAGE SEC INC 2004-R10 N/A 03072SVS1 932543.970000 PA USD 902067.410000 0.0074719 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.55868 N N N N N N FREDDIE MAC REMICS 5004 N/A 3137FVDV1 23246869.310000 PA USD 3386020.420000 0.0280469 Long ABS-MBS USGSE US N 2 2050-07-25 Floating 1.78035 N N N N N N OBX 2023-NQM10 TRUST N/A 67449CAA9 7109708.870000 PA USD 7172587.850000 0.0594115 Long ABS-MBS CORP US N 2 2063-10-25 Fixed 6.465 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAG9 4000000.000000 PA USD 1808938.400000 0.0149837 Long ABS-MBS CORP US N 2 2036-03-15 Floating 7.52648 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4 N/A 802919AC4 10000000.000000 PA USD 10030894.000000 0.0830872 Long ABS-O CORP US N 2 2029-01-16 Fixed 4.85 N N N N N N FREDDIE MAC REMICS 5383 N/A 3137HBGQ1 13113037.260000 PA USD 13205203.550000 0.10938 Long ABS-MBS USGSE US N 2 2048-08-15 Floating 5.35001 N N N N N N FIRST FRANKLIN MTG LN ASSET 2004-FFH2 N/A 32027NJA0 2447916.250000 PA USD 2400540.010000 0.019884 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.37868 N N N N N N FNMA PASS THRU POOLS N/A 3140NMXM4 1567787.690000 PA USD 1555260.080000 0.0128824 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FREDDIE MAC STRIPS 414 N/A 3142G9V64 100098192.760000 PA USD 24037470.900000 0.199105 Long ABS-MBS USGSE US N 2 2054-05-25 Fixed 5 N N N N N N FREDDIE MAC REMICS 3962 N/A 3137AJKA1 404506.800000 PA USD 24817.750000 0.0002056 Long ABS-MBS USGSE US N 2 2038-06-15 Floating 2.28965 N N N N N N COUNTRYWIDE HOME LOANS 2006-20 N/A 12544AAC9 5579236.160000 PA USD 2527411.830000 0.0209349 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N ACHV ABS TRUST 2024-2PL N/A 00092HAA9 1918317.140000 PA USD 1925570.870000 0.0159498 Long ABS-O CORP US N 2 2031-10-27 Fixed 5.07 N N N N N N GNMA PASS THRU POOLS N/A 36195PUJ0 704294.390000 PA USD 649715.290000 0.0053817 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N N/A N/A 000000000 13878.000000 NC USD 8261470.650000 0.0684308 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2027-03-16 3364460887.500000 USD 8261470.650000 N N N GNMA PASS THRU POOLS N/A 36179WQB7 1203513.200000 PA USD 1066498.260000 0.0088339 Long ABS-MBS USGSE US N 2 2051-10-20 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-23 N/A 3136ADCC1 1173004.250000 PA USD 929393.440000 0.0076983 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 3 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W16 1700000.000000 PA 1899916.990000 0.0157373 Long ABS-CBDO CORP IE N 2 2031-04-15 Fixed 1.65 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-3R LTD 2014-3RA N/A 14315LAA2 786191.550000 PA USD 787330.880000 0.0065216 Long ABS-CBDO CORP KY N 2 2031-07-27 Floating 5.59423 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-165 N/A 38379FE39 714158.100000 PA USD 66867.910000 0.0005539 Long ABS-MBS USGSE US N 2 2042-11-20 Fixed 3.5 N N N N N N RAAC SERIES 2007-SP3 N/A 74978FAH2 3943415.700000 PA USD 3914782.950000 0.0324267 Long ABS-MBS CORP US N 2 2047-09-25 Floating 5.93368 N N N N N N FANNIE MAE REMICS 2013-50 N/A 3136AD5T2 3357431.420000 PA USD 2960958.050000 0.024526 Long ABS-MBS USGSE US N 2 2033-01-25 Floating 0 N N N N N N GSAA HOME EQUITY TRUST 2005-6 N/A 36242D3X9 3771.380000 PA USD 3772.310000 0.0000312 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.07868 N N N N N N BLACK DIAMOND CLO 2017-2 DAC N/A ACI1XBRF0 213828.410000 PA 252274.920000 0.0020896 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 3.096 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-23 N/A 38381RPW3 8240611.910000 PA USD 248566.520000 0.0020589 Long ABS-MBS USGSE US N 2 2035-12-20 Floating 1.68794 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-11 N/A 12666TAK2 3874670.930000 PA USD 3717440.270000 0.030792 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.95368 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 2099506.960000 PA USD 1996945.630000 0.016541 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617B8GX0 2075467.080000 PA USD 1914625.670000 0.0158591 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3.5 N N N N N N MFA 2021-AEINV2 TRUST N/A 55284CBS2 27930152.830000 PA USD 4394111.290000 0.036397 Long ABS-O CORP US N 2 2051-10-25 Variable 2.5 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAJ2 621638.320000 PA USD 551810.810000 0.0045707 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.14215 N N N N N N FANNIE MAE REMICS 2019-25 N/A 3136B4YU6 1447829.840000 PA USD 168919.470000 0.0013992 Long ABS-MBS USGSE US N 2 2049-01-25 Floating 1.63035 N N N N N N LEHMAN XS TRUST 2007-1 N/A 525241AB1 1269083.070000 PA USD 1228493.350000 0.0101758 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.75368 N N N N N N N/A N/A 000000000 32600000.000000 NC USD 1955599.020000 0.0161985 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.47000 06/06/35-10Y LCH 2045-06-06 0.000000 USD 0.000000 USD N/A USD N/A 4.470000 USD 2035-06-04 XXXX -966990.980000 N N N N/A N/A 000000000 -11696.000000 NC USD 4156853.120000 0.0344318 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2026-06-16 -2824657100.000000 USD 4156853.120000 N N N FANNIE MAE REMICS 2013-17 N/A 3136ACGZ8 1091015.690000 PA USD 125326.720000 0.0010381 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 1.68035 N N N N N N N/A N/A 000000000 150100000.000000 NC USD 239019.240000 0.0019798 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 04/07/26-7Y LCH 2033-04-07 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2026-04-03 XXXX -253111.910000 N N N CITY OF DETROIT 549300BQRJP7MKKHOY28 251093S84 4573863.000000 PA USD 3579044.600000 0.0296457 Long DBT MUN US N 2 2044-04-01 Variable 4 N N N N N N CASCADE MH ASSET TRUST 2024-MH1 N/A 14731VAA6 1412735.140000 PA USD 1444728.790000 0.0119669 Long ABS-O CORP US N 2 2056-11-25 Variable 5.695 N N N N N N FREDDIE MAC STRIP TRUST 195 N/A 31351BTN5 603.520000 PA USD 582.940000 0.0000048 Long ABS-MBS USGSE US N 2 2028-04-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 659523.690000 0.0054629 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-03-18 89675.840000 EUR 0.000000 EUR 4900000.000000 EUR 569847.850000 N N N FREDDIE MAC STRIPS 365 N/A 31325XKR0 641918.550000 PA USD 114117.100000 0.0009452 Long ABS-MBS USGSE US N 2 2047-10-15 Variable 3.5 N N N N N N CARVAL CLO III LTD N/A 14686WAW1 18248217.350000 PA USD 18261860.080000 0.151265 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.25947 N N N N N N GOVERNMENT NATL MTGE ASSOC 2015-159 N/A 38379FWQ8 773582.900000 PA USD 665185.760000 0.0055098 Long ABS-MBS USGSE US N 2 2045-08-20 Floating 0 N N N N N N FREDDIE MAC REMICS 4229 N/A 3137B3GS1 11960.800000 PA USD 7279.430000 0.0000603 Long ABS-MBS USGSE US N 2 2043-07-15 Floating 0 N N N N N N FHLMC PASS THRU POOLS N/A 3132WKVH8 2448790.750000 PA USD 2261585.350000 0.018733 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EMN7 363284.580000 PA USD 350751.640000 0.0029053 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140NGD72 2120667.930000 PA USD 2134768.910000 0.0176826 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N BNPP AM EURO CLO 2017 BV 17-1A N/A ACI1G3M70 245577.660000 PA 288752.110000 0.0023918 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 2.929 N N N N N N FREDDIE MAC REMICS-3598 N/A 31398KZ94 192979.960000 PA USD 8571.550000 0.000071 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 1.92585 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWGS6 22644211.600000 PA USD 23051723.850000 0.190941 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 6 N N N N N N FREDDIE MAC REMICS 4040 N/A 3137AQ7C6 15839.350000 PA USD 14440.540000 0.0001196 Long ABS-MBS USGSE US N 2 2037-05-15 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-55 N/A 38379LZD1 291813.570000 PA USD 240553.570000 0.0019925 Long ABS-MBS USGSE US N 2 2042-12-20 Variable 0.13409 N N N N N N FHLMC PASS THRU POOLS N/A 3133WFCN5 2572622.890000 PA USD 2728127.320000 0.0225974 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 7 N N N N N N OBX 2023-NQM5 TRUST N/A 673919AL0 5501542.090000 PA USD 5546399.460000 0.0459416 Long ABS-MBS CORP US N 2 2063-06-25 Fixed 6.567 N N N N N N GNMA PASS THRU POOLS N/A 3617LKMP2 440873.750000 PA USD 402880.950000 0.0033371 Long ABS-MBS USGSE US N 2 2049-11-15 Fixed 3.5 N N N N N N CRSNT TRUST 2021-MOON N/A 22877LAE7 10913000.000000 PA USD 10716372.840000 0.0887651 Long ABS-MBS CORP US N 2 2036-04-15 Floating 5.98448 N N N N N N FREDDIE MAC REMICS 4923 N/A 3137FPZ73 13093123.890000 PA USD 1753173.220000 0.0145218 Long ABS-MBS USGSE US N 2 2048-04-25 Floating 1.58035 N N N N N N N/A N/A 000000000 -880000000.000000 NC USD -3936152.000000 -0.0326037 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written N/A USD-SOFR-COMPOUND N/A 0.030000 USD 2027-10-01 XXXX 10143848.000000 N N N FREDDIE MAC REMICS 4979 N/A 3137FTY27 3414324.740000 PA USD 497342.150000 0.0041196 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.63035 N N N N N N UWM-2021-INV4 N/A 918307BE8 20696729.110000 PA USD 651475.080000 0.0053963 Long ABS-O CORP US N 2 2051-12-25 Variable 0.5 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAL8 25601902.240000 PA USD 6064673.330000 0.0502345 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.88368 N N N N N N PK ALIFT LOAN FUNDING 4 LP 2024-2 N/A 69381EAA1 6617576.060000 PA USD 6605056.930000 0.0547106 Long ABS-O CORP US N 2 2039-10-15 Fixed 5.052 N N N N N N FNMA PASS THRU POOLS N/A 3140Q7MK0 1095324.160000 PA USD 1078951.700000 0.0089371 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 4 N N N N N N CROSS 2023-H1 MORTGAGE TRUST N/A 22758CAA9 4335658.710000 PA USD 4368055.620000 0.0361812 Long ABS-MBS CORP US N 2 2068-03-25 Fixed 6.615 N N N N N N FNMA PASS THRU POOLS N/A 31416NEC2 78961.670000 PA USD 78825.280000 0.0006529 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CZ72 4312011.350000 PA USD 4246476.750000 0.0351741 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133ABKD1 1500051.350000 PA USD 1313885.560000 0.0108831 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140J9AX9 1552204.230000 PA USD 1529625.110000 0.0126701 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AA9 2519708.100000 PA USD 1237759.230000 0.0102525 Long ABS-MBS CORP US N 2 2036-12-27 Fixed 6 N N N N N N FREDDIE MAC REMICS 3281 N/A 31397EWH4 284786.400000 PA USD 26727.060000 0.0002214 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 2.01167 N N N N N N TOWD POINT MORTGAGE TRUST 2024-CES3 N/A 89183EAA9 12042544.060000 PA USD 12164714.470000 0.100762 Long ABS-MBS CORP US N 2 2064-05-25 Variable 6.29 N N N N N N GSAA HOME EQUITY TRUST 2005-6 N/A 36242D3Y7 5440000.000000 PA USD 5369454.620000 0.0444759 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.15368 N N N N N N SOFI CONSUMER LOAN PROGRAM 2025-1 TRUST N/A 83406YAA9 7053563.360000 PA USD 7068841.380000 0.0585521 Long ABS-O CORP US N 2 2034-02-27 Fixed 4.8 N N N N N N VERUS SECURITIZATION TRUST 2022-4 N/A 92538NAA5 4625549.420000 PA USD 4634250.080000 0.0383861 Long ABS-MBS CORP US N 2 2067-04-25 Fixed 4.474 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8 N/A 23245LAB6 3929277.030000 PA USD 1542100.570000 0.0127734 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N VERUS SECURITIZATION TRUST 2023-INV3 N/A 92540CAA5 3041376.660000 PA USD 3087362.280000 0.025573 Long ABS-MBS CORP US N 2 2068-11-25 Variable 6.876 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797QK6 795000.000000 PA USD 790338.920000 0.0065465 Long DBT UST US N 2 2025-08-19 None 0 N N N N N N BBCMS TRUST 2018-CBM N/A 05549RAG2 9060000.000000 PA USD 7526063.180000 0.0623394 Long ABS-MBS CORP US N 2 2037-07-15 Floating 7.00011 N N N N N N DIAMETER CAPITAL CLO 4 LTD N/A 25255NAQ1 22600000.000000 PA USD 22703419.860000 0.188055 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 6.0861 N N N N N N FNMA PASS THRU POOLS N/A 31418ESK7 180906.230000 PA USD 177685.680000 0.0014718 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2019-50 N/A 3136B6AJ2 3759580.680000 PA USD 3636398.770000 0.0301208 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 4.86965 N N N N N N FREDDIE MAC 2030 N/A 3133TCXJ2 3415.970000 PA USD 3323.410000 0.0000275 Long ABS-MBS USGSE US N 2 2028-02-15 None 0 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6 N/A 36272QAS6 100961690.520000 PA USD 84800581.080000 0.702414 Long ABS-MBS CORP US N 2 2064-01-25 Fixed 3.33175 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H01 N/A 38380QUG5 4707027.900000 PA USD 4645991.400000 0.0384834 Long ABS-MBS USGSE US N 2 2070-11-20 Floating 4.84602 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE3 N/A 590238AC5 4345706.770000 PA USD 1725222.120000 0.0142902 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.81368 N N N N N N FREDDIE MAC REMICS 4813 N/A 3137FGSN6 2687415.940000 PA USD 346113.110000 0.0028669 Long ABS-MBS USGSE US N 2 2048-08-15 Floating 1.73167 N N N N N N FANNIE MAE REMICS 2018-35 N/A 3136B1C77 7282778.950000 PA USD 1247282.220000 0.0103314 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 3 N N N N N N FHF ISSUER TRUST 2023-2A N/A 30333LAB4 3419593.790000 PA USD 3469009.660000 0.0287343 Long ABS-O CORP US N 2 2029-10-15 Fixed 6.79 N N N N N N N/A N/A 000000000 146000000.000000 NC USD 34894.000000 0.000289 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% AUG 30YR N/A 96.700000 USD 2025-08-06 XXXX -421356.000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H01 N/A 38380LPU1 2725316.570000 PA USD 2729847.410000 0.0226117 Long ABS-MBS USGSE US N 2 2068-12-20 Floating 4.89602 N N N N N N FHLMC PASS THRU POOLS N/A 3132XTXJ2 967031.530000 PA USD 916429.060000 0.0075909 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N DC COMMERCIAL MORTGAGE TRUST 2023-DC N/A 24023AAA8 4300000.000000 PA USD 4489958.090000 0.0371909 Long ABS-MBS CORP US N 2 2040-09-12 Fixed 6.3143 N N N N N N FANNIE MAE REMICS 2018-95 N/A 3136B3UE8 1316814.670000 PA USD 127169.010000 0.0010534 Long ABS-MBS USGSE US N 2 2049-01-25 Floating 1.73035 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20 N/A 38383KDF6 23326353.280000 PA USD 23552616.570000 0.195089 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 5.27185 N N N N N N FNMA PASS THRU POOLS N/A 3140W04G7 35807368.520000 PA USD 36919075.240000 0.305806 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6 N N N N N N MFA 2023-NQM4 TRUST N/A 55286LAA0 3626123.150000 PA USD 3646903.010000 0.0302078 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.105 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4P4 732912.450000 PA USD 123158.070000 0.0010201 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 29791747.920000 0.246769 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-12-21 22629686.040000 USD 0.000000 USD 258700000.000000 USD 7162061.880000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2 N/A 64831GAL9 13302690.900000 PA USD 12467806.040000 0.103273 Long ABS-MBS CORP US N 2 2051-09-25 Floating 5 N N N N N N WAMU MTGE P/T CERT 2007-HY3 N/A 933634AF4 3163964.130000 PA USD 2808332.660000 0.0232618 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.09134 N N N N N N FANNIE MAE REMICS 2023-61 N/A 3136BQWM7 102621151.810000 PA USD 21600582.570000 0.178921 Long ABS-MBS USGSE US N 2 2053-03-25 Fixed 4 N N N N N N RCKT MORTGAGE TRUST 2025-CES3 N/A 749420AA3 9499228.190000 PA USD 9563389.780000 0.0792148 Long ABS-MBS CORP US N 2 2055-03-25 Fixed 5.553 N N N N N N GNMA PASS THRU POOLS N/A 3617G3HM9 536104.550000 PA USD 494562.210000 0.0040965 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5034 N/A 3137F6K55 98159590.170000 PA USD 13334420.810000 0.110451 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F062689 2230038000.000000 PA USD 2299413211.060000 19.0463 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 6.5 N N N N N N OBX 2023-NQM8 TRUST N/A 67118CAA9 5749336.760000 PA USD 5836416.210000 0.0483438 Long ABS-MBS CORP US N 2 2063-09-25 Fixed 7.045 N N N N N N N/A N/A 000000000 51300000.000000 NC USD 2666199.510000 0.0220845 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.07300 03/09/35-10Y LCH 2045-03-09 0.000000 USD 0.000000 USD N/A USD N/A 4.070000 USD 2035-03-07 XXXX -1796900.490000 N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAE4 5000000.000000 PA USD 4997769.100000 0.0413972 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 6.22908 N N N N N N N/A N/A 000000000 1.000000 NC USD -35401.070000 -0.0002932 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 5500000.000000 USD -35401.070000 N N N FNMA PASS THRU POOLS N/A 3140NVJY4 65600000.000000 PA USD 68077344.640000 0.563894 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 5.81 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-D N/A 63941CAC7 1050237.380000 PA USD 1046016.580000 0.0086643 Long ABS-O CORP US N 2 2059-12-15 Floating 5.47624 N N N N N N FANNIE MAE REMICS 2013-130 N/A 3136AHJ35 999928.360000 PA USD 7710.250000 0.0000639 Long ABS-MBS USGSE US N 2 2044-01-25 Variable 0.280434 N N N N N N RECETTE CLO LTD 2015-1A N/A 75620TAX6 2000000.000000 PA USD 1997522.020000 0.0165457 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.93108 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-20 N/A 38383VYR3 61219160.570000 PA USD 60541648.120000 0.501474 Long ABS-MBS USGSE US N 2 2053-02-20 Floating 4.99185 N N N N N N FNMA PASS THRU POOLS N/A 3140QRM42 22735348.070000 PA USD 23160215.110000 0.191839 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 6 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL2 N/A 69392CAA2 3576245.860000 PA USD 3415074.470000 0.0282875 Long ABS-MBS CORP US N 2 2064-06-25 Fixed 4.075 N N N N N N FREDDIE MAC REMICS 5011 N/A 3137FVSK9 7209394.330000 PA USD 1703657.020000 0.0141116 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2013-24 N/A 3136AB2Y8 3194750.200000 PA USD 232804.320000 0.0019283 Long ABS-MBS USGSE US N 2 2033-03-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2020-80 N/A 3136BCZK9 2620836.290000 PA USD 2480646.450000 0.0205475 Long ABS-MBS USGSE US N 2 2050-11-25 Floating 4.60517 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-FX1 N/A 17309YAC1 5356815.180000 PA USD 3159445.310000 0.0261701 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.03368 N N N N N N FNMA PASS THRU POOLS N/A 3140AUZA4 5999401.980000 PA USD 6199770.190000 0.0513535 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6.5 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAA2 16595633.630000 PA USD 15865888.770000 0.131419 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.75368 N N N N N N FANNIE MAE REMICS 2013-84 N/A 3136AF5D2 902891.990000 PA USD 71935.300000 0.0005958 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 1.73035 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H06 N/A 38375BKL5 510702.130000 PA USD 511478.550000 0.0042366 Long ABS-MBS USGSE US N 2 2061-02-20 Floating 4.89602 N N N N N N ARGENT SECURITIES INC 2005-W4 N/A 040104PT2 5286327.460000 PA USD 4272787.830000 0.0353921 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.19368 N N N N N N THUNDERBOLT II AIRCRAFT LEASE LTD 2018-A N/A 886065AA9 7264804.430000 PA USD 7230114.260000 0.059888 Long ABS-O CORP KY N 2 2038-09-15 Variable 4.147 N N N N N N FNMA PASS THRU POOLS N/A 3140X5KC6 727589.380000 PA USD 758136.650000 0.0062797 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 6 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO3 N/A 761118KU1 85097.690000 PA USD 60659.420000 0.0005024 Long ABS-MBS CORP US N 2 2045-10-25 Floating 5.23368 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAL0 13939000.000000 PA USD 13753137.370000 0.113919 Long ABS-MBS CORP US N 2 2035-04-15 Floating 6.584 N N N N N N FNMA PASS THRU POOLS N/A 3140LLUJ8 6332000.000000 PA USD 6484732.650000 0.0537139 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 4.815 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2019-GS2 N/A 59981TAC9 3544841.690000 PA USD 3431510.620000 0.0284237 Long ABS-MBS CORP US N 2 2059-08-25 Fixed 2.75 N N N N N N FANNIE MAE REMICS 2020-99 N/A 3136BDFY9 3449749.880000 PA USD 606486.380000 0.0050236 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 3 N N N N N N TESLA SUSTAINABLE ENERGY TRUST 2024-1A N/A 88164AAC8 2100000.000000 PA USD 2114251.440000 0.0175126 Long ABS-O CORP US N 2 2050-06-20 Fixed 5.29 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A7 N/A 46629DAL9 1497050.190000 PA USD 1170161.050000 0.0096926 Long ABS-MBS CORP US N 2 2037-01-25 Variable 4.48145 N N N N N N UMBS PASS THRU POOLS N/A 01F050684 399280000.000000 PA USD 391098569.130000 3.23952 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 5 N N N N N N FREDDIE MAC REMICS 4942 N/A 3137FQWA7 801141.430000 PA USD 663195.850000 0.0054933 Long ABS-MBS USGSE US N 2 2053-04-15 None 0 N N N N N N N/A N/A 000000000 -145400000.000000 NC USD -155127.260000 -0.0012849 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09600 09/10/25-7Y LCH 2032-09-10 0.000000 USD 0.000000 USD N/A USD N/A 4.100000 USD 2025-09-08 XXXX 113862.740000 N N N FNMA PASS THRU POOLS N/A 31418EHK9 2453891.190000 PA USD 2353005.000000 0.0194902 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.5 N N N N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-WM2 N/A 00442KAB7 3090323.500000 PA USD 1271658.540000 0.0105333 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.67368 N N N N N N ANTHRACITE LTD 2004-HY1A N/A 000000000 5912389.130000 PA USD 59.120000 0.0000005 Long ABS-MBS CORP US N 2 2041-06-20 Fixed 5.678 N N N N N N FANNIE MAE REMICS 2014-43 N/A 3136AKKG7 783920.840000 PA USD 778899.440000 0.0064517 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 4.81965 N N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AA3 3879642.200000 PA USD 3317851.780000 0.0274822 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.75368 N N N N N N STRUCTURED ASSET INVST LN TR 2004-4 N/A 86358EHQ2 2526669.580000 PA USD 2501426.130000 0.0207196 Long ABS-MBS CORP US N 2 2034-04-25 Floating 5.23368 N N N N N N FREDDIE MAC REMICS 4573 N/A 3137BP6Y0 5199202.480000 PA USD 770985.580000 0.0063862 Long ABS-MBS USGSE US N 2 2046-04-15 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2013-6 N/A 3136ABL84 1392570.800000 PA USD 1196053.850000 0.0099071 Long ABS-MBS USGSE US N 2 2033-02-25 Floating 0 N N N N N N COUNTRYWIDE HOME LOANS 2007-HYB2 N/A 125438AB7 369279.850000 PA USD 322260.480000 0.0026693 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.3761 N N N N N N GNMA PASS THRU POOLS N/A 36291FKA5 69718.850000 PA USD 70295.730000 0.0005823 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-8 N/A 38378P6U7 772536.350000 PA USD 15736.800000 0.0001303 Long ABS-MBS USGSE US N 2 2043-09-20 Floating 1.11794 N N N N N N FNMA PASS THRU POOLS N/A 3140B05M6 658444.870000 PA USD 692303.670000 0.0057344 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6.5 N N N N N N FREDDIE MAC REMICS 5287 N/A 3137H9MY2 38870292.300000 PA USD 6626113.780000 0.054885 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797QU4 5345000.000000 PA USD 5296526.780000 0.0438718 Long DBT UST US N 2 2025-09-16 None 0 N N N N N N STRUCTURED ASSET INVST LN TR 2006-4 N/A 86360WAA0 5793899.240000 PA USD 3326293.200000 0.0275521 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.77868 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWGJ6 22344830.670000 PA USD 22791527.300000 0.188785 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133CUJM9 8999101.890000 PA USD 9301060.270000 0.0770419 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N FIRST FRANKLIN MTG LOAN 2004-FF11 N/A 32027NNB3 5671141.940000 PA USD 5547051.680000 0.045947 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.08368 N N N N N N N/A N/A 000000000 -206466055.380000 PA USD -206953143.210000 -1.71422 Short RA US N 2 Reverse repurchase N 4.470000 2025-07-14 216746842.200000 USD 215337463.800000 USD AMBS N N N FREDDIE MAC STRIPS 363 N/A 31325XBF6 39215.380000 PA USD 5127.090000 0.0000425 Long ABS-MBS USGSE US N 2 2048-09-15 Fixed 4 N N N N N N FANNIE MAE 2005-69 N/A 31394EP77 113862.340000 PA USD 101517.030000 0.0008409 Long ABS-MBS USGSE US N 2 2035-08-25 None 0 N N N N N N FANNIE MAE REMICS 2017-60 N/A 3136AXQW8 21046699.800000 PA USD 769839.870000 0.0063767 Long ABS-MBS USGSE US N 2 2047-08-25 Floating 0 N N N N N N FCCU AUTO RECEIVABLES TRUST 2024-1 N/A 30336CAC9 3331749.200000 PA USD 3342954.540000 0.0276901 Long ABS-O CORP US N 2 2027-11-15 Fixed 5.76 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB N/A 02150ECA9 4090449.470000 PA USD 1863359.670000 0.0154345 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N CSAB MORTGAGE BACKED TR 2006-3 N/A 12628KAA0 57521.130000 PA USD 7785.760000 0.0000645 Long ABS-MBS CORP US N 2 2036-11-25 Variable 6.5 N N N N N N ENTERPRISE FLEET FINANCING 2024-3 LLC N/A 29375QAB4 3236109.730000 PA USD 3249645.410000 0.0269172 Long ABS-O CORP US N 2 2027-04-20 Fixed 5.31 N N N N N N FHLMC PASS THRU POOLS N/A 3133CDVU5 2090147.030000 PA USD 2062967.010000 0.0170878 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140FTWA5 514732.780000 PA USD 487753.510000 0.0040401 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N N/A N/A 000000000 136400000.000000 NC USD 596681.800000 0.0049424 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.75000 02/09/26-7Y LCH 2033-02-09 0.000000 USD 0.000000 USD N/A USD N/A 2.750000 USD 2026-02-05 XXXX 37441.800000 N N N GOODGREEN TRUST 2018-1A N/A 38218GAA0 4308807.910000 PA USD 3994361.880000 0.0330858 Long ABS-O CORP KY N 2 2053-10-15 Variable 3.93 N N N N N N N/A N/A 000000000 -657823940.130000 PA USD -658231425.520000 -5.45222 Short RA US N 2 Reverse repurchase N 4.460000 2025-07-21 671477552.300000 USD 683713813.600000 USD AMBS N N N FREDDIE MAC REMICS 4388 N/A 3137BDGK6 956188.730000 PA USD 118206.150000 0.0009791 Long ABS-MBS USGSE US N 2 2042-08-15 Floating 1.58167 N N N N N N GNMA PASS THRU POOLS N/A 36179UKZ4 6896.920000 PA USD 6909.240000 0.0000572 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 5 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS3 N/A 76110WS64 632481.050000 PA USD 631024.320000 0.0052269 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.37868 N N N N N N SCCU AUTO RECEIVABLES TRUST 2023-1A N/A 805922AG6 2800000.000000 PA USD 2877305.760000 0.0238331 Long ABS-O CORP US N 2 2029-08-15 Fixed 5.7 N N N N N N LA HIPOTECARIA SA 2019-1A N/A 50346WAA5 22618582.250000 PA USD 20721938.130000 0.171643 Long ABS-MBS CORP US N 3 2046-09-29 Fixed 4.25 N N N N N N FNMA PASS THRU POOLS N/A 3140L86K1 509598.320000 PA USD 445623.800000 0.0036912 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-9 N/A 41161XAC0 1723781.160000 PA USD 1579244.700000 0.0130811 Long ABS-MBS CORP US N 2 2036-11-19 Floating 4.85206 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-SD1 N/A 1266712J4 1960202.520000 PA USD 1904984.200000 0.0157792 Long ABS-MBS CORP US N 2 2032-10-25 Floating 5.45368 N N N N N N FANNIE MAE REMICS 2024-77 N/A 3136BTQX4 111975952.320000 PA USD 111270447.830000 0.921668 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.40517 N N N N N N FREDDIE MAC REMICS 42314 N/A 3137B9F34 1376237.970000 PA USD 1362080.890000 0.0112823 Long ABS-MBS USGSE US N 2 2044-03-15 Floating 4.91833 N N N N N N FANNIE MAE 2010-95 N/A 31398NEY6 504367.040000 PA USD 44182.350000 0.000366 Long ABS-MBS USGSE US N 2 2040-09-25 Floating 2.18035 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2025-A N/A 14319UAG5 8800000.000000 PA USD 8806601.760000 0.0729462 Long ABS-O CORP US N 2 2028-05-15 Floating 4.98385 N N N N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAC0 5307817.170000 PA USD 2311233.250000 0.0191442 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.89368 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-84 N/A 38379XGB0 2857142.000000 PA USD 448897.290000 0.0037183 Long ABS-MBS USGSE US N 2 2046-06-20 Fixed 3.5 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2018-4 N/A 59980YAB1 7859400.140000 PA USD 7715113.340000 0.0639053 Long ABS-MBS CORP US N 2 2066-04-25 Variable 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133AMSX5 1663059.690000 PA USD 1458345.460000 0.0120797 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2023-66 N/A 3136BQA25 133921150.950000 PA USD 30355451.950000 0.251438 Long ABS-MBS USGSE US N 2 2053-09-25 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EJZ4 60094.440000 PA USD 58021.130000 0.0004806 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418XDK1 131217.160000 PA USD 130950.100000 0.0010847 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J9JU6 12451332.900000 PA USD 11814727.500000 0.0978629 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWLL5 6624718.680000 PA USD 6629585.400000 0.0549137 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140B8K42 2321850.310000 PA USD 2391800.550000 0.0198116 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36241LR40 5280171.780000 PA USD 5127825.410000 0.0424745 Long ABS-MBS USGSE US N 2 2040-09-15 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-135 N/A 38381AJF4 753131.520000 PA USD 684488.630000 0.0056697 Long ABS-MBS USGSE US N 2 2043-06-16 None 0 N N N N N N NEW YORK MORTGAGE TRUST 2022-CP1 N/A 62955VAC0 800000.000000 PA USD 693665.280000 0.0057457 Long ABS-MBS CORP US N 2 2061-07-25 Fixed 3.2145 N N N N N N CSMC 2021-ADV TRUST N/A 12660WAG0 4000000.000000 PA USD 3071492.000000 0.0254416 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.22648 N N N N N N FNMA PASS THRU POOLS N/A 31417CES0 1241995.780000 PA USD 1222989.720000 0.0101302 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.5 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 109377.560000 PA USD 95299.670000 0.0007894 Long ABS-MBS CORP US N 2 2047-01-20 Floating 5.07781 N N N N N N MDPK-2021-39A N/A 55821LAJ3 2600000.000000 PA USD 2603874.000000 0.0215682 Long ABS-CBDO CORP KY N 2 2034-10-22 Floating 5.52238 N N N N N N FREDDIE MAC REMICS 5184 N/A 3137H4UU2 15556309.450000 PA USD 2538158.120000 0.0210239 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 3 N N N N N N FANNIE MAE INTEREST STRIP 423 N/A 31397VXA0 8319228.200000 PA USD 1494902.080000 0.0123825 Long ABS-MBS USGSE US N 2 2047-02-25 Fixed 3 N N N N N N ING INVESTMENT MANAGEMENT CLO LTD 2012-4A N/A 92916GBF0 4000000.000000 PA USD 4014788.080000 0.033255 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.96771 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL2 N/A 161930AB8 9429983.500000 PA USD 8368774.650000 0.0693197 Long ABS-MBS CORP US N 2 2064-08-25 Variable 3.25 N N N N N N REACH ABS TRUST 2025-1A N/A 75525PAC6 800000.000000 PA USD 808166.560000 0.0066941 Long ABS-O CORP US N 2 2032-08-16 Fixed 5.99 N N N N N N HARVEST CLO XX DAC 20A N/A ACI1WC7B0 5373021.160000 PA 6327786.670000 0.0524139 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 2.916 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAG3 1228131.120000 PA USD 589230.420000 0.0048807 Long ABS-O CORP US N 3 2054-11-25 Fixed 0 N N N N N N FNMA PASS THRU POOLS N/A 3140LLXU0 3053000.000000 PA USD 3119961.720000 0.0258431 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 4.9 N N N N N N FREDDIE MAC 4520 N/A 3137BLUL0 3273935.620000 PA USD 2022907.530000 0.016756 Long ABS-MBS USGSE US N 2 2045-08-15 Floating 0 N N N N N N ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2006-HE2 N/A 04541GWC2 1540622.270000 PA USD 1423693.660000 0.0117926 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.93368 N N N N N N FANNIE MAE REMICS 2016-20 N/A 3136ARXE3 138075.620000 PA USD 13896.660000 0.0001151 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 5426 N/A 3137HCY22 4219146.040000 PA USD 4216248.750000 0.0349237 Long ABS-MBS USGSE US N 2 2050-12-15 Floating 5.25001 N N N N N N N/A N/A 000000000 -77000000.000000 NC USD -310071.300000 -0.0025684 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written UMBS PASS THRU POOLS FNMA TBA 6.0% AUG 30YR N/A 101.420000 USD 2025-08-06 XXXX -111555.670000 N N N RENAISSANCE HOME EQUITY LOAN TR 2006-1 N/A 759950GW2 3090981.320000 PA USD 1436271.450000 0.0118968 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.011 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-E N/A 05949AHG8 24185.620000 PA USD 23664.380000 0.000196 Long ABS-MBS CORP US N 2 2034-06-25 Floating 6.09863 N N N N N N FANNIE MAE REMICS 2013-126 N/A 3136AHQK9 339297.590000 PA USD 23743.570000 0.0001967 Long ABS-MBS USGSE US N 2 2041-09-25 Floating 1.73035 N N N N N N FHLMC PASS THRU POOLS N/A 31427M6L0 15290093.000000 PA USD 15773365.590000 0.130653 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617JRLB2 1072778.180000 PA USD 976388.130000 0.0080876 Long ABS-MBS USGSE US N 2 2049-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180AAH6 372663499.330000 PA USD 383354398.990000 3.17537 Long ABS-MBS USGSE US N 2 2054-09-20 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LKEB5 1647000.000000 PA USD 1665573.150000 0.0137962 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3142GR4P2 1140751.950000 PA USD 1182120.620000 0.0097917 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6.5 N N N N N N FREDDIE MAC REMICS 4248 N/A 3137B4UN4 842161.490000 PA USD 804475.610000 0.0066636 Long ABS-MBS USGSE US N 2 2041-05-15 Floating 0 N N N N N N GNMA PASS THRU POOLS N/A 3617LJWL3 198648.590000 PA USD 181466.330000 0.0015031 Long ABS-MBS USGSE US N 2 2049-11-15 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A 38382Y5C3 18243899.840000 PA USD 18527129.090000 0.153463 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 5.40185 N N N N N N FANNIE MAE REMICS 2016-55 N/A 3136ATHV9 16703346.160000 PA USD 2663629.160000 0.0220632 Long ABS-MBS USGSE US N 2 2046-03-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4338 N/A 3137BB7D6 323636.400000 PA USD 19243.190000 0.0001594 Long ABS-MBS USGSE US N 2 2041-10-15 Floating 2.26988 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-162 N/A 38380HXB3 5357280.160000 PA USD 156842.950000 0.0012992 Long ABS-MBS USGSE US N 2 2047-10-20 Floating 0 N N N N N N FREDDIE MAC REMICS 5000 N/A 3137FVFL1 4282685.030000 PA USD 684513.970000 0.0056699 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 5 N N N N N N OPORTUN ISSUANCE TRUST 2024-2 N/A 68377KAA5 2236282.230000 PA USD 2239116.490000 0.0185469 Long ABS-O CORP US N 2 2032-02-09 Fixed 5.86 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9PU1 796828.610000 PA USD 788463.200000 0.0065309 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 3987023.250000 PA USD 3781374.030000 0.0313216 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N N/A N/A 000000000 51300000.000000 NC USD 3587732.190000 0.0297177 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.07300 03/09/35-10Y LCH 2045-03-09 0.000000 USD 0.000000 USD N/A USD N/A 4.070000 USD 2035-03-07 XXXX -875367.810000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H13 N/A 38383KB92 29742603.750000 PA USD 29894130.420000 0.247617 Long ABS-MBS USGSE US N 2 2074-08-20 Floating 5.23185 N N N N N N BAIN CAPITAL CREDIT CLO 2021-4 LTD N/A 05685AAQ1 12000000.000000 PA USD 12029143.920000 0.099639 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.46947 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4G5 892867.540000 PA USD 903573.740000 0.0074844 Long ABS-O CORP US N 2 2032-09-15 Fixed 8.036 N N N N N N ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A N/A 033296AS3 963771.580000 PA USD 946153.260000 0.0078371 Long ABS-CBDO CORP KY N 2 2037-07-28 Fixed 3.9 N N N N N N FNMA PASS THRU POOLS N/A 3140QDVB7 2621383.320000 PA USD 2373885.390000 0.0196632 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2013-30 N/A 3136ADNA3 275688.860000 PA USD 32161.970000 0.0002664 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 3 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A3 N/A 46628KAV2 8112.170000 PA USD 7913.710000 0.0000656 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.84319 N N N N N N GNMA PASS THRU POOLS N/A 3617G02L3 97624.520000 PA USD 91981.160000 0.0007619 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179NDT2 622314.590000 PA USD 617824.240000 0.0051175 Long ABS-MBS USGSE US N 2 2043-05-20 Fixed 4.5 N N N N N N CSMC 2021-RPL3 TRUST N/A 12661GAA7 1239957.680000 PA USD 1098123.880000 0.0090959 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2 N N N N N N FANNIE MAE REMICS 2018-66 N/A 3136B25R9 767976.730000 PA USD 83848.700000 0.0006945 Long ABS-MBS USGSE US N 2 2048-09-25 Floating 1.73035 N N N N N N FHLMC PASS THRU POOLS N/A 3132QWFX2 1276393.200000 PA USD 1213578.270000 0.0100522 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ50 N/A 3137HDV31 69497787.000000 PA USD 68398144.370000 0.566551 Long ABS-MBS USGSE US N 2 2034-10-25 Fixed 4.228 N N N N N N FREDDIE MAC REMICS 5051 N/A 3137F7Y82 213421.660000 PA USD 24066.940000 0.0001993 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SNZ77 1737000.000000 PA 2388338.870000 0.0197829 Long ABS-MBS CORP GB N 2 2066-05-16 Floating 8.22522 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H14 N/A 38382Y7K3 49388680.720000 PA USD 50154160.820000 0.415434 Long ABS-MBS USGSE US N 2 2073-06-20 Floating 5.40185 N N N N N N FREDDIE MAC STRIPS 390 N/A 31325YX94 70061463.940000 PA USD 9282660.550000 0.0768895 Long ABS-MBS USGSE US N 2 2052-06-15 Fixed 2 N N N N N N FANNIE MAE REMICS 2012-145 N/A 3136AAZ32 303.030000 PA USD 209.710000 0.0000017 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 3 N N N N N N FREDDIE MAC STRIPS 389 N/A 31325YRZ3 104037180.900000 PA USD 18008839.130000 0.14917 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 3 N N N N N N FINANCE OF AMERICA HECM BUYOUT 2024-HB1 N/A 31737DAA4 12636484.350000 PA USD 12558504.610000 0.104024 Long ABS-MBS CORP US N 2 2034-10-01 Variable 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08 N/A 38382Y2S1 101342428.680000 PA USD 102155174.690000 0.846165 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 5.40185 N N N N N N HSBC ASSET LOAN OBLIGATION 2006-2 N/A 40431HAG2 741914.510000 PA USD 143133.630000 0.0011856 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.80368 N N N N N N NOVASTAR MORTGAGE FUNDING TRUST SERIES 2004-3 N/A 66987XFU4 119859.750000 PA USD 106433.700000 0.0008816 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.53368 N N N N N N FNMA PASS THRU POOLS N/A 3140B04W5 1781597.860000 PA USD 1837908.220000 0.0152236 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202FUJ3 48050.300000 PA USD 49348.290000 0.0004088 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 6 N N N N N N N/A N/A 000000000 187100000.000000 NC USD 13171.840000 0.0001091 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/16/25-10Y LCH 2035-09-16 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-12 XXXX -473288.160000 N N N FANNIE MAE REMICS 2013-34 N/A 3136ADQR3 498937.860000 PA USD 42621.170000 0.000353 Long ABS-MBS USGSE US N 2 2042-08-25 Floating 1.73035 N N N N N N FANNIE MAE REMICS 2010-62 N/A 31398RVD4 66000.000000 PA USD 68926.340000 0.0005709 Long ABS-MBS USGSE US N 2 2039-11-25 Fixed 7 N N N N N N FANNIE MAE REMICS 2019-15 N/A 3136B36U9 8777624.320000 PA USD 997576.130000 0.0082631 Long ABS-MBS USGSE US N 2 2049-04-25 Floating 1.58035 N N N N N N FNMA PASS THRU POOLS N/A 3140JLYX6 1546679.950000 PA USD 1504783.330000 0.0124643 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.5 N N N N N N CIM TRUST 2021-INV1 N/A 12566PBL8 80414004.450000 PA USD 2523455.790000 0.0209021 Long ABS-O CORP US N 2 2051-07-01 Variable 0.5 N N N N N N FANNIE MAE REMICS 2018-37 N/A 3136B17H1 764329.300000 PA USD 141453.050000 0.0011717 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 4 N N N N N N US CAPITAL FUNDING V LTD 2006-5A N/A 90342WAA5 506583.080000 PA USD 472388.720000 0.0039129 Long ABS-CBDO CORP KY N 2 2040-10-10 Floating 4.75183 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9T29 260100.810000 PA USD 246198.600000 0.0020393 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FREDDIE MAC 4839 N/A 3137FJJY6 1567883.470000 PA USD 991036.880000 0.0082089 Long ABS-MBS USGSE US N 2 2056-08-15 None 0 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-PJ7 N/A 362949BR9 4924518.600000 PA USD 4947180.250000 0.0409781 Long ABS-MBS CORP US N 2 2054-11-25 Floating 5.65621 N N N N N N FNMA PASS THRU POOLS N/A 3140H8ZE8 319035.760000 PA USD 315383.940000 0.0026124 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-77 N/A 38378PAG3 870771.750000 PA USD 75005.320000 0.0006213 Long ABS-MBS USGSE US N 2 2043-02-20 Fixed 3 N N N N N N BAIN CAPITAL CREDIT CLO 2021-2 LTD N/A 05684RAN2 1800000.000000 PA USD 1806099.480000 0.0149602 Long ABS-CBDO CORP KY N 2 2034-07-16 Floating 5.74054 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SPFW9 665246.340000 PA 566343.040000 0.0046911 Long ABS-MBS CORP GB N 2 2066-05-16 Fixed 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H06 N/A 38382Y2C6 41038780.320000 PA USD 40956825.880000 0.339251 Long ABS-MBS USGSE US N 2 2071-03-20 Floating 5.10185 N N N N N N FHLMC PASS THRU POOLS N/A 3132XCSK2 15567130.320000 PA USD 15584228.480000 0.129086 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5 N N N N N N FANNIE MAE REMICS 2018-85 N/A 3136B3QF0 7412748.520000 PA USD 971580.050000 0.0080477 Long ABS-MBS USGSE US N 2 2048-12-25 Fixed 3 N N N N N N BSST 2021-1818 MORTGAGE TRUST N/A 07403PAG7 3000000.000000 PA USD 2006133.600000 0.0166171 Long ABS-MBS CORP US N 2 2036-03-15 Floating 5.87648 N N N N N N N/A N/A 000000000 -110000000.000000 NC USD -5566.000000 -0.0000461 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.36750 08/08/25-7Y LCH 2032-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.370000 USD 2025-08-06 XXXX 302434.000000 N N N FNMA PASS THRU POOLS N/A 3140QRVQ3 2894015.850000 PA USD 2895951.430000 0.0239875 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 5 N N N N N N CIFC FUNDING 2018-III LTD 2018-3A N/A 12551YAA1 5424534.860000 PA USD 5429727.390000 0.0449751 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 5.63108 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 1208442.350000 PA USD 860582.430000 0.0071283 Long ABS-MBS CORP US N 2 2036-01-26 Floating 5.06213 N N N N N N FANNIE MAE REMICS 2022-1 N/A 3136BLLZ1 16639659.750000 PA USD 1248368.840000 0.0103404 Long ABS-MBS USGSE US N 2 2062-02-25 Floating 2.20061 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H05 N/A 38380QF23 978607.610000 PA USD 976603.720000 0.0080893 Long ABS-MBS USGSE US N 2 2071-03-20 Floating 5.05185 N N N N N N GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A N/A 39571NAD8 5166905.870000 PA USD 5218745.440000 0.0432276 Long ABS-O CORP US N 2 2060-03-25 Fixed 5.22 N N N N N N FREDDIE MAC REMICS 4990 N/A 3137FUS70 10641366.530000 PA USD 1276592.600000 0.0105742 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.68035 N N N N N N N/A N/A 000000000 202000000.000000 NC USD 121.200000 0.000001 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 10/24/25-1Y LCH 2026-10-24 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-10-22 XXXX -373578.800000 N N N BHG SECURITIZATION TRUST 2025-1CON N/A 08860AAB5 6800000.000000 PA USD 6860174.560000 0.0568237 Long ABS-O CORP US N 2 2036-04-17 Fixed 5.26 N N N N N N GNMA PASS THRU POOLS N/A 36241L6M3 2740072.790000 PA USD 2720373.610000 0.0225332 Long ABS-MBS USGSE US N 2 2041-12-20 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MG9 9677000.000000 PA USD 9634773.840000 0.0798061 Long DBT UST US N 2 2025-08-07 None 0 N N N N N N LOANCORE 2022-CRE7 ISSUER LTD N/A 53946PAA8 5647603.970000 PA USD 5662012.250000 0.0468992 Long ABS-CBDO CORP KY N 2 2037-01-17 Floating 5.85319 N N N N N N FREDDIE MAC REMICS 4120 N/A 3137AVDC8 922754.940000 PA USD 591238.250000 0.0048973 Long ABS-MBS USGSE US N 2 2042-10-15 Floating 0.038004 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2024-1 N/A 17332CBX3 9463504.780000 PA USD 9507261.190000 0.0787499 Long ABS-MBS CORP US N 2 2054-07-25 Floating 5.65517 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4 N/A 802919AD2 9500000.000000 PA USD 9570953.600000 0.0792775 Long ABS-O CORP US N 2 2029-09-17 Fixed 4.93 N N N N N N FNMA PASS THRU POOLS N/A 3138WHNT5 32468.990000 PA USD 30787.720000 0.000255 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXK0 1927224.060000 PA USD 1860732.020000 0.0154127 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC3 N/A 61755AAB2 3429749.850000 PA USD 2638424.590000 0.0218544 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.49368 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-23 N/A 38381RNK1 1084554.530000 PA USD 1057302.600000 0.0087578 Long ABS-MBS USGSE US N 2 2049-02-20 Floating 4.88206 N N N N N N FREDDIE MAC 4615 N/A 3137BRYH2 2258511.940000 PA USD 128957.190000 0.0010682 Long ABS-MBS USGSE US N 2 2038-10-15 Floating 2.06095 N N N N N N SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2024-INV1 N/A 795924AA7 8694885.740000 PA USD 8759473.090000 0.0725559 Long ABS-MBS CORP US N 2 2059-08-25 Fixed 5.582 N N N N N N GSAA HOME EQUITY TRUST 2006-10 N/A 362375AB3 13976886.750000 PA USD 3128730.290000 0.0259157 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 5.82518 N N N N N N GNMA PASS THRU POOLS N/A 3618N5PE3 28500000.000000 PA USD 25966748.150000 0.215086 Long ABS-MBS USGSE US N 2 2055-06-20 Fixed 3.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-AB2 N/A 126673QH8 637886.770000 PA USD 627427.530000 0.0051971 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.33368 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAF5 5000000.000000 PA USD 5092861.000000 0.0421848 Long ABS-O CORP US N 2 2059-06-25 Fixed 5.87 N N N N N N FNMA PASS THRU POOLS N/A 3140X6J51 43593755.950000 PA USD 41369195.360000 0.342666 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617GQJT1 2624985.960000 PA USD 2532074.420000 0.0209735 Long ABS-MBS USGSE US N 2 2048-07-15 Fixed 4 N N N N N N SPECIALTY UNDERWRITING & RESID 2007-AB1 N/A 84752CAE7 258916.780000 PA USD 132399.530000 0.0010967 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.13368 N N N N N N FNMA PASS THRU POOLS N/A 3140LLZL8 1808000.000000 PA USD 1868660.100000 0.0154784 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 5.61 N N N N N N GNMA PASS THRU POOLS N/A 36196JRM0 605302.650000 PA USD 558407.320000 0.0046254 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N WASHINGTON MUTUAL 2005-AR16 N/A 92922F7D4 132001.730000 PA USD 120622.930000 0.0009991 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.65172 N N N N N N FREDDIE MAC REMICS 5229 N/A 3137H7SX2 2579257.000000 PA USD 422366.230000 0.0034985 Long ABS-MBS USGSE US N 2 2049-08-25 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWLU5 1009382.630000 PA USD 1026851.890000 0.0085055 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140W0LP8 1596744.610000 PA USD 1604297.900000 0.0132886 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAC0 2479811.430000 PA USD 2011534.500000 0.0166618 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.81368 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166 N/A 38379FDK2 742405.950000 PA USD 36080.190000 0.0002989 Long ABS-MBS USGSE US N 2 2042-06-20 Floating 0.13629 N N N N N N FNMA PASS THRU POOLS N/A 3140GN7E7 1221178.740000 PA USD 1208826.440000 0.0100129 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 4 N N N N N N SOFI CONSUMER LOAN PROGRAM 2025-A TRUST N/A 83407UAE8 4019000.000000 PA USD 5275545.210000 0.043698 Long ABS-O CORP US N 3 2034-03-27 Fixed 0 N N N N N N JP MORGAN REREMIC 2009-10 N/A 46634AAM6 1868199.540000 PA USD 1761616.140000 0.0145917 Long ABS-MBS CORP US N 2 2036-08-26 Variable 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H23 N/A 38375US27 5030023.680000 PA USD 4934232.410000 0.0408709 Long ABS-MBS USGSE US N 2 2067-11-20 Fixed 3 N N N N N N IMPAC SECURED ASSETS CORP. 2006-2 N/A 45256VAE7 1200304.770000 PA USD 1050739.470000 0.0087034 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.99368 N N N N N N PRPM 2024-4 LLC N/A 74390EAA0 1047121.710000 PA USD 1050534.380000 0.0087017 Long ABS-MBS CORP US N 2 2029-08-25 Fixed 6.414 N N N N N N TABERNA PREFERRED FUNDING LTD 2005-2A N/A 87330UAB7 1241348.690000 PA USD 1160661.030000 0.0096139 Long ABS-CBDO CORP KY N 2 2035-11-05 Floating 4.95208 N N N N N N VCAT 2025-NPL1 LLC N/A 921962AA4 3811506.240000 PA USD 3821750.040000 0.0316561 Long ABS-MBS CORP US N 2 2055-01-25 Fixed 5.877 N N N N N N FNMA PASS THRU POOLS N/A 3138WJBM9 39450.170000 PA USD 37502.670000 0.0003106 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 4 N N N N N N N/A N/A 000000000 58300000.000000 NC USD 9613.670000 0.0000796 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.26150 09/15/25-7Y LCH 2032-09-15 0.000000 USD 0.000000 USD N/A USD N/A 2.260000 USD 2025-09-11 XXXX -491183.330000 N N N FANNIE MAE REMICS 2006-113 N/A 31396LZ37 270668.450000 PA USD 19777.660000 0.0001638 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 1.54035 N N N N N N BAIN CAPITAL CREDIT CLO 2019-4 LTD N/A 05684AAY5 31000000.000000 PA USD 30906969.000000 0.256007 Long ABS-CBDO CORP JE N 2 2035-04-23 Floating 5.26934 N N N N N N FHLMC PASS THRU POOLS N/A 3128M9JJ2 1116430.970000 PA USD 1115871.680000 0.0092429 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4.5 N N N N N N ANCHORAGE CREDIT FUNDING 2019-9A LTD N/A 03330HAA5 7282180.740000 PA USD 7140581.430000 0.0591464 Long ABS-CBDO CORP KY N 2 2037-10-25 Fixed 3.793 N N N N N N FANNIE MAE 2010-135 N/A 31398SG23 550689.300000 PA USD 546802.530000 0.0045292 Long ABS-MBS USGSE US N 2 2040-12-25 Floating 4.96965 N N N N N N FREDDIE MAC REMICS 4964 N/A 3137FRN64 2268727.740000 PA USD 610530.970000 0.0050571 Long ABS-MBS USGSE US N 2 2050-03-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2024-38 N/A 3136BR4T1 95947414.750000 PA USD 4278870.910000 0.0354424 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 1.62744 N N N N N N ROMARK CREDIT FUNDING III LTD 2024-3A N/A 77587BAA2 7400000.000000 PA USD 7414718.600000 0.0614171 Long ABS-CBDO CORP KY N 2 2042-09-15 Fixed 5.539 N N N N N N GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A N/A 39571NAC0 7100000.000000 PA USD 7235544.680000 0.059933 Long ABS-O CORP US N 2 2060-03-25 Fixed 5.32 N N N N N N PRPM 2025-2 LLC N/A 69382HAA3 3112416.100000 PA USD 3111240.230000 0.0257708 Long ABS-MBS CORP US N 2 2030-05-25 Fixed 6.469 N N N N N N 37 CAPITAL CLO I 2021-1A N/A 88430TAQ4 9400000.000000 PA USD 9409248.380000 0.077938 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.5361 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-SD1 N/A 126670VP0 1141146.480000 PA USD 1131540.770000 0.0093727 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.37868 N N N N N N N/A N/A 000000000 70100000.000000 NC USD 63517.610000 0.0005261 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.74000 11/03/25-10Y LCH 2035-11-03 0.000000 USD 0.000000 USD N/A USD N/A 4.740000 USD 2025-10-30 XXXX -649749.890000 N N N GNMA PASS THRU POOLS N/A 36179QSL6 495396.090000 PA USD 508688.920000 0.0042135 Long ABS-MBS USGSE US N 2 2044-10-20 Floating 4.75 N N N N N N BEAR STEARNS MORTGAGE FUNDING TRUST2006-AR2 N/A 07401AAX5 76026.180000 PA USD 69366.450000 0.0005746 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.89368 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE6 N/A 07388UAR1 10342897.880000 PA USD 9811352.570000 0.0812687 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.88368 N N N N N N N/A N/A 000000000 -114300000.000000 NC USD -60556.140000 -0.0005016 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25700 09/10/25-7Y LCH 2032-09-10 0.000000 USD 0.000000 USD N/A USD N/A 4.260000 USD 2025-09-08 XXXX 219478.860000 N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1 N/A 61776YAA7 3828115.330000 PA USD 3707197.030000 0.0307072 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 -1182951.550000 -0.0097985 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 66190035.180000 EUR 76955751.740000 USD 2025-08-04 -1182951.550000 N N N FREDDIE MAC STRIPS 354 N/A 31325WVT6 6607242.490000 PA USD 1003623.680000 0.0083131 Long ABS-MBS USGSE US N 2 2046-12-15 Fixed 3 N N N N N N FANNIE MAE INTEREST STRIP 329 N/A 3136FAWE6 310.950000 PA USD 277.530000 0.0000023 Long ABS-MBS USGSE US N 2 2033-01-25 None 0 N N N N N N FANNIE MAE REMICS 2021-46 N/A 3136BH3P2 18975927.730000 PA USD 2807731.400000 0.0232568 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2018-12 N/A 3136B03F1 8706670.270000 PA USD 1923653.470000 0.0159339 Long ABS-MBS USGSE US N 2 2048-03-25 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JVQC9 189560.040000 PA USD 178685.080000 0.0014801 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2004-2 N/A 007036CG9 6273010.640000 PA USD 6082329.310000 0.0503807 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.58368 N N N N N N BCAP LLC TRUST 2012-RR11 N/A 05542AAB7 1953470.610000 PA USD 1765789.550000 0.0146263 Long ABS-MBS CORP US N 2 2037-01-26 Floating 3.54694 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAG8 5500000.000000 PA USD 5402341.450000 0.0447483 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.82648 N N N N N N GNMA PASS THRU POOLS N/A 3617H4C66 452775.560000 PA USD 434339.060000 0.0035977 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2012-80 N/A 3136A7VH2 2287972.270000 PA USD 179875.350000 0.0014899 Long ABS-MBS USGSE US N 2 2042-01-25 Fixed 3 N N N N N N GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2024-1A N/A 36252MDG2 5000000.000000 PA 3724178.450000 0.0308479 Long ABS-O CORP CA N 2 2029-08-20 Fixed 4.827 N N N N N N N/A N/A 000000000 1156900000.000000 NC USD 39450.290000 0.0003268 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/22/25-7Y LCH 2032-09-22 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-18 XXXX -191929.710000 N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ47 N/A 3137HAMP8 9387000.000000 PA USD 9805282.840000 0.0812184 Long ABS-MBS USGSE US N 2 2031-06-25 Fixed 5.43 N N N N N N N/A N/A 000000000 1.000000 NC USD 286923.780000 0.0023766 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-09-17 153143.000000 USD 0.000000 USD 23400000.000000 USD 133780.780000 N N N N/A N/A 000000000 -78500000.000000 NC USD -154362.400000 -0.0012786 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 6.0% AUG 30YR N/A 101.830000 USD 2025-08-06 XXXX 17356.350000 N N N FNMA PASS THRU POOLS N/A 3138NYX67 1349875.720000 PA USD 1288373.600000 0.0106718 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.5 N N N N N N HSI ASSET SECUR CORP TRUST 2007-OPT1 N/A 40431JAD5 3342240.100000 PA USD 2991371.400000 0.0247779 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.58368 N N N N N N VASA TRUST 2021-VASA N/A 92230AAC0 12350000.000000 PA USD 11781291.150000 0.097586 Long ABS-MBS CORP US N 2 2039-07-15 Floating 5.67648 N N N N N N FNMA PASS THRU POOLS N/A 3140NTDD1 977431.900000 PA USD 965159.840000 0.0079945 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N FREDDIE MAC REMICS 4474 N/A 3137BJFZ1 175861.380000 PA USD 32443.860000 0.0002687 Long ABS-MBS USGSE US N 2 2045-05-15 Fixed 4 N N N N N N FREDDIE MAC STRIPS 367 N/A 31325X3A6 8829117.940000 PA USD 1305320.810000 0.0108121 Long ABS-MBS USGSE US N 2 2050-06-15 Fixed 3.5 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2005-1 N/A 759950FF0 5572437.970000 PA USD 5578472.920000 0.0462072 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.951 N N N N N N FNMA PASS THRU POOLS N/A 3140XNS70 7016100.980000 PA USD 7217880.680000 0.0597867 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6 N N N N N N UMBS PASS THRU POOLS N/A 01F070682 139700000.000000 PA USD 146549500.780000 1.21389 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 7 N N N N N N LENDMARK FUNDING TRUST 2024-2 N/A 52590AAA2 700000.000000 PA USD 698377.400000 0.0057848 Long ABS-O CORP US N 2 2034-02-21 Fixed 4.47 N N N N N N FNMA PASS THRU POOLS N/A 3140HFFC8 1004875.560000 PA USD 948770.320000 0.0078588 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N N/A N/A 000000000 -96600000.000000 NC USD -9.660000 -0.0000001 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.21000 07/02/25-7Y LCH 2032-07-02 0.000000 USD 0.000000 USD N/A USD N/A 3.210000 USD 2025-06-30 XXXX 328430.340000 N N N FHLMC PASS THRU POOLS N/A 3132WLUW4 1596659.100000 PA USD 1516565.460000 0.0125619 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FRGG4 402463.980000 PA USD 393756.550000 0.0032615 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J83X9 1702484.970000 PA USD 1657235.830000 0.0137271 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.5 N N N N N N ATLAS SENIOR LOAN FUND LTD 2018-12A N/A 04942UAC0 5614642.370000 PA USD 5622875.400000 0.046575 Long ABS-CBDO CORP KY N 2 2031-10-24 Floating 5.71679 N N N N N N N/A N/A 000000000 1.000000 NC USD -1396.370000 -0.0000116 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 3200000.000000 USD -1396.370000 N N N RENAISSANCE HOME EQUITY LOAN TR 2006-1 N/A 759950GV4 6712115.700000 PA USD 2912869.600000 0.0241277 Long ABS-MBS CORP US N 2 2036-05-25 Variable 5.608 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAD4 22718679.970000 PA USD 11130476.550000 0.0921952 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.73368 N N N N N N FANNIE MAE REMICS 2019-9 N/A 3136B33L2 445534.920000 PA USD 441797.640000 0.0036595 Long ABS-MBS USGSE US N 2 2049-03-25 Floating 4.86449 N N N N N N FNMA PASS THRU POOLS N/A 3140QCY34 8648136.610000 PA USD 7507925.810000 0.0621891 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3 N N N N N N FREDDIE MAC REMICS 5181 N/A 3137H4T91 44148864.230000 PA USD 4936827.540000 0.0408924 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2 N N N N N N PRPM 2025-RCF3 LLC N/A 69392PAA3 3200000.000000 PA USD 3197502.080000 0.0264853 Long ABS-MBS CORP US N 2 2055-07-25 Variable 5.25 N N N N N N FREDDIE MAC REMICS 4447 N/A 3137BGXH7 201556.440000 PA USD 130173.570000 0.0010782 Long ABS-MBS USGSE US N 2 2045-03-15 Floating 0.278004 N N N N N N PFP 2024-11 LTD N/A 69291WAA0 11016834.910000 PA USD 11056065.860000 0.0915788 Long ABS-MBS CORP KY N 2 2039-09-17 Floating 6.14373 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GJY8 278583.950000 PA USD 262436.110000 0.0021738 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.09368 N N N N N N LCM 31 LTD N/A 50201QAL8 6750000.000000 PA USD 6755025.850000 0.0559528 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.54947 N N N N N N FANNIE MAE REMICS 2016-76 N/A 3136ATY81 203805.820000 PA USD 8879.620000 0.0000736 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 1.6637 N N N N N N N/A N/A 000000000 1.000000 NC USD -11545.750000 -0.0000956 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 2100000.000000 USD -11545.750000 N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2015-SC02 N/A 3137G1AK3 872094.920000 PA USD 757047.810000 0.0062707 Long ABS-MBS MUN US N 2 2045-09-25 Fixed 3 N N N N N N PENFED AUTO RECEIVABLES OWNER TRUST 2024-A N/A 70687FAC3 7200000.000000 PA USD 7230055.680000 0.0598875 Long ABS-O CORP US N 2 2029-06-15 Fixed 4.7 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P3 N/A 14688GAC8 4886542.530000 PA USD 4921108.950000 0.0407622 Long ABS-O CORP US N 2 2028-08-10 Fixed 5.82 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 1608601.780000 PA USD 82616.820000 0.0006843 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 2.05325 N N N N N N FNMA PASS THRU POOLS N/A 3140QCB96 25322656.550000 PA USD 23281593.460000 0.192845 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.5 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2022-R04 N/A 20753YCK6 3750000.000000 PA USD 3865792.130000 0.0320209 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 7.40517 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-5 N/A 12668KAD5 800210.750000 PA USD 801153.400000 0.0066361 Long ABS-MBS CORP US N 2 2047-09-25 Floating 4.87368 N N N N N N GNMA PASS THRU POOLS N/A 36241LKU9 84260.000000 PA USD 81724.860000 0.0006769 Long ABS-MBS USGSE US N 2 2040-06-15 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 5040 N/A 3137F6PA9 41824853.280000 PA USD 5225124.550000 0.0432804 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAK3 4967528.110000 PA USD 1314079.090000 0.0108847 Long ABS-MBS CORP US N 2 2036-09-25 Variable 6.366 N N N N N N FREDDIE MAC 3117 N/A 31396HUN7 33283.490000 PA USD 29505.590000 0.0002444 Long ABS-MBS USGSE US N 2 2036-02-15 Fixed 0 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2025-SJ1 N/A 36273PAH1 890454.050000 PA USD 734022.200000 0.00608 Long ABS-MBS CORP US N 2 2071-08-25 Fixed 0 N N N N N N FNMA PASS THRU POOLS N/A 3140QSM81 1008038.830000 PA USD 947608.070000 0.0078492 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -599102.130000 -0.0049624 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-03-08 154875.000000 USD 0.000000 USD 41300000.000000 USD -753977.130000 N N N FREDDIE MAC REMICS 5059 N/A 3137F86B4 17939963.660000 PA USD 3155885.390000 0.0261406 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.5 N N N N N N VCAT LLC 2025-NPL2 N/A 92243PAA6 5628629.400000 PA USD 5644173.420000 0.0467514 Long ABS-MBS CORP US N 2 2055-01-25 Fixed 5.977 N N N N N N N/A N/A 000000000 1.000000 NC -217707.810000 -0.0018033 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 34757353.290000 CAD 25306326.180000 USD 2025-07-02 -217707.810000 N N N N/A N/A 000000000 35800000.000000 NC USD 2505187.340000 0.0207508 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.63000 05/24/35-10Y LCH 2045-05-24 0.000000 USD 0.000000 USD N/A USD N/A 4.630000 USD 2035-05-22 XXXX -768722.660000 N N N FREDDIE MAC REMICS 3316 N/A 31397HKD9 1950.030000 PA USD 1607.870000 0.0000133 Long ABS-MBS USGSE US N 2 2037-05-15 None 0 N N N N N N AMERICAN HOME MTGE ASSETS 2005-2 N/A 02660VBH0 855803.970000 PA USD 547773.590000 0.0045373 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.39992 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05 N/A 38382YY64 5813496.810000 PA USD 5847597.040000 0.0484364 Long ABS-MBS USGSE US N 2 2073-02-20 Floating 5.18185 N N N N N N FREDDIE MAC REMICS 3752 N/A 3137A2XC0 123949.310000 PA USD 123439.800000 0.0010225 Long ABS-MBS USGSE US N 2 2040-11-15 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMH32 285411.050000 PA USD 270442.300000 0.0022401 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 4146 N/A 3137AXGY3 1144532.250000 PA USD 890761.180000 0.0073783 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 0.142922 N N N N N N GNMA PASS THRU POOLS N/A 36179SLR6 500099.750000 PA USD 449244.370000 0.0037212 Long ABS-MBS USGSE US N 2 2046-09-20 Fixed 3 N N N N N N FANNIE MAE 2008-22 N/A 31397LGE3 1003556.060000 PA USD 1008811.380000 0.0083561 Long ABS-MBS USGSE US N 2 2048-04-25 Floating 5.25965 N N N N N N CROSS 2024-H6 MORTGAGE TRUST N/A 227919AA5 3835136.880000 PA USD 3824127.350000 0.0316757 Long ABS-MBS CORP US N 2 2069-09-25 Fixed 5.129 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-B N/A 78449XAA0 2547716.610000 PA USD 2401428.000000 0.0198913 Long ABS-O CORP US N 2 2053-07-15 Fixed 1.29 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAA4 37671.930000 PA USD 32986.100000 0.0002732 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.79368 N N N N N N FHF ISSUER TRUST 2024-2A N/A 30336NAC5 3609544.410000 PA USD 3654124.450000 0.0302676 Long ABS-O CORP US N 2 2030-06-15 Fixed 5.89 N N N N N N N/A N/A 000000000 426200000.000000 NC USD 1534.320000 0.0000127 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 10/28/25-1Y LCH 2026-10-28 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-10-24 XXXX -337294.680000 N N N BSST 2021-1818 MORTGAGE TRUST N/A 07403PAJ1 5590000.000000 PA USD 2774100.110000 0.0229782 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.37648 N N N N N N FREDDIE MAC REMICS 5274 N/A 3137H9F46 28709782.600000 PA USD 4888802.270000 0.0404946 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 3621 N/A 31398W2S2 124285.100000 PA USD 6855.960000 0.0000568 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 1.77351 N N N N N N FREDDIE MAC STRIPS 399 N/A 3142G4V40 35092191.060000 PA USD 4928538.560000 0.0408237 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 2.5 N N N N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST4 N/A 52608GAA9 786318.760000 PA USD 775837.520000 0.0064264 Long ABS-O CORP US N 2 2029-07-15 Fixed 5.7 N N N N N N OBX 2023-NQM9 TRUST N/A 673921AA0 9627106.400000 PA USD 9793849.810000 0.0811237 Long ABS-MBS CORP US N 2 2063-10-25 Fixed 7.159 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS3 N/A 52474XAA3 6574835.420000 PA USD 6558844.110000 0.0543278 Long ABS-MBS CORP US N 2 2061-07-25 Variable 5.75 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-11 N/A 69544AAA3 3622375.010000 PA USD 3628832.260000 0.0300581 Long ABS-O CORP US N 2 2032-07-15 Fixed 5.092 N N N N N N GNMA PASS THRU POOLS N/A 36202ETU3 2675.050000 PA USD 2692.510000 0.0000223 Long ABS-MBS USGSE US N 2 2038-06-20 Fixed 5.5 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-2RA N/A 14314LAC9 1212285.640000 PA USD 1213235.280000 0.0100494 Long ABS-CBDO CORP KY N 2 2031-05-15 Floating 5.63794 N N N N N N FANNIE MAE REMICS 2020-65 N/A 3136BBUK6 15768836.390000 PA USD 2455326.090000 0.0203378 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.5 N N N N N N ATLX 2024-RPL2 TRUST N/A 049919AA1 4156799.550000 PA USD 3994087.450000 0.0330836 Long ABS-MBS CORP US N 2 2063-04-25 Fixed 3.85 N N N N N N FANNIE MAE REMICS 2016-48 N/A 3136ATLT9 757635.950000 PA USD 86891.830000 0.0007197 Long ABS-MBS USGSE US N 2 2046-08-25 Fixed 3.5 N N N N N N RALI TRUST 2007-QS8 N/A 74922UAB9 2192326.650000 PA USD 258478.600000 0.002141 Long ABS-O CORP US N 2 2037-06-25 Floating 2.16632 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAD6 1354809.370000 PA USD 1367081.780000 0.0113237 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.15 N N N N N N CHASEFLEX TRUST 2007-M1 N/A 16165YAA0 1973227.400000 PA USD 1829823.300000 0.0151567 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.73368 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-63 N/A 38383RFE2 22912089.910000 PA USD 16440636.560000 0.13618 Long ABS-MBS USGSE US N 2 2052-03-20 Fixed 3.5 N N N N N N FHR-5023 N/A 3137FWUP3 19029716.620000 PA USD 2510573.390000 0.0207954 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 2 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWHU0 6246763.480000 PA USD 6362466.100000 0.0527011 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 6 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAD9 11230049.950000 PA USD 11133969.010000 0.0922241 Long ABS-O CORP US N 2 2055-02-16 Fixed 4.95 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2015-9 N/A 17324MAB0 2318912.840000 PA USD 2129132.090000 0.0176359 Long ABS-MBS CORP US N 2 2036-02-20 Variable 4.68141 N N N N N N FANNIE MAE REMICS 2016-48 N/A 3136ATLJ1 6453431.180000 PA USD 929943.310000 0.0077028 Long ABS-MBS USGSE US N 2 2046-08-25 Floating 1.58035 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL8 N/A 69392DAA0 6427708.820000 PA USD 6435341.080000 0.0533048 Long ABS-MBS CORP US N 2 2054-11-25 Fixed 5.9632 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2007-2 N/A 059475AS2 240301.140000 PA USD 173537.460000 0.0014374 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.79368 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1 N/A 02149VAJ8 5736687.180000 PA USD 2540949.130000 0.021047 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N STRUCTURED ASSET SECUR CORP 2006-WF4 N/A 863576DL5 283648.100000 PA USD 282938.040000 0.0023436 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.43868 N N N N N N N/A N/A 000000000 1.000000 NC USD -7876.510000 -0.0000652 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 3900000.000000 USD -7876.510000 N N N GOVERNMENT NATL MTGE ASSOC 2011-H01 N/A 38375BJN3 144337.330000 PA USD 144558.860000 0.0011974 Long ABS-MBS USGSE US N 2 2060-11-20 Floating 4.89602 N N N N N N GNMA PASS THRU POOLS N/A 36202EY94 26267.900000 PA USD 25863.100000 0.0002142 Long ABS-MBS USGSE US N 2 2039-01-20 Fixed 5.5 N N N N N N FREDDIE MAC STRIPS 399 N/A 3142G4V81 35266876.540000 PA USD 5679708.950000 0.0470458 Long ABS-MBS USGSE US N 2 2052-08-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-19 N/A 3136ACNE7 1101319.860000 PA USD 128085.810000 0.001061 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 1.73035 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR25 N/A 45661HAA5 1855860.760000 PA USD 1571168.190000 0.0130142 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.12384 N N N N N N N/A N/A 000000000 -151400000.000000 NC USD -167100.180000 -0.0013841 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.31650 09/10/25-10Y LCH 2035-09-10 0.000000 USD 0.000000 USD N/A USD N/A 4.320000 USD 2025-09-08 XXXX 499059.820000 N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAE8 600000.000000 PA USD 529666.500000 0.0043873 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.77368 N N N N N N FANNIE MAE REMICS 2013-38 N/A 3136ADNY1 2902800.980000 PA USD 2817468.790000 0.0233375 Long ABS-MBS USGSE US N 2 2028-04-25 Fixed 1.5 N N N N N N FANNIE MAE REMICS 2020-2 N/A 3136B8JL4 14182874.380000 PA USD 1728071.200000 0.0143138 Long ABS-MBS USGSE US N 2 2059-07-25 Floating 1.63035 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN4 N/A 69359QAA2 2568642.270000 PA USD 2568506.130000 0.0212753 Long ABS-MBS CORP US N 2 2051-10-25 Variable 5.4871 N N N N N N COUNTRYWIDE HOME LOANS 2007-18 N/A 12544JAE6 4063838.490000 PA USD 1296569.700000 0.0107397 Long ABS-MBS CORP US N 2 2037-11-25 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B8J33 34176.250000 PA USD 31487.000000 0.0002608 Long ABS-MBS USGSE US N 2 2047-08-20 Fixed 3.5 N N N N N N PRKCM 2024-HOME1 TRUST N/A 69391XAA7 747361.010000 PA USD 755616.960000 0.0062589 Long ABS-MBS CORP US N 2 2059-05-25 Fixed 6.431 N N N N N N GNMA PASS THRU POOLS N/A 36176ND40 107007.370000 PA USD 103775.400000 0.0008596 Long ABS-MBS USGSE US N 2 2042-01-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LJ7K6 7368000.000000 PA USD 7371275.590000 0.0610572 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.7 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2025-P1 N/A 14689MAB6 7798678.960000 PA USD 7791802.080000 0.0645405 Long ABS-O CORP US N 2 2028-06-12 Fixed 4.5 N N N N N N N/A N/A 000000000 148400000.000000 NC USD 9235006.200000 0.0764948 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.40000 06/27/35-10Y LCH 2045-06-27 0.000000 USD 0.000000 USD N/A USD N/A 4.400000 USD 2035-06-25 XXXX -4017113.800000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 827501.540000 PA USD 808989.920000 0.006701 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.17368 N N N N N N GNMA PASS THRU POOLS N/A 21H030674 376165000.000000 PA USD 332782563.890000 2.75648 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 3 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-E N/A 78450XAB4 3030276.350000 PA USD 3039531.420000 0.0251768 Long ABS-O CORP US N 2 2056-10-16 Floating 5.65385 N N N N N N N/A N/A 000000000 -104000000.000000 NC USD -8798.400000 -0.0000729 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.24500 07/09/25-7Y LCH 2032-07-09 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2025-07-07 XXXX 461281.600000 N N N GNMA PASS THRU POOLS N/A 36202FVG8 3040856.540000 PA USD 3018913.260000 0.0250061 Long ABS-MBS USGSE US N 2 2041-07-20 Fixed 4.5 N N N N N N N/A N/A 000000000 2312.000000 NC USD 387768.640000 0.0032119 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2026-09-15 559634050.000000 USD 387768.640000 N N N FNMA PASS THRU POOLS N/A 3140E0BY0 69740.380000 PA USD 66109.770000 0.0005476 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4 N N N N N N N/A N/A 000000000 186900000.000000 NC USD 15232.350000 0.0001262 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/18/25-10Y LCH 2035-09-18 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-16 XXXX -484725.150000 N N N N/A N/A 000000000 147000000.000000 NC USD 352.800000 0.0000029 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% JUL 30YR N/A 95.360000 USD 2025-07-07 XXXX -436053.450000 N N N ACE SECURITIES CORP 2005-HE1 N/A 004421KY8 7864290.740000 PA USD 7608584.110000 0.0630229 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.60368 N N N N N N MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-SEA1 N/A 61757MAA6 3727672.830000 PA USD 3085426.860000 0.025557 Long ABS-MBS CORP US N 2 2047-02-25 Floating 8.23368 N N N N N N FANNIE MAE REMICS 2023-36 N/A 3136BQDR7 427586600.620000 PA USD 67539184.950000 0.559436 Long ABS-MBS USGSE US N 2 2052-10-25 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -1896452.560000 -0.0157086 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-06-20 6577738.860000 USD 0.000000 USD 235400000.000000 USD -8474191.420000 N N N GNMA PASS THRU POOLS N/A 36202EUU1 56262.400000 PA USD 60089.900000 0.0004977 Long ABS-MBS USGSE US N 2 2038-07-20 Fixed 6 N N N N N N N/A N/A 000000000 57700000.000000 NC USD 3776632.330000 0.0312823 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.24500 02/22/35-10Y LCH 2045-02-22 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2035-02-20 XXXX -1197107.670000 N N N CENTERBRIDGE CREDIT FUNDING 1 LTD N/A 15186PAA6 3800000.000000 PA USD 3657111.180000 0.0302923 Long ABS-CBDO CORP KY N 2 2039-07-25 Fixed 3.164 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2024-A N/A 14319FAD5 1700000.000000 PA USD 1719140.980000 0.0142399 Long ABS-O CORP US N 2 2028-11-15 Fixed 5.4 N N N N N N N/A N/A 000000000 -115000000.000000 NC USD -11.500000 -0.0000001 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.98000 07/08/25-7Y LCH 2032-07-08 0.000000 USD 0.000000 USD N/A USD N/A 2.980000 USD 2025-07-03 XXXX 491967.110000 N N N FNMA PASS THRU POOLS N/A 3140XKJ76 13190371.950000 PA USD 11428358.140000 0.0946626 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3 N N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AD0 3804756.710000 PA USD 3502755.670000 0.0290138 Long ABS-MBS CORP US N 2 2047-01-25 Floating 5.64869 N N N N N N FREDDIE MAC STRIPS 414 N/A 3142G9U73 37351458.990000 PA USD 5055542.390000 0.0418757 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 2 N N N N N N FREDDIE MAC REMICS 4156 N/A 3137AXTT0 1229087.650000 PA USD 103890.480000 0.0008605 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 1.78167 N N N N N N FHLMC PASS THRU POOLS N/A 3132XXXT1 472405.030000 PA USD 447965.520000 0.0037106 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N JP MORGAN MORTGAGE TRUST 2022-INV1 N/A 465973BV6 28200415.170000 PA USD 254483.370000 0.0021079 Long ABS-O CORP US N 2 2052-03-25 Variable 0.15 N N N N N N FREDDIE MAC REMICS 4068 N/A 3137ARMT0 4868097.360000 PA USD 544984.470000 0.0045142 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 1.58167 N N N N N N FREDDIE MAC REMICS 5476 N/A 3137HHFE6 77436180.560000 PA USD 5471446.930000 0.0453207 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 1.09483 N N N N N N FREDDIE MAC REMICS 4068 N/A 3137ARPM2 3942333.090000 PA USD 440096.840000 0.0036454 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 1.58167 N N N N N N FNMA PASS THRU POOLS N/A 3140EYAF8 43783.870000 PA USD 41534.770000 0.000344 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4 N N N N N N JP MORGAN SEASONED MORTGAGE TRUST 2024-1 N/A 61777HAE5 2860458.420000 PA USD 2743721.400000 0.0227266 Long ABS-MBS CORP US N 2 2063-01-25 Variable 4.44606 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N3 N/A 14687WAB6 2219285.620000 PA USD 2220459.620000 0.0183924 Long ABS-O CORP US N 2 2027-12-10 Fixed 4.84 N N N N N N ANGEL OAK MORTGAGE TRUST 2024-8 N/A 03465QAA2 3097895.630000 PA USD 3092349.780000 0.0256143 Long ABS-MBS CORP US N 2 2069-05-27 Fixed 5.338 N N N N N N FNMA PASS THRU POOLS N/A 3140B84Q1 844256.030000 PA USD 869691.700000 0.0072038 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N FREDDIE MAC REMICS 4150 N/A 3137AY4T5 1888579.420000 PA USD 1021966.790000 0.0084651 Long ABS-MBS USGSE US N 2 2043-01-15 Floating 0.098004 N N N N N N GNMA PASS THRU POOLS N/A 36202EYE3 26416.080000 PA USD 26548.410000 0.0002199 Long ABS-MBS USGSE US N 2 2038-12-20 Fixed 5.5 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-2 N/A 68389FHC1 1799818.470000 PA USD 1742621.140000 0.0144344 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.16868 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-11 N/A 86364YAA2 1869961.570000 PA USD 1571861.460000 0.0130199 Long ABS-MBS CORP US N 2 2037-12-25 Floating 6.73368 N N N N N N HSBC ASSET LOAN OBLIGATION 2006-2 N/A 40431HAH0 726030.940000 PA USD 71318.670000 0.0005907 Long ABS-O CORP US N 2 2036-12-25 Floating 2.19632 N N N N N N N/A N/A 000000000 -77000000.000000 NC USD -207153.100000 -0.0017159 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written UMBS PASS THRU POOLS FNMA TBA 6.0% AUG 30YR N/A 101.660000 USD 2025-08-06 XXXX -80824.970000 N N N FANNIE MAE REMICS 2016-88 N/A 3136AUTM3 3660912.620000 PA USD 517397.880000 0.0042857 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 4 N N N N N N SOFI CONSUMER LOAN PROGRAM 2025-A TRUST N/A 83407UAA6 37064000.000000 PA USD 37019879.760000 0.30664 Long ABS-O CORP US N 3 2034-03-27 Fixed 4.91 N N N N N N PAGAYA POINT OF SALE HOLDINGS GRANTOR TRUST 2025-1 N/A 694952AA0 5500000.000000 PA USD 5536141.600000 0.0458566 Long ABS-O CORP US N 2 2034-01-20 Fixed 5.715 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2024-RP4 N/A 17332EAT9 85858727.300000 PA USD 73092582.030000 0.605435 Long ABS-MBS CORP US N 2 2064-09-25 Variable 0 N N N N N N CIM TRUST 2019-R1 N/A 12555VAA3 2829537.280000 PA USD 2576340.380000 0.0213402 Long ABS-MBS CORP US N 2 2058-10-25 Variable 3.25 N N N N N N FREDDIE MAC REMICS 5152 N/A 3137H3BT8 21789302.870000 PA USD 3499250.920000 0.0289848 Long ABS-MBS USGSE US N 2 2051-05-25 Fixed 3.5 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAE7 1017000.000000 PA USD 1030353.310000 0.0085346 Long ABS-O CORP US N 2 2054-11-25 Fixed 6.6 N N N N N N N/A N/A 000000000 1.000000 NC 1090652.480000 0.009034 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2050-03-18 111070.270000 EUR 0.000000 EUR 2000000.000000 EUR 979582.210000 N N N GNMA PASS THRU POOLS N/A 36202FFV3 3063.020000 PA USD 3145.800000 0.0000261 Long ABS-MBS USGSE US N 2 2040-04-20 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F042673 46650000.000000 PA USD 44627995.400000 0.369659 Long ABS-MBS USGSE US N 2 2054-07-15 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2021-7 N/A 3136BDB31 35516540.720000 PA USD 5411271.730000 0.0448223 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 2469552.380000 0.0204556 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-04-23 3998120.000000 USD 0.000000 USD 183400000.000000 USD -1528567.620000 N N N FANNIE MAE REMICS 2016-85 N/A 3136AUBW0 4212992.560000 PA USD 472998.150000 0.0039179 Long ABS-MBS USGSE US N 2 2046-11-25 Floating 1.58035 N N N N N N FANNIE MAE REMICS 2018-32 N/A 3136B1A38 3311344.660000 PA USD 430985.080000 0.0035699 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 1.78035 N N N N N N SLM STUDENT LOAN TRUST 2004-2X N/A B00KKMII6 618498.650000 PA 687558.920000 0.0056951 Long ABS-O CORP US N 2 2039-07-25 Floating 2.708 N N N N N N FANNIE MAE REMICS 2015-6 N/A 3136AMXJ3 3623692.820000 PA USD 170634.620000 0.0014134 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 0 N N N N N N FNMA PASS THRU POOLS N/A 3140W1BG7 28952210.160000 PA USD 29874067.350000 0.247451 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6 N N N N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBQ7 9250000.000000 PA USD 9271506.070000 0.0767971 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.33108 N N N N N N FANNIE MAE REMICS 2017-66 N/A 3136AYDK6 9962093.860000 PA USD 1316916.090000 0.0109082 Long ABS-MBS USGSE US N 2 2047-09-25 Floating 1.73035 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-8 N/A 69544QAA8 2476251.440000 PA USD 2483735.660000 0.0205731 Long ABS-O CORP US N 2 2032-01-15 Fixed 5.331 N N N N N N UMBS PASS THRU POOLS N/A 01F050478 67300000.000000 PA USD 67793988.060000 0.561546 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 5 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2019-GS2 N/A 59981TAG0 5000000.000000 PA USD 4624084.500000 0.0383019 Long ABS-MBS CORP US N 2 2059-08-25 Variable 3 N N N N N N UMBS PASS THRU POOLS N/A 01F020489 26200000.000000 PA USD 23955629.920000 0.198428 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 2 N N N N N N ICG-2021-3A N/A 449249AS0 17300000.000000 PA USD 17312175.220000 0.143399 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.41947 N N N N N N BBCMS TRUST 2018-CBM N/A 05549RAC1 3300000.000000 PA USD 3147551.880000 0.0260716 Long ABS-MBS CORP US N 2 2037-07-15 Floating 5.80011 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE12 N/A 0738795T1 5095140.070000 PA USD 4882683.430000 0.0404439 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.51368 N N N N N N FANNIE MAE-2006-65 N/A 31396KAA0 2002.490000 PA USD 1715.410000 0.0000142 Long ABS-MBS USGSE US N 2 2036-07-25 None 0 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QS3 N/A 75116BAA6 2548417.830000 PA USD 2147137.840000 0.017785 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6.5 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 N/A 80287NAB1 37000000.000000 PA USD 37018255.800000 0.306627 Long ABS-O CORP US N 2 2028-06-15 Fixed 4.71 N N N N N N VENTURE CLO LTD 2018-33A N/A 92330YAN3 2394720.360000 PA USD 2396240.360000 0.0198484 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 5.57771 N N N N N N GSMPS MORTGAGE LOAN TRUST 2005-RP2 N/A 36242DU35 2307441.000000 PA USD 2242831.960000 0.0185777 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.13869 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS8 N/A 76110W3W4 11600000.000000 PA USD 11337291.320000 0.0939083 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.46868 N N N N N N REACH ABS TRUST 2024-1A N/A 75526PAA9 577793.130000 PA USD 579203.000000 0.0047976 Long ABS-O CORP US N 2 2031-02-18 Fixed 6.3 N N N N N N FREDDIE MAC 5110 N/A 3137H02V9 25284861.150000 PA USD 4536319.010000 0.0375749 Long ABS-MBS USGSE US N 2 2051-05-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4122 N/A 3137AV2A4 3113.770000 PA USD 2133.460000 0.0000177 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAL4 5232139.220000 PA USD 5252081.000000 0.0435037 Long ABS-MBS CORP US N 2 2038-07-15 Floating 7.27648 N N N N N N FNMA PASS THRU POOLS N/A 3138WJN38 5326054.090000 PA USD 4783057.920000 0.0396187 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1 N/A 81375WCS3 7611512.240000 PA USD 7290246.290000 0.0603861 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.04868 N N N N N N FANNIE MAE REMICS 2012-108 N/A 3136A8Q78 27713.400000 PA USD 26428.790000 0.0002189 Long ABS-MBS USGSE US N 2 2042-10-25 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C65R6 2769241.510000 PA USD 2832482.760000 0.0234618 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 6 N N N N N N MERRILL LYNCH MORTGAGE INV 2006-OPT1 N/A 59022VAA9 8012876.500000 PA USD 7326320.420000 0.0606849 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.72368 N N N N N N FREDDIE MAC REMICS 4902 N/A 3137FN2Q2 3477172.850000 PA USD 500579.020000 0.0041464 Long ABS-MBS USGSE US N 2 2049-08-25 Floating 1.63035 N N N N N N FANNIE MAE 2019-65 N/A 3136B7AX9 1362309.430000 PA USD 1343912.800000 0.0111318 Long ABS-MBS USGSE US N 2 2059-11-25 Floating 4.91449 N N N N N N HOME PARTNERS OF AMERICA 2021-3 TRUST N/A 43730XAA2 2339724.110000 PA USD 2160624.310000 0.0178967 Long ABS-MBS CORP US N 2 2041-01-17 Fixed 2.2 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15 N/A 38380LA78 495910.080000 PA USD 497918.270000 0.0041243 Long ABS-MBS USGSE US N 2 2069-09-20 Floating 5.34602 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-26 N/A 12668HAA8 5556526.680000 PA USD 5301163.160000 0.0439102 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.71368 N N N N N N GNMA PASS THRU POOLS N/A 21H030682 808000000.000000 PA USD 714625427.280000 5.91934 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 3 N N N N N N STRUCTURED ASSET SEC CORP 2005-RF4 N/A 86359DQB6 492262.500000 PA USD 460248.210000 0.0038123 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.68368 N N N N N N FNMA PASS THRU POOLS N/A 3138WKWE1 1086602.670000 PA USD 1072328.040000 0.0088822 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WTGX8 504032.780000 PA USD 481867.840000 0.0039914 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3 N N N N N N PRPM 2024-RPL3 LLC N/A 69381LAA5 5325484.320000 PA USD 5172718.540000 0.0428463 Long ABS-MBS CORP US N 2 2054-11-25 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WJT81 340842.780000 PA USD 333321.580000 0.0027609 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 5426 N/A 3137HCXV9 26862047.330000 PA USD 1168861.700000 0.0096818 Long ABS-MBS USGSE US N 2 2050-03-15 Floating 1.63863 N N N N N N FANNIE MAE REMICS 2024-10 N/A 3136BQ6A2 1967878.860000 PA USD 1972000.780000 0.0163343 Long ABS-MBS USGSE US N 2 2050-12-25 Floating 5.25001 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579ZD3 3574610.360000 PA USD 3407548.800000 0.0282252 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.79368 N N N N N N FNMA PASS THRU POOLS N/A 3138EE3S6 4005.540000 PA USD 3866.720000 0.000032 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 4139 N/A 3137AWXH3 442415.630000 PA USD 9696.510000 0.0000803 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2019-29 N/A 3136B4UL0 1803226.240000 PA USD 219427.030000 0.0018175 Long ABS-MBS USGSE US N 2 2048-06-25 Variable 1.76355 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAF2 4850447.790000 PA USD 2091758.030000 0.0173263 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.89368 N N N N N N FANNIE MAE REMICS 2012-42 N/A 3136A5GV2 25461.530000 PA USD 19722.140000 0.0001634 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 4 N N N N N N FANNIE MAE 2003-35 N/A 31393BL86 1680.340000 PA USD 1660.910000 0.0000138 Long ABS-MBS USGSE US N 2 2033-05-25 Fixed 3.75 N N N N N N FNMA PASS THRU POOLS N/A 3140ASPB8 611308.100000 PA USD 630470.330000 0.0052223 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6 N N N N N N FREDDIE MAC REMICS 4100 N/A 3137ASY40 2581927.260000 PA USD 53913.220000 0.0004466 Long ABS-MBS USGSE US N 2 2027-08-15 Fixed 3 N N N N N N FEDERAL HOME LOAN MTGE 5123 N/A 3137H15W2 25888813.930000 PA USD 4537612.670000 0.0375856 Long ABS-MBS USGSE US N 2 2049-10-25 Fixed 3 N N N N N N PAGAYA AI DEBT TRUST 2025-4 N/A 69547DAB2 6200000.000000 PA USD 6213370.610000 0.0514662 Long ABS-O CORP US N 2 2033-01-17 Fixed 5.373 N N N N N N COUNTRYWIDE HOME LOANS 2007-17 N/A 12544KAF0 9603125.760000 PA USD 2700133.920000 0.0223656 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 6.5 N N N N N N JP MORGAN MORTGAGE TRUST 2021-INV2 N/A 46653TBU2 9449764.330000 PA USD 1248109.750000 0.0103383 Long ABS-O CORP US N 2 2051-12-25 Variable 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140AXYC5 1126545.380000 PA USD 1149801.160000 0.009524 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31426L3R3 2594593.260000 PA USD 2672763.660000 0.0221389 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6 N N N N N N FREDDIE MAC-3136 N/A 31396NGH3 1063.660000 PA USD 932.460000 0.0000077 Long ABS-MBS USGSE US N 2 2036-04-15 None 0 N N N N N N FANNIE MAE REMICS 2012-115 N/A 3136A9CF3 3161132.500000 PA USD 547308.050000 0.0045334 Long ABS-MBS USGSE US N 2 2042-10-25 Floating 1.68035 N N N N N N FNR-2021-69 N/A 3136BJJB2 7209379.720000 PA USD 36178.830000 0.0002997 Long ABS-MBS USGSE US N 2 2051-05-25 Floating 0 N N N N N N FNMA PASS THRU POOLS N/A 3140LKDG5 10554817.580000 PA USD 10583508.740000 0.0876646 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 4.14 N N N N N N N/A N/A 000000000 1.000000 NC USD -6729.950000 -0.0000557 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 3200000.000000 USD -6729.950000 N N N MORGAN STANLEY IXIS RE CAP TR 2006-2 N/A 617463AC8 14027786.380000 PA USD 4514304.380000 0.0373926 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.73368 N N N N N N GNMA PASS THRU POOLS N/A 36179XHW9 383177087.760000 PA USD 350031116.310000 2.89935 Long ABS-MBS USGSE US N 2 2052-10-20 Fixed 3.5 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6 N/A 85573RAF5 9324000.000000 PA USD 6871218.300000 0.0569152 Long ABS-MBS CORP US N 2 2066-11-25 Fixed 3.386 N N N N N N FREDDIE MAC REMICS 5152 N/A 3137H3BS0 4587265.740000 PA USD 843403.670000 0.006986 Long ABS-MBS USGSE US N 2 2049-11-25 Fixed 4 N N N N N N N/A N/A 000000000 485000000.000000 NC USD 14404.500000 0.0001193 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.25000 03/05/26-1Y LCH 2027-03-05 0.000000 USD 0.000000 USD N/A USD N/A 5.250000 USD 2026-03-03 XXXX -184445.500000 N N N FANNIE MAE REMICS 2009-50 N/A 31396QLT4 3237220.000000 PA USD 3215102.990000 0.0266311 Long ABS-MBS USGSE US N 2 2039-05-25 Fixed 3.625 N N N N N N FNMA PASS THRU POOLS N/A 3140XPXP9 2480497.580000 PA USD 2392389.210000 0.0198165 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F020679 -66550000.000000 PA USD -52698040.090000 -0.436505 Short ABS-MBS USGSE US N 2 2054-07-15 Fixed 2 N N N N N N FANNIE MAE INTEREST STRIP 430 N/A 31424QLW3 85615971.490000 PA USD 7930172.510000 0.0656867 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 2 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-D N/A 22411JAB1 6500000.000000 PA USD 6500313.300000 0.0538429 Long ABS-O CORP US N 2 2029-03-15 Fixed 4.65 N N N N N N OPORTUN ISSUANCE TRUST 2025-A N/A 68377TAA6 5100000.000000 PA USD 5098463.880000 0.0422312 Long ABS-O CORP US N 2 2033-02-08 Fixed 5.01 N N N N N N N/A N/A 000000000 1.000000 NC USD -788142.950000 -0.0065283 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-03-12 1505700.000000 USD 0.000000 USD 71700000.000000 USD -2293842.950000 N N N FNMA PASS THRU POOLS N/A 3140FVCM6 902066.520000 PA USD 891876.350000 0.0073875 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 5069 N/A 3137F9CS8 8473184.980000 PA USD 1206408.690000 0.0099928 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H09 N/A 38383XNS9 7084800.380000 PA USD 7110628.020000 0.0588983 Long ABS-MBS USGSE US N 2 2073-04-20 Floating 5.10185 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAD8 5319281.130000 PA USD 3601873.560000 0.0298348 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.67368 N N N N N N FREDDIE MAC REMICS 5104 N/A 3137H0GB8 18181065.910000 PA USD 3571028.610000 0.0295793 Long ABS-MBS USGSE US N 2 2049-06-25 Fixed 3.5 N N N N N N N/A N/A 000000000 154000000.000000 NC USD 66558.800000 0.0005513 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% SEP 30YR N/A 98.720000 USD 2025-09-08 XXXX -222191.200000 N N N FREDDIE MAC STACR REMIC TRUST 2022-DNA3 N/A 35564KUX5 10900000.000000 PA USD 11235242.580000 0.093063 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 7.20517 N N N N N N FREDDIE MAC REMICS 3684 N/A 3137A06E0 489185.760000 PA USD 29226.160000 0.0002421 Long ABS-MBS USGSE US N 2 2036-11-15 Floating 2.13692 N N N N N N STORE MASTER FUNDING I-VII 2018-1A N/A 86212VAE4 4012846.570000 PA USD 3960588.070000 0.0328061 Long ABS-O CORP US N 2 2048-10-20 Fixed 4.29 N N N N N N FREDDIE MAC REMICS 5080 N/A 3137FXV54 3494198.600000 PA USD 585838.390000 0.0048526 Long ABS-MBS USGSE US N 2 2050-01-25 Fixed 3 N N N N N N EUROSAIL PLC 2007-5X N/A B29H4QII9 669613.210000 PA 895850.400000 0.0074204 Long ABS-MBS CORP GB N 2 2045-09-13 Floating 5.10988 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127 N/A 38379MX90 2131268.330000 PA USD 102640.600000 0.0008502 Long ABS-MBS USGSE US N 2 2043-06-20 Floating 0.20827 N N N N N N FNMA PASS THRU POOLS N/A 3140JNRD4 623631.000000 PA USD 619813.650000 0.005134 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5 N N N N N N FREDDIE MAC 2725 N/A 31394MWL0 386893.360000 PA USD 388885.940000 0.0032212 Long ABS-MBS USGSE US N 2 2033-12-15 Fixed 4.5 N N N N N N LUMINENT MORTGAGE TRUST 2007-2 N/A 55027WAA0 20711.000000 PA USD 17567.780000 0.0001455 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.89368 N N N N N N FANNIE MAE REMICS 2014-50 N/A 3136AKXJ7 1335033.250000 PA USD 1320207.570000 0.0109355 Long ABS-MBS USGSE US N 2 2044-08-25 Floating 4.81449 N N N N N N FANNIE MAE REMICS 2013-100 N/A 3136AGTH5 392673.190000 PA USD 236022.230000 0.001955 Long ABS-MBS USGSE US N 2 2043-10-25 Floating 0.127698 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-1 N/A 37988XAB1 2885865.080000 PA USD 2903182.000000 0.0240474 Long ABS-O CORP US N 2 2030-03-15 Fixed 5.24 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR25 N/A 45661HAN7 115349.420000 PA USD 89940.400000 0.000745 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.73744 N N N N N N FANNIE MAE REMICS 2016-42 N/A 3136AS2P0 1442857.270000 PA USD 225070.010000 0.0018643 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 4 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4H3 3869092.650000 PA USD 3857817.340000 0.0319548 Long ABS-O CORP US N 2 2032-09-15 Fixed 11.395 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4D2 818461.910000 PA USD 821176.090000 0.0068019 Long ABS-O CORP US N 2 2032-09-15 Fixed 5.215 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-75 N/A 31397JMF8 18174130.650000 PA USD 15055827.850000 0.124709 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 3.06196 N N N N N N FREDDIE MAC REMICS 3785 N/A 3137A5L77 544898.910000 PA USD 497916.910000 0.0041243 Long ABS-MBS USGSE US N 2 2041-01-15 Floating 1.06334 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2009-16R N/A 12642YBP8 2574311.530000 PA USD 1288461.200000 0.0106725 Long ABS-MBS CORP US N 2 2047-01-26 Floating 4.81625 N N N N N N FHLMC PASS THRU POOLS N/A 31425USH9 2517283.540000 PA USD 2565060.570000 0.0212467 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 5.5 N N N N N N FANNIE MAE REMICS 2021-75 N/A 3136BJR80 40347687.930000 PA USD 7319788.780000 0.0606308 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3.5 N N N N N N SCCU AUTO RECEIVABLES TRUST 2024-1A N/A 78436RAE0 10900000.000000 PA USD 10966786.480000 0.0908393 Long ABS-O CORP US N 2 2029-06-15 Fixed 5.11 N N N N N N FNMA PASS THRU POOLS N/A 3140QVVU5 15848484.880000 PA USD 15304263.280000 0.126767 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31403TAD6 32296.040000 PA USD 32312.260000 0.0002676 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5 N N N N N N CQS US CLO 2021-1 LTD N/A 12659UAL6 9000000.000000 PA USD 9003253.680000 0.0745751 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.46947 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS4 N/A 76110WU95 3032328.460000 PA USD 3025553.630000 0.0250611 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.43868 N N N N N N BANC OF AMERICA FUNDING TRUST 2015-R4 N/A 05990RCG4 3179215.420000 PA USD 3073527.490000 0.0254584 Long ABS-MBS CORP US N 2 2035-01-27 Floating 2.14272 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H24 N/A 38383KGP1 7985098.570000 PA USD 8043121.490000 0.0666222 Long ABS-MBS USGSE US N 2 2073-10-20 Floating 5.25185 N N N N N N FANNIE MAE REMICS 2017-53 N/A 3136AW4E4 538131.010000 PA USD 98560.740000 0.0008164 Long ABS-MBS USGSE US N 2 2047-07-25 Fixed 4 N N N N N N FREDDIE MAC REMICS 5142 N/A 3137H2EA8 30365355.710000 PA USD 5540954.720000 0.0458965 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 3 N N N N N N N/A N/A 000000000 35800000.000000 NC USD 2022087.820000 0.0167492 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.63000 05/24/35-10Y LCH 2045-05-24 0.000000 USD 0.000000 USD N/A USD N/A 4.630000 USD 2035-05-22 XXXX -1251822.180000 N N N FREDDIE MAC REMICS 4902 N/A 3137FN3M0 2008477.260000 PA USD 253723.100000 0.0021016 Long ABS-MBS USGSE US N 2 2049-08-25 Floating 1.63035 N N N N N N GNMA PASS THRU POOLS N/A 36179XBS4 415714823.350000 PA USD 379436097.430000 3.14292 Long ABS-MBS USGSE US N 2 2052-07-20 Fixed 3.5 N N N N N N JEFFERIES & CO 2008-R1 N/A 472320AA8 437913.700000 PA USD 368771.640000 0.0030546 Long ABS-MBS CORP US N 2 2047-06-25 Floating 9.29331 N N N N N N FREDDIE MAC REMICS 5038 N/A 3137FXNN4 4452774.400000 PA USD 946722.620000 0.0078418 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 4 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR13 N/A 45660LRE1 29927.010000 PA USD 27559.410000 0.0002283 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.54594 N N N N N N CASCADE FUNDING MORTGAGE TRUST 2024-RM5 N/A 147275AA9 14130266.960000 PA USD 13831728.330000 0.11457 Long ABS-MBS CORP US N 2 2054-10-25 Variable 4 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB N/A 02147MAJ0 15825096.280000 PA USD 6408098.960000 0.0530791 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAE0 5500000.000000 PA USD 5077247.450000 0.0420555 Long ABS-MBS CORP US N 2 2058-10-25 Variable 3.00784 N N N N N N COLT 2022-5 MORTGAGE LOAN TRUST N/A 19688LAD4 4800000.000000 PA USD 4543335.840000 0.037633 Long ABS-MBS CORP US N 2 2067-03-25 Variable 4.68319 N N N N N N FNMA PASS THRU POOLS N/A 3140AUYL1 2538209.440000 PA USD 2586383.210000 0.0214234 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 5.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAA4 9355295.660000 PA USD 8580735.180000 0.0710754 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.69368 N N N N N N FANNIE MAE REMICS 2013-43 N/A 3136ADZ69 2613596.670000 PA USD 118171.680000 0.0009788 Long ABS-MBS USGSE US N 2 2041-08-25 Floating 1.83035 N N N N N N FREDDIE MAC REMICS 5426 N/A 3137HCXW7 1164266.180000 PA USD 1166772.610000 0.0096645 Long ABS-MBS USGSE US N 2 2049-04-15 Floating 5.25001 N N N N N N GNMA PASS THRU POOLS N/A 3617LR6H3 17231.770000 PA USD 15746.900000 0.0001304 Long ABS-MBS USGSE US N 2 2049-10-15 Fixed 3.5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-A N/A 78448YAD3 3931761.840000 PA USD 3816967.370000 0.0316164 Long ABS-O CORP US N 2 2053-01-15 Fixed 2.31 N N N N N N N/A N/A 000000000 -104200000.000000 NC USD -9940.680000 -0.0000823 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.27000 08/08/25-7Y LCH 2032-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.270000 USD 2025-08-06 XXXX 177619.320000 N N N UMBS PASS THRU POOLS N/A 01F030470 -26025000.000000 PA USD -24818757.390000 -0.205577 Short ABS-MBS USGSE US N 2 2039-07-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179XNC6 1382292.740000 PA USD 1262520.590000 0.0104576 Long ABS-MBS USGSE US N 2 2052-12-20 Fixed 3.5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-D N/A 83207QAA7 26124229.840000 PA USD 26677593.280000 0.220974 Long ABS-O CORP US N 2 2053-07-15 Fixed 5.38 N N N N N N PREFERRED RESIDENTIAL SECURITIES 2006-1X N/A G7218JAW4 4655756.160000 PA 6230866.590000 0.0516111 Long ABS-MBS CORP GB N 2 2043-12-15 Floating 5.33961 N N N N N N FNMA PASS THRU POOLS N/A 3140B47A2 4422706.870000 PA USD 4562498.590000 0.0377918 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6 N N N N N N AEGIS ASSET BACKED SEC TR 2004-5 N/A 00764MDH7 4643942.270000 PA USD 4203178.740000 0.0348155 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.26368 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 1067182.800000 PA USD 612871.130000 0.0050765 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.90516 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11 N/A 021466AA5 1508502.680000 PA USD 1415943.820000 0.0117284 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.67368 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2024-PT2 N/A 69546YAB7 1848766.070000 PA USD 1796380.950000 0.0148797 Long ABS-O CORP US N 3 2032-04-15 Fixed 10.273 N N N N N N 2025-08-19 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX