NPORT-P false 0000810893 XXXXXXXX S000009684 C000026542 C000026544 C000064137 C000203300 C000026541 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO GNMA and Government Securities Fund S000009684 PTIGJRRB7TMWG0E5XU42 2026-03-31 2026-03-31 N 9728202993.090000 8394276658.680000 1333926334.410000 0.000000 0.000000 1959393611.380000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 USD N Bloomberg GNMA Total Return Unhedged USD Index LGNMTRUU N/A N/A 000000000 6000000.000000 NC USD 355481.400000 0.0266493 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/4.48500 08/09/35-10Y LCH 2045-08-09 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-08-07 XXXX -173118.600000 N N N FREDDIE MAC REMICS 5593 N/A 3137HNV47 10873134.080000 PA USD 10934223.700000 0.819702 Long ABS-MBS USGSE US N 2 2055-11-25 Floating 4.5619 N N N N N N GNMA PASS THRU POOLS N/A 36179DYD6 268471.170000 PA USD 241990.600000 0.0181412 Long ABS-MBS USGSE US N 2 2046-01-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179TJW6 70980.890000 PA USD 64254.510000 0.0048169 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179TLK9 863005.310000 PA USD 840654.240000 0.063021 Long ABS-MBS USGSE US N 2 2047-11-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140MTX73 1347091.610000 PA USD 1343184.290000 0.100694 Long ABS-MBS USGSE US N 2 2056-02-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KSB5 8538.250000 PA USD 8882.060000 0.0006659 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5.5 N N N N N N N/A N/A 000000000 9000000.000000 NC USD 1438.200000 0.0001078 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/4.09500 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2026-04-06 XXXX -25561.800000 N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01 N/A 3137G1BK2 1831173.150000 PA USD 1578451.110000 0.118331 Long ABS-MBS MUN US N 2 2046-12-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140LKDR1 100000.000000 PA USD 100795.550000 0.0075563 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 4.55 N N N N N N UMBS PASS THRU POOLS N/A 01F032443 7400000.000000 PA USD 7124617.210000 0.534109 Long ABS-MBS USGSE US N 2 2041-04-16 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NLQZ5 210307.680000 PA USD 209585.180000 0.0157119 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36200KRJ8 15407.270000 PA USD 15651.300000 0.0011733 Long ABS-MBS USGSE US N 2 2033-04-15 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR-2019-H11 N/A 38380LVB6 498901.500000 PA USD 499295.830000 0.0374305 Long ABS-MBS USGSE US N 2 2069-05-20 Floating 4.38325 N N N N N N GNMA PASS THRU POOLS N/A 36290QVK8 555.750000 PA USD 560.950000 0.0000421 Long ABS-MBS USGSE US N 2 2033-06-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GNKM4 56867.590000 PA USD 54566.420000 0.0040907 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617GWBA7 1039724.230000 PA USD 1014159.110000 0.0760281 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36213TFS7 194.740000 PA USD 201.630000 0.0000151 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140NM6L6 496628.260000 PA USD 514616.890000 0.0385791 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202C6L2 137.750000 PA USD 141.860000 0.0000106 Long ABS-MBS USGSE US N 2 2028-11-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 3617YTMG9 110587.100000 PA USD 106252.280000 0.0079654 Long ABS-MBS USGSE US N 2 2061-12-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QAEF3 205443.420000 PA USD 205960.370000 0.0154402 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 36179SGL5 566784.040000 PA USD 530263.520000 0.0397521 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3.5 N N N N N N N/A N/A 000000000 -21500000.000000 NC USD -6271.550000 -0.0004702 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written UMBS PASS THRU POOLS FNMA TBA 6.0% MAY 30YR N/A 102.260000 USD 2026-05-06 XXXX 25642.510000 N N N FREDDIE MAC REMICS 4367 N/A 3137BCL55 41668.690000 PA USD 2172.040000 0.0001628 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 2.02377 N N N N N N GNMA PASS THRU POOLS N/A 21H040657 99000000.000000 PA USD 92690106.300000 6.94867 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GQNB8 8803.560000 PA USD 8418.100000 0.0006311 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179TE50 966197.370000 PA USD 973899.100000 0.07301 Long ABS-MBS USGSE US N 2 2047-08-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FSE7 4310619.790000 PA USD 4275724.460000 0.320537 Long ABS-MBS USGSE US N 2 2041-04-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B3V97 308185.990000 PA USD 284885.050000 0.0213569 Long ABS-MBS USGSE US N 2 2047-08-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FUR5 647.850000 PA USD 611.340000 0.0000458 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A9UB1 442802.060000 PA USD 424814.200000 0.0318469 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 3617BJEH3 795302.230000 PA USD 751845.720000 0.0563634 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XTGE2 241980.600000 PA USD 225882.430000 0.0169337 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184YDG9 29325.250000 PA USD 26346.060000 0.0019751 Long ABS-MBS USGSE US N 2 2046-01-15 Fixed 3 N N N N N N LA HIPOTECARIA SA 2019-1A N/A 50346WAA5 2797451.760000 PA USD 2562874.440000 0.19213 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 31418EVU1 754537.990000 PA USD 752541.750000 0.0564155 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-128 N/A 38378HP59 562978.390000 PA USD 464290.920000 0.0348063 Long ABS-MBS USGSE US N 2 2042-02-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202E5W5 48682.470000 PA USD 48091.070000 0.0036052 Long ABS-MBS USGSE US N 2 2039-06-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617FJFT2 278922.050000 PA USD 267989.220000 0.0200903 Long ABS-MBS USGSE US N 2 2062-07-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202DPE5 127.430000 PA USD 133.800000 0.00001 Long ABS-MBS USGSE US N 2 2031-08-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36225AYN4 220.500000 PA USD 223.010000 0.0000167 Long ABS-MBS USGSE US N 2 2028-02-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36297KK67 989.950000 PA USD 1018.830000 0.0000764 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36241LG26 932556.220000 PA USD 926638.170000 0.069467 Long ABS-MBS USGSE US N 2 2040-04-15 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 31427P5A8 165903.670000 PA USD 175664.420000 0.013169 Long ABS-MBS USGSE US N 2 2055-06-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36193SUM9 690400.480000 PA USD 642582.960000 0.0481723 Long ABS-MBS USGSE US N 2 2046-03-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31281BUP3 3439.710000 PA USD 3471.430000 0.0002602 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138AWCL5 26327.260000 PA USD 26185.600000 0.001963 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F030645 72300000.000000 PA USD 63514967.990000 4.7615 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133KNX65 454664.540000 PA USD 388045.330000 0.0290905 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36176FAY4 3040.390000 PA USD 3066.850000 0.0002299 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 21H030658 -10000000.000000 PA USD -8921247.600000 -0.668796 Short ABS-MBS USGSE US N 2 2056-05-20 Fixed 3 N N N N N N FANNIE MAE REMICS 2015-10 N/A 3136AMZT9 300919.820000 PA USD 16156.870000 0.0012112 Long ABS-MBS USGSE US N 2 2045-03-25 Floating 2.07154 N N N N N N GNMA PASS THRU POOLS N/A 36178CLZ4 120453.430000 PA USD 113249.330000 0.0084899 Long ABS-MBS USGSE US N 2 2042-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36212XGZ2 34676.190000 PA USD 35874.230000 0.0026894 Long ABS-MBS USGSE US N 2 2034-10-15 Fixed 5.93 N N N N N N GNMA PASS THRU POOLS N/A 36208QZ90 677.220000 PA USD 699.680000 0.0000525 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202E7K9 1507.320000 PA USD 1579.900000 0.0001184 Long ABS-MBS USGSE US N 2 2039-07-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3622ABP55 1054720.800000 PA USD 935621.450000 0.0701404 Long ABS-MBS USGSE US N 2 2052-02-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QTCM9 1197824.360000 PA USD 1259244.560000 0.0944014 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-167 N/A 38378ATQ4 186422.170000 PA USD 164966.020000 0.012367 Long ABS-MBS USGSE US N 2 2037-04-20 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36290WFF4 48537.520000 PA USD 50460.180000 0.0037828 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36201DFH0 388.920000 PA USD 392.090000 0.0000294 Long ABS-MBS USGSE US N 2 2031-12-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617MQF84 706659.040000 PA USD 654647.370000 0.0490767 Long ABS-MBS USGSE US N 2 2050-03-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36211RF20 1711.100000 PA USD 1714.210000 0.0001285 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140N4PN1 219151.070000 PA USD 227822.810000 0.0170791 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 6 N N N N N N FREDDIE MAC REMICS 4255 N/A 3137B5HZ9 402776.360000 PA USD 404443.250000 0.0303198 Long ABS-MBS USGSE US N 2 2035-05-15 Floating 2.17856 N N N N N N GNMA PASS THRU POOLS N/A 36202DNX5 3547.140000 PA USD 3672.480000 0.0002753 Long ABS-MBS USGSE US N 2 2031-07-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202FZK5 3761.370000 PA USD 3743.340000 0.0002806 Long ABS-MBS USGSE US N 2 2026-11-20 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133KNYR8 156596.500000 PA USD 133569.970000 0.0100133 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.5 N N N N N N N/A N/A 000000000 -14200000.000000 NC USD -122740.540000 -0.0092014 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put 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/3.72400 05/20/26-7Y LCH 2033-05-20 0.000000 USD 0.000000 USD N/A USD N/A 3.720000 USD 2026-05-18 XXXX -80140.540000 N N N FHLMC PASS THRU POOLS N/A 3133KYYH6 593548.610000 PA USD 591954.390000 0.0443768 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TXL4 209487.810000 PA USD 204059.820000 0.0152977 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36194MY96 472237.260000 PA USD 442780.230000 0.0331938 Long ABS-MBS USGSE US N 2 2046-05-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3618MFFP8 1093661.080000 PA USD 1111064.530000 0.0832928 Long ABS-MBS USGSE US N 2 2056-01-20 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140QDFB5 731806.870000 PA USD 682007.900000 0.0511279 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-10 N/A 38379TXR5 833961.580000 PA USD 137431.280000 0.0103028 Long ABS-MBS USGSE US N 2 2046-01-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AXWQ0 23629.920000 PA USD 23491.860000 0.0017611 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133N3Z23 3632238.380000 PA USD 3704071.560000 0.277682 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36297GCL2 83236.940000 PA USD 82705.090000 0.0062001 Long ABS-MBS USGSE US N 2 2040-02-15 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133ADLX2 130589.070000 PA USD 101348.380000 0.0075977 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 1.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FXLQ3 3813669.380000 PA USD 3461498.710000 0.259497 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XSHM5 891134.880000 PA USD 859332.340000 0.0644213 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N N/A N/A 000000000 -4000000.000000 NC USD -11815.600000 -0.0008858 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 94.310000 USD 2026-04-06 XXXX -1190.600000 N N N FNMA PASS THRU POOLS N/A 3140H4Y65 369451.800000 PA USD 341318.060000 0.0255875 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N N/A N/A 000000000 7200000.000000 NC USD 459928.800000 0.0344793 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 -180511.200000 N N N FNMA PASS THRU POOLS N/A 3140XFNY3 686342.200000 PA USD 627898.040000 0.0470714 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36200JMC1 2258.070000 PA USD 2373.380000 0.0001779 Long ABS-MBS USGSE US N 2 2036-03-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36201Y4S2 47613.620000 PA USD 51103.410000 0.0038311 Long ABS-MBS USGSE US N 2 2034-06-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36225AVP2 265.380000 PA USD 267.340000 0.00002 Long ABS-MBS USGSE US N 2 2027-08-15 Fixed 8 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-160 N/A 38382KQ48 23863071.770000 PA USD 2688518.660000 0.201549 Long ABS-MBS USGSE US N 2 2050-10-20 Fixed 2 N N N N N N FANNIE MAE REMICS 2014-43 N/A 3136AKKU6 179413.890000 PA USD 11480.530000 0.0008607 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 1.98009 N N N N N N FREDDIE MAC REMICS 4825 N/A 3137FH6Z1 111237.130000 PA USD 17855.340000 0.0013386 Long ABS-MBS USGSE US N 2 2048-09-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617GUYE8 26572.090000 PA USD 25887.000000 0.0019407 Long ABS-MBS USGSE US N 2 2048-07-15 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132D6N22 39116.800000 PA USD 36114.010000 0.0027073 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 2 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 580545.010000 PA USD 26496.420000 0.0019863 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.24264 N N N N N N GNMA PASS THRU POOLS N/A 36202DY21 956.470000 PA USD 976.910000 0.0000732 Long ABS-MBS USGSE US N 2 2033-08-20 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140A3ZD8 2380798.690000 PA USD 2463464.450000 0.184678 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36241KWH7 22060.850000 PA USD 23266.170000 0.0017442 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3618N5KQ1 3687620.640000 PA USD 3178027.460000 0.238246 Long ABS-MBS USGSE US N 2 2055-04-20 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XHDM6 694602.320000 PA USD 656050.900000 0.0491819 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 3.5 N N N N N N N/A N/A 000000000 34200000.000000 NC USD 81560.160000 0.0061143 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/4.75000 09/09/26-10Y LCH 2036-09-09 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2026-09-04 XXXX 55055.160000 N N N GNMA PASS THRU POOLS N/A 36210JHH4 229.640000 PA USD 232.170000 0.0000174 Long ABS-MBS USGSE US N 2 2029-09-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179W2V9 10851411.230000 PA USD 9701417.840000 0.727283 Long ABS-MBS USGSE US N 2 2052-04-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418VJE3 42961.890000 PA USD 41563.690000 0.0031159 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132AC2W9 7344732.230000 PA USD 7027299.440000 0.526813 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179TUE3 1276259.510000 PA USD 1315877.550000 0.0986469 Long ABS-MBS USGSE US N 2 2048-03-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36179VDD9 36338.230000 PA USD 32978.530000 0.0024723 Long ABS-MBS USGSE US N 2 2050-01-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133WMFU1 2868086.700000 PA USD 2933299.910000 0.2199 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138L5FM7 187720.690000 PA USD 193658.670000 0.0145179 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 5.32 N N N N N N FHLMC PASS THRU POOLS N/A 31335ALZ9 2966086.240000 PA USD 2869479.510000 0.215115 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179UCC4 55727.030000 PA USD 54897.180000 0.0041155 Long ABS-MBS USGSE US N 2 2048-09-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617LR6H3 209848.480000 PA USD 193324.300000 0.0144929 Long ABS-MBS USGSE US N 2 2049-10-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418E3D0 355455.980000 PA USD 362534.540000 0.027178 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138AWAY9 11385.940000 PA USD 11329.940000 0.0008494 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133WMHD7 1516520.890000 PA USD 1555262.110000 0.116593 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36295XZZ1 111.830000 PA USD 115.010000 0.0000086 Long ABS-MBS USGSE US N 2 2038-02-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36213FM59 795.400000 PA USD 799.930000 0.00006 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617FMQR7 484783.710000 PA USD 435384.590000 0.0326393 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36178DT35 305262.300000 PA USD 280461.260000 0.0210252 Long ABS-MBS USGSE US N 2 2043-01-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202DTS0 4282.790000 PA USD 4451.810000 0.0003337 Long ABS-MBS USGSE US N 2 2032-07-20 Fixed 6.5 N N N N N N N/A N/A 000000000 -32000000.000000 NC USD -350880.000000 -0.0263043 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/3.78000 07/16/26-7Y LCH 2033-07-16 0.000000 USD 0.000000 USD N/A USD N/A 3.780000 USD 2026-07-14 XXXX -107680.000000 N N N GNMA PASS THRU POOLS N/A 36193PPX7 301051.490000 PA USD 278012.040000 0.0208416 Long ABS-MBS USGSE US N 2 2046-05-15 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F050452 9400000.000000 PA USD 9461295.140000 0.709282 Long ABS-MBS USGSE US N 2 2041-05-18 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296CER7 640.240000 PA USD 657.370000 0.0000493 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FXC5 11636.080000 PA USD 11538.880000 0.000865 Long ABS-MBS USGSE US N 2 2041-09-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XQQ34 1335476.610000 PA USD 1404566.780000 0.105296 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3620ASHR3 212622.580000 PA USD 217511.170000 0.0163061 Long ABS-MBS USGSE US N 2 2038-09-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36181FKY6 125314.310000 PA USD 108835.110000 0.008159 Long ABS-MBS USGSE US N 2 2043-08-15 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36179SB89 1540891.160000 PA USD 1443981.220000 0.10825 Long ABS-MBS USGSE US N 2 2046-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617UQT72 9587815.470000 PA USD 8117805.470000 0.608565 Long ABS-MBS USGSE US N 2 2051-03-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FJL1 3614.590000 PA USD 3556.690000 0.0002666 Long ABS-MBS USGSE US N 2 2040-08-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36211HU25 305.900000 PA USD 312.400000 0.0000234 Long ABS-MBS USGSE US N 2 2029-06-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EWW5 3445.780000 PA USD 3467.190000 0.0002599 Long ABS-MBS USGSE US N 2 2038-10-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36209FH77 104.820000 PA USD 105.260000 0.0000079 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36291KAS6 15686.840000 PA USD 15651.350000 0.0011733 Long ABS-MBS USGSE US N 2 2034-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202FLP9 55311.560000 PA USD 54878.070000 0.004114 Long ABS-MBS USGSE US N 2 2040-10-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FM52 4462.290000 PA USD 4374.300000 0.0003279 Long ABS-MBS USGSE US N 2 2040-12-20 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MMWB5 1889940.190000 PA USD 1838662.390000 0.137838 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TK3 283000.000000 PA USD 282230.480000 0.0211579 Long DBT UST US N 2 2026-04-28 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3138WDN31 348398.560000 PA USD 331818.820000 0.0248753 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5JG7 359844.080000 PA USD 338778.480000 0.0253971 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36200TSP4 1043.000000 PA USD 1087.020000 0.0000815 Long ABS-MBS USGSE US N 2 2034-08-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3618AHWF0 126056.820000 PA USD 131696.060000 0.0098728 Long ABS-MBS USGSE US N 2 2062-11-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36294PL92 43189.420000 PA USD 46059.980000 0.003453 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3618KWBS1 638671.900000 PA USD 650658.890000 0.0487777 Long ABS-MBS USGSE US N 2 2055-06-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36202C7L1 205.080000 PA USD 210.310000 0.0000158 Long ABS-MBS USGSE US N 2 2029-01-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617B4NF0 848250.560000 PA USD 789480.550000 0.0591847 Long ABS-MBS USGSE US N 2 2047-08-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FY34 1111.920000 PA USD 1049.270000 0.0000787 Long ABS-MBS USGSE US N 2 2041-11-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EQCH3 83928.620000 PA USD 86149.590000 0.0064583 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 5.787 N N N N N N GNMA PASS THRU POOLS N/A 36296BBP6 872.180000 PA USD 907.830000 0.0000681 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128MMWN9 700726.140000 PA USD 681917.280000 0.0511211 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202CZ48 288.830000 PA USD 300.070000 0.0000225 Long ABS-MBS USGSE US N 2 2028-03-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617YYG91 114073.600000 PA USD 109602.120000 0.0082165 Long ABS-MBS USGSE US N 2 2062-06-20 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127 N/A 38379MX90 162247.100000 PA USD 7921.620000 0.0005939 Long ABS-MBS USGSE US N 2 2043-06-20 Floating 1.2769 N N N N N N GNMA PASS THRU POOLS N/A 36201MLC4 443.490000 PA USD 463.880000 0.0000348 Long ABS-MBS USGSE US N 2 2032-08-15 Fixed 6 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF3 N/A 61911GAA2 2984101.350000 PA USD 2740079.450000 0.205415 Long ABS-MBS CORP US N 2 2042-05-25 Floating 4.26 N N N N N N UMBS PASS THRU POOLS N/A 01F050650 90750000.000000 PA USD 89395280.370000 6.70167 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140GVJU0 39368.470000 PA USD 37786.870000 0.0028328 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3620AC6R0 5691.800000 PA USD 5641.860000 0.000423 Long ABS-MBS USGSE US N 2 2039-10-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617GTK63 159451.390000 PA USD 150445.640000 0.0112784 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179QBJ9 32937.370000 PA USD 33460.780000 0.0025084 Long ABS-MBS USGSE US N 2 2044-04-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36188SQ66 104044.340000 PA USD 96298.180000 0.0072192 Long ABS-MBS USGSE US N 2 2045-09-20 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4463 N/A 3137BHGF8 70021.470000 PA USD 3684.730000 0.0002762 Long ABS-MBS USGSE US N 2 2038-02-15 Floating 2.36875 N N N N N N GNMA PASS THRU POOLS N/A 3618FFJ56 106796.180000 PA USD 100535.140000 0.0075368 Long ABS-MBS USGSE US N 2 2062-02-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36296U6T2 14759.530000 PA USD 14552.970000 0.001091 Long ABS-MBS USGSE US N 2 2039-06-15 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F042640 47300000.000000 PA USD 45655853.890000 3.42267 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3618N5AY5 4999998.900000 PA USD 4590734.140000 0.344152 Long ABS-MBS USGSE US N 2 2054-11-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8N84 124853.450000 PA USD 119793.450000 0.0089805 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418EFA3 1044870.360000 PA USD 969565.290000 0.0726851 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2010-126 N/A 31398SAS2 2231795.970000 PA USD 112007.140000 0.0083968 Long ABS-MBS USGSE US N 2 2040-11-25 Floating 1.21696 N N N N N N GNMA PASS THRU POOLS N/A 3617AER81 1164783.020000 PA USD 1128772.770000 0.0846203 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36207JYA5 1686.700000 PA USD 1709.150000 0.0001281 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617MQF76 128025.560000 PA USD 118681.950000 0.0088972 Long ABS-MBS USGSE US N 2 2050-03-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133CCPZ3 265951.170000 PA USD 265647.320000 0.0199147 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36212M7L7 40.150000 PA USD 40.760000 0.0000031 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36211MCC2 17076.020000 PA USD 17341.450000 0.0013 Long ABS-MBS USGSE US N 2 2029-10-15 Fixed 7.5 N N N N N N FREDDIE MAC REMICS 3621 N/A 31398W2S2 29872.870000 PA USD 1604.150000 0.0001203 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 1.94427 N N N N N N GNMA PASS THRU POOLS N/A 36294TAQ8 66331.430000 PA USD 70065.890000 0.0052526 Long ABS-MBS USGSE US N 2 2036-08-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EVR7 610.320000 PA USD 636.230000 0.0000477 Long ABS-MBS USGSE US N 2 2038-08-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36296KMQ2 5726.190000 PA USD 5917.150000 0.0004436 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617G9E72 49027.660000 PA USD 46288.010000 0.0034701 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202E2D0 667.860000 PA USD 723.560000 0.0000542 Long ABS-MBS USGSE US N 2 2039-02-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617NPFQ5 289512.930000 PA USD 260652.590000 0.0195403 Long ABS-MBS USGSE US N 2 2049-09-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202FKH8 6504.850000 PA USD 6376.590000 0.000478 Long ABS-MBS USGSE US N 2 2040-09-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179XFF8 3351208.500000 PA USD 3094016.890000 0.231948 Long ABS-MBS USGSE US N 2 2052-09-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EQ7D8 381119.950000 PA USD 368302.550000 0.0276104 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36291URE7 44884.570000 PA USD 47868.370000 0.0035885 Long ABS-MBS USGSE US N 2 2036-09-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617BUZF9 133072.120000 PA USD 128923.020000 0.0096649 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36225BPM4 3054.570000 PA USD 3168.980000 0.0002376 Long ABS-MBS USGSE US N 2 2031-09-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 3617U8R90 680361.820000 PA USD 632382.850000 0.0474076 Long ABS-MBS USGSE US N 2 2050-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202DTD3 206.600000 PA USD 208.140000 0.0000156 Long ABS-MBS USGSE US N 2 2032-06-20 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H12 N/A 38382YAZ6 1922785.540000 PA USD 1975929.410000 0.148129 Long ABS-MBS USGSE US N 2 2071-08-20 Floating 5.17294 N N N N N N GNMA PASS THRU POOLS N/A 36179SYE1 87885.670000 PA USD 77968.910000 0.0058451 Long ABS-MBS USGSE US N 2 2047-03-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202DLE9 714.740000 PA USD 742.730000 0.0000557 Long ABS-MBS USGSE US N 2 2031-01-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3620A5A66 2379.030000 PA USD 2359.920000 0.0001769 Long ABS-MBS USGSE US N 2 2040-07-15 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H24 N/A 38384LJ67 10318780.940000 PA USD 10341415.190000 0.775261 Long ABS-MBS USGSE US N 2 2073-02-20 Floating 4.40294 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWHU0 34835853.140000 PA USD 35736345.310000 2.67903 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 6 N N N N N N N/A N/A 000000000 17000000.000000 NC USD 44568.900000 0.0033412 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 -304568.600000 N N N FHLMC PASS THRU POOLS N/A 3133L8ED3 1810943.750000 PA USD 1668514.060000 0.125083 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 31417A6Z7 62540.560000 PA USD 62146.240000 0.0046589 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3618MCJC0 6177189.590000 PA USD 6260298.300000 0.469314 Long ABS-MBS USGSE US N 2 2055-12-20 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMH32 53661.810000 PA USD 51437.860000 0.0038561 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179UMP4 2077293.730000 PA USD 2128049.930000 0.159533 Long ABS-MBS USGSE US N 2 2049-02-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36241KGE2 2121.480000 PA USD 2208.220000 0.0001655 Long ABS-MBS USGSE US N 2 2030-11-15 Fixed 8 N N N N N N FNMA PASS THRU POOLS N/A 3138WMXK2 201936.810000 PA USD 185123.540000 0.0138781 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36196HSS0 134527.830000 PA USD 131944.610000 0.0098914 Long ABS-MBS USGSE US N 2 2047-02-15 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EER7 581471.080000 PA USD 536194.420000 0.0401967 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138E4Y47 52529.140000 PA USD 54235.770000 0.0040659 Long ABS-MBS USGSE US N 2 2042-02-01 Floating 5.915 N N N N N N GNMA PASS THRU POOLS N/A 36213USG6 3003.940000 PA USD 3058.880000 0.0002293 Long ABS-MBS USGSE US N 2 2031-10-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36241LUT1 55867.980000 PA USD 54834.220000 0.0041107 Long ABS-MBS USGSE US N 2 2041-03-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36200N3C3 2444.400000 PA USD 2590.410000 0.0001942 Long ABS-MBS USGSE US N 2 2034-09-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36209CH41 364.360000 PA USD 377.230000 0.0000283 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617M5KT8 331832.150000 PA USD 296629.980000 0.0222374 Long ABS-MBS USGSE US N 2 2050-02-15 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140JHH63 150299.760000 PA USD 146941.050000 0.0110157 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617Y3QE7 728688.030000 PA USD 650489.430000 0.048765 Long ABS-MBS USGSE US N 2 2052-02-20 Fixed 3 N N N N N N FREDDIE MAC REMICS 4182 N/A 3137B12V3 1237314.000000 PA USD 1212247.630000 0.0908782 Long ABS-MBS USGSE US N 2 2028-03-15 Fixed 1.5 N N N N N N GNMA PASS THRU POOLS N/A 3617MN5W9 549227.000000 PA USD 490957.820000 0.0368055 Long ABS-MBS USGSE US N 2 2050-03-15 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140LMCL1 2303000.000000 PA USD 2399234.560000 0.179863 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 5.85 N N N N N N FNMA PASS THRU POOLS N/A 3140LLP39 818635.860000 PA USD 848416.260000 0.0636029 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.07 N N N N N N FNMA PASS THRU POOLS N/A 31418E2E9 356623.360000 PA USD 364497.200000 0.0273251 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N N/A N/A 000000000 3500000.000000 NC USD 178263.750000 0.0133638 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 -135511.250000 N N N GNMA PASS THRU POOLS N/A 36200NFF3 7625.580000 PA USD 7854.230000 0.0005888 Long ABS-MBS USGSE US N 2 2034-03-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617G44R0 9474.610000 PA USD 9171.970000 0.0006876 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NRGK6 654619.330000 PA USD 652874.080000 0.0489438 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140A94N7 4151459.360000 PA USD 4271958.210000 0.320254 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36297JT46 41213.810000 PA USD 41026.640000 0.0030756 Long ABS-MBS USGSE US N 2 2039-06-15 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FM7B6 15145.010000 PA USD 14534.970000 0.0010896 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202E6E4 264665.890000 PA USD 269842.270000 0.0202292 Long ABS-MBS USGSE US N 2 2039-06-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202FEW2 133378.780000 PA USD 129890.620000 0.0097375 Long ABS-MBS USGSE US N 2 2040-03-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202E3F4 476.090000 PA USD 485.400000 0.0000364 Long ABS-MBS USGSE US N 2 2039-03-20 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3132CWT46 180909.970000 PA USD 166673.440000 0.012495 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 3622AARF3 272316.600000 PA USD 246725.690000 0.0184962 Long ABS-MBS USGSE US N 2 2050-06-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617BSCK8 884562.560000 PA USD 823269.650000 0.0617178 Long ABS-MBS USGSE US N 2 2047-11-20 Fixed 3.5 N N N N N N N/A N/A 000000000 12800000.000000 NC USD 670769.920000 0.0502854 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Call Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.52000 08/15/35-10Y LCH 2045-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.520000 USD 2035-08-13 XXXX -455630.080000 N N N FNMA PASS THRU POOLS N/A 3140X6JR3 544279.610000 PA USD 527377.060000 0.0395357 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36225BP69 62.010000 PA USD 63.460000 0.0000048 Long ABS-MBS USGSE US N 2 2031-10-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EP2Y9 855253.380000 PA USD 892778.470000 0.0669286 Long ABS-MBS USGSE US N 2 2037-10-01 Floating 6.182 N N N N N N FHLMC PASS THRU POOLS N/A 3132A4FG8 2066.780000 PA USD 1952.830000 0.0001464 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36241KGC6 505.720000 PA USD 531.460000 0.0000398 Long ABS-MBS USGSE US N 2 2035-10-15 Fixed 7.5 N N N N N N KKR CLO 36A LTD N/A 48255AAJ7 3400000.000000 PA USD 3404162.420000 0.255199 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 4.82219 N N N N N N GNMA PASS THRU POOLS N/A 36200YPD3 367.440000 PA USD 381.870000 0.0000286 Long ABS-MBS USGSE US N 2 2032-02-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3622A2XL1 589715.310000 PA USD 554929.350000 0.0416012 Long ABS-MBS USGSE US N 2 2045-09-15 Fixed 3.5 N N N N N N N/A N/A 000000000 3500000.000000 NC USD 208384.400000 0.0156219 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 -105390.600000 N N N GNMA PASS THRU POOLS N/A 36179SEP8 6884.390000 PA USD 7214.080000 0.0005408 Long ABS-MBS USGSE US N 2 2039-09-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36179SGK7 861973.230000 PA USD 781999.990000 0.0586239 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132XW4M0 31534.510000 PA USD 30256.600000 0.0022682 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138M1X60 930.660000 PA USD 878.770000 0.0000659 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9XF5 2924901.700000 PA USD 2872282.890000 0.215326 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36212XHA6 106078.100000 PA USD 110456.210000 0.0082805 Long ABS-MBS USGSE US N 2 2034-12-15 Fixed 5.68 N N N N N N GNMA PASS THRU POOLS N/A 36291FS33 1580451.260000 PA USD 1466615.130000 0.109947 Long ABS-MBS USGSE US N 2 2043-10-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36291QYR9 123.190000 PA USD 123.180000 0.0000092 Long ABS-MBS USGSE US N 2 2034-12-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36295UAM3 924.590000 PA USD 950.960000 0.0000713 Long ABS-MBS USGSE US N 2 2040-01-15 Fixed 6 N N N N N N ANGEL OAK MORTGAGE TRUST 2024-2 N/A 034942AA0 335713.290000 PA USD 337302.420000 0.0252864 Long ABS-MBS CORP US N 2 2069-01-25 Fixed 5.985 N N N N N N FREDDIE MAC REMICS 3684 N/A 3137A06E0 114336.500000 PA USD 6314.190000 0.0004734 Long ABS-MBS USGSE US N 2 2036-11-15 Floating 2.15621 N N N N N N GNMA PASS THRU POOLS N/A 3617ACHV5 777146.550000 PA USD 737551.640000 0.0552918 Long ABS-MBS USGSE US N 2 2047-04-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36241KUF3 9029.750000 PA USD 9306.840000 0.0006977 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36230QPD4 109135.470000 PA USD 104004.200000 0.0077968 Long ABS-MBS USGSE US N 2 2040-11-15 Fixed 4.05 N N N N N N FNMA PASS THRU POOLS N/A 31412FLC5 202656.440000 PA USD 210239.820000 0.015761 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31426G6S9 2658451.370000 PA USD 2750808.550000 0.206219 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36176ADX4 26221.140000 PA USD 26266.070000 0.0019691 Long ABS-MBS USGSE US N 2 2039-01-20 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 4068 N/A 3137ARPN0 486094.350000 PA USD 485125.320000 0.0363682 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 4.28671 N N N N N N N/A N/A 000000000 9600000.000000 NC USD 574896.960000 0.0430981 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/4.46000 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.460000 USD 2035-08-06 XXXX -268943.040000 N N N FNMA PASS THRU POOLS N/A 3138AWBD4 15052.930000 PA USD 14971.920000 0.0011224 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617U8SN8 1756952.030000 PA USD 1513662.030000 0.113474 Long ABS-MBS USGSE US N 2 2050-11-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 3622AC3V0 8095986.200000 PA USD 7461340.950000 0.559352 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36200R5X6 525.680000 PA USD 534.770000 0.0000401 Long ABS-MBS USGSE US N 2 2031-10-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36184BNJ2 12037.840000 PA USD 10819.260000 0.0008111 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36176QYS7 2023.100000 PA USD 1917.530000 0.0001438 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CMJ0 1043123.890000 PA USD 1014097.250000 0.0760235 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-19 N/A 38378BDL0 2397937.540000 PA USD 23.980000 0.0000018 Long ABS-MBS USGSE US N 2 2052-08-16 Variable 0 N N N N N N GNMA PASS THRU POOLS N/A 3618A2A83 51751.940000 PA USD 54067.030000 0.0040532 Long ABS-MBS USGSE US N 2 2062-12-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 3617G7N35 45867.690000 PA USD 43536.940000 0.0032638 Long ABS-MBS USGSE US N 2 2048-03-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CXT6 335837.010000 PA USD 329309.420000 0.0246872 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H05 N/A 38380QF23 207156.620000 PA USD 207714.200000 0.0155716 Long ABS-MBS USGSE US N 2 2071-03-20 Floating 4.42294 N N N N N N FHLMC PASS THRU POOLS N/A 3128MMWE9 1286997.510000 PA USD 1253051.690000 0.0939371 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36295HY38 360.440000 PA USD 371.710000 0.0000279 Long ABS-MBS USGSE US N 2 2037-07-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31347AKC7 509192.040000 PA USD 534315.590000 0.0400559 Long ABS-MBS USGSE US N 2 2041-11-01 Floating 6.525 N N N N N N GNMA PASS THRU POOLS N/A 36202EUF4 12259.430000 PA USD 12241.620000 0.0009177 Long ABS-MBS USGSE US N 2 2038-07-20 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413FGD8 1237.460000 PA USD 1268.280000 0.0000951 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N N/A N/A 000000000 -223721311.000000 PA USD -224191125.760000 -16.8069 Short RA US N 2 Reverse repurchase N 3.780000 2026-04-13 236857997.600000 USD 228607319.400000 USD AMBS N N N GNMA PASS THRU POOLS N/A 36213UXU9 1146.050000 PA USD 1180.170000 0.0000885 Long ABS-MBS USGSE US N 2 2032-06-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36208GBK3 850.400000 PA USD 850.610000 0.0000638 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36180BJP7 120439.460000 PA USD 115551.670000 0.0086625 Long ABS-MBS USGSE US N 2 2043-05-15 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138XWXP8 288528.450000 PA USD 282524.560000 0.0211799 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H02 N/A 38380LQA4 2747840.360000 PA USD 2639521.320000 0.197876 Long ABS-MBS USGSE US N 2 2068-12-20 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -583114.620000 -0.0437142 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-03-20 0.000000 USD -992514.010000 USD 30600000.000000 USD 409399.390000 N N N GNMA PASS THRU POOLS N/A 3618LTP29 281370.670000 PA USD 286337.700000 0.0214658 Long ABS-MBS USGSE US N 2 2052-08-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 3620AR2E0 156481.350000 PA USD 160079.220000 0.0120006 Long ABS-MBS USGSE US N 2 2040-01-20 Fixed 5.5 N N N N N N FANNIE MAE REMICS 2013-29 N/A 3136ADLJ6 2495684.100000 PA USD 2444901.670000 0.183286 Long ABS-MBS USGSE US N 2 2028-04-25 Fixed 1.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XJHP1 3440978.040000 PA USD 3324051.060000 0.249193 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36291LDS1 1709.960000 PA USD 1845.650000 0.0001384 Long ABS-MBS USGSE US N 2 2034-06-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EJG5 2505.630000 PA USD 2545.300000 0.0001908 Long ABS-MBS USGSE US N 2 2036-06-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179WQB7 830688.580000 PA USD 743025.300000 0.0557021 Long ABS-MBS USGSE US N 2 2051-10-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 21H030633 -10000000.000000 PA USD -8934767.300000 -0.66981 Short ABS-MBS USGSE US N 2 2056-03-19 Fixed 3 N N N N N N N/A N/A 000000000 6000000.000000 NC USD 308064.000000 0.0230945 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/4.48500 08/09/35-10Y LCH 2045-08-09 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-08-07 XXXX -220536.000000 N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ50 N/A 3137HDV31 10211920.000000 PA USD 10061828.260000 0.754302 Long ABS-MBS USGSE US N 2 2034-10-25 Fixed 4.228 N N N N N N GNMA PASS THRU POOLS N/A 36179UH70 2583112.990000 PA USD 2652654.910000 0.198861 Long ABS-MBS USGSE US N 2 2048-12-20 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133L8B53 3511871.790000 PA USD 3236773.770000 0.24265 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3138ETY91 1155777.270000 PA USD 1144463.080000 0.0857966 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3620AQQY2 241421.730000 PA USD 217615.090000 0.0163139 Long ABS-MBS USGSE US N 2 2042-11-20 Fixed 3.15 N N N N N N FHLMC PASS THRU POOLS N/A 3133KHLP9 655546.000000 PA USD 612827.320000 0.0459416 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2018-85 N/A 3136B3QF0 386222.280000 PA USD 48801.660000 0.0036585 Long ABS-MBS USGSE US N 2 2048-12-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36201EMU1 258.800000 PA USD 267.120000 0.00002 Long ABS-MBS USGSE US N 2 2032-02-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617M8AF3 1298248.710000 PA USD 1160564.460000 0.0870036 Long ABS-MBS USGSE US N 2 2050-03-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36291HC28 428.050000 PA USD 429.020000 0.0000322 Long ABS-MBS USGSE US N 2 2035-03-20 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040669 -65600000.000000 PA USD -61774713.120000 -4.63104 Short ABS-MBS USGSE US N 2 2056-06-11 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617BWMU6 1134111.230000 PA USD 1055526.240000 0.0791293 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36201SQA0 639.310000 PA USD 642.670000 0.0000482 Long ABS-MBS USGSE US N 2 2033-01-15 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-187 N/A 38382LD73 2209414.690000 PA USD 2061775.860000 0.154564 Long ABS-MBS USGSE US N 2 2050-12-20 Floating 4.03952 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-22 N/A 38383MRW0 9993464.700000 PA USD 6559649.270000 0.491755 Long ABS-MBS USGSE US N 2 2051-08-20 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TZ0 369000.000000 PA USD 366463.020000 0.0274725 Long DBT UST US N 2 2026-06-09 None 0 N N N N N N FANNIE MAE INTEREST STRIP 386 N/A 3136FFSR1 36909.250000 PA USD 8185.560000 0.0006136 Long ABS-MBS USGSE US N 2 2038-04-25 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617M7WQ7 8021870.140000 PA USD 7106397.390000 0.532743 Long ABS-MBS USGSE US N 2 2050-02-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 21H042646 12069000.000000 PA USD 11661232.660000 0.874204 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36200XHU6 599.790000 PA USD 608.330000 0.0000456 Long ABS-MBS USGSE US N 2 2031-12-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418FJH1 421486.390000 PA USD 430780.470000 0.0322942 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36212UDR9 149.090000 PA USD 155.860000 0.0000117 Long ABS-MBS USGSE US N 2 2031-02-15 Fixed 6 N N N N N N BRYANT PARK FUNDING 2024-22A LTD N/A 11766CAA2 2000000.000000 PA USD 2005163.780000 0.15032 Long ABS-CBDO CORP KY N 2 2037-04-15 Floating 5.29219 N N N N N N GNMA PASS THRU POOLS N/A 36213JPU3 420.030000 PA USD 423.250000 0.0000317 Long ABS-MBS USGSE US N 2 2031-07-15 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-138 N/A 38376MCQ8 88723.160000 PA USD 3584.500000 0.0002687 Long ABS-MBS USGSE US N 2 2045-08-20 Floating 1.24811 N N N N N N FNMA PASS THRU POOLS N/A 31418FKG1 345737.540000 PA USD 354545.680000 0.0265791 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NRNZ5 811098.400000 PA USD 827119.930000 0.0620064 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36205XCV4 1027.580000 PA USD 1039.870000 0.000078 Long ABS-MBS USGSE US N 2 2033-08-20 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140LKUC5 8060000.000000 PA USD 8120174.350000 0.608742 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4.59 N N N N N N FNMA PASS THRU POOLS N/A 3138X7NQ2 23352.910000 PA USD 21351.050000 0.0016006 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 3 N N N N N N FANNIE MAE 2002-14 N/A 31392CAZ7 341508.700000 PA USD 344144.090000 0.0257993 Long ABS-MBS USGSE US N 2 2040-10-25 Variable 4.14749 N N N N N N N/A N/A 000000000 4200000.000000 NC USD 167072.220000 0.0125248 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 -198327.780000 N N N FHLMC PASS THRU POOLS N/A 3133WL4E1 1170726.770000 PA USD 1197203.510000 0.0897503 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36207RR80 287.440000 PA USD 287.820000 0.0000216 Long ABS-MBS USGSE US N 2 2027-01-15 Fixed 7.25 N N N N N N GNMA PASS THRU POOLS N/A 36179XQN9 1193342.260000 PA USD 1206927.180000 0.0904793 Long ABS-MBS USGSE US N 2 2053-01-20 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29 N/A 38376RMB9 414.870000 PA USD 416.620000 0.0000312 Long ABS-MBS USGSE US N 2 2065-10-20 Floating 4.48325 N N N N N N FNMA PASS THRU POOLS N/A 3140LLMR9 1000000.000000 PA USD 1011586.890000 0.0758353 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.58 N N N N N N GNMA PASS THRU POOLS N/A 36210RQ45 468.070000 PA USD 476.750000 0.0000357 Long ABS-MBS USGSE US N 2 2029-12-15 Fixed 8 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166 N/A 38379FDK2 154571.370000 PA USD 6810.860000 0.0005106 Long ABS-MBS USGSE US N 2 2042-06-20 Floating 1.53918 N N N N N N FHLMC PASS THRU POOLS N/A 3133N3ZZ0 671186.570000 PA USD 683654.560000 0.0512513 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FUU8 5538.650000 PA USD 5429.490000 0.000407 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FZD1 1517.290000 PA USD 1595.160000 0.0001196 Long ABS-MBS USGSE US N 2 2041-11-20 Fixed 6 N N N N N N SEQUOIA MORTGAGE TRUST 2026-INV2 N/A 81750PBB1 800000.000000 PA USD 801971.280000 0.0601211 Long ABS-MBS CORP US N 2 2056-04-25 Floating 5.1716 N N N N N N GNMA PASS THRU POOLS N/A 36208YJE0 769.300000 PA USD 787.770000 0.0000591 Long ABS-MBS USGSE US N 2 2028-08-15 Fixed 7 N N N N N N GOVERNMENT NATL MTGE ASSOC 2009-115 N/A 38376GCX6 13435.270000 PA USD 0.130000 0 Long ABS-MBS USGSE US N 2 2051-11-16 Variable 0.74994 N N N N N N GNMA PASS THRU POOLS N/A 36202FP75 64516.670000 PA USD 63997.730000 0.0047977 Long ABS-MBS USGSE US N 2 2041-02-20 Fixed 4.5 N N N N N N N/A N/A 000000000 -16500000.000000 NC USD -56555.400000 -0.0042398 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 97.280000 USD 2026-06-04 XXXX -10149.150000 N N N GNMA PASS THRU POOLS N/A 36196TF74 147519.000000 PA USD 144141.240000 0.0108058 Long ABS-MBS USGSE US N 2 2047-03-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36210FLE4 205.200000 PA USD 208.720000 0.0000156 Long ABS-MBS USGSE US N 2 2028-11-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202EW54 938.850000 PA USD 987.070000 0.000074 Long ABS-MBS USGSE US N 2 2038-10-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617B1XT5 377192.100000 PA USD 350587.710000 0.0262824 Long ABS-MBS USGSE US N 2 2047-09-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EKX6 234.800000 PA USD 246.300000 0.0000185 Long ABS-MBS USGSE US N 2 2036-10-20 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31417AKL2 58518.980000 PA USD 58230.590000 0.0043654 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202EWC9 1850.930000 PA USD 1885.970000 0.0001414 Long ABS-MBS USGSE US N 2 2038-09-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36201LK29 271.610000 PA USD 272.640000 0.0000204 Long ABS-MBS USGSE US N 2 2034-12-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3618AHWE3 103418.930000 PA USD 107053.690000 0.0080255 Long ABS-MBS USGSE US N 2 2062-10-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36295NV20 215533.050000 PA USD 200336.560000 0.0150186 Long ABS-MBS USGSE US N 2 2047-07-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMC4 10111747.520000 PA USD 10462930.630000 0.784371 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWL43 2227236.190000 PA USD 2272757.400000 0.170381 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3618GLXV9 162139.200000 PA USD 152634.730000 0.0114425 Long ABS-MBS USGSE US N 2 2062-05-20 Fixed 4 N N N N N N FREDDIE MAC REMICS 5573 N/A 3137HMSG6 9855957.400000 PA USD 9910792.000000 0.742979 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.5619 N N N N N N GNMA PASS THRU POOLS N/A 3618N5RA9 1996065.000000 PA USD 1784529.240000 0.13378 Long ABS-MBS USGSE US N 2 2055-07-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36180DV61 3672.330000 PA USD 3452.610000 0.0002588 Long ABS-MBS USGSE US N 2 2043-05-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36230PV64 3260.800000 PA USD 3078.000000 0.0002307 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LKTR4 2000000.000000 PA USD 1999161.340000 0.14987 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4.44 N N N N N N FHLMC PASS THRU POOLS N/A 3133C5UH2 106755.930000 PA USD 106727.160000 0.008001 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31427P5E0 692403.220000 PA USD 730023.520000 0.0547274 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 31427N5B1 1682969.190000 PA USD 1770722.840000 0.132745 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H6LZ0 47862.540000 PA USD 45857.890000 0.0034378 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617FREJ7 83304.940000 PA USD 82957.070000 0.006219 Long ABS-MBS USGSE US N 2 2062-09-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36197MRM2 34795.530000 PA USD 33039.890000 0.0024769 Long ABS-MBS USGSE US N 2 2047-04-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36208X5L1 396.450000 PA USD 403.540000 0.0000303 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 6 N N N N N N N/A N/A 000000000 2900000.000000 NC USD 117246.130000 0.0087896 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 -140273.870000 N N N UMBS PASS THRU POOLS N/A 01F040651 11100000.000000 PA USD 10466608.470000 0.784647 Long ABS-MBS USGSE US N 2 2056-05-13 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140K05S3 362472.950000 PA USD 323966.670000 0.0242867 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36213UZ60 226.520000 PA USD 228.360000 0.0000171 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3142GRS27 1979931.300000 PA USD 2084696.670000 0.156283 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3620ABCL8 72335.970000 PA USD 72332.510000 0.0054225 Long ABS-MBS USGSE US N 2 2030-04-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617MJKL5 1886131.580000 PA USD 1659211.410000 0.124386 Long ABS-MBS USGSE US N 2 2050-02-20 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 31427RJT8 3289559.240000 PA USD 3274508.320000 0.245479 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138WTST4 37662.210000 PA USD 37097.950000 0.0027811 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179NH50 122627.350000 PA USD 120207.150000 0.0090115 Long ABS-MBS USGSE US N 2 2043-07-20 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 4240 N/A 3137B3UJ5 1107374.160000 PA USD 173036.740000 0.012972 Long ABS-MBS USGSE US N 2 2042-11-15 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31427MPL9 1008948.620000 PA USD 1065893.940000 0.0799065 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 36225BQH4 18.430000 PA USD 18.760000 0.0000014 Long ABS-MBS USGSE US N 2 2029-12-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36212JV60 530.870000 PA USD 544.090000 0.0000408 Long ABS-MBS USGSE US N 2 2030-09-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36210A5V5 21.260000 PA USD 21.640000 0.0000016 Long ABS-MBS USGSE US N 2 2029-02-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140LKWD1 11282967.000000 PA USD 11435847.820000 0.857307 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.68 N N N N N N GNMA PASS THRU POOLS N/A 36193MK27 315851.740000 PA USD 291972.860000 0.0218882 Long ABS-MBS USGSE US N 2 2046-04-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3618BDNA9 127927.090000 PA USD 116915.820000 0.0087648 Long ABS-MBS USGSE US N 2 2062-08-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617FHMV3 58782.050000 PA USD 56478.020000 0.004234 Long ABS-MBS USGSE US N 2 2062-07-20 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133AGAG4 32882.620000 PA USD 25556.490000 0.0019159 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 1.5 N N N N N N FHLMC STRUCTURED PASS THROUGH SECURITIES T-48 N/A 31392UZ80 404748.400000 PA USD 387552.460000 0.0290535 Long ABS-MBS USGSE US N 2 2033-07-25 Variable 4.55981 N N N N N N GNMA PASS THRU POOLS N/A 36202FPG5 260983.940000 PA USD 258898.160000 0.0194087 Long ABS-MBS USGSE US N 2 2041-01-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617F4W74 100903.490000 PA USD 96948.450000 0.0072679 Long ABS-MBS USGSE US N 2 2062-08-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JRC41 184635.490000 PA USD 175871.280000 0.0131845 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4 N N N N N N FANNIE MAE 2002-33 N/A 31392DGW6 1398370.690000 PA USD 1409229.460000 0.105645 Long ABS-MBS USGSE US N 2 2031-11-25 Floating 4.63781 N N N N N N N/A N/A 000000000 -88000000.000000 NC USD -89240.800000 -0.0066901 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 6.5% APR 30YR N/A 103.530000 USD 2026-04-06 XXXX 27634.200000 N N N GNMA PASS THRU POOLS N/A 36200KZD2 542.340000 PA USD 552.720000 0.0000414 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 6 N N N N N N FREDDIE MAC REMICS 5080 N/A 3137FXV62 26348364.770000 PA USD 5356274.760000 0.401542 Long ABS-MBS USGSE US N 2 2050-04-25 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36292F2K2 317.850000 PA USD 326.840000 0.0000245 Long ABS-MBS USGSE US N 2 2035-08-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36208PQT8 7248.260000 PA USD 7325.580000 0.0005492 Long ABS-MBS USGSE US N 2 2028-05-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 3617QY2Q7 21922372.250000 PA USD 19379686.830000 1.45283 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3 N N N N N N FREDDIE MAC REMICS 5534 N/A 3137HLEG3 1420053.600000 PA USD 1427839.750000 0.10704 Long ABS-MBS USGSE US N 2 2055-05-25 Floating 4.9119 N N N N N N GNMA PASS THRU POOLS N/A 36179SWK9 270777.680000 PA USD 240226.830000 0.018009 Long ABS-MBS USGSE US N 2 2047-02-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140FG5N5 236584.860000 PA USD 213242.020000 0.015986 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36230NFH3 132430.580000 PA USD 124912.500000 0.0093643 Long ABS-MBS USGSE US N 2 2040-10-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31371N4X0 679.490000 PA USD 688.210000 0.0000516 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179UH54 3936448.800000 PA USD 3875399.600000 0.290526 Long ABS-MBS USGSE US N 2 2048-12-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36213RWM5 462.280000 PA USD 465.700000 0.0000349 Long ABS-MBS USGSE US N 2 2034-01-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617MFXY1 52434.030000 PA USD 48285.030000 0.0036198 Long ABS-MBS USGSE US N 2 2050-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36295AGH2 667.030000 PA USD 691.880000 0.0000519 Long ABS-MBS USGSE US N 2 2037-12-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418E3E8 9276583.480000 PA USD 9335300.260000 0.699836 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 4182 N/A 3137B0ZL1 46553.050000 PA USD 2058.050000 0.0001543 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202DU74 316.520000 PA USD 327.810000 0.0000246 Long ABS-MBS USGSE US N 2 2032-11-20 Fixed 5.5 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AA7 866987.020000 PA USD 852552.900000 0.063913 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.381 N N N N N N SOUND POINT CLO XXIII 2019-2A N/A 83614BAQ2 500000.000000 PA USD 500669.770000 0.0375335 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.1038 N N N N N N GNMA PASS THRU POOLS N/A 36241L7B6 43684.040000 PA USD 43323.650000 0.0032478 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H19 N/A 38383KCS9 5810875.320000 PA USD 5893760.480000 0.441835 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 4.57294 N N N N N N FHLMC PASS THRU POOLS N/A 31427P4Y7 178168.860000 PA USD 189024.570000 0.0141705 Long ABS-MBS USGSE US N 2 2055-06-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8QN8 1165868.440000 PA USD 1076605.330000 0.0807095 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030447 -10800000.000000 PA USD -10316167.880000 -0.773369 Short ABS-MBS USGSE US N 2 2041-04-16 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133C8D93 365696.560000 PA USD 372141.010000 0.0278982 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31419ANB9 963338.070000 PA USD 931539.240000 0.0698344 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EP6V1 141935.700000 PA USD 147771.560000 0.0110779 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 6.187 N N N N N N GNMA PASS THRU POOLS N/A 36202TQH2 4035.320000 PA USD 4293.680000 0.0003219 Long ABS-MBS USGSE US N 2 2036-06-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36241KRH3 10446.960000 PA USD 11247.010000 0.0008432 Long ABS-MBS USGSE US N 2 2037-12-15 Fixed 6.5 N N N N N N N/A N/A 000000000 15000000.000000 NC USD 732381.000000 0.0549042 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/4.40000 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 -607119.000000 N N N N/A N/A 000000000 1.000000 NC USD 379067.890000 0.0284175 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-09-17 0.000000 USD -370007.520000 USD 42500000.000000 USD 749075.410000 N N N GNMA PASS THRU POOLS N/A 36202SBT4 130.610000 PA USD 135.010000 0.0000101 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140QGPN1 5894300.290000 PA USD 4979113.620000 0.373267 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2017-97 N/A 3136B0DY9 3495326.880000 PA USD 3419279.750000 0.256332 Long ABS-MBS USGSE US N 2 2047-12-25 Floating 4.07638 N N N N N N GNMA PASS THRU POOLS N/A 36202EXN4 35145.510000 PA USD 35360.180000 0.0026508 Long ABS-MBS USGSE US N 2 2038-11-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36184FDM7 16686.820000 PA USD 15688.120000 0.0011761 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XCSK2 1132266.200000 PA USD 1142315.880000 0.0856356 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36213NLF1 362.150000 PA USD 376.230000 0.0000282 Long ABS-MBS USGSE US N 2 2031-11-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617GLWQ3 34567.060000 PA USD 32592.690000 0.0024434 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179VL32 380202.260000 PA USD 332001.460000 0.024889 Long ABS-MBS USGSE US N 2 2050-05-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617FYWE3 457863.000000 PA USD 439916.650000 0.0329791 Long ABS-MBS USGSE US N 2 2062-07-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QC6C5 157952.930000 PA USD 152537.490000 0.0114352 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H4UM4 39359.160000 PA USD 37716.630000 0.0028275 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617HGAW4 97980.820000 PA USD 95043.270000 0.0071251 Long ABS-MBS USGSE US N 2 2048-11-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36241KU63 16881.440000 PA USD 17560.950000 0.0013165 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202E4K2 467.080000 PA USD 491.070000 0.0000368 Long ABS-MBS USGSE US N 2 2039-04-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202ENB1 1473.040000 PA USD 1563.420000 0.0001172 Long ABS-MBS USGSE US N 2 2037-05-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179UVW9 82125.030000 PA USD 73463.450000 0.0055073 Long ABS-MBS USGSE US N 2 2049-07-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617G0H45 662485.490000 PA USD 649724.560000 0.0487077 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.5 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ45 N/A 3137HA4L7 3300000.000000 PA USD 3337133.580000 0.250174 Long ABS-MBS USGSE US N 2 2031-01-25 Fixed 4.66 N N N N N N GNMA PASS THRU POOLS N/A 3618AY4N7 61482.840000 PA USD 58030.020000 0.0043503 Long ABS-MBS USGSE US N 2 2062-07-20 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132H3EE9 1191306.940000 PA USD 1159379.810000 0.0869148 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36213EZW9 781.680000 PA USD 790.320000 0.0000592 Long ABS-MBS USGSE US N 2 2032-05-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140H4BZ6 919720.510000 PA USD 848064.680000 0.0635766 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133N3ZX5 1025726.360000 PA USD 1041087.170000 0.0780468 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2006-22 N/A 38374M2X6 455123.140000 PA USD 383224.420000 0.0287291 Long ABS-MBS USGSE US N 2 2036-04-20 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36183XQD5 48522.610000 PA USD 46526.250000 0.0034879 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QK3U0 154732.780000 PA USD 119991.710000 0.0089954 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 1.5 N N N N N N GNMA PASS THRU POOLS N/A 3617WBGJ1 1166421.290000 PA USD 1071326.830000 0.0803138 Long ABS-MBS USGSE US N 2 2047-06-20 Fixed 3.5 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 503375.480000 PA USD 360223.300000 0.0270047 Long ABS-MBS CORP US N 2 2036-01-26 Floating 4.78769 N N N N N N FHLMC PASS THRU POOLS N/A 3133C55R8 58697.220000 PA USD 58548.680000 0.0043892 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36192S2Y5 659079.420000 PA USD 605283.610000 0.0453761 Long ABS-MBS USGSE US N 2 2046-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36197DZB7 524754.520000 PA USD 498019.550000 0.0373349 Long ABS-MBS USGSE US N 2 2047-02-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4324 N/A 3137BAGM8 51984.630000 PA USD 3650.840000 0.0002737 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 2.51327 N N N N N N GNMA PASS THRU POOLS N/A 36179TXW0 89784.580000 PA USD 88223.900000 0.0066139 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36230KKT7 44373.350000 PA USD 44816.840000 0.0033598 Long ABS-MBS USGSE US N 2 2040-10-15 Fixed 4.875 N N N N N N GNMA PASS THRU POOLS N/A 36294PMJ9 38371.440000 PA USD 40921.940000 0.0030678 Long ABS-MBS USGSE US N 2 2036-07-15 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C64F3 67634.210000 PA USD 67522.590000 0.0050619 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU85 8377.320000 PA USD 7970.620000 0.0005975 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3618FFKU9 115194.240000 PA USD 108440.560000 0.0081294 Long ABS-MBS USGSE US N 2 2062-05-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202DLT6 154.970000 PA USD 157.720000 0.0000118 Long ABS-MBS USGSE US N 2 2031-02-20 Fixed 6 N N N N N N FREDDIE MAC REMICS 5648 N/A 3137HQXV8 34400000.000000 PA USD 34225595.440000 2.56578 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.67223 N N N N N N GNMA PASS THRU POOLS N/A 36202DVL2 173.420000 PA USD 175.580000 0.0000132 Long ABS-MBS USGSE US N 2 2032-12-20 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMBZ7 4931607.800000 PA USD 4639563.360000 0.347813 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JVPM8 1750214.600000 PA USD 1542367.640000 0.115626 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3 N N N N N N N/A N/A 000000000 12100000.000000 NC USD 10863.380000 0.0008144 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/4.75000 07/02/26-10Y LCH 2036-07-02 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2026-06-30 XXXX -13336.620000 N N N GNMA PASS THRU POOLS N/A 3617GQJT1 248079.590000 PA USD 241683.820000 0.0181182 Long ABS-MBS USGSE US N 2 2048-07-15 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H6HW2 22371.050000 PA USD 21437.580000 0.0016071 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36208V3N3 1624.230000 PA USD 1639.030000 0.0001229 Long ABS-MBS USGSE US N 2 2028-03-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36209KBG2 4277.120000 PA USD 4357.620000 0.0003267 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XGAA7 7909751.780000 PA USD 7483041.550000 0.560979 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36176NBJ9 84676.710000 PA USD 82744.290000 0.0062031 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9PU1 77115.190000 PA USD 75938.840000 0.0056929 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36209EXS6 33.930000 PA USD 35.130000 0.0000026 Long ABS-MBS USGSE US N 2 2028-11-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179VHG8 1047019.690000 PA USD 924957.270000 0.069341 Long ABS-MBS USGSE US N 2 2050-03-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H15 N/A 38384AV59 1991652.800000 PA USD 2013801.970000 0.150968 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 4.67294 N N N N N N N/A N/A 000000000 1.000000 NC USD -195792.380000 -0.0146779 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-20 499707.800000 USD 0.000000 USD 70800000.000000 USD -695500.180000 N N N FANNIE MAE REMICS 2015-19 N/A 3136ANJM0 220054.880000 PA USD 10398.280000 0.0007795 Long ABS-MBS USGSE US N 2 2055-04-25 Floating 2.06968 N N N N N N GNMA PASS THRU POOLS N/A 36202EGC7 927.640000 PA USD 942.320000 0.0000706 Long ABS-MBS USGSE US N 2 2035-12-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36290UGN0 402.970000 PA USD 423.590000 0.0000318 Long ABS-MBS USGSE US N 2 2037-09-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617BYAC5 358339.390000 PA USD 333370.490000 0.0249917 Long ABS-MBS USGSE US N 2 2047-12-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202ELM9 426.140000 PA USD 455.340000 0.0000341 Long ABS-MBS USGSE US N 2 2036-12-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36179RBZ1 4899815.060000 PA USD 4846548.290000 0.36333 Long ABS-MBS USGSE US N 2 2045-04-20 Fixed 4.5 N N N N N N N/A N/A 000000000 -7000000.000000 NC USD -11673.900000 -0.0008752 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 96.100000 USD 2026-06-04 XXXX 22505.790000 N N N GNMA PASS THRU POOLS N/A 3618N56D6 5489770.750000 PA USD 4907984.660000 0.367935 Long ABS-MBS USGSE US N 2 2056-01-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617MGEH7 86786.220000 PA USD 83384.270000 0.006251 Long ABS-MBS USGSE US N 2 2062-06-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617G4LS9 194750.780000 PA USD 181266.280000 0.0135889 Long ABS-MBS USGSE US N 2 2047-12-20 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030660 -171300000.000000 PA USD -150231398.450000 -11.2623 Short ABS-MBS USGSE US N 2 2056-06-11 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36210D2G5 115.180000 PA USD 115.890000 0.0000087 Long ABS-MBS USGSE US N 2 2028-12-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202EYF0 15237.610000 PA USD 15322.800000 0.0011487 Long ABS-MBS USGSE US N 2 2038-12-20 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31294MKQ3 102203.050000 PA USD 101761.430000 0.0076287 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36183GBH9 49855.150000 PA USD 46870.750000 0.0035137 Long ABS-MBS USGSE US N 2 2044-12-15 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F060667 121734995.000000 PA USD 123911942.960000 9.28926 Long ABS-MBS USGSE US N 2 2056-06-11 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36290TVQ9 64028.870000 PA USD 67851.160000 0.0050866 Long ABS-MBS USGSE US N 2 2036-09-15 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 3140W0YW9 802300.740000 PA USD 846966.070000 0.0634942 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 3140LLZL8 392000.000000 PA USD 394091.690000 0.0295437 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 3622AAKH6 262349.700000 PA USD 256737.280000 0.0192467 Long ABS-MBS USGSE US N 2 2034-11-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XDV94 11186533.720000 PA USD 10306327.240000 0.772631 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 2 N N N N N N FANNIE MAE REMICS 2013-30 N/A 3136ADNA3 324985.980000 PA USD 35270.600000 0.0026441 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QTQD4 2091801.130000 PA USD 2198462.840000 0.164811 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3618A6MX6 231668.850000 PA USD 230701.470000 0.0172949 Long ABS-MBS USGSE US N 2 2062-09-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202C2X0 77.760000 PA USD 80.790000 0.0000061 Long ABS-MBS USGSE US N 2 2028-05-20 Fixed 6.5 N N N N N N IMS ECUADORIAN MORTGAGE 2021-1 TRUST N/A 44970EAA1 6622123.140000 PA USD 6467354.190000 0.484836 Long ABS-MBS CORP US N 2 2043-08-18 Fixed 3.4 N N N N N N FHLMC PASS THRU POOLS N/A 3132VMDX0 1300082.420000 PA USD 1247024.310000 0.0934852 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9A52 752860.970000 PA USD 749493.620000 0.056187 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 4 N N N N N N FREDDIE MAC REMICS-3598 N/A 31398KZ94 18508.900000 PA USD 823.920000 0.0000618 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 1.86036 N N N N N N GNMA PASS THRU POOLS N/A 36178CTY9 9833.810000 PA USD 9245.650000 0.0006931 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EN88 414.820000 PA USD 421.840000 0.0000316 Long ABS-MBS USGSE US N 2 2037-08-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179RE88 71293.400000 PA USD 70083.430000 0.0052539 Long ABS-MBS USGSE US N 2 2030-06-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X6S93 3292157.300000 PA USD 3053715.560000 0.228927 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36297GJZ4 1013.240000 PA USD 1016.120000 0.0000762 Long ABS-MBS USGSE US N 2 2033-06-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36209YNT1 343.440000 PA USD 352.480000 0.0000264 Long ABS-MBS USGSE US N 2 2031-07-15 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132A9UF2 227935.160000 PA USD 221221.820000 0.0165843 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179XS98 8525998.270000 PA USD 7918795.770000 0.593646 Long ABS-MBS USGSE US N 2 2053-02-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-65 N/A 38382E5Y9 873957.980000 PA USD 129687.940000 0.0097223 Long ABS-MBS USGSE US N 2 2050-05-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36295GQM7 35109.090000 PA USD 36239.340000 0.0027167 Long ABS-MBS USGSE US N 2 2039-01-15 Fixed 6 N N N N N N N/A N/A 000000000 -4000000.000000 NC USD -12581.200000 -0.0009432 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 94.270000 USD 2026-04-06 XXXX -1956.200000 N N N FNMA PASS THRU POOLS N/A 3138X6L60 37703.680000 PA USD 36837.560000 0.0027616 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 36225B4C9 422.810000 PA USD 437.600000 0.0000328 Long ABS-MBS USGSE US N 2 2034-02-15 Fixed 6 N N N N N N N/A N/A 000000000 -113.000000 NC USD 165495.740000 0.0124067 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-30 -23445292.880000 USD 165495.740000 N N N FNMA PASS THRU POOLS N/A 31413DK97 7062.740000 PA USD 7371.560000 0.0005526 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617M8AA4 200721.850000 PA USD 179738.760000 0.0134744 Long ABS-MBS USGSE US N 2 2050-03-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36292CMD3 6788.890000 PA USD 6784.940000 0.0005086 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31419AYM3 457068.050000 PA USD 441792.030000 0.0331197 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202E2A6 10276.640000 PA USD 10446.310000 0.0007831 Long ABS-MBS USGSE US N 2 2039-02-20 Fixed 5 N N N N N N RCKT MORTGAGE TRUST 2024-CES1 N/A 749424AA5 278871.260000 PA USD 280232.570000 0.0210081 Long ABS-MBS CORP US N 2 2044-02-25 Fixed 6.025 N N N N N N GNMA PASS THRU POOLS N/A 3618A0J96 1134671.850000 PA USD 1129933.780000 0.0847074 Long ABS-MBS USGSE US N 2 2062-09-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36178DCT6 72005.810000 PA USD 66456.670000 0.004982 Long ABS-MBS USGSE US N 2 2042-07-20 Fixed 3.5 N N N N N N N/A N/A 000000000 5600000.000000 NC USD 323929.760000 0.0242839 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/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -158510.240000 N N N GNMA PASS THRU POOLS N/A 36179YAR5 4049932.400000 PA USD 4030026.660000 0.302118 Long ABS-MBS USGSE US N 2 2053-07-20 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 312946PQ3 40356.620000 PA USD 41457.170000 0.0031079 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JHBA0 254336.010000 PA USD 243616.520000 0.0182631 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36225BRJ9 5240.060000 PA USD 5457.730000 0.0004091 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 7.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H02 N/A 38380QXB3 8620494.990000 PA USD 8799907.320000 0.6597 Long ABS-MBS USGSE US N 2 2071-01-20 Floating 5.03325 N N N N N N GNMA PASS THRU POOLS N/A 36209BHT8 105.560000 PA USD 107.750000 0.0000081 Long ABS-MBS USGSE US N 2 2029-02-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36297ABV4 307.900000 PA USD 317.920000 0.0000238 Long ABS-MBS USGSE US N 2 2039-01-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3618LV4V3 1274811.460000 PA USD 1316863.840000 0.0987209 Long ABS-MBS USGSE US N 2 2055-09-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 3617GBHY5 159499.790000 PA USD 150362.190000 0.0112722 Long ABS-MBS USGSE US N 2 2048-03-20 Fixed 4 N N N N N N FREDDIE MAC STRIPS 345 N/A 31325VRC0 397401.780000 PA USD 65005.580000 0.0048733 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-64 N/A 3136ATUB8 53174.740000 PA USD 5849.610000 0.0004385 Long ABS-MBS USGSE US N 2 2046-05-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132Y0UU2 61300.400000 PA USD 58816.060000 0.0044092 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617FWVE8 160425.770000 PA USD 145877.950000 0.010936 Long ABS-MBS USGSE US N 2 2061-08-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H17 N/A 38380QMV1 7672732.460000 PA USD 7835779.560000 0.587422 Long ABS-MBS USGSE US N 2 2070-10-20 Floating 5.03325 N N N N N N FNMA PASS THRU POOLS N/A 31416CBT2 33326.270000 PA USD 33293.450000 0.0024959 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408ABA7 1717.440000 PA USD 1699.610000 0.0001274 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36294TK61 81020.390000 PA USD 84538.130000 0.0063375 Long ABS-MBS USGSE US N 2 2036-09-15 Fixed 7 N N N N N N FREDDIE MAC-2616 N/A 31393QTG7 15893.070000 PA USD 192.140000 0.0000144 Long ABS-MBS USGSE US N 2 2027-02-15 Floating 3.96329 N N N N N N GNMA PASS THRU POOLS N/A 36201VZJ4 5514.830000 PA USD 5590.710000 0.0004191 Long ABS-MBS USGSE US N 2 2032-08-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36296HQD4 4184.300000 PA USD 4308.140000 0.000323 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140W1FP3 199202.550000 PA USD 203224.550000 0.0152351 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 4394 N/A 3137BEV43 37110.920000 PA USD 2002.000000 0.0001501 Long ABS-MBS USGSE US N 2 2041-08-15 Floating 2.26747 N N N N N N GNMA PASS THRU POOLS N/A 36295PKC5 91.100000 PA USD 92.480000 0.0000069 Long ABS-MBS USGSE US N 2 2037-12-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36208JDC3 141.800000 PA USD 143.450000 0.0000108 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 8 N N N N N N GNMA PASS THRU POOLS N/A 36179UMM1 1085641.070000 PA USD 1067805.740000 0.0800498 Long ABS-MBS USGSE US N 2 2049-02-20 Fixed 4.5 N N N N N N N/A N/A 000000000 7500000.000000 NC USD 460558.500000 0.0345265 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/4.40000 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 -217066.500000 N N N GNMA PASS THRU POOLS N/A 36295WU88 6458.020000 PA USD 6663.950000 0.0004996 Long ABS-MBS USGSE US N 2 2040-11-15 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23 N/A 38375B8G0 50358.750000 PA USD 50767.150000 0.0038058 Long ABS-MBS USGSE US N 2 2063-09-20 Floating 5.08325 N N N N N N GNMA PASS THRU POOLS N/A 36207JYN7 133.790000 PA USD 134.440000 0.0000101 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 7 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWJ53 1113997.950000 PA USD 1139167.750000 0.0853996 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418E5P1 2973157.180000 PA USD 2991294.540000 0.224247 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617MPQ68 1511814.730000 PA USD 1329939.500000 0.0997011 Long ABS-MBS USGSE US N 2 2050-02-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30 N/A 38376RKZ8 4866.770000 PA USD 4884.290000 0.0003662 Long ABS-MBS USGSE US N 2 2061-08-20 Floating 4.46325 N N N N N N UMBS PASS THRU POOLS N/A 01F050643 2500000.000000 PA USD 2465902.550000 0.184861 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202CZN6 92.400000 PA USD 93.000000 0.000007 Long ABS-MBS USGSE US N 2 2028-02-20 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36294RM71 2178.840000 PA USD 2245.670000 0.0001684 Long ABS-MBS USGSE US N 2 2036-12-15 Fixed 5.5 N N N N N N FANNIE MAE REMICS 2015-73 N/A 3136AP7M8 282532.020000 PA USD 185126.170000 0.0138783 Long ABS-MBS USGSE US N 2 2045-10-25 Floating 0.506236 N N N N N N GNMA PASS THRU POOLS N/A 36197EE85 325653.790000 PA USD 298783.510000 0.0223988 Long ABS-MBS USGSE US N 2 2047-04-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617AXW26 864245.180000 PA USD 801149.790000 0.0600595 Long ABS-MBS USGSE US N 2 2047-07-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110 N/A 38381YWG5 1531772.210000 PA USD 180774.850000 0.0135521 Long ABS-MBS USGSE US N 2 2049-09-20 Floating 2.26048 N N N N N N FHLMC PASS THRU POOLS N/A 3142JQS83 3837981.840000 PA USD 3819665.460000 0.286348 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31335BMB9 186245.320000 PA USD 178698.350000 0.0133964 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36290RQZ9 899.810000 PA USD 903.570000 0.0000677 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWNK5 85064975.090000 PA USD 85540163.350000 6.41266 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36210NQZ5 609.880000 PA USD 618.750000 0.0000464 Long ABS-MBS USGSE US N 2 2028-12-15 Fixed 8 N N N N N N FNMA PASS THRU POOLS N/A 31418EEE6 559344.660000 PA USD 515869.440000 0.038673 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140MUM56 26727.430000 PA USD 24678.050000 0.00185 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 21H022655 109000000.000000 PA USD 93731484.920000 7.02674 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 754213.030000 0.0565408 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 5549654.700000 USD 0.000000 USD 137400000.000000 USD -4795441.670000 N N N FNMA PASS THRU POOLS N/A 3140LLXU0 353273.120000 PA USD 358858.980000 0.0269025 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 4.9 N N N N N N GNMA PASS THRU POOLS N/A 36202EZF9 115799.780000 PA USD 117779.750000 0.0088296 Long ABS-MBS USGSE US N 2 2039-01-20 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MMV26 370156.240000 PA USD 360715.070000 0.0270416 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36181BBS8 63989.580000 PA USD 61393.170000 0.0046024 Long ABS-MBS USGSE US N 2 2043-05-15 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31427P5B6 337513.270000 PA USD 357166.620000 0.0267756 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36183SXZ9 1611788.020000 PA USD 1501435.780000 0.112558 Long ABS-MBS USGSE US N 2 2045-12-20 Fixed 3.75 N N N N N N FNMA PASS THRU POOLS N/A 3140QS3R0 553115.560000 PA USD 568610.190000 0.0426268 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31281BN63 9887.780000 PA USD 10162.450000 0.0007618 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36208AZN4 113818.320000 PA USD 114512.790000 0.0085846 Long ABS-MBS USGSE US N 2 2058-03-20 Floating 4.449 N N N N N N GNMA PASS THRU POOLS N/A 36230LE70 11258.540000 PA USD 11420.410000 0.0008561 Long ABS-MBS USGSE US N 2 2036-06-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617HPC44 25911.760000 PA USD 25876.270000 0.0019399 Long ABS-MBS USGSE US N 2 2048-09-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36207JT45 35.000000 PA USD 35.200000 0.0000026 Long ABS-MBS USGSE US N 2 2028-02-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36296QJA8 4987.110000 PA USD 5150.950000 0.0003861 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179S5S2 5725.090000 PA USD 6168.820000 0.0004625 Long ABS-MBS USGSE US N 2 2039-02-20 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31417GQT6 5922.320000 PA USD 5581.720000 0.0004184 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36177TZR1 633067.840000 PA USD 583952.360000 0.043777 Long ABS-MBS USGSE US N 2 2043-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TJQ9 115588.710000 PA USD 112595.280000 0.0084409 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36213ESE7 256.000000 PA USD 260.010000 0.0000195 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31329LE99 17238.990000 PA USD 17022.810000 0.0012761 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 2.5 N N N N N N CENTEX HOME EQUITY 2002-A N/A 152314EQ9 3369.390000 PA USD 3359.660000 0.0002519 Long ABS-MBS CORP US N 2 2032-01-25 Floating 4.09303 N N N N N N GNMA PASS THRU POOLS N/A 3617XBDN4 2954641.990000 PA USD 2645735.230000 0.198342 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36241KYT9 2278.510000 PA USD 2392.330000 0.0001793 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31417GQP4 141236.680000 PA USD 129321.750000 0.0096948 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMA8 19647714.920000 PA USD 19763574.150000 1.48161 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 36179SLS4 401340.250000 PA USD 377876.400000 0.0283281 Long ABS-MBS USGSE US N 2 2046-09-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617G1HC5 239964.670000 PA USD 223040.110000 0.0167206 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36177WNP1 970262.530000 PA USD 927226.980000 0.0695111 Long ABS-MBS USGSE US N 2 2042-06-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36294PL50 35579.660000 PA USD 37943.630000 0.0028445 Long ABS-MBS USGSE US N 2 2036-04-15 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31417AXE4 84840.600000 PA USD 84389.140000 0.0063264 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3620AS3C1 1027911.130000 PA USD 1015006.060000 0.0760916 Long ABS-MBS USGSE US N 2 2041-10-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617GWBB5 767322.090000 PA USD 747951.380000 0.0560714 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-15 N/A 38380CSQ7 169390.450000 PA USD 7197.840000 0.0005396 Long ABS-MBS USGSE US N 2 2045-11-20 Floating 1.20157 N N N N N N GNMA PASS THRU POOLS N/A 3618AXVU3 746380.490000 PA USD 678434.330000 0.05086 Long ABS-MBS USGSE US N 2 2062-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36201YPN0 2946.050000 PA USD 2996.800000 0.0002247 Long ABS-MBS USGSE US N 2 2034-04-15 Fixed 5.5 N N N N N N CSMC 2021-INV1 TRUST N/A 12661XAC6 987600.470000 PA USD 823521.320000 0.0617366 Long ABS-MBS CORP US N 2 2056-07-25 Variable 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36290VM68 5729.970000 PA USD 5905.710000 0.0004427 Long ABS-MBS USGSE US N 2 2037-01-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36200KVB0 8298.910000 PA USD 8544.650000 0.0006406 Long ABS-MBS USGSE US N 2 2033-05-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3622A2Q21 4301263.240000 PA USD 4107591.680000 0.307932 Long ABS-MBS USGSE US N 2 2045-11-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JABC1 2894317.130000 PA USD 2902908.450000 0.217621 Long ABS-MBS USGSE US N 2 2048-01-01 Floating 3.124 N N N N N N FREDDIE MAC STRIPS 330 N/A 31351DDT5 183802.730000 PA USD 181631.900000 0.0136163 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 4.14573 N N N N N N GNMA PASS THRU POOLS N/A 36179RW62 386275.230000 PA USD 364502.310000 0.0273255 Long ABS-MBS USGSE US N 2 2046-01-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JA2W7 628573.130000 PA USD 655757.040000 0.0491599 Long ABS-MBS USGSE US N 2 2049-08-01 Floating 5.741 N N N N N N GNMA PASS THRU POOLS N/A 3618MHQR8 5123663.470000 PA USD 5208304.030000 0.390449 Long ABS-MBS USGSE US N 2 2056-01-20 Fixed 6 N N N N N N UMBS PASS THRU POOLS N/A 01F052656 -178150000.000000 PA USD -178740896.830000 -13.3996 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36201UA53 10806.900000 PA USD 10980.850000 0.0008232 Long ABS-MBS USGSE US N 2 2032-09-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36202ETV1 13193.480000 PA USD 13345.690000 0.0010005 Long ABS-MBS USGSE US N 2 2038-06-20 Fixed 6 N N N N N N FANNIE MAE REMICS 2014-73 N/A 3136ALMD0 1313033.320000 PA USD 134188.990000 0.0100597 Long ABS-MBS USGSE US N 2 2044-11-25 Floating 2.42362 N N N N N N N/A N/A 000000000 -23000000.000000 NC USD -74319.900000 -0.0055715 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% APR 30YR N/A 102.230000 USD 2026-04-06 XXXX -35687.090000 N N N N/A N/A 000000000 3800000.000000 NC USD 212600.880000 0.015938 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 -134909.120000 N N N GNMA PASS THRU POOLS N/A 36295DXK0 7070.450000 PA USD 7379.490000 0.0005532 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 6 N N N N N N N/A N/A 000000000 3900000.000000 NC USD 204612.330000 0.0153391 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 -146192.670000 N N N FNMA PASS THRU POOLS N/A 3140HSRK9 723492.330000 PA USD 720255.690000 0.0539952 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.82 N N N N N N GNMA PASS THRU POOLS N/A 36297CV89 3576.720000 PA USD 3729.050000 0.0002796 Long ABS-MBS USGSE US N 2 2039-01-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36291UHA6 101229.220000 PA USD 104756.960000 0.0078533 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 5.475 N N N N N N GNMA PASS THRU POOLS N/A 36179NDU9 162463.450000 PA USD 165640.580000 0.0124175 Long ABS-MBS USGSE US N 2 2043-05-20 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140J6FD4 131387.960000 PA USD 123979.710000 0.0092943 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NGD72 189967.760000 PA USD 193322.910000 0.0144928 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-180 N/A 38379TGM5 168313.540000 PA USD 9442.170000 0.0007078 Long ABS-MBS USGSE US N 2 2042-06-20 Floating 1.48917 N N N N N N N/A N/A 000000000 16400000.000000 NC USD 77098.040000 0.0057798 N/A DIR US N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 Put Purchased MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 12/09/26-10Y LCH 2036-12-09 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2026-12-07 XXXX 33169.470000 N N N FANNIE MAE REMICS 2014-84 N/A 3136AL2X8 292020.050000 PA USD 1600.300000 0.00012 Long ABS-MBS USGSE US N 2 2043-02-25 Floating 0.2 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYX38 285405.300000 PA USD 284640.730000 0.0213386 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179U3S9 534144.890000 PA USD 469886.050000 0.0352258 Long ABS-MBS USGSE US N 2 2049-10-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202D6T3 345.500000 PA USD 346.570000 0.000026 Long ABS-MBS USGSE US N 2 2034-07-20 Fixed 5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H17 N/A 38380QMP4 7162473.360000 PA USD 7299309.550000 0.547205 Long ABS-MBS USGSE US N 2 2070-10-20 Floating 5.03325 N N N N N N GNMA PASS THRU POOLS N/A 36202DWG2 263.610000 PA USD 274.270000 0.0000206 Long ABS-MBS USGSE US N 2 2033-02-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3622ABCD2 392014.250000 PA USD 337730.210000 0.0253185 Long ABS-MBS USGSE US N 2 2051-08-20 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31418FLY1 338531.640000 PA USD 345841.700000 0.0259266 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36295LSJ1 3860.360000 PA USD 4042.150000 0.000303 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140LLY54 266628.960000 PA USD 268051.680000 0.0200949 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 3622AAF90 89666.320000 PA USD 84194.790000 0.0063118 Long ABS-MBS USGSE US N 2 2049-08-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140W1KH5 3396633.400000 PA USD 3518502.230000 0.26377 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 3132DWK93 17551332.620000 PA USD 17658402.240000 1.32379 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617GLVF8 28488.430000 PA USD 26861.350000 0.0020137 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36208V7B5 883.030000 PA USD 896.470000 0.0000672 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 3140W0YY5 1423378.640000 PA USD 1502975.130000 0.112673 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 36202EVH9 8223.770000 PA USD 8278.160000 0.0006206 Long ABS-MBS USGSE US N 2 2038-08-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36291FPX0 200877.590000 PA USD 195704.270000 0.0146713 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36196KTH6 221818.860000 PA USD 206451.110000 0.0154769 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36290SMS7 8359.920000 PA USD 8567.740000 0.0006423 Long ABS-MBS USGSE US N 2 2033-11-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3142GVC82 4642726.800000 PA USD 4892753.520000 0.366793 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617KPJ76 2563107.710000 PA USD 2254758.420000 0.169032 Long ABS-MBS USGSE US N 2 2049-08-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140H6DW6 220036.290000 PA USD 210855.070000 0.0158071 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617ALXP0 24534.530000 PA USD 23296.620000 0.0017465 Long ABS-MBS USGSE US N 2 2047-05-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617GAPT9 230340.470000 PA USD 209257.530000 0.0156873 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3.5 N N N N N N N/A N/A 000000000 -12500000.000000 NC USD -2661.250000 -0.0001995 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written UMBS PASS THRU POOLS FNMA TBA 6.0% MAY 30YR N/A 102.310000 USD 2026-05-06 XXXX 19799.690000 N N N FNMA PASS THRU POOLS N/A 3138ETJW7 281737.130000 PA USD 265483.710000 0.0199024 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B4GK7 19205.240000 PA USD 18236.150000 0.0013671 Long ABS-MBS USGSE US N 2 2047-07-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36296UV98 3876.010000 PA USD 3801.370000 0.000285 Long ABS-MBS USGSE US N 2 2035-11-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36193NZH6 116785.390000 PA USD 107227.980000 0.0080385 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B4HP5 33791.160000 PA USD 32086.100000 0.0024054 Long ABS-MBS USGSE US N 2 2047-08-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3620C1HB5 40893.570000 PA USD 40856.530000 0.0030629 Long ABS-MBS USGSE US N 2 2030-08-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179XHW9 6249288.790000 PA USD 5781256.490000 0.433402 Long ABS-MBS USGSE US N 2 2052-10-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36295UC74 823.050000 PA USD 865.190000 0.0000649 Long ABS-MBS USGSE US N 2 2037-12-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140XGAK5 2785370.630000 PA USD 2596283.740000 0.194635 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FL61 47097.680000 PA USD 44445.700000 0.0033319 Long ABS-MBS USGSE US N 2 2040-11-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617U8SK4 2583625.280000 PA USD 2219462.440000 0.166386 Long ABS-MBS USGSE US N 2 2050-11-20 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132CXTN2 2002160.280000 PA USD 2042584.920000 0.153126 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 5.5 N N N N N N N/A N/A 000000000 3800000.000000 NC USD 230161.820000 0.0172545 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 -110318.180000 N N N FNMA PASS THRU POOLS N/A 31419CMF7 6429.480000 PA USD 6223.160000 0.0004665 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140LK5D1 814000.000000 PA USD 851778.680000 0.063855 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 5.41 N N N N N N N/A N/A 000000000 400000.000000 NC USD 86.760000 0.0000065 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.07500 04/08/26-10Y LCH 2036-04-08 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2026-04-06 XXXX -953.240000 N N N GNMA PASS THRU POOLS N/A 36213APK4 553.250000 PA USD 557.880000 0.0000418 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617BQA73 395180.250000 PA USD 367645.320000 0.0275611 Long ABS-MBS USGSE US N 2 2047-11-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KR5X8 170232.750000 PA USD 178761.770000 0.0134012 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36292GS89 478.610000 PA USD 492.180000 0.0000369 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36241LQ66 25112.190000 PA USD 24982.950000 0.0018729 Long ABS-MBS USGSE US N 2 2040-09-15 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 31427RYE4 4218397.800000 PA USD 4206162.040000 0.315322 Long ABS-MBS USGSE US N 2 2056-02-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3133AMAN6 69712.440000 PA USD 54323.790000 0.0040725 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 1.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132JRKN7 641752.900000 PA USD 586914.950000 0.0439991 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617HGFQ2 36182.710000 PA USD 35353.940000 0.0026504 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HFFC8 72527.340000 PA USD 69323.950000 0.005197 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 21H060655 60000000.000000 PA USD 60945090.600000 4.56885 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132VLSJ7 165796.600000 PA USD 159112.260000 0.0119281 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36230ULU1 499295.270000 PA USD 487902.110000 0.0365764 Long ABS-MBS USGSE US N 2 2041-02-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617MQGB6 840561.910000 PA USD 777138.090000 0.0582594 Long ABS-MBS USGSE US N 2 2050-03-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617HF4A1 49860.720000 PA USD 49625.580000 0.0037203 Long ABS-MBS USGSE US N 2 2048-10-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36208CX77 47.930000 PA USD 48.320000 0.0000036 Long ABS-MBS USGSE US N 2 2027-06-15 Fixed 8 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYW39 571728.690000 PA USD 530185.890000 0.0397463 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36295NR90 2625.590000 PA USD 2727.470000 0.0002045 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36201NMH0 409.750000 PA USD 417.210000 0.0000313 Long ABS-MBS USGSE US N 2 2033-01-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140GT6E5 159438.690000 PA USD 149508.860000 0.0112082 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36200B7H4 772.540000 PA USD 786.150000 0.0000589 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 7 N N N N N N FHLMC PASS THRU POOLS N/A 31281BC40 2152.720000 PA USD 2156.880000 0.0001617 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 21H030633 10000000.000000 PA USD 8934767.300000 0.66981 Long ABS-MBS USGSE US N 2 2056-03-19 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140J8LH4 598082.750000 PA USD 589430.750000 0.0441877 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140NHVF2 224891.480000 PA USD 224125.100000 0.0168019 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3622A3BU3 4110365.080000 PA USD 3723880.150000 0.279167 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140NY4F5 1214162.800000 PA USD 1264326.140000 0.0947823 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 5.26 N N N N N N GNMA PASS THRU POOLS N/A 3618V36P5 1465283.120000 PA USD 1488598.620000 0.111595 Long ABS-MBS USGSE US N 2 2056-01-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36291GY34 941.410000 PA USD 944.570000 0.0000708 Long ABS-MBS USGSE US N 2 2034-05-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617GQJU8 32853.660000 PA USD 31829.530000 0.0023862 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3622AAB29 55526.850000 PA USD 54672.560000 0.0040986 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3617BVSX6 418997.640000 PA USD 408013.470000 0.0305874 Long ABS-MBS USGSE US N 2 2047-11-20 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -84372.460000 -0.0063251 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2036-03-18 0.000000 USD -249355.270000 USD 8000000.000000 USD 164982.810000 N N N GNMA PASS THRU POOLS N/A 36202DZH7 376.590000 PA USD 389.720000 0.0000292 Long ABS-MBS USGSE US N 2 2033-09-20 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138WCUK7 73405.860000 PA USD 69999.820000 0.0052477 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2013-20 N/A 3136ACVY4 796708.790000 PA USD 673539.760000 0.050493 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36200MEP4 653.770000 PA USD 668.250000 0.0000501 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412LFJ4 1018.350000 PA USD 1027.790000 0.000077 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617M8N93 701460.600000 PA USD 646250.500000 0.0484472 Long ABS-MBS USGSE US N 2 2050-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202D6G1 525.590000 PA USD 549.280000 0.0000412 Long ABS-MBS USGSE US N 2 2034-06-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EY94 782.280000 PA USD 786.430000 0.000059 Long ABS-MBS USGSE US N 2 2039-01-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617AJGT6 317884.610000 PA USD 295739.080000 0.0221706 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 3.5 N N N N N N GOVERNMENT NATL MTGE ASSOC 2021-104 N/A 38382UJG7 4303108.930000 PA USD 723623.280000 0.0542476 Long ABS-MBS USGSE US N 2 2051-06-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11 N/A 38383KZS4 5500694.020000 PA USD 5584800.180000 0.418674 Long ABS-MBS USGSE US N 2 2074-07-20 Floating 4.57294 N N N N N N GNMA PASS THRU POOLS N/A 36179NE95 25328.520000 PA USD 25005.940000 0.0018746 Long ABS-MBS USGSE US N 2 2028-06-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3620AKXM3 24512.600000 PA USD 25154.790000 0.0018858 Long ABS-MBS USGSE US N 2 2040-02-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202FB54 287880.260000 PA USD 297243.290000 0.0222833 Long ABS-MBS USGSE US N 2 2039-10-20 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31427P4Z4 302608.570000 PA USD 320684.210000 0.0240406 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XSC76 1110444.260000 PA USD 1166078.780000 0.087417 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KMHX6 10988791.970000 PA USD 9683404.360000 0.725932 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36225AT34 17.390000 PA USD 17.500000 0.0000013 Long ABS-MBS USGSE US N 2 2027-05-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36291SDL1 74473.630000 PA USD 78328.200000 0.005872 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133LPZ26 313364.580000 PA USD 320448.090000 0.0240229 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36207EJL9 715.080000 PA USD 724.190000 0.0000543 Long ABS-MBS USGSE US N 2 2033-11-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 21H062651 65500000.000000 PA USD 67882845.460000 5.08895 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36179MNL0 6273.990000 PA USD 6396.640000 0.0004795 Long ABS-MBS USGSE US N 2 2042-09-20 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140NTDD1 465227.890000 PA USD 464410.000000 0.0348153 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XGUJ3 613317.980000 PA USD 612302.350000 0.0459023 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.4 N N N N N N GNMA PASS THRU POOLS N/A 3617WNH88 857457.810000 PA USD 758569.590000 0.0568674 Long ABS-MBS USGSE US N 2 2051-08-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617GFDA2 20673.220000 PA USD 19390.530000 0.0014536 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133WMHE5 86614.910000 PA USD 88368.520000 0.0066247 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AYC64 2929.870000 PA USD 2911.640000 0.0002183 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202ELL1 33374.500000 PA USD 35035.080000 0.0026265 Long ABS-MBS USGSE US N 2 2036-12-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36201CZB3 127.760000 PA USD 128.850000 0.0000097 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138Y3XS5 304501.410000 PA USD 296449.380000 0.0222238 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202FFN1 4343.960000 PA USD 4258.320000 0.0003192 Long ABS-MBS USGSE US N 2 2040-04-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36213QZ36 56.230000 PA USD 57.900000 0.0000043 Long ABS-MBS USGSE US N 2 2031-08-15 Fixed 7 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H27 N/A 38383KHN5 19683966.420000 PA USD 19962591.000000 1.49653 Long ABS-MBS USGSE US N 2 2073-11-20 Floating 4.57294 N N N N N N GNMA PASS THRU POOLS N/A 36225BC55 347.690000 PA USD 351.470000 0.0000263 Long ABS-MBS USGSE US N 2 2028-12-15 Fixed 8 N N N N N N FREDDIE MAC REMICS 3962 N/A 3137AJKA1 96420.080000 PA USD 5613.630000 0.0004208 Long ABS-MBS USGSE US N 2 2038-06-15 Floating 2.28848 N N N N N N FNMA PASS THRU POOLS N/A 3140Q94T7 1195359.950000 PA USD 1173855.130000 0.088 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36186PML5 208780.530000 PA USD 196288.160000 0.0147151 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36292E2B5 6349.970000 PA USD 6460.700000 0.0004843 Long ABS-MBS USGSE US N 2 2035-07-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36196YDX8 105413.580000 PA USD 100043.260000 0.0074999 Long ABS-MBS USGSE US N 2 2047-01-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617B0YJ8 176655.420000 PA USD 165694.970000 0.0124216 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36294THX6 16573.450000 PA USD 16898.820000 0.0012668 Long ABS-MBS USGSE US N 2 2036-08-15 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 3140F5A45 676364.770000 PA USD 612579.570000 0.045923 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36295KW33 50381.400000 PA USD 53131.970000 0.0039831 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EKDV4 79711.280000 PA USD 82104.130000 0.0061551 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 6.075 N N N N N N GNMA PASS THRU POOLS N/A 36207NE91 1800.160000 PA USD 1804.480000 0.0001353 Long ABS-MBS USGSE US N 2 2027-02-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36225BXB9 279.270000 PA USD 288.520000 0.0000216 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179UT93 474658.430000 PA USD 433106.750000 0.0324686 Long ABS-MBS USGSE US N 2 2049-06-20 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-17 N/A 3136ARWA2 97224.820000 PA USD 4623.980000 0.0003466 Long ABS-MBS USGSE US N 2 2046-04-25 Floating 1.94399 N N N N N N GNMA PASS THRU POOLS N/A 36179N2M9 43408.610000 PA USD 44098.400000 0.0033059 Long ABS-MBS USGSE US N 2 2044-02-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QKF6 6464.760000 PA USD 6706.160000 0.0005027 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5.5 N N N N N N FREDDIE MAC 4836 N/A 3137FJE21 1246441.680000 PA USD 791595.290000 0.0593433 Long ABS-MBS USGSE US N 2 2058-10-15 Fixed 0 N N N N N N GNMA PASS THRU POOLS N/A 36186NMM8 462122.880000 PA USD 440889.670000 0.033052 Long ABS-MBS USGSE US N 2 2045-07-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36291Q5U4 488.650000 PA USD 503.920000 0.0000378 Long ABS-MBS USGSE US N 2 2036-03-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31417AXJ3 79182.240000 PA USD 78729.750000 0.0059021 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N N/A N/A 000000000 -9000000.000000 NC USD -11449.800000 -0.0008584 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 100.000000 USD 2026-06-04 XXXX 3315.830000 N N N FNMA PASS THRU POOLS N/A 3140NSSP0 674339.020000 PA USD 672096.030000 0.0503848 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180 N/A 38376T6N7 261818.000000 PA USD 11078.200000 0.0008305 Long ABS-MBS USGSE US N 2 2045-09-20 Floating 1.20741 N N N N N N GNMA PASS THRU POOLS N/A 36209N2S0 603.190000 PA USD 615.520000 0.0000461 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36225EKA9 21486.630000 PA USD 21873.380000 0.0016398 Long ABS-MBS USGSE US N 2 2038-06-20 Floating 5.625 N N N N N N GNMA PASS THRU POOLS N/A 36202EYM5 193146.450000 PA USD 203066.740000 0.0152232 Long ABS-MBS USGSE US N 2 2038-12-20 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138ENEW5 480250.320000 PA USD 499397.420000 0.0374382 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 6.343 N N N N N N N/A N/A 000000000 3800000.000000 NC USD 210908.740000 0.0158111 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 -136601.260000 N N N GNMA PASS THRU POOLS N/A 36179T7L3 267201.510000 PA USD 263146.720000 0.0197272 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EVC0 5859.400000 PA USD 6013.990000 0.0004508 Long ABS-MBS USGSE US N 2 2038-08-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36179NHF8 41146.920000 PA USD 40690.360000 0.0030504 Long ABS-MBS USGSE US N 2 2028-07-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138Y47C7 440684.570000 PA USD 428250.870000 0.0321045 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F052458 -36000000.000000 PA USD -36674267.760000 -2.74935 Short ABS-MBS USGSE US N 2 2041-05-18 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032666 -282800000.000000 PA USD -258696678.860000 -19.3936 Short ABS-MBS USGSE US N 2 2056-06-11 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179UKY7 628817.400000 PA USD 619456.630000 0.0464386 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NVB97 9494683.880000 PA USD 9968296.180000 0.74729 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.41 N N N N N N UMBS PASS THRU POOLS N/A 01F020448 -20500000.000000 PA USD -18862694.110000 -1.41407 Short ABS-MBS USGSE US N 2 2041-04-16 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 3618AYL32 421069.900000 PA USD 346918.650000 0.0260073 Long ABS-MBS USGSE US N 2 2063-02-20 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DSEP3 1508074.480000 PA USD 1584358.680000 0.118774 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202E6U8 4252.240000 PA USD 3970.830000 0.0002977 Long ABS-MBS USGSE US N 2 2039-07-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3622AACK8 595527.140000 PA USD 554569.240000 0.0415742 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TGV1 53100.900000 PA USD 51725.940000 0.0038777 Long ABS-MBS USGSE US N 2 2047-09-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36295NDU8 303.330000 PA USD 305.590000 0.0000229 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 3140HNV66 74162.620000 PA USD 72771.440000 0.0054554 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 31281BMZ0 18734.650000 PA USD 18763.560000 0.0014066 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CKK9 517165.980000 PA USD 502563.540000 0.0376755 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36213EZ74 111.330000 PA USD 115.030000 0.0000086 Long ABS-MBS USGSE US N 2 2032-05-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36177ML59 9176.530000 PA USD 8804.240000 0.00066 Long ABS-MBS USGSE US N 2 2042-02-15 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DUPL5 1704618.750000 PA USD 1793299.580000 0.134438 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 36200B3D7 1043.220000 PA USD 1086.860000 0.0000815 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LK3U5 977845.720000 PA USD 998791.390000 0.0748761 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 4.99 N N N N N N FNMA PASS THRU POOLS N/A 31417Y7L5 22124.600000 PA USD 21281.850000 0.0015954 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36193QNF6 374307.990000 PA USD 348382.940000 0.0261171 Long ABS-MBS USGSE US N 2 2046-04-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36212AWJ0 2246.410000 PA USD 2252.910000 0.0001689 Long ABS-MBS USGSE US N 2 2033-05-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3620ACZS6 25500.140000 PA USD 23959.710000 0.0017962 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 3140J5UX5 602664.410000 PA USD 591864.660000 0.0443701 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X63B5 845457.260000 PA USD 828954.040000 0.0621439 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617HP3M4 242582.710000 PA USD 229325.050000 0.0171917 Long ABS-MBS USGSE US N 2 2048-09-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CGM0 361411.560000 PA USD 351970.490000 0.0263861 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36189YFS6 442531.170000 PA USD 398907.210000 0.0299047 Long ABS-MBS USGSE US N 2 2045-12-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD -7756.750000 -0.0005815 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-03-18 0.000000 USD -94725.960000 USD 5400000.000000 USD 86969.210000 N N N FHLMC PASS THRU POOLS N/A 31426DZV7 201704.210000 PA USD 213210.720000 0.0159837 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132Y0FE5 89653.450000 PA USD 86020.630000 0.0064487 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 4096 N/A 3137ATCE0 63142.870000 PA USD 791.570000 0.0000593 Long ABS-MBS USGSE US N 2 2027-08-15 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TVV4 46383.730000 PA USD 45181.880000 0.0033871 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36178AZP5 18531.150000 PA USD 16949.610000 0.0012707 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QGEG8 7813326.220000 PA USD 6999227.710000 0.524709 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36194TRK4 283629.970000 PA USD 257760.110000 0.0193234 Long ABS-MBS USGSE US N 2 2046-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36208VVP7 7.170000 PA USD 7.320000 0.0000005 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36179NBE7 27358.510000 PA USD 27893.560000 0.0020911 Long ABS-MBS USGSE US N 2 2043-04-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KMD7 43420.810000 PA USD 44155.510000 0.0033102 Long ABS-MBS USGSE US N 2 2037-05-20 Fixed 5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-72 N/A 38380WH28 3219622.180000 PA USD 596883.500000 0.0447464 Long ABS-MBS USGSE US N 2 2045-08-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617H6P42 39295.130000 PA USD 38055.270000 0.0028529 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417AXF1 42870.120000 PA USD 42625.130000 0.0031955 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31419AVH7 9825.720000 PA USD 10313.380000 0.0007732 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132HBRF4 866324.670000 PA USD 843109.160000 0.0632051 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418FJ24 360047.110000 PA USD 367986.550000 0.0275867 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-214 N/A 38383FCZ4 2630834.100000 PA USD 335353.480000 0.0251403 Long ABS-MBS USGSE US N 2 2051-12-20 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A 38382Y5F6 1396161.890000 PA USD 1420681.560000 0.106504 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 4.82294 N N N N N N GNMA PASS THRU POOLS N/A 36202FJQ0 48664.100000 PA USD 48194.080000 0.0036129 Long ABS-MBS USGSE US N 2 2040-08-20 Fixed 4.5 N N N N N N FREDDIE MAC 2178 N/A 3133TLUJ5 310.170000 PA USD 25.640000 0.0000019 Long ABS-MBS USGSE US N 2 2029-08-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36179RS91 9561929.350000 PA USD 8964245.470000 0.672019 Long ABS-MBS USGSE US N 2 2045-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36208WBE2 71.950000 PA USD 72.630000 0.0000054 Long ABS-MBS USGSE US N 2 2028-05-15 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QDVB7 256840.420000 PA USD 236649.260000 0.0177408 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.5 N N N N N N DRSLF-2017-54A N/A 26244RAF8 68076.120000 PA USD 68160.270000 0.0051097 Long ABS-CBDO CORP KY N 2 2029-10-19 Floating 4.81763 N N N N N N N/A N/A 000000000 6600000.000000 NC USD 327398.280000 0.024544 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/4.42700 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-08-06 XXXX -253401.720000 N N N GNMA PASS THRU POOLS N/A 3617H4C66 59982.010000 PA USD 58078.490000 0.004354 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3620AARB6 51518.510000 PA USD 53236.090000 0.0039909 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36212XG66 47733.810000 PA USD 49584.860000 0.0037172 Long ABS-MBS USGSE US N 2 2034-10-15 Fixed 5.87 N N N N N N GNMA PASS THRU POOLS N/A 3617G0JC5 258413.910000 PA USD 243669.890000 0.0182671 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140NMS73 683830.210000 PA USD 664116.950000 0.0497866 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GYK57 216193.900000 PA USD 203145.170000 0.0152291 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FEK8 34028.710000 PA USD 35135.370000 0.002634 Long ABS-MBS USGSE US N 2 2040-02-20 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FKS35 251260.800000 PA USD 227564.170000 0.0170597 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3 N N N N N N N/A N/A 000000000 -8500000.000000 NC USD -20199.400000 -0.0015143 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 94.090000 USD 2026-04-06 XXXX 14995.910000 N N N GNMA PASS THRU POOLS N/A 36210NP45 1407.270000 PA USD 1428.810000 0.0001071 Long ABS-MBS USGSE US N 2 2028-12-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617BU2B4 34640.800000 PA USD 33560.710000 0.0025159 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GQJ98 52529.270000 PA USD 50490.150000 0.0037851 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179MC40 69386.330000 PA USD 70743.320000 0.0053034 Long ABS-MBS USGSE US N 2 2042-05-20 Fixed 5 N N N N N N FREDDIE MAC REMICS 5444 N/A 3137HFD77 1584590.040000 PA USD 1594828.550000 0.119559 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 4.7819 N N N N N N GNMA PASS THRU POOLS N/A 36202EUT4 1165.500000 PA USD 1198.530000 0.0000898 Long ABS-MBS USGSE US N 2 2038-07-20 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMQN8 14326994.920000 PA USD 12704883.390000 0.952443 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179TTX3 373733.800000 PA USD 331554.410000 0.0248555 Long ABS-MBS USGSE US N 2 2048-03-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418CNG5 458680.010000 PA USD 445772.770000 0.0334181 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179NM39 28827.890000 PA USD 25578.040000 0.0019175 Long ABS-MBS USGSE US N 2 2043-09-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202EVP1 695.020000 PA USD 740.100000 0.0000555 Long ABS-MBS USGSE US N 2 2038-08-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202XLK1 725.880000 PA USD 727.820000 0.0000546 Long ABS-MBS USGSE US N 2 2034-01-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3622A2ZK1 750410.780000 PA USD 704132.380000 0.0527865 Long ABS-MBS USGSE US N 2 2047-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36225BRX8 7927.630000 PA USD 8320.560000 0.0006238 Long ABS-MBS USGSE US N 2 2032-02-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 3620C56M4 17376.280000 PA USD 16389.730000 0.0012287 Long ABS-MBS USGSE US N 2 2041-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617WBGK8 692125.940000 PA USD 638909.090000 0.0478969 Long ABS-MBS USGSE US N 2 2051-06-20 Fixed 3.5 N N N N N N JP MORGAN MORTGAGE TRUST 2021-INV8 N/A 46654RAG7 5848473.420000 PA USD 5090440.500000 0.381613 Long ABS-MBS CORP US N 2 2052-05-25 Variable 3 N N N N N N N/A N/A 000000000 -14000000.000000 NC USD -58136.400000 -0.0043583 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% JUN 30YR N/A 101.980000 USD 2026-06-04 XXXX -30792.650000 N N N GNMA PASS THRU POOLS N/A 36210MQS3 4524.790000 PA USD 4710.170000 0.0003531 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XH6Q5 5868798.610000 PA USD 4987233.690000 0.373876 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 3617HJDD7 712701.770000 PA USD 690213.530000 0.051743 Long ABS-MBS USGSE US N 2 2048-09-20 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126 N/A 38379QFL4 519190.650000 PA USD 336765.690000 0.0252462 Long ABS-MBS USGSE US N 2 2045-09-20 Floating 0.50834 N N N N N N GNMA PASS THRU POOLS N/A 3622AA3G7 35943276.530000 PA USD 31088535.700000 2.3306 Long ABS-MBS USGSE US N 2 2051-03-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FLU8 8391.690000 PA USD 8643.600000 0.000648 Long ABS-MBS USGSE US N 2 2038-12-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36241KEA2 2356.840000 PA USD 2467.180000 0.000185 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 6 N N N N N N N/A N/A 000000000 10400000.000000 NC USD 12918.880000 0.0009685 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call 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/3.22400 05/20/26-7Y LCH 2033-05-20 0.000000 USD 0.000000 USD N/A USD N/A 3.220000 USD 2026-05-18 XXXX -29704.070000 N N N GNMA PASS THRU POOLS N/A 36297AAZ6 1064.060000 PA USD 1106.640000 0.000083 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2007-28 N/A 38375J8N8 4839.950000 PA USD 3962.090000 0.000297 Long ABS-MBS USGSE US N 2 2037-05-20 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36177KFK7 12431.710000 PA USD 11688.170000 0.0008762 Long ABS-MBS USGSE US N 2 2042-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179MA26 302842.500000 PA USD 308768.620000 0.0231474 Long ABS-MBS USGSE US N 2 2042-04-20 Fixed 5 N N N N N N FANNIEMAE WHOLE LOAN 2002-W6 N/A 31392DG63 746990.190000 PA USD 726281.010000 0.0544469 Long ABS-MBS USGSE US N 2 2042-01-25 Variable 5.43778 N N N N N N GNMA PASS THRU POOLS N/A 36176SA26 8675.690000 PA USD 8156.700000 0.0006115 Long ABS-MBS USGSE US N 2 2042-06-15 Fixed 3.5 N N N N N N N/A N/A 000000000 161.000000 NC USD -421419.430000 -0.0315924 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 18262179.770000 USD -421419.430000 N N N GNMA PASS THRU POOLS N/A 36183SXS5 773198.560000 PA USD 720738.750000 0.0540314 Long ABS-MBS USGSE US N 2 2045-06-20 Fixed 3.75 N N N N N N GNMA PASS THRU POOLS N/A 3620A9YX3 55086.680000 PA USD 54375.250000 0.0040763 Long ABS-MBS USGSE US N 2 2039-12-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617JRLB2 131128.190000 PA USD 120421.730000 0.0090276 Long ABS-MBS USGSE US N 2 2049-05-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XKJ76 1669008.430000 PA USD 1469781.900000 0.110185 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3618MFDQ8 452193.600000 PA USD 459470.960000 0.034445 Long ABS-MBS USGSE US N 2 2055-12-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36241LRX6 288164.700000 PA USD 285662.070000 0.0214151 Long ABS-MBS USGSE US N 2 2040-12-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36208YJK6 329.510000 PA USD 333.380000 0.000025 Long ABS-MBS USGSE US N 2 2028-08-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 3622ABFC1 320989.580000 PA USD 276540.920000 0.0207313 Long ABS-MBS USGSE US N 2 2051-10-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36296TSS3 923.850000 PA USD 943.920000 0.0000708 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617A5CJ2 105114.480000 PA USD 98760.380000 0.0074037 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31300LYH2 515110.540000 PA USD 534562.490000 0.0400744 Long ABS-MBS USGSE US N 2 2039-10-01 Floating 6.403 N N N N N N FNMA PASS THRU POOLS N/A 3140GRAU8 59244.750000 PA USD 56772.510000 0.004256 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31295MX47 2531.700000 PA USD 2577.560000 0.0001932 Long ABS-MBS USGSE US N 2 2031-05-01 Floating 6.075 N N N N N N FNMA PASS THRU POOLS N/A 31418CHH0 349039.800000 PA USD 339429.150000 0.0254459 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36295A7E9 399.210000 PA USD 411.020000 0.0000308 Long ABS-MBS USGSE US N 2 2037-02-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3618AY6F2 164203.140000 PA USD 154981.890000 0.0116185 Long ABS-MBS USGSE US N 2 2062-08-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X6S77 6162683.190000 PA USD 5514641.490000 0.413414 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617GBLM6 67291.010000 PA USD 63436.230000 0.0047556 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140XECC6 20252579.320000 PA USD 19122255.320000 1.43353 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617JEM38 654079.880000 PA USD 635429.730000 0.047636 Long ABS-MBS USGSE US N 2 2049-02-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FG6S3 248287.180000 PA USD 224869.410000 0.0168577 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3618F6T97 332836.690000 PA USD 313324.930000 0.0234889 Long ABS-MBS USGSE US N 2 2061-07-20 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128S3JQ3 251880.930000 PA USD 223417.120000 0.0167488 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3620ARLM1 47257.870000 PA USD 45144.360000 0.0033843 Long ABS-MBS USGSE US N 2 2040-10-15 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131XDKG9 223366.920000 PA USD 216201.890000 0.0162079 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36200KRF6 1155.340000 PA USD 1154.890000 0.0000866 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LKEB5 100000.000000 PA USD 100900.020000 0.0075641 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -5979530.330000 -0.448265 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-19 0.000000 USD -15518727.440000 USD 275410000.000000 USD 9539197.110000 N N N GNMA PASS THRU POOLS N/A 36210C4L4 12353.670000 PA USD 12672.630000 0.00095 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 6.25 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H16 N/A 38380QKM3 19149755.400000 PA USD 19468786.500000 1.45951 Long ABS-MBS USGSE US N 2 2070-09-20 Floating 5.03325 N N N N N N FANNIE MAE REMICS 2014-42 N/A 3136AKPR8 132757.200000 PA USD 5056.810000 0.0003791 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 1.8749 N N N N N N GNMA PASS THRU POOLS N/A 36176ENG2 414196.650000 PA USD 388333.310000 0.0291121 Long ABS-MBS USGSE US N 2 2043-10-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31294MKJ9 8559.600000 PA USD 8522.060000 0.0006389 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 250477.950000 0.0187775 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-03-19 374071.740000 USD 0.000000 USD 5700000.000000 USD -123593.790000 N N N N/A N/A 000000000 6500000.000000 NC USD 372645.000000 0.027936 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/4.55875 07/11/35-10Y LCH 2045-07-11 0.000000 USD 0.000000 USD N/A USD N/A 4.560000 USD 2035-07-09 XXXX -204555.000000 N N N FNMA PASS THRU POOLS N/A 3140X3CN6 4417167.300000 PA USD 3951759.530000 0.29625 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H20 N/A 38382YYK3 249173.150000 PA USD 250252.120000 0.0187606 Long ABS-MBS USGSE US N 2 2072-08-20 Floating 4.47294 N N N N N N GNMA PASS THRU POOLS N/A 36202FVZ6 2554.320000 PA USD 2550.610000 0.0001912 Long ABS-MBS USGSE US N 2 2041-07-20 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F060675 88000000.000000 PA USD 89539301.280000 6.71246 Long ABS-MBS USGSE US N 2 2056-07-13 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3142GRQ37 651686.650000 PA USD 655662.130000 0.0491528 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31329QHD6 2400236.610000 PA USD 2299270.800000 0.172369 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36209J7D7 1112.390000 PA USD 1140.690000 0.0000855 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 6.5 N N N N N N FREDDIE MAC 4839 N/A 3137FJJY6 570072.540000 PA USD 355549.000000 0.0266543 Long ABS-MBS USGSE US N 2 2056-08-15 None 0 N N N N N N N/A N/A 000000000 9000000.000000 NC USD 19452.600000 0.0014583 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 98.470000 USD 2026-06-04 XXXX -17109.900000 N N N N/A N/A 000000000 9600000.000000 NC USD 485652.480000 0.0364077 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/4.46000 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.460000 USD 2035-08-06 XXXX -358187.520000 N N N GNMA PASS THRU POOLS N/A 36202D2E0 951.040000 PA USD 971.770000 0.0000729 Long ABS-MBS USGSE US N 2 2033-11-20 Fixed 5.5 N N N N N N N/A N/A 000000000 -39000000.000000 NC USD -265866.900000 -0.0199312 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.5% APR 30YR N/A 101.110000 USD 2026-04-06 XXXX -143991.900000 N N N GNMA PASS THRU POOLS N/A 36290VJ21 1274.180000 PA USD 1341.360000 0.0001006 Long ABS-MBS USGSE US N 2 2036-10-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FGE0 2961229.300000 PA USD 3017424.250000 0.226206 Long ABS-MBS USGSE US N 2 2040-05-20 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140NTB84 840077.460000 PA USD 857564.240000 0.0642887 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36212XFS9 70138.690000 PA USD 70671.290000 0.005298 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 5.875 N N N N N N GNMA PASS THRU POOLS N/A 36202DM57 334.360000 PA USD 347.510000 0.0000261 Long ABS-MBS USGSE US N 2 2031-05-20 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YEP8 7615.310000 PA USD 7400.620000 0.0005548 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3622ABJF0 133525.530000 PA USD 115034.730000 0.0086238 Long ABS-MBS USGSE US N 2 2051-11-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 3618N6AY3 598212.460000 PA USD 536219.920000 0.0401986 Long ABS-MBS USGSE US N 2 2056-02-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31427P5D2 427721.130000 PA USD 451216.170000 0.0338262 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H06 N/A 38381TC60 2573565.100000 PA USD 2497569.010000 0.187234 Long ABS-MBS USGSE US N 2 2069-01-20 Variable 3.5 N N N N N N N/A N/A 000000000 -22000000.000000 NC USD -91225.200000 -0.0068388 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% APR 30YR N/A 102.330000 USD 2026-04-06 XXXX -51693.950000 N N N FNMA PASS THRU POOLS N/A 3140LMC31 1135217.640000 PA USD 1175685.660000 0.0881372 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 6.01 N N N N N N GNMA PASS THRU POOLS N/A 36179NM70 40443.160000 PA USD 40331.750000 0.0030235 Long ABS-MBS USGSE US N 2 2043-09-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202DS36 436.110000 PA USD 452.890000 0.000034 Long ABS-MBS USGSE US N 2 2032-05-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3618A6M65 144872.170000 PA USD 144267.210000 0.0108152 Long ABS-MBS USGSE US N 2 2062-09-20 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140EW3W3 68710.150000 PA USD 62434.100000 0.0046805 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36241LWM4 723388.310000 PA USD 711422.640000 0.053333 Long ABS-MBS USGSE US N 2 2041-03-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31410LGQ9 883233.630000 PA USD 853524.880000 0.0639859 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3618AW6F6 16686770.800000 PA USD 17424740.240000 1.30627 Long ABS-MBS USGSE US N 2 2053-08-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3620AALN6 1387.600000 PA USD 1425.020000 0.0001068 Long ABS-MBS USGSE US N 2 2039-11-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133C3W36 101213.690000 PA USD 103651.720000 0.0077704 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3620ASHZ5 25697.130000 PA USD 25746.330000 0.0019301 Long ABS-MBS USGSE US N 2 2034-11-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202SFH6 990.550000 PA USD 996.750000 0.0000747 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617G02L3 6836.160000 PA USD 6479.610000 0.0004858 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179RVB2 7103068.960000 PA USD 6681524.690000 0.500892 Long ABS-MBS USGSE US N 2 2045-12-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EP2M5 927802.330000 PA USD 909951.140000 0.068216 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31281BMU1 15506.540000 PA USD 15292.820000 0.0011465 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JLYX6 67285.060000 PA USD 66189.250000 0.004962 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133CMJ88 256281.300000 PA USD 267460.440000 0.0200506 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36295UCL3 695.990000 PA USD 712.220000 0.0000534 Long ABS-MBS USGSE US N 2 2040-06-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31417EQ38 192824.620000 PA USD 183598.510000 0.0137638 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.5 N N N N N N N/A N/A 000000000 -16500000.000000 NC USD -14635.500000 -0.0010972 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 100.280000 USD 2026-06-04 XXXX 21458.250000 N N N GNMA PASS THRU POOLS N/A 36200KU96 22210.780000 PA USD 22625.840000 0.0016962 Long ABS-MBS USGSE US N 2 2033-05-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36186NLH0 60536.460000 PA USD 55209.930000 0.0041389 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133JMD53 700586.290000 PA USD 710867.600000 0.0532914 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3618N5ER6 111155965.110000 PA USD 102057519.230000 7.65091 Long ABS-MBS USGSE US N 2 2055-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202ESA8 84366.670000 PA USD 85782.640000 0.0064308 Long ABS-MBS USGSE US N 2 2038-04-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KHE1 788.270000 PA USD 821.930000 0.0000616 Long ABS-MBS USGSE US N 2 2036-01-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36201L2M5 526.530000 PA USD 539.080000 0.0000404 Long ABS-MBS USGSE US N 2 2033-05-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202EYG8 517.820000 PA USD 520.500000 0.000039 Long ABS-MBS USGSE US N 2 2038-12-20 Fixed 6.5 N N N N N N FREDDIE MAC REMICS 3635 N/A 31398WJ21 37184.750000 PA USD 1836.120000 0.0001376 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 1.91903 N N N N N N N/A N/A 000000000 -12500000.000000 NC USD -67866.250000 -0.0050877 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% MAY 30YR N/A 102.310000 USD 2026-05-06 XXXX -44428.750000 N N N GNMA PASS THRU POOLS N/A 3618FFXV3 77418.200000 PA USD 80242.700000 0.0060155 Long ABS-MBS USGSE US N 2 2053-09-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3620ATLW5 54847.870000 PA USD 51465.710000 0.0038582 Long ABS-MBS USGSE US N 2 2041-10-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36209HFC4 1296.180000 PA USD 1304.680000 0.0000978 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 21H030641 -20000000.000000 PA USD -17858120.200000 -1.33876 Short ABS-MBS USGSE US N 2 2056-04-21 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202EP86 9779.850000 PA USD 9895.210000 0.0007418 Long ABS-MBS USGSE US N 2 2037-11-20 Fixed 5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57 N/A 38380B7Q2 85370.670000 PA USD 3951.130000 0.0002962 Long ABS-MBS USGSE US N 2 2045-12-20 Floating 1.23556 N N N N N N GNMA PASS THRU POOLS N/A 36295XW50 270.700000 PA USD 281.620000 0.0000211 Long ABS-MBS USGSE US N 2 2038-02-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413D6C6 4561.450000 PA USD 4774.520000 0.0003579 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140X5VM2 8319693.720000 PA USD 7331642.320000 0.549629 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-76 N/A 3136ATY81 41735.590000 PA USD 1795.990000 0.0001346 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 1.86813 N N N N N N FHLMC PASS THRU POOLS N/A 3133C5UN9 179149.040000 PA USD 178758.550000 0.0134009 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128PXVT0 65435.770000 PA USD 65088.360000 0.0048795 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-23 N/A 38378MAC9 1042192.790000 PA USD 114821.090000 0.0086078 Long ABS-MBS USGSE US N 2 2042-08-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36198KJB8 212568.990000 PA USD 199847.730000 0.0149819 Long ABS-MBS USGSE US N 2 2044-06-15 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-116 N/A 38375C5W6 148241.330000 PA USD 1851.300000 0.0001388 Long ABS-MBS USGSE US N 2 2027-09-20 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022659 -90950000.000000 PA USD -76444186.230000 -5.73077 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36178EW47 28671.790000 PA USD 26939.590000 0.0020196 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128PXV37 6577.190000 PA USD 6542.260000 0.0004905 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MTGE 2004-46 N/A 38374G5Z1 30499.570000 PA USD 25653.760000 0.0019232 Long ABS-MBS USGSE US N 2 2034-06-20 None 0 N N N N N N GOVERNMENT NATL MTGE ASSOC 2010-14 N/A 38376WBS3 37257.410000 PA USD 31538.640000 0.0023643 Long ABS-MBS USGSE US N 2 2035-08-20 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36179NKL1 78120.410000 PA USD 77283.490000 0.0057937 Long ABS-MBS USGSE US N 2 2028-08-20 Fixed 3 N N N N N N N/A N/A 000000000 3970.000000 PA USD 3970.000000 0.0002976 Long RA US N 2 Repurchase N 3.380000 2026-04-01 4000.000000 USD 3972.500000 USD UST N N N FNMA PASS THRU POOLS N/A 31418C2G8 47080.350000 PA USD 44761.250000 0.0033556 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36207LF29 362.090000 PA USD 365.700000 0.0000274 Long ABS-MBS USGSE US N 2 2030-12-15 Fixed 8.5 N N N N N N GNMA PASS THRU POOLS N/A 3622A2U91 1061235.020000 PA USD 1034029.810000 0.0775178 Long ABS-MBS USGSE US N 2 2046-07-15 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WJN38 1647766.050000 PA USD 1501543.520000 0.112566 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36200H3E2 640.230000 PA USD 644.460000 0.0000483 Long ABS-MBS USGSE US N 2 2033-01-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36225BUE6 3769.040000 PA USD 3912.210000 0.0002933 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36208GR67 2934.320000 PA USD 2952.510000 0.0002213 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36202EPC7 2180.030000 PA USD 2276.940000 0.0001707 Long ABS-MBS USGSE US N 2 2037-08-20 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 3138X8MV0 21884.540000 PA USD 21324.820000 0.0015987 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 2 N N N N N N GOVERNMENT NATL MTGE ASSOC 2004-35 N/A 38374GPK2 190345.550000 PA USD 164835.520000 0.0123572 Long ABS-MBS USGSE US N 2 2034-03-20 None 0 N N N N N N N/A N/A 000000000 17000000.000000 NC USD 23211.800000 0.0017401 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 -325925.700000 N N N GNMA PASS THRU POOLS N/A 3618N5VE6 4491664.940000 PA USD 4597575.390000 0.344665 Long ABS-MBS USGSE US N 2 2055-09-20 Fixed 6.5 N N N N N N N/A N/A 000000000 -4500000.000000 NC USD -5505.300000 -0.0004127 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% JUN 30YR N/A 100.030000 USD 2026-06-04 XXXX 1877.510000 N N N FHLMC PASS THRU POOLS N/A 3128MMWZ2 731072.620000 PA USD 711134.340000 0.0533114 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36208CYJ0 42.040000 PA USD 42.060000 0.0000032 Long ABS-MBS USGSE US N 2 2027-06-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36296R3Q8 325.540000 PA USD 337.730000 0.0000253 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202X4V6 3056.320000 PA USD 3073.590000 0.0002304 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617YN2K5 1092530.120000 PA USD 981170.070000 0.073555 Long ABS-MBS USGSE US N 2 2045-11-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3622AAYK4 2447169.380000 PA USD 2510870.910000 0.188232 Long ABS-MBS USGSE US N 2 2070-12-20 Floating 5.886 N N N N N N FREDDIE MAC REMICS 5538 N/A 3137HKXR0 3501724.240000 PA USD 3527130.650000 0.264417 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.9619 N N N N N N N/A N/A 000000000 -33000000.000000 NC USD -188070.300000 -0.014099 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 95.210000 USD 2026-06-04 XXXX -33382.800000 N N N GNMA PASS THRU POOLS N/A 36189XM43 122785.240000 PA USD 113293.340000 0.0084932 Long ABS-MBS USGSE US N 2 2045-10-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617BJDK7 787838.550000 PA USD 744791.170000 0.0558345 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202EHG7 1146.410000 PA USD 1201.640000 0.0000901 Long ABS-MBS USGSE US N 2 2036-03-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202FVG8 116624.260000 PA USD 115656.100000 0.0086704 Long ABS-MBS USGSE US N 2 2041-07-20 Fixed 4.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 28252.600000 PA USD 275152.110000 0.0206272 Long STIV RF US N 1 N N N UMBS PASS THRU POOLS N/A 01F022642 4950000.000000 PA USD 4162640.630000 0.312059 Long ABS-MBS USGSE US N 2 2056-04-13 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 3618AGLN7 946263.130000 PA USD 890793.110000 0.0667798 Long ABS-MBS USGSE US N 2 2061-05-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617GRLQ2 54239.150000 PA USD 50873.650000 0.0038138 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4 N N N N N N N/A N/A 000000000 5600000.000000 NC USD 337916.320000 0.0253325 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 -163003.680000 N N N GNMA PASS THRU POOLS N/A 3617BRUU8 731812.400000 PA USD 681113.830000 0.0510608 Long ABS-MBS USGSE US N 2 2047-11-20 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2025-92 N/A 3136BXU85 4044132.930000 PA USD 4082045.870000 0.306017 Long ABS-MBS USGSE US N 2 2055-11-25 Floating 4.8619 N N N N N N FHLMC PASS THRU POOLS N/A 3132E0WU2 3925804.270000 PA USD 4121736.490000 0.308993 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36208YFM6 210.230000 PA USD 210.610000 0.0000158 Long ABS-MBS USGSE US N 2 2028-01-15 Fixed 7 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08 N/A 38382Y3K7 19049581.360000 PA USD 19282420.580000 1.44554 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 4.67294 N N N N N N GNMA PASS THRU POOLS N/A 36200MRA3 126321.400000 PA USD 128715.400000 0.0096494 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202XD95 860.560000 PA USD 863.870000 0.0000648 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1619.000000 NC USD -3284429.210000 -0.246223 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 179696352.370000 USD -3284429.210000 N N N FHLMC PASS THRU POOLS N/A 31281BUD0 10933.790000 PA USD 11034.550000 0.0008272 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36210PL44 11.630000 PA USD 11.630000 0.0000009 Long ABS-MBS USGSE US N 2 2029-12-15 Fixed 8.5 N N N N N N GNMA PASS THRU POOLS N/A 36176UZR9 7208.420000 PA USD 6771.550000 0.0005076 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H12 N/A 38380QDL3 62265764.200000 PA USD 63139340.420000 4.73335 Long ABS-MBS USGSE US N 2 2070-07-20 Floating 4.83325 N N N N N N FNMA PASS THRU POOLS N/A 3140NH6U7 255005.190000 PA USD 261649.370000 0.019615 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140HCAX4 53250.310000 PA USD 50919.840000 0.0038173 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36213UW63 144.580000 PA USD 147.630000 0.0000111 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 6 N N N N N N N/A N/A 000000000 -16500000.000000 NC USD -79658.700000 -0.0059717 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 97.380000 USD 2026-06-04 XXXX 15731.930000 N N N GNMA PASS THRU POOLS N/A 36200KPA9 21102.460000 PA USD 21388.300000 0.0016034 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140B7DW0 4293124.950000 PA USD 4442274.160000 0.333022 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36295P5B4 45961.180000 PA USD 47811.210000 0.0035842 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31427RYD6 1163995.480000 PA USD 1160619.240000 0.0870077 Long ABS-MBS USGSE US N 2 2056-03-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36291UAW5 14312.970000 PA USD 14769.520000 0.0011072 Long ABS-MBS USGSE US N 2 2034-12-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128LXAV2 7015.750000 PA USD 7242.540000 0.0005429 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36290R6H1 1554.970000 PA USD 1577.120000 0.0001182 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XXXT1 42251.590000 PA USD 40539.490000 0.0030391 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31402SJ32 4009.350000 PA USD 4001.870000 0.0003 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C52M2 86474.260000 PA USD 86255.430000 0.0064663 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3622AACJ1 390522.980000 PA USD 401964.870000 0.030134 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617G9MX6 5111.520000 PA USD 4819.560000 0.0003613 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36194GMW1 595364.750000 PA USD 546767.940000 0.0409894 Long ABS-MBS USGSE US N 2 2046-06-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31281BT91 3663.210000 PA USD 3693.170000 0.0002769 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140MMKR8 1544712.150000 PA USD 1422673.790000 0.106653 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 2 N N N N N N N/A N/A 000000000 -16500000.000000 NC USD -30584.400000 -0.0022928 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% JUN 30YR N/A 101.380000 USD 2026-06-04 XXXX 17110.910000 N N N GNMA PASS THRU POOLS N/A 36291WE56 1544.620000 PA USD 1549.230000 0.0001161 Long ABS-MBS USGSE US N 2 2035-02-15 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31301ABB3 1939.320000 PA USD 1984.960000 0.0001488 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3618N5ML0 438353.960000 PA USD 402473.390000 0.0301721 Long ABS-MBS USGSE US N 2 2055-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179UAC6 1379.400000 PA USD 1464.100000 0.0001098 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWKP7 1650087.230000 PA USD 1685375.580000 0.126347 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3620AXX37 134033.700000 PA USD 127809.970000 0.0095815 Long ABS-MBS USGSE US N 2 2040-05-15 Fixed 4.05 N N N N N N GNMA PASS THRU POOLS N/A 3618N5VN6 395399.370000 PA USD 370782.880000 0.0277964 Long ABS-MBS USGSE US N 2 2055-09-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202D5S6 1370.940000 PA USD 1420.400000 0.0001065 Long ABS-MBS USGSE US N 2 2034-05-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3618AKCY4 62086.680000 PA USD 56434.660000 0.0042307 Long ABS-MBS USGSE US N 2 2060-08-20 Fixed 3.5 N N N N N N FANNIEMAE WHOLE LOAN 2002-W8 N/A 31392DR38 358382.510000 PA USD 356425.960000 0.0267201 Long ABS-MBS USGSE US N 2 2042-03-25 Variable 4.76544 N N N N N N GNMA PASS THRU POOLS N/A 3617YD3J9 295435.330000 PA USD 277933.080000 0.0208357 Long ABS-MBS USGSE US N 2 2052-03-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3622ABKA9 137852.590000 PA USD 118763.110000 0.0089033 Long ABS-MBS USGSE US N 2 2051-12-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36296Q5M7 313122.870000 PA USD 309350.260000 0.023191 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36241KMQ8 348.020000 PA USD 366.880000 0.0000275 Long ABS-MBS USGSE US N 2 2037-06-15 Fixed 6 N N N N N N N/A N/A 000000000 -4500000.000000 NC USD -72.000000 -0.0000054 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 99.890000 USD 2026-04-06 XXXX 7310.810000 N N N GNMA PASS THRU POOLS N/A 36296XZZ0 1528.410000 PA USD 1522.410000 0.0001141 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DU4F1 1599290.070000 PA USD 1681725.780000 0.126073 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3618A6LN9 173044.560000 PA USD 172321.960000 0.0129184 Long ABS-MBS USGSE US N 2 2062-09-20 Fixed 5 N N N N N N FREDDIE MAC-2614 N/A 31393QQ54 87405.790000 PA USD 77289.060000 0.0057941 Long ABS-MBS USGSE US N 2 2033-05-15 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36202C7A5 645.120000 PA USD 670.270000 0.0000502 Long ABS-MBS USGSE US N 2 2028-12-20 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Y8PF7 4438334.460000 PA USD 4420650.800000 0.331401 Long ABS-MBS USGSE US N 2 2056-03-01 Fixed 5 N N N N N N N/A N/A 000000000 2900000.000000 NC USD 202787.430000 0.0152023 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 -54732.570000 N N N ROCKFORD TOWER CLO 2022-1 LTD N/A 77340JAL9 2100000.000000 PA USD 2101050.000000 0.157509 Long ABS-CBDO CORP KY N 2 2035-07-20 Floating 4.86763 N N N N N N GNMA PASS THRU POOLS N/A 36207LJS8 16888.510000 PA USD 17276.020000 0.0012951 Long ABS-MBS USGSE US N 2 2031-03-15 Fixed 8 N N N N N N GNMA PASS THRU POOLS N/A 36196UWH0 753816.280000 PA USD 735432.140000 0.0551329 Long ABS-MBS USGSE US N 2 2038-09-20 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-46 N/A 38376YAM3 161980.100000 PA USD 153927.190000 0.0115394 Long ABS-MBS USGSE US N 2 2035-03-20 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3133KY5L9 513703.760000 PA USD 524485.280000 0.0393189 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179MAB6 10624.630000 PA USD 10549.540000 0.0007909 Long ABS-MBS USGSE US N 2 2027-04-20 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-34 N/A 3136ADQR3 317661.630000 PA USD 19112.330000 0.0014328 Long ABS-MBS USGSE US N 2 2042-08-25 Floating 2.37362 N N N N N N GNMA PASS THRU POOLS N/A 36181EC44 50202.820000 PA USD 43507.540000 0.0032616 Long ABS-MBS USGSE US N 2 2043-06-15 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 3617WW6S6 1529027.880000 PA USD 1294594.650000 0.0970514 Long ABS-MBS USGSE US N 2 2051-10-20 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132GNQR4 308350.890000 PA USD 300879.600000 0.0225559 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617KFMN9 651514.240000 PA USD 630962.160000 0.0473011 Long ABS-MBS USGSE US N 2 2049-08-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NJLF9 141438.280000 PA USD 141622.700000 0.010617 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36186SM21 211780.670000 PA USD 199103.320000 0.0149261 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180MYG6 94919.870000 PA USD 87266.930000 0.0065421 Long ABS-MBS USGSE US N 2 2043-03-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3622ABFG2 540564.250000 PA USD 465707.490000 0.0349125 Long ABS-MBS USGSE US N 2 2051-10-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36179U3T7 99616.650000 PA USD 90402.930000 0.0067772 Long ABS-MBS USGSE US N 2 2049-10-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36296P2W0 495.440000 PA USD 517.110000 0.0000388 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138X5LX3 100289.650000 PA USD 97791.760000 0.0073311 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 3620ARW23 55225.080000 PA USD 55345.680000 0.0041491 Long ABS-MBS USGSE US N 2 2033-07-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36179U6L1 1081660.680000 PA USD 981614.260000 0.0735883 Long ABS-MBS USGSE US N 2 2049-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3618N5KR9 6322796.950000 PA USD 5663077.710000 0.424542 Long ABS-MBS USGSE US N 2 2055-04-20 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133C9NH2 1207511.040000 PA USD 1204905.040000 0.0903277 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N N/A N/A 000000000 17900000.000000 NC USD 985491.660000 0.073879 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/4.65600 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.660000 USD 2035-08-20 XXXX -563753.340000 N N N UMBS PASS THRU POOLS N/A 01F022642 -4950000.000000 PA USD -4162640.630000 -0.312059 Short ABS-MBS USGSE US N 2 2056-04-13 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36291XB57 723.220000 PA USD 725.850000 0.0000544 Long ABS-MBS USGSE US N 2 2035-05-15 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-69 N/A 38379BJ33 5279948.790000 PA USD 5228110.780000 0.391934 Long ABS-MBS USGSE US N 2 2036-06-20 Floating 4.13582 N N N N N N GNMA PASS THRU POOLS N/A 36202EQA0 3176.080000 PA USD 3339.090000 0.0002503 Long ABS-MBS USGSE US N 2 2037-11-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202SU63 593.610000 PA USD 602.880000 0.0000452 Long ABS-MBS USGSE US N 2 2033-06-15 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133N3Z56 1983346.770000 PA USD 2023162.180000 0.15167 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CZ72 310058.780000 PA USD 303931.850000 0.0227848 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140LMC98 1978676.680000 PA USD 2117843.300000 0.158768 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 6.66 N N N N N N FNMA PASS THRU POOLS N/A 31418FK22 262206.370000 PA USD 267500.450000 0.0200536 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36201Q2P7 372.550000 PA USD 377.700000 0.0000283 Long ABS-MBS USGSE US N 2 2032-08-15 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133WMKN1 1365098.040000 PA USD 1396129.840000 0.104663 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140A6ND4 21898.220000 PA USD 22469.220000 0.0016844 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132XXE47 15617.140000 PA USD 14984.300000 0.0011233 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617YYF92 950799.720000 PA USD 913530.760000 0.0684843 Long ABS-MBS USGSE US N 2 2062-07-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TV77 31403.960000 PA USD 30957.290000 0.0023208 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36225AWK2 565.920000 PA USD 568.730000 0.0000426 Long ABS-MBS USGSE US N 2 2027-10-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36178DZM6 245091.130000 PA USD 221091.520000 0.0165745 Long ABS-MBS USGSE US N 2 2043-03-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140LLVC2 895679.510000 PA USD 939434.730000 0.0704263 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.3 N N N N N N GNMA PASS THRU POOLS N/A 36179SQN0 10444.690000 PA USD 10174.400000 0.0007627 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36296RAR8 343.040000 PA USD 352.220000 0.0000264 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 5.5 N N N N N N N/A N/A 000000000 -8800000.000000 NC USD -22004.400000 -0.0016496 N/A DIR US N 2 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 Call Written MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.45000 06/09/26-10Y LCH 2036-06-09 0.000000 USD 0.000000 USD N/A USD N/A 3.450000 USD 2026-06-05 XXXX 21995.600000 N N N GNMA PASS THRU POOLS N/A 3617AACZ5 2652.180000 PA USD 2607.850000 0.0001955 Long ABS-MBS USGSE US N 2 2045-11-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36213Q3G2 1129.290000 PA USD 1142.800000 0.0000857 Long ABS-MBS USGSE US N 2 2031-09-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 3617M76Z6 335237.920000 PA USD 300276.580000 0.0225107 Long ABS-MBS USGSE US N 2 2049-12-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140J8BG7 141118.650000 PA USD 136496.010000 0.0102326 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4 N N N N N N N/A N/A 000000000 16200000.000000 NC USD 790971.480000 0.0592965 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Call Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 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 -655688.520000 N N N FREDDIE MAC 4839 N/A 3137FJK81 2765937.080000 PA USD 1773621.470000 0.132963 Long ABS-MBS USGSE US N 2 2056-08-15 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36179XVJ2 1072609.400000 PA USD 1108354.420000 0.0830896 Long ABS-MBS USGSE US N 2 2053-03-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36292NJJ0 40904.220000 PA USD 41205.810000 0.0030891 Long ABS-MBS USGSE US N 2 2036-03-15 Fixed 7 N N N N N N BANCO LA HIPOTECARIA SA 2016-1A N/A 50346VAA7 1367254.270000 PA USD 1267377.180000 0.095011 Long ABS-MBS CORP PA N 3 2046-01-15 Fixed 3.3575 N N N N N N GNMA PASS THRU POOLS N/A 3618AHQZ3 874011.890000 PA USD 911015.280000 0.0682958 Long ABS-MBS USGSE US N 2 2062-12-20 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 3140QAA83 2552200.940000 PA USD 2504713.130000 0.18777 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3620AATC2 7884.350000 PA USD 7986.370000 0.0005987 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-63 N/A 38383RAC1 1796076.640000 PA USD 1155193.030000 0.086601 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3622AAKF0 938091.380000 PA USD 871973.640000 0.065369 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36295VGV5 38156.640000 PA USD 39671.790000 0.0029741 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140QNL42 390280.600000 PA USD 333508.960000 0.0250021 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HSRE3 3654707.390000 PA USD 3627459.390000 0.271939 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.75 N N N N N N N/A N/A 000000000 46800000.000000 NC USD 27307.800000 0.0020472 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/4.75000 06/15/26-10Y LCH 2036-06-15 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2026-06-11 XXXX 5545.800000 N N N GNMA PASS THRU POOLS N/A 36295K3Q4 1851.220000 PA USD 1945.820000 0.0001459 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 6 N N N N N N N/A N/A 000000000 -13000000.000000 NC USD -77027.600000 -0.0057745 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/3.96700 05/08/26-10Y LCH 2036-05-08 0.000000 USD 0.000000 USD N/A USD N/A 3.970000 USD 2026-05-06 XXXX -58502.600000 N N N GNMA PASS THRU POOLS N/A 3617FMQY2 51548.640000 PA USD 49527.980000 0.0037129 Long ABS-MBS USGSE US N 2 2062-06-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XFPM7 282913.770000 PA USD 260647.980000 0.0195399 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 3618GD3B4 2210824.560000 PA USD 2081213.620000 0.156022 Long ABS-MBS USGSE US N 2 2062-05-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QBDY1 4106126.690000 PA USD 3932546.800000 0.29481 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4 N N N N N N N/A N/A 000000000 3600000.000000 NC USD 234259.200000 0.0175616 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 -84520.800000 N N N N/A N/A 000000000 1.000000 NC USD 1153.350000 0.0000865 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2036-06-17 1778.230000 USD 0.000000 USD 100000.000000 USD -624.880000 N N N GNMA PASS THRU POOLS N/A 36292FJB4 1068.320000 PA USD 1113.750000 0.0000835 Long ABS-MBS USGSE US N 2 2035-10-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617J5JG2 148983.120000 PA USD 145188.310000 0.0108843 Long ABS-MBS USGSE US N 2 2048-11-20 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 205785.130000 PA USD 197987.100000 0.0148424 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N N/A N/A 000000000 4200000.000000 NC USD 297031.140000 0.0222674 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 -68368.860000 N N N GNMA PASS THRU POOLS N/A 36202FFV3 152344.810000 PA USD 157300.720000 0.0117923 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 01F062663 -105050000.000000 PA USD -108588447.470000 -8.14051 Short ABS-MBS USGSE US N 2 2056-06-11 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202DLU3 161.510000 PA USD 167.840000 0.0000126 Long ABS-MBS USGSE US N 2 2031-02-20 Fixed 6.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-189 N/A 38382MGJ2 19741539.750000 PA USD 3142375.380000 0.235573 Long ABS-MBS USGSE US N 2 2050-12-20 Fixed 3 N N N N N N FREDDIE MAC REMICS 4165 N/A 3137AYSK8 540878.360000 PA USD 24445.270000 0.0018326 Long ABS-MBS USGSE US N 2 2042-12-15 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3142GRVY3 2207195.060000 PA USD 2324833.190000 0.174285 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3620A9S44 2528.160000 PA USD 2576.480000 0.0001932 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128S4FZ5 229225.530000 PA USD 239227.630000 0.0179341 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 6.43 N N N N N N GNMA PASS THRU POOLS N/A 36212XFY6 26156.860000 PA USD 26385.390000 0.001978 Long ABS-MBS USGSE US N 2 2034-01-15 Fixed 6.02 N N N N N N GNMA PASS THRU POOLS N/A 36209HFE0 84.640000 PA USD 84.650000 0.0000063 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 7 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H28 N/A 38375BYE6 1013.590000 PA USD 1015.760000 0.0000761 Long ABS-MBS USGSE US N 2 2062-09-20 Floating 4.36325 N N N N N N GNMA PASS THRU POOLS N/A 36230KGS4 238033.390000 PA USD 227248.460000 0.0170361 Long ABS-MBS USGSE US N 2 2040-09-15 Fixed 4.05 N N N N N N GNMA PASS THRU POOLS N/A 36212XFX8 71388.850000 PA USD 72095.510000 0.0054048 Long ABS-MBS USGSE US N 2 2034-01-15 Fixed 6.075 N N N N N N GNMA PASS THRU POOLS N/A 36210BDM4 272.800000 PA USD 275.290000 0.0000206 Long ABS-MBS USGSE US N 2 2029-04-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140NLN96 76337.210000 PA USD 76369.380000 0.0057252 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 01N050644 7000000.000000 PA USD 6944694.540000 0.520621 Long ABS-MBS USGSE US N 2 2055-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179NJC3 16185.040000 PA USD 16053.180000 0.0012035 Long ABS-MBS USGSE US N 2 2043-07-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36296DLA4 3799.960000 PA USD 4006.670000 0.0003004 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179SEH6 903651.150000 PA USD 846811.940000 0.0634827 Long ABS-MBS USGSE US N 2 2046-06-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617H2AK1 221252.380000 PA USD 216182.630000 0.0162065 Long ABS-MBS USGSE US N 2 2048-11-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36212EDA2 3578.690000 PA USD 3621.200000 0.0002715 Long ABS-MBS USGSE US N 2 2030-06-15 Fixed 8.5 N N N N N N N/A N/A 000000000 -10000000.000000 NC USD -226.000000 -0.0000169 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% APR 30YR N/A 96.860000 USD 2026-04-06 XXXX 27899.000000 N N N FNMA PASS THRU POOLS N/A 3140W1NN9 4152019.140000 PA USD 4009617.880000 0.300588 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36178TSB3 357102.360000 PA USD 335749.950000 0.0251701 Long ABS-MBS USGSE US N 2 2042-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179SW45 651263.320000 PA USD 684691.750000 0.0513291 Long ABS-MBS USGSE US N 2 2047-02-20 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797UC9 10623000.000000 PA USD 10527618.740000 0.78922 Long DBT UST US N 2 2026-06-30 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36202WXY0 320.160000 PA USD 325.480000 0.0000244 Long ABS-MBS USGSE US N 2 2033-06-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36295WUY1 16131.810000 PA USD 16737.300000 0.0012547 Long ABS-MBS USGSE US N 2 2040-09-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36230LG52 1308.100000 PA USD 1291.670000 0.0000968 Long ABS-MBS USGSE US N 2 2041-06-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36200AFV6 577.450000 PA USD 594.810000 0.0000446 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36225CM29 18893.500000 PA USD 18943.210000 0.0014201 Long ABS-MBS USGSE US N 2 2030-02-20 Floating 5.625 N N N N N N GNMA PASS THRU POOLS N/A 36179TWA9 91338.490000 PA USD 95955.660000 0.0071935 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617X0WW7 4822186.380000 PA USD 4358263.740000 0.326724 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3 N N N N N N TOWD POINT MORTGAGE TRUST 2020-2 N/A 89176UAN4 1605342.950000 PA USD 1468902.280000 0.110119 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.636 N N N N N N GOVT NATL MORTGAGE ASSOC SERIES 2007-18 N/A 38375JD69 17899.170000 PA USD 17269.900000 0.0012947 Long ABS-MBS USGSE US N 2 2035-03-20 None 0 N N N N N N GNMA PASS THRU POOLS N/A 3617U8SQ1 1469855.560000 PA USD 1250410.780000 0.0937391 Long ABS-MBS USGSE US N 2 2050-11-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FPB6 1112.600000 PA USD 1049.930000 0.0000787 Long ABS-MBS USGSE US N 2 2041-01-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179TJ48 20249.730000 PA USD 21290.790000 0.0015961 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 6 N N N N N N HOME EQUITY PASS-THRU CERTS 2002-1 N/A 22541NAD1 2565.960000 PA USD 2424.810000 0.0001818 Long ABS-MBS CORP US N 2 2032-11-25 Floating 4.39303 N N N N N N GNMA PASS THRU POOLS N/A 36202FBB1 1412.370000 PA USD 1422.010000 0.0001066 Long ABS-MBS USGSE US N 2 2039-09-20 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133BPF52 331028.420000 PA USD 330522.850000 0.0247782 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 21H050656 123167000.000000 PA USD 121746441.090000 9.12692 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3622A2P22 731404.040000 PA USD 712665.610000 0.0534262 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179TG33 254603.870000 PA USD 230275.680000 0.017263 Long ABS-MBS USGSE US N 2 2047-09-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418CX66 82628.980000 PA USD 78559.300000 0.0058893 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H16 N/A 38380QLA8 1598760.690000 PA USD 1629030.030000 0.122123 Long ABS-MBS USGSE US N 2 2070-09-20 Floating 5.03325 N N N N N N GNMA PASS THRU POOLS N/A 36202E4A4 623.360000 PA USD 622.400000 0.0000467 Long ABS-MBS USGSE US N 2 2039-04-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36186NL72 591371.630000 PA USD 531603.170000 0.0398525 Long ABS-MBS USGSE US N 2 2045-07-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36296DNA2 14813.270000 PA USD 15622.770000 0.0011712 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617G9GA3 19195.460000 PA USD 18096.160000 0.0013566 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797UQ8 1949000.000000 PA USD 1927396.160000 0.14449 Long DBT UST US N 2 2026-07-21 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3140HTNX3 876996.130000 PA USD 852376.340000 0.0638998 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 3.045 N N N N N N FREDDIE MAC REMICS 4203 N/A 3137B2CJ7 1326212.120000 PA USD 45453.140000 0.0034075 Long ABS-MBS USGSE US N 2 2033-04-15 Fixed 3 N N N N N N N/A N/A 000000000 7000000.000000 NC USD 387631.300000 0.0290594 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/4.64000 07/25/35-10Y LCH 2045-07-25 0.000000 USD 0.000000 USD N/A USD N/A 4.640000 USD 2035-07-23 XXXX -241808.700000 N N N FHLMC PASS THRU POOLS N/A 3133AEWP5 556662.210000 PA USD 472982.790000 0.0354579 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EAK5 261.650000 PA USD 270.320000 0.0000203 Long ABS-MBS USGSE US N 2 2034-09-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B4JZ1 2308.850000 PA USD 2192.340000 0.0001644 Long ABS-MBS USGSE US N 2 2047-08-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36209JME8 407.640000 PA USD 417.950000 0.0000313 Long ABS-MBS USGSE US N 2 2029-05-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36212XF42 21509.050000 PA USD 21921.840000 0.0016434 Long ABS-MBS USGSE US N 2 2034-04-15 Fixed 5.82 N N N N N N FNMA PASS THRU POOLS N/A 3140NVJY4 13800000.000000 PA USD 14032004.360000 1.05193 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 5.81 N N N N N N GNMA PASS THRU POOLS N/A 36211J5Q6 1036.200000 PA USD 1061.070000 0.0000795 Long ABS-MBS USGSE US N 2 2030-06-15 Fixed 8 N N N N N N GNMA PASS THRU POOLS N/A 3618N5VF3 4091688.620000 PA USD 4185430.020000 0.313768 Long ABS-MBS USGSE US N 2 2055-09-20 Fixed 7 N N N N N N FHLMC PASS THRU POOLS N/A 3133C5ZX2 75562.820000 PA USD 75487.430000 0.005659 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3618A8XZ5 794101.420000 PA USD 790785.470000 0.0592825 Long ABS-MBS USGSE US N 2 2062-10-20 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128PXA97 46258.440000 PA USD 46076.780000 0.0034542 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418ESK7 45814.060000 PA USD 45688.730000 0.0034251 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DSM90 7365874.730000 PA USD 7712128.220000 0.578152 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36291JCP3 2559.050000 PA USD 2581.990000 0.0001936 Long ABS-MBS USGSE US N 2 2034-04-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36291P3T1 11380.740000 PA USD 11701.750000 0.0008772 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138XFF75 2790.650000 PA USD 2805.930000 0.0002104 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36210UPP2 11571.290000 PA USD 11668.010000 0.0008747 Long ABS-MBS USGSE US N 2 2029-07-15 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -49884.270000 -0.0037397 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-09-17 0.000000 USD -653448.560000 USD 26400000.000000 USD 603564.290000 N N N GNMA PASS THRU POOLS N/A 3618B3JK4 127549.280000 PA USD 115936.990000 0.0086914 Long ABS-MBS USGSE US N 2 2062-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36241L6M3 105104.050000 PA USD 104229.590000 0.0078137 Long ABS-MBS USGSE US N 2 2041-12-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36200WCZ2 99.250000 PA USD 101.130000 0.0000076 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415BNZ8 46653.260000 PA USD 46498.050000 0.0034858 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36209XCU2 502.690000 PA USD 516.990000 0.0000388 Long ABS-MBS USGSE US N 2 2028-09-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132D6JH4 493071.970000 PA USD 503027.340000 0.0377103 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31427P5C4 277849.820000 PA USD 293613.490000 0.0220112 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FXDG4 2831283.940000 PA USD 2599822.830000 0.1949 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 3.5 N N N N N N N/A N/A 000000000 9000000.000000 NC USD 58361.400000 0.0043752 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 95.470000 USD 2026-06-04 XXXX 18986.400000 N N N GNMA PASS THRU POOLS N/A 3620ARBY6 49761.980000 PA USD 50939.200000 0.0038187 Long ABS-MBS USGSE US N 2 2035-11-20 Fixed 5.5 N N N N N N FANNIE MAE 2003-7 N/A 31392H2L6 425527.140000 PA USD 426585.510000 0.0319797 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 4.65842 N N N N N N GNMA PASS THRU POOLS N/A 3622A25E8 2184445.290000 PA USD 2036457.140000 0.152666 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H020659 275000000.000000 PA USD 227100585.250000 17.025 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 36202U2L6 30573.380000 PA USD 32303.960000 0.0024217 Long ABS-MBS USGSE US N 2 2034-08-15 Fixed 6.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TR8 301000.000000 PA USD 299758.330000 0.0224719 Long DBT UST US N 2 2026-05-12 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3133C5UJ8 82435.990000 PA USD 82322.460000 0.0061714 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140QSM81 137028.980000 PA USD 130995.890000 0.0098203 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179RKN8 36345.920000 PA USD 35306.990000 0.0026468 Long ABS-MBS USGSE US N 2 2030-08-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202EG45 874.460000 PA USD 902.830000 0.0000677 Long ABS-MBS USGSE US N 2 2036-02-20 Fixed 5.5 N N N N N N N/A N/A 000000000 8100000.000000 NC USD 497403.180000 0.0372887 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Put Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 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 -234431.820000 N N N GNMA PASS THRU POOLS N/A 36202EAZ2 127774.980000 PA USD 132004.660000 0.0098959 Long ABS-MBS USGSE US N 2 2034-10-20 Fixed 5.5 N N N N N N N/A N/A 000000000 119300000.000000 NC USD 252701.260000 0.0189442 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Put Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.24200 11/02/27-1Y LCH 2028-11-02 0.000000 USD 0.000000 USD N/A USD N/A 4.240000 USD 2027-10-29 XXXX 73751.260000 N N N GNMA PASS THRU POOLS N/A 36297BFN6 537098.350000 PA USD 540970.370000 0.0405547 Long ABS-MBS USGSE US N 2 2039-11-15 Fixed 4.5 N N N N N N N/A N/A 000000000 27400000.000000 NC USD 2.740000 0.0000002 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 -89833.330000 N N N GNMA PASS THRU POOLS N/A 3617G4MQ2 360137.500000 PA USD 335052.890000 0.0251178 Long ABS-MBS USGSE US N 2 2047-12-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H052652 70100000.000000 PA USD 70415011.170000 5.27878 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 5.5 N N N N N N N/A N/A 000000000 -83597743.600000 PA USD -83711854.520000 -6.2756 Short RA US N 2 Reverse repurchase N 3.780000 2026-04-21 93692708.610000 USD 86023682.140000 USD AMBS N N N N/A N/A 000000000 -16493875.540000 PA USD -16495602.820000 -1.23662 Short RA US N 2 Reverse repurchase N 3.770000 2026-04-13 18549078.420000 USD 17015907.120000 USD AMBS N N N GNMA PASS THRU POOLS N/A 36202E6G9 94.260000 PA USD 99.100000 0.0000074 Long ABS-MBS USGSE US N 2 2039-06-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617KLMQ9 723990.630000 PA USD 701019.120000 0.0525531 Long ABS-MBS USGSE US N 2 2049-04-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617ADGA0 287903.640000 PA USD 280690.360000 0.0210424 Long ABS-MBS USGSE US N 2 2047-06-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36230RZH2 8017.670000 PA USD 7712.460000 0.0005782 Long ABS-MBS USGSE US N 2 2040-12-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3620AXVA3 32909.900000 PA USD 32581.690000 0.0024425 Long ABS-MBS USGSE US N 2 2040-04-15 Fixed 4.05 N N N N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01 N/A 3137G1BL0 2145162.460000 PA USD 1891143.690000 0.141773 Long ABS-MBS MUN US N 2 2046-12-25 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617ANSR8 844210.950000 PA USD 785705.470000 0.0589017 Long ABS-MBS USGSE US N 2 2047-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178CT60 13221.290000 PA USD 12430.510000 0.0009319 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617AGAT8 290600.960000 PA USD 270354.670000 0.0202676 Long ABS-MBS USGSE US N 2 2047-06-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36291SDE7 3801.040000 PA USD 3811.260000 0.0002857 Long ABS-MBS USGSE US N 2 2027-04-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140FXJG8 990895.450000 PA USD 862627.060000 0.0646683 Long ABS-MBS USGSE US N 2 2058-05-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31413DJ40 5160.030000 PA USD 5416.410000 0.0004061 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140XTEE7 10545009.360000 PA USD 10915452.060000 0.818295 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 31349TD40 216233.780000 PA USD 222917.540000 0.0167114 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 6.372 N N N N N N FHLMC PASS THRU POOLS N/A 3133KKVH9 5848153.310000 PA USD 4966818.180000 0.372346 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FF84 1903.010000 PA USD 1879.850000 0.0001409 Long ABS-MBS USGSE US N 2 2040-05-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NWUP8 6484689.560000 PA USD 6693387.430000 0.501781 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.06 N N N N N N FNMA PASS THRU POOLS N/A 3140GS2M3 42337.420000 PA USD 40570.590000 0.0030414 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3622AAAA2 1845120.540000 PA USD 1713185.790000 0.128432 Long ABS-MBS USGSE US N 2 2048-03-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183QUL7 8720.320000 PA USD 7839.000000 0.0005877 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TL1 635000.000000 PA USD 632831.860000 0.0474413 Long DBT UST US N 2 2026-05-05 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3132DPSJ8 1272739.420000 PA USD 1119945.970000 0.0839586 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31417AJK6 60522.780000 PA USD 57355.170000 0.0042997 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36290TWP0 5437.450000 PA USD 5762.130000 0.000432 Long ABS-MBS USGSE US N 2 2036-10-15 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132AEB21 892991.450000 PA USD 877882.750000 0.0658119 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36294T2Z7 1951.680000 PA USD 1992.850000 0.0001494 Long ABS-MBS USGSE US N 2 2036-10-15 Fixed 5.5 N N N N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 1001145.490000 PA USD 967662.780000 0.0725424 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.71 N N N N N N GNMA PASS THRU POOLS N/A 36202EZ51 4660.920000 PA USD 4684.610000 0.0003512 Long ABS-MBS USGSE US N 2 2039-02-20 Fixed 6 N N N N N N GOVERNMENT NATIONAL MTG ASSOC 2006-26 N/A 38374NDU8 27518.910000 PA USD 22864.090000 0.001714 Long ABS-MBS USGSE US N 2 2036-06-20 Fixed 0 N N N N N N GNMA PASS THRU POOLS N/A 3617BUZB8 51588.940000 PA USD 49981.030000 0.0037469 Long ABS-MBS USGSE US N 2 2047-12-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140XHS40 3598931.490000 PA USD 3296049.190000 0.247094 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797SM0 44000.000000 PA USD 43902.540000 0.0032912 Long DBT UST US N 2 2026-04-23 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36202EWV7 3743.340000 PA USD 3799.170000 0.0002848 Long ABS-MBS USGSE US N 2 2038-10-20 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133WM2U5 1303687.280000 PA USD 1336566.680000 0.100198 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138W9GT1 516.860000 PA USD 487.320000 0.0000365 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36225BFK9 75.830000 PA USD 77.060000 0.0000058 Long ABS-MBS USGSE US N 2 2029-07-15 Fixed 8 N N N N N N GNMA PASS THRU POOLS N/A 36179RD97 347056.760000 PA USD 343175.960000 0.0257268 Long ABS-MBS USGSE US N 2 2045-05-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36176SFZ8 14672.890000 PA USD 14644.050000 0.0010978 Long ABS-MBS USGSE US N 2 2041-09-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3142GSQX9 657591.530000 PA USD 661569.630000 0.0495957 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FEZ5 5075.690000 PA USD 5014.650000 0.0003759 Long ABS-MBS USGSE US N 2 2040-03-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3622ABHY1 3148299.040000 PA USD 3087395.320000 0.231452 Long ABS-MBS USGSE US N 2 2049-07-15 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31391JRH5 16526.340000 PA USD 16544.750000 0.0012403 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C9HP1 709872.490000 PA USD 708340.470000 0.0531019 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36213WKQ8 2521.460000 PA USD 2564.780000 0.0001923 Long ABS-MBS USGSE US N 2 2033-11-15 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TJ6 275000.000000 PA USD 274446.490000 0.0205743 Long DBT UST US N 2 2026-04-21 None 0 N N N N N N GNMA PASS THRU POOLS N/A 3622A2LP5 125034.580000 PA USD 123692.060000 0.0092728 Long ABS-MBS USGSE US N 2 2044-05-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3618A2AJ9 64958.060000 PA USD 67863.920000 0.0050875 Long ABS-MBS USGSE US N 2 2062-11-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 3617YYGR1 819298.310000 PA USD 787182.640000 0.0590125 Long ABS-MBS USGSE US N 2 2062-06-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36205JC37 634.230000 PA USD 649.800000 0.0000487 Long ABS-MBS USGSE US N 2 2037-12-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36198TT77 3125.200000 PA USD 2938.120000 0.0002203 Long ABS-MBS USGSE US N 2 2044-12-15 Fixed 3.5 N N N N N N BLUEMOUNTAIN CLO LTD 2018-3A N/A 09630AAN6 764592.580000 PA USD 765385.430000 0.0573784 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 4.85802 N N N N N N FREDDIE MAC REMICS 4338 N/A 3137BB7D6 85511.680000 PA USD 4857.260000 0.0003641 Long ABS-MBS USGSE US N 2 2041-10-15 Floating 2.34789 N N N N N N GNMA PASS THRU POOLS N/A 3620APKD6 221017.630000 PA USD 220081.980000 0.0164988 Long ABS-MBS USGSE US N 2 2040-04-15 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2018-28 N/A 3136B1P32 84158.810000 PA USD 74795.800000 0.0056072 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36292EF39 830.920000 PA USD 848.440000 0.0000636 Long ABS-MBS USGSE US N 2 2036-04-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36176D4A8 69583.110000 PA USD 69523.240000 0.0052119 Long ABS-MBS USGSE US N 2 2031-05-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36200RLX8 592.300000 PA USD 614.160000 0.000046 Long ABS-MBS USGSE US N 2 2031-12-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMM2 10422947.010000 PA USD 10782957.160000 0.808362 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617U8SM0 2346975.510000 PA USD 2022001.260000 0.151583 Long ABS-MBS USGSE US N 2 2050-11-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36195DSW1 342450.100000 PA USD 318598.420000 0.0238843 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617HNV89 298046.580000 PA USD 288476.790000 0.0216261 Long ABS-MBS USGSE US N 2 2048-09-20 Fixed 4 N N N N N N N/A N/A 000000000 -18500000.000000 NC USD -100460.550000 -0.0075312 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% JUN 30YR N/A 102.170000 USD 2026-06-04 XXXX -66495.710000 N N N GNMA PASS THRU POOLS N/A 3617YAF94 1211280.770000 PA USD 1090201.870000 0.0817288 Long ABS-MBS USGSE US N 2 2046-09-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202EGR4 186050.570000 PA USD 195012.860000 0.0146195 Long ABS-MBS USGSE US N 2 2036-01-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179UCA8 368059.600000 PA USD 344846.850000 0.025852 Long ABS-MBS USGSE US N 2 2048-09-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133WMBE1 1225239.470000 PA USD 1253096.710000 0.0939405 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3622ABGQ9 10907625.060000 PA USD 9891829.130000 0.741557 Long ABS-MBS USGSE US N 2 2051-10-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36225BTQ1 678.850000 PA USD 703.710000 0.0000528 Long ABS-MBS USGSE US N 2 2032-06-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418D4C3 23801.440000 PA USD 21928.660000 0.0016439 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 36241KBK3 2924.630000 PA USD 3028.410000 0.000227 Long ABS-MBS USGSE US N 2 2030-12-15 Fixed 8 N N N N N N GNMA PASS THRU POOLS N/A 36295H5C0 1842.490000 PA USD 1893.480000 0.0001419 Long ABS-MBS USGSE US N 2 2037-07-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36213AB94 230.190000 PA USD 232.080000 0.0000174 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418CV50 270653.180000 PA USD 255481.400000 0.0191526 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36200DHV8 555.060000 PA USD 575.110000 0.0000431 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140W1FJ7 14767029.080000 PA USD 15073185.180000 1.12999 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -392585211.030000 PA USD -393409639.980000 -29.4926 Short RA US N 2 Reverse repurchase N 3.780000 2026-04-13 421228693.700000 USD 401538946.300000 USD AMBS N N N N/A N/A 000000000 1.000000 NC USD -181067.600000 -0.013574 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-03-19 0.000000 USD -609407.000000 USD 26200000.000000 USD 428339.400000 N N N FHLMC PASS THRU POOLS N/A 3133KYWX3 4918543.480000 PA USD 4565130.490000 0.342233 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36198PR93 129558.700000 PA USD 123535.080000 0.009261 Long ABS-MBS USGSE US N 2 2044-05-15 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131XJCU4 2030.440000 PA USD 1922.370000 0.0001441 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3622ABCA8 203184.380000 PA USD 175049.800000 0.0131229 Long ABS-MBS USGSE US N 2 2051-06-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36208WM42 5760.080000 PA USD 5852.600000 0.0004387 Long ABS-MBS USGSE US N 2 2028-01-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36212XFM2 107577.150000 PA USD 107639.490000 0.0080694 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 5.25 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H20 N/A 38380QSX1 154556.630000 PA USD 153645.380000 0.0115183 Long ABS-MBS USGSE US N 2 2070-04-20 Floating 4.13325 N N N N N N FNMA PASS THRU POOLS N/A 3140NRNV4 821446.320000 PA USD 836173.600000 0.0626851 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36176PAL0 2468.950000 PA USD 2416.660000 0.0001812 Long ABS-MBS USGSE US N 2 2041-10-15 Fixed 4.5 N N N N N N FANNIEMAE WHOLE LOAN 2002-W1 N/A 31392CMV3 216371.250000 PA USD 212944.060000 0.0159637 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 3.86161 N N N N N N GNMA PASS THRU POOLS N/A 36179XS49 1673062.790000 PA USD 1683986.900000 0.126243 Long ABS-MBS USGSE US N 2 2053-02-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3618A6MC2 281681.090000 PA USD 280504.920000 0.0210285 Long ABS-MBS USGSE US N 2 2062-09-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36177XY93 303639.310000 PA USD 285297.350000 0.0213878 Long ABS-MBS USGSE US N 2 2042-05-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36212XGK5 70612.310000 PA USD 70837.800000 0.0053105 Long ABS-MBS USGSE US N 2 2034-06-15 Fixed 5.52 N N N N N N GNMA PASS THRU POOLS N/A 36290VJ88 33745.210000 PA USD 34065.740000 0.0025538 Long ABS-MBS USGSE US N 2 2036-10-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 21H030641 10000000.000000 PA USD 8929060.100000 0.669382 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 3 N N N N N N FANNIE MAE REMICS 2020-28 N/A 3136B9RE9 1037160.000000 PA USD 44906.020000 0.0033665 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 0 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYYB9 393195.960000 PA USD 392016.190000 0.0293881 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 4.5 N N N N N N GNR-2021-23 N/A 38382NVV6 9598071.910000 PA USD 1138574.160000 0.0853551 Long ABS-MBS USGSE US N 2 2051-02-20 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3140LMC49 534701.610000 PA USD 580659.730000 0.0435301 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.96 N N N N N N N/A N/A 000000000 1.000000 NC USD 392667.160000 0.0294369 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-09-17 0.000000 USD -819538.590000 USD 47900000.000000 USD 1212205.750000 N N N FNMA PASS THRU POOLS N/A 31417EK75 59363.220000 PA USD 56584.370000 0.0042419 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36202DBJ9 3864.690000 PA USD 4015.670000 0.000301 Long ABS-MBS USGSE US N 2 2029-04-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36178TP59 55858.150000 PA USD 52483.660000 0.0039345 Long ABS-MBS USGSE US N 2 2043-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EWU9 125.390000 PA USD 125.530000 0.0000094 Long ABS-MBS USGSE US N 2 2038-10-20 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H2Z76 495315.290000 PA USD 474645.860000 0.0355826 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179UXJ6 1030618.440000 PA USD 940393.890000 0.0704982 Long ABS-MBS USGSE US N 2 2049-08-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GXT92 76796.930000 PA USD 73540.260000 0.0055131 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J9CV1 194619.450000 PA USD 183767.380000 0.0137764 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NJLC6 190831.810000 PA USD 190745.050000 0.0142995 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36184B5V5 619681.050000 PA USD 572961.010000 0.042953 Long ABS-MBS USGSE US N 2 2045-03-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2008-1 N/A 38375PCK5 13097.850000 PA USD 10640.450000 0.0007977 Long ABS-MBS USGSE US N 2 2038-01-20 None 0 N N N N N N GNMA PASS THRU POOLS N/A 3622A2PD8 284456.170000 PA USD 278480.610000 0.0208768 Long ABS-MBS USGSE US N 2 2045-05-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3618AHWA1 81788.400000 PA USD 85251.070000 0.006391 Long ABS-MBS USGSE US N 2 2062-11-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36202EV89 3656.000000 PA USD 3704.910000 0.0002777 Long ABS-MBS USGSE US N 2 2038-09-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202FQ74 332432.430000 PA USD 329758.480000 0.0247209 Long ABS-MBS USGSE US N 2 2041-03-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J7XW0 126286.060000 PA USD 121406.510000 0.0091014 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-160 N/A 38378USQ1 41597.430000 PA USD 4462.950000 0.0003346 Long ABS-MBS USGSE US N 2 2043-10-20 Fixed 4 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 3516.920000 PA USD 3422.380000 0.0002566 Long ABS-MBS CORP US N 2 2032-03-25 Floating 4.45865 N N N N N N FNMA PASS THRU POOLS N/A 3140ANQC6 775091.640000 PA USD 802088.860000 0.0601299 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 3140X4VG8 463651.610000 PA USD 408590.590000 0.0306307 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3 N N N N N N N/A N/A 000000000 3800000.000000 NC USD 189059.880000 0.0141732 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 -151420.120000 N N N FHLMC PASS THRU POOLS N/A 3132D9YB4 437203.910000 PA USD 452669.030000 0.0339351 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NLQL6 118669.160000 PA USD 118722.050000 0.0089002 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36201Y4T0 38341.470000 PA USD 38931.370000 0.0029186 Long ABS-MBS USGSE US N 2 2034-06-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3622ABU83 140101.270000 PA USD 123983.670000 0.0092946 Long ABS-MBS USGSE US N 2 2052-03-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140F3C30 66601.030000 PA USD 60319.810000 0.004522 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3 N N N N N N N/A N/A 000000000 -33000000.000000 NC USD -87265.200000 -0.006542 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 98.210000 USD 2026-06-04 XXXX 48086.360000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15 N/A 38380QHX3 21486522.410000 PA USD 21783375.910000 1.63303 Long ABS-MBS USGSE US N 2 2070-08-20 Floating 4.83325 N N N N N N N/A N/A 000000000 3900000.000000 NC USD 227159.010000 0.0170294 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 -123645.990000 N N N GNMA PASS THRU POOLS N/A 36210A2N6 264.770000 PA USD 267.390000 0.00002 Long ABS-MBS USGSE US N 2 2029-02-15 Fixed 7 N N N N N N FHLMC PASS THRU POOLS N/A 3133CCNP7 410572.250000 PA USD 409477.640000 0.0306972 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C8TD7 1071679.290000 PA USD 1069910.700000 0.0802076 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620A85U3 18502.270000 PA USD 19085.830000 0.0014308 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132L8U88 42439.630000 PA USD 39580.910000 0.0029672 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-118 N/A 38380AUU9 97564.830000 PA USD 14213.270000 0.0010655 Long ABS-MBS USGSE US N 2 2046-09-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179MLA6 235977.890000 PA USD 240517.800000 0.0180308 Long ABS-MBS USGSE US N 2 2042-08-20 Fixed 5 N N N N N N N/A N/A 000000000 -9800000.000000 NC USD -32341.960000 -0.0024246 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/4.08400 05/08/26-10Y LCH 2036-05-08 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2026-05-06 XXXX -22296.960000 N N N UMBS PASS THRU POOLS N/A 01F020653 -20800000.000000 PA USD -16749687.340000 -1.25567 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 36292JTL3 434.920000 PA USD 445.040000 0.0000334 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5.5 N N N N N N PFP 2026-13 LTD N/A 716966AA4 1600000.000000 PA USD 1601847.620000 0.120085 Long ABS-CBDO CORP KY N 2 2043-08-18 Floating 5.17956 N N N N N N N/A N/A 000000000 12800000.000000 NC USD 747074.560000 0.0560057 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Put Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.52000 08/15/35-10Y LCH 2045-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.520000 USD 2035-08-13 XXXX -379325.440000 N N N GNMA PASS THRU POOLS N/A 36202EKJ7 8451.060000 PA USD 8594.050000 0.0006443 Long ABS-MBS USGSE US N 2 2036-09-20 Fixed 5 N N N N N N N/A N/A 000000000 4600000.000000 NC USD 249325.060000 0.0186911 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/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -146964.940000 N N N GNMA PASS THRU POOLS N/A 36211ACX2 44.060000 PA USD 44.190000 0.0000033 Long ABS-MBS USGSE US N 2 2029-05-15 Fixed 7 N N N N N N N/A N/A 000000000 4600000.000000 NC USD 266085.160000 0.0199475 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/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -130204.840000 N N N GNMA PASS THRU POOLS N/A 36230KC41 113118.960000 PA USD 112125.800000 0.0084057 Long ABS-MBS USGSE US N 2 2040-09-15 Fixed 4.875 N N N N N N GNMA PASS THRU POOLS N/A 36183B6Y9 117487.570000 PA USD 112664.970000 0.0084461 Long ABS-MBS USGSE US N 2 2044-09-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36187SYC5 85867.190000 PA USD 77087.910000 0.005779 Long ABS-MBS USGSE US N 2 2045-08-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617GLMB7 21319.650000 PA USD 20654.990000 0.0015484 Long ABS-MBS USGSE US N 2 2048-03-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140NHVE5 102895.520000 PA USD 103090.320000 0.0077283 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241LJS6 2877.880000 PA USD 2963.320000 0.0002222 Long ABS-MBS USGSE US N 2 2035-11-15 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F012445 -1000000.000000 PA USD -899272.050000 -0.0674154 Short ABS-MBS USGSE US N 2 2041-04-16 Fixed 1.5 N N N N N N FREDDIE MAC REMICS 4479 N/A 3137BJVZ3 211068.380000 PA USD 8141.120000 0.0006103 Long ABS-MBS USGSE US N 2 2034-07-15 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWLU5 320354.640000 PA USD 326995.130000 0.0245137 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202DA50 503.550000 PA USD 516.710000 0.0000387 Long ABS-MBS USGSE US N 2 2029-03-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617F4VR1 376834.200000 PA USD 362063.580000 0.0271427 Long ABS-MBS USGSE US N 2 2062-08-20 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2012-111 N/A 3136A9HB7 93453.090000 PA USD 64118.360000 0.0048067 Long ABS-MBS USGSE US N 2 2042-10-25 Floating 0.519687 N N N N N N GNMA PASS THRU POOLS N/A 36292FNK9 50552.520000 PA USD 54261.490000 0.0040678 Long ABS-MBS USGSE US N 2 2036-08-15 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C3WT9 104025.860000 PA USD 103769.340000 0.0077792 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5 N N N N N N N/A N/A 000000000 -21000000.000000 NC USD -1037.400000 -0.0000778 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 6.5% MAY 30YR N/A 103.690000 USD 2026-05-06 XXXX 20290.730000 N N N GNMA PASS THRU POOLS N/A 36295HY61 23081.700000 PA USD 23891.530000 0.0017911 Long ABS-MBS USGSE US N 2 2037-07-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179WNE4 56582743.700000 PA USD 48765075.490000 3.65575 Long ABS-MBS USGSE US N 2 2051-09-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36200QWM2 205.140000 PA USD 210.200000 0.0000158 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20 N/A 38383KCV2 4110073.570000 PA USD 4166958.220000 0.312383 Long ABS-MBS USGSE US N 2 2073-07-20 Floating 4.57294 N N N N N N GNMA PASS THRU POOLS N/A 36213UPB0 11337.830000 PA USD 11966.320000 0.0008971 Long ABS-MBS USGSE US N 2 2031-09-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36195TZH1 37472.270000 PA USD 36529.470000 0.0027385 Long ABS-MBS USGSE US N 2 2046-10-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36225AUG3 9.280000 PA USD 9.340000 0.0000007 Long ABS-MBS USGSE US N 2 2027-06-15 Fixed 9 N N N N N N GNMA PASS THRU POOLS N/A 36179USM5 1849.170000 PA USD 1824.660000 0.0001368 Long ABS-MBS USGSE US N 2 2049-05-20 Fixed 5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20 N/A 38383KDF6 4695103.600000 PA USD 4767144.330000 0.357377 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 4.64294 N N N N N N GNMA PASS THRU POOLS N/A 36212A7C3 633.580000 PA USD 645.870000 0.0000484 Long ABS-MBS USGSE US N 2 2030-05-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36179QD32 67732.610000 PA USD 68995.840000 0.0051724 Long ABS-MBS USGSE US N 2 2044-05-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179NDT2 23565.530000 PA USD 23378.400000 0.0017526 Long ABS-MBS USGSE US N 2 2043-05-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J83X9 3438946.050000 PA USD 3384693.410000 0.253739 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418DWS7 1892126.810000 PA USD 1608294.640000 0.120569 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36180CYW3 19405.440000 PA USD 18148.960000 0.0013606 Long ABS-MBS USGSE US N 2 2043-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36207RF34 1393.800000 PA USD 1397.620000 0.0001048 Long ABS-MBS USGSE US N 2 2027-01-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36179UKQ4 309699.930000 PA USD 299333.980000 0.0224401 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EQNF5 24502.860000 PA USD 23084.430000 0.0017306 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36297ARW5 1447.170000 PA USD 1486.210000 0.0001114 Long ABS-MBS USGSE US N 2 2039-04-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36179M4F4 31055.780000 PA USD 30735.080000 0.0023041 Long ABS-MBS USGSE US N 2 2028-03-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31413ECR4 23524.380000 PA USD 24693.300000 0.0018512 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N N/A N/A 000000000 3100000.000000 NC USD 16061.410000 0.0012041 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/3.90000 06/02/26-7Y LCH 2033-06-02 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2026-05-29 XXXX -5638.590000 N N N GNMA PASS THRU POOLS N/A 36176XUB3 2184516.470000 PA USD 2000791.400000 0.149993 Long ABS-MBS USGSE US N 2 2042-06-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3618A87E1 1093928.240000 PA USD 1132376.550000 0.0848905 Long ABS-MBS USGSE US N 2 2062-12-20 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 3140LKDW0 1600000.000000 PA USD 1600151.920000 0.119958 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.49 N N N N N N GNMA PASS THRU POOLS N/A 36212XGP4 33178.070000 PA USD 34130.560000 0.0025587 Long ABS-MBS USGSE US N 2 2034-08-15 Fixed 5.38 N N N N N N FNMA PASS THRU POOLS N/A 3140LJ7J9 1225000.000000 PA USD 1240415.420000 0.0929898 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.7 N N N N N N N/A N/A 000000000 26000000.000000 NC USD 218043.800000 0.016346 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 4.5% MAY 30YR N/A 96.590000 USD 2026-05-06 XXXX 185543.800000 N N N UMBS PASS THRU POOLS N/A 01F022444 -1625000.000000 PA USD -1535549.930000 -0.115115 Short ABS-MBS USGSE US N 2 2041-04-16 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B8HH4 131117.550000 PA USD 121464.150000 0.0091058 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EPVS0 972042.450000 PA USD 930369.170000 0.0697467 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 5609 N/A 3137HNXU7 8478076.220000 PA USD 8477377.630000 0.635521 Long ABS-MBS USGSE US N 2 2055-12-25 Floating 4.5319 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVK79 14449816.060000 PA USD 12930136.130000 0.969329 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3618LTXH7 1591137.280000 PA USD 1643625.260000 0.123217 Long ABS-MBS USGSE US N 2 2055-09-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36202DMQ1 194.650000 PA USD 200.000000 0.000015 Long ABS-MBS USGSE US N 2 2031-04-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36290VJ96 62963.310000 PA USD 66492.650000 0.0049847 Long ABS-MBS USGSE US N 2 2036-10-15 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 3140Q1QJ2 2864000.000000 PA USD 2831661.830000 0.21228 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 4.21 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 N/A 3137HLY30 7455636.160000 PA USD 7243744.000000 0.543039 Long ABS-MBS USGSE US N 2 2054-07-25 Floating 2.93698 N N N N N N FNMA PASS THRU POOLS N/A 3138WEB24 162756.340000 PA USD 154775.510000 0.011603 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617GTJB4 39722.450000 PA USD 37503.140000 0.0028115 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36200F7L6 1190.880000 PA USD 1217.070000 0.0000912 Long ABS-MBS USGSE US N 2 2034-05-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202ETA7 302.430000 PA USD 317.960000 0.0000238 Long ABS-MBS USGSE US N 2 2038-05-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36295UDK4 3181.120000 PA USD 3189.520000 0.0002391 Long ABS-MBS USGSE US N 2 2037-12-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3620AYBV7 49836.320000 PA USD 47500.100000 0.0035609 Long ABS-MBS USGSE US N 2 2040-07-15 Fixed 4.05 N N N N N N GNMA PASS THRU POOLS N/A 36225B2Q0 370.500000 PA USD 380.920000 0.0000286 Long ABS-MBS USGSE US N 2 2033-12-15 Fixed 6 N N N N N N N/A N/A 000000000 5600000.000000 NC USD 303526.160000 0.0227543 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/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -178913.840000 N N N GNMA PASS THRU POOLS N/A 36179RNW5 3425160.380000 PA USD 3225963.670000 0.24184 Long ABS-MBS USGSE US N 2 2045-09-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XGWJ4 537606.980000 PA USD 458553.720000 0.0343762 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 3617LRZ99 704074.170000 PA USD 640680.340000 0.0480297 Long ABS-MBS USGSE US N 2 2050-04-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36188KDS9 212423.430000 PA USD 195721.730000 0.0146726 Long ABS-MBS USGSE US N 2 2045-10-20 Fixed 3.5 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2021-N1 N/A 14687DAG7 201347.070000 PA USD 200863.170000 0.015058 Long ABS-O CORP US N 2 2028-01-10 Fixed 4.55 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-121 N/A 38382VNB1 3208216.050000 PA USD 554999.880000 0.0416065 Long ABS-MBS USGSE US N 2 2051-07-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140JNRD4 22095.090000 PA USD 22083.860000 0.0016556 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202ERE1 2703.330000 PA USD 2842.110000 0.0002131 Long ABS-MBS USGSE US N 2 2038-02-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36297J2J2 56559.370000 PA USD 56747.870000 0.0042542 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC USD -56011.410000 -0.004199 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-12-17 0.000000 USD -580363.910000 USD 25600000.000000 USD 524352.500000 N N N GNMA PASS THRU POOLS N/A 36179TNE1 100201.540000 PA USD 88893.090000 0.006664 Long ABS-MBS USGSE US N 2 2047-12-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617K02K0 849802.720000 PA USD 822840.030000 0.0616856 Long ABS-MBS USGSE US N 2 2049-07-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36207JYB3 3888.600000 PA USD 3923.430000 0.0002941 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36209A2T6 327.740000 PA USD 336.460000 0.0000252 Long ABS-MBS USGSE US N 2 2031-04-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36241LUR5 40287.600000 PA USD 42464.810000 0.0031834 Long ABS-MBS USGSE US N 2 2040-12-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3620AWT83 27540.120000 PA USD 28066.890000 0.0021041 Long ABS-MBS USGSE US N 2 2039-08-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36179RMD8 99317.950000 PA USD 101257.490000 0.0075909 Long ABS-MBS USGSE US N 2 2045-08-20 Floating 5.375 N N N N N N GNMA PASS THRU POOLS N/A 36202E5J4 622.550000 PA USD 654.520000 0.0000491 Long ABS-MBS USGSE US N 2 2039-05-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36200YLW5 16223.720000 PA USD 16562.920000 0.0012417 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 6.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H22 N/A 38380QRY0 13396293.750000 PA USD 13680292.500000 1.02557 Long ABS-MBS USGSE US N 2 2070-12-20 Floating 5.03325 N N N N N N GNMA PASS THRU POOLS N/A 3617XVBP7 610606.430000 PA USD 518507.310000 0.0388708 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 21H040640 17950000.000000 PA USD 16817152.170000 1.26073 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2009-79 N/A 38376CXX2 27499.850000 PA USD 22918.020000 0.0017181 Long ABS-MBS USGSE US N 2 2037-11-16 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3132D6JY7 1685873.650000 PA USD 1719912.300000 0.128936 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36205F4C4 1135.160000 PA USD 1145.340000 0.0000859 Long ABS-MBS USGSE US N 2 2032-09-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202EBF5 428.590000 PA USD 450.070000 0.0000337 Long ABS-MBS USGSE US N 2 2034-11-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36181FKX8 109157.630000 PA USD 94532.120000 0.0070868 Long ABS-MBS USGSE US N 2 2043-08-15 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31418FP92 6511251.630000 PA USD 6608761.860000 0.495437 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31411KE41 7146.350000 PA USD 7479.920000 0.0005607 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3622AADL5 114757.250000 PA USD 111436.650000 0.008354 Long ABS-MBS USGSE US N 2 2049-02-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179VDC1 141481.940000 PA USD 124769.300000 0.0093535 Long ABS-MBS USGSE US N 2 2050-01-20 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 31281BHP8 3916.260000 PA USD 4074.550000 0.0003055 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 5034 N/A 3137F6K55 2361466.880000 PA USD 316635.400000 0.0237371 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 36202FGT7 102771.730000 PA USD 102612.800000 0.0076925 Long ABS-MBS USGSE US N 2 2040-06-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36183BBS6 1746.810000 PA USD 1642.260000 0.0001231 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3622A2PB2 291080.250000 PA USD 284961.050000 0.0213626 Long ABS-MBS USGSE US N 2 2045-06-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36297EB95 2945.710000 PA USD 3010.480000 0.0002257 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 5.5 N N N N N N JP MORGAN MORTGAGE TRUST 2019-6 N/A 46651BAL4 482406.870000 PA USD 475153.350000 0.0356207 Long ABS-MBS CORP US N 2 2049-12-25 Floating 4.69303 N N N N N N FNMA PASS THRU POOLS N/A 31418CYK4 235677.450000 PA USD 231059.510000 0.0173218 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202EUS6 327056.750000 PA USD 331442.310000 0.0248471 Long ABS-MBS USGSE US N 2 2038-07-20 Fixed 5 N N N N N N FANNIE MAE REMICS 2014-45 N/A 3136AKUC5 102256.700000 PA USD 7458.040000 0.0005591 Long ABS-MBS USGSE US N 2 2044-08-25 Floating 2.2906 N N N N N N FNMA PASS THRU POOLS N/A 3140H8ZE8 30577.170000 PA USD 30077.230000 0.0022548 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3620AR5V9 864.030000 PA USD 880.950000 0.000066 Long ABS-MBS USGSE US N 2 2033-10-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202TFL5 78.650000 PA USD 78.740000 0.0000059 Long ABS-MBS USGSE US N 2 2026-08-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617ALZA1 9554.940000 PA USD 9069.980000 0.0006799 Long ABS-MBS USGSE US N 2 2047-06-15 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXA2 195955.600000 PA USD 181755.680000 0.0136256 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36241LUK0 1914.290000 PA USD 2028.770000 0.0001521 Long ABS-MBS USGSE US N 2 2040-12-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617FURK3 1842573.040000 PA USD 1787339.500000 0.133991 Long ABS-MBS USGSE US N 2 2050-01-20 Fixed 4.5 N N N N N N N/A N/A 000000000 -44581168.000000 PA USD -44674788.460000 -3.34912 Short RA US N 2 Reverse repurchase N 3.780000 2026-04-13 46387606.120000 USD 46155969.370000 USD AMBS N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H09 N/A 38383XNS9 1714570.440000 PA USD 1730438.100000 0.129725 Long ABS-MBS USGSE US N 2 2073-04-20 Floating 4.47294 N N N N N N N/A N/A 000000000 3900000.000000 NC USD 180353.550000 0.0135205 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 -164796.450000 N N N GNMA PASS THRU POOLS N/A 3618B9VJ0 272505.150000 PA USD 247697.310000 0.018569 Long ABS-MBS USGSE US N 2 2061-08-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36192XKA6 28418.490000 PA USD 27689.000000 0.0020758 Long ABS-MBS USGSE US N 2 2046-04-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36212GVJ8 10090.760000 PA USD 10212.990000 0.0007656 Long ABS-MBS USGSE US N 2 2030-11-15 Fixed 8 N N N N N N FHLMC PASS THRU POOLS N/A 3132D9CX0 7382572.060000 PA USD 6680863.380000 0.500842 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 3622A24S8 2326130.830000 PA USD 2165418.360000 0.162334 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179MS27 27211.950000 PA USD 27627.000000 0.0020711 Long ABS-MBS USGSE US N 2 2042-11-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296FP31 13538.380000 PA USD 14054.520000 0.0010536 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31427MPF2 5638956.690000 PA USD 5876785.500000 0.440563 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3620A56L8 163515.830000 PA USD 162874.020000 0.0122101 Long ABS-MBS USGSE US N 2 2039-06-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36200WQP9 3262.180000 PA USD 3274.840000 0.0002455 Long ABS-MBS USGSE US N 2 2034-09-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36296H4B2 2268.010000 PA USD 2382.940000 0.0001786 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36291PAQ9 75147.800000 PA USD 76612.000000 0.0057433 Long ABS-MBS USGSE US N 2 2034-09-15 Fixed 6 N N N N N N UMBS PASS THRU POOLS N/A 01F042665 -208720000.000000 PA USD -201122468.860000 -15.0775 Short ABS-MBS USGSE US N 2 2056-06-11 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132HBEV3 160546.420000 PA USD 155646.850000 0.0116683 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36207RJB2 62.780000 PA USD 63.190000 0.0000047 Long ABS-MBS USGSE US N 2 2027-05-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36208RY32 105.590000 PA USD 109.310000 0.0000082 Long ABS-MBS USGSE US N 2 2028-10-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617AQGR4 763317.800000 PA USD 710426.240000 0.0532583 Long ABS-MBS USGSE US N 2 2047-06-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3618N5ZF9 10137211.030000 PA USD 9062906.000000 0.679416 Long ABS-MBS USGSE US N 2 2055-11-20 Fixed 3 N N N N N N FANNIEMAE WHOLE LOAN-2002-W4 N/A 31392DUC4 626143.000000 PA USD 622841.720000 0.0466924 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 5.19885 N N N N N N GNMA PASS THRU POOLS N/A 36295QLA6 395.560000 PA USD 411.500000 0.0000308 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CWV2 66096.120000 PA USD 62311.990000 0.0046713 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179M2P4 4853243.520000 PA USD 4449933.690000 0.333597 Long ABS-MBS USGSE US N 2 2043-02-20 Fixed 3 N N N N N N N/A N/A 000000000 10400000.000000 NC USD 42305.120000 0.0031715 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/3.13500 09/16/26-7Y LCH 2033-09-16 0.000000 USD 0.000000 USD N/A USD N/A 3.130000 USD 2026-09-14 XXXX -91334.880000 N N N GNMA PASS THRU POOLS N/A 36176TN95 19331.070000 PA USD 18972.040000 0.0014223 Long ABS-MBS USGSE US N 2 2041-11-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36213DGZ5 1634.560000 PA USD 1691.970000 0.0001268 Long ABS-MBS USGSE US N 2 2031-08-15 Fixed 7 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-71 N/A 38378TAV2 421431.990000 PA USD 222222.350000 0.0166593 Long ABS-MBS USGSE US N 2 2043-05-20 Floating 0.21048 N N N N N N GNMA PASS THRU POOLS N/A 36202D6E6 317.270000 PA USD 327.370000 0.0000245 Long ABS-MBS USGSE US N 2 2034-06-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617G8U84 30633.030000 PA USD 28883.490000 0.0021653 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140LMC80 1500000.000000 PA USD 1626368.180000 0.121923 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.87 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-114 N/A 38377XJG8 265076.020000 PA USD 196811.440000 0.0147543 Long ABS-MBS USGSE US N 2 2040-12-20 None 0 N N N N N N GNMA PASS THRU POOLS N/A 3618HMYD5 140683.560000 PA USD 146733.010000 0.0110001 Long ABS-MBS USGSE US N 2 2054-07-20 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31417AKM0 70258.150000 PA USD 69911.910000 0.0052411 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140XQXF9 25642495.080000 PA USD 26520596.680000 1.98816 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3620AMZ39 54048.420000 PA USD 51021.270000 0.0038249 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179RMW6 132616.660000 PA USD 127652.060000 0.0095696 Long ABS-MBS USGSE US N 2 2030-09-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202FBJ4 1300.510000 PA USD 1343.210000 0.0001007 Long ABS-MBS USGSE US N 2 2039-09-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3622ABB35 129171.490000 PA USD 111894.440000 0.0083884 Long ABS-MBS USGSE US N 2 2051-07-20 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X6ST9 4820244.770000 PA USD 4542110.960000 0.340507 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36201J5M7 24921.780000 PA USD 25332.950000 0.0018991 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3142JUET3 719031.460000 PA USD 716945.870000 0.053747 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179UKP6 73629.820000 PA USD 72653.910000 0.0054466 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31417N7K1 274.560000 PA USD 272.030000 0.0000204 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133CAAU4 883127.940000 PA USD 881222.010000 0.0660623 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179TNJ0 427520.450000 PA USD 421854.850000 0.031625 Long ABS-MBS USGSE US N 2 2047-12-20 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140FXFK3 2677948.780000 PA USD 2460353.100000 0.184445 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2014-92 N/A 3136AMEE5 103762.680000 PA USD 5542.720000 0.0004155 Long ABS-MBS USGSE US N 2 2045-01-25 Floating 2.13003 N N N N N N GNMA PASS THRU POOLS N/A 36196EYS0 449195.030000 PA USD 407983.760000 0.0305852 Long ABS-MBS USGSE US N 2 2047-04-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36213MWF1 7894.750000 PA USD 8167.700000 0.0006123 Long ABS-MBS USGSE US N 2 2031-07-15 Fixed 7 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-6 N/A 38378PS66 171482.470000 PA USD 4691.850000 0.0003517 Long ABS-MBS USGSE US N 2 2029-01-20 Fixed 3 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 1599.410000 PA USD 1517.330000 0.0001137 Long ABS-MBS CORP US N 2 2032-09-19 Floating 4.4512 N N N N N N LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1A N/A 50346EAA5 1890204.060000 PA USD 1828819.460000 0.1371 Long ABS-MBS CORP PA N 3 2042-11-24 Floating 3.508 N N N N N N FHLMC PASS THRU POOLS N/A 3132D6GS3 22585981.340000 PA USD 23042003.820000 1.72738 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36180AB69 2796230.380000 PA USD 2567800.170000 0.192499 Long ABS-MBS USGSE US N 2 2054-10-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179MG87 137058.170000 PA USD 139233.500000 0.0104379 Long ABS-MBS USGSE US N 2 2042-07-20 Fixed 5 N N N N N N FANNIE MAE REMICS 2015-50 N/A 3136APNG3 565238.470000 PA USD 31220.490000 0.0023405 Long ABS-MBS USGSE US N 2 2045-07-25 Floating 2.06691 N N N N N N FNMA PASS THRU POOLS N/A 31418EWT3 320368.800000 PA USD 319400.580000 0.0239444 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36196R5E4 127381.260000 PA USD 124755.720000 0.0093525 Long ABS-MBS USGSE US N 2 2047-02-15 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 31427PYY4 5665320.670000 PA USD 5914536.940000 0.443393 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3622A2XY3 1428191.240000 PA USD 1325757.910000 0.0993876 Long ABS-MBS USGSE US N 2 2047-03-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31427NMW6 655319.310000 PA USD 687014.130000 0.0515032 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36200ACG2 3845.210000 PA USD 3856.540000 0.0002891 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EQ7E6 259127.030000 PA USD 250414.330000 0.0187727 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36208SNS7 4993.800000 PA USD 5035.510000 0.0003775 Long ABS-MBS USGSE US N 2 2028-01-15 Fixed 7 N N N N N N N/A N/A 000000000 -68500000.000000 NC USD -221344.050000 -0.0165934 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% APR 30YR N/A 102.230000 USD 2026-04-06 XXXX -106285.460000 N N N GNMA PASS THRU POOLS N/A 36290SWM9 76585.330000 PA USD 78063.940000 0.0058522 Long ABS-MBS USGSE US N 2 2034-04-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140W3FL8 831036.700000 PA USD 876189.670000 0.065685 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M8RV8 116352.730000 PA USD 112579.360000 0.0084397 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36200KRM1 32388.040000 PA USD 32828.810000 0.0024611 Long ABS-MBS USGSE US N 2 2033-04-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202DPR6 3401.820000 PA USD 3489.130000 0.0002616 Long ABS-MBS USGSE US N 2 2031-09-20 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 355388.560000 0.0266423 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-06-20 2234517.580000 USD 0.000000 USD 64600000.000000 USD -1879129.020000 N N N GNMA PASS THRU POOLS N/A 36211E2D9 205.920000 PA USD 208.220000 0.0000156 Long ABS-MBS USGSE US N 2 2030-01-15 Fixed 8.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NLQY8 194465.910000 PA USD 195087.320000 0.014625 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KT65 4111.020000 PA USD 4409.580000 0.0003306 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DTBY5 325851.320000 PA USD 342740.860000 0.0256941 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36179SSD0 51592.940000 PA USD 45771.350000 0.0034313 Long ABS-MBS USGSE US N 2 2046-12-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138XD2A7 2373643.460000 PA USD 2292265.350000 0.171844 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418EUX6 433971.480000 PA USD 431502.260000 0.0323483 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EHR3 36341.470000 PA USD 36827.760000 0.0027609 Long ABS-MBS USGSE US N 2 2036-04-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36290VDW1 5258.130000 PA USD 5290.570000 0.0003966 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 5.75 N N N N N N FNMA PASS THRU POOLS N/A 31417AXD6 71053.490000 PA USD 70647.480000 0.0052962 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36200Q2U7 355.110000 PA USD 360.150000 0.000027 Long ABS-MBS USGSE US N 2 2032-02-15 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -124487.610000 -0.0093324 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-20 558247.440000 USD 0.000000 USD 28400000.000000 USD -682735.050000 N N N GNMA PASS THRU POOLS N/A 3617KCJD2 2865713.030000 PA USD 2687909.230000 0.201504 Long ABS-MBS USGSE US N 2 2049-08-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3622ADWP9 361961.270000 PA USD 367058.220000 0.0275171 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 6 N N N N N N N/A N/A 000000000 7000000.000000 NC USD 24217.200000 0.0018155 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/4.21900 06/08/26-10Y LCH 2036-06-08 0.000000 USD 0.000000 USD N/A USD N/A 4.220000 USD 2026-06-04 XXXX -10082.800000 N N N GNMA PASS THRU POOLS N/A 3620AWS92 7419.600000 PA USD 7128.910000 0.0005344 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JB5N2 1994596.490000 PA USD 1990745.220000 0.14924 Long ABS-MBS USGSE US N 2 2028-02-01 Variable 4.37351 N N N N N N GNMA PASS THRU POOLS N/A 36225BYC6 709.470000 PA USD 737.820000 0.0000553 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140NSPT5 145785.140000 PA USD 145618.570000 0.0109165 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H10 N/A 38376RUH7 574406.260000 PA USD 576901.600000 0.0432484 Long ABS-MBS USGSE US N 2 2066-04-20 Floating 4.66325 N N N N N N GNMA PASS THRU POOLS N/A 3620AWJW1 111753.570000 PA USD 113788.540000 0.0085303 Long ABS-MBS USGSE US N 2 2039-05-20 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C64K2 610675.370000 PA USD 593405.230000 0.0444856 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138X5EQ6 77109.040000 PA USD 76210.940000 0.0057133 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179USJ2 16863.940000 PA USD 15387.750000 0.0011536 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 36177UGV0 15281.670000 PA USD 14414.040000 0.0010806 Long ABS-MBS USGSE US N 2 2042-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36225AQ78 2.150000 PA USD 2.150000 0.0000002 Long ABS-MBS USGSE US N 2 2026-12-15 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31418CRJ5 923656.580000 PA USD 897542.100000 0.0672857 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 3 N N N N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2015-SC02 N/A 3137G1AK3 918550.030000 PA USD 805977.960000 0.0604215 Long ABS-MBS MUN US N 2 2045-09-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3142JCBH2 2464704.900000 PA USD 2513890.900000 0.188458 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ELXR9 271012.120000 PA USD 284451.060000 0.0213243 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -711112.190000 -0.0533097 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-18 0.000000 USD -616329.230000 USD 23000000.000000 USD -94782.960000 N N N GNMA PASS THRU POOLS N/A 36179QYJ4 21411.890000 PA USD 21166.980000 0.0015868 Long ABS-MBS USGSE US N 2 2045-01-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36292CBS2 270.230000 PA USD 277.070000 0.0000208 Long ABS-MBS USGSE US N 2 2035-07-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EH36 67154.370000 PA USD 68217.800000 0.0051141 Long ABS-MBS USGSE US N 2 2036-05-20 Fixed 5 N N N N N N GNR-2021-9 N/A 38382ME88 20175894.540000 PA USD 2879265.590000 0.215849 Long ABS-MBS USGSE US N 2 2051-01-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36176FDW5 19509.670000 PA USD 19697.280000 0.0014766 Long ABS-MBS USGSE US N 2 2041-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3617F93K6 7217094.570000 PA USD 6424263.030000 0.481606 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617K2BF7 212167.600000 PA USD 205438.330000 0.015401 Long ABS-MBS USGSE US N 2 2049-04-20 Fixed 4.5 N N N N N N FANNIE MAE 2007-96 N/A 31396XXB5 486807.390000 PA USD 487568.950000 0.0365514 Long ABS-MBS USGSE US N 2 2037-10-25 Floating 4.47638 N N N N N N GNMA PASS THRU POOLS N/A 36202DRG8 197.570000 PA USD 205.300000 0.0000154 Long ABS-MBS USGSE US N 2 2032-01-20 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140A5JA7 115662.110000 PA USD 121770.850000 0.0091288 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36179MX39 3422092.600000 PA USD 3138424.500000 0.235277 Long ABS-MBS USGSE US N 2 2043-01-20 Fixed 3 N N N N N N FANNIE MAE REMICS 2025-79 N/A 3136BXUC6 3220030.150000 PA USD 3240892.080000 0.242959 Long ABS-MBS USGSE US N 2 2055-10-25 Floating 4.9119 N N N N N N FNMA PASS THRU POOLS N/A 3138ELN41 337.980000 PA USD 318.540000 0.0000239 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.5 N N N N N N N/A N/A 000000000 -4000000.000000 NC USD -13380.800000 -0.0010031 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 94.230000 USD 2026-04-06 XXXX -2755.800000 N N N GNMA PASS THRU POOLS N/A 36213AAC8 659.140000 PA USD 678.370000 0.0000509 Long ABS-MBS USGSE US N 2 2032-02-15 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 31281BSE1 24768.100000 PA USD 25460.110000 0.0019087 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 3617AQHD4 466079.060000 PA USD 433786.540000 0.0325195 Long ABS-MBS USGSE US N 2 2047-06-20 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-63 N/A 3136ATXU3 63723.940000 PA USD 5143.960000 0.0003856 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 3140W5EY6 8421171.940000 PA USD 8396745.830000 0.629476 Long ABS-MBS USGSE US N 2 2056-02-01 Fixed 5 N N N N N N VOYA CLO 2019-2A LTD N/A 92917RAL3 577106.570000 PA USD 576868.210000 0.0432459 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 4.86763 N N N N N N GNMA PASS THRU POOLS N/A 3618MCT70 405589.010000 PA USD 412116.690000 0.030895 Long ABS-MBS USGSE US N 2 2055-12-20 Fixed 6 N N N N N N FANNIE MAE REMICS 2019-62 N/A 3136B62S1 268924.650000 PA USD 34155.070000 0.0025605 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 2.22362 N N N N N N GNMA PASS THRU POOLS N/A 36202EVG1 5097.380000 PA USD 5140.030000 0.0003853 Long ABS-MBS USGSE US N 2 2038-08-20 Fixed 5.5 N N N N N N FANNIE MAE REMICS 2014-47 N/A 3136AKTL7 201201.760000 PA USD 10190.510000 0.0007639 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 2.17271 N N N N N N GNMA PASS THRU POOLS N/A 36202FV94 5914028.640000 PA USD 5864628.520000 0.439652 Long ABS-MBS USGSE US N 2 2041-08-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NGBN9 448503.990000 PA USD 435526.180000 0.0326499 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J84U4 81589.770000 PA USD 82206.940000 0.0061628 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3617W24P0 10742132.880000 PA USD 9732992.640000 0.72965 Long ABS-MBS USGSE US N 2 2051-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617HAMT1 52722.610000 PA USD 51363.330000 0.0038505 Long ABS-MBS USGSE US N 2 2048-08-15 Fixed 4 N N N N N N FREDDIE MAC STRIPS 303 N/A 31325UEH5 431061.920000 PA USD 68447.920000 0.0051313 Long ABS-MBS USGSE US N 2 2043-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EKL2 53201.540000 PA USD 55779.810000 0.0041816 Long ABS-MBS USGSE US N 2 2036-09-20 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140LMCE7 1230000.000000 PA USD 1328074.110000 0.0995613 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.82 N N N N N N N/A N/A 000000000 17000000.000000 NC USD 26101.800000 0.0019568 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/3.15000 06/10/26-7Y LCH 2033-06-10 0.000000 USD 0.000000 USD N/A USD N/A 3.150000 USD 2026-06-08 XXXX -60853.200000 N N N GNMA PASS THRU POOLS N/A 36297GNV8 23059.410000 PA USD 23252.930000 0.0017432 Long ABS-MBS USGSE US N 2 2040-04-15 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XDWA0 238199.400000 PA USD 219455.130000 0.0164518 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3140X5SX2 244170.240000 PA USD 227891.090000 0.0170842 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36177WFT2 160724.650000 PA USD 149699.550000 0.0112225 Long ABS-MBS USGSE US N 2 2042-05-15 Fixed 3.25 N N N N N N GNMA PASS THRU POOLS N/A 3617VSWM0 954104.140000 PA USD 897666.530000 0.0672951 Long ABS-MBS USGSE US N 2 2051-10-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202EZA0 27994.440000 PA USD 28425.690000 0.002131 Long ABS-MBS USGSE US N 2 2039-01-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36200BBH9 1613.450000 PA USD 1630.970000 0.0001223 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NMBT3 157230.480000 PA USD 165298.170000 0.0123919 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TLS2 79260.300000 PA USD 74526.470000 0.005587 Long ABS-MBS USGSE US N 2 2047-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617BFTE2 706660.360000 PA USD 696362.110000 0.0522039 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 5 N N N N N N FREDDIE MAC REMICS 4438 N/A 3137BGLL1 122723.980000 PA USD 6694.610000 0.0005019 Long ABS-MBS USGSE US N 2 2038-11-15 Floating 2.19184 N N N N N N FHLMC PASS THRU POOLS N/A 3128MMW41 1305973.320000 PA USD 1269656.250000 0.0951819 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617KPLY4 469110.820000 PA USD 426168.120000 0.0319484 Long ABS-MBS USGSE US N 2 2049-09-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179VFE5 71744.300000 PA USD 65494.800000 0.0049099 Long ABS-MBS USGSE US N 2 2050-02-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179SU21 4483.560000 PA USD 4713.660000 0.0003534 Long ABS-MBS USGSE US N 2 2039-10-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 21H050649 21283000.000000 PA USD 21081593.010000 1.58042 Long ABS-MBS USGSE US N 2 2056-04-21 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3618A4CG9 99905.510000 PA USD 99488.330000 0.0074583 Long ABS-MBS USGSE US N 2 2062-08-20 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140XLQ50 187224.570000 PA USD 172491.430000 0.0129311 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 36201ELR9 574.520000 PA USD 590.120000 0.0000442 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36198W6V2 41626.280000 PA USD 39661.600000 0.0029733 Long ABS-MBS USGSE US N 2 2044-08-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36241LHD1 11535.430000 PA USD 11913.760000 0.0008931 Long ABS-MBS USGSE US N 2 2040-04-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36179XS80 10545582.110000 PA USD 9475783.630000 0.710368 Long ABS-MBS USGSE US N 2 2053-02-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36212XGY5 43355.650000 PA USD 43763.660000 0.0032808 Long ABS-MBS USGSE US N 2 2034-08-15 Fixed 5.97 N N N N N N FNMA PASS THRU POOLS N/A 3140X6WD9 167501.750000 PA USD 164862.200000 0.0123592 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36230RZC3 11189.500000 PA USD 10689.000000 0.0008013 Long ABS-MBS USGSE US N 2 2040-12-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202ENK1 39973.220000 PA USD 40692.820000 0.0030506 Long ABS-MBS USGSE US N 2 2037-06-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36213NQN9 213.660000 PA USD 216.210000 0.0000162 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36212D2Q1 2863.450000 PA USD 2949.030000 0.0002211 Long ABS-MBS USGSE US N 2 2031-06-15 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FT5R8 14184.690000 PA USD 13563.650000 0.0010168 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3618FFJV9 238885.140000 PA USD 224880.060000 0.0168585 Long ABS-MBS USGSE US N 2 2062-05-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9F65 523744.610000 PA USD 515400.430000 0.0386378 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NGED8 659230.050000 PA USD 671523.100000 0.0503418 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 4136 N/A 3137AWHF5 134766.690000 PA USD 2011.140000 0.0001508 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-163 N/A 38381AA55 1357333.840000 PA USD 1265817.100000 0.0948941 Long ABS-MBS USGSE US N 2 2048-11-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202FEV4 3661.460000 PA USD 3419.100000 0.0002563 Long ABS-MBS USGSE US N 2 2040-03-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31371NCL7 716.110000 PA USD 715.920000 0.0000537 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3622ACNL0 159353.250000 PA USD 166083.760000 0.0124507 Long ABS-MBS USGSE US N 2 2053-07-20 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3142GQRZ7 5000921.620000 PA USD 5254478.050000 0.393911 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 120850.490000 0.0090598 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -274932.810000 USD 25600000.000000 USD 395783.300000 N N N GNMA PASS THRU POOLS N/A 36212XG82 93889.500000 PA USD 97528.110000 0.0073114 Long ABS-MBS USGSE US N 2 2034-12-15 Fixed 5.82 N N N N N N GNMA PASS THRU POOLS N/A 36209DSC9 3327.030000 PA USD 3383.160000 0.0002536 Long ABS-MBS USGSE US N 2 2031-09-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36178UUR2 24205.300000 PA USD 22757.430000 0.001706 Long ABS-MBS USGSE US N 2 2042-11-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179R7J2 1158689.580000 PA USD 1091313.070000 0.0818121 Long ABS-MBS USGSE US N 2 2046-04-20 Fixed 3.5 N N N N N N N/A N/A 000000000 6600000.000000 NC USD 400912.380000 0.0300551 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/4.42700 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-08-06 XXXX -179887.620000 N N N GNMA PASS THRU POOLS N/A 36178DZN4 154738.780000 PA USD 142644.080000 0.0106936 Long ABS-MBS USGSE US N 2 2043-03-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140NJZB3 63183.530000 PA USD 63298.980000 0.0047453 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140X4Y59 681425.960000 PA USD 600506.710000 0.045018 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202E5G0 48943.500000 PA USD 49751.610000 0.0037297 Long ABS-MBS USGSE US N 2 2039-05-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202CV26 981.090000 PA USD 987.760000 0.000074 Long ABS-MBS USGSE US N 2 2027-05-20 Fixed 8 N N N N N N N/A N/A 000000000 3900000.000000 NC USD 248791.920000 0.0186511 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 -96358.080000 N N N FHLMC PASS THRU POOLS N/A 3132Y4CV2 699105.830000 PA USD 688830.500000 0.0516393 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EWE5 8937.570000 PA USD 9475.350000 0.0007103 Long ABS-MBS USGSE US N 2 2038-09-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36296ULJ7 5507.330000 PA USD 5588.780000 0.000419 Long ABS-MBS USGSE US N 2 2038-02-15 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 31427MPM7 1031882.980000 PA USD 1090580.560000 0.0817572 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3618AHTA5 320660.550000 PA USD 335005.200000 0.0251142 Long ABS-MBS USGSE US N 2 2062-12-20 Fixed 7 N N N N N N N/A N/A 000000000 14000000.000000 NC USD 786392.600000 0.0589532 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/4.64000 07/25/35-10Y LCH 2045-07-25 0.000000 USD 0.000000 USD N/A USD N/A 4.640000 USD 2035-07-23 XXXX -472417.400000 N N N GNMA PASS THRU POOLS N/A 36225C4F0 43720.880000 PA USD 43890.180000 0.0032903 Long ABS-MBS USGSE US N 2 2034-01-20 Floating 5.625 N N N N N N GNMA PASS THRU POOLS N/A 36179TNH4 91505.040000 PA USD 89135.120000 0.0066822 Long ABS-MBS USGSE US N 2 2047-12-20 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 378953.230000 PA USD 363597.390000 0.0272577 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31412PG21 79318.950000 PA USD 77705.270000 0.0058253 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FXFH0 954692.070000 PA USD 833398.470000 0.0624771 Long ABS-MBS USGSE US N 2 2057-02-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617LSCU5 347237.420000 PA USD 319884.470000 0.0239807 Long ABS-MBS USGSE US N 2 2049-11-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31410SNT0 2551.740000 PA USD 2647.110000 0.0001984 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWNS8 284607.060000 PA USD 299333.300000 0.02244 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 7 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVMU6 2142974.180000 PA USD 2260422.690000 0.169456 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31418C7C2 96209.680000 PA USD 94126.140000 0.0070563 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15 N/A 38380QJA1 2373026.240000 PA USD 2410264.480000 0.18069 Long ABS-MBS USGSE US N 2 2070-07-20 Floating 4.83325 N N N N N N GNMA PASS THRU POOLS N/A 36291UGY5 51069.520000 PA USD 51259.930000 0.0038428 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 5.57 N N N N N N GNMA PASS THRU POOLS N/A 36213E7L4 62949.370000 PA USD 64894.090000 0.0048649 Long ABS-MBS USGSE US N 2 2032-08-15 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3138M9WR8 60562.900000 PA USD 59308.030000 0.0044461 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 2 N N N N N N N/A N/A 000000000 3600000.000000 NC USD 161890.560000 0.0121364 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 -156889.440000 N N N FNMA PASS THRU POOLS N/A 3140H6N88 5969.150000 PA USD 5720.070000 0.0004288 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 922330.140000 0.069144 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-06-18 741161.410000 USD 0.000000 USD 17600000.000000 USD 181168.730000 N N N FNMA PASS THRU POOLS N/A 3140FTWA5 41864.580000 PA USD 40126.350000 0.0030081 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617AJGB5 937100.510000 PA USD 872164.180000 0.0653832 Long ABS-MBS USGSE US N 2 2047-08-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36295RGX0 34533.060000 PA USD 32488.230000 0.0024355 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36297C4Q9 1158.100000 PA USD 1196.610000 0.0000897 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3620C06E3 4585.120000 PA USD 4620.700000 0.0003464 Long ABS-MBS USGSE US N 2 2040-06-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C52L4 98647.120000 PA USD 98517.720000 0.0073855 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140FUJK5 62108.830000 PA USD 61000.840000 0.004573 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3618G1QJ8 174328.450000 PA USD 164108.130000 0.0123026 Long ABS-MBS USGSE US N 2 2061-12-20 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07 N/A 38383KVE9 4747543.200000 PA USD 4753661.360000 0.356366 Long ABS-MBS USGSE US N 2 2074-02-20 Floating 4.32294 N N N N N N GNMA PASS THRU POOLS N/A 36296SD44 22212.480000 PA USD 23824.690000 0.0017861 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36230NS30 772.200000 PA USD 760.000000 0.000057 Long ABS-MBS USGSE US N 2 2041-07-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179R4E6 2158864.740000 PA USD 2024375.930000 0.151761 Long ABS-MBS USGSE US N 2 2046-03-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B0TF2 154512.100000 PA USD 143668.560000 0.0107704 Long ABS-MBS USGSE US N 2 2047-08-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LLXM8 428635.850000 PA USD 430889.560000 0.0323024 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 5.57 N N N N N N GNMA PASS THRU POOLS N/A 36202FKN5 205525.980000 PA USD 203789.610000 0.0152774 Long ABS-MBS USGSE US N 2 2040-09-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179UVX7 472524.600000 PA USD 428821.910000 0.0321473 Long ABS-MBS USGSE US N 2 2049-07-20 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4248 N/A 3137B4UN4 3276176.560000 PA USD 3168466.360000 0.237529 Long ABS-MBS USGSE US N 2 2041-05-15 Floating 0.86784 N N N N N N FANNIE MAE REMICS 2024-38 N/A 3136BR4S3 12495589.260000 PA USD 12547334.740000 0.940632 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 4.48125 N N N N N N GNMA PASS THRU POOLS N/A 3617BFM90 99607.140000 PA USD 92273.860000 0.0069175 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36292MAE2 75.000000 PA USD 77.180000 0.0000058 Long ABS-MBS USGSE US N 2 2036-06-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36201FXD4 9041.860000 PA USD 9222.280000 0.0006914 Long ABS-MBS USGSE US N 2 2032-06-15 Fixed 7.5 N N N N N N GNR-2021-158 N/A 38382X6X8 7058682.740000 PA USD 1013328.260000 0.0759658 Long ABS-MBS USGSE US N 2 2051-09-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 3618N5H77 2015649.240000 PA USD 1739650.840000 0.130416 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X8ML8 2515981.820000 PA USD 2125350.860000 0.159331 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36201C6H2 501.070000 PA USD 508.440000 0.0000381 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36291SMW7 62127.520000 PA USD 63345.190000 0.0047488 Long ABS-MBS USGSE US N 2 2034-10-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31329PBB8 3440383.780000 PA USD 3201787.870000 0.240027 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132A8ZC6 169725.400000 PA USD 163176.840000 0.0122328 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 3140XBPA2 467576.110000 PA USD 430796.120000 0.0322953 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 2 N N N N N N FHLMC PASS THRU POOLS N/A 31427P5F7 685876.920000 PA USD 721908.250000 0.054119 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617W6C23 2482333.980000 PA USD 2234397.100000 0.167505 Long ABS-MBS USGSE US N 2 2043-06-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H06 N/A 38375BPW6 349.970000 PA USD 349.230000 0.0000262 Long ABS-MBS USGSE US N 2 2062-01-20 Floating 4.28325 N N N N N N FNMA PASS THRU POOLS N/A 3140HMNY6 2504579.420000 PA USD 2461951.000000 0.184564 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TZ65 221466.760000 PA USD 218026.880000 0.0163447 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36200FVR6 495.340000 PA USD 506.790000 0.000038 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617A7ER8 163337.620000 PA USD 159898.840000 0.0119871 Long ABS-MBS USGSE US N 2 2045-08-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36211RXG9 538.980000 PA USD 555.190000 0.0000416 Long ABS-MBS USGSE US N 2 2030-09-15 Fixed 8.5 N N N N N N GNMA PASS THRU POOLS N/A 36210DC74 119.630000 PA USD 120.620000 0.000009 Long ABS-MBS USGSE US N 2 2028-09-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36213RXM4 768.820000 PA USD 780.380000 0.0000585 Long ABS-MBS USGSE US N 2 2034-08-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138XJPC5 15875.840000 PA USD 14495.620000 0.0010867 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3618HMY52 234074.560000 PA USD 243592.940000 0.0182613 Long ABS-MBS USGSE US N 2 2054-07-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36178SHR2 26387.190000 PA USD 24749.240000 0.0018554 Long ABS-MBS USGSE US N 2 2042-11-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36200XVR7 215.020000 PA USD 220.620000 0.0000165 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QSNB3 230121.720000 PA USD 220511.790000 0.016531 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202FX68 1008.930000 PA USD 952.090000 0.0000714 Long ABS-MBS USGSE US N 2 2041-10-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 21H042653 62701000.000000 PA USD 60506635.550000 4.53598 Long ABS-MBS USGSE US N 2 2056-05-20 Fixed 4.5 N N N N N N APEX CREDIT CLO 2024-1A LTD N/A 03753AAA8 2000000.000000 PA USD 2003162.980000 0.15017 Long ABS-CBDO CORP BM N 2 2036-04-20 Floating 5.46763 N N N N N N FNMA PASS THRU POOLS N/A 3140W2RX1 1516237.330000 PA USD 1568608.390000 0.117593 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36295CKY6 32640.420000 PA USD 31180.490000 0.0023375 Long ABS-MBS USGSE US N 2 2043-09-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36189MCS5 10545.710000 PA USD 9750.890000 0.000731 Long ABS-MBS USGSE US N 2 2045-11-20 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TG2 4000.000000 PA USD 3997.580000 0.0002997 Long DBT UST US N 2 2026-04-07 None 0 N N N N N N FREDDIE MAC REMICS 5104 N/A 3137H02A5 6344695.600000 PA USD 5313376.750000 0.398326 Long ABS-MBS USGSE US N 2 2044-12-15 Fixed 1.25 N N N N N N GNMA PASS THRU POOLS N/A 36179TR64 94490.510000 PA USD 83826.710000 0.0062842 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418DYC0 5428110.580000 PA USD 4605451.060000 0.345255 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EPY9 27414.540000 PA USD 28821.580000 0.0021607 Long ABS-MBS USGSE US N 2 2037-10-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36213Y5V0 38.860000 PA USD 39.660000 0.000003 Long ABS-MBS USGSE US N 2 2031-12-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418FEJ2 410692.280000 PA USD 418984.370000 0.0314099 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FFK7 10034.980000 PA USD 9370.770000 0.0007025 Long ABS-MBS USGSE US N 2 2040-04-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179S5L7 2516084.330000 PA USD 2367126.700000 0.177456 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36210ARS8 67.060000 PA USD 67.420000 0.0000051 Long ABS-MBS USGSE US N 2 2028-10-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3620AWT91 183751.640000 PA USD 186958.580000 0.0140157 Long ABS-MBS USGSE US N 2 2039-01-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36209RCC5 4782.610000 PA USD 4840.600000 0.0003629 Long ABS-MBS USGSE US N 2 2029-12-15 Fixed 8 N N N N N N GNMA PASS THRU POOLS N/A 36176W5N7 4128.800000 PA USD 3897.470000 0.0002922 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617MQGA8 350369.630000 PA USD 324079.160000 0.0242951 Long ABS-MBS USGSE US N 2 2050-03-20 Fixed 3.5 N N N N N N N/A N/A 000000000 10400000.000000 NC USD 196286.480000 0.0147149 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/3.63500 09/16/26-7Y LCH 2033-09-16 0.000000 USD 0.000000 USD N/A USD N/A 3.630000 USD 2026-09-14 XXXX 62646.480000 N N N GNMA PASS THRU POOLS N/A 3618N5VL0 1769888.310000 PA USD 1583644.790000 0.118721 Long ABS-MBS USGSE US N 2 2055-09-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140XPAM1 2823377.210000 PA USD 2956095.170000 0.221609 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3622ABLA8 341883.900000 PA USD 294540.080000 0.0220807 Long ABS-MBS USGSE US N 2 2051-12-20 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9KH5 2504543.580000 PA USD 2461192.890000 0.184507 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q1EY2 27500000.000000 PA USD 27276448.100000 2.04482 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 4.3 N N N N N N N/A N/A 000000000 3900000.000000 NC USD 177569.340000 0.0133118 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 -173138.160000 N N N GNMA PASS THRU POOLS N/A 36225A5Z9 33.440000 PA USD 33.800000 0.0000025 Long ABS-MBS USGSE US N 2 2028-09-15 Fixed 6 N N N N N N CREDIT SUISSE MORTGAGE TRUST 2013-MH1 N/A 12647RAA2 1404297.000000 PA USD 1269734.450000 0.0951877 Long ABS-MBS CORP US N 2 2053-05-27 Variable 4.69928 N N N N N N GNMA PASS THRU POOLS N/A 36290TUN7 3420.950000 PA USD 3632.650000 0.0002723 Long ABS-MBS USGSE US N 2 2036-08-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36295GMZ2 571.930000 PA USD 592.700000 0.0000444 Long ABS-MBS USGSE US N 2 2037-06-15 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31288QE55 725262.850000 PA USD 714328.080000 0.0535508 Long ABS-MBS USGSE US N 2 2050-01-01 Floating 3.829 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-23 N/A 38379VRN6 75008.050000 PA USD 74507.120000 0.0055855 Long ABS-MBS USGSE US N 2 2031-01-20 Variable 3.81146 N N N N N N GNMA PASS THRU POOLS N/A 36208EBH5 8924.590000 PA USD 9002.090000 0.0006749 Long ABS-MBS USGSE US N 2 2031-04-15 Fixed 8 N N N N N N GNMA PASS THRU POOLS N/A 3617AEZ66 104606.790000 PA USD 102211.440000 0.0076625 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1428979.000000 0.107126 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-12-20 4387232.400000 USD 0.000000 USD 77600000.000000 USD -2958253.400000 N N N GOVERNMENT NATIONAL MTG ASSOC 2022-45 N/A 38383MP77 1009061.360000 PA USD 641159.910000 0.0480656 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3.5 N N N N N N N/A N/A 000000000 5600000.000000 NC USD 280090.720000 0.0209975 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 -220829.280000 N N N FANNIE MAE REMICS 2018-64 N/A 3136B22X9 385312.270000 PA USD 345975.280000 0.0259366 Long ABS-MBS USGSE US N 2 2048-09-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36200FR59 3950.290000 PA USD 3951.610000 0.0002962 Long ABS-MBS USGSE US N 2 2033-05-15 Fixed 5.25 N N N N N N GNMA PASS THRU POOLS N/A 36297GJG6 464.930000 PA USD 472.670000 0.0000354 Long ABS-MBS USGSE US N 2 2034-04-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202E5U9 3132.520000 PA USD 3191.620000 0.0002393 Long ABS-MBS USGSE US N 2 2039-06-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3622AC3W8 19056721.200000 PA USD 17413534.260000 1.30543 Long ABS-MBS USGSE US N 2 2049-06-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EJYZ5 34581.760000 PA USD 33593.320000 0.0025184 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31413AFS7 827.210000 PA USD 832.010000 0.0000624 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMK6 9533911.280000 PA USD 9587169.420000 0.718718 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202E3T4 34225.630000 PA USD 32828.040000 0.002461 Long ABS-MBS USGSE US N 2 2039-04-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36211MUF5 1703.050000 PA USD 1731.020000 0.0001298 Long ABS-MBS USGSE US N 2 2030-03-15 Fixed 7.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXH7 6575.060000 PA USD 6102.540000 0.0004575 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617FMNJ8 60267.990000 PA USD 57905.540000 0.004341 Long ABS-MBS USGSE US N 2 2062-05-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XQSR9 1243080.660000 PA USD 1306318.780000 0.0979304 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 3617U8SL2 1953825.230000 PA USD 1683256.870000 0.126188 Long ABS-MBS USGSE US N 2 2050-11-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 3622A2PA4 277025.930000 PA USD 272411.000000 0.0204217 Long ABS-MBS USGSE US N 2 2045-07-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179QV57 722420.220000 PA USD 681691.820000 0.0511042 Long ABS-MBS USGSE US N 2 2044-12-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36201G6Y6 1074.440000 PA USD 1133.030000 0.0000849 Long ABS-MBS USGSE US N 2 2032-06-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617G82B8 28237.540000 PA USD 26624.640000 0.001996 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202EV97 64175.130000 PA USD 66444.350000 0.0049811 Long ABS-MBS USGSE US N 2 2038-09-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36179VKL3 8605983.620000 PA USD 7711608.490000 0.578113 Long ABS-MBS USGSE US N 2 2050-04-20 Fixed 3 N N N N N N FANNIE MAE REMICS 2018-36 N/A 3136B2DF6 2318332.070000 PA USD 279259.560000 0.0209352 Long ABS-MBS USGSE US N 2 2048-06-25 Floating 2.42362 N N N N N N FREDDIE MAC-4832 N/A 3137FHRY1 1520095.990000 PA USD 1501904.550000 0.112593 Long ABS-MBS USGSE US N 2 2038-04-15 Floating 4.14573 N N N N N N GNMA PASS THRU POOLS N/A 36203NDW5 2.760000 PA USD 2.760000 0.0000002 Long ABS-MBS USGSE US N 2 2027-10-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 3617WNKD3 524582.050000 PA USD 464413.190000 0.0348155 Long ABS-MBS USGSE US N 2 2051-09-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-99 N/A 38379DDQ4 7425824.090000 PA USD 7346398.220000 0.550735 Long ABS-MBS USGSE US N 2 2036-11-20 Floating 4.08214 N N N N N N FNMA PASS THRU POOLS N/A 3140FS4R1 769101.540000 PA USD 718947.640000 0.0538971 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36225AUM0 5.510000 PA USD 5.540000 0.0000004 Long ABS-MBS USGSE US N 2 2027-06-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36296XGN8 156.840000 PA USD 164.340000 0.0000123 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36202D3Y5 273.310000 PA USD 281.740000 0.0000211 Long ABS-MBS USGSE US N 2 2034-02-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36179UH62 334197.760000 PA USD 337014.500000 0.0252649 Long ABS-MBS USGSE US N 2 2048-12-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296XGF5 1006.420000 PA USD 1056.400000 0.0000792 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140A75N0 60708.580000 PA USD 63981.140000 0.0047965 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36176FUE6 53224.410000 PA USD 50090.960000 0.0037552 Long ABS-MBS USGSE US N 2 2042-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179WVK1 512895.770000 PA USD 463755.510000 0.0347662 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36186J4Y1 1475771.190000 PA USD 1556039.680000 0.116651 Long ABS-MBS USGSE US N 2 2039-02-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36295KVA8 601.870000 PA USD 634.730000 0.0000476 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36212U4H1 468.850000 PA USD 475.220000 0.0000356 Long ABS-MBS USGSE US N 2 2031-05-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617FXLE7 80185.230000 PA USD 79850.400000 0.0059861 Long ABS-MBS USGSE US N 2 2062-09-20 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140NUVK2 926594.760000 PA USD 975309.130000 0.0731157 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 5.7 N N N N N N GNMA PASS THRU POOLS N/A 36183XLZ1 26011.720000 PA USD 24957.290000 0.001871 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3620C3J37 82417.510000 PA USD 78543.400000 0.0058881 Long ABS-MBS USGSE US N 2 2040-07-15 Fixed 4.05 N N N N N N GNMA PASS THRU POOLS N/A 3617GQJL8 41263.410000 PA USD 39976.880000 0.0029969 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36296XYV0 404408.600000 PA USD 405808.530000 0.0304221 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 36202EJV2 2698.160000 PA USD 2739.150000 0.0002053 Long ABS-MBS USGSE US N 2 2036-07-20 Fixed 5 N N N N N N FREDDIE MAC REMICS 4988 N/A 3137FUPG3 19525839.780000 PA USD 3610021.220000 0.270631 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 3 N N N N N N N/A N/A 000000000 39000000.000000 NC USD 33805.200000 0.0025343 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% MAY 30YR N/A 99.100000 USD 2026-05-06 XXXX 21617.700000 N N N GNMA PASS THRU POOLS N/A 36202EXM6 4518.350000 PA USD 4549.230000 0.000341 Long ABS-MBS USGSE US N 2 2038-11-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3622ABE65 546498.480000 PA USD 470821.290000 0.0352959 Long ABS-MBS USGSE US N 2 2051-10-20 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EW48 1026408.850000 PA USD 1050128.800000 0.0787246 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128PXS80 50878.460000 PA USD 50608.370000 0.0037939 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36213CZP8 4963.410000 PA USD 5005.210000 0.0003752 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J9AX9 148279.270000 PA USD 145459.200000 0.0109046 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617AE2L9 123878.930000 PA USD 120583.600000 0.0090397 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202D2W0 667.240000 PA USD 690.710000 0.0000518 Long ABS-MBS USGSE US N 2 2033-12-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3618AHQH3 58309.110000 PA USD 60777.780000 0.0045563 Long ABS-MBS USGSE US N 2 2062-12-20 Fixed 7 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14 N/A 38376RVV5 113183.410000 PA USD 113583.110000 0.0085149 Long ABS-MBS USGSE US N 2 2066-06-20 Floating 4.58325 N N N N N N GNMA PASS THRU POOLS N/A 36179QL82 696531.010000 PA USD 708453.340000 0.0531104 Long ABS-MBS USGSE US N 2 2044-08-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36230QCJ5 49520.010000 PA USD 47226.200000 0.0035404 Long ABS-MBS USGSE US N 2 2040-09-15 Fixed 4.05 N N N N N N GNMA PASS THRU POOLS N/A 3618MFC30 536839.010000 PA USD 545381.540000 0.0408854 Long ABS-MBS USGSE US N 2 2055-12-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179TSF3 1085821.860000 PA USD 982069.970000 0.0736225 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3622ACT67 86862.080000 PA USD 90530.920000 0.0067868 Long ABS-MBS USGSE US N 2 2053-09-20 Fixed 6 N N N N N N N/A N/A 000000000 13000000.000000 NC USD 697031.400000 0.0522541 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/4.55875 07/11/35-10Y LCH 2045-07-11 0.000000 USD 0.000000 USD N/A USD N/A 4.560000 USD 2035-07-09 XXXX -457368.600000 N N N FNMA PASS THRU POOLS N/A 31418CJJ4 1728974.740000 PA USD 1680764.320000 0.126001 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2015-47 N/A 3136APDE9 16270.260000 PA USD 723.400000 0.0000542 Long ABS-MBS USGSE US N 2 2044-06-25 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202FQA7 3274.820000 PA USD 3090.340000 0.0002317 Long ABS-MBS USGSE US N 2 2041-02-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36296QY37 18353.590000 PA USD 18746.730000 0.0014054 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N FANNIE MAE REMICS 2021-3 N/A 3136BDR42 3084032.180000 PA USD 526542.370000 0.0394731 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-146 N/A 38382KWK5 1881212.120000 PA USD 262329.570000 0.019666 Long ABS-MBS USGSE US N 2 2050-10-20 Floating 2.51048 N N N N N N GNMA PASS THRU POOLS N/A 3617LRZ73 897685.700000 PA USD 820528.650000 0.0615123 Long ABS-MBS USGSE US N 2 2050-04-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36225BVH8 784.540000 PA USD 821.750000 0.0000616 Long ABS-MBS USGSE US N 2 2032-09-15 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XT6F0 268800.440000 PA USD 250694.620000 0.0187937 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3618N5PC7 1785410.210000 PA USD 1540370.570000 0.115476 Long ABS-MBS USGSE US N 2 2055-04-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36213QZ51 879.870000 PA USD 906.640000 0.000068 Long ABS-MBS USGSE US N 2 2031-08-15 Fixed 7 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H01 N/A 38380LPB3 107887.520000 PA USD 109053.530000 0.0081754 Long ABS-MBS USGSE US N 2 2068-12-20 Floating 4.4908 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H11 N/A 38380LFQ1 248580.240000 PA USD 250045.450000 0.0187451 Long ABS-MBS USGSE US N 2 2068-06-20 Floating 4.8607 N N N N N N GNMA PASS THRU POOLS N/A 3618FRQE3 73784.460000 PA USD 69459.970000 0.0052072 Long ABS-MBS USGSE US N 2 2056-06-20 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133C86W0 406746.760000 PA USD 417085.440000 0.0312675 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 3900000.000000 NC USD 251592.510000 0.018861 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 -99114.990000 N N N GNMA PASS THRU POOLS N/A 3617BFTQ5 240861.600000 PA USD 237351.580000 0.0177935 Long ABS-MBS USGSE US N 2 2048-09-20 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31402ASZ0 9625.920000 PA USD 9464.140000 0.0007095 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3622ADXW3 655390.390000 PA USD 667691.920000 0.0500546 Long ABS-MBS USGSE US N 2 2055-06-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36179T7B5 49520.380000 PA USD 48863.980000 0.0036632 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36292LDU5 359.070000 PA USD 377.410000 0.0000283 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9WE9 2557563.090000 PA USD 2509975.260000 0.188165 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36291QUX0 840067.690000 PA USD 757213.750000 0.0567658 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418MRT1 67157.880000 PA USD 69079.210000 0.0051786 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C1UD0 387557.100000 PA USD 386206.850000 0.0289526 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202DT68 279.150000 PA USD 290.480000 0.0000218 Long ABS-MBS USGSE US N 2 2032-08-20 Fixed 6 N N N N N N N/A N/A 000000000 7600000.000000 NC USD 3542.360000 0.0002656 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/4.05500 04/09/26-10Y LCH 2036-04-09 0.000000 USD 0.000000 USD N/A USD N/A 4.050000 USD 2026-04-07 XXXX -15873.700000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A 38382Y5C3 8085438.610000 PA USD 8276411.820000 0.620455 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 4.77294 N N N N N N GNMA PASS THRU POOLS N/A 36180BHR5 166487.170000 PA USD 157761.850000 0.0118269 Long ABS-MBS USGSE US N 2 2043-04-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617U8R82 629611.210000 PA USD 584447.240000 0.0438141 Long ABS-MBS USGSE US N 2 2050-11-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EGD6 132489.000000 PA USD 122148.980000 0.0091571 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36213ESA5 147.900000 PA USD 150.290000 0.0000113 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36177WFU9 251626.360000 PA USD 233295.160000 0.0174894 Long ABS-MBS USGSE US N 2 2042-05-15 Fixed 3.25 N N N N N N GNMA PASS THRU POOLS N/A 36200JAL4 281.360000 PA USD 287.180000 0.0000215 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202DZG9 63062.110000 PA USD 64422.870000 0.0048296 Long ABS-MBS USGSE US N 2 2033-09-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36241LKU9 1061821.560000 PA USD 1043091.850000 0.0781971 Long ABS-MBS USGSE US N 2 2040-06-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36294YQD9 2756.780000 PA USD 2830.470000 0.0002122 Long ABS-MBS USGSE US N 2 2037-02-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617AAL28 3301.670000 PA USD 3197.580000 0.0002397 Long ABS-MBS USGSE US N 2 2045-12-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3618HA6D2 639858.170000 PA USD 663889.520000 0.0497696 Long ABS-MBS USGSE US N 2 2054-07-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36296QY29 3795.710000 PA USD 3780.810000 0.0002834 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36295KHE6 361.340000 PA USD 382.440000 0.0000287 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617F6FY9 1163569.120000 PA USD 1047253.950000 0.0785091 Long ABS-MBS USGSE US N 2 2045-12-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36181CHW1 80983.220000 PA USD 77711.820000 0.0058258 Long ABS-MBS USGSE US N 2 2044-05-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36295PAQ5 4016.540000 PA USD 4242.960000 0.0003181 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36210AN94 32.970000 PA USD 33.330000 0.0000025 Long ABS-MBS USGSE US N 2 2028-09-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202DBH3 33.720000 PA USD 34.600000 0.0000026 Long ABS-MBS USGSE US N 2 2029-04-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36212TBV5 828.040000 PA USD 851.280000 0.0000638 Long ABS-MBS USGSE US N 2 2031-06-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EXP9 11937.500000 PA USD 12294.350000 0.0009217 Long ABS-MBS USGSE US N 2 2038-11-20 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3140AQUE0 758580.400000 PA USD 785002.390000 0.058849 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36200NYS4 1378.990000 PA USD 1378.390000 0.0001033 Long ABS-MBS USGSE US N 2 2034-08-20 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31403CX63 7087.640000 PA USD 7193.070000 0.0005392 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179TSG1 154350.380000 PA USD 144751.280000 0.0108515 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138M3LR3 1486.510000 PA USD 1372.860000 0.0001029 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36180MX69 237802.390000 PA USD 223949.930000 0.0167888 Long ABS-MBS USGSE US N 2 2043-03-15 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128PXVE3 46184.650000 PA USD 45939.440000 0.0034439 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617FWUR0 169455.750000 PA USD 168748.130000 0.0126505 Long ABS-MBS USGSE US N 2 2062-09-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36200SSR2 237.120000 PA USD 241.130000 0.0000181 Long ABS-MBS USGSE US N 2 2031-10-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36209N5C2 845.180000 PA USD 866.200000 0.0000649 Long ABS-MBS USGSE US N 2 2030-06-15 Fixed 8 N N N N N N FHLMC PASS THRU POOLS N/A 31281AEL2 2325.410000 PA USD 2330.360000 0.0001747 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617BRBR6 514319.250000 PA USD 478678.880000 0.035885 Long ABS-MBS USGSE US N 2 2047-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36291FQU5 183926.580000 PA USD 165790.960000 0.0124288 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132VN5C3 62899.600000 PA USD 58438.230000 0.0043809 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 6500000.000000 NC USD 5611.450000 0.0004207 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% MAY 30YR N/A 99.090000 USD 2026-05-06 XXXX 3580.200000 N N N GOVERNMENT NATL MTGE ASSOC 2010-36 N/A 38376GGH7 2198053.270000 PA USD 21.980000 0.0000016 Long ABS-MBS USGSE US N 2 2052-01-16 Variable 0 N N N N N N GNMA PASS THRU POOLS N/A 3617MC7B7 440028.640000 PA USD 386003.700000 0.0289374 Long ABS-MBS USGSE US N 2 2050-02-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140XHDQ7 254929.210000 PA USD 241334.660000 0.0180921 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36176X2L2 55140.370000 PA USD 51909.720000 0.0038915 Long ABS-MBS USGSE US N 2 2041-10-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3618G1WX0 94292.510000 PA USD 88765.660000 0.0066545 Long ABS-MBS USGSE US N 2 2062-05-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418FJ65 28651.790000 PA USD 29230.280000 0.0021913 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FUF1 410318.670000 PA USD 404668.110000 0.0303366 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 4.5 N N N N N N FREDDIE MAC STRIPS 389 N/A 31325YRU4 17684541.610000 PA USD 2673804.900000 0.200446 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4940 N/A 3137FQLW1 128153.490000 PA USD 126248.650000 0.0094644 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 4.32638 N N N N N N GNMA PASS THRU POOLS N/A 36202CXZ1 96.480000 PA USD 99.350000 0.0000074 Long ABS-MBS USGSE US N 2 2027-10-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 3617MCYA9 2160527.020000 PA USD 1900604.800000 0.142482 Long ABS-MBS USGSE US N 2 2050-01-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3620AQRB1 127015.760000 PA USD 114681.800000 0.0085973 Long ABS-MBS USGSE US N 2 2042-12-20 Fixed 3.15 N N N N N N GNMA PASS THRU POOLS N/A 36225AVK3 106.110000 PA USD 107.090000 0.000008 Long ABS-MBS USGSE US N 2 2027-08-15 Fixed 8 N N N N N N FANNIE MAE REMICS 2015-64 N/A 3136AP3C4 84562.850000 PA USD 3240.010000 0.0002429 Long ABS-MBS USGSE US N 2 2045-09-25 Floating 1.97905 N N N N N N GNMA PASS THRU POOLS N/A 36179UNX6 74248.250000 PA USD 67381.700000 0.0050514 Long ABS-MBS USGSE US N 2 2049-03-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3620AQX99 77699.320000 PA USD 77936.020000 0.0058426 Long ABS-MBS USGSE US N 2 2036-04-20 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-77 N/A 38378PAG3 849319.060000 PA USD 68592.960000 0.0051422 Long ABS-MBS USGSE US N 2 2043-02-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 21H032639 122261646.000000 PA USD 112196857.010000 8.41102 Long ABS-MBS USGSE US N 2 2056-03-19 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2012-77 N/A 3136A6H98 132097.730000 PA USD 6041.600000 0.0004529 Long ABS-MBS USGSE US N 2 2052-07-25 Floating 1.87725 N N N N N N GNMA PASS THRU POOLS N/A 36202DYL9 95033.650000 PA USD 97248.880000 0.0072904 Long ABS-MBS USGSE US N 2 2033-07-20 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140NSJ96 82280.460000 PA USD 86665.410000 0.006497 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31418FRH2 1933002.960000 PA USD 1971578.240000 0.147803 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36209BWJ3 33.190000 PA USD 33.400000 0.0000025 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 3617FKLF2 197255.440000 PA USD 189523.800000 0.014208 Long ABS-MBS USGSE US N 2 2062-05-20 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797TT4 20000.000000 PA USD 19888.880000 0.001491 Long DBT UST US N 2 2026-05-26 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36241KSZ2 18063.240000 PA USD 18822.040000 0.001411 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202FHX7 67924.650000 PA USD 67395.810000 0.0050524 Long ABS-MBS USGSE US N 2 2040-07-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617HX4S3 185387.810000 PA USD 172544.200000 0.0129351 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617KRF27 88920.680000 PA USD 86547.700000 0.0064882 Long ABS-MBS USGSE US N 2 2049-08-20 Fixed 4.5 N N N N N N N/A N/A 000000000 -16500000.000000 NC USD -62467.350000 -0.004683 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUN 30YR N/A 94.380000 USD 2026-06-04 XXXX 45813.900000 N N N GNMA PASS THRU POOLS N/A 36179RJE0 1363903.100000 PA USD 1284584.890000 0.096301 Long ABS-MBS USGSE US N 2 2045-07-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FUKX5 4279.850000 PA USD 4099.510000 0.0003073 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XGMZ6 1770805.000000 PA USD 1649584.080000 0.123664 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 3.05 N N N N N N GNMA PASS THRU POOLS N/A 36291UHB4 64560.770000 PA USD 66515.570000 0.0049865 Long ABS-MBS USGSE US N 2 2035-05-15 Fixed 5.53 N N N N N N GNMA PASS THRU POOLS N/A 3620AC5A8 2875.800000 PA USD 2953.460000 0.0002214 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5.5 N N N N N N N/A N/A 000000000 7200000.000000 NC USD 332460.000000 0.0249234 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 -307980.000000 N N N FANNIE MAE REMICS 2015-58 N/A 3136APU75 127359.770000 PA USD 5807.240000 0.0004353 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 2.39817 N N N N N N FNMA PASS THRU POOLS N/A 3140LJ7K6 740302.080000 PA USD 749623.050000 0.0561967 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.7 N N N N N N GOVERNMENT NATL MTGE ASSOC 2009-56 N/A 38374VLL1 207346.980000 PA USD 177132.070000 0.013279 Long ABS-MBS USGSE US N 2 2039-07-20 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3140QTHX0 1025830.650000 PA USD 1077227.380000 0.0807561 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KNX57 459013.220000 PA USD 391517.910000 0.0293508 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36182XLN9 89958.560000 PA USD 84522.690000 0.0063364 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617YYGF7 347706.920000 PA USD 334077.440000 0.0250447 Long ABS-MBS USGSE US N 2 2062-06-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617BREM4 812975.450000 PA USD 756647.790000 0.0567234 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36176XEQ8 79280.280000 PA USD 74837.320000 0.0056103 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 3.5 N N N N N N N/A N/A 000000000 -8500000.000000 NC USD -10237.400000 -0.0007675 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% APR 30YR N/A 94.810000 USD 2026-04-06 XXXX 11012.600000 N N N FANNIE MAE INTEREST STRIP 418 N/A 31395Q3F5 72582.860000 PA USD 12275.960000 0.0009203 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3618N6C70 447240.000000 PA USD 410527.250000 0.0307759 Long ABS-MBS USGSE US N 2 2056-03-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617LKMP2 97130.470000 PA USD 89481.550000 0.0067081 Long ABS-MBS USGSE US N 2 2049-11-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617GWBC3 1193449.520000 PA USD 1162149.230000 0.0871224 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2025-93 N/A 3136BXS39 2999797.850000 PA USD 3010334.340000 0.225675 Long ABS-MBS USGSE US N 2 2055-11-25 Floating 4.7619 N N N N N N GNMA PASS THRU POOLS N/A 36179UEF5 8972.410000 PA USD 9243.750000 0.000693 Long ABS-MBS USGSE US N 2 2038-12-20 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 3138LXQ85 816078.210000 PA USD 788106.920000 0.0590817 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132D9BT0 5794774.570000 PA USD 5387633.710000 0.403893 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140W3FM6 563463.830000 PA USD 593064.550000 0.0444601 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36213CEY2 20932.450000 PA USD 21306.380000 0.0015973 Long ABS-MBS USGSE US N 2 2031-07-15 Fixed 8 N N N N N N UMBS PASS THRU POOLS N/A 01F040651 -38600000.000000 PA USD -36397395.220000 -2.72859 Short ABS-MBS USGSE US N 2 2056-05-13 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 25-210 N/A 38385KCA6 2980871.830000 PA USD 2946876.480000 0.220917 Long ABS-MBS USGSE US N 2 2054-09-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B5DZ4 673275.640000 PA USD 625790.940000 0.0469135 Long ABS-MBS USGSE US N 2 2047-09-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36200MYU1 284.300000 PA USD 290.440000 0.0000218 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202EQY8 676.220000 PA USD 688.500000 0.0000516 Long ABS-MBS USGSE US N 2 2038-01-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295J7C4 540.980000 PA USD 570.530000 0.0000428 Long ABS-MBS USGSE US N 2 2037-12-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3622A2N32 392049.530000 PA USD 382010.270000 0.028638 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 4 N N N N N N N/A N/A 000000000 -3100000.000000 NC USD -10025.090000 -0.0007515 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put 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/4.08800 05/08/26-10Y LCH 2036-05-08 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2026-05-06 XXXX -5995.090000 N N N GNMA PASS THRU POOLS N/A 3617G1A73 290074.510000 PA USD 269617.860000 0.0202124 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07 N/A 38383KVX7 929983.370000 PA USD 938097.850000 0.0703261 Long ABS-MBS USGSE US N 2 2074-04-20 Floating 4.46294 N N N N N N GNMA PASS THRU POOLS N/A 36241KKT4 4237.390000 PA USD 4559.020000 0.0003418 Long ABS-MBS USGSE US N 2 2036-07-15 Fixed 6.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H17 N/A 38383KBM3 18780757.830000 PA USD 19050366.880000 1.42814 Long ABS-MBS USGSE US N 2 2073-07-20 Floating 4.57294 N N N N N N FHLMC PASS THRU POOLS N/A 3132DULA3 947479.860000 PA USD 983574.350000 0.0737353 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36209J5T4 2478.850000 PA USD 2552.060000 0.0001913 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 6.5 N N N N N N FREDDIE MAC REMICS 4274 N/A 3137B5WB5 297702.710000 PA USD 279499.620000 0.0209532 Long ABS-MBS USGSE US N 2 2035-10-15 Floating 1.90211 N N N N N N FNMA PASS THRU POOLS N/A 31418ENL0 988006.020000 PA USD 1012349.740000 0.0758925 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202EVM8 707.540000 PA USD 721.370000 0.0000541 Long ABS-MBS USGSE US N 2 2038-08-20 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3132A4FH6 618850.960000 PA USD 583129.870000 0.0437153 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4627 N/A 3137BSBG7 3088757.930000 PA USD 3025523.020000 0.226813 Long ABS-MBS USGSE US N 2 2044-05-15 Fixed 1.8 N N N N N N GNMA PASS THRU POOLS N/A 3617HNWC9 976203.590000 PA USD 945766.600000 0.070901 Long ABS-MBS USGSE US N 2 2048-09-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36212XG90 43294.570000 PA USD 44811.790000 0.0033594 Long ABS-MBS USGSE US N 2 2034-12-15 Fixed 5.72 N N N N N N N/A N/A 000000000 17900000.000000 NC USD 1014196.100000 0.0760309 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/4.65600 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.660000 USD 2035-08-20 XXXX -535048.900000 N N N GNMA PASS THRU POOLS N/A 3617YLVP6 362203.980000 PA USD 329229.550000 0.0246812 Long ABS-MBS USGSE US N 2 2063-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617U8R74 1469866.090000 PA USD 1362598.130000 0.102149 Long ABS-MBS USGSE US N 2 2050-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36296DA57 1367.630000 PA USD 1424.180000 0.0001068 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36183REH2 334417.970000 PA USD 314211.210000 0.0235554 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LKCN1 828000.000000 PA USD 821278.710000 0.0615685 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.385 N N N N N N GNMA PASS THRU POOLS N/A 36200ACT4 169.020000 PA USD 176.860000 0.0000133 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 6 N N N N N N DIAMETER CAPITAL CLO 2024-6A N/A 25255UAA0 2600000.000000 PA USD 2607764.250000 0.195495 Long ABS-CBDO CORP KY N 2 2037-04-15 Floating 5.28219 N N N N N N FNMA PASS THRU POOLS N/A 3140LKDG5 774125.170000 PA USD 774597.450000 0.058069 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 4.14 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2008-34 N/A 383742P64 45223.080000 PA USD 34562.510000 0.002591 Long ABS-MBS USGSE US N 2 2037-06-20 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36207MK88 1961.450000 PA USD 1973.190000 0.0001479 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36230QTP3 2150.140000 PA USD 2068.270000 0.0001551 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36225BTD0 354.070000 PA USD 368.480000 0.0000276 Long ABS-MBS USGSE US N 2 2032-05-15 Fixed 7 N N N N N N GNR-2021-155 N/A 38383AJX3 4261918.400000 PA USD 714971.330000 0.053599 Long ABS-MBS USGSE US N 2 2051-09-20 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3128PXWH5 22824.100000 PA USD 22702.910000 0.001702 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X5Y72 99169.500000 PA USD 95029.520000 0.007124 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179NTC2 1115775.050000 PA USD 1021192.080000 0.0765554 Long ABS-MBS USGSE US N 2 2043-11-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617J8WW6 1597724.600000 PA USD 1547035.730000 0.115976 Long ABS-MBS USGSE US N 2 2049-02-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138W9WF3 778873.520000 PA USD 734041.790000 0.0550287 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617BBR29 151837.650000 PA USD 148222.670000 0.0111118 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WKQQ1 5824871.910000 PA USD 5477675.990000 0.410643 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.5 N N N N N N N/A N/A 000000000 29900000.000000 NC USD 188220.500000 0.0141103 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/3.48000 07/16/26-7Y LCH 2033-07-16 0.000000 USD 0.000000 USD N/A USD N/A 3.480000 USD 2026-07-14 XXXX -54557.280000 N N N GNMA PASS THRU POOLS N/A 3620ARG47 73478.900000 PA USD 69361.400000 0.0051998 Long ABS-MBS USGSE US N 2 2040-09-15 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F042442 8700000.000000 PA USD 8638694.060000 0.647614 Long ABS-MBS USGSE US N 2 2040-04-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EPM5 536.200000 PA USD 563.720000 0.0000423 Long ABS-MBS USGSE US N 2 2037-09-20 Fixed 6 N N N N N N GOVERNMENT NATL MTGE ASSOC 2002-83 N/A 38373VT91 34627.640000 PA USD 0.240000 0 Long ABS-MBS USGSE US N 2 2042-10-16 Variable 0.00018 N N N N N N GNMA PASS THRU POOLS N/A 36200MQY2 278.150000 PA USD 284.570000 0.0000213 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 5.5 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2024-INV2 N/A 17331WBB8 1367319.430000 PA USD 1394390.580000 0.104533 Long ABS-MBS CORP US N 2 2054-06-25 Variable 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMB87 1211207.250000 PA USD 1124394.150000 0.0842921 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2019-1 N/A 3136B3ZE3 149134.820000 PA USD 146901.120000 0.0110127 Long ABS-MBS USGSE US N 2 2049-02-25 Floating 4.22638 N N N N N N FNMA PASS THRU POOLS N/A 3140LJF43 674000.000000 PA USD 684118.360000 0.0512861 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.77 N N N N N N 2026-05-26 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer