FNMA POOL 844532 FN 11/35 FLOATING VAR

NPORT-P false 0000810893 XXXXXXXX S000009847 C000027275 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO U.S. Government and Short-Term Investments Portfolio S000009847 8NMWJD2XVDNZZAHXSJ80 2026-03-31 2026-03-31 N 1313510581.610000 94727964.880000 1218782616.730000 0.000000 0.000000 2890798.230000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1768707.890000 USD N FNMA PASS THRU POOLS N/A FNMA POOL 844532 FN 11/35 FLOATING VAR 31407YHH5 37555.010000 PA USD 38153.790000 0.0031305 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 5.565 N N N N N N WASHINGTON MUTUAL 2006-AR11 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR11 2A 93363TAB8 806713.390000 PA USD 768721.060000 0.0630729 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.35874 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A1 92922F5T1 381871.110000 PA USD 362190.430000 0.0297174 Long ABS-MBS CORP US N 2 2045-11-25 Floating 4.31303 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 844214 FN 11/35 FLOATING VAR 31407X3X7 42906.670000 PA USD 43536.740000 0.0035721 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 5.515 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1 863579JG4 139558.610000 PA USD 130363.640000 0.0106962 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.25874 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3 12669GZQ7 360142.930000 PA USD 319742.420000 0.0262346 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.25303 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/40 1.375 912810ST6 37030000.000000 PA USD 23864822.600000 1.95809 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE1 N/A HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A1 44328AAB6 84737.380000 PA USD 28760.370000 0.0023598 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.89303 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 847415 FH 06/35 FLOATING VAR 3128JRGY6 285767.240000 PA USD 296141.820000 0.0242982 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 6.504 N N N N N N N/A N/A RFR USD SOFR/4.01000 03/31/26-28Y* LCH 000000000 1.000000 NC USD 3546699.510000 0.291004 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 2083905.320000 USD 0.000000 USD 149200000.000000 USD 1462794.190000 N N N RENAISSANCE HOME EQUITY LOAN TRUST 2002-2 N/A RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 A 759950AG3 1852.680000 PA USD 1796.150000 0.0001474 Long ABS-MBS CORP US N 2 2032-08-25 Floating 4.49303 N N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1 07387QAX8 309716.870000 PA USD 295221.130000 0.0242226 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.11303 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2004-4 N/A MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 4 4A1 576433ME3 39841.810000 PA USD 38988.720000 0.003199 Long ABS-MBS CORP US N 2 2034-05-25 Floating 5.57161 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1 76111JZ72 4726.020000 PA USD 4775.440000 0.0003918 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6.5 N N N N N N DRSLF-2017-54A N/A DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A 26244RAF8 28663.450000 PA USD 28698.880000 0.0023547 Long ABS-CBDO CORP KY N 2 2029-10-19 Floating 4.81763 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 873877 G2 02/30 FLOATING VAR 36208ALN9 85709.230000 PA USD 85976.780000 0.0070543 Long ABS-MBS USGSE US N 2 2030-02-20 Floating 5.625 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 675632 FN 12/32 FLOATING VAR 31391SSV3 636.320000 PA USD 646.920000 0.0000531 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 5.625 N N N N N N ASSET BACKED SEC HOME EQTY LN 2007-HE2 N/A ASSET BACKED SECURITIES CORP H ABSHE 2007 HE2 A2 04544TAB7 16004.740000 PA USD 11557.450000 0.0009483 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.87303 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1 12669GTV3 6424.330000 PA USD 6315.650000 0.0005182 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.37303 N N N N N N SEQUOIA MORTGAGE TRUST 5 N/A SEQUOIA MORTGAGE TRUST SEMT 5 A 81743WAA9 50344.970000 PA USD 50131.620000 0.0041133 Long ABS-MBS CORP US N 2 2026-10-19 Floating 4.4912 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 786778 FH 07/29 FLOATING VAR 31295KQ72 1145.900000 PA USD 1158.030000 0.000095 Long ABS-MBS USGSE US N 2 2029-07-01 Floating 6.481 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A1 N/A JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A2 466247E74 233354.840000 PA USD 159386.720000 0.0130775 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.98496 N N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A BEAR STEARNS ALT A TRUST BALTA 2006 6 31A1 073868AV3 4910054.910000 PA USD 2690777.360000 0.220776 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.33006 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/50 1.625 912810SS8 214700000.000000 PA USD 112063334.860000 9.19469 Long DBT UST US N 2 2050-11-15 Fixed 1.625 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2 86359LBY4 12302.600000 PA USD 11863.450000 0.0009734 Long ABS-MBS CORP US N 2 2034-07-19 Floating 4.3712 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2006-1 N/A NEW CENTURY HOME EQUITY LOAN T NCHET 2006 1 A2B 64352VQR5 84134.060000 PA USD 84148.060000 0.0069043 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.15303 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 563479 FN 11/30 FLOATING VAR 31386G6Q1 65.440000 PA USD 65.800000 0.0000054 Long ABS-MBS USGSE US N 2 2030-11-01 Floating 5.258 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A 41161PLR2 455706.300000 PA USD 443762.740000 0.0364103 Long ABS-MBS CORP US N 2 2035-05-19 Floating 4.2312 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A 92925DAB6 624537.610000 PA USD 562631.760000 0.0461634 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.8287 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE 01F042665 -3000000.000000 PA USD -2890798.230000 -0.237187 Short ABS-MBS USGSE US N 2 2056-06-11 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 257202 FN 04/28 FIXED 4.5 31371NU37 47.560000 PA USD 47.490000 0.0000039 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 4.5 N N N N N N N/A N/A US 10YR ULTRA FUT JUN26 XCBT 20260618 000000000 6198.000000 NC USD -15975038.930000 -1.31074 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 703037206.220000 USD -15975038.930000 N N N FNMA PASS THRU POOLS N/A FNMA POOL 735362 FN 03/35 FLOATING VAR 31402Q5X5 94102.510000 PA USD 95775.690000 0.0078583 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 5.491 N N N N N N FANNIEMAE WHOLE LOAN 2003-W9 N/A FANNIEMAE WHOLE LOAN FNW 2003 W9 A 31393B6U4 47305.800000 PA USD 45457.250000 0.0037297 Long ABS-MBS USGSE US N 2 2033-06-25 Floating 3.89638 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2002-AR21 N/A CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR21 1A1 22540V4R0 971.740000 PA USD 775.910000 0.0000637 Long ABS-MBS CORP US N 2 2032-06-25 Floating 0.098 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 803338 FN 09/44 FLOATING VAR 31405YPX3 131192.970000 PA USD 132769.140000 0.0108936 Long ABS-MBS USGSE US N 2 2044-09-01 Floating 5.058 N N N N N N FANNIE MAE 2006-15 N/A FANNIE MAE FNR 2006 15 FC 31395BVE0 36451.900000 PA USD 35958.890000 0.0029504 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 3.91169 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2 86359LAQ2 48372.350000 PA USD 46513.120000 0.0038164 Long ABS-MBS CORP US N 2 2034-03-19 Floating 4.4912 N N N N N N N/A N/A CDX IG45 5Y ICE 000000000 1.000000 NC USD 1092542.800000 0.0896421 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.45 Y Single Leg Swap 2030-12-20 1339845.930000 USD 0.000000 USD 60510000.000000 USD -247303.130000 N N N N/A N/A RFR USD SOFR/3.50000 06/20/24-30Y CME 000000000 1.000000 NC USD 1605470.120000 0.131727 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-06-20 342321.000000 USD 0.000000 USD 14000000.000000 USD 1263149.120000 N N N N/A N/A RFR USD SOFR/3.75000 12/17/25-10Y CME 000000000 1.000000 NC USD -1568641.570000 -0.128706 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-12-17 1973980.000000 USD 0.000000 USD 173100000.000000 USD -3542621.570000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-14 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1 12667GCB7 178091.970000 PA USD 173772.720000 0.0142579 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.21303 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 11A2 07384MZ96 113335.080000 PA USD 108723.340000 0.0089207 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.18283 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE6 N/A MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1 61755CAA0 115014.300000 PA USD 105586.570000 0.0086633 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.85303 N N N N N N FANNIEMAE GRANTOR TRUST 2001-T13 N/A FANNIEMAE GRANTOR TRUST FNGT 2001 T13 A1 31392A5E4 99247.730000 PA USD 95894.790000 0.0078681 Long ABS-MBS USGSE US N 2 2032-03-25 Floating 4.40165 N N N N N N VENTURE XIX CLO LTD 2014-19A N/A VENTURE CDO LTD VENTR 2014 19A ARR 144A 92330EAP2 498243.010000 PA USD 498816.190000 0.0409274 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 5.1938 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 1A 939336PL1 41.420000 PA USD 41.950000 0.0000034 Long ABS-MBS CORP US N 2 2033-02-25 Floating 5.975 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 664885 FN 10/32 FLOATING VAR 31391EUJ8 2090.760000 PA USD 2136.810000 0.0001753 Long ABS-MBS USGSE US N 2 2032-10-01 Floating 6.246 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/52 2.25 912810TD0 600000.000000 PA USD 361792.970000 0.0296848 Long DBT UST US N 2 2052-02-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/45 4.875 912810UN6 600000.000000 PA USD 598171.870000 0.0490795 Long DBT UST US N 2 2045-08-15 Fixed 4.875 N N N N N N N/A N/A US 5YR NOTE (CBT) JUN26 XCBT 20260630 000000000 6071.000000 NC USD -9117974.510000 -0.748121 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-30 656735166.450000 USD -9117974.510000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080592 G2 04/32 FLOATING VAR 36225CUS3 1819.530000 PA USD 1813.710000 0.0001488 Long ABS-MBS USGSE US N 2 2032-04-20 Floating 5.625 N N N N N N FREDDIE MAC 2739 N/A FREDDIE MAC FHR 2739 PG 31394NGR3 713931.690000 PA USD 725442.700000 0.0595219 Long ABS-MBS USGSE US N 2 2034-01-15 Fixed 5 N N N N N N WASHINGTON MUTUAL 2006-AR19 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 1A1A 933638AB4 274159.150000 PA USD 266468.850000 0.0218635 Long ABS-MBS CORP US N 2 2047-01-25 Floating 4.58874 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 555847 FN 09/33 FLOATING VAR 31385XP84 40.810000 PA USD 41.370000 0.0000034 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 5.898 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008945 G2 08/26 FLOATING VAR 36202K5E1 246.450000 PA USD 246.200000 0.0000202 Long ABS-MBS USGSE US N 2 2026-08-20 Floating 5.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/28 2.875 9128284N7 9680000.000000 PA USD 9497743.800000 0.779281 Long DBT UST US N 2 2028-05-15 Fixed 2.875 N N N N N N LEHMAN ABS MTGE LN TR 2007-1 N/A LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A1 144A 52521MAB8 314302.920000 PA USD 208803.560000 0.0171321 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.88303 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1 31395M2F5 153591.320000 PA USD 150095.520000 0.0123152 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 5.05874 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A 17307GW53 17219.310000 PA USD 17478.920000 0.0014341 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.49 N N N N N N N/A N/A RFR USD SOFR/4.07500 03/31/26-28Y* LCH 000000000 1.000000 NC USD 723494.820000 0.0593621 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 412085.120000 USD 0.000000 USD 55442600.000000 USD 311409.700000 N N N FNMA PASS THRU POOLS N/A FNMA POOL 535228 FN 12/29 FLOATING VAR 31384VSR4 335.490000 PA USD 339.240000 0.0000278 Long ABS-MBS USGSE US N 2 2029-12-01 Floating 6.092 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 732218 FN 06/43 FLOATING VAR 31402LPB2 111332.750000 PA USD 112478.260000 0.0092287 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 5.057 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2A 59024LAB7 243808.470000 PA USD 67612.430000 0.0055475 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.03303 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1 12669GJY8 223175.320000 PA USD 212393.520000 0.0174267 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.45303 N N N N N N MASTR ASSET BACKED SEC TR 2006-HE4 N/A MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A1 576449AA0 69879.210000 PA USD 19935.270000 0.0016357 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.89303 N N N N N N BEAR STEARNS ARM 2003-1 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1 07384MTN2 9580.200000 PA USD 9694.850000 0.0007955 Long ABS-MBS CORP US N 2 2033-04-25 Floating 6 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1 31395A3J2 287083.000000 PA USD 280342.150000 0.0230018 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 5.25874 N N N N N N ASSET BACKED SEC CORP HEQ LN 2001-HE2 N/A ASSET BACKED SECURITIES CORP H ABSHE 2001 HE2 A1 04541GBN1 268266.450000 PA USD 262588.190000 0.0215451 Long ABS-MBS CORP US N 2 2031-06-15 Floating 4.30699 N N N N N N APEX CREDIT CLO 2024-1A LTD N/A APEX CREDIT CLO LLC APEXC 2024 1A A1 144A 03753AAA8 1300000.000000 PA USD 1302055.940000 0.106833 Long ABS-CBDO CORP BM N 2 2036-04-20 Floating 5.46763 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1 31395HHV5 473745.240000 PA USD 438092.640000 0.0359451 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 5.05874 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 930770 FN 03/29 FIXED 4.5 31412PCF6 3452.360000 PA USD 3456.640000 0.0002836 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 4.5 N N N N N N GSAMP TRUST 2006-S1 N/A GSAMP TRUST GSAMP 2006 S1 A2A 3623413A5 129641.160000 PA USD 9100.500000 0.0007467 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.97303 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/49 3 912810SF6 38140000.000000 PA USD 27867527.250000 2.28651 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1 12668RAA6 1965924.900000 PA USD 1608220.540000 0.131953 Long ABS-MBS CORP US N 2 2047-02-20 Floating 3.96952 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/49 2.875 912810SH2 56970000.000000 PA USD 40519912.500000 3.32462 Long DBT UST US N 2 2049-05-15 Fixed 2.875 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL A89493 FG 10/39 FIXED 5.5 312936RN9 16162.640000 PA USD 16536.570000 0.0013568 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/43 4.375 912810TU2 23300000.000000 PA USD 21999841.830000 1.80507 Long DBT UST US N 2 2043-08-15 Fixed 4.375 N N N N N N N/A N/A RFR USD SOFR/3.32500 07/06/26-4Y* CME 000000000 1.000000 NC USD 510751.860000 0.0419067 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-08-31 0.000000 USD -261853.570000 USD 50946800.000000 USD 772605.430000 N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL A89085 FG 10/39 FIXED 5.5 312936CW5 8273.440000 PA USD 8470.040000 0.000695 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 5.5 N N N N N N BLUEMOUNTAIN CLO LTD 2018-3A N/A BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A 09630AAN6 327682.550000 PA USD 328022.340000 0.0269139 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 4.85802 N N N N N N N/A N/A RFR USD SOFR/3.14947 12/02/24-9Y* CME 000000000 1.000000 NC USD 20950622.990000 1.71898 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-05-15 0.000000 USD 0.000000 USD 394400000.000000 USD 20950622.990000 N N N FNMA PASS THRU POOLS N/A FNMA POOL 576836 FN 02/41 FLOATING VAR 31386XY91 64.760000 PA USD 64.980000 0.0000053 Long ABS-MBS USGSE US N 2 2041-02-01 Floating 5.058 N N N N N N J.P. MORGAN MORTGAGE TRUST 2024-VIS1 N/A JP MORGAN MORTGAGE TRUST JPMMT 2024 VIS1 A1 144A 465970AA9 718419.800000 PA USD 722534.190000 0.0592833 Long ABS-MBS CORP US N 2 2064-07-25 Variable 5.99 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 PIMCO PRV SHORT TERM FLT III MUTUAL FUND 000000000 7218215.960000 PA USD 70298205.230000 5.7679 Long STIV RF US N 1 N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 789433 FH 05/32 FLOATING VAR 31295NPS1 2657.650000 PA USD 2706.080000 0.000222 Long ABS-MBS USGSE US N 2 2032-05-01 Floating 6.208 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR4 N/A DSLA MORTGAGE LOAN TRUST DSLA 2005 AR4 2A1A 23332UEM2 144039.770000 PA USD 130076.670000 0.0106727 Long ABS-MBS CORP US N 2 2045-08-19 Floating 4.3112 N N N N N N N/A N/A RFR USD SOFR/3.32500 07/06/26-4Y* LCH 000000000 1.000000 NC USD 7446954.370000 0.611016 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-31 2881885.130000 USD 0.000000 USD 751360000.000000 USD 4565069.240000 N N N FANNIEMAIE WHOLE LOAN 2002-W2 N/A FANNIEMAE WHOLE LOAN FNW 2002 W2 AV1 31392CEQ3 119.190000 PA USD 116.980000 0.0000096 Long ABS-MBS USGSE US N 2 2032-06-25 Floating 3.90638 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A 929227XB7 73193.310000 PA USD 71082.850000 0.0058323 Long ABS-MBS CORP US N 2 2042-11-25 Floating 5.05874 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/43 3.625 912810RC4 53000000.000000 PA USD 45279804.820000 3.71517 Long DBT UST US N 2 2043-08-15 Fixed 3.625 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2 31393CX40 51528.240000 PA USD 51375.950000 0.0042153 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 4.12638 N N N N N N N/A N/A RFR USD SOFR/3.85700 09/01/23-7Y* LCH 000000000 1.000000 NC USD 1424522.800000 0.116881 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-31 191441.610000 USD 0.000000 USD 140300000.000000 USD 1233081.190000 N N N SEQUOIA MORTGAGE TRUST 2003-4 N/A SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1 81743PBW5 133001.120000 PA USD 133857.900000 0.0109829 Long ABS-MBS CORP US N 2 2033-07-20 Floating 4.48952 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-1 N/A HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 1 2A1A 41164MAC1 527203.410000 PA USD 493652.870000 0.0405038 Long ABS-MBS CORP US N 2 2037-03-19 Floating 4.0512 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/44 3 912810RJ9 213100000.000000 PA USD 163237928.620000 13.3935 Long DBT UST US N 2 2044-11-15 Fixed 3 N N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-3A N/A CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A1 144A 16678RBU0 68956.940000 PA USD 67694.900000 0.0055543 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.04303 N N N N N N SOUND POINT CLO XXVII LTD N/A SOUND POINT CLO LTD SNDPT 2020 2A AR 144A 83611VAS7 3000000.000000 PA USD 3004079.580000 0.246482 Long ABS-CBDO CORP KY N 2 2034-10-25 Floating 5.10963 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL A82915 FG 11/38 FIXED 5.5 312929GY2 6114.070000 PA USD 6266.900000 0.0005142 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.5 N N N N N N FANNIE MAE WHOLE LOAN 2002 W11 N/A FANNIEMAE WHOLE LOAN FNW 2002 W11 AV1 31392EW63 139.510000 PA USD 136.980000 0.0000112 Long ABS-MBS USGSE US N 2 2032-11-25 Floating 3.94638 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1 126694A32 1459798.650000 PA USD 1387078.930000 0.113809 Long ABS-MBS CORP US N 2 2046-03-20 Floating 4.20952 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/27 3.875 91282CNE7 44100000.000000 PA USD 44132730.580000 3.62105 Long DBT UST US N 2 2027-05-31 Fixed 3.875 N N N N N N KKR CLO LTD 21 N/A KKR FINANCIAL CLO LTD KKR 21 A 144A 48252KAA7 128462.020000 PA USD 128589.390000 0.0105506 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 4.9338 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A 126680AA5 1138283.950000 PA USD 1063825.270000 0.0872859 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.15303 N N N N N N JP MORGAN MORTGAGE ACQ CORP 2005-RM1 N/A JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2 46629NAC7 24415.760000 PA USD 10750.140000 0.000882 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.95303 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA0232 FN 11/29 FIXED 4.5 31417YHJ9 19358.210000 PA USD 19382.260000 0.0015903 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 4.5 N N N N N N BEIGNET INVESTOR LLC N/A BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581 076912AA2 17580000.000000 PA USD 18088597.310000 1.48415 Long DBT CORP US N 2 2049-05-30 Fixed 6.581 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080058 G2 04/27 FLOATING VAR 36225CB47 339.040000 PA USD 339.370000 0.0000278 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 5.625 N N N N N N N/A N/A RFR USD SOFR/3.75000 12/18/24-10Y CME 000000000 1.000000 NC USD 146342.390000 0.0120073 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -222611.820000 USD 31000000.000000 USD 368954.210000 N N N FNMA PASS THRU POOLS N/A FNMA POOL MA0096 FN 06/29 FIXED 4.5 31417YDA2 1606.660000 PA USD 1608.830000 0.000132 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.5 N N N N N N FREDDIE MAC 2469 N/A FREDDIE MAC FHR 2469 FV 31392RDQ1 4633.920000 PA USD 4633.580000 0.0003802 Long ABS-MBS USGSE US N 2 2030-06-15 Floating 4.28671 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A1 N/A MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A1 3A 589929F37 9829.320000 PA USD 9708.230000 0.0007966 Long ABS-MBS CORP US N 2 2032-12-25 Floating 5.54929 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 847076 FH 01/32 FLOATING VAR 3128HD2H1 1265.760000 PA USD 1281.630000 0.0001052 Long ABS-MBS USGSE US N 2 2032-01-01 Floating 6.207 N N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1 073868BE0 10448796.300000 PA USD 5209332.030000 0.427421 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.43307 N N N N N N FREDDIE MAC 2990 N/A FREDDIE MAC FHR 2990 EZ 31395V2K4 195977.260000 PA USD 195213.460000 0.0160171 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/48 3 912810SD1 8300000.000000 PA USD 6093691.430000 0.499982 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA0200 FN 10/29 FIXED 4.5 31417YGJ0 4576.430000 PA USD 4581.950000 0.0003759 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 4.5 N N N N N N FANNIE MAE 2006-118 N/A FANNIE MAE FNR 2006 118 A2 31396L4T4 72300.860000 PA USD 71049.530000 0.0058295 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 3.84169 N N N N N N HOME EQUITY PASS-THRU CERTS 2002-3 N/A HOME EQUITY ASSET TRUST HEAT 2002 3 A4 22541NHE2 1009.790000 PA USD 985.960000 0.0000809 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.71303 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 2CB A14 12668BLY7 805062.530000 PA USD 322577.040000 0.0264672 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 5.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/42 4 912810TM0 38100000.000000 PA USD 34487197.220000 2.82964 Long DBT UST US N 2 2042-11-15 Fixed 4 N N N N N N N/A N/A US 10YR NOTE (CBT)JUN26 XCBT 20260618 000000000 7485.000000 NC USD -15396659.220000 -1.26328 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 830776527.180000 USD -15396659.220000 N N N FNMA PASS THRU POOLS N/A FNMA POOL 930543 FN 02/29 FIXED 4.5 31412NZG4 7709.340000 PA USD 7714.390000 0.000633 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AH6225 FN 03/41 FIXED 4 3138A74K1 46507.790000 PA USD 44943.950000 0.0036876 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4 N N N N N N N/A N/A RFR USD SOFR/3.32826 09/03/24-7Y* CME 000000000 1.000000 NC USD 246316.970000 0.0202101 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-04-30 0.000000 USD 0.000000 USD 11500000.000000 USD 246316.970000 N N N GSR MORTGAGE LOAN TRUST 2006-AR2 N/A GSR MORTGAGE LOAN TRUST GSR 2006 AR2 2A1 36297TAB8 1383511.950000 PA USD 813519.550000 0.0667485 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.0607 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AJ4494 FN 12/41 FIXED 4 3138AV7G4 430303.830000 PA USD 415828.260000 0.0341183 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1 542514HN7 1266698.610000 PA USD 1240908.120000 0.101815 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.35303 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AE4948 FN 09/40 FIXED 4 31419FQA7 103934.230000 PA USD 100426.660000 0.0082399 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 866888 FN 01/36 FLOATING VAR 31409CCZ6 35191.380000 PA USD 35963.070000 0.0029507 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 6.155 N N N N N N WASHINGTON MUTUAL 2006 AR7 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A 93363CAC3 2118267.240000 PA USD 1967210.000000 0.161408 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.90674 N N N N N N N/A N/A US LONG BOND(CBT) JUN26 XCBT 20260618 000000000 -2486.000000 NC USD 9680121.240000 0.794245 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-18 -282355218.750000 USD 9680121.240000 N N N WASHINGTON MUTUAL 2006-AR17 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A 92925DAD2 375451.400000 PA USD 348999.570000 0.0286351 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.87092 N N N N N N VENTURE CDO LTD 2018-35A N/A VENTURE CDO LTD VENTR 2018 35A ALR 144A 92331XAW4 908267.010000 PA USD 909285.300000 0.074606 Long ABS-CBDO CORP KY N 2 2031-10-22 Floating 5.13081 N N N N N N GSAMP TRUST 2007-FM1 N/A GSAMP TRUST GSAMP 2007 FM1 A2A 3622MAAB7 351894.030000 PA USD 173956.630000 0.014273 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.93303 N N N N N N MORGAN STANLEY IXIS RE CAP TR 2006-2 N/A MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A1 617463AA2 28421.290000 PA USD 9251.070000 0.000759 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.84303 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 806506 FN 10/44 FLOATING VAR 31406DAF3 180460.980000 PA USD 182653.380000 0.0149865 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 5.058 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 775852 FN 03/44 FLOATING VAR 31404Q5M7 189562.500000 PA USD 191842.570000 0.0157405 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 5.058 N N N N N N RALI SERIES 2005-QO1 TRUST N/A RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1 761118EN4 381334.460000 PA USD 260528.850000 0.0213762 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.09303 N N N N N N FANNIE MAE 2002-21 N/A FANNIE MAE FNR 2002 21 FD 31392CRD8 2693.820000 PA USD 2703.020000 0.0002218 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 4.67638 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2006-1 N/A GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A 36829JAA9 37021.500000 PA USD 15590.730000 0.0012792 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.87303 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 516801 FN 12/29 FLOATING VAR 31383YDE4 2491.940000 PA USD 2523.030000 0.000207 Long ABS-MBS USGSE US N 2 2029-12-01 Floating 5.895 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 795297 FN 07/44 FLOATING VAR 31405PRS1 35988.530000 PA USD 36070.370000 0.0029595 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 5.058 N N N N N N BEAR STEARNS ARM 2003-1 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 3A1 07384MTK8 4770.370000 PA USD 4845.310000 0.0003976 Long ABS-MBS CORP US N 2 2033-04-25 Floating 6.12504 N N N N N N WASHINGTON MUTUAL 2004-AR1 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A 92922FLD8 19297.850000 PA USD 19621.360000 0.0016099 Long ABS-MBS CORP US N 2 2034-03-25 Floating 5.59952 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 1B2793 FH 02/35 FLOATING VAR 3128JM7F8 110729.840000 PA USD 113267.400000 0.0092935 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.051 N N N N N N SOUND POINT CLO XXIII 2019-2A N/A SOUND POINT CLO LTD SNDPT 2019 2A AR 144A 83614BAQ2 1000000.000000 PA USD 1001339.540000 0.082159 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.1038 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-34 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 34 A1V 3133985T2 126644.400000 PA USD 125661.200000 0.0103104 Long ABS-MBS USGSE US N 2 2031-07-25 Floating 4.01638 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/50 1.375 912810SP4 150550000.000000 PA USD 73648942.570000 6.04283 Long DBT UST US N 2 2050-08-15 Fixed 1.375 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A 93362YAB8 895627.960000 PA USD 852487.440000 0.0699458 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.83874 N N N N N N FANNIEMAE GRANTOR TRUST 2002-T7 N/A FANNIEMAE GRANTOR TRUST FNGT 2002 T7 A1 31392DQH8 29467.800000 PA USD 29356.260000 0.0024087 Long ABS-MBS USGSE US N 2 2032-07-25 Floating 4.01303 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AE8748 FN 12/40 FIXED 4 31419KWJ0 43126.260000 PA USD 41738.470000 0.0034246 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA22 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA22 A1 23245PAA9 177548.030000 PA USD 165453.970000 0.0135753 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.11303 N N N N N N CAPITAL FOUR US CLO 2022-1A N/A CAPITAL FOUR US CLO C4US 2022 1A AR 144A 14016CAN6 2200000.000000 PA USD 2207178.600000 0.181097 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 5.56763 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM4 N/A SECURITIZED ASSET BACKED RECEI SABR 2006 WM4 A2A 81377XAB8 428418.130000 PA USD 112063.640000 0.0091947 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.95303 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3 46630GAJ4 111222.100000 PA USD 107130.940000 0.00879 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.96829 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/43 3.125 912810QZ4 41250000.000000 PA USD 33041894.330000 2.71106 Long DBT UST US N 2 2043-02-15 Fixed 3.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/42 3 912810QW1 51000000.000000 PA USD 40664531.250000 3.33649 Long DBT UST US N 2 2042-05-15 Fixed 3 N N N N N N DIAMETER CAPITAL CLO 2024-6A N/A DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A 25255UAA0 2400000.000000 PA USD 2407167.000000 0.197506 Long ABS-CBDO CORP KY N 2 2037-04-15 Floating 5.28219 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 789084 FH 02/32 FLOATING VAR 31295NCV8 365.000000 PA USD 371.040000 0.0000304 Long ABS-MBS USGSE US N 2 2032-02-01 Floating 5.85 N N N N N N FREDDIE MAC 2477 N/A FREDDIE MAC FHR 2477 FZ 31392PU94 4122.200000 PA USD 4125.520000 0.0003385 Long ABS-MBS USGSE US N 2 2031-06-15 Floating 4.33671 N N N N N N RESIDENTIAL ASSET MTGE PROD INC 2004-SL2 N/A RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL2 A4 7609856D8 104465.300000 PA USD 93828.850000 0.0076986 Long ABS-MBS CORP US N 2 2031-10-25 Fixed 8.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/44 4.125 912810UD8 7500000.000000 PA USD 6806396.480000 0.558459 Long DBT UST US N 2 2044-08-15 Fixed 4.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 03/27 3.875 91282CMV0 46600000.000000 PA USD 46666051.770000 3.82891 Long DBT UST US N 2 2027-03-31 Fixed 3.875 N N N N N N FREDDIE MAC 1935 N/A FREDDIE MAC FHR 1935 FJ 3133T8Z67 59.180000 PA USD 59.200000 0.0000049 Long ABS-MBS USGSE US N 2 2027-02-15 Floating 4.48671 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 2A1 12668BDE0 118076.660000 PA USD 109803.230000 0.0090093 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.85874 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1 12668AVP7 125837.560000 PA USD 120376.640000 0.0098768 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.35303 N N N N N N N/A N/A CDX IG46 5Y ICE 000000000 1.000000 NC USD 686176.100000 0.0563001 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.46 Y Single Leg Swap 2031-06-20 660030.970000 USD 0.000000 USD 39000000.000000 USD 26145.130000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080409 G2 05/30 FLOATING VAR 36225CN36 11989.910000 PA USD 12012.210000 0.0009856 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 5.625 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1 N/A SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A 81377JAB9 1373103.470000 PA USD 284992.570000 0.0233834 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.91303 N N N N N N N/A N/A RFR USD SOFR/3.50000 12/18/24-30Y CME 000000000 1.000000 NC USD 7126145.070000 0.584694 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-12-18 646649.000000 USD 0.000000 USD 64200000.000000 USD 6479496.070000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1 07384MZV7 65405.590000 PA USD 63506.580000 0.0052107 Long ABS-MBS CORP US N 2 2034-01-25 Floating 6.18478 N N N N N N FREDDIE MAC 3031 N/A FREDDIE MAC FHR 3031 LZ 31396AAZ7 40468.430000 PA USD 40296.510000 0.0033063 Long ABS-MBS USGSE US N 2 2035-09-15 Fixed 4.5 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR2 N/A WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR2 1A2 939336D59 29138.710000 PA USD 29662.800000 0.0024338 Long ABS-MBS CORP US N 2 2033-05-25 Floating 4.9985 N N N N N N FANNIE MAE 2004-11 N/A FANNIE MAE FNR 2004 11 A 31393T7H3 18059.090000 PA USD 18034.330000 0.0014797 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 3.90169 N N N N N N N/A N/A RFRF USD SF+26.161/2.6* 12/21/17-30Y LCH 000000000 1.000000 NC USD 10391534.800000 0.852616 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2047-12-21 0.000000 USD -13433.660000 USD 40000000.000000 USD 10404968.460000 N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1 31394PPQ0 244589.280000 PA USD 249254.800000 0.0204511 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 6.5 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A 93363DAB3 6091710.560000 PA USD 5371064.860000 0.440691 Long ABS-MBS CORP US N 2 2046-08-25 Floating 4.90674 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR1 N/A GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2 39538RAB5 111448.480000 PA USD 99660.810000 0.0081771 Long ABS-MBS CORP US N 2 2045-06-25 Floating 4.23303 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080070 G2 05/27 FLOATING VAR 36225CCG9 160.320000 PA USD 160.420000 0.0000132 Long ABS-MBS USGSE US N 2 2027-05-20 Floating 5.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/42 2.75 912810QY7 83400000.000000 PA USD 63465445.100000 5.20728 Long DBT UST US N 2 2042-11-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/41 1.75 912810TA6 12400000.000000 PA USD 8294195.330000 0.680531 Long DBT UST US N 2 2041-08-15 Fixed 1.75 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1 22540A7A0 16343.070000 PA USD 16159.290000 0.0013259 Long ABS-MBS CORP US N 2 2032-01-25 Floating 4.41303 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/43 2.875 912810RB6 10960000.000000 PA USD 8421218.800000 0.690953 Long DBT UST US N 2 2043-05-15 Fixed 2.875 N N N N N N SEQUOIA MORTGAGE TRUST 2003-4 N/A SEQUOIA MORTGAGE TRUST SEMT 2003 4 2M1 81743PBX3 94180.550000 PA USD 91086.810000 0.0074736 Long ABS-MBS CORP US N 2 2033-07-20 Floating 4.49452 N N N N N N DRYDEN SENIOR LOAN FUND 2015-37A N/A DRYDEN SENIOR LOAN FUND DRSLF 2015 37A AR 144A 26249MAN7 453362.100000 PA USD 454075.230000 0.0372565 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 5.0338 N N N N N N SALOMON BROTHERS MTGE SEC VII 2002-WMC1 N/A SALOMON BROTHERS MORTGAGE SECU SBM7 2002 WMC1 M1 79549AKF5 4785.620000 PA USD 4789.540000 0.000393 Long ABS-MBS CORP US N 2 2032-01-25 Floating 5.14303 N N N N N N ROMARK WM-R LTD 2018-1A N/A ROMARK CLO LTD RMRK 2018 1A A1 144A 77587AAC0 18275.850000 PA USD 18293.950000 0.001501 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 4.95924 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AJ5116 FN 12/41 FIXED 4 3138AWVJ9 103853.860000 PA USD 100360.310000 0.0082345 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4 N N N N N N N/A N/A US ULTRA BOND CBT JUN26 XCBT 20260618 000000000 871.000000 NC USD -1277741.320000 -0.104838 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-06-18 101267359.380000 USD -1277741.320000 N N N FREDDIE MAC 2585 N/A FREDDIE MAC FHR 2585 FD 31393MH61 6999.250000 PA USD 6993.850000 0.0005738 Long ABS-MBS USGSE US N 2 2032-12-15 Floating 4.28671 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 01/32 0.00000 3134A4NU4 563000.000000 PA USD 438746.870000 0.0359988 Long DBT USGSE US N 2 2032-01-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/41 1.875 912810SW9 110500000.000000 PA USD 76592470.570000 6.28434 Long DBT UST US N 2 2041-02-15 Fixed 1.875 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A 92925CDA7 689893.310000 PA USD 642239.550000 0.0526952 Long ABS-MBS CORP US N 2 2046-02-25 Floating 4.85874 N N N N N N N/A N/A RFR USD SOFR/1.75000 12/21/22-30Y CME 000000000 1.000000 NC USD 21056994.810000 1.72771 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-12-21 10094711.000000 USD 0.000000 USD 53000000.000000 USD 10962283.810000 N N N WASHINGTON MUTUAL 2005-AR19 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1 92925CBA9 119212.730000 PA USD 120558.670000 0.0098917 Long ABS-MBS CORP US N 2 2045-12-25 Floating 4.33303 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/35 4.25 91282CNT4 1100000.000000 PA USD 1096046.880000 0.0899296 Long DBT UST US N 2 2035-08-15 Fixed 4.25 N N N N N N WASHINGTON MUTUAL 2006-AR4 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR4 2A1A 93934FPT3 187638.420000 PA USD 157680.990000 0.0129376 Long ABS-MBS CORP US N 2 2046-05-25 Floating 3.69734 N N N N N N INDYMAC INDX MTGE LOAN TR 2005-AR2 N/A INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR2 2A1A 45660LCL1 519747.290000 PA USD 493304.000000 0.0404751 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.43303 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA0427 FN 05/30 FIXED 4 31417YPM3 6015.010000 PA USD 5975.820000 0.0004903 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 4 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1 86360KAE8 5620827.800000 PA USD 4718362.860000 0.387137 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.23303 N N N N N N COUNTRYWIDE HOME LOANS 2005-11 N/A COUNTRYWIDE HOME LOANS CWHL 2005 11 3A1 12669GUM1 160076.980000 PA USD 107189.420000 0.0087948 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.59801 N N N N N N N/A N/A RFR USD SOFR/3.30000 12/02/24-4Y* CME 000000000 1.000000 NC USD 949666.360000 0.0779193 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-02-28 0.000000 USD -154593.170000 USD 118000000.000000 USD 1104259.530000 N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA3 1A1 12668BB44 22375.500000 PA USD 19837.020000 0.0016276 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.19303 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A 93363RAB2 296422.900000 PA USD 285139.470000 0.0233954 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.35874 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB1 N/A CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF1A 1248MGAJ3 793469.910000 PA USD 230506.100000 0.0189128 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.93303 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/38 4.5 912810PX0 31463000.000000 PA USD 31702659.650000 2.60117 Long DBT UST US N 2 2038-05-15 Fixed 4.5 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A COUNTRYWIDE HOME LOANS CWHL 2004 25 2A1 12669GKF7 133921.600000 PA USD 126927.610000 0.0104143 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.47303 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/44 3.625 912810RE0 32300000.000000 PA USD 27447429.530000 2.25204 Long DBT UST US N 2 2044-02-15 Fixed 3.625 N N N N N N N/A N/A RFR USD SOFR/3.30000 12/02/24-7Y* CME 000000000 1.000000 NC USD 853482.760000 0.0700275 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-30 3316.330000 USD 0.000000 USD 38900000.000000 USD 850166.430000 N N N N/A N/A CDX IG44 5Y ICE 000000000 1.000000 NC USD 10943.300000 0.0008979 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.44 Y Single Leg Swap 2030-06-20 13019.940000 USD 0.000000 USD 600000.000000 USD -2076.640000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 08/49 2.25 912810SJ8 50320000.000000 PA USD 31310440.500000 2.56899 Long DBT UST US N 2 2049-08-15 Fixed 2.25 N N N N N N N/A N/A US 2YR NOTE (CBT) JUN26 XCBT 20260630 000000000 -5425.000000 NC USD 7884524.960000 0.646918 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-06-30 -1125581538.900000 USD 7884524.960000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 02/38 4.375 912810PW2 78530000.000000 PA USD 78418033.500000 6.43413 Long DBT UST US N 2 2038-02-15 Fixed 4.375 N N N N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A 83611DAA6 424762.330000 PA USD 112330.860000 0.0092166 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.91303 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A1 83612TAB8 167109.650000 PA USD 112794.820000 0.0092547 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.87303 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO2 N/A RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1 761118HU5 122851.020000 PA USD 106523.010000 0.0087401 Long ABS-MBS CORP US N 2 2045-09-25 Floating 5.21874 N N N N N N COUNTRYWIDE HOME LOANS 2006-HYB5 N/A COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 2A1 170256AD3 1411148.900000 PA USD 1269898.540000 0.104194 Long ABS-MBS CORP US N 2 2036-09-20 Floating 4.09575 N N N N N N 2026-05-26 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer