NPORT-P false 0000917469 XXXXXXXX S000006639 C000018125 LOOMIS SAYLES FUNDS I 811-08282 0000917469 549300826G7KS737WZ11 888 BOYLSTON STREET Suite 800 BOSTON 02199-8197 617-449-2822 Loomis Sayles Securitized Asset Fund S000006639 549300LK4FBVP0RT7L56 2019-09-30 2019-09-30 N 1951468162.35 714681426.89 1236786735.46 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 705806327.60000000 0.00000000 0.00000000 5924511.15000000 USD N SLM Student Loan Trust N/A 78443CAK0 182000.00000000 PA USD 181945.40000000 0.014711137723 Long ABS-O CORP US N 3 2032-06-15 Variable 1.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177X3F3 48095.64000000 PA USD 48601.38000000 0.003929649195 Long ABS-MBS USGA US N 2 2063-02-20 Variable 4.24000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LGB3 1162543.07000000 PA USD 1160338.19000000 0.093818777056 Long ABS-MBS USGA US N 2 2068-06-20 Floating 2.48000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AUBA8 9098357.55000000 PA USD 1581099.84000000 0.127839327077 Long ABS-MBS USGSE US N 2 2046-11-25 Floating 4.08000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137A6WD0 360817.24000000 PA USD 423348.46000000 0.034229705725 Long ABS-MBS USGSE US N 2 2041-02-15 Floating 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230KRW3 5216.12000000 PA USD 5825.67000000 0.000471032703 Long ABS-MBS USGA US N 2 2061-05-20 Variable 4.81000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FEN81 163229.15000000 PA USD 33924.08000000 0.002742920749 Long ABS-MBS USGSE US N 3 2037-03-25 Variable 7.00000000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RDQ4 4250000.00000000 PA USD 4232413.50000000 0.342210453803 Long ABS-O CORP US N 2 2026-03-20 Fixed 2.36000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ACDB7 81.82000000 PA USD 88.64000000 0.000007166959 Long ABS-MBS USGA US N 2 2059-08-20 Variable 5.47000000 N N N N N N Invitation Homes Trust N/A 46187XAA3 2906332.91000000 PA USD 2913152.33000000 0.235542009505 Long ABS-O CORP US N 2 2038-01-17 Floating 3.12000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196UKT7 1043358.41000000 PA USD 1149375.41000000 0.092932384949 Long ABS-MBS USGA US N 2 2067-04-20 Variable 4.61000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AJUS6 436.80000000 PA USD 449.99000000 0.000036383799 Long ABS-MBS USGA US N 2 2060-12-20 Variable 4.81000000 N N N N N N Mountain View CLO Ltd 549300RHYK4B5L898W39 62432CAQ4 3960000.00000000 PA USD 3942306.72000000 0.318753961937 Long ABS-CBDO CORP KY N 2 2027-10-13 Floating 3.12000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31395LFN6 5597893.37000000 PA USD 6368825.17000000 0.514949343116 Long ABS-MBS USGSE US N 2 2035-01-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36182HQW9 2809959.13000000 PA USD 3029864.00000000 0.244978694639 Long ABS-MBS USGA US N 2 2064-12-20 Variable 4.52000000 N N N N N N GS Mortgage Securities Trust 549300E4QCAQ0FY44H36 36197VAA6 5775000.00000000 PA USD 6023562.93000000 0.487033273991 Long ABS-MBS CORP US N 2 2033-03-05 Variable 3.67000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31300LRQ0 1228562.64000000 PA USD 1295369.98000000 0.104736729693 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 4.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177X2K3 2254.00000000 PA USD 2426.76000000 0.000196214911 Long ABS-MBS USGA US N 2 2062-03-20 Variable 4.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176HLF9 7599.96000000 PA USD 7656.40000000 0.000619055798 Long ABS-MBS USGA US N 2 2062-05-20 Variable 4.22000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 31397TTX0 1448217.72000000 PA USD 1594924.20000000 0.128957091329 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375URS1 22001458.55000000 PA USD 837771.54000000 0.067737752676 Long ABS-MBS USGA US N 2 2064-09-20 Variable 0.94000000 N N N N N N Wheels SPV LLC N/A 96328DBH6 930000.00000000 PA USD 954247.80000000 0.077155403808 Long ABS-O CORP US N 2 2027-04-20 Fixed 3.41000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BZD7 1446876.27000000 PA USD 1444142.69000000 0.116765700067 Long ABS-MBS USGA US N 2 2062-10-20 Floating 2.63000000 N N N N N N Sequoia Mortgage Trust 549300FECQ7XLTBL1027 81746WAB4 1597142.87000000 PA USD 1623557.06000000 0.131272192161 Long ABS-MBS CORP US N 2 2048-08-25 Variable 4.00000000 N N N N N N Residential Accredit Loans, Inc N/A 75115DAM7 24250.60000000 PA USD 23044.53000000 0.001863258178 Long ABS-MBS CORP US N 3 2021-09-25 Fixed 5.75000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FEU75 502270.23000000 PA USD 106939.63000000 0.008646569932 Long ABS-MBS USGSE US N 3 2037-07-25 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375B2B7 15713041.05000000 PA USD 15799225.51000000 1.277441377484 Long ABS-MBS USGA US N 2 2063-01-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BKDQ0 1399000.00000000 PA USD 1558374.50000000 0.126001876905 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 3.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 12655GAG2 2250000.00000000 PA USD 2257083.45000000 0.182495767886 Long ABS-MBS CORP US N 2 2034-01-15 Floating 3.93000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137A63Z3 181391.72000000 PA USD 180414.44000000 0.014587352437 Long ABS-MBS USGSE US N 3 2040-11-15 Floating 2.43000000 N N N N N N Veros Auto Receivables Trust N/A 925110AA6 37282.25000000 PA USD 37279.27000000 0.003014203575 Long ABS-O CORP US N 2 2023-04-17 Fixed 2.84000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177TN45 44077.96000000 PA USD 47525.47000000 0.003842656833 Long ABS-MBS USGA US N 2 2064-01-20 Variable 4.65000000 N N N N N N WF-RBS Commercial Mortgage Trust 549300UVB571ELWL8972 92890FAV8 4328548.49000000 PA USD 4465062.25000000 0.361021194841 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 3.64000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RUS3 1649863.17000000 PA USD 1652214.88000000 0.133589311126 Long ABS-MBS USGA US N 2 2066-05-20 Floating 2.81000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UJX9 9100073.58000000 PA USD 9870100.88000000 0.798043882345 Long ABS-MBS USGA US N 2 2064-06-20 Variable 4.60000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RBV5 250000.00000000 PA USD 250092.93000000 0.020221184690 Long ABS-O CORP US N 2 2021-02-20 Fixed 2.50000000 N N N N N N Freddie Mac STRIP S6XOOCT0IEG5ABCC6L87 31282YDH9 434620.80000000 PA USD 84892.66000000 0.006863969152 Long ABS-MBS USGSE US N 3 2033-03-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B6D9 541669.37000000 PA USD 543007.51000000 0.043904700336 Long ABS-MBS USGA US N 2 2063-08-20 Floating 1.98000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UMN7 2699946.45000000 PA USD 2701260.51000000 0.218409563472 Long ABS-MBS USGA US N 2 2064-07-20 Floating 2.88000000 N N N N N N SLM Student Loan Trust 549300BLEHJGFV7XSO25 78443CAN4 356000.00000000 PA USD 355893.20000000 0.028775632030 Long ABS-O CORP US N 3 2033-03-15 Floating 5.24000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230RPR1 305561.03000000 PA USD 305714.67000000 0.024718462871 Long ABS-MBS USGA US N 2 2062-03-20 Variable 4.23000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376R5E2 3323566.40000000 PA USD 3305070.75000000 0.267230449295 Long ABS-MBS USGA US N 2 2067-05-20 Floating 2.14000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136APE32 687206.00000000 PA USD 759702.25000000 0.061425484945 Long ABS-MBS USGSE US N 2 2041-05-25 Floating 5.50000000 N N N N N N Marlette Funding Trust 549300Y3KZXU3NUCX480 57109HAA0 1296287.98000000 PA USD 1306258.12000000 0.105617086806 Long ABS-O CORP US N 2 2029-07-16 Fixed 3.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297EZU2 148035.24000000 PA USD 150421.11000000 0.012162251234 Long ABS-MBS USGA US N 2 2060-09-20 Variable 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UEQ9 2604403.25000000 PA USD 2609649.30000000 0.211002368086 Long ABS-MBS USGA US N 2 2064-03-20 Floating 2.80000000 N N N N N N Venture XXI CLO 5493001C8B2BF8JNTO68 92330MAL3 2130000.00000000 PA USD 2130028.54000000 0.172222783357 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 3.18000000 N N N N N N SMB Private Education Loan Trust 549300INMCHM7L5O6M41 78449LAB4 2575000.00000000 PA USD 2664698.07000000 0.215453318959 Long ABS-O CORP US N 2 2037-01-15 Fixed 3.60000000 N N N N N N Navient Student Loan Trust N/A 63940VAC6 4630000.00000000 PA USD 4976334.19000000 0.402359925710 Long ABS-O CORP US N 2 2042-06-16 Fixed 4.22000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196Y4C4 38488.57000000 PA USD 42582.79000000 0.003443018006 Long ABS-MBS USGA US N 2 2067-01-20 Variable 4.47000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BHR6 1139690.41000000 PA USD 1138137.13000000 0.092023717377 Long ABS-MBS USGA US N 2 2059-05-20 Floating 2.58000000 N N N N N N Capital Auto Receivables Asset Trust N/A 13975WAC7 390232.52000000 PA USD 389998.07000000 0.031533170498 Long ABS-O CORP US N 2 2021-08-20 Fixed 2.02000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373MWF3 2308798.59000000 PA USD 66991.73000000 0.005416595123 Long ABS-MBS USGA US N 3 2046-08-16 Variable 0.94000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AUUY5 11706541.85000000 PA USD 2132049.25000000 0.172386167224 Long ABS-MBS USGSE US N 2 2046-12-25 Floating 4.63000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31393VJE2 543675.78000000 PA USD 585404.64000000 0.047332706861 Long ABS-MBS USGSE US N 3 2023-06-15 Floating 9.93000000 N N N N N N Harbour Aircraft Investments Limited N/A G4301UAF1 4336027.07000000 PA USD 4421731.07000000 0.357517665998 Long LON CORP KY N 3 2037-11-15 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297K4L2 71.99000000 PA USD 78.69000000 0.000006362455 Long ABS-MBS USGA US N 2 2059-09-20 Variable 5.46000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230KRZ6 15886.08000000 PA USD 16161.20000000 0.001306708710 Long ABS-MBS USGA US N 2 2061-06-20 Variable 5.11000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ARK49 16440708.69000000 PA USD 2739893.43000000 0.221533215989 Long ABS-MBS USGSE US N 2 2046-04-25 Floating 4.08000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FAA75 571228.20000000 PA USD 116748.06000000 0.009439627435 Long ABS-MBS USGSE US N 3 2033-03-25 Fixed 6.00000000 N N N N N N Residential Accredit Loans, Inc N/A 74922RAR1 164201.07000000 PA USD 156454.71000000 0.012650096052 Long ABS-MBS CORP US N 3 2021-12-25 Fixed 5.75000000 N N N N N N SLM Student Loan Trust 549300MHMWVKFEDI8G73 784442AC9 2608963.96000000 PA USD 2583106.52000000 0.208856260011 Long ABS-O CORP US N 2 2023-04-25 Floating 3.03000000 N N N N N N WaMu Mortgage Pass-Through Certificates Series N/A 92926UAD3 2099499.79000000 PA USD 1985984.67000000 0.160576161844 Long ABS-MBS CORP US N 2 2036-11-25 Variable 4.06000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GCFD1 1061209.86000000 PA USD 1151031.51000000 0.093066288390 Long ABS-MBS USGA US N 2 2068-02-20 Variable 4.57000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137A5L77 1937289.51000000 PA USD 2290252.81000000 0.185177665990 Long ABS-MBS USGSE US N 2 2041-01-15 Floating 5.85000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296PPP0 15750.94000000 PA USD 15902.97000000 0.001285829605 Long ABS-MBS USGA US N 2 2060-02-20 Variable 5.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417A6P9 1408924.14000000 PA USD 1447092.02000000 0.117004167210 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 4.00000000 N N N N N N CarMax Auto Owner Trust 5493003IB59OF448TR74 14314RAG7 1655000.00000000 PA USD 1678667.82000000 0.135728155216 Long ABS-O CORP US N 2 2024-05-15 Fixed 3.30000000 N N N N N N Navient Student Loan Trust N/A 63941NAC3 2340000.00000000 PA USD 2323158.08000000 0.187838211180 Long ABS-O CORP US N 2 2067-06-27 Floating 2.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128NHUC5 619259.40000000 PA USD 659004.10000000 0.053283567902 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 5.32000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BLN0 109539.90000000 PA USD 109590.22000000 0.008860882548 Long ABS-MBS USGA US N 2 2061-03-20 Floating 2.73000000 N N N N N N Drive Auto Receivables Trust 5493006QMFDDMYWIAM13 26208MAF3 2800000.00000000 PA USD 2880338.72000000 0.232888875455 Long ABS-O CORP US N 2 2025-01-15 Fixed 3.99000000 N N N N N N Towd Point Mortgage Trust N/A 89171YAL5 900192.18000000 PA USD 901230.46000000 0.072868703565 Long ABS-O CORP US N 2 2060-11-25 Variable 2.75000000 N N N N N N GCAT N/A 36167CAA4 2643170.82000000 PA USD 2647898.13000000 0.214094965128 Long ABS-MBS CORP US N 2 2068-10-25 Variable 2.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196Y4M2 35435.31000000 PA USD 39039.79000000 0.003156549862 Long ABS-MBS USGA US N 2 2067-02-20 Variable 4.41000000 N N N N N N CVP Cascade CLO Ltd 254900WPOZSM5XGTH559 126611AL6 2089679.82000000 PA USD 2089830.28000000 0.168972565769 Long ABS-CBDO CORP KY N 2 2026-07-18 Floating 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36182DAJ4 307.82000000 PA USD 333.99000000 0.000027004655 Long ABS-MBS USGA US N 2 2064-03-20 Variable 5.31000000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PEC3 1796994.38000000 PA USD 1859990.71000000 0.150388960090 Long ABS-MBS CORP US N 2 2034-05-19 Variable 4.68000000 N N N N N N Welk Resorts LLC N/A 94946DAA9 2808001.36000000 PA USD 2835555.43000000 0.229267936718 Long ABS-O CORP US N 2 2038-06-15 Fixed 2.80000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297TD91 41837.00000000 PA USD 46189.09000000 0.003734604251 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359KZH3 124598.83000000 PA USD 10492.35000000 0.000848355637 Long ABS-MBS USGSE US N 3 2024-01-25 Floating 5.23000000 N N N N N N Gosforth Funding plc 213800GD24WOLHNGMP34 38312RAA1 1164656.01000000 PA USD 1162551.48000000 0.093997731918 Long ABS-MBS CORP GB N 2 2060-08-25 Floating 2.58000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DJG5 349957.42000000 PA USD 395754.51000000 0.031998605632 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176JTH3 412675.26000000 PA USD 418294.16000000 0.033821041898 Long ABS-MBS USGA US N 2 2063-07-20 Variable 4.48000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297E2W4 62.07000000 PA USD 61.70000000 0.000004988733 Long ABS-MBS USGA US N 2 2061-10-20 Variable 4.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378X4A6 51266322.44000000 PA USD 2339774.45000000 0.189181722516 Long ABS-MBS USGA US N 2 2051-02-16 Variable 0.72000000 N N N N N N Horizon Aircraft Finance I Lim N/A 44040HAA0 740384.63000000 PA USD 743218.16000000 0.060092669066 Long ABS-O CORP KY N 2 2039-07-15 Fixed 3.72000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380VPL9 4308657.75000000 PA USD 4285360.41000000 0.346491459451 Long ABS-MBS USGA US N 2 2068-03-20 Floating 2.53000000 N N N N N N WF-RBS Commercial Mortgage Trust 549300UVB571ELWL8972 92890FAU0 1635000.00000000 PA USD 1756078.78000000 0.141987193883 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 4.00000000 N N N N N N Bayview Opportunity Master Fund N/A 07333BAD0 1385000.00000000 PA USD 1433588.99000000 0.115912383994 Long ABS-O CORP US N 2 2054-06-28 Variable 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177TPG6 3982.10000000 PA USD 4041.04000000 0.000326737010 Long ABS-MBS USGA US N 2 2063-12-20 Variable 4.44000000 N N N N N N Chesapeake Funding II LLC 5493000HT7H4OFOD6Z12 165183BB9 1393595.00000000 PA USD 1393167.31000000 0.112644101853 Long ABS-O CORP US N 2 2029-11-15 Fixed 2.12000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BMTY2 17195020.14000000 PA USD 590736.64000000 0.047763824033 Long ABS-MBS USGSE US N 2 2025-11-25 Variable 0.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373MX54 4000000.00000000 PA USD 4750197.20000000 0.384075690966 Long ABS-MBS USGA US N 2 2042-08-16 Variable 6.04000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297K4B4 2074.99000000 PA USD 2310.04000000 0.000186777552 Long ABS-MBS USGA US N 2 2059-07-20 Variable 5.46000000 N N N N N N Acis CLO LTD 549300GLSPRHLAVL0K92 00100VAC4 2199566.16000000 PA USD 2202760.59000000 0.178103510237 Long ABS-CBDO CORP KY N 2 2026-05-01 Floating 3.67000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BNF5 401457.68000000 PA USD 402989.28000000 0.032583570671 Long ABS-MBS USGA US N 2 2061-10-20 Floating 2.64000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398SPL1 6000000.00000000 PA USD 6884081.40000000 0.556610222492 Long ABS-MBS USGSE US N 2 2040-12-25 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617ALD72 1402019.86000000 PA USD 1518657.82000000 0.122790597316 Long ABS-MBS USGA US N 2 2067-05-20 Variable 4.61000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QWM63 1195927.86000000 PA USD 1245330.64000000 0.100690814697 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.50000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3137FJX53 10634034.47000000 PA USD 12078238.44000000 0.976582145789 Long ABS-MBS USGSE US N 2 2048-08-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BYN6 3462686.42000000 PA USD 3452674.41000000 0.279164896502 Long ABS-MBS USGA US N 2 2062-10-20 Floating 2.58000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BHSC2 357917.35000000 PA USD 400333.25000000 0.032368818206 Long ABS-MBS USGSE US N 3 2043-08-15 Floating 6.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137B3NY0 80282456.41000000 PA USD 575646.89000000 0.046543747074 Long ABS-MBS USGSE US N 3 2023-04-25 Variable 0.33000000 N N N N N N GreatAmerica Leasing Receivables Funding LLC N/A 39154TAK4 1607000.00000000 PA USD 1607075.69000000 0.129939596207 Long ABS-O CORP US N 2 2023-01-20 Fixed 2.36000000 N N N N N N Progress Residential Trust N/A 74333KAA6 400000.00000000 PA USD 402779.68000000 0.032566623529 Long ABS-O CORP US N 2 2034-12-17 Fixed 2.90000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177LEE0 486211.16000000 PA USD 490332.67000000 0.039645692821 Long ABS-MBS USGA US N 2 2063-01-20 Variable 4.51000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BCLN6 9242187.63000000 PA USD 10383418.50000000 0.839548016023 Long ABS-MBS USGSE US N 2 2044-07-15 Fixed 4.00000000 N N N N N N SoFi Consumer Loan Program Trust N/A 83405XAB0 3985000.00000000 PA USD 4041996.66000000 0.326814360480 Long ABS-O CORP US N 2 2027-08-25 Fixed 3.67000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ACQ31 31657.55000000 PA USD 31830.14000000 0.002573615894 Long ABS-MBS USGA US N 2 2060-05-20 Variable 5.14000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FP6X2 444060.32000000 PA USD 471683.09000000 0.038137786934 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 4.50000000 N N N N N N MAPS LTD N/A 56564RAA8 1260765.00000000 PA USD 1293129.34000000 0.104555563455 Long ABS-O CORP BM N 2 2043-05-15 Fixed 4.21000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RTB2 24529923.97000000 PA USD 2167292.37000000 0.175235738536 Long ABS-MBS USGA US N 2 2066-04-20 Variable 2.11000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296PPL9 4834.75000000 PA USD 4913.25000000 0.000397259273 Long ABS-MBS USGA US N 2 2059-12-20 Variable 5.74000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FFTC3 36452.49000000 PA USD 8901.83000000 0.000719754646 Long ABS-MBS USGSE US N 3 2038-03-25 Variable 7.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BNGU2 16875354.38000000 PA USD 1075171.02000000 0.086932612484 Long ABS-MBS USGSE US N 2 2026-01-25 Variable 1.31000000 N N N N N N Marlette Funding Trust 549300ZOVOBV0NZDYW87 57109EAA7 392817.08000000 PA USD 393173.25000000 0.031789898672 Long ABS-O CORP US N 2 2028-07-17 Fixed 3.06000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BLN20 36674349.37000000 PA USD 1089697.61000000 0.088107155320 Long ABS-MBS USGSE US N 2 2025-07-25 Variable 0.73000000 N N N N N N Flagship Credit Auto Trust N/A 33843NAE1 666544.77000000 PA USD 669502.36000000 0.054132401391 Long ABS-O CORP US N 2 2022-09-15 Fixed 3.84000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398NEX8 2023760.91000000 PA USD 2028653.96000000 0.164026173780 Long ABS-MBS USGSE US N 2 2040-09-25 Floating 2.42000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UL24 3760451.45000000 PA USD 3762190.28000000 0.304190704196 Long ABS-MBS USGA US N 2 2067-08-20 Floating 2.73000000 N N N N N N Towd Point Mortgage Trust N/A 89172YAA8 986287.34000000 PA USD 982286.56000000 0.079422468873 Long ABS-O CORP US N 2 2056-04-25 Variable 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AXPC3 78758910.00000000 PA USD 6501303.87000000 0.525660866469 Long ABS-MBS USGSE US N 2 2047-08-25 Floating 1.93000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A 03066MAF3 2000000.00000000 PA USD 2089796.80000000 0.168969858754 Long ABS-O CORP US N 2 2024-10-18 Fixed 3.74000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AK4T7 120759.70000000 PA USD 121858.51000000 0.009852831252 Long ABS-MBS USGSE US N 3 2044-10-25 Floating 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376G4Y3 22445411.84000000 PA USD 161490.92000000 0.013057297217 Long ABS-MBS USGA US N 3 2043-06-16 Variable 0.39000000 N N N N N N SoFi Professional Loan Program LLC N/A 834016AC1 2591927.35000000 PA USD 2639257.50000000 0.213396329725 Long ABS-O CORP US N 2 2036-08-25 Fixed 3.58000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 63000000.00000000 OU Notional Amount USD -2834380.08000000 -0.22917290416 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-03-04 0.00000000 USD 0.00000000 USD 63000000.00000000 USD -2834380.08000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197K6S6 2712790.75000000 PA USD 3018849.16000000 0.244088093237 Long ABS-MBS USGA US N 2 2067-04-20 Variable 4.53000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RAC0 3289775.81000000 PA USD 3247912.43000000 0.262608931425 Long ABS-MBS USGA US N 2 2065-04-20 Fixed 2.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378N4L4 21714524.50000000 PA USD 793238.09000000 0.064137014673 Long ABS-MBS USGA US N 2 2049-03-16 Variable 0.82000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176RA93 147037.66000000 PA USD 147467.04000000 0.011923400839 Long ABS-MBS USGA US N 2 2062-01-20 Variable 4.12000000 N N N N N N Shenton Aircraft Investment I Ltd N/A 82321UAA1 772663.90000000 PA USD 790383.79000000 0.063906231150 Long ABS-O CORP KY N 2 2042-10-15 Fixed 4.75000000 N N N N N N CPS Auto Trust N/A 12593XAD7 1745000.00000000 PA USD 1764773.47000000 0.142690200290 Long ABS-O CORP US N 2 2021-12-15 Fixed 5.00000000 N N N N N N WAVE 2017-1 LLC N/A 94353WAA3 4736615.63000000 PA USD 4766533.99000000 0.385396596950 Long ABS-O CORP US N 2 2042-11-15 Fixed 3.84000000 N N N N N N COMM Mortgage Trust N/A 12630DAV6 411420.56000000 PA USD 411297.30000000 0.033255312998 Long ABS-MBS CORP US N 2 2047-02-10 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396YE99 546019.19000000 PA USD 927737.98000000 0.075011960704 Long ABS-MBS USGSE US N 2 2036-08-25 Floating 22.91000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176RA77 38165.64000000 PA USD 38399.38000000 0.003104769714 Long ABS-MBS USGA US N 2 2061-12-20 Variable 4.25000000 N N N N N N AmeriCredit Automobile Receivables Trust 54930070NSV60J38I987 03066GAF6 1500000.00000000 PA USD 1540566.60000000 0.124562024788 Long ABS-O CORP US N 2 2025-02-18 Fixed 3.36000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKBJ5 6904019.56000000 PA USD 7380745.49000000 0.596767840274 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.12000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176F2J6 835.93000000 PA USD 839.08000000 0.000067843547 Long ABS-MBS USGA US N 2 2062-02-20 Variable 4.57000000 N N N N N N Tidewater Auto Receivables Trust 549300045J2AQZL8DT48 88642MAB6 848015.30000000 PA USD 849453.28000000 0.068682276066 Long ABS-O CORP US N 2 2022-07-15 Fixed 3.12000000 N N N N N N COMM Mortgage Trust N/A 12591UAF0 1300000.00000000 PA USD 1386994.57000000 0.112145006914 Long ABS-MBS CORP US N 2 2047-03-10 Fixed 3.96000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RKZ8 40496.48000000 PA USD 40372.56000000 0.003264310559 Long ABS-MBS USGA US N 3 2061-08-20 Floating 2.91000000 N N N N N N GS Mortgage Securities Trust 784F5XWPLTWKTBV3E584 36248GAJ9 3461000.00000000 PA USD 3816878.02000000 0.308612464102 Long ABS-MBS CORP US N 2 2046-11-10 Variable 5.16000000 N N N N N N Invitation Homes Trust N/A 46185HAA0 3145584.62000000 PA USD 3145579.90000000 0.254334867104 Long ABS-O CORP US N 2 2037-06-17 Floating 2.93000000 N N N N N N SCF Equipment Trust LLC N/A 78397AAB0 1125000.00000000 PA USD 1134834.64000000 0.091756695593 Long ABS-O CORP US N 2 2024-10-20 Fixed 3.23000000 N N N N N N CIG Auto Receivables Trust N/A 125504AA8 1209879.74000000 PA USD 1217979.76000000 0.098479367952 Long ABS-O CORP US N 2 2024-08-15 Fixed 3.33000000 N N N N N N Credit Acceptance Auto Loan Trust 549300J9CNONESCISQ91 22534BAA2 1675000.00000000 PA USD 1685056.53000000 0.136244712341 Long ABS-O CORP US N 2 2027-02-16 Fixed 3.01000000 N N N N N N TAL Advantage LLC 549300DUZ8I1AWFHN784 87407PAP5 369111.11000000 PA USD 368987.94000000 0.029834403088 Long ABS-O CORP US N 2 2039-05-20 Fixed 3.33000000 N N N N N N AmeriCredit Automobile Receivables Trust 54930070NSV60J38I987 03065TAF9 5060000.00000000 PA USD 5068796.30000000 0.409835920346 Long ABS-O CORP US N 2 2022-07-08 Fixed 2.41000000 N N N N N N Driven Brands Funding, LLC N/A 26208LAC2 691250.00000000 PA USD 724360.88000000 0.058567969661 Long ABS-O CORP US N 2 2048-04-20 Fixed 4.74000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176HK86 711.07000000 PA USD 720.88000000 0.000058286524 Long ABS-MBS USGA US N 2 2062-05-20 Variable 4.33000000 N N N N N N Avid Automobile Receivables Trust 549300MXT4YCVL1BDV18 05367MAA5 894453.73000000 PA USD 895179.58000000 0.072379461578 Long ABS-O CORP US N 2 2023-08-15 Fixed 2.84000000 N N N N N N DT Auto Owner Trust N/A 23340TAD9 1072655.71000000 PA USD 1073684.49000000 0.086812419572 Long ABS-O CORP US N 2 2022-10-17 Fixed 4.53000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177TN29 744825.15000000 PA USD 802922.78000000 0.064920067217 Long ABS-MBS USGA US N 2 2063-11-20 Variable 4.67000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LKW2 3776426.60000000 PA USD 4615010.45000000 0.373145209087 Long ABS-MBS USGA US N 2 2068-05-20 Variable 4.27000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31393VZV6 464982.48000000 PA USD 486983.66000000 0.039374909678 Long ABS-MBS USGSE US N 3 2033-07-15 Fixed 5.00000000 N N N N N N Ford Credit Auto Owner Trust 5493005ENKLDPQ5PJ790 34530NAA5 3900000.00000000 PA USD 3900026.91000000 0.315335441283 Long ABS-O CORP US N 2 2026-04-15 Fixed 2.31000000 N N N N N N OneMain Financial Issuance Trust N/A 68268LAA5 9265000.00000000 PA USD 9364225.37000000 0.757141478115 Long ABS-O CORP US N 2 2028-11-20 Fixed 3.63000000 N N N N N N B&M CLO LTD 549300501PWQXBETQS11 05509RAJ4 3503466.28000000 PA USD 3499408.57000000 0.282943572215 Long ABS-CBDO CORP KY N 2 2026-04-16 Floating 3.05000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176JTQ3 46382.88000000 PA USD 49646.95000000 0.004014188426 Long ABS-MBS USGA US N 2 2063-09-20 Variable 4.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378NYK3 30738812.31000000 PA USD 817621.67000000 0.066108541315 Long ABS-MBS USGA US N 2 2054-01-16 Variable 0.66000000 N N N N N N Sierra Receivables Funding Co LLC N/A 82653DAA7 1003139.31000000 PA USD 1024497.45000000 0.082835417022 Long ABS-O CORP US N 2 2035-06-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ADQR3 3632208.02000000 PA USD 504773.22000000 0.040813278920 Long ABS-MBS USGSE US N 3 2042-08-25 Floating 4.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BNE8 153899.77000000 PA USD 153546.66000000 0.012414966590 Long ABS-MBS USGA US N 3 2061-10-20 Floating 2.83000000 N N N N N N Castlelake Aircraft Securitization Trust 549300MHTIBONNXM3R82 14855MAA6 2493404.93000000 PA USD 2531302.94000000 0.204667697948 Long ABS-O CORP US N 2 2039-04-15 Fixed 3.97000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RZJ8 1234339.37000000 PA USD 1234423.80000000 0.099808945601 Long ABS-MBS USGA US N 2 2066-08-20 Floating 2.63000000 N N N N N N California Republic Auto Receivables Trust N/A 13057FAF8 3950000.00000000 PA USD 4072807.08000000 0.329305527236 Long ABS-O CORP US N 2 2023-10-16 Fixed 3.87000000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36193AAJ7 5200000.00000000 PA USD 5197180.56000000 0.420216389050 Long ABS-MBS CORP US N 2 2027-12-10 Variable 3.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AGRW4 1500000.00000000 PA USD 1864075.95000000 0.150719270877 Long ABS-MBS USGSE US N 2 2043-07-25 Floating 7.24000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180SRH9 4239626.57000000 PA USD 4574535.02000000 0.369872581007 Long ABS-MBS USGA US N 2 2064-06-20 Variable 4.56000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATNA8 23335937.47000000 PA USD 3989427.86000000 0.322563926796 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 4.08000000 N N N N N N Hudsons Bay Simon JV Trust N/A 44422PBN1 3425000.00000000 PA USD 3587392.27000000 0.290057466428 Long ABS-MBS CORP US N 2 2034-08-05 Fixed 4.15000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 50000000.00000000 OU Notional Amount USD -1595984.50000000 -0.12904282155 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-05-23 0.00000000 USD 0.00000000 USD 50000000.00000000 USD -1595984.50000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXFR8 1155737.65000000 PA USD 1140075.12000000 0.092180412945 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137B7N21 32791888.50000000 PA USD 872661.02000000 0.070558730537 Long ABS-MBS USGSE US N 2 2023-10-25 Variable 0.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380MMQ1 39628343.81000000 PA USD 2601137.12000000 0.210314118467 Long ABS-MBS USGA US N 2 2060-07-16 Variable 0.61000000 N N N N N N Nelnet Student Loan Trust N/A 64031KAB0 3400000.00000000 PA USD 3371223.08000000 0.272579174997 Long ABS-O CORP US N 2 2066-05-25 Floating 2.78000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36198NVQ5 1316536.88000000 PA USD 1418722.92000000 0.114710392610 Long ABS-MBS USGA US N 2 2064-05-20 Variable 4.69000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RCN4 274043.40000000 PA USD 273724.58000000 0.022131914270 Long ABS-MBS USGA US N 2 2063-05-20 Floating 2.51000000 N N N N N N Delamare Cards Issuer PLC 635400IAJKM25WRCSE95 24553LAA2 3930000.00000000 PA USD 3933426.96000000 0.318035991753 Long ABS-O CORP GB N 2 2025-11-19 Floating 2.76000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379T4X4 1770000.00000000 PA USD 2072422.02000000 0.167565026417 Long ABS-MBS USGA US N 2 2045-08-20 Floating 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATNF7 15376079.61000000 PA USD 2734252.89000000 0.221077151913 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 4.08000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230RMY9 1385.24000000 PA USD 1571.10000000 0.000127030793 Long ABS-MBS USGA US N 2 2061-06-20 Variable 5.06000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176JS76 1047174.66000000 PA USD 1068658.50000000 0.086406044741 Long ABS-MBS USGA US N 2 2063-05-20 Variable 4.36000000 N N N N N N S-JETS Limited 635400FR77IW5YEET913 784309AA4 4441565.51000000 PA USD 4574994.14000000 0.369909703009 Long ABS-O CORP BM N 2 2042-08-15 Fixed 3.97000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RUV6 4797043.43000000 PA USD 4787129.86000000 0.387061869500 Long ABS-MBS USGA US N 2 2066-05-20 Floating 2.39000000 N N N N N N Sequoia Mortgage Trust 549300ZUG1L9OO3W6B29 81747DAA7 819444.79000000 PA USD 838506.96000000 0.067797214827 Long ABS-MBS CORP US N 2 2048-02-25 Variable 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LNQ2 8454259.74000000 PA USD 8442416.17000000 0.682608887041 Long ABS-MBS USGA US N 2 2068-10-20 Floating 2.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379LDX1 44639.54000000 PA USD 43752.32000000 0.003537579984 Long ABS-MBS USGA US N 3 2045-03-20 Floating 2.54000000 N N N N N N COMM Mortgage Trust N/A 12624NAC4 2424000.00000000 PA USD 2462641.47000000 0.199116096526 Long ABS-MBS CORP US N 2 2030-10-05 Fixed 3.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UAN0 1341135.54000000 PA USD 1347616.71000000 0.108961122509 Long ABS-MBS USGA US N 2 2063-09-20 Floating 2.93000000 N N N N N N Kestrel Aircraft Funding Limit N/A 49255PAA1 2396611.99000000 PA USD 2454014.20000000 0.198418541341 Long ABS-O CORP US N 2 2038-12-15 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176FZ68 28262.31000000 PA USD 28369.38000000 0.002293797239 Long ABS-MBS USGA US N 2 2061-10-20 Variable 3.92000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176HMD3 77639.37000000 PA USD 78435.38000000 0.006341867821 Long ABS-MBS USGA US N 2 2062-08-20 Variable 4.64000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162DAE8 4185000.00000000 PA USD 4310241.15000000 0.348503183808 Long ABS-MBS CORP US N 3 2057-08-15 Fixed 2.95000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BK84 16978279.33000000 PA USD 16894842.97000000 1.366027180402 Long ABS-MBS USGA US N 2 2063-02-20 Fixed 1.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LNV99 6249810.88000000 PA USD 7069541.39000000 0.571605531277 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 3.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181PCX5 2484897.36000000 PA USD 2524406.23000000 0.204110066644 Long ABS-MBS USGA US N 2 2063-06-20 Variable 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617A5DY8 835586.14000000 PA USD 888625.89000000 0.071849565048 Long ABS-MBS USGA US N 2 2065-06-20 Floating 4.71000000 N N N N N N DB Master Finance LLC 549300F17UZJL70BPB08 233046AL5 1556100.00000000 PA USD 1643941.85000000 0.132920397904 Long ABS-O CORP US N 2 2049-05-20 Fixed 4.35000000 N N N N N N Jamestown CLO Ltd 549300UY2VE3PHVMFV71 47048BAK6 3830000.00000000 PA USD 3813273.24000000 0.308321000756 Long ABS-CBDO CORP KY N 2 2027-07-25 Floating 3.11000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378U8M2 907176.38000000 PA USD 934682.52000000 0.075573459287 Long ABS-MBS USGA US N 3 2064-11-20 Variable 3.50000000 N N N N N N COMM Mortgage Trust N/A 12630BBA5 2572000.00000000 PA USD 2772239.97000000 0.224148585242 Long ABS-MBS CORP US N 2 2046-11-10 Variable 4.19000000 N N N N N N Morgan Stanley Mortgage Loan Trust N/A 61745M4T7 52189.75000000 PA USD 45870.32000000 0.003708830203 Long ABS-MBS CORP US N 3 2035-07-25 Variable 4.41000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDG6 825000.00000000 PA USD 847391.90000000 0.068515603838 Long ABS-O CORP US N 2 2023-03-20 Fixed 3.45000000 N N N N N N SoFi Consumer Loan Program Trust N/A 83405RAB3 980000.00000000 PA USD 985725.94000000 0.079700558854 Long ABS-O CORP US N 2 2027-02-25 Fixed 3.14000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230SES9 116984.36000000 PA USD 121479.98000000 0.009822225329 Long ABS-MBS USGA US N 2 2062-04-20 Variable 4.66000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FCQH2 1282966.22000000 PA USD 209236.70000000 0.016917767146 Long ABS-MBS USGSE US N 3 2035-06-25 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379UAT3 25239809.84000000 PA USD 1527818.69000000 0.123531296560 Long ABS-MBS USGA US N 2 2057-01-16 Variable 0.92000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376G4X5 2519503.46000000 PA USD 3314596.02000000 0.268000611986 Long ABS-MBS USGA US N 2 2051-08-16 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BWM7 14900809.69000000 PA USD 469477.58000000 0.037959461121 Long ABS-MBS USGA US N 3 2053-03-16 Variable 0.67000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RUJ3 2555836.86000000 PA USD 2559040.60000000 0.206910417667 Long ABS-MBS USGA US N 2 2066-04-20 Floating 2.83000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BVA7 1444000.06000000 PA USD 1487956.43000000 0.120308246146 Long ABS-MBS USGA US N 2 2061-01-20 Variable 5.25000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FAZ94 114740.14000000 PA USD 20722.64000000 0.001675522497 Long ABS-MBS USGSE US N 3 2033-11-25 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LKG7 4287245.49000000 PA USD 4282804.76000000 0.346284823179 Long ABS-MBS USGA US N 2 2068-09-20 Variable 2.58000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297E2R5 10564.94000000 PA USD 10855.11000000 0.000877686482 Long ABS-MBS USGA US N 2 2061-08-20 Variable 4.71000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379K2B3 66589247.28000000 PA USD 3249282.25000000 0.262719687787 Long ABS-MBS USGA US N 2 2055-07-16 Variable 0.84000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B5R9 1171670.50000000 PA USD 1174292.11000000 0.094947016840 Long ABS-MBS USGA US N 2 2063-05-20 Floating 2.88000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FEV41 417653.16000000 PA USD 77623.06000000 0.006276187945 Long ABS-MBS USGSE US N 3 2037-07-25 Variable 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176FZS0 64860.46000000 PA USD 65651.17000000 0.005308204568 Long ABS-MBS USGA US N 2 2061-08-20 Variable 4.21000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AHL27 6864.23000000 PA USD 7765.89000000 0.000627908577 Long ABS-MBS USGA US N 2 2059-11-20 Variable 5.59000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276YAE3 1350000.00000000 PA USD 1472453.64000000 0.119054772967 Long ABS-MBS CORP US N 2 2052-04-15 Fixed 3.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176JTC4 576610.11000000 PA USD 586201.67000000 0.047397150470 Long ABS-MBS USGA US N 2 2063-06-20 Variable 4.36000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80284YAF1 5660000.00000000 PA USD 5679633.97000000 0.459225006798 Long ABS-O CORP US N 2 2022-12-15 Fixed 2.76000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620E1GV0 792592.53000000 PA USD 801598.20000000 0.064812968721 Long ABS-MBS USGA US N 2 2063-08-20 Floating 2.93000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133T4DB9 57835.83000000 PA USD 62089.85000000 0.005020255167 Long ABS-MBS USGSE US N 3 2024-02-15 Floating 8.39000000 N N N N N N Fannie Mae - ACES B1V7KEBTPIMZEU4LTD58 3136AX7E9 1320000.00000000 PA USD 1400339.42000000 0.113224000537 Long ABS-MBS USGSE US N 2 2027-06-25 Variable 3.18000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394ENN4 1935158.13000000 PA USD 2378252.45000000 0.192292849026 Long ABS-MBS USGSE US N 2 2035-07-25 Fixed 5.75000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FFPD5 47138.58000000 PA USD 10588.76000000 0.000856150838 Long ABS-MBS USGSE US N 3 2038-01-25 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B2R2 1843456.60000000 PA USD 100620.76000000 0.008135659699 Long ABS-MBS USGA US N 3 2063-06-20 Variable 1.33000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297EZ32 2707.08000000 PA USD 2786.01000000 0.000225261956 Long ABS-MBS USGA US N 2 2061-01-20 Variable 4.65000000 N N N N N N RBS Commercial Funding Inc Trust N/A 74932BAU7 3475000.00000000 PA USD 3484496.83000000 0.281737888198 Long ABS-MBS CORP US N 2 2031-03-11 Variable 3.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BB81 8793537.47000000 PA USD 343989.64000000 0.027813173454 Long ABS-MBS USGA US N 3 2050-09-16 Variable 1.39000000 N N N N N N Colony American Finance Ltd N/A 21872BAA4 1808776.25000000 PA USD 1868728.68000000 0.151095465889 Long ABS-O CORP US N 2 2051-06-15 Fixed 3.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BKE1 198323.95000000 PA USD 198418.95000000 0.016043101394 Long ABS-MBS USGA US N 2 2060-12-20 Floating 2.73000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RYS9 9013513.19000000 PA USD 9048919.17000000 0.731647495122 Long ABS-MBS USGA US N 2 2066-08-20 Floating 2.93000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620E05S1 1806715.35000000 PA USD 1879028.59000000 0.151928261851 Long ABS-MBS USGA US N 2 2063-02-20 Floating 4.40000000 N N N N N N Bayview Opportunity Master Fund N/A 07331QAA5 1301246.54000000 PA USD 1327874.73000000 0.107364890965 Long ABS-O CORP US N 2 2053-06-28 Variable 4.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300NYO16WLNMVJJ46 94989KAW3 4000000.00000000 PA USD 4145428.80000000 0.335177333419 Long ABS-MBS CORP US N 2 2048-06-15 Fixed 3.40000000 N N N N N N Diamond Resorts Owner Trust N/A 252724AA7 2291596.69000000 PA USD 2337150.65000000 0.188969575998 Long ABS-O CORP US N 2 2031-01-21 Fixed 3.70000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FC2M7 286984.22000000 PA USD 61032.36000000 0.004934752148 Long ABS-MBS USGSE US N 3 2036-08-25 Fixed 6.50000000 N N N N N N CarMax Auto Owner Trust N/A 14314AAG4 1015000.00000000 PA USD 1032370.30000000 0.083471973817 Long ABS-O CORP US N 2 2024-07-15 Fixed 3.37000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297E2Q7 253425.07000000 PA USD 259998.79000000 0.021022119864 Long ABS-MBS USGA US N 2 2061-08-20 Variable 4.70000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137B1U83 3103528.45000000 PA USD 80848.65000000 0.006536992003 Long ABS-MBS USGSE US N 3 2023-01-25 Variable 1.43000000 N N N N N N SLM Student Loan Trust 54930067J0ZNOEBRW338 78443CAJ3 1153000.00000000 PA USD 1152654.10000000 0.093197482391 Long ABS-O CORP US N 3 2032-06-15 Floating 5.41000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176RBE1 103547.67000000 PA USD 103887.55000000 0.008399794970 Long ABS-MBS USGA US N 2 2062-02-20 Variable 4.19000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RBW5 2934061.46000000 PA USD 2917429.15000000 0.235887810432 Long ABS-MBS USGA US N 2 2065-05-20 Floating 2.46000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BLME5 50985848.35000000 PA USD 473474.98000000 0.038282669632 Long ABS-MBS USGSE US N 3 2025-08-25 Variable 0.42000000 N N N N N N Colony American Finance Ltd N/A 19624VAA5 478310.39000000 PA USD 477599.53000000 0.038616158817 Long ABS-O CORP KY N 2 2047-10-15 Fixed 2.90000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BTA0 286592.93000000 PA USD 285904.30000000 0.023116701675 Long ABS-MBS USGA US N 2 2062-07-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230RPS9 41027.37000000 PA USD 41686.22000000 0.003370526122 Long ABS-MBS USGA US N 2 2062-03-20 Variable 4.35000000 N N N N N N Progress Residential Trust N/A 74332NAG8 1417000.00000000 PA USD 1417448.34000000 0.114607336847 Long ABS-O CORP US N 2 2032-11-12 Fixed 4.67000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A 61761QAE3 2735000.00000000 PA USD 2811381.44000000 0.227313356409 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 3.13000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BM7D2 42157978.93000000 PA USD 1188467.15000000 0.096093135212 Long ABS-MBS USGSE US N 2 2025-09-25 Variable 0.68000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412EJ23 198569.62000000 PA USD 205967.54000000 0.016653440249 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 3.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177LE83 700805.12000000 PA USD 710850.25000000 0.057475571949 Long ABS-MBS USGA US N 2 2063-03-20 Variable 4.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36194QP48 3952258.52000000 PA USD 4385109.08000000 0.354556606589 Long ABS-MBS USGA US N 2 2066-08-20 Variable 4.61000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177LEF7 213171.38000000 PA USD 215152.15000000 0.017396058983 Long ABS-MBS USGA US N 2 2063-01-20 Variable 4.51000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BKL5 195731.90000000 PA USD 195576.67000000 0.015813289744 Long ABS-MBS USGA US N 2 2061-02-20 Floating 2.68000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YYGD9 543015.05000000 PA USD 573556.72000000 0.046374747040 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4.00000000 N N N N N N FANNIE MAE FNR 2011 109 PZ B1V7KEBTPIMZEU4LTD58 3136A1R31 3192228.86000000 PA USD 3724993.02000000 0.301183131513 Long ABS-MBS USGSE US N 2 2041-08-25 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137A9D52 4639000.00000000 PA USD 5297022.67000000 0.428289091249 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AMLN7 1845565.78000000 PA USD 1987375.18000000 0.160688591090 Long ABS-MBS USGSE US N 2 2043-07-25 Floating 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31336CMM2 67029.51000000 PA USD 70799.29000000 0.005724454181 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 4.59000000 N N N N N N SLM Student Loan Trust 549300IQIXBXDNPLSE92 78443CBA1 260000.00000000 PA USD 259922.00000000 0.021015911033 Long ABS-O CORP US N 3 2032-09-15 Floating 5.54000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137B2HP8 380435485.25000000 PA USD 3055315.43000000 0.247036561955 Long ABS-MBS USGSE US N 2 2023-02-25 Variable 0.40000000 N N N N N N CIG Auto Receivables Trust N/A 171787AA2 161525.61000000 PA USD 161693.19000000 0.013073651694 Long ABS-O CORP US N 2 2023-05-15 Fixed 2.71000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197K6Q0 3552879.61000000 PA USD 3971869.28000000 0.321144233368 Long ABS-MBS USGA US N 2 2067-04-20 Variable 4.57000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BJN3 1109021.69000000 PA USD 1108166.97000000 0.089600489577 Long ABS-MBS USGA US N 2 2060-11-20 Floating 2.68000000 N N N N N N First Investors Auto Owner Trust N/A 32058NAG8 2245000.00000000 PA USD 2259071.21000000 0.182656487592 Long ABS-O CORP US N 2 2023-04-17 Fixed 2.95000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FEN24 201799.99000000 PA USD 38600.02000000 0.003120992398 Long ABS-MBS USGSE US N 3 2035-11-25 Variable 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BU67 3175875.42000000 PA USD 3167584.16000000 0.256114014581 Long ABS-MBS USGA US N 2 2063-04-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617B32Y4 12329385.52000000 PA USD 13735087.12000000 1.110546121348 Long ABS-MBS USGA US N 2 2067-06-20 Variable 4.55000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3137F4VJ8 5380909.21000000 PA USD 6370230.26000000 0.515062951223 Long ABS-MBS USGSE US N 2 2048-01-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ACEN0 10909.11000000 PA USD 11073.39000000 0.000895335443 Long ABS-MBS USGA US N 2 2060-05-20 Variable 5.24000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36193UDK7 1203711.69000000 PA USD 1295383.96000000 0.104737860041 Long ABS-MBS USGA US N 2 2066-04-20 Variable 4.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AR4L9 2827399.04000000 PA USD 3067905.52000000 0.248054529696 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196JN85 1459413.31000000 PA USD 1621557.34000000 0.131110505433 Long ABS-MBS USGA US N 2 2067-01-20 Variable 4.62000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A 61690GAD3 2338487.45000000 PA USD 2375505.47000000 0.192070742828 Long ABS-MBS CORP US N 2 2047-02-15 Fixed 3.67000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AMC8 1668366.48000000 PA USD 1759753.41000000 0.142284304928 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 4.69000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BAM4 481916.60000000 PA USD 483776.85000000 0.039115624070 Long ABS-MBS USGA US N 2 2060-02-20 Floating 2.82000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36182HMV5 3055959.51000000 PA USD 3348860.70000000 0.270771071841 Long ABS-MBS USGA US N 2 2066-06-20 Variable 4.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177X3N6 14974.60000000 PA USD 15187.35000000 0.001227968376 Long ABS-MBS USGA US N 2 2063-03-20 Variable 4.45000000 N N N N N N Tricon American Homes N/A 89612LAA4 1700000.00000000 PA USD 1700102.75000000 0.137461269696 Long ABS-O CORP US N 3 2038-03-17 Fixed 2.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KF37 37110639.99000000 PA USD 2016321.27000000 0.163029018034 Long ABS-MBS USGA US N 2 2057-03-16 Variable 0.85000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196JPK6 2499739.72000000 PA USD 2763330.77000000 0.223428234696 Long ABS-MBS USGA US N 2 2066-12-20 Variable 4.54000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617ALNP1 1637561.37000000 PA USD 1835337.84000000 0.148395660090 Long ABS-MBS USGA US N 2 2067-05-20 Variable 4.58000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176F2E7 12556.12000000 PA USD 12703.29000000 0.001027120491 Long ABS-MBS USGA US N 2 2062-01-20 Variable 4.98000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177QCT8 408.04000000 PA USD 439.91000000 0.000035568783 Long ABS-MBS USGA US N 2 2062-06-20 Variable 5.34000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A84G2 5209170.67000000 PA USD 5331010.57000000 0.431037172145 Long ABS-MBS USGSE US N 2 2042-10-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36182C3T2 885.96000000 PA USD 909.45000000 0.000073533291 Long ABS-MBS USGA US N 2 2063-09-20 Variable 5.14000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UUR9 50456.57000000 PA USD 50073.16000000 0.004048649501 Long ABS-MBS USGA US N 3 2061-04-20 Floating 2.53000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177TPJ0 1393153.46000000 PA USD 1492624.34000000 0.120685668531 Long ABS-MBS USGA US N 2 2063-12-20 Variable 4.58000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BQL9 6101145.73000000 PA USD 6117684.72000000 0.494643461528 Long ABS-MBS USGA US N 2 2062-01-20 Floating 2.83000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FUFF0 2893720.31000000 PA USD 3062096.66000000 0.247584856160 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FEY30 230237.82000000 PA USD 58160.50000000 0.004702548817 Long ABS-MBS USGSE US N 3 2037-07-25 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179LAA0 27687.02000000 PA USD 28003.80000000 0.002264238384 Long ABS-MBS USGA US N 2 2063-03-20 Variable 4.42000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BA77 2200860.91000000 PA USD 2194760.34000000 0.177456652555 Long ABS-MBS USGA US N 2 2062-12-20 Floating 2.58000000 N N N N N N Chesapeake Funding II LLC 5493000HT7H4OFOD6Z12 165183BK9 4000000.00000000 PA USD 4104888.40000000 0.331899452210 Long ABS-O CORP US N 2 2030-04-15 Fixed 3.45000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796SX8 25000000.00000000 PA USD 24905350.75000000 2.013714251288 Long DBT UST US N 2 2019-12-19 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LFQ1 9269265.20000000 PA USD 9138948.60000000 0.738926796186 Long ABS-MBS USGA US N 2 2068-06-20 Floating 2.59000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398JLT8 1040252.19000000 PA USD 1038044.25000000 0.083930739248 Long ABS-MBS USGSE US N 2 2048-06-15 Variable 2.81000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668EAK3 59747.68000000 PA USD 57079.83000000 0.004615171586 Long ABS-MBS CORP US N 3 2021-07-25 Variable 4.92000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376GVB3 8997764.21000000 PA USD 20017.33000000 0.001618494880 Long ABS-MBS USGA US N 3 2053-01-15 Variable 1.02000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379VRP1 1073471.25000000 PA USD 1213179.45000000 0.098091240406 Long ABS-MBS USGA US N 2 2037-07-20 Variable 5.68000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BDB2 13327308.05000000 PA USD 304507.80000000 0.024620881779 Long ABS-MBS USGA US N 3 2053-06-16 Variable 0.56000000 N N N N N N Drive Auto Receivables Trust 5493006QMFDDMYWIAM13 26208BAL4 917576.08000000 PA USD 918193.43000000 0.074240239135 Long ABS-O CORP US N 2 2021-11-15 Fixed 3.02000000 N N N N N N DT Auto Owner Trust N/A 23343CAE1 1775000.00000000 PA USD 1812761.88000000 0.146570287991 Long ABS-O CORP US N 2 2024-07-15 Fixed 3.79000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RLZ7 119192.71000000 PA USD 141047.54000000 0.011404354199 Long ABS-MBS USGA US N 3 2065-09-20 Variable 4.59000000 N N N N N N SLM Student Loan Trust 549300IQIXBXDNPLSE92 78443CBB9 225000.00000000 PA USD 224932.50000000 0.018186846086 Long ABS-O CORP US N 3 2032-09-15 Variable 1.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BSF0 271582.80000000 PA USD 269460.93000000 0.021787178199 Long ABS-MBS USGA US N 3 2062-05-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176VQA4 1976289.60000000 PA USD 1995851.31000000 0.161373925898 Long ABS-MBS USGA US N 2 2063-02-20 Variable 4.39000000 N N N N N N California Republic Auto Receivables Trust N/A 13057YAE0 2430000.00000000 PA USD 2434958.42000000 0.196877792281 Long ABS-O CORP US N 2 2022-05-16 Fixed 2.52000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B8GL5 7914272.26000000 PA USD 389050.98000000 0.031456593836 Long ABS-MBS USGSE US N 3 2039-06-15 Variable 1.87000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BKRK8 73086782.79000000 PA USD 571893.84000000 0.046240295404 Long ABS-MBS USGSE US N 3 2025-05-25 Variable 0.26000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BSRG0 25842002.47000000 PA USD 494303.24000000 0.039966732002 Long ABS-MBS USGSE US N 2 2026-09-25 Variable 0.43000000 N N N N N N Earnest Student Loan Program LLC 549300RPRMBC4KSBJ337 27035BAB3 760100.15000000 PA USD 762420.05000000 0.061645231804 Long ABS-O CORP US N 2 2041-01-25 Fixed 2.65000000 N N N N N N CCG Receivables Trust N/A 12510GAC6 1155000.00000000 PA USD 1183573.78000000 0.095697483330 Long ABS-O CORP US N 2 2026-09-14 Fixed 3.22000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RBX1 4395000.00000000 PA USD 4398340.20000000 0.355626404609 Long ABS-O CORP US N 2 2021-07-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617B5B60 976525.34000000 PA USD 1089153.28000000 0.088063143691 Long ABS-MBS USGA US N 2 2067-07-20 Variable 4.55000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380JLX4 25803082.56000000 PA USD 1742678.27000000 0.140903699889 Long ABS-MBS USGA US N 2 2059-12-16 Variable 0.79000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B7Q9 1935481.51000000 PA USD 73052.33000000 0.005906623017 Long ABS-MBS USGA US N 3 2063-08-20 Variable 1.39000000 N N N N N N Elevation CLO Ltd 549300FXZU8M44ED2J89 28623DAA7 2630759.38000000 PA USD 2631008.25000000 0.212729339227 Long ABS-CBDO CORP KY N 2 2027-04-18 Floating 3.29000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378NHQ9 4982012.56000000 PA USD 137277.71000000 0.011099545787 Long ABS-MBS USGA US N 3 2055-05-16 Variable 0.68000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36193PCP8 452572.58000000 PA USD 488646.91000000 0.039509391230 Long ABS-MBS USGA US N 2 2066-02-20 Variable 4.56000000 N N N N N N Barclays Dryrock Issuance Trust 213800R4G3N2G68CHU37 06742LAH6 2000000.00000000 PA USD 2000148.00000000 0.161721333408 Long ABS-O CORP US N 2 2022-12-15 Fixed 2.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B5T86 2170761.00000000 PA USD 2219792.41000000 0.179480612651 Long ABS-MBS USGSE US N 2 2028-11-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176HL69 224048.43000000 PA USD 224583.46000000 0.018158624568 Long ABS-MBS USGA US N 2 2062-07-20 Variable 4.57000000 N N N N N N Horizon Aircraft Finance I Limited N/A 440405AE8 3662233.85000000 PA USD 3803854.26000000 0.307559432110 Long ABS-O CORP US N 2 2038-12-15 Fixed 4.46000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BN6H2 9643534.99000000 PA USD 455088.25000000 0.036796016398 Long ABS-MBS USGSE US N 3 2025-12-25 Variable 1.03000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397NNR2 1479710.97000000 PA USD 1488977.51000000 0.120390805246 Long ABS-MBS USGSE US N 2 2039-03-25 Variable 2.56000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BY89 2252731.29000000 PA USD 2268525.86000000 0.183420940325 Long ABS-MBS USGA US N 2 2063-04-20 Fixed 3.50000000 N N N N N N Dominos Pizza Master Issuer LLC N/A 25755TAJ9 2024375.00000000 PA USD 2101544.18000000 0.169919689445 Long ABS-O CORP US N 2 2048-07-25 Fixed 4.12000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796RT8 1450000.00000000 PA USD 1443217.18000000 0.116690868249 Long DBT UST US N 2 2020-01-02 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296L4V9 435.70000000 PA USD 480.34000000 0.000038837738 Long ABS-MBS USGA US N 2 2059-09-20 Variable 5.64000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397ME86 1326055.33000000 PA USD 1370751.09000000 0.110831645480 Long ABS-MBS USGSE US N 2 2038-08-25 Variable 3.46000000 N N N N N N Flagship Credit Auto Trust N/A 33844PAC9 1329000.00000000 PA USD 1354841.34000000 0.109545267680 Long ABS-O CORP US N 2 2024-12-16 Fixed 3.59000000 N N N N N N CarMax Auto Owner Trust N/A 14314XAG4 1285000.00000000 PA USD 1329968.45000000 0.107534178033 Long ABS-O CORP US N 2 2025-04-15 Fixed 3.99000000 N N N N N N Fannie Mae - ACES B1V7KEBTPIMZEU4LTD58 3136AQC65 317179.67000000 PA USD 317517.66000000 0.025672789891 Long ABS-MBS USGSE US N 2 2022-11-25 Floating 3.23000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379US56 27041319.76000000 PA USD 2127613.74000000 0.172027535467 Long ABS-MBS USGA US N 2 2056-10-16 Fixed 0.96000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BVQ2 1782007.88000000 PA USD 1784796.72000000 0.144309173831 Long ABS-MBS USGA US N 2 2062-09-20 Floating 2.79000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RJV9 6141859.63000000 PA USD 6153478.80000000 0.497537580536 Long ABS-MBS USGA US N 2 2065-08-20 Floating 2.83000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177LEP5 2101522.75000000 PA USD 2124673.12000000 0.171789772568 Long ABS-MBS USGA US N 2 2063-03-20 Variable 4.52000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EJF94 1254333.96000000 PA USD 1321614.60000000 0.106858730135 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 4.81000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297E2P9 19.64000000 PA USD 19.66000000 0.000001589603 Long ABS-MBS USGA US N 2 2061-07-20 Variable 4.70000000 N N N N N N Morgan Stanley Capital I Trust N/A 61690LAC4 3135000.00000000 PA USD 3236477.44000000 0.261684358928 Long ABS-MBS CORP US N 2 2035-02-05 Variable 3.83000000 N N N N N N Mill City Mortgage Trust N/A 59980XAC1 1966453.99000000 PA USD 2020267.58000000 0.163348095680 Long ABS-O CORP US N 2 2058-08-25 Variable 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BGP1 230039.04000000 PA USD 229216.03000000 0.018533189549 Long ABS-MBS USGA US N 2 2060-10-20 Floating 2.58000000 N N N N N N Merlin Aviation Holdings DAC N/A 59010RAA2 260687.12000000 PA USD 265782.90000000 0.021489792247 Long ABS-O CORP US N 2 2032-12-15 Variable 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396RGA9 5436578.70000000 PA USD 1245997.51000000 0.100744734259 Long ABS-MBS USGSE US N 2 2036-05-15 Floating 5.17000000 N N N N N N Ajax Mortgage Loan Trust N/A 00968FAA4 3987130.67000000 PA USD 3973740.29000000 0.321295513290 Long ABS-O CORP US N 2 2065-09-25 Variable 2.96000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE A GNR 2019 70 SK 549300M8ZYFG0OCMTT87 38381VZ37 12280000.00000000 PA USD 3544289.21000000 0.286572382156 Long ABS-MBS USGA US N 2 2043-08-20 Variable 3.96000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE A 549300M8ZYFG0OCMTT87 38380MDL2 30611343.59000000 PA USD 2169673.87000000 0.175428293964 Long ABS-MBS USGA US N 2 2060-01-16 Variable 0.72000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3136B5VV4 5927566.26000000 PA USD 6021400.82000000 0.486858457271 Long ABS-MBS USGSE US N 2 2049-08-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B8A3 2429156.40000000 PA USD 2440053.84000000 0.197289780852 Long ABS-MBS USGA US N 2 2063-08-20 Floating 2.93000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BYY9 57916572.31000000 PA USD 2198432.00000000 0.177753523462 Long ABS-MBS USGA US N 2 2052-09-16 Variable 0.78000000 N N N N N N Bayview Opportunity Master Fund N/A 07332BAA7 1308651.68000000 PA USD 1321603.27000000 0.106857814052 Long ABS-O CORP US N 2 2057-03-28 Variable 3.00000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FA2F6 590247.54000000 PA USD 122404.54000000 0.009896980335 Long ABS-MBS USGSE US N 3 2033-06-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGLN2 576315.79000000 PA USD 606832.46000000 0.049065246465 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 4.73000000 N N N N N N COMM Mortgage Trust N/A 12594CBD1 1200000.00000000 PA USD 1255395.72000000 0.101504623554 Long ABS-MBS CORP US N 2 2049-02-10 Fixed 3.55000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297E2J3 13470.93000000 PA USD 14074.38000000 0.001137979539 Long ABS-MBS USGA US N 2 2061-05-20 Variable 4.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197EV60 1120819.97000000 PA USD 1241536.65000000 0.100384052836 Long ABS-MBS USGA US N 2 2067-02-20 Variable 4.57000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AQB80 1800000.00000000 PA USD 3238095.24000000 0.261815165635 Long ABS-MBS USGSE US N 2 2040-08-15 Floating 13.86000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128Q3N56 105514.92000000 PA USD 110139.33000000 0.008905280663 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.74000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617B32L2 9369249.16000000 PA USD 10397429.63000000 0.840680881504 Long ABS-MBS USGA US N 2 2067-07-20 Variable 4.61000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373AHQ2 288675.74000000 PA USD 348356.85000000 0.028166282836 Long ABS-MBS USGA US N 3 2039-08-20 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176VPB3 82929.47000000 PA USD 83456.69000000 0.006747864252 Long ABS-MBS USGA US N 2 2062-10-20 Variable 4.59000000 N N N N N N United Auto Credit Securitization Trust N/A 90945QAC5 1680000.00000000 PA USD 1689090.48000000 0.136570876091 Long ABS-O CORP US N 2 2024-08-12 Fixed 3.16000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620E0KH8 1421101.21000000 PA USD 1477988.32000000 0.119502277767 Long ABS-MBS USGA US N 2 2061-02-20 Floating 4.09000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FC2T2 413784.45000000 PA USD 107067.96000000 0.008656946014 Long ABS-MBS USGSE US N 3 2037-06-25 Fixed 7.00000000 N N N N N N Prestige Auto Receivables Trust 549300L40MNGIY25DE37 74114NAJ6 2000000.00000000 PA USD 2059846.40000000 0.166548228642 Long ABS-O CORP US N 2 2024-10-15 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ASUC8 19259918.86000000 PA USD 3120613.39000000 0.252316207841 Long ABS-MBS USGSE US N 2 2034-10-25 Floating 4.08000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLPZ2 4210000.00000000 PA USD 4559203.33000000 0.368632942065 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 3.23000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BJ75 6685746.71000000 PA USD 242984.04000000 0.019646397639 Long ABS-MBS USGA US N 3 2050-09-16 Variable 1.29000000 N N N N N N Colony American Finance Ltd N/A 21871VAA1 625604.49000000 PA USD 628666.57000000 0.050830636517 Long ABS-O CORP US N 2 2049-10-15 Fixed 2.97000000 N N N N N N Sequoia Mortgage Trust 549300RES143ZXEZ6T39 81747CAA9 2328368.91000000 PA USD 2417384.32000000 0.195456843988 Long ABS-MBS CORP US N 2 2049-08-25 Variable 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376G3S7 3754900.46000000 PA USD 36281.01000000 0.002933489579 Long ABS-MBS USGA US N 3 2051-08-16 Variable 0.29000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133TDSU1 58339.47000000 PA USD 63582.07000000 0.005140908143 Long ABS-MBS USGSE US N 3 2028-04-15 Fixed 6.00000000 N N N N N N GS Mortgage Securities Trust 784F5XWPLTWKTBV3E584 36252WAX6 1416000.00000000 PA USD 1518046.87000000 0.122741199147 Long ABS-MBS CORP US N 2 2047-04-10 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176RA85 116433.21000000 PA USD 118161.93000000 0.009553945446 Long ABS-MBS USGA US N 2 2061-12-20 Variable 4.23000000 N N N N N N Bayview Opportunity Master Fund N/A 07331YAA8 2029339.63000000 PA USD 2062131.53000000 0.166732992105 Long ABS-O CORP US N 2 2055-01-28 Variable 3.50000000 N N N N N N Hertz Vehicle Financing LLC 549300FPK70TCB78NG05 42806DBG3 2435000.00000000 PA USD 2490783.17000000 0.201391484771 Long ABS-O CORP US N 2 2023-10-25 Fixed 3.29000000 N N N N N N Coinstar Funding, LLC N/A 19260MAA4 3284400.00000000 PA USD 3382584.18000000 0.273497773142 Long ABS-O CORP US N 2 2047-04-25 Fixed 5.22000000 N N N N N N Freddie Mac STRIP S6XOOCT0IEG5ABCC6L87 3132J0LM7 4418437.32000000 PA USD 4553408.47000000 0.368164400494 Long ABS-MBS USGSE US N 2 2046-12-15 Fixed 3.00000000 N N N N N N NextGear Floorplan Master Owner Trust N/A 65341KAX4 1175000.00000000 PA USD 1179705.41000000 0.095384707498 Long ABS-O CORP US N 2 2022-10-17 Fixed 2.56000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137A7TS9 655366.51000000 PA USD 652948.09000000 0.052793911131 Long ABS-MBS USGSE US N 3 2037-05-15 Floating 2.43000000 N N N N N N South Carolina Student Loan Corp 549300PIO3ZMSROGFF38 83715AAL3 1855318.82000000 PA USD 1856784.52000000 0.150129724613 Long ABS-O CORP US N 2 2025-07-25 Floating 3.28000000 N N N N N N Wheels SPV LLC N/A 96328DBM5 1270000.00000000 PA USD 1272577.72000000 0.102893868725 Long ABS-O CORP US N 2 2028-05-22 Fixed 2.30000000 N N N N N N Orange Lake Timeshare Trust N/A 68504WAA5 3117319.10000000 PA USD 3167409.12000000 0.256099861777 Long ABS-O CORP US N 2 2030-11-08 Fixed 3.10000000 N N N N N N Stack Infrastructure Issuer LLC N/A 85236KAA0 2589804.16000000 PA USD 2714464.12000000 0.219477137179 Long ABS-O CORP US N 2 2044-02-25 Fixed 4.54000000 N N N N N N Diamond Resorts Owner Trust N/A 252722AA1 4013143.89000000 PA USD 4027086.35000000 0.325608792085 Long ABS-O CORP US N 2 2032-02-20 Fixed 2.89000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042NAJ6 1035000.00000000 PA USD 1038365.10000000 0.083956681473 Long ABS-O CORP US N 2 2023-05-15 Fixed 2.92000000 N N N N N N Onslow Bay Financial LLC N/A 67097VAC8 1555891.40000000 PA USD 1581133.40000000 0.127842040561 Long ABS-MBS CORP US N 2 2048-04-25 Variable 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181PC31 164230.09000000 PA USD 166664.42000000 0.013475598922 Long ABS-MBS USGA US N 2 2063-07-20 Variable 4.57000000 N N N N N N Mill City Mortgage Trust N/A 59980TAA4 304990.84000000 PA USD 305457.57000000 0.024697675132 Long ABS-O CORP US N 2 2057-04-25 Variable 2.50000000 N N N N N N NextGear Floorplan Master Owner Trust N/A 65341KAZ9 1670000.00000000 PA USD 1673261.01000000 0.135290989305 Long ABS-O CORP US N 2 2023-02-15 Floating 2.67000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177X2N7 122020.24000000 PA USD 123839.17000000 0.010012976889 Long ABS-MBS USGA US N 2 2062-09-20 Variable 4.61000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F7FG9 5044580.88000000 PA USD 5040281.18000000 0.407530339345 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 2.50000000 N N N N N N Sprite Limited N/A 85208HAA1 770763.50000000 PA USD 784127.77000000 0.063400402633 Long ABS-O CORP KY N 2 2037-12-15 Fixed 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B4CQ7 1068108.78000000 PA USD 1069520.93000000 0.086475776246 Long ABS-MBS USGSE US N 2 2042-02-15 Floating 2.33000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KPC6 11701956.00000000 PA USD 569969.51000000 0.046084704311 Long ABS-MBS USGA US N 2 2057-07-16 Variable 0.76000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196RRZ3 6703103.00000000 PA USD 7491834.34000000 0.605749894076 Long ABS-MBS USGA US N 2 2067-05-20 Variable 4.65000000 N N N N N N Halcyon Loan Advisors Funding Ltd 549300U92YP85EMXX728 40538BAM4 1623685.84000000 PA USD 1624506.78000000 0.131348981471 Long ABS-CBDO CORP KY N 2 2025-04-28 Floating 3.44000000 N N N N N N Halcyon Loan Advisors Funding Ltd 5493009LWXSWX1V1ZE70 40538CAR1 1649866.55000000 PA USD 1650397.31000000 0.133442352079 Long ABS-CBDO CORP KY N 2 2026-04-18 Floating 3.43000000 N N N N N N SCF Equipment Trust LLC N/A 78411KAC8 3955000.00000000 PA USD 4099374.51000000 0.331453628379 Long ABS-O CORP US N 2 2025-12-20 Fixed 3.97000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179ADT0 1233845.18000000 PA USD 1311912.17000000 0.106074243229 Long ABS-MBS USGA US N 2 2063-12-20 Variable 4.61000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KMF2 31255068.18000000 PA USD 1589085.80000000 0.128485029345 Long ABS-MBS USGA US N 2 2055-11-16 Variable 0.79000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QSLE6 558065.56000000 PA USD 589183.30000000 0.047638229219 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176VPD9 15991.11000000 PA USD 16094.41000000 0.001301308425 Long ABS-MBS USGA US N 2 2062-10-20 Variable 4.57000000 N N N N N N Santander Drive Auto Receivables Trust 5493006QMFDDMYWIAM13 80284RAF6 3460491.66000000 PA USD 3461415.96000000 0.279871691760 Long ABS-O CORP US N 2 2022-03-15 Fixed 2.46000000 N N N N N N CPS Auto Trust N/A 12596UAB4 1675000.00000000 PA USD 1681850.25000000 0.135985469586 Long ABS-O CORP US N 2 2023-08-15 Fixed 2.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176VPZ0 31346.25000000 PA USD 31908.63000000 0.002579962178 Long ABS-MBS USGA US N 2 2062-12-20 Variable 4.44000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 01F0306B9 106350000.00000000 PA USD 107878781.25000000 8.722504709745 Long ABS-MBS USGSE US N 2 2048-11-13 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE A 549300M8ZYFG0OCMTT87 38375BF31 891367.37000000 PA USD 883813.62000000 0.071460470480 Long ABS-MBS USGA US N 3 2063-01-20 Floating 2.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394DDX5 1189375.92000000 PA USD 1271797.29000000 0.102830767305 Long ABS-MBS USGSE US N 2 2035-04-25 Floating 6.81000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230UY52 107201.48000000 PA USD 107566.62000000 0.008697265010 Long ABS-MBS USGA US N 2 2062-02-20 Variable 4.94000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376GHW3 264255.19000000 PA USD 12557.46000000 0.001015329453 Long ABS-MBS USGA US N 3 2052-10-16 Variable 1.51000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AUAN1 9601051.37000000 PA USD 1538648.17000000 0.124406910737 Long ABS-MBS USGSE US N 2 2046-11-25 Floating 4.08000000 N N N N N N DT Auto Owner Trust N/A 23343DAG4 1200000.00000000 PA USD 1236695.40000000 0.099992615100 Long ABS-O CORP US N 2 2024-03-15 Fixed 4.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397MA80 338870.71000000 PA USD 353141.17000000 0.028553117516 Long ABS-MBS USGSE US N 3 2038-11-25 Variable 4.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RPA8 17386498.36000000 PA USD 1360024.06000000 0.109964314865 Long ABS-MBS USGA US N 2 2066-01-20 Variable 1.89000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176VPT4 19310.69000000 PA USD 19558.83000000 0.001581423008 Long ABS-MBS USGA US N 2 2062-10-20 Variable 4.36000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176FZ76 27899.27000000 PA USD 28590.13000000 0.002311645911 Long ABS-MBS USGA US N 2 2061-10-20 Variable 4.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378XQX2 32397936.03000000 PA USD 1271236.69000000 0.102785440169 Long ABS-MBS USGA US N 2 2054-08-16 Variable 0.86000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176FZ84 15862.52000000 PA USD 15974.38000000 0.001291603438 Long ABS-MBS USGA US N 2 2061-11-20 Variable 3.76000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46641WAW7 1385043.26000000 PA USD 1424157.57000000 0.115149809515 Long ABS-MBS CORP US N 2 2047-04-15 Fixed 3.58000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620E0EB8 355109.89000000 PA USD 371119.49000000 0.030006748888 Long ABS-MBS USGA US N 2 2060-07-20 Floating 4.13000000 N N N N N N Ascentium Equipment Receivables LLC N/A 04364YAE7 325000.00000000 PA USD 327981.78000000 0.026518863001 Long ABS-O CORP US N 2 2022-08-10 Fixed 2.87000000 N N N N N N GLS Auto Receivables Trust N/A 36255GAA8 1818654.44000000 PA USD 1823662.29000000 0.147451637191 Long ABS-O CORP US N 2 2022-07-15 Fixed 2.82000000 N N N N N N Bank N/A 06540AAD3 2720000.00000000 PA USD 2841720.27000000 0.229766392905 Long ABS-MBS CORP US N 2 2061-09-15 Fixed 3.01000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379K6Q6 14466389.27000000 PA USD 754224.01000000 0.060982543584 Long ABS-MBS USGA US N 2 2055-11-16 Variable 0.87000000 N N N N N N Five Guys Funding, LLC 549300LV8X8T05G1H175 33830JAA3 1930412.50000000 PA USD 2028288.08000000 0.163996590668 Long ABS-O CORP US N 2 2047-07-25 Fixed 4.60000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 -185.00000000 NC USD -22042461.03000000 -1.78223620920 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Short 5 Year US Treasury Note FVZ9 Comdty 2019-12-31 -22163517.63000000 USD 121056.60000000 N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FEM90 409268.90000000 PA USD 81170.44000000 0.006563010232 Long ABS-MBS USGSE US N 3 2035-11-25 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181PDF3 757447.01000000 PA USD 813262.90000000 0.065756114347 Long ABS-MBS USGA US N 2 2063-09-20 Variable 4.64000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796ST7 7110000.00000000 PA USD 7091929.94000000 0.573415750401 Long DBT UST US N 2 2019-11-21 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36182HST4 155295.77000000 PA USD 168480.83000000 0.013622464178 Long ABS-MBS USGA US N 2 2065-04-20 Variable 4.57000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BEVJ0 38503033.80000000 PA USD 1183024.97000000 0.095653109471 Long ABS-MBS USGSE US N 2 2024-09-25 Variable 0.86000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BNA6 2468243.97000000 PA USD 2472405.92000000 0.199905598039 Long ABS-MBS USGA US N 2 2061-09-20 Floating 2.78000000 N N N N N N Springcastle SPV N/A 85022WAL8 3672594.61000000 PA USD 3711857.22000000 0.300121040562 Long ABS-O CORP US N 2 2036-05-27 Fixed 3.20000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 -164.00000000 NC USD -23354625.00000000 -1.88833081164 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Short US 10 Year Ultra Bond UXYZ9 Comdty 2019-12-19 -23589942.50000000 USD 235317.50000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BWS7 5232324.69000000 PA USD 165112.55000000 0.013350122965 Long ABS-MBS USGA US N 3 2062-10-20 Variable 1.04000000 N N N N N N CPS Auto Trust N/A 12632YAC0 618856.93000000 PA USD 620176.27000000 0.050144155998 Long ABS-O CORP US N 2 2020-11-16 Fixed 4.35000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296P3E9 2631.13000000 PA USD 2916.18000000 0.000235786810 Long ABS-MBS USGA US N 2 2058-07-20 Variable 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179ADQ6 12110.53000000 PA USD 12250.21000000 0.000990486851 Long ABS-MBS USGA US N 2 2063-12-20 Variable 4.41000000 N N N N N N TAL Advantage LLC 549300DUZ8I1AWFHN784 87407PAR1 2516166.67000000 PA USD 2522192.39000000 0.203931067312 Long ABS-O CORP US N 2 2039-11-21 Fixed 3.27000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398FAL5 50284.42000000 PA USD 51772.47000000 0.004186046673 Long ABS-MBS USGSE US N 3 2024-09-25 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176HLB8 14030.07000000 PA USD 14130.00000000 0.001142476677 Long ABS-MBS USGA US N 2 2062-11-20 Variable 4.42000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397U3B3 1841868.05000000 PA USD 2227949.93000000 0.180140186349 Long ABS-MBS USGSE US N 2 2041-07-25 Fixed 5.00000000 N N N N N N World Financial Network Credit N/A 981464HG8 4220000.00000000 PA USD 4216628.22000000 0.340934139985 Long ABS-O CORP US N 2 2026-07-15 Fixed 2.71000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196XX26 586162.42000000 PA USD 593701.58000000 0.048003553319 Long ABS-MBS USGA US N 2 2067-01-20 Variable 4.45000000 N N N N N N SoFi Professional Loan Program LLC N/A 78490DAB0 2815000.00000000 PA USD 2932221.67000000 0.237083854954 Long ABS-O CORP US N 2 2048-01-25 Fixed 3.59000000 N N N N N N Navient Student Loan Trust N/A 63941DAC5 2960000.00000000 PA USD 2959078.85000000 0.239255383742 Long ABS-O CORP US N 2 2067-03-25 Floating 2.77000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177QCB7 882.81000000 PA USD 951.15000000 0.000076904932 Long ABS-MBS USGA US N 2 2061-12-20 Variable 5.34000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176HLJ1 6703.03000000 PA USD 6736.93000000 0.000544712342 Long ABS-MBS USGA US N 2 2062-06-20 Variable 4.13000000 N N N N N N Acis CLO LTD 549300NKJE41Z1IPW197 00100FAA3 1053204.79000000 PA USD 1053815.75000000 0.085205938888 Long ABS-CBDO CORP KY N 2 2026-02-01 Floating 3.76000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UDY3 7149990.39000000 PA USD 7170513.01000000 0.579769559651 Long ABS-MBS USGA US N 2 2063-12-20 Floating 2.83000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230RNH5 80325.76000000 PA USD 80366.08000000 0.006497973959 Long ABS-MBS USGA US N 2 2061-10-20 Variable 4.14000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FC2R6 289579.44000000 PA USD 71258.65000000 0.005761595589 Long ABS-MBS USGSE US N 3 2036-10-25 Fixed 7.00000000 N N N N N N California Republic Auto Receivables Trust N/A 13057DAF3 3100000.00000000 PA USD 3148084.41000000 0.254537368467 Long ABS-O CORP US N 2 2023-12-15 Fixed 3.76000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373MVS6 4619232.10000000 PA USD 53315.41000000 0.004310800598 Long ABS-MBS USGA US N 3 2046-04-16 Variable 0.48000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176HLL6 67007.52000000 PA USD 67394.73000000 0.005449179560 Long ABS-MBS USGA US N 2 2062-06-20 Variable 4.57000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B3P5 1669469.15000000 PA USD 1669108.71000000 0.134955256403 Long ABS-MBS USGA US N 2 2063-05-20 Floating 2.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179ADW3 219360.99000000 PA USD 222025.26000000 0.017951782116 Long ABS-MBS USGA US N 2 2064-01-20 Variable 4.41000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179AC61 732563.99000000 PA USD 744441.71000000 0.060191598814 Long ABS-MBS USGA US N 2 2063-08-20 Variable 4.56000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140E6Q62 944051.15000000 PA USD 1009464.35000000 0.081619920480 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KQF8 41583720.84000000 PA USD 2495563.84000000 0.201778024331 Long ABS-MBS USGA US N 2 2049-12-16 Variable 1.03000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BGF3 775868.02000000 PA USD 772904.59000000 0.062492955967 Long ABS-MBS USGA US N 2 2060-10-20 Floating 2.56000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RZL3 571550.20000000 PA USD 619941.00000000 0.050125133317 Long ABS-MBS USGA US N 3 2066-08-20 Variable 4.42000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BWFX7 35001571.78000000 PA USD 531365.86000000 0.042963418410 Long ABS-MBS USGSE US N 2 2026-12-25 Variable 0.44000000 N N N N N N Sequoia Mortgage Trust N/A 81746HAA9 475109.93000000 PA USD 487030.82000000 0.039378722785 Long ABS-MBS CORP US N 2 2047-08-25 Variable 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RSJ6 3787804.09000000 PA USD 3827607.09000000 0.309479959661 Long ABS-MBS USGA US N 2 2066-02-20 Floating 3.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RMB9 94045.56000000 PA USD 93746.38000000 0.007579833880 Long ABS-MBS USGA US N 3 2065-10-20 Floating 2.93000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230SEY6 106469.03000000 PA USD 106855.50000000 0.008639767628 Long ABS-MBS USGA US N 2 2062-08-20 Variable 3.88000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BLWA2 21479554.67000000 PA USD 377477.40000000 0.030520815689 Long ABS-MBS USGSE US N 2 2025-08-25 Variable 0.46000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BHSL2 425382.00000000 PA USD 470877.78000000 0.038072673849 Long ABS-MBS USGSE US N 3 2043-08-15 Floating 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BWZ1 76133.44000000 PA USD 76192.30000000 0.006160504298 Long ABS-MBS USGA US N 2 2062-10-20 Floating 2.83000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80286AAF1 2220000.00000000 PA USD 2260655.97000000 0.182784622860 Long ABS-O CORP US N 2 2024-12-16 Fixed 3.81000000 N N N N N N Venture CDO Ltd 549300I8NEAP4Z7LMO51 92328WAE1 2567000.00000000 PA USD 2561126.70000000 0.207079088622 Long ABS-CBDO CORP KY N 2 2022-01-20 Floating 2.66000000 N N N N N N JP Morgan Mortgage Trust N/A 46648UAQ7 92266087.01000000 PA USD 1040115.60000000 0.084098217597 Long ABS-MBS CORP US N 2 2048-11-25 Variable 0.46000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BRQL2 28443291.19000000 PA USD 1891695.03000000 0.152952402848 Long ABS-MBS USGSE US N 2 2026-07-25 Variable 1.33000000 N N N N N N Adams Outdoor Advertising LP 549300BTFXNHDCUHER30 006346AS9 2761654.90000000 PA USD 2866057.88000000 0.231734202658 Long ABS-O CORP US N 2 2048-11-15 Fixed 4.81000000 N N N N N N Federal Agricultural Mortgage Corp 549300MS654K78GYF580 30770XAB8 3906966.44000000 PA USD 3946103.30000000 0.319060933211 Long ABS-MBS USGSE US N 2 2047-03-25 Variable 3.73000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196Y5C3 36806.89000000 PA USD 40546.34000000 0.003278361486 Long ABS-MBS USGA US N 2 2067-02-20 Variable 4.66000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196RQK7 3360485.54000000 PA USD 3837104.21000000 0.310247846292 Long ABS-MBS USGA US N 2 2067-03-20 Variable 4.66000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617A5DA0 5511408.52000000 PA USD 6005817.69000000 0.485598488228 Long ABS-MBS USGA US N 2 2065-07-20 Variable 4.58000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RKR6 849736.78000000 PA USD 882353.42000000 0.071342406471 Long ABS-MBS USGA US N 2 2065-03-20 Variable 5.16000000 N N N N N N Canadian Pacer Auto Receivables Trust 549300EBZ7BR10QAH203 13646AAG5 1370000.00000000 PA USD 1410422.40000000 0.114039256693 Long ABS-O CORP CA N 2 2025-03-19 Fixed 4.07000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394DR36 2580238.85000000 PA USD 3959104.82000000 0.320112166995 Long ABS-MBS USGSE US N 2 2035-06-25 Floating 17.02000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RVY9 578653.81000000 PA USD 599986.53000000 0.048511720961 Long ABS-MBS USGA US N 3 2063-08-20 Variable 4.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AWBW6 15117494.21000000 PA USD 2502575.69000000 0.202344965243 Long ABS-MBS USGSE US N 2 2047-04-25 Floating 4.13000000 N N N N N N Holmes Master Issuer PLC 5493007HX9EKP3XR9846 43641NBY9 840857.17000000 PA USD 840094.51000000 0.067925575680 Long ABS-MBS CORP GB N 2 2054-10-15 Floating 2.66000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UEN6 11093734.91000000 PA USD 11157728.01000000 0.902154566352 Long ABS-MBS USGA US N 2 2064-02-20 Floating 2.88000000 N N N N N N NextGear Floorplan Master Owner Trust N/A 65341KAT3 2990000.00000000 PA USD 2992644.95000000 0.241969360132 Long ABS-O CORP US N 2 2022-04-18 Fixed 2.54000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36195XL95 779019.75000000 PA USD 864505.95000000 0.069899354934 Long ABS-MBS USGA US N 2 2067-07-20 Variable 4.59000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DVL0 203549.27000000 PA USD 215445.69000000 0.017419793067 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 4.53000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KBF4 15203882.64000000 PA USD 800274.61000000 0.064705950270 Long ABS-MBS USGA US N 2 2056-07-16 Variable 0.93000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230SEJ9 22061.18000000 PA USD 22301.93000000 0.001803215490 Long ABS-MBS USGA US N 2 2062-01-20 Variable 5.09000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0ET2 3365565.18000000 PA USD 3387459.19000000 0.273891940532 Long ABS-MBS USGSE US N 2 2027-10-25 Floating 3.87000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181PCZ0 251158.85000000 PA USD 254347.29000000 0.020565169621 Long ABS-MBS USGA US N 2 2063-06-20 Variable 4.57000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UTH3 14190165.83000000 PA USD 15806847.17000000 1.278057624390 Long ABS-MBS USGA US N 2 2064-10-20 Variable 4.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BRB4 1014240.48000000 PA USD 1087576.16000000 0.087935626152 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 4.50000000 N N N N N N Towd Point Mortgage Trust N/A 89175MAA1 1813197.38000000 PA USD 1880019.69000000 0.152008396928 Long ABS-O CORP US N 2 2058-05-25 Variable 3.75000000 N N N N N N TAL Advantage LLC 549300DUZ8I1AWFHN784 87407PAJ9 965041.67000000 PA USD 963882.17000000 0.077934387745 Long ABS-O CORP US N 2 2039-02-22 Fixed 3.51000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ACDL5 11.64000000 PA USD 12.83000000 0.000001037365 Long ABS-MBS USGA US N 2 2059-11-20 Variable 5.47000000 N N N N N N COMM Mortgage Trust N/A 12592KBC7 2520000.00000000 PA USD 2687850.65000000 0.217325313486 Long ABS-MBS CORP US N 2 2047-09-10 Fixed 3.84000000 N N N N N N Blackbird Capital Aircraft Lease Securitization Ltd N/A 09228YAB8 1691666.67000000 PA USD 1744769.95000000 0.141072822013 Long ABS-O CORP KY N 2 2041-12-16 Variable 4.21000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BPVP1 15154801.60000000 PA USD 1242836.19000000 0.100489126731 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 1.10000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BSP98 8649168.01000000 PA USD 475824.46000000 0.038472636094 Long ABS-MBS USGSE US N 2 2026-08-25 Variable 1.06000000 N N N N N N Credit Acceptance Auto Loan Trust 549300JDZNIORD1CFR68 22534DAA8 2000000.00000000 PA USD 2038205.60000000 0.164798468609 Long ABS-O CORP US N 2 2027-08-15 Fixed 3.55000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RFZ4 227958.00000000 PA USD 226225.28000000 0.018291373404 Long ABS-MBS USGA US N 3 2063-04-20 Floating 2.43000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ACE75 500.02000000 PA USD 542.69000000 0.000043879028 Long ABS-MBS USGA US N 2 2061-06-20 Variable 5.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176JS43 1330996.56000000 PA USD 1351761.04000000 0.109296210999 Long ABS-MBS USGA US N 2 2063-04-20 Variable 4.41000000 N N N N N N SoFi Professional Loan Program LLC 549300WT845S0N68C331 83402JAC2 1908165.24000000 PA USD 1923938.32000000 0.155559423855 Long ABS-O CORP US N 2 2032-10-25 Fixed 2.74000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378U8R1 12484498.40000000 PA USD 12478437.18000000 1.008940088232 Long ABS-MBS USGA US N 2 2065-02-20 Floating 2.70000000 N N N N N N SMB Private Education Loan Trust 549300QHI21JZK7YIR34 78449PAC3 2715000.00000000 PA USD 2712558.67000000 0.219323072622 Long ABS-O CORP US N 2 2036-02-15 Floating 2.83000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378U8D2 2011584.94000000 PA USD 2012591.34000000 0.162727435724 Long ABS-MBS USGA US N 2 2064-07-20 Floating 2.73000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230KR94 4345.23000000 PA USD 4723.15000000 0.000381888798 Long ABS-MBS USGA US N 2 2061-08-20 Variable 4.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230UY86 2522.69000000 PA USD 2568.53000000 0.000207677680 Long ABS-MBS USGA US N 2 2062-03-20 Variable 4.99000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B7T3 230464.26000000 PA USD 231079.05000000 0.018683823441 Long ABS-MBS USGA US N 2 2063-04-20 Floating 2.59000000 N N N N N N Massachusetts Educational Financing Authority 5493007K5OP7V6CL0Y88 57563NAB4 3142869.08000000 PA USD 3220152.23000000 0.260364389241 Long ABS-O CORP US N 2 2033-05-25 Fixed 3.85000000 N N N N N N BANK N/A 06540WBD4 4155000.00000000 PA USD 4404978.93000000 0.356163177021 Long ABS-MBS CORP US N 2 2061-08-15 Fixed 3.18000000 N N N N N N COMM Mortgage Trust N/A 12591UAE3 1220000.00000000 PA USD 1288388.44000000 0.104172239486 Long ABS-MBS CORP US N 2 2047-03-10 Fixed 3.69000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FEN73 247351.67000000 PA USD 52491.73000000 0.004244202213 Long ABS-MBS USGSE US N 3 2037-03-25 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RZR0 584044.44000000 PA USD 603122.62000000 0.048765288526 Long ABS-MBS USGA US N 3 2061-06-20 Variable 5.30000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FC2P0 647188.26000000 PA USD 138618.37000000 0.011207944427 Long ABS-MBS USGSE US N 3 2036-09-25 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181PCM9 1053263.29000000 PA USD 1134841.38000000 0.091757240554 Long ABS-MBS USGA US N 2 2064-10-20 Variable 4.67000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378N8E6 14944836.75000000 PA USD 584024.79000000 0.047221139526 Long ABS-MBS USGA US N 2 2056-04-16 Variable 0.73000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196XYF6 2066831.64000000 PA USD 2288932.95000000 0.185070949127 Long ABS-MBS USGA US N 2 2067-02-20 Variable 4.51000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B4X7 17968330.39000000 PA USD 697045.44000000 0.056359388406 Long ABS-MBS USGA US N 2 2063-07-20 Variable 1.64000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398KP61 312042.56000000 PA USD 349331.79000000 0.028245111302 Long ABS-MBS USGSE US N 3 2037-06-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LRU9 9719622.17000000 PA USD 10345648.45000000 0.836494130586 Long ABS-MBS USGA US N 2 2068-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617ALNV8 757628.14000000 PA USD 815137.57000000 0.065907690196 Long ABS-MBS USGA US N 2 2067-04-20 Variable 4.61000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177QCH4 3387.29000000 PA USD 3431.90000000 0.000277485188 Long ABS-MBS USGA US N 2 2062-02-20 Variable 5.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617AQDQ9 3941915.39000000 PA USD 4443940.39000000 0.359313393537 Long ABS-MBS USGA US N 2 2067-08-20 Variable 4.61000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376GN97 836747.85000000 PA USD 1551.87000000 0.000125475957 Long ABS-MBS USGA US N 3 2051-05-16 Variable 0.73000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398TKX8 125484.29000000 PA USD 126937.85000000 0.010263519680 Long ABS-MBS USGSE US N 3 2039-12-25 Variable 2.83000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B7G1 13462548.92000000 PA USD 726931.60000000 0.058775824413 Long ABS-MBS USGA US N 3 2063-07-20 Variable 1.81000000 N N N N N N Countrywide Asset-Backed Certificates N/A 126673TD4 39300.70000000 PA USD 38866.68000000 0.003142553108 Long ABS-MBS CORP US N 3 2035-02-25 Variable 5.12000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373M8V5 6961549.63000000 PA USD 2337.34000000 0.000188984885 Long ABS-MBS USGA US N 3 2049-10-16 None 0.00000000 N N N N N N Lendmark Funding Trust 549300UHUI1WNY5EHH26 52603LAA3 1340000.00000000 PA USD 1339492.01000000 0.108304202462 Long ABS-O CORP US N 2 2026-05-20 Fixed 2.80000000 N N N N N N Progress Residential Trust N/A 74333NAC6 2270000.00000000 PA USD 2311092.22000000 0.186862629889 Long ABS-O CORP US N 2 2036-05-17 Fixed 3.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397RKT2 1028781.39000000 PA USD 1360784.88000000 0.110025830726 Long ABS-MBS USGSE US N 2 2038-02-15 Floating 12.01000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LNA92 2308588.48000000 PA USD 2503337.36000000 0.202406549830 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.43000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AJUF4 10.44000000 PA USD 11.61000000 0.000000938722 Long ABS-MBS USGA US N 2 2060-10-20 Variable 4.74000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179ACD6 935710.63000000 PA USD 950802.05000000 0.076876798783 Long ABS-MBS USGA US N 2 2063-04-20 Variable 4.45000000 N N N N N N Staniford Street CLO Ltd 549300VQ0AVDB6585K37 854432AE1 1506099.65000000 PA USD 1505496.01000000 0.121726403335 Long ABS-CBDO CORP KY N 2 2025-06-15 Floating 3.30000000 N N N N N N COLONY AMERICAN FINANCE LTD N/A 21872GAA3 1986170.73000000 PA USD 2022578.23000000 0.163534922554 Long ABS-O CORP US N 2 2052-06-15 Fixed 2.84000000 N N N N N N Flagship Credit Auto Trust N/A 33845DAB7 2800000.00000000 PA USD 2885854.44000000 0.233334847250 Long ABS-O CORP US N 2 2023-10-16 Fixed 3.88000000 N N N N N N Centre Point Funding LLC CRYY0P1QBVL5M2COWL45 151608AB2 694501.69000000 PA USD 691787.44000000 0.055934254481 Long ABS-O CORP US N 2 2021-08-20 Fixed 2.61000000 N N N N N N Wingstop Funding LLC N/A 974153AA6 597000.00000000 PA USD 619960.62000000 0.050126719686 Long ABS-O CORP US N 2 2048-12-05 Fixed 4.97000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RZF6 940356.45000000 PA USD 940138.85000000 0.076014629122 Long ABS-MBS USGA US N 2 2063-09-20 Floating 2.63000000 N N N N N N Freddie Mac STRIP S6XOOCT0IEG5ABCC6L87 3128HX4M4 5817148.70000000 PA USD 5949206.64000000 0.481021219700 Long ABS-MBS USGSE US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80285TAF1 1655000.00000000 PA USD 1663886.52000000 0.134533017883 Long ABS-O CORP US N 2 2024-03-15 Fixed 2.96000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381RXT1 1000000.00000000 PA USD 1040419.00000000 0.084122748908 Long ABS-MBS USGA US N 2 2039-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373M2D1 1406252.70000000 PA USD 1496367.90000000 0.120988352890 Long ABS-MBS USGA US N 2 2042-08-16 Variable 5.67000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176HK94 6916.56000000 PA USD 7024.14000000 0.000567934616 Long ABS-MBS USGA US N 2 2062-05-20 Variable 4.31000000 N N N N N N CALI Mortgage Trust N/A 129890AA7 510000.00000000 PA USD 572116.62000000 0.046258308210 Long ABS-MBS CORP US N 2 2039-03-10 Fixed 3.96000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398WB86 1126726.62000000 PA USD 1186453.38000000 0.095930312476 Long ABS-MBS USGSE US N 2 2036-12-15 Floating 3.99000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396KPJ5 82188.70000000 PA USD 17541.44000000 0.001418307578 Long ABS-MBS USGSE US N 3 2036-08-25 Floating 5.28000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380XAG2 80132848.26000000 PA USD 4096727.76000000 0.331239626246 Long ABS-MBS USGA US N 2 2058-05-16 Variable 0.51000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177X3D8 23375.19000000 PA USD 23642.13000000 0.001911576937 Long ABS-MBS USGA US N 2 2063-03-20 Variable 4.53000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620E0EV4 249545.00000000 PA USD 260860.34000000 0.021091780217 Long ABS-MBS USGA US N 2 2060-09-20 Floating 4.19000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0306C3 129610000.00000000 PA USD 132761649.90000000 10.73440117795 Long ABS-MBS USGA US N 2 2049-12-19 Fixed 3.00000000 N N N N N N COMM Mortgage Trust 549300CJNWCNIHR7IT87 12625CAC7 5595000.00000000 PA USD 5846080.10000000 0.472682955952 Long ABS-MBS CORP US N 2 2031-03-10 Fixed 3.42000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297E2B0 2324.01000000 PA USD 2361.33000000 0.000190924589 Long ABS-MBS USGA US N 2 2061-03-20 Variable 4.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397RC38 1681363.40000000 PA USD 306547.15000000 0.024785772778 Long ABS-MBS USGSE US N 3 2038-02-15 Floating 4.22000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375U6F2 2161992.16000000 PA USD 2158692.74000000 0.174540418174 Long ABS-MBS USGA US N 2 2064-10-20 Floating 2.43000000 N N N N N N CCG Receivables Trust N/A 12508VAC7 1051000.00000000 PA USD 1062042.02000000 0.085871071345 Long ABS-O CORP US N 2 2025-06-16 Fixed 3.09000000 N N N N N N Sequoia Mortgage Trust N/A 81746JAA5 729023.88000000 PA USD 756800.64000000 0.061190876187 Long ABS-MBS CORP US N 2 2047-12-25 Variable 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DPZ7 3825.35000000 PA USD 4402.23000000 0.000355940913 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380NDZ9 39892943.28000000 PA USD 3333534.13000000 0.269531846875 Long ABS-MBS USGA US N 2 2060-12-16 Variable 0.91000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 000000000 -74.00000000 NC USD -15947000.00000000 -1.28938963709 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Short 2 Year US Treasury Note TUZ9 Comdty 2019-12-31 -15985017.20000000 USD 38017.20000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BEWP5 800000.00000000 PA USD 797812.32000000 0.064506862592 Long ABS-MBS USGSE US N 2 2037-04-15 Fixed 2.50000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3137A7CM0 7500000.00000000 PA USD 8449627.50000000 0.683191956845 Long ABS-MBS USGSE US N 2 2041-02-15 Fixed 4.50000000 N N N N N N OneMain Financial Issuance Trust N/A 68267DAB2 1620000.00000000 PA USD 1667913.12000000 0.134858587352 Long ABS-O CORP US N 2 2031-02-14 Fixed 3.79000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FER46 440458.64000000 PA USD 67324.26000000 0.005443481731 Long ABS-MBS USGSE US N 3 2036-09-25 Variable 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B1ZM7 1820000.00000000 PA USD 1906923.02000000 0.154183657159 Long ABS-MBS USGSE US N 2 2043-05-15 Fixed 3.00000000 N N N N N N Bayview Opportunity Master Fund N/A 07332HAA4 1509786.50000000 PA USD 1542317.87000000 0.124703623169 Long ABS-O CORP US N 2 2055-04-28 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BJP72 77200975.64000000 PA USD 1398750.44000000 0.113095524062 Long ABS-MBS USGSE US N 2 2025-03-25 Variable 0.49000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AJTV1 9097.27000000 PA USD 9120.19000000 0.000737410075 Long ABS-MBS USGA US N 2 2060-05-20 Variable 5.49000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176HLZ5 12578.61000000 PA USD 12678.53000000 0.001025118529 Long ABS-MBS USGA US N 2 2062-12-20 Variable 4.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230SDR2 5124.37000000 PA USD 5282.46000000 0.000427111631 Long ABS-MBS USGA US N 2 2060-12-20 Variable 4.31000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BR92 54781679.08000000 PA USD 1597242.03000000 0.129144498740 Long ABS-MBS USGA US N 2 2054-04-16 Variable 0.92000000 N N N N N N CarMax Auto Owner Trust N/A 14314AAF6 1655000.00000000 PA USD 1676672.39000000 0.135566815355 Long ABS-O CORP US N 2 2023-11-15 Fixed 2.95000000 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 85571XAL1 6500000.00000000 PA USD 6490061.50000000 0.524751868201 Long ABS-MBS CORP US N 2 2027-11-15 Floating 3.68000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LM7L1 3000000.00000000 PA USD 3263911.98000000 0.263902569975 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 3.41000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AXAA6 12590.46000000 PA USD 12586.26000000 0.001017658068 Long ABS-MBS USGA US N 2 2060-07-20 Variable 5.30000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FAB74 138624.90000000 PA USD 35544.29000000 0.002873922316 Long ABS-MBS USGSE US N 3 2033-02-25 Variable 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176HLS1 244847.05000000 PA USD 246446.07000000 0.019926318979 Long ABS-MBS USGA US N 2 2062-07-20 Variable 4.18000000 N N N N N N Drive Auto Receivables Trust 5493006QMFDDMYWIAM13 26208RAF2 1000000.00000000 PA USD 1022127.00000000 0.082643755038 Long ABS-O CORP US N 2 2025-06-16 Fixed 3.42000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31395D7A1 2060658.45000000 PA USD 3148742.99000000 0.254590617745 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 16.80000000 N N N N N N ACC Trust 2018-1 549300U9SU9NK6P6TK25 00435QAA5 98475.73000000 PA USD 98598.68000000 0.007972165060 Long ABS-O CORP US N 2 2020-12-21 Fixed 3.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176F2X5 56140.94000000 PA USD 56398.67000000 0.004560096610 Long ABS-MBS USGA US N 2 2062-06-20 Variable 4.39000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A1VK8 458025.04000000 PA USD 580815.64000000 0.046961664719 Long ABS-MBS USGSE US N 2 2040-11-25 Floating 5.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ACDK7 341.54000000 PA USD 386.82000000 0.000031276208 Long ABS-MBS USGA US N 2 2059-10-20 Variable 5.50000000 N N N N N N WF-RBS Commercial Mortgage Trust 549300UVB571ELWL8972 92890FAT3 1465000.00000000 PA USD 1544551.99000000 0.124884262235 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 3.72000000 N N N N N N COMM Mortgage Trust N/A 12629NAF2 3110000.00000000 PA USD 3264738.36000000 0.263969386669 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.35000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LQL0 1815809.73000000 PA USD 2159678.70000000 0.174620137658 Long ABS-MBS USGA US N 3 2069-01-20 Variable 4.29000000 N N N N N N Morgan Stanley Capital I Trust IGJSJL3JD5P30I6NJZ34 617459AJ1 1000000.00000000 PA USD 1010441.30000000 0.081698911463 Long ABS-MBS CORP US N 2 2044-06-15 Variable 5.67000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397RL61 968277.54000000 PA USD 1247686.22000000 0.100881274372 Long ABS-MBS USGSE US N 2 2038-02-15 Floating 11.33000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AR3Q5 644013.26000000 PA USD 688009.82000000 0.055628816211 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230KSA0 1018879.85000000 PA USD 1057877.27000000 0.085534331802 Long ABS-MBS USGA US N 2 2061-07-20 Variable 4.40000000 N N N N N N SoFi Professional Loan Program LLC N/A 834014AA0 143366.36000000 PA USD 143666.33000000 0.011616095635 Long ABS-O CORP US N 2 2032-08-25 Floating 3.27000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ADBP3 939817.80000000 PA USD 939430.78000000 0.075957378347 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381TRX5 14680534.19000000 PA USD 2305241.71000000 0.186389588754 Long ABS-MBS USGA US N 2 2049-04-20 Variable 4.01000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BUS6 15558269.47000000 PA USD 220128.98000000 0.017798458997 Long ABS-MBS USGA US N 3 2052-08-16 Variable 0.44000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BPW39 7603297.56000000 PA USD 569771.35000000 0.046068682147 Long ABS-MBS USGSE US N 2 2026-03-25 Variable 1.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31395XQ40 2003203.43000000 PA USD 2523941.37000000 0.204072480536 Long ABS-MBS USGSE US N 2 2035-05-15 Floating 12.99000000 N N N N N N COMM Mortgage Trust N/A 12591VAC5 2464969.36000000 PA USD 2539301.00000000 0.205314378558 Long ABS-MBS CORP US N 2 2047-04-10 Fixed 3.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179ADV5 559619.22000000 PA USD 594990.23000000 0.048107746706 Long ABS-MBS USGA US N 2 2063-12-20 Variable 4.73000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31395JKK1 386470.35000000 PA USD 384677.51000000 0.031102978304 Long ABS-MBS USGSE US N 3 2034-10-15 Floating 2.28000000 N N N N N N GS Mortgage Securities Trust 784F5XWPLTWKTBV3E584 36252RAM1 2930000.00000000 PA USD 3146969.72000000 0.254447240560 Long ABS-MBS CORP US N 2 2047-01-10 Fixed 4.07000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ATQQ8 2502836.80000000 PA USD 303045.13000000 0.024502618059 Long ABS-MBS USGSE US N 3 2032-08-15 Floating 4.12000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31394GGC1 140921.83000000 PA USD 34724.88000000 0.002807669180 Long ABS-MBS USGSE US N 3 2033-07-15 Fixed 7.00000000 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 85571XAA5 1865717.07000000 PA USD 1863271.30000000 0.150654211156 Long ABS-MBS CORP US N 2 2027-11-15 Floating 3.25000000 N N N N N N Accelerated Assets LLC N/A 00436MAA3 4345006.22000000 PA USD 4481864.79000000 0.362379758894 Long ABS-O CORP US N 2 2033-12-02 Fixed 3.87000000 N N N N N N Residential Accredit Loans, Inc N/A 74922EAT6 5026.42000000 PA USD 4843.29000000 0.000391602679 Long ABS-MBS CORP US N 3 2021-06-25 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197LCA6 4785098.30000000 PA USD 5331042.13000000 0.431039723919 Long ABS-MBS USGA US N 2 2067-05-20 Variable 4.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380JDW5 48742845.50000000 PA USD 2819481.16000000 0.227968256706 Long ABS-MBS USGA US N 2 2059-12-16 Variable 0.66000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230UYW3 249954.12000000 PA USD 276119.57000000 0.022325560428 Long ABS-MBS USGA US N 2 2061-12-20 Variable 4.89000000 N N N N N N Planet Fitness Master Issuer LLC 549300NX9W3U2DO53T22 72703PAB9 3989700.00000000 PA USD 4180527.35000000 0.338015215569 Long ABS-O CORP US N 2 2048-09-05 Fixed 4.67000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BSM5 875053.65000000 PA USD 876762.02000000 0.070890315594 Long ABS-MBS USGA US N 2 2062-05-20 Floating 2.81000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378XFB2 10311572.54000000 PA USD 488060.13000000 0.039461947319 Long ABS-MBS USGA US N 2 2056-04-16 Variable 0.82000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ACDM3 1742.92000000 PA USD 1755.07000000 0.000141905629 Long ABS-MBS USGA US N 2 2059-11-20 Variable 5.50000000 N N N N N N NextGear Floorplan Master Owner Trust N/A 65341KBG0 1100000.00000000 PA USD 1122851.51000000 0.090787803410 Long ABS-O CORP US N 2 2024-02-15 Fixed 3.21000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KGH5 33658335.00000000 PA USD 1579047.13000000 0.127673355860 Long ABS-MBS USGA US N 2 2049-09-16 Variable 0.84000000 N N N N N N Mariner Finance Issuance Trust N/A 56846MAA9 3135000.00000000 PA USD 3142531.84000000 0.254088417178 Long ABS-O CORP US N 2 2029-12-20 Fixed 2.92000000 N N N N N N BANK OF THE WEST AUTO TRUST 549300VWQMQWM78WF314 065606AE5 2750000.00000000 PA USD 2779635.65000000 0.224746560607 Long ABS-O CORP US N 2 2025-01-15 Fixed 2.76000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36182C5F0 499.30000000 PA USD 533.10000000 0.000043103631 Long ABS-MBS USGA US N 2 2063-11-20 Variable 5.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMA60 2913291.36000000 PA USD 3092102.72000000 0.250010986643 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 3.00000000 N N N N N N SLM Student Loan Trust 549300BLEHJGFV7XSO25 78443CAP9 5387000.00000000 PA USD 5385383.90000000 0.435433510531 Long ABS-O CORP US N 3 2033-03-15 Floating 5.24000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80285GAG7 2830000.00000000 PA USD 2918905.58000000 0.236007186713 Long ABS-O CORP US N 2 2024-08-15 Fixed 4.07000000 N N N N N N Motor PLC 213800NKWDIRST4AJ454 62006FAA8 497937.50000000 PA USD 497983.81000000 0.040264323324 Long ABS-O CORP GB N 2 2024-09-25 Floating 2.55000000 N N N N N N Onslow Bay Financial LLC 549300ELWOCL265HSB73 67448QAC5 2245374.01000000 PA USD 2287555.61000000 0.184959584737 Long ABS-MBS CORP US N 2 2059-01-25 Variable 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AQE0 502377.89000000 PA USD 524656.53000000 0.042420937657 Long ABS-MBS USGSE US N 2 2038-08-01 Floating 4.57000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796SY6 5000000.00000000 PA USD 4978679.15000000 0.402549526709 Long DBT UST US N 2 2019-12-26 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A7M44 3462.22000000 PA USD 3935.90000000 0.000318235948 Long ABS-MBS USGA US N 2 2059-06-20 Variable 5.67000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176F2K3 21133.14000000 PA USD 21400.26000000 0.001730311248 Long ABS-MBS USGA US N 2 2062-03-20 Variable 4.32000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BVS8 3338440.14000000 PA USD 3355420.11000000 0.271301430860 Long ABS-MBS USGA US N 2 2062-07-20 Variable 2.78000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BBBE9 35100545.78000000 PA USD 1516020.65000000 0.122577369770 Long ABS-MBS USGSE US N 2 2024-03-25 Variable 1.31000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B7EW5 1655138.00000000 PA USD 1673084.00000000 0.135276677217 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 2.50000000 N N N N N N SoFi Professional Loan Program LLC N/A 83401BAB2 2485000.00000000 PA USD 2520811.58000000 0.203819422356 Long ABS-O CORP US N 2 2041-01-25 Fixed 2.84000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398R2K0 2229052.10000000 PA USD 2658185.64000000 0.214926758493 Long ABS-MBS USGSE US N 2 2040-07-25 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137BTAE1 93765805.16000000 PA USD 599932.37000000 0.048507341872 Long ABS-MBS USGSE US N 2 2026-10-25 Variable 0.20000000 N N N N N N NextGear Floorplan Master Owner Trust N/A 65341KBD7 1705000.00000000 PA USD 1755400.99000000 0.141932391387 Long ABS-O CORP US N 2 2023-10-15 Fixed 3.69000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407PEF1 211216.12000000 PA USD 214516.89000000 0.017344695237 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 4.05000000 N N N N N N FIXED INC CLEARING CORP.REPO 549300H47WTHXPU08X20 000000000 12593975.31000000 PA USD 12593975.31000000 1.018281887161 Long RA CORP US N 2 Repurchase N 1.10000000 2019-10-01 12130000.00000000 USD 12850274.00500000 USD UST N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LHJL9 1892268.08000000 PA USD 2057642.13000000 0.166370003089 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.34000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176JTU4 1171551.27000000 PA USD 1246327.52000000 0.100771417113 Long ABS-MBS USGA US N 2 2063-11-20 Variable 4.54000000 N N N N N N FANNIE MAE FNR 2019 31 FA B1V7KEBTPIMZEU4LTD58 3136B5MD4 18875702.00000000 PA USD 18862658.89000000 1.525134313716 Long ABS-MBS USGSE US N 2 2049-07-25 Variable 2.42000000 N N N N N N Flagship Credit Auto Trust N/A 33843RAC6 2645000.00000000 PA USD 2653822.66000000 0.214573991126 Long ABS-O CORP US N 2 2022-10-17 Fixed 2.66000000 N N N N N N Bayview Opportunity Master Fund N/A 500274AD7 2016100.00000000 PA USD 2135123.29000000 0.172634717755 Long ABS-O CORP US N 2 2053-11-28 Variable 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RZP4 154606.15000000 PA USD 153824.26000000 0.012437411850 Long ABS-MBS USGA US N 3 2061-06-20 Floating 2.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BAY5 15369801.60000000 PA USD 180336.65000000 0.014581062751 Long ABS-MBS USGA US N 3 2045-04-16 Variable 0.38000000 N N N N N N World Financial Network Credit N/A 981464HC7 4100000.00000000 PA USD 4132887.33000000 0.334163296832 Long ABS-O CORP US N 2 2026-04-15 Fixed 2.49000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376GL32 6174274.46000000 PA USD 116518.93000000 0.009421101201 Long ABS-MBS USGA US N 3 2053-04-16 Variable 0.11000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FC2S4 335353.49000000 PA USD 69901.11000000 0.005651832122 Long ABS-MBS USGSE US N 3 2036-10-25 Fixed 7.00000000 N N N N N N Tricon American Homes Trust N/A 89613FAA6 3033371.24000000 PA USD 3076049.56000000 0.248713013473 Long ABS-O CORP US N 2 2036-01-17 Fixed 2.93000000 N N N N N N Hull Street CDO Ltd 549300W5TZ4WI4ZLP434 444838AJ5 3190128.47000000 PA USD 3193396.12000000 0.258201032436 Long ABS-CBDO CORP KY N 2 2026-10-18 Floating 3.52000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197LCH1 36654.09000000 PA USD 37395.61000000 0.003023610209 Long ABS-MBS USGA US N 2 2067-04-20 Variable 4.49000000 N N N N N N CPS Auto Trust N/A 12637FAD4 4025000.00000000 PA USD 4101010.11000000 0.331585874299 Long ABS-O CORP US N 2 2023-01-17 Fixed 4.53000000 N N N N N N Fannie Mae - ACES B1V7KEBTPIMZEU4LTD58 3136B1XJ8 5510000.00000000 PA USD 5842870.12000000 0.472423414035 Long ABS-MBS USGSE US N 2 2028-03-25 Variable 3.14000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FCUJ3 530421.01000000 PA USD 115706.55000000 0.009355416474 Long ABS-MBS USGSE US N 3 2035-07-25 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176JTT7 89231.67000000 PA USD 90533.86000000 0.007320086592 Long ABS-MBS USGA US N 2 2063-11-20 Variable 4.49000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BRQ4 24218649.26000000 PA USD 289316.71000000 0.023392611006 Long ABS-MBS USGA US N 3 2052-04-16 Variable 0.42000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 3136FET44 1429878.72000000 PA USD 260879.38000000 0.021093319690 Long ABS-MBS USGSE US N 3 2036-05-25 Variable 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AJJ42 4012.48000000 PA USD 4051.26000000 0.000327563344 Long ABS-MBS USGA US N 2 2060-03-20 Variable 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31394MWC0 120113.02000000 PA USD 124371.53000000 0.010056020689 Long ABS-MBS USGSE US N 3 2033-11-15 Floating 5.92000000 N N N N N N FHLMC Multifamily Structured Pass Through Certificates S6XOOCT0IEG5ABCC6L87 3137AME78 9870283.87000000 PA USD 226432.01000000 0.018308088493 Long ABS-MBS USGSE US N 3 2021-12-25 Variable 1.45000000 N N N N N N COMM Mortgage Trust N/A 12624XAD0 2605000.00000000 PA USD 2674321.66000000 0.216231431282 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 3.10000000 N N N N N N 2019-10-30 LOOMIS SAYLES FUNDS I John Sgroi John Sgroi VP