NPORT-P false 0000917469 XXXXXXXX S000006639 C000018125 LOOMIS SAYLES FUNDS I 811-08282 0000917469 549300826G7KS737WZ11 888 BOYLSTON STREET Suite 800 BOSTON 02199-8197 617-449-2810 Loomis Sayles Securitized Asset Fund S000006639 549300LK4FBVP0RT7L56 2022-09-30 2022-03-31 N 1545570838.99 73577681.01 1471993157.98 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 73572245.16000000 0.00000000 0.00000000 13640130.77000000 USD N Textainer Marine Containers Limited N/A 88315LAG3 1706812.22000000 PA USD 1604567.00000000 0.109006417000 Long ABS-O CORP BM N 2 2045-09-20 Fixed 2.10000000 N N N N N N World Omni Auto Receivables Trust N/A 98163LAF7 2610000.00000000 PA USD 2467670.44000000 0.167641434107 Long ABS-O CORP US N 2 2027-12-15 Fixed 1.29000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80287AAF0 765000.00000000 PA USD 772873.99000000 0.052505270544 Long ABS-O CORP US N 2 2025-12-15 Fixed 4.11000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162VAE8 3330000.00000000 PA USD 3390595.68000000 0.230340451082 Long ABS-MBS CORP US N 2 2062-03-15 Fixed 3.71700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381DP87 59447965.27000000 PA USD 4335659.00000000 0.294543420701 Long ABS-MBS USGA US N 2 2063-04-16 Variable 0.81100000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDV3 2880000.00000000 PA USD 2763363.17000000 0.187729348809 Long ABS-O CORP US N 2 2026-08-20 Fixed 2.68000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691YAJ0 2085000.00000000 PA USD 1965514.91000000 0.133527448775 Long ABS-MBS CORP US N 2 2054-05-15 Fixed 2.72800000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FCUJ3 321885.57000000 PA USD 62556.97000000 0.004249813911 Long ABS-MBS USGSE US N 3 2035-07-25 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397BRJ2 941038.20000000 PA USD 147163.28000000 0.009997551904 Long ABS-MBS USGSE US N 3 2036-10-15 Floating 6.22300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AFJP7 25881040.00000000 PA USD 24092514.17000000 1.636727320326 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Home Partners of America Trust N/A 437300AE6 1555356.01000000 PA USD 1402583.50000000 0.095284648056 Long ABS-O CORP US N 2 2041-09-17 Fixed 2.07800000 N N N N N N RBSCF Trust N/A 74932BAU7 3475000.00000000 PA USD 3458801.98000000 0.234974052783 Long ABS-MBS CORP US N 2 2031-03-11 Variable 3.58400000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46641WAW7 585186.13000000 PA USD 590844.00000000 0.040139045266 Long ABS-MBS CORP US N 2 2047-04-15 Fixed 3.58400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AFJS2 1478739.20000000 PA USD 185093.28000000 0.012574330186 Long ABS-MBS USGSE US N 3 2041-09-15 Floating 5.50300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373MX54 4000000.00000000 PA USD 4082120.00000000 0.277319223793 Long ABS-MBS USGA US N 2 2042-08-16 Variable 6.04100000 N N N N N N Accelerated Assets LLC N/A 00436MAA3 2315596.55000000 PA USD 2308050.25000000 0.156797620796 Long ABS-O CORP US N 2 2033-12-02 Fixed 3.87000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RPA8 11688134.48000000 PA USD 370928.09000000 0.025199036285 Long ABS-MBS USGA US N 3 2066-01-20 Variable 1.50900000 N N N N N N Drive Auto Receivables Trust N/A 262108AE3 570000.00000000 PA USD 561449.32000000 0.038142114788 Long ABS-O CORP US N 2 2027-06-15 Fixed 1.02000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 190.00000000 NC USD -6315.60000000 -0.00042905090 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year US Treasury Note TYM2 COMDTY 2022-06-21 23352565.60000000 USD -6315.60000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RKR6 348546.67000000 PA USD 354189.97000000 0.024061930456 Long ABS-MBS USGA US N 3 2065-03-20 Variable 4.99300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RJ84 47406644.58000000 PA USD 3198820.23000000 0.217312167020 Long ABS-MBS USGA US N 2 2063-04-16 Variable 0.76200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BB2C5 3600000.00000000 PA USD 854800.20000000 0.058070935681 Long ABS-MBS USGSE US N 2 2040-12-25 Fixed 5.00000000 N N N N N N Foursight Capital Automobile Receivables Trust N/A 35105FAD8 2250000.00000000 PA USD 2249910.00000000 0.152847857192 Long ABS-O CORP US N 2 2025-02-18 Fixed 2.27000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AGRW4 408451.25000000 PA USD 445795.91000000 0.030285189002 Long ABS-MBS USGSE US N 2 2043-07-25 Floating 11.03400000 N N N N N N CoreVest American Finance Ltd N/A 21872GAA3 721077.87000000 PA USD 712125.33000000 0.048378304351 Long ABS-O CORP US N 2 2052-06-15 Fixed 2.83500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379T4X4 1463928.17000000 PA USD 1435176.62000000 0.097498864870 Long ABS-MBS USGA US N 2 2045-08-20 Floating 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AXPC3 47018267.31000000 PA USD 3058397.23000000 0.207772516700 Long ABS-MBS USGSE US N 2 2047-08-25 Floating 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CP99 2080849.38000000 PA USD 2058599.52000000 0.139851160913 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BKE1 142119.13000000 PA USD 141714.15000000 0.009627364721 Long ABS-MBS USGA US N 2 2060-12-20 Floating 0.60600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379UAT3 8319923.08000000 PA USD 276030.09000000 0.018752131319 Long ABS-MBS USGA US N 2 2057-01-16 Variable 0.73700000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FFTC3 23058.12000000 PA USD 5570.09000000 0.000378404612 Long ABS-MBS USGSE US N 3 2038-03-25 Variable 7.00000000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 12649AAL3 2045000.00000000 PA USD 1874680.33000000 0.127356592646 Long ABS-MBS CORP US N 2 2037-09-15 Fixed 4.33600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379K2B3 22685605.95000000 PA USD 484104.03000000 0.032887654903 Long ABS-MBS USGA US N 2 2055-07-16 Variable 0.62800000 N N N N N N Navient Student Loan Trust N/A 63941UAA1 206924.39000000 PA USD 200089.97000000 0.013593131796 Long ABS-O CORP US N 2 2069-09-16 Fixed 1.17000000 N N N N N N COMM Mortgage Trust N/A 12591VAC5 928610.89000000 PA USD 938160.17000000 0.063734003443 Long ABS-MBS CORP US N 2 2047-04-10 Fixed 3.65300000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95001YAE4 5012000.00000000 PA USD 4919804.26000000 0.334227386406 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 3.14600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A4WJ4 1640584.15000000 PA USD 256874.51000000 0.017450795107 Long ABS-MBS USGSE US N 3 2042-03-25 Floating 6.04300000 N N N N N N Foursight Capital Automobile Receivables Trust N/A 35105UAE3 2375000.00000000 PA USD 2233117.74000000 0.151707073357 Long ABS-O CORP US N 2 2027-07-15 Fixed 1.57000000 N N N N N N HPEFS Equipment Trust N/A 40440YAE9 4265000.00000000 PA USD 4097492.98000000 0.278363588701 Long ABS-O CORP US N 2 2031-03-20 Fixed 0.75000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FHQ89 123810149.31000000 PA USD 694166.36000000 0.047158259957 Long ABS-MBS USGSE US N 2 2033-08-25 Variable 0.01300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378XQX2 11354629.99000000 PA USD 157839.46000000 0.010722839243 Long ABS-MBS USGA US N 3 2054-08-16 Variable 0.34700000 N N N N N N Banc of America Commercial Mortgage Trust N/A 06054MAE3 1000000.00000000 PA USD 985210.60000000 0.066930379034 Long ABS-MBS CORP US N 2 2049-07-15 Fixed 3.17000000 N N N N N N OneMain Financial Issuance Trust N/A 68267DAB2 1620000.00000000 PA USD 1620482.60000000 0.110087644851 Long ABS-O CORP US N 2 2031-02-14 Fixed 3.79000000 N N N N N N World Financial Network Credit Card Master Trust N/A 981464HG8 5275000.00000000 PA USD 5295053.97000000 0.359720012371 Long ABS-O CORP US N 2 2026-07-15 Fixed 2.71000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80287AAG8 1350000.00000000 PA USD 1382881.28000000 0.093946175802 Long ABS-O CORP US N 2 2028-03-15 Fixed 5.35000000 N N N N N N MVW Owner Trust N/A 55389TAB7 651719.85000000 PA USD 611510.69000000 0.041543038884 Long ABS-O CORP US N 2 2041-01-22 Fixed 1.44000000 N N N N N N EDvestinU Private Education Loan Issue No. 1, LLC N/A 28166LAA2 875301.48000000 PA USD 791992.04000000 0.053804057152 Long ABS-O CORP US N 2 2045-11-25 Fixed 1.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373MVS6 3565986.14000000 PA USD 36011.15000000 0.002446421017 Long ABS-MBS USGA US N 3 2046-04-16 Variable 0.47600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H5AD9 4479277.08000000 PA USD 616818.85000000 0.041903649256 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BM7D2 38646820.95000000 PA USD 581783.06000000 0.039523489416 Long ABS-MBS USGSE US N 3 2025-09-25 Variable 0.51500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380P6Y5 42081310.44000000 PA USD 3306652.59000000 0.224637769005 Long ABS-MBS USGA US N 2 2062-08-16 Variable 1.01500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381DZE3 58726075.71000000 PA USD 4574502.90000000 0.310769304544 Long ABS-MBS USGA US N 2 2063-04-16 Variable 0.91600000 N N N N N N Whitehorse Ltd 5493006SRQWF2ZFME608 965249AD7 550045.19000000 PA USD 550086.99000000 0.037370213782 Long ABS-CBDO CORP KY N 2 2026-07-17 Floating 2.94100000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137B2HP8 350330733.91000000 PA USD 521351.69000000 0.035418078350 Long ABS-MBS USGSE US N 3 2023-02-25 Variable 0.21900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378NHQ9 1218888.81000000 PA USD 9274.06000000 0.000630034178 Long ABS-MBS USGA US N 3 2055-05-16 Variable 0.21600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381DM23 49132968.43000000 PA USD 3894475.61000000 0.264571583698 Long ABS-MBS USGA US N 2 2063-04-16 Variable 0.91700000 N N N N N N UMBS, TBA N/A 01F032658 20000000.00000000 PA USD 19965396.40000000 1.356351168601 Long ABS-MBS USGSE US N 2 2052-05-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BSF0 4353.10000000 PA USD 4157.37000000 0.000282431339 Long ABS-MBS USGA US N 3 2062-05-20 Fixed 2.00000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDU5 615000.00000000 PA USD 596677.74000000 0.040535360967 Long ABS-O CORP US N 2 2026-08-20 Fixed 2.33000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ADNP7 5449285.11000000 PA USD 5074861.24000000 0.344761197597 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381Y4N1 324000.00000000 PA USD 319878.43000000 0.021730972611 Long ABS-MBS USGA US N 3 2049-10-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KVD72 320629.15000000 PA USD 293650.64000000 0.019949185117 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N Progress Residential Trust N/A 74333EAC6 3450000.00000000 PA USD 3155195.43000000 0.214348511940 Long ABS-O CORP US N 2 2038-05-17 Fixed 2.03900000 N N N N N N Blackbird Capital Aircraft N/A 09228YAB8 1377061.51000000 PA USD 1284982.09000000 0.087295384698 Long ABS-O CORP KY N 2 2041-12-16 Variable 4.21300000 N N N N N N Race Point CLO Ltd 5493008ABAJEYBWITR69 74982LBA7 4500000.00000000 PA USD 4446292.50000000 0.302059318407 Long ABS-CBDO CORP KY N 2 2030-02-20 Floating 1.98000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L7PW6 17540467.00000000 PA USD 16311929.36000000 1.108152525816 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BRQ4 7990859.92000000 PA USD 79.11000000 0.000005374345 Long ABS-MBS USGA US N 3 2052-04-16 Variable 0.02600000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300PX4QZK7CUM8D08 94988XAW6 4000000.00000000 PA USD 3937238.00000000 0.267476650869 Long ABS-MBS CORP US N 2 2050-08-15 Fixed 4.02000000 N N N N N N Navient Student Loan Trust N/A 63941HAA0 1850233.51000000 PA USD 1787246.01000000 0.121416733516 Long ABS-O CORP US N 2 2069-05-15 Fixed 1.69000000 N N N N N N Rockland Park CLO Ltd N/A 773663AC3 7650000.00000000 PA USD 7610686.65000000 0.517032746296 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.90400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394DDX5 777534.05000000 PA USD 788404.04000000 0.053560306019 Long ABS-MBS USGSE US N 3 2035-04-25 Floating 6.81000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BBGX4 17918076.23000000 PA USD 1232064.84000000 0.083700446114 Long ABS-MBS USGSE US N 2 2032-04-25 Variable 1.11600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RU38 2253724.21000000 PA USD 134475.22000000 0.009135587300 Long ABS-MBS USGA US N 2 2067-01-20 Variable 2.29100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LQL0 2020535.31000000 PA USD 2313745.29000000 0.157184513899 Long ABS-MBS USGA US N 2 2069-01-20 Variable 4.27000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380MBL4 24098863.05000000 PA USD 976702.82000000 0.066352402163 Long ABS-MBS USGA US N 2 2060-08-16 Variable 0.47100000 N N N N N N Mill City Mortgage Trust N/A 59981AAG1 1646966.48000000 PA USD 1618481.54000000 0.109951702643 Long ABS-MBS CORP US N 2 2069-10-25 Variable 3.50000000 N N N N N N Santander Consumer Auto Receivables Trust N/A 80282YAF3 1110000.00000000 PA USD 1028310.66000000 0.069858385850 Long ABS-O CORP US N 2 2026-11-16 Fixed 1.03000000 N N N N N N Oak Hill Credit Partners N/A 67707GAE9 5300000.00000000 PA USD 5227681.50000000 0.355143056994 Long ABS-CBDO CORP KY N 2 2034-01-18 Floating 1.74100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AKMT4 1450358.31000000 PA USD 1349225.99000000 0.091659800365 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RLZ7 133655.23000000 PA USD 139704.89000000 0.009490865446 Long ABS-MBS USGA US N 3 2065-09-20 Variable 4.59100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A72Z4 4049891.75000000 PA USD 510668.35000000 0.034692304596 Long ABS-MBS USGSE US N 3 2042-09-25 Floating 5.54300000 N N N N N N Sierra Receivables Funding Co LLC N/A 82652MAA8 2137791.75000000 PA USD 2105532.90000000 0.143039584700 Long ABS-O CORP US N 2 2036-05-20 Fixed 2.59000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380NDZ9 10038326.38000000 PA USD 609683.78000000 0.041418927574 Long ABS-MBS USGA US N 2 2060-12-16 Variable 0.87800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380QS86 9856425.34000000 PA USD 511982.16000000 0.034781558407 Long ABS-MBS USGA US N 2 2068-01-20 Variable 4.20400000 N N N N N N Education Funding Trust N/A 28141PAA3 1949271.40000000 PA USD 1882801.25000000 0.127908288146 Long ABS-O CORP US N 2 2041-07-25 Fixed 2.79000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A 03066RAE5 1280000.00000000 PA USD 1201185.28000000 0.081602640167 Long ABS-O CORP US N 2 2027-01-19 Fixed 1.01000000 N N N N N N Planet Fitness Master Issuer LLC 549300NX9W3U2DO53T22 72703PAB9 3888950.00000000 PA USD 3885372.17000000 0.263953140606 Long ABS-O CORP US N 2 2048-09-05 Fixed 4.66600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KF37 16316497.81000000 PA USD 419125.63000000 0.028473340907 Long ABS-MBS USGA US N 3 2057-03-16 Variable 0.70000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 214.00000000 NC USD -931659.70000000 -0.06329239337 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Ultra 10-Year US Treasury Note Futures UXYM2 COMDTY 2022-06-21 29921972.20000000 USD -931659.70000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373MWF3 1519215.14000000 PA USD 33907.97000000 0.002303541277 Long ABS-MBS USGA US N 3 2046-08-16 Variable 0.96200000 N N N N N N Sierra Receivables Funding Co LLC N/A 826525AB3 672944.18000000 PA USD 654499.45000000 0.044463484524 Long ABS-O CORP US N 2 2037-07-20 Fixed 2.32000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31282YDH9 238871.40000000 PA USD 40097.86000000 0.002724052063 Long ABS-MBS USGSE US N 3 2033-03-01 Fixed 6.00000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07331YAA8 893034.79000000 PA USD 887250.78000000 0.060275469025 Long ABS-O CORP US N 2 2055-01-28 Variable 3.50000000 N N N N N N Planet Fitness Master Issuer LLC 549300NX9W3U2DO53T22 72703PAC7 3941280.00000000 PA USD 3705224.92000000 0.251714819455 Long ABS-O CORP US N 2 2049-12-05 Fixed 3.85800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F7E68 3872142.38000000 PA USD 654154.70000000 0.044440063899 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KVKD1 4644868.39000000 PA USD 4325591.47000000 0.293859482060 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N First Investors Auto Owner Trust N/A 32058RAC8 3360000.00000000 PA USD 3368094.24000000 0.228811813542 Long ABS-O CORP US N 2 2025-12-15 Fixed 2.71000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136APE32 371590.14000000 PA USD 388979.66000000 0.026425371469 Long ABS-MBS USGSE US N 3 2041-05-25 Floating 5.50000000 N N N N N N Bank N/A 06540WBD4 4155000.00000000 PA USD 4102302.55000000 0.278690327313 Long ABS-MBS CORP US N 2 2061-08-15 Fixed 3.18300000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FAZ94 217474.31000000 PA USD 34503.72000000 0.002344013612 Long ABS-MBS USGSE US N 3 2033-11-25 Fixed 5.50000000 N N N N N N COMM Mortgage Trust N/A 12592KBC7 2520000.00000000 PA USD 2534611.46000000 0.172189078886 Long ABS-MBS CORP US N 2 2047-09-10 Fixed 3.83800000 N N N N N N World Omni Auto Receivables Trust N/A 98164EAF2 1980000.00000000 PA USD 1834313.98000000 0.124614300688 Long ABS-O CORP US N 2 2027-08-16 Fixed 0.89000000 N N N N N N GS Mortgage Securities Trust N/A 36252RAM1 2930000.00000000 PA USD 2967158.55000000 0.201574207999 Long ABS-MBS CORP US N 2 2047-01-10 Fixed 4.07400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNF80 39892472.00000000 PA USD 39066544.64000000 2.653989553430 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N SLM Student Loan Trust N/A 78443CAJ3 598000.00000000 PA USD 592695.74000000 0.040264843405 Long ABS-O CORP US N 2 2032-06-15 Variable 3.60900000 N N N N N N World OMNI Select Auto Trust N/A 98163DAF5 1490000.00000000 PA USD 1433035.81000000 0.097353428732 Long ABS-O CORP US N 2 2026-10-15 Fixed 1.25000000 N N N N N N SCF Equipment Trust Llc N/A 783897AD3 1635000.00000000 PA USD 1592684.57000000 0.108199182949 Long ABS-O CORP US N 2 2029-08-20 Fixed 1.37000000 N N N N N N SMB Private Education Loan Trust 549300QHI21JZK7YIR34 78449PAC3 3969344.73000000 PA USD 3953660.66000000 0.268592325892 Long ABS-O CORP US N 2 2036-02-15 Floating 1.19700000 N N N N N N COMM Mortgage Trust N/A 12624PAJ4 230000.00000000 PA USD 228947.34000000 0.015553560066 Long ABS-MBS CORP US N 2 2045-10-15 Fixed 3.41600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RCN4 19900.80000000 PA USD 19629.07000000 0.001333502801 Long ABS-MBS USGA US N 3 2063-05-20 Floating 0.38600000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796R35 12000000.00000000 PA USD 11991375.00000000 0.814635240319 Long STIV UST US N 2 2022-06-09 None 0.00000000 N N N N N N BMO 2022-C1 Mortgage Trust N/A 05609MCC7 4970000.00000000 PA USD 4931706.15000000 0.335035942474 Long ABS-MBS CORP US N 2 2055-02-15 Fixed 3.37400000 N N N N N N COMM Mortgage Trust N/A 12624XAD0 2605000.00000000 PA USD 2608912.19000000 0.177236706288 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 3.10100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BNE8 83346.76000000 PA USD 82848.32000000 0.005628308769 Long ABS-MBS USGA US N 3 2061-10-20 Floating 0.70600000 N N N N N N MAPS LTD N/A 56564RAA8 907289.08000000 PA USD 848384.06000000 0.057635054578 Long ABS-O CORP BM N 2 2043-05-15 Fixed 4.21200000 N N N N N N GLS Auto Receivables Trust N/A 36261XAE5 1665000.00000000 PA USD 1605053.34000000 0.109039456555 Long ABS-O CORP US N 2 2026-06-15 Fixed 1.08000000 N N N N N N Dryden Senior Loan Fund N/A 26243EAB7 3835000.00000000 PA USD 3798111.14000000 0.258025053948 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 1.64100000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 12649AAJ8 1805000.00000000 PA USD 1678531.77000000 0.114031220926 Long ABS-MBS CORP US N 2 2037-09-15 Fixed 4.18500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31395D7A1 1139065.15000000 PA USD 1538328.33000000 0.104506486437 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 22.52600000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 12649AAC3 6160000.00000000 PA USD 6054570.37000000 0.411317833726 Long ABS-MBS CORP US N 2 2037-09-15 Fixed 3.95300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BGP1 152733.53000000 PA USD 151846.45000000 0.010315703519 Long ABS-MBS USGA US N 2 2060-10-20 Floating 0.45600000 N N N N N N Bank N/A 06540YAQ2 785000.00000000 PA USD 696501.46000000 0.047316895205 Long ABS-MBS CORP US N 2 2063-03-15 Fixed 2.14000000 N N N N N N FRESB Multifamily Mortgage Pass-Through Certifica N/A 30322XAE5 25342284.53000000 PA USD 1000183.94000000 0.067947594360 Long ABS-MBS USGSE US N 2 2041-08-25 Variable 0.57000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AQC65 78398.54000000 PA USD 78401.57000000 0.005326218370 Long ABS-MBS USGSE US N 2 2022-11-25 Floating 1.05600000 N N N N N N GS Mortgage Securities Trust N/A 36258YBG2 2555000.00000000 PA USD 2465286.29000000 0.167479466642 Long ABS-MBS CORP US N 2 2053-02-13 Fixed 2.91100000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BBBE9 32438908.02000000 PA USD 535830.75000000 0.036401714715 Long ABS-MBS USGSE US N 3 2024-03-25 Variable 1.09400000 N N N N N N Bank N/A 06541CBL9 3570000.00000000 PA USD 3347962.78000000 0.227444180827 Long ABS-MBS CORP US N 2 2064-05-15 Fixed 2.55600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380PWY6 41638434.23000000 PA USD 2833395.52000000 0.192487003396 Long ABS-MBS USGA US N 2 2062-06-16 Variable 0.85000000 N N N N N N Towd Point Mortgage Trust N/A 89179JAB2 5000000.00000000 PA USD 4597711.00000000 0.312345949101 Long ABS-O CORP US N 2 2060-10-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L8UC2 6064288.98000000 PA USD 5640487.60000000 0.383187080009 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Legacy Mortgage Asset Trust N/A 52474HAB6 4515000.00000000 PA USD 4336194.71000000 0.294579814212 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RVY9 205571.17000000 PA USD 206682.40000000 0.014040989177 Long ABS-MBS USGA US N 3 2063-08-20 Variable 3.96600000 N N N N N N Residential Accredit Loans, Inc. N/A 75115DAM7 13.19000000 PA USD 10.49000000 0.000000712639 Long ABS-MBS CORP US N 3 2021-09-25 Fixed 5.75000000 N N N N N N Affirm Inc N/A 00833MAA2 2630000.00000000 PA USD 2618477.97000000 0.177886558494 Long ABS-O CORP US N 2 2025-08-15 Fixed 0.88000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137B7N21 30877800.76000000 PA USD 290720.67000000 0.019750137317 Long ABS-MBS USGSE US N 3 2023-10-25 Variable 0.70200000 N N N N N N Octagon Investment Partners Ltd N/A 67576FAE9 2040000.00000000 PA USD 2003877.72000000 0.136133630046 Long ABS-CBDO CORP KY N 2 2031-04-16 Floating 1.71100000 N N N N N N Morgan Stanley BAML Trust N/A 553514AC4 1300000.00000000 PA USD 1286553.71000000 0.087402152858 Long ABS-MBS CORP US N 2 2030-10-15 Fixed 3.27700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381VZ37 11370769.77000000 PA USD 1695896.87000000 0.115210920703 Long ABS-MBS USGA US N 2 2043-08-20 Floating 5.55100000 N N N N N N Extended Stay America Trust N/A 30227FAG5 3627673.46000000 PA USD 3575289.86000000 0.242887668371 Long ABS-MBS CORP US N 2 2038-07-15 Floating 2.09700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B2R2 1469445.70000000 PA USD 50852.28000000 0.003454654644 Long ABS-MBS USGA US N 3 2063-06-20 Variable 1.31000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 549300UVB571ELWL8972 92890FBB1 790000.00000000 PA USD 793330.48000000 0.053894984205 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 4.17600000 N N N N N N Morgan Stanley BAML Trust N/A 61763MAJ9 930000.00000000 PA USD 907934.73000000 0.061680635203 Long ABS-MBS CORP US N 2 2047-06-15 Variable 4.33300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AATM4 1747177.33000000 PA USD 1627078.82000000 0.110535759706 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FWHG8 2561193.98000000 PA USD 336258.75000000 0.022843771261 Long ABS-MBS USGSE US N 3 2035-07-25 Variable 1.33000000 N N N N N N Sierra Receivables Funding Co LLC N/A 82653DAA7 343338.19000000 PA USD 343121.99000000 0.023310026146 Long ABS-O CORP US N 2 2035-06-20 Fixed 3.50000000 N N N N N N Carvana Auto Receivables Trust N/A 14687DAC6 4040000.00000000 PA USD 3972758.24000000 0.269889721868 Long ABS-O CORP US N 2 2028-01-10 Fixed 1.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417A6P9 473433.02000000 PA USD 480967.26000000 0.032674558124 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 4.00000000 N N N N N N SMB Private Education Loan Trust N/A 78448YAJ0 1074995.10000000 PA USD 988524.43000000 0.067155504401 Long ABS-O CORP US N 2 2053-01-15 Fixed 1.07000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KNQY2 32660973.35000000 PA USD 30351822.28000000 2.061954032561 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07333BAD0 1385000.00000000 PA USD 1333412.07000000 0.090585480154 Long ABS-O CORP US N 2 2054-06-28 Variable 4.25000000 N N N N N N Sprite Limited N/A 85208HAA1 4312.60000000 PA USD 4215.20000000 0.000286360026 Long ABS-O CORP KY N 2 2037-12-15 Fixed 4.25000000 N N N N N N Sequoia Mortgage Trust 549300RES143ZXEZ6T39 81747CAA9 146059.02000000 PA USD 146625.48000000 0.009961016408 Long ABS-MBS CORP US N 2 2049-08-25 Variable 4.50000000 N N N N N N Mercury Financial Credit Card Master Trust N/A 58940BAA4 2275000.00000000 PA USD 2207606.77000000 0.149973983101 Long ABS-O CORP US N 2 2026-03-20 Fixed 1.54000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BWM7 6905290.23000000 PA USD 80403.06000000 0.005462189791 Long ABS-MBS USGA US N 3 2053-03-16 Variable 0.39500000 N N N N N N Willis Engine Securitization Trust N/A 97064FAA3 3235748.95000000 PA USD 2920837.13000000 0.198427357774 Long ABS-O CORP US N 2 2045-03-15 Fixed 3.22800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AJN51 1168318.09000000 PA USD 107018.80000000 0.007270332706 Long ABS-MBS USGSE US N 3 2044-05-25 Floating 5.59300000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FAA75 322558.74000000 PA USD 51169.80000000 0.003476225397 Long ABS-MBS USGSE US N 3 2033-03-25 Fixed 6.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEN73 142665.42000000 PA USD 29191.33000000 0.001983115875 Long ABS-MBS USGSE US N 3 2037-03-25 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KPC6 3646706.66000000 PA USD 76036.35000000 0.005165536917 Long ABS-MBS USGA US N 3 2057-07-16 Variable 0.38700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137A6WD0 194894.76000000 PA USD 180172.78000000 0.012240055534 Long ABS-MBS USGSE US N 3 2041-02-15 Floating 8.73900000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46639EAL5 1575000.00000000 PA USD 1562270.54000000 0.106133002828 Long ABS-MBS CORP US N 2 2047-12-15 Variable 4.36400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FPJA4 3380496.81000000 PA USD 256448.65000000 0.017421864266 Long ABS-MBS USGSE US N 3 2034-08-25 Variable 0.86000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382BYR8 8447000.75000000 PA USD 1605402.33000000 0.109063165225 Long ABS-MBS USGA US N 2 2044-02-20 Floating 5.10100000 N N N N N N FRESB Multifamily Mortgage Pass-Through Certifica N/A 35802DAD9 95505000.00000000 PA USD 1251487.97000000 0.085019958361 Long ABS-MBS USGSE US N 2 2041-11-25 Variable 0.00100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LGT4 117866.49000000 PA USD 126065.85000000 0.008564295921 Long ABS-MBS USGA US N 3 2068-08-20 Variable 4.62200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ACDL5 8.88000000 PA USD 9.31000000 0.000000632475 Long ABS-MBS USGA US N 2 2059-11-20 Variable 5.47000000 N N N N N N FirstKey Homes 2020-SFR1 Trust N/A 33767MAC9 910000.00000000 PA USD 851108.90000000 0.057820166852 Long ABS-O CORP US N 2 2037-08-17 Fixed 1.74000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FRUL3 17529633.73000000 PA USD 1750491.69000000 0.118919825171 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.52300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376G3S7 1550272.08000000 PA USD 3948.57000000 0.000268246491 Long ABS-MBS USGA US N 3 2051-08-16 Variable 0.23400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H6RR8 125000.00000000 PA USD 122304.69000000 0.008308781147 Long ABS-MBS USGSE US N 3 2052-04-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BDB2 5750422.37000000 PA USD 32457.74000000 0.002205019760 Long ABS-MBS USGA US N 3 2053-06-16 Variable 0.20100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397RKT2 527796.58000000 PA USD 613709.24000000 0.041692397595 Long ABS-MBS USGSE US N 3 2038-02-15 Floating 16.60900000 N N N N N N JP Morgan Mortgage Trust N/A 46648UAQ7 13546871.78000000 PA USD 38667.51000000 0.002626881095 Long ABS-MBS CORP US N 3 2048-11-25 Variable 0.39200000 N N N N N N Towd Point Mortgage Trust N/A 89175TAB4 2325000.00000000 PA USD 2217917.94000000 0.150674473449 Long ABS-O CORP US N 2 2058-06-25 Variable 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375URS1 16991017.76000000 PA USD 404917.70000000 0.027508123784 Long ABS-MBS USGA US N 3 2064-09-20 Variable 0.96200000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B56F7 23280366.25000000 PA USD 517296.72000000 0.035142603564 Long ABS-MBS USGSE US N 2 2034-08-25 Variable 0.31700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373AHQ2 331123.01000000 PA USD 356771.30000000 0.024237293364 Long ABS-MBS USGA US N 3 2039-08-20 Fixed 5.50000000 N N N N N N American Credit Acceptance Receivables Trust N/A 02528BAE4 1695000.00000000 PA USD 1666739.43000000 0.113230107148 Long ABS-O CORP US N 2 2027-03-15 Fixed 0.83000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KDRA0 5558268.78000000 PA USD 5316738.38000000 0.361193144898 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300NYO16WLNMVJJ46 94989KAW3 2508801.04000000 PA USD 2527376.96000000 0.171697602417 Long ABS-MBS CORP US N 2 2048-06-15 Fixed 3.40000000 N N N N N N BANK OF THE WEST AUTO TRUST 549300VWQMQWM78WF314 065606AE5 2750000.00000000 PA USD 2755174.40000000 0.187173043914 Long ABS-O CORP US N 2 2025-01-15 Fixed 2.76000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BPW39 7324094.57000000 PA USD 324667.15000000 0.022056294775 Long ABS-MBS USGSE US N 3 2026-03-25 Variable 1.35300000 N N N N N N COMM Mortgage Trust N/A 12630BBA5 2572000.00000000 PA USD 2612941.87000000 0.177510462996 Long ABS-MBS CORP US N 2 2046-11-10 Variable 4.19400000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 141.00000000 NC USD -204337.60000000 -0.01388169495 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CME Ultra Long Term US Treasury Bond Future WNM2 COMDTY 2022-06-21 25178962.60000000 USD -204337.60000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398JLT8 1174573.64000000 PA USD 1162252.36000000 0.078957728417 Long ABS-MBS USGSE US N 2 2048-06-15 Variable 2.58500000 N N N N N N GS Mortgage Securities Trust N/A 36252RAZ2 5100000.00000000 PA USD 4994010.27000000 0.339268578996 Long ABS-MBS CORP US N 2 2047-01-10 Fixed 4.38300000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEN81 85407.42000000 PA USD 18087.84000000 0.001228799189 Long ABS-MBS USGSE US N 3 2037-03-25 Variable 7.00000000 N N N N N N Neuberger Berman CLO Ltd 549300Y2YE54ON4DJE28 64134JAC7 2560000.00000000 PA USD 2521520.64000000 0.171299752742 Long ABS-CBDO CORP KY N 2 2033-04-16 Floating 1.64100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380QYD8 67454688.77000000 PA USD 3526800.95000000 0.239593569499 Long ABS-MBS USGA US N 2 2070-04-20 Variable 4.13800000 N N N N N N Santander Consumer Auto Receivables Trust N/A 80281MAC7 770000.00000000 PA USD 773530.45000000 0.052549867219 Long ABS-O CORP US N 2 2026-02-17 Fixed 3.71000000 N N N N N N Magnetite CLO Ltd 549300XSCWZTP19VRZ67 55955KAC8 2350000.00000000 PA USD 2320549.80000000 0.157646778955 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 1.64100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RQU7 9635555.60000000 PA USD 746071.43000000 0.050684435994 Long ABS-MBS USGA US N 2 2063-05-16 Variable 0.99300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376GHW3 244805.69000000 PA USD 9885.78000000 0.000671591436 Long ABS-MBS USGA US N 3 2052-10-16 Variable 1.45000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376GVB3 3738230.53000000 PA USD 31459.27000000 0.002137188602 Long ABS-MBS USGA US N 3 2052-12-16 Variable 0.29800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AUUY5 6498137.30000000 PA USD 848342.22000000 0.057632212174 Long ABS-MBS USGSE US N 2 2046-12-25 Floating 6.19300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KNMS4 6761618.66000000 PA USD 6297369.30000000 0.427812402921 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FTBP1 13739904.87000000 PA USD 1563834.75000000 0.106239267589 Long ABS-MBS USGSE US N 2 2030-03-25 Variable 1.69000000 N N N N N N GS Mortgage Securities Trust 549300E4QCAQ0FY44H36 36197VAA6 5775000.00000000 PA USD 5608793.77000000 0.381033956550 Long ABS-MBS CORP US N 2 2033-03-05 Variable 3.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AGY22 2060348.97000000 PA USD 321390.46000000 0.021833692518 Long ABS-MBS USGSE US N 3 2043-11-25 Floating 6.14300000 N N N N N N Verde CLO Ltd N/A 92338BAQ8 3830000.00000000 PA USD 3783553.59000000 0.257036085357 Long ABS-CBDO CORP KY N 2 2032-04-15 Floating 1.84100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BYY9 25009181.66000000 PA USD 259517.28000000 0.017630331947 Long ABS-MBS USGA US N 3 2052-09-16 Variable 0.35800000 N N N N N N UBS Commercial Mortgage Trust N/A 90276YAE3 1350000.00000000 PA USD 1352228.85000000 0.091863799955 Long ABS-MBS CORP US N 2 2052-04-15 Fixed 3.60500000 N N N N N N WENDYS FUNDING LLC 5493009DRVSTWJOXUL48 95058XAK4 1568150.00000000 PA USD 1394731.43000000 0.094751216908 Long ABS-O CORP US N 2 2051-06-15 Fixed 2.37000000 N N N N N N Recette CLO LLC 549300392I5L5XOJ0016 75620TAX6 1035000.00000000 PA USD 1005239.61000000 0.068291051799 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.65400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BUS6 2947659.17000000 PA USD 4206.55000000 0.000285772388 Long ABS-MBS USGA US N 3 2052-08-16 Variable 0.08300000 N N N N N N Oak Hill Credit Partners N/A 67707EAY0 4045000.00000000 PA USD 4003105.94000000 0.271951395853 Long ABS-CBDO CORP KY N 2 2034-04-21 Floating 1.85500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LKW2 4200185.69000000 PA USD 4494298.23000000 0.305320592397 Long ABS-MBS USGA US N 2 2068-05-20 Variable 4.26100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RYD6 42078091.03000000 PA USD 3591701.69000000 0.244002607656 Long ABS-MBS USGA US N 2 2062-08-16 Variable 1.14000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398QSU2 1449260.17000000 PA USD 196468.46000000 0.013347104158 Long ABS-MBS USGSE US N 3 2040-10-15 Floating 6.10300000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEU75 293651.61000000 PA USD 63107.27000000 0.004287198595 Long ABS-MBS USGSE US N 3 2037-07-25 Fixed 6.50000000 N N N N N N Onslow Bay Financial LLC 549300ELWOCL265HSB73 67448QAC5 266402.06000000 PA USD 263273.43000000 0.017885506367 Long ABS-MBS CORP US N 2 2059-01-25 Variable 4.00000000 N N N N N N Elmwood CLO VIII Ltd N/A 29003EAC9 4275000.00000000 PA USD 4223452.05000000 0.286920630514 Long ABS-CBDO CORP KY N 2 2034-01-20 Floating 1.80400000 N N N N N N SLAM 2021-1 LLC N/A 78449AAA0 3054685.50000000 PA USD 2784037.31000000 0.189133848544 Long ABS-O CORP US N 2 2046-06-15 Fixed 2.43400000 N N N N N N FRTKL N/A 30322DAE9 2751000.00000000 PA USD 2497892.32000000 0.169694560498 Long ABS-O CORP US N 2 2038-09-17 Fixed 1.92200000 N N N N N N American Credit Acceptance Receivables Trust N/A 02529RAE8 525568.01000000 PA USD 526078.86000000 0.035739219109 Long ABS-O CORP US N 2 2025-12-12 Fixed 2.69000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AWBW6 8922623.64000000 PA USD 1176232.89000000 0.079907497098 Long ABS-MBS USGSE US N 2 2047-04-25 Floating 5.69300000 N N N N N N OneMain Financial Issuance Trust N/A 68269MAC8 5400000.00000000 PA USD 4975441.20000000 0.338007087398 Long ABS-O CORP US N 2 2036-06-16 Fixed 1.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398TKX8 69740.31000000 PA USD 68193.39000000 0.004632724658 Long ABS-MBS USGSE US N 3 2039-12-25 Variable 1.58900000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FQK28 20650480.63000000 PA USD 1105172.42000000 0.075079997078 Long ABS-MBS USGSE US N 2 2034-10-25 Variable 0.57900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380P4H4 19955920.75000000 PA USD 1490703.29000000 0.101271074659 Long ABS-MBS USGA US N 2 2062-10-16 Variable 0.93200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L8VZ0 10926760.92000000 PA USD 10163166.09000000 0.690435688162 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Chesapeake Funding II LLC 5493000HT7H4OFOD6Z12 165183CM4 550000.00000000 PA USD 543196.01000000 0.036902074378 Long ABS-O CORP US N 2 2032-08-15 Fixed 2.14000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378NYK3 12361872.98000000 PA USD 88314.95000000 0.005999684816 Long ABS-MBS USGA US N 3 2054-01-16 Variable 0.18000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RDP2 17834088.86000000 PA USD 1305897.59000000 0.088716281249 Long ABS-MBS USGA US N 2 2063-01-16 Variable 0.91800000 N N N N N N Towd Point Mortgage Trust N/A 89176UAR5 5555000.00000000 PA USD 5260399.46000000 0.357365754825 Long ABS-O CORP US N 2 2060-04-25 Variable 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375U6F2 65821.13000000 PA USD 65199.12000000 0.004429308631 Long ABS-MBS USGA US N 3 2064-10-20 Floating 0.30600000 N N N N N N Nelnet Student Loan Trust N/A 64035DAE6 1630000.00000000 PA USD 1526162.48000000 0.103679998220 Long ABS-O CORP US N 2 2062-04-20 Fixed 2.85000000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22535MAA7 1245000.00000000 PA USD 1232352.05000000 0.083719957753 Long ABS-O CORP US N 2 2029-07-16 Fixed 1.37000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FA2F6 344072.14000000 PA USD 59154.17000000 0.004018644358 Long ABS-MBS USGSE US N 3 2033-06-25 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380MLR0 6535692.19000000 PA USD 445616.56000000 0.030273004842 Long ABS-MBS USGA US N 2 2058-06-16 Variable 1.09900000 N N N N N N Towd Point Mortgage Trust N/A 89175MAA1 955882.61000000 PA USD 954690.34000000 0.064856982169 Long ABS-O CORP US N 2 2058-05-25 Variable 3.75000000 N N N N N N Mill City Mortgage Trust N/A 59980XAC1 927869.96000000 PA USD 924422.18000000 0.062800711741 Long ABS-O CORP US N 2 2058-08-25 Variable 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ARK49 9427767.17000000 PA USD 1203523.30000000 0.081761473786 Long ABS-MBS USGSE US N 2 2046-04-25 Floating 5.64300000 N N N N N N SOFI CONSUMER LOAN PROGRAM TRUST N/A 83407AAB8 4235000.00000000 PA USD 4247226.45000000 0.288535746716 Long ABS-O CORP US N 2 2029-01-25 Fixed 2.25000000 N N N N N N Triumph Rail LLC N/A 89683LAA8 4116185.82000000 PA USD 3822216.06000000 0.259662624060 Long ABS-O CORP US N 2 2051-06-19 Fixed 2.15000000 N N N N N N MMAF Equipment Finance LLC N/A 60700MAE8 305000.00000000 PA USD 282042.07000000 0.019160555772 Long ABS-O CORP US N 2 2042-10-09 Fixed 1.56000000 N N N N N N Morgan Stanley Capital I Trust N/A 617459AJ1 718755.55000000 PA USD 697192.88000000 0.047363866891 Long ABS-MBS CORP US N 2 2044-06-15 Variable 5.21200000 N N N N N N Fixed Income Clearing Corp 549300H47WTHXPU08X20 000000000 18813117.44000000 PA USD 18813117.44000000 1.278070984094 Long RA CORP US N 2 Repurchase N 0.00000000 2022-04-01 19258600.00000000 USD 19189384.68000000 USD UST N N N Neuberger Berman CLO Ltd 549300NPF57YF6WBDP72 64130TBC8 2075000.00000000 PA USD 2068011.40000000 0.140490557907 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 1.89100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A1VK8 305292.56000000 PA USD 314023.32000000 0.021333205137 Long ABS-MBS USGSE US N 2 2040-11-25 Floating 7.46900000 N N N N N N Progress Residential Trust N/A 74333NAC6 2270000.00000000 PA USD 2243019.23000000 0.152379732055 Long ABS-O CORP US N 2 2036-05-17 Fixed 3.44600000 N N N N N N Triton Container Finance LLC N/A 89680HAA0 4694050.00000000 PA USD 4338832.46000000 0.294759010018 Long ABS-O CORP US N 2 2045-09-20 Fixed 2.11000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17327RAC4 1448850.00000000 PA USD 1443842.77000000 0.098087600623 Long ABS-MBS CORP US N 2 2066-01-25 Variable 4.00000000 N N N N N N AGL CLO Ltd. 54930005OE1IFBESDA27 00120BAE0 2225000.00000000 PA USD 2191645.03000000 0.148889620724 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 1.85400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379K6Q6 7610058.83000000 PA USD 261438.93000000 0.017760879429 Long ABS-MBS USGA US N 3 2055-11-16 Variable 0.81000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BBAL6 17133766.28000000 PA USD 1363678.17000000 0.092641610635 Long ABS-MBS USGSE US N 2 2028-06-25 Variable 1.96000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373M2D1 843062.98000000 PA USD 860925.71000000 0.058487072805 Long ABS-MBS USGA US N 2 2042-08-16 Variable 5.67400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31394GGC1 71738.52000000 PA USD 16770.12000000 0.001139279752 Long ABS-MBS USGSE US N 3 2033-07-15 Fixed 7.00000000 N N N N N N Carvana Auto Receivables Trust N/A 14687TAF4 5410000.00000000 PA USD 4910456.83000000 0.333592367829 Long ABS-O CORP US N 2 2027-06-10 Fixed 1.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376G4X5 2962766.08000000 PA USD 3088955.03000000 0.209848463850 Long ABS-MBS USGA US N 2 2051-08-16 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RKZ8 3415.30000000 PA USD 3389.08000000 0.000230237483 Long ABS-MBS USGA US N 3 2061-08-20 Floating 0.78600000 N N N N N N Kestrel Aircraft Funding Limited N/A 49255PAA1 2077222.29000000 PA USD 1890238.22000000 0.128413519434 Long ABS-O CORP KY N 2 2038-12-15 Fixed 4.25000000 N N N N N N Bank N/A 06540XBG5 3525000.00000000 PA USD 3429808.43000000 0.233004373111 Long ABS-MBS CORP US N 2 2062-11-15 Fixed 2.97800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31393VJE2 80766.56000000 PA USD 81825.16000000 0.005558800294 Long ABS-MBS USGSE US N 3 2023-06-15 Floating 14.00900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L8UY4 13662804.34000000 PA USD 12703730.40000000 0.863029174499 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BNF5 244087.38000000 PA USD 241996.85000000 0.016440079812 Long ABS-MBS USGA US N 3 2061-10-20 Floating 1.10800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BWFX7 32490366.58000000 PA USD 238368.50000000 0.016193587497 Long ABS-MBS USGSE US N 3 2026-12-25 Variable 0.29800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398WB86 575599.00000000 PA USD 587454.04000000 0.039908748000 Long ABS-MBS USGSE US N 2 2036-12-15 Floating 3.84600000 N N N N N N Morgan Stanley BAML Trust N/A 61761QAE3 2735000.00000000 PA USD 2741039.43000000 0.186212783336 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 3.13400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B4CT0 7208159.98000000 PA USD 6886637.34000000 0.467844385190 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378N4L4 9411001.38000000 PA USD 245248.53000000 0.016660983012 Long ABS-MBS USGA US N 3 2049-03-16 Variable 0.57000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ABNB2 7603730.70000000 PA USD 7081068.50000000 0.481053085173 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.00000000 N N N N N N SMB Private Education Loan Trust N/A 83192CAD9 5485000.00000000 PA USD 5275004.58000000 0.358357955089 Long ABS-O CORP US N 2 2043-06-15 Fixed 3.56000000 N N N N N N Palmer Square CLO Ltd N/A 69688AAQ4 4970000.00000000 PA USD 4920200.60000000 0.334254311803 Long ABS-CBDO CORP KY N 2 2031-10-17 Floating 1.74800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381DXB1 54225960.72000000 PA USD 4240199.00000000 0.288058336209 Long ABS-MBS USGA US N 2 2063-07-16 Variable 0.88200000 N N N N N N Navient Student Loan Trust N/A 63940YAB2 1756996.46000000 PA USD 1746221.33000000 0.118629717844 Long ABS-O CORP US N 2 2068-02-15 Fixed 3.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RZL3 638671.89000000 PA USD 648756.33000000 0.044073325102 Long ABS-MBS USGA US N 3 2066-08-20 Variable 4.71000000 N N N N N N Invitation Homes Trust N/A 46185HAC6 639899.50000000 PA USD 634628.84000000 0.043113572679 Long ABS-O CORP US N 2 2037-06-17 Floating 1.47700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381DK58 11544320.44000000 PA USD 781365.78000000 0.053082161133 Long ABS-MBS USGA US N 2 2061-07-16 Variable 0.77200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BB81 707220.34000000 PA USD 1505.91000000 0.000102304143 Long ABS-MBS USGA US N 3 2050-09-16 Variable 1.46400000 N N N N N N Madison Park Funding Ltd 254900Q2IOW6JYPYIV98 55818RBA3 4685000.00000000 PA USD 4659579.19000000 0.316548970675 Long ABS-CBDO CORP KY N 2 2030-10-22 Floating 1.95900000 N N N N N N Marlette Funding Trust N/A 57108TAB3 1585000.00000000 PA USD 1535314.21000000 0.104301721898 Long ABS-O CORP US N 2 2031-09-15 Fixed 1.06000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BKRK8 68956403.09000000 PA USD 257065.33000000 0.017463758483 Long ABS-MBS USGSE US N 3 2025-05-25 Variable 0.11400000 N N N N N N Tricon American Homes N/A 89613GAC0 1275000.00000000 PA USD 1172085.44000000 0.079625739674 Long ABS-O CORP US N 2 2038-07-17 Fixed 2.24900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B6D9 253715.54000000 PA USD 252259.97000000 0.017137305878 Long ABS-MBS USGA US N 3 2063-08-20 Floating 0.70600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AJZC3 13906667.11000000 PA USD 2128062.17000000 0.144570112874 Long ABS-MBS USGSE US N 2 2044-04-25 Floating 5.59300000 N N N N N N Santander Drive Auto Receivables Trust N/A 80287EAE5 1790000.00000000 PA USD 1736872.98000000 0.117994636767 Long ABS-O CORP US N 2 2027-09-15 Fixed 0.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397NNR2 860201.77000000 PA USD 834745.40000000 0.056708510870 Long ABS-MBS USGSE US N 3 2039-03-25 Variable 2.34100000 N N N N N N GS Mortgage Securities Trust N/A 36261PAT9 5000000.00000000 PA USD 4869050.00000000 0.330779390760 Long ABS-MBS CORP US N 2 2052-11-10 Fixed 3.04800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KBF4 5972723.40000000 PA USD 194187.51000000 0.013192147595 Long ABS-MBS USGA US N 3 2056-07-16 Variable 0.84300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AKRD4 5881540.02000000 PA USD 5468680.32000000 0.371515335540 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Towd Point Mortgage Trust N/A 89169DAB7 5570000.00000000 PA USD 5527852.37000000 0.375535194578 Long ABS-O CORP US N 2 2057-07-25 Variable 3.00000000 N N N N N N United Auto Credit Securitization Trust N/A 90945BAE4 741053.45000000 PA USD 740997.87000000 0.050339763196 Long ABS-O CORP US N 2 2025-02-10 Fixed 2.15000000 N N N N N N CAL Funding IV Ltd N/A 12807CAA1 3263150.00000000 PA USD 3033507.45000000 0.206081627047 Long ABS-O CORP BM N 2 2045-09-25 Fixed 2.22000000 N N N N N N OCP CLO Ltd 254900K70GBA8CMARX66 670898AE5 5280000.00000000 PA USD 5222305.44000000 0.354777833829 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 1.79100000 N N N N N N DT Auto Owner Trust N/A 26253AAC0 1260000.00000000 PA USD 1237290.14000000 0.084055427383 Long ABS-O CORP US N 2 2026-06-15 Fixed 1.47000000 N N N N N N Greystone Commercial Real Estate Notes N/A 39809XAA6 2675000.00000000 PA USD 2662662.90000000 0.180888266060 Long ABS-CBDO CORP KY N 2 2039-12-15 Floating 2.19700000 N N N N N N Massachusetts Educational Financing Authority 5493007K5OP7V6CL0Y88 57563NAB4 1345293.33000000 PA USD 1326915.28000000 0.090144120086 Long ABS-O CORP US N 2 2033-05-25 Fixed 3.85000000 N N N N N N CoreVest American Finance Ltd N/A 21872NAA8 1921893.83000000 PA USD 1876561.74000000 0.127484406420 Long ABS-O CORP US N 2 2052-10-15 Fixed 2.70500000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FFPD5 26295.32000000 PA USD 6589.16000000 0.000447635232 Long ABS-MBS USGSE US N 3 2038-01-25 Fixed 6.00000000 N N N N N N Voya CLO Ltd 5493003QPCHR7P2XIW55 92916XAL1 1315000.00000000 PA USD 1291301.07000000 0.087724665226 Long ABS-CBDO CORP KY N 2 2031-10-18 Floating 1.94100000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FER46 207634.62000000 PA USD 13849.02000000 0.000940834536 Long ABS-MBS USGSE US N 3 2036-09-25 Variable 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B7G1 6546061.04000000 PA USD 334386.02000000 0.022716547165 Long ABS-MBS USGA US N 3 2063-07-20 Variable 1.63400000 N N N N N N Hudsons Bay Simon JV Trust N/A 44422PBN1 5885000.00000000 PA USD 5389707.22000000 0.366150290222 Long ABS-MBS CORP US N 2 2034-08-05 Fixed 4.15500000 N N N N N N Castlelake Aircraft Securitization Trust 549300MHTIBONNXM3R82 14855MAA6 1704601.93000000 PA USD 1543023.22000000 0.104825434251 Long ABS-O CORP US N 2 2039-04-15 Fixed 3.96700000 N N N N N N Tricon American Homes N/A 89613FAA6 2891418.34000000 PA USD 2870116.97000000 0.194981678715 Long ABS-O CORP US N 2 2036-01-17 Fixed 2.92800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380XAG2 38790777.46000000 PA USD 1475302.49000000 0.100224819796 Long ABS-MBS USGA US N 2 2058-05-16 Variable 0.47000000 N N N N N N GLS Auto Receivables Trust N/A 36258XAB6 4965428.07000000 PA USD 4965770.68000000 0.337350119671 Long ABS-O CORP US N 2 2024-11-15 Fixed 2.43000000 N N N N N N Brex Inc N/A 05601DAA1 850000.00000000 PA USD 840331.51000000 0.057088003802 Long ABS-O CORP US N 2 2024-07-15 Fixed 2.09000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNBV3 96388600.75000000 PA USD 92089151.55000000 6.256085570151 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46641WAZ0 2405000.00000000 PA USD 2424302.53000000 0.164695230875 Long ABS-MBS CORP US N 2 2047-04-15 Variable 4.24300000 N N N N N N COMM Mortgage Trust N/A 12624NAC4 2424000.00000000 PA USD 2389947.89000000 0.162361345026 Long ABS-MBS CORP US N 2 2030-10-05 Fixed 3.40000000 N N N N N N Navient Student Loan Trust N/A 63935BAB9 945000.00000000 PA USD 894652.95000000 0.060778336172 Long ABS-O CORP US N 2 2069-01-15 Fixed 2.78000000 N N N N N N ADAMS OUTDOOR ADVERTISING 549300BTFXNHDCUHER30 006346AS9 2533572.17000000 PA USD 2564780.46000000 0.174238612869 Long ABS-O CORP US N 2 2048-11-15 Fixed 4.81000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380NJB6 11877715.92000000 PA USD 786294.10000000 0.053416967038 Long ABS-MBS USGA US N 2 2061-08-16 Variable 0.94800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KGH5 14237668.53000000 PA USD 349296.99000000 0.023729525378 Long ABS-MBS USGA US N 2 2049-09-16 Variable 0.61600000 N N N N N N Dell Equipment Finance Trust N/A 24704GAE3 740000.00000000 PA USD 728173.47000000 0.049468536321 Long ABS-O CORP US N 2 2024-01-22 Fixed 1.37000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LQA4 2678160.30000000 PA USD 2676729.09000000 0.181843854062 Long ABS-MBS USGA US N 2 2068-12-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B7Q9 973163.08000000 PA USD 21640.40000000 0.001470142702 Long ABS-MBS USGA US N 3 2063-08-20 Variable 1.31200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380P3W2 34387377.73000000 PA USD 2669330.51000000 0.181341230801 Long ABS-MBS USGA US N 2 2060-08-16 Variable 1.01200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378X4A6 7968223.62000000 PA USD 105915.54000000 0.007195382629 Long ABS-MBS USGA US N 3 2051-02-16 Variable 0.50300000 N N N N N N American Credit Acceptance Receivables Trust N/A 02529VAE9 2688719.14000000 PA USD 2690012.41000000 0.182746257713 Long ABS-O CORP US N 2 2026-03-13 Fixed 2.19000000 N N N N N N Carvana Auto Receivables Trust N/A 14687BAK2 4455000.00000000 PA USD 4089774.65000000 0.277839243194 Long ABS-O CORP US N 2 2027-03-10 Fixed 1.53000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380MQR5 12739408.07000000 PA USD 781118.08000000 0.053065333610 Long ABS-MBS USGA US N 2 2060-10-16 Variable 0.47100000 N N N N N N General Motors N/A 361886CK8 565000.00000000 PA USD 557025.59000000 0.037841588256 Long ABS-O CORP US N 2 2025-08-15 Fixed 1.48000000 N N N N N N Progress Residential Trust N/A 74333FAC3 830000.00000000 PA USD 754001.63000000 0.051223174911 Long ABS-O CORP US N 2 2038-07-17 Fixed 1.80800000 N N N N N N WF-RBS Commercial Mortgage Trust 549300UVB571ELWL8972 92890FAV8 1915757.54000000 PA USD 1932319.26000000 0.131272299026 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 3.63800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FQKQ5 18368768.58000000 PA USD 769357.50000000 0.052266377450 Long ABS-MBS USGSE US N 2 2029-11-25 Variable 0.63900000 N N N N N N Oak Hill Credit Partners N/A 67112RAU8 4205000.00000000 PA USD 4166894.29000000 0.283078373524 Long ABS-CBDO CORP KY N 2 2035-07-02 Floating 1.90400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379Y6J2 20020501.39000000 PA USD 568556.21000000 0.038624922060 Long ABS-MBS USGA US N 2 2056-07-16 Variable 0.67500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378N8E6 5507537.23000000 PA USD 101937.57000000 0.006925138846 Long ABS-MBS USGA US N 3 2056-04-16 Variable 0.54900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KMTX8 5261566.89000000 PA USD 4900126.60000000 0.332890582638 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N Sierra Receivables Funding Co LLC N/A 826525AA5 2541485.86000000 PA USD 2445399.90000000 0.166128482781 Long ABS-O CORP US N 2 2037-07-20 Fixed 1.33000000 N N N N N N Mill City Mortgage Trust N/A 59980MAG6 539186.59000000 PA USD 532467.95000000 0.036173262566 Long ABS-O CORP US N 2 2058-05-25 Variable 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31394MWC0 31357.36000000 PA USD 30894.63000000 0.002098829728 Long ABS-MBS USGSE US N 3 2033-11-15 Floating 8.72900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ASUC8 10367496.17000000 PA USD 1312408.90000000 0.089158627734 Long ABS-MBS USGSE US N 2 2034-10-25 Floating 5.64300000 N N N N N N Bank N/A 06540JBG6 3649000.00000000 PA USD 3404966.92000000 0.231316762686 Long ABS-MBS CORP US N 2 2063-03-15 Fixed 2.40300000 N N N N N N SLM Student Loan Trust 549300IQIXBXDNPLSE92 78443CBB9 150000.00000000 PA USD 149096.70000000 0.010128898982 Long ABS-O CORP US N 2 2032-09-15 Variable 3.61000000 N N N N N N SLM Student Loan Trust 549300IQIXBXDNPLSE92 78443CBA1 210000.00000000 PA USD 208735.38000000 0.014180458575 Long ABS-O CORP US N 2 2032-09-15 Variable 3.60100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBTH3 18004455.07000000 PA USD 16732461.56000000 1.136721422194 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KNN87 8563570.77000000 PA USD 7975626.06000000 0.541824941017 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEN24 112455.99000000 PA USD 20309.60000000 0.001379734674 Long ABS-MBS USGSE US N 3 2035-11-25 Variable 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNGH9 42082305.32000000 PA USD 41211039.58000000 2.799676028151 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H6RQ0 395000.00000000 PA USD 14318.75000000 0.000972745689 Long ABS-MBS USGSE US N 3 2052-04-25 Variable 0.92900000 N N N N N N Towd Point Mortgage Trust N/A 89177JAB4 5530000.00000000 PA USD 5483929.57000000 0.372551294839 Long ABS-O CORP US N 2 2058-12-25 Variable 3.75000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FCQH2 755716.17000000 PA USD 141055.04000000 0.009582588019 Long ABS-MBS USGSE US N 3 2035-06-25 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RTB2 17866355.43000000 PA USD 737237.29000000 0.050084287824 Long ABS-MBS USGA US N 2 2066-04-20 Variable 1.76800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BN6H2 9375831.37000000 PA USD 257099.55000000 0.017466083222 Long ABS-MBS USGSE US N 3 2025-12-25 Variable 0.88100000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46643PBJ8 690000.00000000 PA USD 688526.99000000 0.046775148801 Long ABS-MBS CORP US N 2 2047-11-15 Fixed 4.06500000 N N N N N N Orange Lake Timeshare Trust N/A 68504WAA5 1120200.15000000 PA USD 1122297.28000000 0.076243376126 Long ABS-O CORP US N 2 2030-11-08 Fixed 3.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RVE7 35722753.81000000 PA USD 2602588.37000000 0.176807096954 Long ABS-MBS USGA US N 2 2062-10-16 Variable 0.85200000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDC5 600000.00000000 PA USD 609399.54000000 0.041399617701 Long ABS-O CORP US N 2 2025-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RHZ6 46205822.52000000 PA USD 3538529.68000000 0.240390361926 Long ABS-MBS USGA US N 2 2062-10-16 Variable 0.96200000 N N N N N N SLM Student Loan Trust 549300BLEHJGFV7XSO25 78443CAP9 2860000.00000000 PA USD 2839802.68000000 0.192922274441 Long ABS-O CORP US N 2 2033-03-15 Variable 3.61000000 N N N N N N Stack Infrastructure Issuer LLC N/A 85236KAA0 2524679.14000000 PA USD 2535968.50000000 0.172281269532 Long ABS-O CORP US N 2 2044-02-25 Fixed 4.54000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398R2K0 2525191.07000000 PA USD 2725503.87000000 0.185157373539 Long ABS-MBS USGSE US N 2 2040-07-25 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KUNP3 5577895.39000000 PA USD 5194478.28000000 0.352887392977 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N World Omni Auto Receivables Trust N/A 98163WAE6 530000.00000000 PA USD 503828.60000000 0.034227645506 Long ABS-O CORP US N 2 2026-03-16 Fixed 1.22000000 N N N N N N Navient Student Loan Trust N/A 63942LAA0 1407826.50000000 PA USD 1327224.21000000 0.090165107276 Long ABS-O CORP US N 2 2069-07-15 Fixed 0.94000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BF2M4 13956210.34000000 PA USD 1108890.69000000 0.075332598116 Long ABS-MBS USGSE US N 2 2059-03-25 Variable 1.19900000 N N N N N N Hyundai Auto Lease Securitization Trust N/A 44891VAE1 1776000.00000000 PA USD 1720004.50000000 0.116848674919 Long ABS-O CORP US N 2 2026-03-16 Fixed 0.62000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AR4L9 1304941.29000000 PA USD 1260299.12000000 0.085618544703 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 4.50000000 N N N N N N DB Master Finance LLC 549300F17UZJL70BPB08 233046AL5 1775475.00000000 PA USD 1773861.09000000 0.120507427659 Long ABS-O CORP US N 2 2049-05-20 Fixed 4.35200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KDVE7 4656689.08000000 PA USD 4457448.87000000 0.302817227501 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RE71 32420018.69000000 PA USD 2376711.57000000 0.161462134325 Long ABS-MBS USGA US N 2 2063-02-16 Variable 0.82700000 N N N N N N Morgan Stanley Mortgage Loan Trust N/A 61745M4T7 39011.99000000 PA USD 36008.13000000 0.002446215853 Long ABS-MBS CORP US N 3 2035-07-25 Variable 2.61100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATNA8 12761866.53000000 PA USD 1592476.75000000 0.108185064676 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 5.64300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MGSW2 6705797.06000000 PA USD 6406682.50000000 0.435238605917 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FC2S4 198912.25000000 PA USD 38930.74000000 0.002644763651 Long ABS-MBS USGSE US N 3 2036-10-25 Fixed 7.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BNGU2 16309424.52000000 PA USD 608631.84000000 0.041347463926 Long ABS-MBS USGSE US N 2 2026-01-25 Variable 1.16200000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H5XW2 255103119.50000000 PA USD 3658944.04000000 0.248570723319 Long ABS-MBS USGSE US N 2 2032-01-25 Variable 0.14900000 N N N N N N COMM Mortgage Trust N/A 12630DAV6 330370.58000000 PA USD 326657.15000000 0.022191485621 Long ABS-MBS CORP US N 2 2047-02-10 Fixed 3.14700000 N N N N N N Madison Park Funding Ltd 549300FNRP3W5DX0O430 55819YAA8 1750000.00000000 PA USD 1743924.00000000 0.118473648504 Long ABS-CBDO CORP KY N 2 2030-07-29 Floating 1.49900000 N N N N N N Invitation Homes Trust N/A 46187XAC9 5974724.30000000 PA USD 5971559.49000000 0.405678481426 Long ABS-O CORP US N 2 2038-01-17 Floating 1.69100000 N N N N N N UMBS, TBA N/A 01F030652 27131000.00000000 PA USD 26475442.33000000 1.798611779305 Long ABS-MBS USGSE US N 2 2052-05-15 Fixed 3.00000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDQ4 2517000.00000000 PA USD 2447238.32000000 0.166253376025 Long ABS-O CORP US N 2 2026-03-20 Fixed 2.36000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381D6B1 22515387.67000000 PA USD 1796052.47000000 0.122015001242 Long ABS-MBS USGA US N 2 2063-11-16 Variable 0.90500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394ENN4 2460238.25000000 PA USD 2678991.32000000 0.181997538879 Long ABS-MBS USGSE US N 2 2035-07-25 Fixed 5.75000000 N N N N N N Progress Residential Trust N/A 74333VAC8 1892000.00000000 PA USD 1743922.05000000 0.118473516031 Long ABS-O CORP US N 2 2026-05-17 Fixed 1.88800000 N N N N N N Tricon American Homes N/A 89612LAA4 1694068.82000000 PA USD 1637162.85000000 0.111220819276 Long ABS-O CORP US N 2 2038-03-17 Fixed 2.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H6RP2 270000.00000000 PA USD 272700.00000000 0.018525901327 Long ABS-MBS USGSE US N 3 2047-07-25 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FRZC8 11612999.50000000 PA USD 1202793.20000000 0.081711874371 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.59100000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FX3T3 14630137.20000000 PA USD 1207861.20000000 0.082056169449 Long ABS-MBS USGSE US N 2 2030-08-25 Variable 1.24100000 N N N N N N Sierra Receivables Funding Co LLC N/A 82652QAB7 564633.14000000 PA USD 537249.22000000 0.036498078614 Long ABS-O CORP US N 2 2037-11-20 Fixed 1.34000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381DZM5 46537345.42000000 PA USD 3505285.93000000 0.238131944499 Long ABS-MBS USGA US N 2 2061-06-16 Variable 1.00600000 N N N N N N American Credit Acceptance Receivables Trust N/A 02529WAC1 1195000.00000000 PA USD 1203291.03000000 0.081745694501 Long ABS-O CORP US N 2 2026-04-13 Fixed 3.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KL2S0 6128320.06000000 PA USD 5860184.55000000 0.398112213921 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382EEL7 11096300.00000000 PA USD 2986333.90000000 0.202876887287 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 3.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEY30 121321.33000000 PA USD 27147.89000000 0.001844294577 Long ABS-MBS USGSE US N 3 2037-07-25 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RET3 38963313.35000000 PA USD 3065890.65000000 0.208281582925 Long ABS-MBS USGA US N 2 2062-09-16 Variable 0.99800000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEM90 230645.81000000 PA USD 41977.11000000 0.002851719097 Long ABS-MBS USGSE US N 3 2035-11-25 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379RY72 4514287.28000000 PA USD 237657.50000000 0.016145285642 Long ABS-MBS USGA US N 3 2056-12-16 Variable 0.98100000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BBS94 19841691.17000000 PA USD 2465328.14000000 0.167482309726 Long ABS-MBS USGSE US N 2 2034-08-25 Variable 2.12000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BXM25 4123391.27000000 PA USD 510200.27000000 0.034660505535 Long ABS-MBS USGSE US N 3 2047-04-15 Floating 5.70300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UUR9 3389.70000000 PA USD 3337.16000000 0.000226710292 Long ABS-MBS USGA US N 3 2061-04-20 Floating 0.40600000 N N N N N N Carvana Auto Receivables Trust N/A 14686KAD9 1380000.00000000 PA USD 1344058.59000000 0.091308752538 Long ABS-O CORP US N 2 2028-03-10 Fixed 1.07000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380MMQ1 12873897.14000000 PA USD 654636.38000000 0.044472786877 Long ABS-MBS USGA US N 2 2060-07-16 Variable 0.61000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95002UAP6 924000.00000000 PA USD 824186.75000000 0.055991207943 Long ABS-MBS CORP US N 2 2053-07-15 Fixed 2.39800000 N N N N N N Ford Credit Auto Owner Trust N/A 34532NAF2 2815000.00000000 PA USD 2632524.94000000 0.178840840783 Long ABS-O CORP US N 2 2028-08-15 Fixed 0.83000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397U3B3 2086567.87000000 PA USD 2171762.23000000 0.147538880749 Long ABS-MBS USGSE US N 2 2041-07-25 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BHR6 185327.18000000 PA USD 183660.40000000 0.012476987342 Long ABS-MBS USGA US N 3 2059-05-20 Floating 0.45600000 N N N N N N Bank N/A 06540AAD3 3720000.00000000 PA USD 3628753.61000000 0.246519733487 Long ABS-MBS CORP US N 2 2062-09-15 Fixed 3.01100000 N N N N N N Castlelake Aircraft Securitization Trust N/A 14856GAA8 379022.27000000 PA USD 350207.48000000 0.023791379606 Long ABS-O CORP US N 2 2046-01-15 Fixed 3.47400000 N N N N N N Morgan Stanley BAML Trust 549300PFVBG5704L7K74 61762DAY7 3905000.00000000 PA USD 3910056.58000000 0.265630078428 Long ABS-MBS CORP US N 2 2046-05-15 Fixed 3.45600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ADQR3 2076952.36000000 PA USD 214245.01000000 0.014554755831 Long ABS-MBS USGSE US N 3 2042-08-25 Floating 5.69300000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDL5 3560000.00000000 PA USD 3571430.80000000 0.242625502750 Long ABS-O CORP US N 2 2025-09-22 Fixed 3.35000000 N N N N N N Burnham Park CLO Ltd. 549300BOEG5O4MSO7220 12232KAL4 525000.00000000 PA USD 520268.18000000 0.035344469991 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 2.40400000 N N N N N N S-JETS Limited 635400FR77IW5YEET913 784309AA4 4377277.52000000 PA USD 3708606.79000000 0.251944567126 Long ABS-O CORP BM N 2 2042-08-15 Fixed 3.96700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373M8V5 4202825.73000000 PA USD 176.69000000 0.000012003452 Long ABS-MBS USGA US N 3 2049-10-16 Variable 0.02200000 N N N N N N Textainer Marine Containers Limited 549300X48KLHDDGPK024 88315LAE8 585972.40000000 PA USD 567640.90000000 0.038562740385 Long ABS-O CORP BM N 2 2045-08-21 Fixed 2.73000000 N N N N N N SLM Student Loan Trust N/A 78443CAK0 97000.00000000 PA USD 96139.61000000 0.006531253863 Long ABS-O CORP US N 2 2032-06-15 Variable 3.61300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BR92 20848695.74000000 PA USD 94005.94000000 0.006386302782 Long ABS-MBS USGA US N 3 2054-04-16 Variable 0.22000000 N N N N N N BX Trust N/A 05610FAC1 2770000.00000000 PA USD 2731244.93000000 0.185547393015 Long ABS-MBS CORP US N 2 2039-01-17 Floating 2.14100000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BLME5 44918517.83000000 PA USD 153659.51000000 0.010438873928 Long ABS-MBS USGSE US N 3 2025-08-25 Variable 0.21500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378XFB2 3002288.93000000 PA USD 63956.92000000 0.004344919652 Long ABS-MBS USGA US N 3 2056-04-16 Variable 0.73600000 N N N N N N Progress Residential Trust N/A 74333LAA4 585000.00000000 PA USD 560024.01000000 0.038045286213 Long ABS-O CORP US N 2 2037-06-17 Fixed 2.07800000 N N N N N N Mill City Mortgage Trust N/A 59982HAC4 1403123.37000000 PA USD 1339769.54000000 0.091017375504 Long ABS-MBS CORP US N 2 2060-11-25 Variable 1.12500000 N N N N N N Navient Student Loan Trust N/A 63942BAA2 2027068.46000000 PA USD 1935342.40000000 0.131477676340 Long ABS-O CORP US N 2 2069-05-15 Fixed 0.84000000 N N N N N N Towd Point Mortgage Trust N/A 89173UAB3 4036054.00000000 PA USD 3937630.79000000 0.267503335097 Long ABS-O CORP US N 2 2057-06-25 Variable 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BF31 383610.12000000 PA USD 379657.31000000 0.025792056705 Long ABS-MBS USGA US N 3 2063-01-20 Floating 0.42600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M2D90 12478572.46000000 PA USD 11597558.42000000 0.787881272214 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AUAN1 5255276.38000000 PA USD 674671.33000000 0.045833863176 Long ABS-MBS USGSE US N 2 2046-11-25 Floating 5.64300000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEV41 208097.13000000 PA USD 30599.25000000 0.002078763059 Long ABS-MBS USGSE US N 3 2037-07-25 Variable 7.00000000 N N N N N N Social Professional Loan Program LLC N/A 83390UAF4 2902547.26000000 PA USD 2843801.44000000 0.193193930595 Long ABS-O CORP US N 2 2046-02-15 Fixed 1.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ATQQ8 1255563.78000000 PA USD 115757.74000000 0.007864013454 Long ABS-MBS USGSE US N 3 2032-08-15 Floating 5.75300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATNF7 8685737.46000000 PA USD 1063151.64000000 0.072225311254 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 5.64300000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PEC3 986516.20000000 PA USD 985428.07000000 0.066945152880 Long ABS-MBS CORP US N 2 2034-05-19 Variable 2.70900000 N N N N N N COMM Mortgage Trust 549300CJNWCNIHR7IT87 12625CAC7 5595000.00000000 PA USD 5645491.52000000 0.383527021806 Long ABS-MBS CORP US N 2 2031-03-10 Fixed 3.42400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FCT38 1733061.51000000 PA USD 199881.31000000 0.013578956458 Long ABS-MBS USGSE US N 3 2047-12-15 Fixed 4.00000000 N N N N N N Hyundai Auto Receivables Trust N/A 44933FAF3 800000.00000000 PA USD 769995.20000000 0.052309699663 Long ABS-O CORP US N 2 2026-12-15 Fixed 1.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BY89 33496.95000000 PA USD 33483.67000000 0.002274716415 Long ABS-MBS USGA US N 3 2063-04-20 Fixed 3.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 257.00000000 NC USD -1112164.16000000 -0.07555498162 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT US Long Bond Future USM2 COMDTY 2022-06-21 39678226.66000000 USD -1112164.16000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137B1U83 913734.56000000 PA USD 4116.69000000 0.000279667740 Long ABS-MBS USGSE US N 3 2023-01-25 Variable 1.10900000 N N N N N N CarMax Auto Owner Trust N/A 14316NAF6 1485000.00000000 PA USD 1392361.25000000 0.094590198497 Long ABS-O CORP US N 2 2026-12-15 Fixed 0.94000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F8R88 200161.23000000 PA USD 42525.33000000 0.002888962477 Long ABS-MBS USGSE US N 2 2044-11-25 Variable 5.43600000 N N N N N N California Republic Auto Receivables Trust N/A 13057FAF8 1447232.32000000 PA USD 1452001.53000000 0.098641866786 Long ABS-O CORP US N 2 2023-10-16 Fixed 3.87000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31395XQ40 877664.36000000 PA USD 972755.77000000 0.066084258933 Long ABS-MBS USGSE US N 3 2035-05-15 Floating 17.47200000 N N N N N N Maps LTD N/A 55292RAA9 4188523.50000000 PA USD 3881144.51000000 0.263665934108 Long ABS-O CORP US N 2 2046-06-15 Fixed 2.52100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LGB3 139543.42000000 PA USD 138751.27000000 0.009426081177 Long ABS-MBS USGA US N 3 2068-06-20 Floating 0.35600000 N N N N N N Santander Drive Auto Receivables Trust N/A 80285RAF5 1265000.00000000 PA USD 1260814.12000000 0.085653531279 Long ABS-O CORP US N 2 2025-09-15 Fixed 1.46000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RAC0 2523369.25000000 PA USD 2496725.25000000 0.169615275483 Long ABS-MBS USGA US N 2 2065-04-20 Fixed 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397UJQ3 1786753.50000000 PA USD 206941.97000000 0.014058623090 Long ABS-MBS USGSE US N 3 2041-06-25 Floating 5.39300000 N N N N N N CALI Mortgage Trust 2019-101C N/A 129890AA7 510000.00000000 PA USD 515905.95000000 0.035048121467 Long ABS-MBS CORP US N 2 2039-03-10 Fixed 3.95700000 N N N N N N Firstkey Homes Trust N/A 33767WAE3 2495000.00000000 PA USD 2254246.47000000 0.153142455709 Long ABS-O CORP US N 2 2038-08-17 Fixed 1.88800000 N N N N N N Santander Drive Auto Receivables Trust N/A 80285WAF4 1105000.00000000 PA USD 1095137.88000000 0.074398299615 Long ABS-O CORP US N 2 2026-01-15 Fixed 1.12000000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22537CAA7 2775000.00000000 PA USD 2683376.99000000 0.182295479802 Long ABS-O CORP US N 2 2030-02-15 Fixed 0.96000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AUBA8 5425694.85000000 PA USD 669962.63000000 0.045513977179 Long ABS-MBS USGSE US N 2 2046-11-25 Floating 5.64300000 N N N N N N Towd Point Mortgage Trust N/A 89178BAA2 437990.50000000 PA USD 430058.27000000 0.029216050880 Long ABS-O CORP US N 2 2059-10-25 Variable 2.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133JLNT2 1820618.21000000 PA USD 1733152.09000000 0.117741857739 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H57K7 7188583.84000000 PA USD 971669.38000000 0.066010454921 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 4.50000000 N N N N N N Canadian Pacer Auto Receivables Trust 549300EBZ7BR10QAH203 13646AAG5 1370000.00000000 PA USD 1371176.42000000 0.093151004987 Long ABS-O CORP CA N 2 2025-03-19 Fixed 4.07000000 N N N N N N COMM Mortgage Trust N/A 12594CBD1 928033.27000000 PA USD 936871.95000000 0.063646488091 Long ABS-MBS CORP US N 2 2049-02-10 Fixed 3.55000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381YLF9 280000.00000000 PA USD 274257.94000000 0.018631740135 Long ABS-MBS USGA US N 3 2049-09-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397RL61 496494.49000000 PA USD 560814.72000000 0.038099003175 Long ABS-MBS USGSE US N 3 2038-02-15 Floating 15.04400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BWS7 95837.94000000 PA USD 6127.70000000 0.000416285902 Long ABS-MBS USGA US N 3 2062-10-20 Variable 1.14200000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BRQL2 27057511.91000000 PA USD 1117505.01000000 0.075917812792 Long ABS-MBS USGSE US N 2 2026-07-25 Variable 1.17400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137B3NY0 74065947.21000000 PA USD 130753.80000000 0.008882772266 Long ABS-MBS USGSE US N 3 2023-04-25 Variable 0.18400000 N N N N N N Galaxy CLO Ltd N/A 36321LAC3 1565000.00000000 PA USD 1550731.90000000 0.105349124185 Long ABS-CBDO CORP KY N 2 2031-11-22 Floating 2.18000000 N N N N N N Invitation Homes Trust N/A 46187VAC3 1581189.17000000 PA USD 1566574.24000000 0.106425375111 Long ABS-O CORP US N 2 2037-07-17 Floating 1.59100000 N N N N N N Residential Accredit Loans, Inc. N/A 74922EAT6 972.45000000 PA USD 827.85000000 0.000056240071 Long ABS-MBS CORP US N 3 2021-06-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A1R31 3571583.19000000 PA USD 3787972.91000000 0.257336312296 Long ABS-MBS USGSE US N 2 2041-08-25 Fixed 4.50000000 N N N N N N TICP CLO Ltd N/A 87248TAN5 5900000.00000000 PA USD 5842144.60000000 0.396886668143 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 1.94100000 N N N N N N SMB Private Education Loan Trust 549300INMCHM7L5O6M41 78449LAB4 1515747.38000000 PA USD 1503722.96000000 0.102155567221 Long ABS-O CORP US N 2 2037-01-15 Fixed 3.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379RZU0 25556403.04000000 PA USD 1166033.89000000 0.079214627029 Long ABS-MBS USGA US N 2 2059-01-16 Variable 0.71900000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDY7 3860000.00000000 PA USD 3657529.88000000 0.248474652220 Long ABS-O CORP US N 2 2027-02-20 Fixed 2.02000000 N N N N N N Alinea CLO LTD N/A 016269AB8 5255000.00000000 PA USD 5225487.92000000 0.354994035921 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 1.90400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381TRX5 2987506.03000000 PA USD 288870.62000000 0.019624453988 Long ABS-MBS USGA US N 3 2049-04-20 Floating 5.60100000 N N N N N N Bank N/A 06539WBB1 1770000.00000000 PA USD 1682154.72000000 0.114277346391 Long ABS-MBS CORP US N 2 2063-01-15 Fixed 2.64900000 N N N N N N Credit Suisse Mortgage Trust N/A 12660KAC5 1977288.07000000 PA USD 1900042.15000000 0.129079550383 Long ABS-MBS CORP US N 2 2060-09-27 Variable 1.66800000 N N N N N N Residential Accredit Loans, Inc. N/A 74922RAR1 20783.49000000 PA USD 17261.72000000 0.001172676646 Long ABS-MBS CORP US N 3 2021-12-25 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359KZH3 26381.13000000 PA USD 871.34000000 0.000059194568 Long ABS-MBS USGSE US N 3 2024-01-25 Floating 6.79300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380NMN6 18886956.34000000 PA USD 1110930.77000000 0.075471191151 Long ABS-MBS USGA US N 2 2061-12-16 Variable 0.64900000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BEVJ0 36426904.77000000 PA USD 508678.05000000 0.034557093369 Long ABS-MBS USGSE US N 3 2024-09-25 Variable 0.70300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133T4DB9 12811.77000000 PA USD 12930.52000000 0.000878436148 Long ABS-MBS USGSE US N 3 2024-02-15 Floating 8.39000000 N N N N N N Social Professional Loan Program LLC 549300WT845S0N68C331 83402JAC2 214413.61000000 PA USD 214810.73000000 0.014593188075 Long ABS-O CORP US N 2 2032-10-25 Fixed 2.74000000 N N N N N N TIF Funding II LLC N/A 872480AA6 1862066.67000000 PA USD 1735405.92000000 0.117894971902 Long ABS-O CORP US N 2 2045-08-20 Fixed 2.09000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BJ75 537701.25000000 PA USD 1079.45000000 0.000073332541 Long ABS-MBS USGA US N 3 2050-09-16 Variable 1.36400000 N N N N N N COMMONBOND STUDENT LOAN TRUST N/A 20267WAA3 608760.14000000 PA USD 571832.14000000 0.038847472686 Long ABS-O CORP US N 2 2050-08-25 Fixed 1.98000000 N N N N N N Chesapeake Funding II LLC 5493000HT7H4OFOD6Z12 165183CQ5 2225000.00000000 PA USD 2114188.77000000 0.143627622080 Long ABS-O CORP US N 2 2033-04-15 Fixed 0.99000000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22535GAA0 1435000.00000000 PA USD 1384789.64000000 0.094075820427 Long ABS-O CORP US N 2 2030-05-15 Fixed 1.00000000 N N N N N N DT Auto Owner Trust N/A 23345EAE5 570000.00000000 PA USD 548853.68000000 0.037286428746 Long ABS-O CORP US N 2 2027-02-16 Fixed 1.10000000 N N N N N N Progress Residential Trust N/A 74333QAE5 5450000.00000000 PA USD 4818106.29000000 0.327318524809 Long ABS-O CORP US N 2 2040-11-17 Fixed 2.36200000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BTAE1 91374380.05000000 PA USD 352515.96000000 0.023948206422 Long ABS-MBS USGSE US N 3 2026-10-25 Variable 0.07200000 N N N N N N First Investors Auto Owner Trust N/A 32059FAE9 1625000.00000000 PA USD 1552386.88000000 0.105461555414 Long ABS-O CORP US N 2 2027-03-15 Fixed 1.17000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XAY97 4127519.14000000 PA USD 3839710.37000000 0.260851101731 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N GM Financial Securitized Term Auto Receivables Tr N/A 362590AG6 1725000.00000000 PA USD 1650693.90000000 0.112140052489 Long ABS-O CORP US N 2 2027-09-16 Fixed 1.91000000 N N N N N N Navient Student Loan Trust N/A 63941GAB0 1041419.14000000 PA USD 1021537.20000000 0.069398230179 Long ABS-O CORP US N 2 2069-01-15 Fixed 2.12000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042PAE2 150000.00000000 PA USD 149002.35000000 0.010122489305 Long ABS-O CORP US N 2 2025-07-15 Fixed 2.01000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381EVR6 29031308.34000000 PA USD 2206832.32000000 0.149921370764 Long ABS-MBS USGA US N 2 2064-06-16 Variable 0.80100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F8RE5 9878734.30000000 PA USD 1803749.20000000 0.122537879352 Long ABS-MBS USGSE US N 2 2042-04-15 Variable 4.99300000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300REQJRID6TODX95 95001RAX7 5000000.00000000 PA USD 5259492.00000000 0.357304106441 Long ABS-MBS CORP US N 2 2052-01-15 Fixed 4.30200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AKX96 5838251.93000000 PA USD 5428427.55000000 0.368780759650 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FC2R6 172786.03000000 PA USD 39261.53000000 0.002667235903 Long ABS-MBS USGSE US N 3 2036-10-25 Fixed 7.00000000 N N N N N N CoreVest American Finance Ltd N/A 21872BAA4 639493.31000000 PA USD 640833.37000000 0.043535078035 Long ABS-O CORP US N 2 2051-06-15 Fixed 3.80400000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92926UAD3 763240.00000000 PA USD 711485.31000000 0.048334824529 Long ABS-MBS CORP US N 2 2036-11-25 Variable 2.82300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396YE99 311761.08000000 PA USD 478406.08000000 0.032500564109 Long ABS-MBS USGSE US N 2 2036-08-25 Floating 30.71700000 N N N N N N CCG Receivables Trust N/A 12510GAC6 1155000.00000000 PA USD 1162775.92000000 0.078993296517 Long ABS-O CORP US N 2 2026-09-14 Fixed 3.22000000 N N N N N N CarMax Auto Owner Trust N/A 14315FAG2 500000.00000000 PA USD 480493.50000000 0.032642373192 Long ABS-O CORP US N 2 2026-04-15 Fixed 1.69000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BPVP1 14597224.18000000 PA USD 930073.82000000 0.063184656461 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 0.95600000 N N N N N N Morgan Stanley Capital I Trust N/A 61691UBE8 5780000.00000000 PA USD 5620321.14000000 0.381817069565 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 3.12700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KQF8 13722646.21000000 PA USD 329766.99000000 0.022402752907 Long ABS-MBS USGA US N 3 2049-12-16 Variable 0.61100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379FAG4 2290906.40000000 PA USD 254584.05000000 0.017295192482 Long ABS-MBS USGA US N 3 2045-10-20 Fixed 4.00000000 N N N N N N Post CLO LTD 5493007CUC7FI0ONIF25 73742YAA3 3800000.00000000 PA USD 3790959.80000000 0.257539226962 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 2.09300000 N N N N N N Flagship Credit Auto Trust N/A 33845FAE6 1826000.00000000 PA USD 1824830.08000000 0.123970011009 Long ABS-O CORP US N 2 2025-12-15 Fixed 2.77000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KMF2 9946381.55000000 PA USD 256497.49000000 0.017425182217 Long ABS-MBS USGA US N 3 2055-11-16 Variable 0.66000000 N N N N N N FRESB Multifamily Mortgage Pass-Through Certifica N/A 30322KAJ2 16190950.01000000 PA USD 612278.58000000 0.041595205567 Long ABS-MBS USGSE US N 2 2041-06-25 Variable 0.65600000 N N N N N N Ford Credit Auto Owner Trust N/A 34528GAN6 3335000.00000000 PA USD 3355294.14000000 0.227942237490 Long ABS-O CORP US N 2 2026-10-15 Fixed 3.49000000 N N N N N N Morgan Stanley Capital I Trust N/A 61690LAC4 3285000.00000000 PA USD 3171467.77000000 0.215453974959 Long ABS-MBS CORP US N 2 2035-02-05 Variable 3.70500000 N N N N N N Mission Lane Credit Card Master Trust N/A 60510MAA6 1655000.00000000 PA USD 1613595.38000000 0.109619760883 Long ABS-O CORP US N 2 2026-09-15 Fixed 1.59000000 N N N N N N Harbour Aircraft Investments Limited N/A 000000000 2680340.45000000 PA USD 2501639.47000000 0.169949123502 Long LON CORP US N 2 2037-11-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38383CV72 59039942.30000000 PA USD 4166525.48000000 0.283053318380 Long ABS-MBS USGA US N 2 2063-05-16 Variable 0.76800000 N N N N N N Allegro CLO Ltd 635400EGZEWLZ9KRXG08 01750LAC7 595000.00000000 PA USD 586321.93000000 0.039831837996 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 1.91100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BAM4 230931.81000000 PA USD 231028.64000000 0.015694953386 Long ABS-MBS USGA US N 2 2060-02-20 Floating 0.91100000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FC2P0 373940.80000000 PA USD 76269.97000000 0.005181407915 Long ABS-MBS USGSE US N 3 2036-09-25 Fixed 6.50000000 N N N N N N Dell Equipment Finance Trust N/A 24703NAE9 1000000.00000000 PA USD 1010247.40000000 0.068631256505 Long ABS-O CORP US N 2 2023-06-22 Fixed 4.26000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BSRG0 25043800.77000000 PA USD 290568.19000000 0.019739778573 Long ABS-MBS USGSE US N 3 2026-09-25 Variable 0.30800000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 5493003CHVRASC16O965 92938CAF4 1875000.00000000 PA USD 1886819.06000000 0.128181238463 Long ABS-MBS CORP US N 2 2046-08-15 Variable 4.35800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382KYW7 4075853.00000000 PA USD 1022190.10000000 0.069442585005 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 3.00000000 N N N N N N Navient Student Loan Trust N/A 63941HAB8 1565000.00000000 PA USD 1506739.90000000 0.102360523337 Long ABS-O CORP US N 2 2069-05-15 Fixed 3.33000000 N N N N N N JPMorgan Chase Bank, NA - CACLN N/A 46591HBR0 3361986.22000000 PA USD 3302642.79000000 0.224365362848 Long ABS-O CORP US N 2 2028-09-25 Fixed 0.87500000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22535KAC7 2360000.00000000 PA USD 2358232.83000000 0.160206779305 Long ABS-O CORP US N 2 2029-01-16 Fixed 2.86000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397ME86 764780.04000000 PA USD 763668.43000000 0.051879889920 Long ABS-MBS USGSE US N 2 2038-08-25 Variable 3.43400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B8GL5 4015668.05000000 PA USD 201532.20000000 0.013691109833 Long ABS-MBS USGSE US N 3 2039-06-15 Floating 1.42700000 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 85571XAA5 1861317.39000000 PA USD 1305301.50000000 0.088675785816 Long ABS-MBS CORP US N 2 2027-11-15 Floating 1.86700000 N N N N N N GS Mortgage Securities Trust N/A 36252RBC2 1295000.00000000 PA USD 1205253.39000000 0.081879007620 Long ABS-MBS CORP US N 2 2047-01-10 Variable 4.88500000 N N N N N N CLI Funding LLC 549300NQLBWJD5AREU05 12563LAS6 2540425.00000000 PA USD 2348442.54000000 0.159541674991 Long ABS-O CORP US N 2 2045-10-18 Fixed 2.07000000 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 85571XAL1 6500000.00000000 PA USD 4078242.22000000 0.277055786427 Long ABS-MBS CORP US N 3 2027-11-15 Floating 2.29700000 N N N N N N Hilton Grand Vacations Trust N/A 43285HAA6 453366.09000000 PA USD 443706.22000000 0.030143225706 Long ABS-O CORP US N 2 2039-02-25 Fixed 2.74000000 N N N N N N Santander Retail Auto Lease Trust N/A 80286DAF5 3980000.00000000 PA USD 3810619.16000000 0.258874787517 Long ABS-O CORP US N 2 2025-06-20 Fixed 1.10000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H2NZ3 9534304.35000000 PA USD 958560.84000000 0.065119924967 Long ABS-MBS USGSE US N 2 2036-08-25 Variable 0.98100000 N N N N N N COMM Mortgage Trust N/A 12591UAE3 730833.06000000 PA USD 733833.20000000 0.049853030635 Long ABS-MBS CORP US N 2 2047-03-10 Fixed 3.69100000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BSP98 8412751.41000000 PA USD 285554.36000000 0.019399163539 Long ABS-MBS USGSE US N 3 2026-08-25 Variable 0.92000000 N N N N N N Firstkey Homes Trust N/A 33767TAE0 5430000.00000000 PA USD 4897875.75000000 0.332737670922 Long ABS-O CORP US N 2 2038-09-17 Fixed 1.70700000 N N N N N N BENCHMARK Mortgage Trust N/A 08162BBE1 4630000.00000000 PA USD 4666629.78000000 0.317027953200 Long ABS-MBS CORP US N 2 2052-05-15 Fixed 3.54200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380MDL2 12109155.54000000 PA USD 640866.16000000 0.043537305627 Long ABS-MBS USGA US N 2 2060-01-16 Variable 0.63900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KQTT8 1447879.49000000 PA USD 1333373.22000000 0.090582840876 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92939KBR8 535000.00000000 PA USD 508805.65000000 0.034565761888 Long ABS-MBS CORP US N 2 2047-11-15 Variable 4.20400000 N N N N N N Merlin Aviation Holdings DAC N/A 59010RAA2 673977.49000000 PA USD 546726.02000000 0.037141885954 Long ABS-O CORP US N 2 2032-12-15 Variable 4.50000000 N N N N N N Progress Residential Trust N/A 74333HAE5 1715000.00000000 PA USD 1559206.66000000 0.105924857839 Long ABS-O CORP US N 2 2038-07-17 Fixed 1.85500000 N N N N N N Springcastle SPV N/A 85022WAP9 3463930.18000000 PA USD 3348352.69000000 0.227470669401 Long ABS-O CORP US N 2 2037-09-25 Fixed 1.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KQ5D9 4594658.95000000 PA USD 4393706.26000000 0.298486867019 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N HPEFS Equipment Trust N/A 40441JAE1 1455000.00000000 PA USD 1392164.37000000 0.094576823435 Long ABS-O CORP US N 2 2028-09-20 Fixed 0.88000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133JLMB2 7457973.44000000 PA USD 7098011.44000000 0.482204105468 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N Ford Credit Auto Owner Trust N/A 34533GAG4 1650000.00000000 PA USD 1597099.35000000 0.108499101462 Long ABS-O CORP US N 2 2026-12-15 Fixed 2.04000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KMUW8 10810301.46000000 PA USD 10068060.86000000 0.683974705005 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N Mill City Mortgage Trust N/A 599808BJ0 4006000.00000000 PA USD 3978950.29000000 0.270310379394 Long ABS-O CORP US N 2 2057-09-25 Variable 3.61900000 N N N N N N OneMain Financial Issuance Trust N/A 68269LAA4 5950000.00000000 PA USD 5996987.15000000 0.407405912010 Long ABS-O CORP US N 2 2032-05-14 Fixed 3.84000000 N N N N N N Onslow Bay Financial LLC N/A 67097VAC8 270942.18000000 PA USD 267611.89000000 0.018180240074 Long ABS-MBS CORP US N 2 2048-04-25 Variable 4.00000000 N N N N N N Diamond Resorts Owner Trust N/A 252724AA7 810825.55000000 PA USD 812652.26000000 0.055207611230 Long ABS-O CORP US N 2 2031-01-21 Fixed 3.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AQB80 1671000.89000000 PA USD 2231874.01000000 0.151622580437 Long ABS-MBS USGSE US N 2 2040-08-15 Floating 22.01700000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07332BAA7 454306.23000000 PA USD 448864.10000000 0.030493626792 Long ABS-O CORP US N 2 2057-03-28 Variable 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RGX2 40172247.55000000 PA USD 3374862.48000000 0.229271614593 Long ABS-MBS USGA US N 2 2062-09-16 Variable 1.19400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BLN0 68904.29000000 PA USD 68714.64000000 0.004668135828 Long ABS-MBS USGA US N 2 2061-03-20 Floating 0.60600000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BMTY2 16402204.08000000 PA USD 321506.33000000 0.021841564157 Long ABS-MBS USGSE US N 3 2025-11-25 Variable 0.64400000 N N N N N N Social Professional Loan Program LLC N/A 83401BAB2 760840.80000000 PA USD 761519.77000000 0.051733920492 Long ABS-O CORP US N 2 2041-01-25 Fixed 2.84000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AXTW2 9953890.16000000 PA USD 9251147.80000000 0.628477635907 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N WENDYS FUNDING LLC 5493009DRVSTWJOXUL48 95058XAE8 3547537.50000000 PA USD 3508592.63000000 0.238356585489 Long ABS-O CORP US N 2 2048-03-15 Fixed 3.88400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376GL32 982867.60000000 PA USD 8744.50000000 0.000594058467 Long ABS-MBS USGA US N 3 2053-04-16 Variable 0.53000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LRU9 4509304.96000000 PA USD 4512136.80000000 0.306532457405 Long ABS-MBS USGA US N 2 2068-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RZJ8 88116.42000000 PA USD 87517.16000000 0.005945486874 Long ABS-MBS USGA US N 3 2066-08-20 Floating 0.50600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AWM51 5595226.26000000 PA USD 868671.19000000 0.059013262751 Long ABS-MBS USGSE US N 2 2042-11-15 Floating 5.75300000 N N N N N N WF-RBS Commercial Mortgage Trust 549300UVB571ELWL8972 92890FAT3 719688.98000000 PA USD 710906.90000000 0.048295530189 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 3.72300000 N N N N N N COMM Mortgage Trust N/A 12591UAF0 1300000.00000000 PA USD 1314863.03000000 0.089325349297 Long ABS-MBS CORP US N 2 2047-03-10 Fixed 3.96100000 N N N N N N Welk Resorts LLC N/A 94946DAA9 1340667.92000000 PA USD 1325483.52000000 0.090046853330 Long ABS-O CORP US N 2 2038-06-15 Fixed 2.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RZR0 37611.81000000 PA USD 36218.08000000 0.002460478827 Long ABS-MBS USGA US N 3 2061-06-20 Variable 5.13800000 N N N N N N AGL CLO 3 Ltd. 549300LS0REDUXQSHW18 00119MAA7 3000000.00000000 PA USD 2973594.00000000 0.202011400928 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 1.54100000 N N N N N N GS Mortgage Securities Trust N/A 36253BBB8 2373000.00000000 PA USD 2346092.08000000 0.159381996260 Long ABS-MBS CORP US N 2 2047-06-10 Variable 4.68800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A36Q9 1099444.94000000 PA USD 124031.76000000 0.008426109817 Long ABS-MBS USGSE US N 3 2042-03-25 Floating 5.49300000 N N N N N N Willis Engine Securitization Trust N/A 97064GAA1 1963969.58000000 PA USD 1755773.09000000 0.119278617599 Long ABS-O CORP US N 2 2046-05-15 Fixed 3.10400000 N N N N N N Social Professional Loan Program LLC N/A 83406TAB8 4962917.58000000 PA USD 4892070.94000000 0.332343320583 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54000000 N N N N N N Flagship Credit Auto Trust N/A 33843FAE8 3500000.00000000 PA USD 3470982.90000000 0.235801564781 Long ABS-O CORP US N 2 2026-01-15 Fixed 2.24000000 N N N N N N Palmer Square CLO Ltd 5493006ZPBFJJGSXB826 69689ABL3 575000.00000000 PA USD 567790.65000000 0.038572913666 Long ABS-CBDO CORP KY N 2 2034-05-21 Floating 2.18000000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12597DAD7 2405000.00000000 PA USD 2310269.46000000 0.156948383046 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 2.96800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BLDL9 1460265.13000000 PA USD 185522.73000000 0.012603504914 Long ABS-MBS USGSE US N 3 2044-03-15 Fixed 4.50000000 N N N N N N Vibrant CLO Ltd N/A 92558KAA6 3000000.00000000 PA USD 2970087.00000000 0.201773152538 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 1.45400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JVVH2 2681481.91000000 PA USD 2635299.52000000 0.179029332148 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FET44 798765.82000000 PA USD 145743.47000000 0.009901096972 Long ABS-MBS USGSE US N 3 2036-05-25 Variable 5.50000000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36192RAA0 3690000.00000000 PA USD 3684279.76000000 0.250291907949 Long ABS-MBS CORP US N 2 2034-11-05 Fixed 2.95400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FEMJ0 3992024.76000000 PA USD 3819707.81000000 0.259492225849 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FF5G8 1166239.00000000 PA USD 317727.47000000 0.021584846932 Long ABS-MBS USGSE US N 3 2043-09-25 Fixed 4.00000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05493BAA6 4045000.00000000 PA USD 4041337.25000000 0.274548643659 Long ABS-MBS CORP US N 2 2037-10-15 Floating 2.53700000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FAB74 85170.83000000 PA USD 18750.12000000 0.001273791246 Long ABS-MBS USGSE US N 3 2033-02-25 Variable 7.00000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162DAE8 5185000.00000000 PA USD 5030564.78000000 0.341751913229 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 2.95200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378U8M2 629304.06000000 PA USD 631386.02000000 0.042893271383 Long ABS-MBS USGA US N 3 2064-11-20 Variable 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FYQ41 16646533.96000000 PA USD 1234641.80000000 0.083875512145 Long ABS-MBS USGSE US N 2 2048-12-15 Variable 1.62000000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22534GAC7 910000.00000000 PA USD 898613.17000000 0.061047374108 Long ABS-O CORP US N 2 2029-04-16 Fixed 2.39000000 N N N N N N WAVE 2017-1 LLC N/A 94353WAA3 4154360.13000000 PA USD 3914383.93000000 0.265924057376 Long ABS-O CORP US N 2 2042-11-15 Fixed 3.84400000 N N N N N N College Ave Student Loans N/A 19424KAB9 670584.26000000 PA USD 619563.12000000 0.042090081508 Long ABS-O CORP US N 2 2051-07-25 Fixed 1.60000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796P29 11100000.00000000 PA USD 11099433.79000000 0.754041126470 Long STIV UST US N 2 2022-04-14 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380JDW5 26694467.45000000 PA USD 1116015.60000000 0.075816629578 Long ABS-MBS USGA US N 2 2059-12-16 Variable 0.58700000 N N N N N N GREAT AMERICA LEASING RECEIVABLES N/A 39154TBL1 812000.00000000 PA USD 768834.08000000 0.052230818861 Long ABS-O CORP US N 2 2026-12-15 Fixed 0.72000000 N N N N N N Towd Point Mortgage Trust N/A 89169EAD1 2167000.00000000 PA USD 2167137.82000000 0.147224721001 Long ABS-O CORP US N 2 2057-02-25 Floating 1.95700000 N N N N N N Gosforth Funding plc 213800GD24WOLHNGMP34 38312RAA1 162358.70000000 PA USD 162339.22000000 0.011028530881 Long ABS-MBS CORP GB N 2 2060-08-25 Floating 0.94800000 N N N N N N Horizon Aircraft Finance II LLC 549300KSCDSEIWTVMM32 44040HAA0 650758.11000000 PA USD 580029.36000000 0.039404351634 Long ABS-O CORP KY N 2 2039-07-15 Fixed 3.72100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RMB9 3568.73000000 PA USD 3534.35000000 0.000240106414 Long ABS-MBS USGA US N 3 2065-10-20 Floating 0.80600000 N N N N N N LCM Ltd Partnership N/A 50200YAS7 3005000.00000000 PA USD 2970833.15000000 0.201823842311 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.75400000 N N N N N N Hayfin Kingsland VIII Ltd N/A 42086PAE3 3497500.00000000 PA USD 3439511.45000000 0.233663548730 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.73400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379US56 10560292.99000000 PA USD 483592.14000000 0.032852879606 Long ABS-MBS USGA US N 3 2056-10-16 Fixed 0.85600000 N N N N N N Textainer Marine Containers Limited 549300X48KLHDDGPK024 88315LAQ1 7070466.67000000 PA USD 6550708.89000000 0.445023052891 Long ABS-O CORP BM N 2 2046-04-20 Fixed 2.23000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L7N99 8379615.32000000 PA USD 7792708.82000000 0.529398440322 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397RC38 1067351.87000000 PA USD 141328.62000000 0.009601173703 Long ABS-MBS USGSE US N 3 2038-02-15 Floating 5.85300000 N N N N N N Flagship Credit Auto Trust N/A 33844WAC4 885000.00000000 PA USD 846979.60000000 0.057539642450 Long ABS-O CORP US N 2 2027-06-15 Fixed 0.93000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380JLX4 11532962.98000000 PA USD 604742.45000000 0.041083237834 Long ABS-MBS USGA US N 2 2059-12-16 Variable 0.70700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396RGA9 3246031.55000000 PA USD 507434.78000000 0.034472631700 Long ABS-MBS USGSE US N 3 2036-05-15 Floating 6.80300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RTF7 43990991.86000000 PA USD 3306978.82000000 0.224659931472 Long ABS-MBS USGA US N 2 2063-03-16 Variable 0.97100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394DR36 1352894.52000000 PA USD 1802930.96000000 0.122482292137 Long ABS-MBS USGSE US N 2 2035-06-25 Floating 22.74600000 N N N N N N Progress Residential Trust N/A 74333DAE4 2670000.00000000 PA USD 2448789.70000000 0.166358769178 Long ABS-O CORP US N 2 2038-04-19 Fixed 1.99700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BAY5 5114955.98000000 PA USD 22374.51000000 0.001520014538 Long ABS-MBS USGA US N 3 2045-04-16 Variable 0.22700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380N6M6 36949797.53000000 PA USD 2163691.46000000 0.146990592196 Long ABS-MBS USGA US N 2 2061-10-15 Variable 0.73700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B4X7 8584194.48000000 PA USD 193439.50000000 0.013141331462 Long ABS-MBS USGA US N 3 2063-07-20 Variable 1.53900000 N N N N N N Bank N/A 06539VAJ7 5300000.00000000 PA USD 5113210.51000000 0.347366459027 Long ABS-MBS CORP US N 2 2055-02-15 Fixed 2.92800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382YHA4 6228728.63000000 PA USD 221352.95000000 0.015037634434 Long ABS-MBS USGA US N 3 2070-03-20 Variable 4.19500000 N N N N N N Prestige Auto Receivables Trust N/A 74114BAG8 2610000.00000000 PA USD 2584706.49000000 0.175592289677 Long ABS-O CORP US N 2 2026-11-16 Fixed 1.31000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382KYU1 9563378.90000000 PA USD 2338344.64000000 0.158855673161 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 3.00000000 N N N N N N Navient Student Loan Trust N/A 63941JAA6 1287161.74000000 PA USD 1255745.98000000 0.085309226689 Long ABS-O CORP US N 2 2068-10-15 Fixed 2.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396KPJ5 49374.46000000 PA USD 5523.30000000 0.000375225928 Long ABS-MBS USGSE US N 3 2036-08-25 Floating 6.84300000 N N N N N N Westlake Automobile Receivables Trust N/A 96042RAE8 2290000.00000000 PA USD 2184625.65000000 0.148412758453 Long ABS-O CORP US N 2 2026-07-15 Fixed 0.89000000 N N N N N N Triton Container Finance LLC N/A 89680HAE2 4305075.00000000 PA USD 3895121.22000000 0.264615443277 Long ABS-O CORP US N 2 2046-03-20 Fixed 1.86000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UTH3 15914009.43000000 PA USD 16361517.74000000 1.111521317290 Long ABS-MBS USGA US N 2 2064-10-20 Variable 4.59500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137A63Z3 68460.94000000 PA USD 68220.96000000 0.004634597629 Long ABS-MBS USGSE US N 3 2040-11-15 Floating 0.79700000 N N N N N N Progress Residential Trust N/A 74333AAC4 1120000.00000000 PA USD 1025884.50000000 0.069693564432 Long ABS-O CORP US N 2 2027-10-17 Fixed 1.49500000 N N N N N N DROP Mortgage Trust 2021-FILE N/A 26210YAA4 5365000.00000000 PA USD 5308046.23000000 0.360602642833 Long ABS-MBS CORP US N 2 2026-04-15 Floating 1.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397MA80 202496.10000000 PA USD 206500.55000000 0.014028635179 Long ABS-MBS USGSE US N 3 2038-11-25 Variable 4.12000000 N N N N N N Ajax Mortgage Loan Trust N/A 00968FAA4 2060471.86000000 PA USD 2063669.09000000 0.140195562650 Long ABS-O CORP US N 2 2065-09-25 Variable 2.95600000 N N N N N N WF-RBS Commercial Mortgage Trust 549300UVB571ELWL8972 92890FAU0 1635000.00000000 PA USD 1648440.52000000 0.111986968897 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 3.99500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L6RP1 5929724.49000000 PA USD 5516266.74000000 0.374748123664 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379VRP1 633773.72000000 PA USD 665524.42000000 0.045212466946 Long ABS-MBS USGA US N 3 2037-07-20 Variable 5.63800000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FC2M7 161761.10000000 PA USD 32781.66000000 0.002227025297 Long ABS-MBS USGSE US N 3 2036-08-25 Fixed 6.50000000 N N N N N N SLM Student Loan Trust 549300BLEHJGFV7XSO25 78443CAN4 193000.00000000 PA USD 191637.03000000 0.013018880486 Long ABS-O CORP US N 2 2033-03-15 Variable 3.60500000 N N N N N N Tricon American Homes N/A 89613JAC4 1305000.00000000 PA USD 1165050.10000000 0.079147793159 Long ABS-O CORP US N 2 2039-11-17 Fixed 1.83200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BU67 4601.49000000 PA USD 4509.88000000 0.000306379141 Long ABS-MBS USGA US N 3 2063-04-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RFZ4 11985.24000000 PA USD 11757.75000000 0.000798763902 Long ABS-MBS USGA US N 3 2063-04-20 Floating 0.30600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BVA7 357371.30000000 PA USD 369095.79000000 0.025074558804 Long ABS-MBS USGA US N 3 2061-01-20 Variable 5.31000000 N N N N N N Flagship Credit Auto Trust N/A 33843WAE1 1690000.00000000 PA USD 1616932.85000000 0.109846492236 Long ABS-O CORP US N 2 2027-03-15 Fixed 0.91000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L04X2 26068560.94000000 PA USD 24271426.67000000 1.648881758615 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Hyundai Auto Receivables Trust N/A 44935FAG9 4230000.00000000 PA USD 3967353.80000000 0.269522570705 Long ABS-O CORP US N 2 2028-06-15 Fixed 1.66000000 N N N N N N GS Mortgage Securities Trust N/A 36252WAX6 1416000.00000000 PA USD 1430514.57000000 0.097182148044 Long ABS-MBS CORP US N 2 2047-04-10 Fixed 3.99800000 N N N N N N Flagship Credit Auto Trust N/A 33844QAE3 750000.00000000 PA USD 754918.50000000 0.051285462565 Long ABS-O CORP US N 2 2026-04-15 Fixed 3.80000000 N N N N N N COMM Mortgage Trust N/A 12629NAF2 3110000.00000000 PA USD 3105246.05000000 0.210955195896 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.35000000 N N N N N N DT Auto Owner Trust N/A 23344GAE1 1385000.00000000 PA USD 1342020.54000000 0.091170297411 Long ABS-O CORP US N 2 2026-10-15 Fixed 0.84000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FC2T2 261234.42000000 PA USD 61246.41000000 0.004160780888 Long ABS-MBS USGSE US N 3 2037-06-25 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381D2H2 52678327.02000000 PA USD 3868069.46000000 0.262777679300 Long ABS-MBS USGA US N 2 2064-03-16 Variable 0.80000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H5AG2 22704366.44000000 PA USD 3248558.91000000 0.220691169139 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 4.00000000 N N N N N N Countrywide Asset-Backed Certificates N/A 126673TD4 14776.33000000 PA USD 14949.60000000 0.001015602546 Long ABS-MBS CORP US N 2 2035-02-25 Variable 5.11500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BWZ1 6785.94000000 PA USD 6747.42000000 0.000458386641 Long ABS-MBS USGA US N 3 2062-10-20 Floating 0.70600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381DMB3 43175802.19000000 PA USD 3192591.52000000 0.216889018993 Long ABS-MBS USGA US N 2 2063-04-16 Variable 0.85400000 N N N N N N GS Mortgage Securities Trust N/A 36248GAJ9 3461000.00000000 PA USD 3481424.40000000 0.236510909111 Long ABS-MBS CORP US N 2 2046-11-10 Variable 5.16100000 N N N N N N 2022-04-28 LOOMIS SAYLES FUNDS I John Sgroi John Sgroi Assistant Treasurer