NPORT-P false 0000917469 XXXXXXXX S000006639 C000018125 LOOMIS SAYLES FUNDS I 811-08282 0000917469 549300826G7KS737WZ11 888 BOYLSTON STREET Suite 800 BOSTON 02199-8197 617-449-2139 Loomis Sayles Securitized Asset Fund S000006639 549300LK4FBVP0RT7L56 2024-09-30 2023-12-31 N 1373187649.38 107862407.30 1265325242.08 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 90970000.01000000 0.00000000 0.00000000 0.00000000 USD N Fund's Securities Portfolio N/A World Omni Auto Receivables Trust N/A 98163LAF7 2610000.00000000 PA USD 2440205.93000000 0.192852070665 Long ABS-O CORP US N 2 2027-12-15 Fixed 1.29000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPKJ5 29475830.21000000 PA USD 26082121.66000000 2.061297822299 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.00000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162VAE8 3330000.00000000 PA USD 3106601.62000000 0.245518030992 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 54214780.69000000 PA USD 3072839.55000000 0.242849778682 Long ABS-MBS USGA US N 2 2063-04-16 Variable 0.82500000 N N N N N N Morgan Stanley Capital I Trust N/A 61691YAJ0 2085000.00000000 PA USD 1754671.37000000 0.138673545081 Long ABS-MBS CORP US N 2 2054-05-15 Fixed 2.72800000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FCUJ3 231773.75000000 PA USD 41541.42000000 0.003283062616 Long ABS-MBS USGSE US N 3 2035-07-25 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397BRJ2 728721.90000000 PA USD 63139.94000000 0.004990016629 Long ABS-MBS USGSE US N 3 2036-10-15 Floating 1.16700000 N N N N N N Home Partners of America Trust N/A 437300AE6 1417860.57000000 PA USD 1166573.57000000 0.092195550298 Long ABS-O CORP US N 2 2041-09-17 Fixed 2.07800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H73R2 79184063.69000000 PA USD 1645761.58000000 0.130066288513 Long ABS-MBS USGSE US N 2 2032-03-25 Variable 0.29600000 N N N N N N RBSCF Trust N/A 74932BAU7 3475000.00000000 PA USD 2976318.39000000 0.235221608723 Long ABS-MBS CORP US N 2 2031-03-11 Variable 3.58400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AFJS2 898412.00000000 PA USD 66016.12000000 0.005217324194 Long ABS-MBS USGSE US N 3 2041-09-15 Floating 0.44700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373MX54 4000000.00000000 PA USD 4082552.00000000 0.322648427789 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 1266554.14000000 PA USD 1237831.35000000 0.097827128459 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 8979311.34000000 PA USD 243955.05000000 0.019280027133 Long ABS-MBS USGA US N 3 2066-01-20 Variable 0.03100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RKR6 360965.04000000 PA USD 353522.11000000 0.027939228448 Long ABS-MBS USGA US N 3 2065-03-20 Variable 5.00300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RJ84 45801651.99000000 PA USD 2452577.70000000 0.193829824809 Long ABS-MBS USGA US N 2 2063-04-16 Variable 0.72000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BB2C5 3042176.62000000 PA USD 636821.27000000 0.050328662451 Long ABS-MBS USGSE US N 2 2040-12-25 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AGRW4 396351.75000000 PA USD 332626.68000000 0.026287840385 Long ABS-MBS USGSE US N 3 2043-07-25 Floating 0.00000000 N N N N N N CoreVest American Finance Ltd N/A 21872GAA3 270840.60000000 PA USD 266950.11000000 0.021097351188 Long ABS-O CORP US N 2 2052-06-15 Fixed 2.83500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LGF98 24000000.00000000 PA USD 22014459.12000000 1.739826124373 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 3.85000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379T4X4 1444311.66000000 PA USD 1213640.50000000 0.095915299848 Long ABS-MBS USGA US N 2 2045-08-20 Floating 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382DL31 22258528.92000000 PA USD 4270205.29000000 0.337478866933 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AXPC3 36798491.21000000 PA USD 1404120.03000000 0.110969099746 Long ABS-MBS USGSE US N 2 2047-08-25 Floating 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CP99 1722497.60000000 PA USD 1552244.87000000 0.122675563434 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 88769.10000000 PA USD 88378.98000000 0.006984684811 Long ABS-MBS USGA US N 2 2060-12-20 Floating 5.93700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379UAT3 5432201.00000000 PA USD 129874.69000000 0.010264134918 Long ABS-MBS USGA US N 3 2057-01-16 Variable 0.62100000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FFTC3 15328.07000000 PA USD 3409.51000000 0.000269457202 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 1432778.53000000 0.113234011489 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 9478565.34000000 PA USD 55034.92000000 0.004349468276 Long ABS-MBS USGA US N 3 2055-07-16 Variable 0.19100000 N N N N N N Navient Student Loan Trust N/A 63941UAA1 1181624.21000000 PA USD 1057738.71000000 0.083594215528 Long ABS-O CORP US N 2 2069-09-16 Fixed 1.17000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95001YAE4 5012000.00000000 PA USD 4455903.56000000 0.352154798767 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 3.14600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A4WJ4 1234405.86000000 PA USD 131296.73000000 0.010376520252 Long ABS-MBS USGSE US N 3 2042-03-25 Floating 1.04800000 N N N N N N Foursight Capital Automobile Receivables Trust N/A 35105UAE3 2375000.00000000 PA USD 2280069.35000000 0.180196306386 Long ABS-O CORP US N 2 2027-07-15 Fixed 1.57000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FHQ89 123009517.50000000 PA USD 522458.32000000 0.041290436847 Long ABS-MBS USGSE US N 2 2033-08-25 Variable 0.00900000 N N N N N N Mission Lane Credit Card Master Trust N/A 60510MAN8 595000.00000000 PA USD 595507.54000000 0.047063594417 Long ABS-O CORP US N 2 2028-07-17 Fixed 7.23000000 N N N N N N Hertz Vehicle Financing LLC N/A 42806MAE9 2325000.00000000 PA USD 2114457.30000000 0.167107809888 Long ABS-O CORP US N 2 2027-12-27 Fixed 1.68000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378XQX2 9689337.02000000 PA USD 60475.71000000 0.004779459698 Long ABS-MBS USGA US N 3 2054-08-16 Variable 0.21100000 N N N N N N SFS Auto Receivables Securitization Trust N/A 78398AAG8 125000.00000000 PA USD 125510.09000000 0.009919195936 Long ABS-O CORP US N 2 2031-02-20 Fixed 5.97000000 N N N N N N Banc of America Commercial Mortgage Trust N/A 06054MAE3 1000000.00000000 PA USD 942266.80000000 0.074468347636 Long ABS-MBS CORP US N 2 2049-07-15 Fixed 3.17000000 N N N N N N Hertz Vehicle Financing LLC 549300MNOMKDMDFI8J66 42806MCA5 565000.00000000 PA USD 575162.09000000 0.045455671859 Long ABS-O CORP US N 2 2028-02-25 Fixed 5.94000000 N N N N N N MVW Owner Trust N/A 55389TAB7 313435.76000000 PA USD 284904.64000000 0.022516316795 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 655282.11000000 PA USD 579612.75000000 0.045807412254 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 3001037.20000000 PA USD 29440.48000000 0.002326712454 Long ABS-MBS USGA US N 3 2046-04-16 Variable 0.47500000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BM7D2 36944943.42000000 PA USD 250395.83000000 0.019789048828 Long ABS-MBS USGSE US N 3 2025-09-25 Variable 0.49400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380P6Y5 40343715.69000000 PA USD 2800059.62000000 0.221291690616 Long ABS-MBS USGA US N 2 2062-08-16 Variable 1.01400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381DZE3 54754303.83000000 PA USD 3637202.47000000 0.287451980648 Long ABS-MBS USGA US N 2 2063-04-16 Variable 0.92300000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RHM9 1255000.00000000 PA USD 1297771.66000000 0.102564274926 Long ABS-O CORP US N 2 2030-02-20 Fixed 6.02000000 N N N N N N SMB Private Education Loan Trust 549300V1P5RKG8RJI005 78449QAB3 2903617.33000000 PA USD 2810848.50000000 0.222144347280 Long ABS-O CORP US N 2 2035-11-15 Fixed 3.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378NHQ9 766160.80000000 PA USD 1803.99000000 0.000142571248 Long ABS-MBS USGA US N 3 2055-05-16 Variable 0.16900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381DM23 47755446.66000000 PA USD 3175593.94000000 0.250970567439 Long ABS-MBS USGA US N 2 2063-04-16 Variable 0.91700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BSF0 4095.10000000 PA USD 3673.44000000 0.000290315871 Long ABS-MBS USGA US N 3 2062-05-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381Y4N1 324000.00000000 PA USD 254768.02000000 0.020134587655 Long ABS-MBS USGA US N 3 2049-10-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KVD72 306440.70000000 PA USD 243440.11000000 0.019239330877 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 3142489.77000000 0.248354309666 Long ABS-O CORP US N 2 2038-05-17 Fixed 2.03900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXVL3 22287847.50000000 PA USD 18569432.17000000 1.467561979517 Long ABS-MBS USGSE US N 2 2062-03-01 Fixed 2.50000000 N N N N N N World Omni Automobile Lease Securitization Trust N/A 981944AE1 455000.00000000 PA USD 454906.27000000 0.035951726470 Long ABS-O CORP US N 2 2028-07-17 Fixed 5.04000000 N N N N N N Blackbird Capital Aircraft N/A 09228YAB8 2239475.45000000 PA USD 2111399.85000000 0.166866176361 Long ABS-O CORP KY N 2 2041-12-16 Variable 4.21300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BRQ4 4524220.69000000 PA USD 43.88000000 0.000003467883 Long ABS-MBS USGA US N 3 2052-04-16 None 0.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300PX4QZK7CUM8D08 94988XAW6 4000000.00000000 PA USD 3920003.60000000 0.309802054810 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 1187950.25000000 PA USD 1074744.53000000 0.084938203574 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 7628855.40000000 0.602916558232 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 7.32700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394DDX5 623732.20000000 PA USD 604371.63000000 0.047764132880 Long ABS-MBS USGSE US N 3 2035-04-25 Floating 6.81000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BBGX4 16199986.11000000 PA USD 768187.14000000 0.060710646911 Long ABS-MBS USGSE US N 2 2032-04-25 Variable 1.02700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RU38 1713951.39000000 PA USD 73344.69000000 0.005796508878 Long ABS-MBS USGA US N 3 2067-01-20 Variable 0.06100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LQL0 2176682.05000000 PA USD 2007190.35000000 0.158630388713 Long ABS-MBS USGA US N 2 2069-01-20 Variable 4.24900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380MBL4 19199759.13000000 PA USD 615544.28000000 0.048647119296 Long ABS-MBS USGA US N 2 2060-08-16 Variable 0.46100000 N N N N N N Mill City Mortgage Trust N/A 59981AAG1 1646966.48000000 PA USD 1506741.94000000 0.119079418468 Long ABS-MBS CORP US N 2 2069-10-25 Variable 3.50000000 N N N N N N Oak Hill Credit Partners N/A 67707GAE9 5300000.00000000 PA USD 5271454.20000000 0.416608633471 Long ABS-CBDO CORP KY N 2 2034-01-18 Floating 7.15700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RLZ7 144813.96000000 PA USD 138080.51000000 0.010912649602 Long ABS-MBS USGA US N 3 2065-09-20 Variable 4.57800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H7MB6 46018292.41000000 PA USD 1104825.57000000 0.087315540167 Long ABS-MBS USGSE US N 2 2032-04-25 Variable 0.32500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A72Z4 2901194.25000000 PA USD 260860.21000000 0.020616059912 Long ABS-MBS USGSE US N 3 2042-09-25 Floating 0.54800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380NDZ9 9512850.24000000 PA USD 530974.96000000 0.041963515967 Long ABS-MBS USGA US N 2 2060-12-16 Variable 0.85500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380QS86 7358122.56000000 PA USD 63098.70000000 0.004986757388 Long ABS-MBS USGA US N 3 2068-01-20 Variable 0.00800000 N N N N N N Foursight Capital Automobile Receivables Trust N/A 35104AAC2 1750000.00000000 PA USD 1789257.75000000 0.141406943487 Long ABS-O CORP US N 2 2028-11-15 Fixed 6.11000000 N N N N N N Education Funding Trust N/A 28141PAA3 1182671.83000000 PA USD 1092477.26000000 0.086339640091 Long ABS-O CORP US N 2 2041-07-25 Fixed 2.79000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LGWV0 1665000.00000000 PA USD 1601683.40000000 0.126582743055 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 4.09000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AFUN2 4435961.06000000 PA USD 654309.54000000 0.051710779034 Long ABS-MBS USGSE US N 3 2043-07-25 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KF37 13448729.77000000 PA USD 229329.89000000 0.018124185179 Long ABS-MBS USGA US N 3 2057-03-16 Variable 0.61600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373MWF3 1367812.43000000 PA USD 27164.32000000 0.002146825108 Long ABS-MBS USGA US N 3 2046-08-16 Variable 0.94000000 N N N N N N Sierra Receivables Funding Co LLC N/A 826525AB3 296003.11000000 PA USD 283490.67000000 0.022404569242 Long ABS-O CORP US N 2 2037-07-20 Fixed 2.32000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31282YDH9 167879.40000000 PA USD 23778.64000000 0.001879251216 Long ABS-MBS USGSE US N 3 2033-03-01 Fixed 6.00000000 N N N N N N Planet Fitness Master Issuer LLC 549300NX9W3U2DO53T22 72703PAC7 3870720.00000000 PA USD 3423949.89000000 0.270598402381 Long ABS-O CORP US N 2 2049-12-05 Fixed 3.85800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F7E68 3015854.80000000 PA USD 472286.18000000 0.037325279247 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136APE32 323706.57000000 PA USD 307196.49000000 0.024278065416 Long ABS-MBS USGSE US N 3 2041-05-25 Floating 0.00000000 N N N N N N Carvana Auto Receivables Trust N/A 14687NAD2 1605000.00000000 PA USD 1653631.66000000 0.130688269308 Long ABS-O CORP US N 2 2029-09-10 Fixed 6.16000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FAZ94 152096.41000000 PA USD 22063.51000000 0.001743702667 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 2471135.94000000 0.195296502260 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 1862954.28000000 0.147231258655 Long ABS-O CORP US N 2 2027-08-16 Fixed 0.89000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNF80 35892538.80000000 PA USD 31997606.83000000 2.528804908483 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 386000.00000000 PA USD 385963.33000000 0.030503092577 Long ABS-O CORP US N 2 2032-06-15 Variable 8.95700000 N N N N N N World OMNI Select Auto Trust N/A 98163DAF5 1490000.00000000 PA USD 1447470.93000000 0.114395167492 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 1561491.71000000 0.123406351036 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 2102099.73000000 PA USD 2084781.16000000 0.164762472972 Long ABS-O CORP US N 2 2036-02-15 Floating 6.27600000 N N N N N N COMM Mortgage Trust N/A 12624PAJ4 7339.52000000 PA USD 6532.17000000 0.000516244344 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 9021.79000000 PA USD 8207.59000000 0.000648654569 Long ABS-MBS USGA US N 3 2063-05-20 Floating 5.71700000 N N N N N N BMO 2022-C1 Mortgage Trust N/A 05609MCC7 4970000.00000000 PA USD 4329511.13000000 0.342165870561 Long ABS-MBS CORP US N 2 2055-02-15 Variable 3.37400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BNE8 38757.05000000 PA USD 38271.70000000 0.003024653166 Long ABS-MBS USGA US N 3 2061-10-20 Floating 6.03700000 N N N N N N Navient Student Loan Trust N/A 638961AA0 1620014.99000000 PA USD 1618854.09000000 0.127939760953 Long ABS-O CORP US N 2 2071-10-15 Fixed 5.51000000 N N N N N N ELARA HGV TIMESHARE ISSUER N/A 28415AAA5 1685028.06000000 PA USD 1731300.62000000 0.136826529845 Long ABS-O CORP US N 2 2038-02-25 Fixed 6.16000000 N N N N N N MAPS LTD N/A 56564RAA8 663283.52000000 PA USD 607869.50000000 0.048040573268 Long ABS-O CORP BM N 2 2043-05-15 Fixed 4.21200000 N N N N N N Dryden Senior Loan Fund N/A 26243EAB7 3835000.00000000 PA USD 3812595.93000000 0.301313512384 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 7.05500000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 12649AAJ8 2110000.00000000 PA USD 1706378.10000000 0.134856876576 Long ABS-MBS CORP US N 2 2037-09-15 Fixed 4.18500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31395D7A1 777752.21000000 PA USD 870891.96000000 0.068827518098 Long ABS-MBS USGSE US N 3 2036-06-25 Floating 4.21000000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 12649AAC3 6160000.00000000 PA USD 5341558.38000000 0.422149041397 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 73649.00000000 PA USD 73217.48000000 0.005786455336 Long ABS-MBS USGA US N 2 2060-10-20 Floating 5.78700000 N N N N N N Mercury Financial Credit Card Master Trust N/A 58940BAR7 3700000.00000000 PA USD 3740452.84000000 0.295611967232 Long ABS-O CORP US N 2 2027-09-20 Fixed 8.04000000 N N N N N N Bank N/A 06540YAQ2 785000.00000000 PA USD 624952.63000000 0.049390671205 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 24104361.41000000 PA USD 663568.97000000 0.052442561638 Long ABS-MBS USGSE US N 2 2041-08-25 Variable 0.57200000 N N N N N N GS Mortgage Securities Trust N/A 36258YBG2 2555000.00000000 PA USD 2230055.10000000 0.176243627000 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 21422911.21000000 PA USD 15522.83000000 0.001226785768 Long ABS-MBS USGSE US N 3 2024-03-25 Variable 1.05100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380PWY6 38877948.24000000 PA USD 2222811.70000000 0.175671173393 Long ABS-MBS USGA US N 2 2062-06-16 Variable 0.84700000 N N N N N N Towd Point Mortgage Trust N/A 89179JAB2 5000000.00000000 PA USD 3924947.50000000 0.310192776487 Long ABS-MBS CORP US N 2 2060-10-25 Fixed 2.50000000 N N N N N N Legacy Mortgage Asset Trust N/A 52474HAB6 4515000.00000000 PA USD 4023203.17000000 0.317958026616 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 90905.41000000 PA USD 86278.56000000 0.006818686384 Long ABS-MBS USGA US N 3 2063-08-20 Variable 4.42200000 N N N N N N Residential Accredit Loans, Inc. N/A 75115DAM7 861.27000000 PA USD 480.24000000 0.000037953878 Long ABS-MBS CORP US N 3 2061-11-25 Fixed 5.75000000 N N N N N N Santander Bank Auto Credit-Linked Notes N/A 80290CAS3 1085822.97000000 PA USD 1076573.60000000 0.085082756922 Long ABS-O CORP US N 2 2032-05-15 Fixed 5.28100000 N N N N N N Octagon Investment Partners Ltd N/A 67576FAE9 2040000.00000000 PA USD 2027688.60000000 0.160250387217 Long ABS-CBDO CORP KY N 2 2031-04-16 Floating 7.12500000 N N N N N N Morgan Stanley BAML Trust N/A 553514AC4 1190203.17000000 PA USD 1024086.51000000 0.080934646361 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 9012761.83000000 PA USD 1046146.42000000 0.082678064517 Long ABS-MBS USGA US N 2 2043-08-20 Floating 0.52800000 N N N N N N Extended Stay America Trust N/A 30227FAG5 3407056.05000000 PA USD 3351424.62000000 0.264866653137 Long ABS-MBS CORP US N 2 2038-07-15 Floating 7.17600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B2R2 1144197.18000000 PA USD 34620.40000000 0.002736087042 Long ABS-MBS USGA US N 3 2063-06-20 Variable 1.29800000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 549300UVB571ELWL8972 92890FBB1 790000.00000000 PA USD 739665.70000000 0.058456567165 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 876635.67000000 0.069281449610 Long ABS-MBS CORP US N 2 2047-06-15 Variable 4.35200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXVK5 116748196.66000000 PA USD 96461934.27000000 7.623489286551 Long ABS-MBS USGSE US N 2 2062-03-01 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FWHG8 53790706.71000000 PA USD 5517205.21000000 0.436030597234 Long ABS-MBS USGSE US N 2 2035-07-25 Variable 1.32300000 N N N N N N Credit Acceptance Auto Loan Trust N/A 224927AC7 4270000.00000000 PA USD 4367876.94000000 0.345197961341 Long ABS-O CORP US N 2 2033-05-16 Fixed 7.02000000 N N N N N N Carvana Auto Receivables Trust N/A 14687DAC6 978567.77000000 PA USD 924071.82000000 0.073030379009 Long ABS-O CORP US N 2 2028-01-10 Fixed 1.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417A6P9 459685.12000000 PA USD 431982.38000000 0.034140027056 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 678140.38000000 PA USD 593453.46000000 0.046901258290 Long ABS-O CORP US N 2 2053-01-15 Fixed 1.07000000 N N N N N N Bankers Healthcare Group Securitization Trust N/A 08860FAB4 1825000.00000000 PA USD 1829651.93000000 0.144599338506 Long ABS-O CORP US N 2 2036-04-17 Fixed 6.35000000 N N N N N N Fixed Income Clearing Corp 549300H47WTHXPU08X20 000000000 9378089.24000000 PA USD 9378089.24000000 0.741160369533 Long RA CORP US N 2 Repurchase N 2.50000000 2024-01-02 10632100.00000000 USD 9565710.48000000 USD UST N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BWM7 5092513.76000000 PA USD 45476.15000000 0.003594028514 Long ABS-MBS USGA US N 3 2053-03-16 Variable 0.35300000 N N N N N N Willis Engine Securitization Trust N/A 97064FAA3 2923103.81000000 PA USD 2611992.03000000 0.206428508903 Long ABS-O CORP US N 2 2045-03-15 Fixed 3.22800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AJN51 809787.57000000 PA USD 59300.78000000 0.004686603730 Long ABS-MBS USGSE US N 3 2044-05-25 Floating 0.59800000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FAA75 223258.68000000 PA USD 30307.13000000 0.002395204726 Long ABS-MBS USGSE US N 3 2033-03-25 Fixed 6.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEN73 108333.43000000 PA USD 19397.63000000 0.001533015335 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 2650929.80000000 PA USD 35648.38000000 0.002817329395 Long ABS-MBS USGA US N 3 2057-07-16 Variable 0.34000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A 03065WAE5 3185000.00000000 PA USD 3149786.96000000 0.248931014355 Long ABS-O CORP US N 2 2028-04-18 Fixed 4.81000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137A6WD0 183907.09000000 PA USD 125611.84000000 0.009927237347 Long ABS-MBS USGSE US N 3 2041-02-15 Floating 0.00000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46639EAL5 1297937.02000000 PA USD 1149972.20000000 0.090883526365 Long ABS-MBS CORP US N 2 2047-12-15 Variable 3.78400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FPJA4 3366256.66000000 PA USD 196333.79000000 0.015516468293 Long ABS-MBS USGSE US N 3 2034-08-25 Variable 0.85800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382BYR8 8447000.75000000 PA USD 1028099.67000000 0.081251810665 Long ABS-MBS USGA US N 2 2044-02-20 Floating 0.07800000 N N N N N N FRESB Multifamily Mortgage Pass-Through Certifica N/A 35802DAD9 91074576.53000000 PA USD 814243.14000000 0.064350501588 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 127780.04000000 PA USD 121484.54000000 0.009601052437 Long ABS-MBS USGA US N 3 2068-08-20 Variable 4.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ACDL5 8.50000000 PA USD 8.53000000 0.000000674134 Long ABS-MBS USGA US N 2 2059-11-20 Variable 5.47000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FUZK3 52109751.80000000 PA USD 6001428.01000000 0.474299240259 Long ABS-MBS USGSE US N 2 2035-05-25 Variable 1.51000000 N N N N N N FirstKey Homes 2020-SFR1 Trust N/A 33767MAC9 910000.00000000 PA USD 850719.78000000 0.067233289253 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 17478135.26000000 PA USD 1275449.44000000 0.100800126132 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.52200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376G3S7 1467427.25000000 PA USD 2453.24000000 0.000193882167 Long ABS-MBS USGA US N 3 2051-08-16 Variable 0.18500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H6RR8 125000.00000000 PA USD 101701.71000000 0.008037594336 Long ABS-MBS USGSE US N 2 2052-04-25 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H9JL4 100000000.00000000 PA USD 1647890.00000000 0.130234499810 Long ABS-MBS USGSE US N 2 2032-11-25 Variable 0.18100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BDB2 3626252.35000000 PA USD 23432.66000000 0.001851908048 Long ABS-MBS USGA US N 3 2053-06-16 Variable 0.24200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397RKT2 289126.23000000 PA USD 295100.12000000 0.023322076426 Long ABS-MBS USGSE US N 3 2038-02-15 Floating 2.33500000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H93E7 82325670.76000000 PA USD 1768767.04000000 0.139787540877 Long ABS-MBS USGSE US N 2 2032-08-25 Variable 0.26400000 N N N N N N JP Morgan Mortgage Trust N/A 46648UAQ7 9670997.94000000 PA USD 116408.06000000 0.009199852822 Long ABS-MBS CORP US N 3 2048-11-25 Variable 0.36500000 N N N N N N Towd Point Mortgage Trust N/A 89175TAB4 2325000.00000000 PA USD 1921131.23000000 0.151829044905 Long ABS-MBS CORP US N 2 2058-06-25 Variable 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375URS1 6846361.46000000 PA USD 126570.46000000 0.010002998105 Long ABS-MBS USGA US N 3 2064-09-20 Variable 0.99300000 N N N N N N GM Financial Automobile Leasing Trust N/A 362548AF6 1220000.00000000 PA USD 1219389.27000000 0.096369631257 Long ABS-O CORP US N 2 2027-05-20 Fixed 5.54000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HRMS9 5769574.67000000 PA USD 5564634.13000000 0.439778955239 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.03000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B56F7 23089999.73000000 PA USD 369072.86000000 0.029168220764 Long ABS-MBS USGSE US N 2 2034-08-25 Variable 0.31800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373AHQ2 364497.57000000 PA USD 364645.37000000 0.028818311519 Long ABS-MBS USGA US N 3 2039-08-20 Fixed 5.50000000 N N N N N N World Financial Network Credit Card Master Trust N/A 981464HL7 3065000.00000000 PA USD 3074381.97000000 0.242971677775 Long ABS-O CORP US N 2 2030-03-15 Fixed 5.02000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KDRA0 4289334.94000000 PA USD 3691947.00000000 0.291778499094 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 985320.09000000 PA USD 968920.92000000 0.076574851095 Long ABS-MBS CORP US N 2 2048-06-15 Fixed 3.40000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BPW39 6949008.79000000 PA USD 175323.14000000 0.013855974272 Long ABS-MBS USGSE US N 3 2026-03-25 Variable 1.33600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398JLT8 869203.78000000 PA USD 792392.24000000 0.062623601715 Long ABS-MBS USGSE US N 2 2048-06-15 Variable 2.56100000 N N N N N N GS Mortgage Securities Trust N/A 36252RAZ2 3773348.63000000 PA USD 3686848.76000000 0.291375579763 Long ABS-MBS CORP US N 2 2047-01-10 Fixed 4.38300000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEN81 63888.02000000 PA USD 12139.49000000 0.000959396809 Long ABS-MBS USGSE US N 3 2037-03-25 Variable 7.00000000 N N N N N N Auxilior Term Funding LLC N/A 05335JAB9 510000.00000000 PA USD 512512.77000000 0.040504429450 Long ABS-O CORP US N 2 2028-12-15 Fixed 6.18000000 N N N N N N Neuberger Berman CLO Ltd 549300Y2YE54ON4DJE28 64134JAC7 2560000.00000000 PA USD 2532554.24000000 0.200150455849 Long ABS-CBDO CORP KY N 2 2033-04-16 Floating 7.05500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380QYD8 43856090.41000000 PA USD 124478.06000000 0.009837633507 Long ABS-MBS USGA US N 3 2070-04-20 None 0.00000000 N N N N N N Magnetite CLO Ltd 549300XSCWZTP19VRZ67 55955KAC8 2350000.00000000 PA USD 2329785.30000000 0.184125410805 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 7.05500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RQU7 9176565.11000000 PA USD 650792.82000000 0.051432848911 Long ABS-MBS USGA US N 2 2063-05-16 Variable 0.98600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376GHW3 229286.94000000 PA USD 8869.27000000 0.000700947843 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 1632401.01000000 PA USD 26347.15000000 0.002082243293 Long ABS-MBS USGA US N 3 2052-12-16 Variable 1.01900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AUUY5 4358669.25000000 PA USD 357212.56000000 0.028230888637 Long ABS-MBS USGSE US N 2 2046-12-25 Floating 1.19800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWDJ9 1965839.78000000 PA USD 1672886.92000000 0.132210032991 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FTBP1 13723200.43000000 PA USD 1139300.10000000 0.090040098949 Long ABS-MBS USGSE US N 2 2030-03-25 Variable 1.69100000 N N N N N N GS Mortgage Securities Trust 549300E4QCAQ0FY44H36 36197VAA6 5775000.00000000 PA USD 4434385.73000000 0.350454221770 Long ABS-MBS CORP US N 2 2033-03-05 Variable 3.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AGY22 1412117.00000000 PA USD 148363.71000000 0.011725341838 Long ABS-MBS USGSE US N 3 2043-11-25 Floating 1.14800000 N N N N N N Verde CLO Ltd 254900DT3DF8KM5RRZ79 92338BAQ8 3830000.00000000 PA USD 3799593.63000000 0.300285926783 Long ABS-CBDO CORP KY N 2 2032-04-15 Floating 7.25500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BYY9 19522114.57000000 PA USD 153250.75000000 0.012111569808 Long ABS-MBS USGA US N 3 2052-09-16 Variable 0.32900000 N N N N N N Credit Acceptance Auto Loan Trust N/A 224936AA2 380000.00000000 PA USD 386054.16000000 0.030510270969 Long ABS-O CORP US N 2 2033-08-15 Fixed 6.39000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276YAE3 1350000.00000000 PA USD 1231046.10000000 0.097290882933 Long ABS-MBS CORP US N 2 2052-04-15 Fixed 3.60500000 N N N N N N DC Commercial Mortgage Trust N/A 24023AAA8 2420000.00000000 PA USD 2496162.48000000 0.197274376341 Long ABS-MBS CORP US N 2 2040-09-12 Fixed 6.31400000 N N N N N N Recette CLO LLC 549300392I5L5XOJ0016 75620TAX6 1035000.00000000 PA USD 1021688.45000000 0.080745125128 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 7.07700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BUS6 627186.16000000 PA USD 281.31000000 0.000022232228 Long ABS-MBS USGA US N 3 2052-08-16 Variable 0.09400000 N N N N N N APL Finance LLC 6354009RKO5CXUKYBH41 03790CAA9 7794708.34000000 PA USD 7821561.11000000 0.618146295504 Long ABS-O CORP US N 2 2031-07-21 Fixed 7.00000000 N N N N N N World Omni Auto Receivables Trust N/A 98164DAE7 905000.00000000 PA USD 941032.58000000 0.074370805916 Long ABS-O CORP US N 2 2029-08-15 Fixed 5.85000000 N N N N N N Oak Hill Credit Partners N/A 67707EAY0 4045000.00000000 PA USD 4031721.88000000 0.318631269330 Long ABS-CBDO CORP KY N 2 2034-04-21 Floating 7.27400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LKW2 4525447.79000000 PA USD 4375705.25000000 0.345816641008 Long ABS-MBS USGA US N 2 2068-05-20 Variable 4.27300000 N N N N N N Carvana Auto Receivables Trust N/A 14688EAC3 2610000.00000000 PA USD 2622714.62000000 0.207275926598 Long ABS-O CORP US N 2 2027-12-10 Fixed 5.98000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RYD6 37667638.21000000 PA USD 2787819.57000000 0.220324346443 Long ABS-MBS USGA US N 2 2062-08-16 Variable 1.14900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398QSU2 1057793.83000000 PA USD 93261.67000000 0.007370568996 Long ABS-MBS USGSE US N 3 2040-10-15 Floating 1.04700000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEU75 203560.10000000 PA USD 40025.20000000 0.003163234136 Long ABS-MBS USGSE US N 3 2037-07-25 Fixed 6.50000000 N N N N N N GECU Auto Receivables Trust N/A 36169EAD2 2440000.00000000 PA USD 2478310.44000000 0.195863510627 Long ABS-O CORP US N 2 2029-10-15 Fixed 5.79000000 N N N N N N Onslow Bay Financial LLC 549300ELWOCL265HSB73 67448QAC5 76961.92000000 PA USD 74262.57000000 0.005869049911 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 4259297.93000000 0.336616846669 Long ABS-CBDO CORP KY N 2 2034-01-20 Floating 7.22700000 N N N N N N SLAM 2021-1 LLC N/A 78449AAA0 2704058.50000000 PA USD 2373427.86000000 0.187574528751 Long ABS-O CORP US N 2 2046-06-15 Fixed 2.43400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AWBW6 6076042.63000000 PA USD 456398.30000000 0.036069643189 Long ABS-MBS USGSE US N 2 2047-04-25 Floating 0.69800000 N N N N N N OneMain Financial Issuance Trust N/A 68269MAC8 5400000.00000000 PA USD 4756973.40000000 0.375948668516 Long ABS-O CORP US N 2 2036-06-16 Fixed 1.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398TKX8 56126.35000000 PA USD 45047.31000000 0.003560136832 Long ABS-MBS USGSE US N 3 2039-12-25 Variable 1.59900000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FQK28 20597892.13000000 PA USD 891785.74000000 0.070478775759 Long ABS-MBS USGSE US N 2 2034-10-25 Variable 0.57600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380P4H4 19083827.20000000 PA USD 1192960.57000000 0.094280942980 Long ABS-MBS USGA US N 2 2062-10-16 Variable 0.91400000 N N N N N N Chesapeake Funding II LLC 5493000HT7H4OFOD6Z12 165183CM4 550000.00000000 PA USD 541634.61000000 0.042805959447 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 7842932.82000000 PA USD 27388.31000000 0.002164527276 Long ABS-MBS USGA US N 3 2054-01-16 Variable 0.12300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RDP2 15863326.64000000 PA USD 952737.12000000 0.075295828164 Long ABS-MBS USGA US N 2 2063-01-16 Variable 0.84500000 N N N N N N Towd Point Mortgage Trust N/A 89176UAR5 5555000.00000000 PA USD 4521995.53000000 0.357378117468 Long ABS-MBS CORP US N 2 2060-04-25 Variable 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375U6F2 4056.67000000 PA USD 3925.62000000 0.000310245924 Long ABS-MBS USGA US N 3 2064-10-20 Floating 5.63700000 N N N N N N Nelnet Student Loan Trust N/A 64035DAE6 1630000.00000000 PA USD 1329410.89000000 0.105064756932 Long ABS-O CORP US N 2 2062-04-20 Fixed 2.85000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FA2F6 236618.40000000 PA USD 35234.78000000 0.002784642147 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 4776717.65000000 PA USD 311250.92000000 0.024598491332 Long ABS-MBS USGA US N 2 2058-06-16 Variable 1.11300000 N N N N N N SMB Private Education Loan Trust 54930027GONY06ZX8P67 78449KAB6 182143.74000000 PA USD 177894.47000000 0.014059189217 Long ABS-O CORP US N 2 2034-09-15 Fixed 2.34000000 N N N N N N Towd Point Mortgage Trust N/A 89175MAA1 644654.63000000 PA USD 622484.31000000 0.049195597250 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.75000000 N N N N N N Mill City Mortgage Trust N/A 59980XAC1 555013.58000000 PA USD 537996.14000000 0.042518407292 Long ABS-MBS CORP US N 2 2058-08-25 Variable 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ARK49 6723122.02000000 PA USD 506258.48000000 0.040010146258 Long ABS-MBS USGSE US N 2 2046-04-25 Floating 0.64800000 N N N N N N Triumph Rail LLC N/A 89683LAA8 4140722.54000000 PA USD 3757697.42000000 0.296974824735 Long ABS-O CORP US N 2 2051-06-19 Fixed 2.15000000 N N N N N N Enterprise Fleet Financing LLC N/A 29375NAC9 1635000.00000000 PA USD 1660918.02000000 0.131264118091 Long ABS-O CORP US N 2 2030-04-22 Fixed 5.50000000 N N N N N N MMAF Equipment Finance LLC N/A 60700MAE8 305000.00000000 PA USD 270722.27000000 0.021395469006 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 529851.85000000 PA USD 476840.17000000 0.037685185922 Long ABS-MBS CORP US N 2 2044-06-15 Variable 5.21100000 N N N N N N Neuberger Berman CLO Ltd 549300NPF57YF6WBDP72 64130TBC8 2075000.00000000 PA USD 2074887.95000000 0.163980602061 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 7.30500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A1VK8 282244.18000000 PA USD 251070.14000000 0.019842340265 Long ABS-MBS USGSE US N 2 2040-11-25 Floating 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B9S65 10459080.34000000 PA USD 1988732.42000000 0.157171638868 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 4.50000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17327RAC4 1448850.00000000 PA USD 1280805.86000000 0.101223449703 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 2215299.00000000 0.175077436719 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 7.27700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379K6Q6 5518416.20000000 PA USD 149751.55000000 0.011835024309 Long ABS-MBS USGA US N 3 2055-11-16 Variable 0.83800000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BBAL6 13880088.58000000 PA USD 703573.36000000 0.055604151138 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 317307.84000000 PA USD 313529.05000000 0.024778534369 Long ABS-MBS USGA US N 2 2042-08-16 Variable 5.67400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31394GGC1 51567.49000000 PA USD 8470.62000000 0.000669442110 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 4864996.60000000 0.384485856932 Long ABS-O CORP US N 2 2027-06-10 Fixed 1.60000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797HG5 15365000.00000000 PA USD 15113279.05000000 1.194418521609 Long STIV UST US N 2 2024-04-25 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376G4X5 3236841.18000000 PA USD 3320199.55000000 0.262398902636 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 2800.13000000 PA USD 2687.72000000 0.000212413370 Long ABS-MBS USGA US N 3 2061-08-20 Floating 6.11700000 N N N N N N Kestrel Aircraft Funding Limited N/A 49255PAA1 1396028.70000000 PA USD 1240777.74000000 0.098059984795 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 3134990.83000000 0.247761660460 Long ABS-MBS CORP US N 2 2062-11-15 Fixed 2.97800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BNF5 88092.91000000 PA USD 87088.47000000 0.006882694433 Long ABS-MBS USGA US N 3 2061-10-20 Floating 6.11000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BWFX7 27692062.30000000 PA USD 76444.49000000 0.006041489370 Long ABS-MBS USGSE US N 3 2026-12-25 Variable 0.26700000 N N N N N N BPR Trust N/A 055980AA4 1860000.00000000 PA USD 1851830.14000000 0.146352106036 Long ABS-MBS CORP US N 2 2024-08-15 Floating 8.59400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398WB86 346435.05000000 PA USD 343061.50000000 0.027112515311 Long ABS-MBS USGSE US N 2 2036-12-15 Floating 3.89100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B4CT0 6673861.59000000 PA USD 5679594.96000000 0.448864431935 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 5034441.39000000 PA USD 55264.67000000 0.004367625663 Long ABS-MBS USGA US N 3 2049-03-16 Variable 0.45000000 N N N N N N SMB Private Education Loan Trust N/A 83192CAD9 5485000.00000000 PA USD 4993313.63000000 0.394626888324 Long ABS-O CORP US N 2 2043-06-15 Fixed 3.56000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381DXB1 52642742.61000000 PA USD 3407617.37000000 0.269307625950 Long ABS-MBS USGA US N 2 2063-07-16 Variable 0.88100000 N N N N N N Navient Student Loan Trust N/A 63940YAB2 960010.89000000 PA USD 921678.81000000 0.072841256883 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 275542.01000000 PA USD 270042.33000000 0.021341732624 Long ABS-MBS USGA US N 3 2066-08-20 Variable 4.75600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381DK58 11185808.23000000 PA USD 666428.08000000 0.052668520143 Long ABS-MBS USGA US N 2 2061-07-16 Variable 0.77100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BB81 1.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS USGA US N 3 2050-09-16 Variable 0.00000000 N N N N N N Marlette Funding Trust N/A 57108TAB3 10790.52000000 PA USD 10766.29000000 0.000850871352 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 66288193.71000000 PA USD 91800.53000000 0.007255093548 Long ABS-MBS USGSE US N 3 2025-05-25 Variable 0.09300000 N N N N N N Tricon American Homes N/A 89613GAC0 1275000.00000000 PA USD 1166431.58000000 0.092184328677 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 83577.17000000 PA USD 82402.42000000 0.006512350916 Long ABS-MBS USGA US N 3 2063-08-20 Floating 6.03700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AJZC3 10107362.39000000 PA USD 1125066.68000000 0.088915216624 Long ABS-MBS USGSE US N 2 2044-04-25 Floating 0.59800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397NNR2 606077.56000000 PA USD 551652.91000000 0.043597716354 Long ABS-MBS USGSE US N 3 2039-03-25 Variable 2.45100000 N N N N N N GS Mortgage Securities Trust N/A 36261PAT9 5000000.00000000 PA USD 4422305.00000000 0.349499468826 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 3650250.04000000 PA USD 87667.00000000 0.006928416274 Long ABS-MBS USGA US N 3 2056-07-16 Variable 0.70600000 N N N N N N Towd Point Mortgage Trust N/A 89169DAB7 5570000.00000000 PA USD 5320323.64000000 0.420470837304 Long ABS-MBS CORP US N 2 2057-07-25 Variable 3.00000000 N N N N N N Helios Issuer, LLC N/A 86745YAA2 1278824.62000000 PA USD 1269109.39000000 0.100299065235 Long ABS-O CORP US N 2 2050-08-22 Fixed 5.30000000 N N N N N N CAL Funding IV Ltd N/A 12807CAA1 2706825.00000000 PA USD 2437395.49000000 0.192629958602 Long ABS-O CORP BM N 2 2045-09-25 Fixed 2.22000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WVVS0 4502353.55000000 PA USD 4037651.73000000 0.319099911684 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 3.45000000 N N N N N N OCP CLO Ltd 254900K70GBA8CMARX66 670898AE5 5280000.00000000 PA USD 5258019.36000000 0.415546863773 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 7.21400000 N N N N N N LAD Auto Receivables Trust N/A 505713AC1 2655000.00000000 PA USD 2655254.35000000 0.209847576077 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.42000000 N N N N N N Wheels Fleet Lease Funding LLC 549300BSFY0E0XXREF43 96328GAS6 2340000.00000000 PA USD 2346563.70000000 0.185451425606 Long ABS-O CORP US N 2 2038-04-18 Fixed 5.80000000 N N N N N N Greystone Commercial Real Estate Notes N/A 39809XAA6 2675000.00000000 PA USD 2620512.93000000 0.207101924695 Long ABS-CBDO CORP KY N 2 2039-12-15 Floating 7.27600000 N N N N N N Massachusetts Educational Financing Authority 5493007K5OP7V6CL0Y88 57563NAB4 884114.13000000 PA USD 833698.41000000 0.065888072273 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 1315914.91000000 PA USD 1272142.32000000 0.100538760920 Long ABS-O CORP US N 2 2052-10-15 Fixed 2.70500000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FFPD5 19312.26000000 PA USD 3546.46000000 0.000280280506 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 1311349.43000000 0.103637340534 Long ABS-CBDO CORP KY N 2 2031-10-18 Floating 7.35600000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FER46 140775.96000000 PA USD 9147.82000000 0.000722961946 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 1288684.63000000 PA USD 63612.48000000 0.005027361968 Long ABS-MBS USGA US N 3 2063-07-20 Variable 1.94000000 N N N N N N Hudsons Bay Simon JV Trust N/A 44422PBN1 5885000.00000000 PA USD 5183880.52000000 0.409687592375 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 2643887.80000000 PA USD 2303648.26000000 0.182059772727 Long ABS-O CORP US N 2 2039-04-15 Fixed 3.96700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380XAG2 32810043.53000000 PA USD 1012754.18000000 0.080039040265 Long ABS-MBS USGA US N 2 2058-05-16 Variable 0.48200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNBV3 87409079.32000000 PA USD 74392373.59000000 5.879308427271 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 2371547.65000000 0.187425933754 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 1907634.70000000 PA USD 1660692.15000000 0.131246267344 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 772198.34000000 0.061027656314 Long ABS-O CORP US N 2 2069-01-15 Fixed 2.78000000 N N N N N N NMLT Trust N/A 62917MAA1 1385000.00000000 PA USD 1234697.03000000 0.097579419815 Long ABS-MBS CORP US N 2 2062-10-25 Variable 3.20000000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36270GAA9 360000.00000000 PA USD 350375.40000000 0.027690540609 Long ABS-MBS CORP US N 2 2038-09-10 Variable 4.32200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380NJB6 7000640.13000000 PA USD 404528.63000000 0.031970327987 Long ABS-MBS USGA US N 3 2061-08-16 Variable 0.95700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KGH5 11042428.05000000 PA USD 197329.18000000 0.015595135024 Long ABS-MBS USGA US N 3 2049-09-16 Variable 0.57700000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 188.00000000 NC USD 2067848.47000000 0.163424264468 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CME Ultra Long Term U.S. Treasury Bond Futures WNH4 Comdty 2024-03-19 23047776.53000000 USD 2067848.47000000 N N N UMBS, TBA N/A 01F062614 21000000.00000000 PA USD 21519257.76000000 1.700689834071 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LQA4 2521164.79000000 PA USD 2400281.75000000 0.189696820246 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 434205.28000000 PA USD 7628.40000000 0.000602880567 Long ABS-MBS USGA US N 3 2063-08-20 Variable 1.29000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380P3W2 32763084.80000000 PA USD 2137830.60000000 0.168955026652 Long ABS-MBS USGA US N 2 2060-08-16 Variable 1.01400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378X4A6 7039891.64000000 PA USD 72718.98000000 0.005747058351 Long ABS-MBS USGA US N 3 2051-02-16 Variable 0.47200000 N N N N N N Bankers Healthcare Group Securitization Trust N/A 08861YAA4 2126102.80000000 PA USD 2004022.83000000 0.158380056238 Long ABS-O CORP US N 2 2033-11-17 Fixed 1.42000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 326.00000000 NC USD 1464604.55000000 0.115749255708 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Ultra 10-Year U.S. Treasury Notes Futures UXYH4 Comdty 2024-03-19 37008489.20000000 USD 1464604.55000000 N N N Carvana Auto Receivables Trust N/A 14687BAK2 4455000.00000000 PA USD 4054589.95000000 0.320438557230 Long ABS-O CORP US N 2 2027-03-10 Fixed 1.53000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWER0 18000040.51000000 PA USD 17024955.28000000 1.345500327806 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380MQR5 11572517.66000000 PA USD 563546.89000000 0.044537710247 Long ABS-MBS USGA US N 2 2060-10-16 Variable 0.49400000 N N N N N N Progress Residential Trust N/A 74333FAC3 830000.00000000 PA USD 748471.92000000 0.059152532100 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 26.89000000 PA USD 26.82000000 0.000002119613 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 18303703.23000000 PA USD 562783.96000000 0.044477415077 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 4200933.77000000 0.332004265013 Long ABS-CBDO CORP KY N 2 2035-07-02 Floating 7.32700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379Y6J2 16921695.23000000 PA USD 348766.46000000 0.027563384369 Long ABS-MBS USGA US N 3 2056-07-16 Variable 0.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378N8E6 3330238.63000000 PA USD 34277.25000000 0.002708967533 Long ABS-MBS USGA US N 3 2056-04-16 Variable 0.44400000 N N N N N N Mill City Mortgage Trust N/A 59980MAG6 728900.39000000 PA USD 698577.48000000 0.055209321427 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31394MWC0 1327.41000000 PA USD 1281.49000000 0.000101277518 Long ABS-MBS USGSE US N 3 2033-11-15 Floating 0.90700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ASUC8 7328226.67000000 PA USD 425366.92000000 0.033617200214 Long ABS-MBS USGSE US N 2 2034-10-25 Floating 0.64800000 N N N N N N Bank N/A 06540JBG6 3649000.00000000 PA USD 3105187.34000000 0.245406258939 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 130443.00000000 PA USD 130390.95000000 0.010304935495 Long ABS-O CORP US N 2 2032-09-15 Variable 8.97400000 N N N N N N FREMF Mortgage Trust N/A 302957AL9 324433328.61000000 PA USD 1982741.84000000 0.156698196958 Long ABS-MBS USGSE US N 2 2036-07-25 Fixed 0.10000000 N N N N N N SLM Student Loan Trust 549300IQIXBXDNPLSE92 78443CBA1 210000.00000000 PA USD 209916.21000000 0.016589901396 Long ABS-O CORP US N 2 2032-09-15 Variable 8.96000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEN24 81028.01000000 PA USD 13516.91000000 0.001068255777 Long ABS-MBS USGSE US N 3 2035-11-25 Variable 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNGH9 35750161.48000000 PA USD 31891528.93000000 2.520421459195 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H6RQ0 308812.40000000 PA USD 11905.24000000 0.000940883782 Long ABS-MBS USGSE US N 2 2052-04-25 Variable 0.89500000 N N N N N N Towd Point Mortgage Trust N/A 89177JAB4 5530000.00000000 PA USD 4944174.47000000 0.390743368232 Long ABS-MBS CORP US N 2 2058-12-25 Variable 3.75000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FCQH2 552854.15000000 PA USD 103462.02000000 0.008176713508 Long ABS-MBS USGSE US N 3 2035-06-25 Fixed 5.50000000 N N N N N N Firstkey Homes Trust N/A 33767WAC7 3730000.00000000 PA USD 3368883.03000000 0.266246409852 Long ABS-O CORP US N 2 2038-08-17 Fixed 1.78800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RTB2 12787037.34000000 PA USD 431918.12000000 0.034134948520 Long ABS-MBS USGA US N 3 2066-04-20 Variable 0.04000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BN6H2 9124416.77000000 PA USD 125481.63000000 0.009916946712 Long ABS-MBS USGSE US N 3 2025-12-25 Variable 0.87000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46643PBJ8 730000.00000000 PA USD 663383.85000000 0.052427931407 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 501704.31000000 PA USD 487809.61000000 0.038552112435 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 34332517.24000000 PA USD 2088893.35000000 0.165087463723 Long ABS-MBS USGA US N 2 2062-10-16 Variable 0.84100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RHZ6 43939598.93000000 PA USD 2811470.84000000 0.222193531473 Long ABS-MBS USGA US N 2 2062-10-16 Variable 0.94700000 N N N N N N SLM Student Loan Trust 549300BLEHJGFV7XSO25 78443CAP9 1962000.00000000 PA USD 1953343.66000000 0.154374827517 Long ABS-O CORP US N 2 2033-03-15 Variable 7.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398R2K0 2346041.29000000 PA USD 2333258.65000000 0.184399913350 Long ABS-MBS USGSE US N 2 2040-07-25 Fixed 5.00000000 N N N N N N World Omni Auto Receivables Trust N/A 98163WAE6 530000.00000000 PA USD 520122.81000000 0.041105859007 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 1048487.55000000 PA USD 911811.43000000 0.072061427345 Long ABS-O CORP US N 2 2069-07-15 Fixed 0.94000000 N N N N N N Foundation Finance Trust N/A 35042RAB2 435000.00000000 PA USD 450717.42000000 0.035620677199 Long ABS-O CORP US N 2 2049-06-15 Fixed 6.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXXA5 87850054.52000000 PA USD 72748348.15000000 5.749379347748 Long ABS-MBS USGSE US N 2 2062-05-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BF2M4 13344623.30000000 PA USD 836148.74000000 0.066081724460 Long ABS-MBS USGSE US N 2 2059-03-25 Variable 1.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AR4L9 1238831.83000000 PA USD 943000.77000000 0.074526354066 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KDVE7 4110758.59000000 PA USD 3527254.58000000 0.278762681933 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N Nissan Auto Receivables Owner Trust N/A 65480MAD5 610000.00000000 PA USD 624716.25000000 0.049371989842 Long ABS-O CORP US N 2 2028-03-15 Fixed 5.93000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RE71 30147021.33000000 PA USD 1883585.89000000 0.148861796742 Long ABS-MBS USGA US N 2 2063-02-16 Variable 0.82400000 N N N N N N Morgan Stanley Mortgage Loan Trust N/A 61745M4T7 16231.04000000 PA USD 13803.23000000 0.001090883951 Long ABS-MBS CORP US N 3 2035-07-25 Variable 6.12300000 N N N N N N American Credit Acceptance Receivables Trust N/A 02530CAC2 725000.00000000 PA USD 734538.10000000 0.058051327482 Long ABS-O CORP US N 2 2028-02-14 Fixed 6.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATNA8 9025740.58000000 PA USD 558530.88000000 0.044141289640 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 0.64800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MGSW2 6139976.59000000 PA USD 5225423.02000000 0.412970740345 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FC2S4 135981.15000000 PA USD 23777.63000000 0.001879171394 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 15767018.44000000 PA USD 296018.83000000 0.023394683055 Long ABS-MBS USGSE US N 3 2026-01-25 Variable 1.14800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H5XW2 254587901.92000000 PA USD 2800721.51000000 0.221344000487 Long ABS-MBS USGSE US N 2 2032-01-25 Variable 0.14800000 N N N N N N Invitation Homes Trust N/A 46187XAC9 5974724.30000000 PA USD 5960159.12000000 0.471037715979 Long ABS-O CORP US N 2 2038-01-17 Floating 6.72600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381D6B1 20384750.45000000 PA USD 1443138.41000000 0.114052763827 Long ABS-MBS USGA US N 2 2063-11-16 Variable 0.91200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394ENN4 1689307.39000000 PA USD 1714613.21000000 0.135507706080 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 1722217.79000000 0.136108704128 Long ABS-O CORP US N 2 2026-05-17 Fixed 1.88800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H7ZD8 66577099.17000000 PA USD 1217029.37000000 0.096183125849 Long ABS-MBS USGSE US N 2 2054-06-25 Variable 0.23000000 N N N N N N EWC Master Issuer LLC N/A 26929HAB1 842175.00000000 PA USD 798653.92000000 0.063118468946 Long ABS-O CORP US N 2 2052-03-15 Fixed 5.50000000 N N N N N N Tricon American Homes N/A 89612LAA4 1679373.96000000 PA USD 1594644.84000000 0.126026478170 Long ABS-O CORP US N 2 2038-03-17 Fixed 2.75000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FRZC8 11556439.14000000 PA USD 887407.41000000 0.070132751682 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.59200000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FX3T3 14473937.30000000 PA USD 907020.86000000 0.071682823501 Long ABS-MBS USGSE US N 2 2030-08-25 Variable 1.23300000 N N N N N N Sierra Receivables Funding Co LLC N/A 82652QAB7 236356.63000000 PA USD 219309.88000000 0.017332293129 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 44754633.91000000 PA USD 2888231.35000000 0.228259996240 Long ABS-MBS USGA US N 2 2061-06-16 Variable 1.00100000 N N N N N N Affirm Inc N/A 00792FAF5 1740000.00000000 PA USD 1765971.07000000 0.139566572393 Long ABS-O CORP US N 2 2028-09-15 Fixed 6.82000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KL2S0 5274600.65000000 PA USD 4544864.24000000 0.359185455948 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 2617454.05000000 0.206860178154 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H74C4 35898181.64000000 PA USD 874932.02000000 0.069146808338 Long ABS-MBS USGSE US N 2 2055-04-25 Variable 0.34200000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEY30 90818.93000000 PA USD 17570.85000000 0.001388642968 Long ABS-MBS USGSE US N 3 2037-07-25 Fixed 7.00000000 N N N N N N Carvana Auto Receivables Trust N/A 14686MAD5 820000.00000000 PA USD 816081.22000000 0.064495767005 Long ABS-O CORP US N 2 2028-06-12 Fixed 4.85000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RET3 36502151.50000000 PA USD 2312644.91000000 0.182770787548 Long ABS-MBS USGA US N 2 2062-09-16 Variable 1.00900000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEM90 165111.14000000 PA USD 27229.01000000 0.002151937627 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 4303690.57000000 PA USD 198583.95000000 0.015694300832 Long ABS-MBS USGA US N 3 2056-12-16 Variable 0.97900000 N N N N N N Ford Credit Auto Owner Trust/Ford Credit N/A 34532RAB2 1740000.00000000 PA USD 1697523.47000000 0.134157085747 Long ABS-O CORP US N 2 2031-07-15 Fixed 3.34000000 N N N N N N Affirm Inc N/A 00834KAA5 540000.00000000 PA USD 541738.26000000 0.042814151016 Long ABS-O CORP US N 2 2028-11-15 Fixed 7.11000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BBS94 15816834.08000000 PA USD 1142045.01000000 0.090257032106 Long ABS-MBS USGSE US N 2 2034-08-25 Variable 1.91500000 N N N N N N Westlake Automobile Receivables Trust N/A 96043PAJ0 3475000.00000000 PA USD 3480003.65000000 0.275028390667 Long ABS-O CORP US N 2 2027-12-15 Fixed 5.99000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BXM25 3367626.36000000 PA USD 285219.43000000 0.022541194984 Long ABS-MBS USGSE US N 3 2047-04-15 Floating 0.64700000 N N N N N N VStrong Auto Receivables Trust N/A 92920CAJ6 3285000.00000000 PA USD 3376573.97000000 0.266854233023 Long ABS-O CORP US N 2 2030-02-15 Fixed 8.04000000 N N N N N N Carvana Auto Receivables Trust N/A 14686KAD9 392789.56000000 PA USD 367822.44000000 0.029069398741 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 11830051.58000000 PA USD 483708.33000000 0.038227983913 Long ABS-MBS USGA US N 2 2060-07-16 Variable 0.61800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BHR6 54527.62000000 PA USD 53632.03000000 0.004238596387 Long ABS-MBS USGA US N 3 2059-05-20 Floating 5.78700000 N N N N N N Bank N/A 06540AAD3 3720000.00000000 PA USD 3228444.04000000 0.255147367066 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 229432.30000000 PA USD 213562.24000000 0.016878051025 Long ABS-O CORP US N 2 2046-01-15 Fixed 3.47400000 N N N N N N Sierra Receivables Funding Co LLC N/A 826943AA0 721617.88000000 PA USD 723964.22000000 0.057215662497 Long ABS-O CORP US N 2 2040-01-20 Fixed 5.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ADQR3 1485784.03000000 PA USD 102503.84000000 0.008100987524 Long ABS-MBS USGSE US N 3 2042-08-25 Floating 0.69800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPJ90 7736713.43000000 PA USD 7100050.08000000 0.561124511222 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373M8V5 3829687.16000000 PA USD 2.60000000 0.000000205480 Long ABS-MBS USGA US N 3 2049-10-16 Variable 0.00900000 N N N N N N Textainer Marine Containers Limited 549300X48KLHDDGPK024 88315LAE8 439823.00000000 PA USD 410419.69000000 0.032435904726 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 68000.00000000 PA USD 67622.12000000 0.005344248083 Long ABS-O CORP US N 2 2032-06-15 Variable 8.97900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BR92 17363273.20000000 PA USD 51159.84000000 0.004043216581 Long ABS-MBS USGA US N 3 2054-04-16 Variable 0.19200000 N N N N N N BX Trust N/A 05610FAC1 2770000.00000000 PA USD 2717145.63000000 0.214738909778 Long ABS-MBS CORP US N 2 2039-01-17 Floating 7.20200000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BLME5 22991499.37000000 PA USD 69024.62000000 0.005455089150 Long ABS-MBS USGSE US N 3 2025-08-25 Variable 0.19500000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H9CB3 103139574.14000000 PA USD 2549383.37000000 0.201480479896 Long ABS-MBS USGSE US N 2 2032-09-25 Variable 0.31000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378XFB2 2121297.72000000 PA USD 27445.16000000 0.002169020192 Long ABS-MBS USGA US N 3 2056-04-16 Variable 0.58400000 N N N N N N Mill City Mortgage Trust N/A 59982HAC4 859826.11000000 PA USD 799553.16000000 0.063189536840 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 1356016.99000000 PA USD 1194534.08000000 0.094405299149 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 3673369.34000000 0.290310286860 Long ABS-MBS CORP US N 2 2057-06-25 Variable 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BF31 114333.73000000 PA USD 112080.45000000 0.008857837200 Long ABS-MBS USGA US N 3 2063-01-20 Floating 5.75700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AUAN1 3706878.76000000 PA USD 291913.92000000 0.023070267650 Long ABS-MBS USGSE US N 3 2046-11-25 Floating 0.64800000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FEV41 120202.31000000 PA USD 14561.60000000 0.001150818739 Long ABS-MBS USGSE US N 3 2037-07-25 Variable 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ATQQ8 846045.31000000 PA USD 45878.97000000 0.003625863807 Long ABS-MBS USGSE US N 3 2032-08-15 Floating 0.69700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATNF7 5929726.50000000 PA USD 372541.00000000 0.029442311558 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 0.64800000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PEC3 727032.25000000 PA USD 694717.85000000 0.054904290762 Long ABS-MBS CORP US N 2 2034-05-19 Variable 5.37400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FCT38 1292616.00000000 PA USD 202880.23000000 0.016033840411 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 779372.00000000 0.061594598296 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 27234.85000000 PA USD 26042.92000000 0.002058199673 Long ABS-MBS USGA US N 3 2063-04-20 Fixed 3.50000000 N N N N N N Dell Equipment Finance Trust N/A 24703GAC8 565000.00000000 PA USD 570431.91000000 0.045081840702 Long ABS-O CORP US N 2 2029-01-22 Fixed 5.65000000 N N N N N N CarMax Auto Owner Trust N/A 14316NAF6 1485000.00000000 PA USD 1397884.41000000 0.110476292064 Long ABS-O CORP US N 2 2026-12-15 Fixed 0.94000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F8R88 152185.09000000 PA USD 30752.38000000 0.002430393307 Long ABS-MBS USGSE US N 2 2044-11-25 Variable 5.39800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31395XQ40 400883.39000000 PA USD 392469.45000000 0.031017278162 Long ABS-MBS USGSE US N 3 2035-05-15 Floating 3.56700000 N N N N N N Maps LTD N/A 55292RAA9 577119.18000000 PA USD 514813.97000000 0.040686295734 Long ABS-O CORP US N 2 2046-06-15 Fixed 2.52100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RAC0 1116929.13000000 PA USD 1081474.90000000 0.085470111875 Long ABS-MBS USGA US N 2 2065-04-20 Fixed 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397UJQ3 2216458.40000000 PA USD 202077.79000000 0.015970422724 Long ABS-MBS USGSE US N 3 2041-06-25 Floating 0.39800000 N N N N N N CALI Mortgage Trust 2019-101C N/A 129890AA7 510000.00000000 PA USD 427105.16000000 0.033754575171 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 2230610.84000000 0.176287547724 Long ABS-O CORP US N 2 2038-08-17 Fixed 1.88800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AUBA8 3819712.35000000 PA USD 294468.12000000 0.023272128794 Long ABS-MBS USGSE US N 2 2046-11-25 Floating 0.64800000 N N N N N N Mach I N/A 55446MAA5 870657.30000000 PA USD 752088.84000000 0.059438381136 Long ABS-O CORP KY N 2 2039-10-15 Fixed 3.47400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133JLNT2 1492765.56000000 PA USD 1245445.31000000 0.098428867818 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Bankers Healthcare Group Securitization Trust N/A 08860DAA1 489415.65000000 PA USD 486210.37000000 0.038425722796 Long ABS-O CORP US N 2 2035-10-17 Fixed 5.32000000 N N N N N N COMM Mortgage Trust N/A 12594CBD1 457784.84000000 PA USD 448168.15000000 0.035419205678 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 221064.34000000 0.017470949969 Long ABS-MBS USGA US N 3 2049-09-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397RL61 271735.88000000 PA USD 261111.56000000 0.020635924370 Long ABS-MBS USGSE US N 3 2038-02-15 Floating 3.52500000 N N N N N N Ford Credit Floorplan Master Owner Trust 5493001DTG5N7T8BG747 34528QHY3 330000.00000000 PA USD 328877.18000000 0.025991513411 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BWS7 103476.40000000 PA USD 6748.92000000 0.000533374327 Long ABS-MBS USGA US N 3 2062-10-20 Variable 1.20000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BRQL2 26191594.46000000 PA USD 592676.50000000 0.046839854314 Long ABS-MBS USGSE US N 2 2026-07-25 Variable 1.16200000 N N N N N N DT Auto Owner Trust N/A 23346CAC2 745000.00000000 PA USD 741207.13000000 0.058578388018 Long ABS-O CORP US N 2 2029-02-15 Fixed 5.41000000 N N N N N N Galaxy CLO Ltd N/A 36321LAC3 1565000.00000000 PA USD 1564896.71000000 0.123675451809 Long ABS-CBDO CORP KY N 2 2031-11-22 Floating 7.33300000 N N N N N N Residential Accredit Loans, Inc. N/A 74922EAT6 112.14000000 PA USD 0.01000000 0.000000000790 Long ABS-MBS CORP US N 3 2062-04-25 Fixed 6.00000000 N N N N N N TICP CLO Ltd N/A 87248TAN5 5900000.00000000 PA USD 5859130.70000000 0.463053332467 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 7.35500000 N N N N N N SMB Private Education Loan Trust 549300INMCHM7L5O6M41 78449LAB4 1013086.62000000 PA USD 986604.54000000 0.077972406397 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 24021610.43000000 PA USD 914471.48000000 0.072271653926 Long ABS-MBS USGA US N 2 2059-01-16 Variable 0.72300000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDY7 3860000.00000000 PA USD 3600767.03000000 0.284572449063 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 5254642.66000000 0.415279999580 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 7.32700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381TRX5 2128525.10000000 PA USD 168906.02000000 0.013348822451 Long ABS-MBS USGA US N 3 2049-04-20 Floating 0.57800000 N N N N N N Bank N/A 06539WBB1 1770000.00000000 PA USD 1533109.22000000 0.121163252657 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 1509499.72000000 PA USD 1465301.42000000 0.115804330086 Long ABS-MBS CORP US N 2 2060-09-27 Variable 1.66800000 N N N N N N Republic Finance Issuance Trust N/A 76042UAB9 2745000.00000000 PA USD 2506879.21000000 0.198121330914 Long ABS-O CORP US N 2 2031-12-22 Fixed 2.80000000 N N N N N N Residential Accredit Loans, Inc. N/A 74922RAR1 9672.09000000 PA USD 5119.11000000 0.000404568709 Long ABS-MBS CORP US N 3 2056-06-25 Fixed 5.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WVVT8 1648546.88000000 PA USD 1519991.30000000 0.120126529484 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359KZH3 104.17000000 PA USD 0.13000000 0.000000010274 Long ABS-MBS USGSE US N 3 2024-01-25 Floating 1.79800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380NMN6 17400772.20000000 PA USD 790673.69000000 0.062487782880 Long ABS-MBS USGA US N 2 2061-12-16 Variable 0.62200000 N N N N N N Prestige Auto Receivables Trust N/A 74113VAE0 2985000.00000000 PA USD 3028604.58000000 0.239353841943 Long ABS-O CORP US N 2 2027-12-15 Fixed 6.64000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BEVJ0 33864527.54000000 PA USD 99809.94000000 0.007888085741 Long ABS-MBS USGSE US N 3 2024-09-25 Variable 0.64900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133T4DB9 98.02000000 PA USD 94.82000000 0.000007493725 Long ABS-MBS USGSE US N 3 2024-02-15 Floating 8.39000000 N N N N N N TIF Funding II LLC N/A 872480AA6 1565266.67000000 PA USD 1404730.73000000 0.111017364017 Long ABS-O CORP US N 2 2045-08-20 Fixed 2.09000000 N N N N N N Madison Park Funding Ltd N/A 55820NAQ4 4930000.00000000 PA USD 4930187.34000000 0.389637950468 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 7.42700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BJ75 1.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS USGA US N 3 2050-09-16 Variable 0.00000000 N N N N N N COMMONBOND STUDENT LOAN TRUST N/A 20267WAA3 632907.20000000 PA USD 548593.01000000 0.043355889201 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 2127660.03000000 0.168151235685 Long ABS-O CORP US N 2 2033-04-15 Fixed 0.99000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381HUT6 49465010.28000000 PA USD 3170573.60000000 0.250573804628 Long ABS-MBS USGA US N 2 2065-04-16 Variable 0.79200000 N N N N N N DT Auto Owner Trust N/A 23345EAE5 410906.11000000 PA USD 405037.26000000 0.032010525557 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 4619841.83000000 0.365111014651 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 88209047.88000000 PA USD 171850.63000000 0.013581538112 Long ABS-MBS USGSE US N 3 2026-10-25 Variable 0.06300000 N N N N N N GM Financial Securitized Term Auto Receivables Tr N/A 362590AG6 1725000.00000000 PA USD 1687595.45000000 0.133372463764 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 686277.89000000 PA USD 632900.71000000 0.050018816423 Long ABS-O CORP US N 2 2069-01-15 Fixed 2.12000000 N N N N N N Merchants Fleet Funding LLC 254900Z2OOQUA5IN2X83 588926AA3 2575000.00000000 PA USD 2605858.80000000 0.205943793211 Long ABS-O CORP US N 2 2036-05-20 Fixed 7.21000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381EVR6 28069548.54000000 PA USD 1751121.59000000 0.138393002191 Long ABS-MBS USGA US N 2 2064-06-16 Variable 0.80200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F8RE5 7476416.13000000 PA USD 1244972.07000000 0.098391467157 Long ABS-MBS USGSE US N 2 2042-04-15 Variable 4.86600000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300REQJRID6TODX95 95001RAX7 5000000.00000000 PA USD 4822401.50000000 0.381119520865 Long ABS-MBS CORP US N 2 2052-01-15 Fixed 4.30200000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H6ZT5 32672615.30000000 PA USD 701971.14000000 0.055477525987 Long ABS-MBS USGSE US N 2 2032-02-25 Variable 0.30500000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FC2R6 123752.37000000 PA USD 25303.74000000 0.001999781491 Long ABS-MBS USGSE US N 3 2036-10-25 Fixed 7.00000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92926UAD3 694666.75000000 PA USD 604134.79000000 0.047745415163 Long ABS-MBS CORP US N 2 2036-11-25 Variable 4.61200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396YE99 210903.31000000 PA USD 260308.69000000 0.020572472700 Long ABS-MBS USGSE US N 3 2036-08-25 Floating 5.74000000 N N N N N N Hilton Grand Vacations Trust N/A 432917AA0 639113.52000000 PA USD 649380.37000000 0.051321221485 Long ABS-O CORP US N 2 2038-01-25 Fixed 5.72000000 N N N N N N CarMax Auto Owner Trust N/A 14315FAG2 500000.00000000 PA USD 487659.50000000 0.038540249082 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 14105971.08000000 PA USD 689011.80000000 0.054453335560 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 0.95400000 N N N N N N Morgan Stanley Capital I Trust N/A 61691UBE8 5780000.00000000 PA USD 5119784.70000000 0.404622031532 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 3.12700000 N N N N N N CarMax Auto Owner Trust N/A 14318MAH2 3030000.00000000 PA USD 3006895.95000000 0.237638185819 Long ABS-O CORP US N 2 2029-01-16 Fixed 6.20000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KQF8 11100322.17000000 PA USD 185927.18000000 0.014694022834 Long ABS-MBS USGA US N 3 2049-12-16 Variable 0.56700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379FAG4 2849486.10000000 PA USD 437984.28000000 0.034614363598 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 3799772.00000000 0.300300023553 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 6.79600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KMF2 5760170.71000000 PA USD 73702.88000000 0.005824817015 Long ABS-MBS USGA US N 3 2055-11-16 Variable 0.43800000 N N N N N N FRESB Multifamily Mortgage Pass-Through Certifica N/A 30322KAJ2 15201745.43000000 PA USD 365091.20000000 0.028853545938 Long ABS-MBS USGSE US N 2 2041-06-25 Variable 0.63400000 N N N N N N Morgan Stanley Capital I Trust N/A 61690LAC4 3285000.00000000 PA USD 3076647.56000000 0.243150729763 Long ABS-MBS CORP US N 2 2035-02-05 Variable 3.70500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38383CV72 56522617.26000000 PA USD 3228826.25000000 0.255177573529 Long ABS-MBS USGA US N 2 2063-05-16 Variable 0.76400000 N N N N N N Allegro CLO Ltd 635400EGZEWLZ9KRXG08 01750LAC7 595000.00000000 PA USD 594016.47000000 0.046945753569 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 7.32500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BAM4 107044.45000000 PA USD 105415.59000000 0.008331106224 Long ABS-MBS USGA US N 3 2060-02-20 Floating 6.14200000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FC2P0 283863.76000000 PA USD 53445.52000000 0.004223856303 Long ABS-MBS USGSE US N 3 2036-09-25 Fixed 6.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BSRG0 24193084.02000000 PA USD 153934.06000000 0.012165572524 Long ABS-MBS USGSE US N 3 2026-09-25 Variable 0.29900000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 5493003CHVRASC16O965 92938CAF4 862735.17000000 PA USD 800987.06000000 0.063302859483 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 906129.29000000 0.071612361775 Long ABS-MBS USGA US N 3 2049-06-20 Fixed 3.00000000 N N N N N N Navient Student Loan Trust N/A 63941HAB8 1565000.00000000 PA USD 1328007.36000000 0.104953834463 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 601003.04000000 PA USD 590200.49000000 0.046644172610 Long ABS-O CORP US N 2 2028-09-25 Fixed 0.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397ME86 564138.59000000 PA USD 546034.65000000 0.043153699289 Long ABS-MBS USGSE US N 2 2038-08-25 Variable 3.49400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B8GL5 2587545.10000000 PA USD 163253.68000000 0.012902112008 Long ABS-MBS USGSE US N 3 2039-06-15 None 0.00000000 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 85571XAA5 1700119.81000000 PA USD 1199783.05000000 0.094820130832 Long ABS-MBS CORP US N 2 2027-11-15 Floating 8.50000000 N N N N N N Citizens Auto Receivables Trust N/A 17331KAE9 3025000.00000000 PA USD 3110474.40000000 0.245824100915 Long ABS-O CORP US N 2 2030-10-15 Fixed 5.78000000 N N N N N N GS Mortgage Securities Trust N/A 36252RBC2 790000.00000000 PA USD 736067.25000000 0.058172177833 Long ABS-MBS CORP US N 2 2047-01-10 Variable 4.88500000 N N N N N N CLI Funding LLC 549300NQLBWJD5AREU05 12563LAS6 1964800.01000000 PA USD 1762242.88000000 0.139271929571 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 4007900.00000000 0.316748600811 Long ABS-MBS CORP US N 3 2027-11-15 Floating 8.50000000 N N N N N N Hilton Grand Vacations Trust N/A 43285HAA6 2088154.69000000 PA USD 1984807.74000000 0.156861467233 Long ABS-O CORP US N 2 2039-02-25 Fixed 2.74000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1187.00000000 NC USD 3892481.62000000 0.307626963451 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year U.S. Treasury Notes TYH4 Comdty 2024-03-19 130108690.26000000 USD 3892481.62000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H2NZ3 95789648.93000000 PA USD 7803886.91000000 0.616749484675 Long ABS-MBS USGSE US N 2 2036-08-25 Variable 0.98000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BSP98 8101165.76000000 PA USD 156199.71000000 0.012344629254 Long ABS-MBS USGSE US N 3 2026-08-25 Variable 0.90900000 N N N N N N Firstkey Homes Trust N/A 33767TAE0 5430000.00000000 PA USD 4835055.53000000 0.382119582317 Long ABS-O CORP US N 2 2038-09-17 Fixed 1.70700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380MDL2 7443287.71000000 PA USD 317725.15000000 0.025110156616 Long ABS-MBS USGA US N 3 2060-01-16 Variable 0.60400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KQTT8 1382872.06000000 PA USD 1098602.59000000 0.086823731437 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 465172.98000000 0.036763115484 Long ABS-MBS CORP US N 2 2047-11-15 Variable 4.20400000 N N N N N N Daimler Trucks Retail Trust N/A 233868AD0 720000.00000000 PA USD 733503.60000000 0.057969569847 Long ABS-O CORP US N 2 2030-12-16 Fixed 5.93000000 N N N N N N Merlin Aviation Holdings DAC N/A 59010RAA2 664942.86000000 PA USD 619292.54000000 0.048943348271 Long ABS-O CORP US N 2 2032-12-15 Variable 4.50000000 N N N N N N Tesla Electric Vehicle Trust N/A 881943AF1 815000.00000000 PA USD 826865.59000000 0.065348067240 Long ABS-O CORP US N 2 2031-05-20 Fixed 5.82000000 N N N N N N Progress Residential Trust N/A 74333HAE5 1715000.00000000 PA USD 1538197.56000000 0.121565389580 Long ABS-O CORP US N 2 2038-07-17 Fixed 1.85500000 N N N N N N Springcastle SPV N/A 85022WAP9 1954741.99000000 PA USD 1819837.43000000 0.143823688130 Long ABS-O CORP US N 2 2037-09-25 Fixed 1.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KQ5D9 4131669.59000000 PA USD 3533647.48000000 0.279267919621 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 1205702.61000000 PA USD 1192631.59000000 0.094254943340 Long ABS-O CORP US N 2 2028-09-20 Fixed 0.88000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133JLMB2 7159801.13000000 PA USD 5973649.62000000 0.472103884545 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N Mill City Mortgage Trust N/A 599808BJ0 4006000.00000000 PA USD 3772480.25000000 0.298143127517 Long ABS-MBS CORP US N 2 2057-09-25 Variable 3.70700000 N N N N N N Onslow Bay Financial LLC N/A 67097VAC8 177793.64000000 PA USD 162462.48000000 0.012839582630 Long ABS-MBS CORP US N 2 2048-04-25 Variable 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AQB80 1231881.53000000 PA USD 1207261.88000000 0.095411190724 Long ABS-MBS USGSE US N 2 2040-08-15 Floating 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RGX2 37260750.02000000 PA USD 2865910.59000000 0.226495962831 Long ABS-MBS USGA US N 2 2062-09-16 Variable 1.15100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BLN0 37326.37000000 PA USD 37182.65000000 0.002938584386 Long ABS-MBS USGA US N 2 2061-03-20 Floating 5.93700000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BMTY2 15750557.80000000 PA USD 148247.87000000 0.011716186879 Long ABS-MBS USGSE US N 3 2025-11-25 Variable 0.62600000 N N N N N N Social Professional Loan Program LLC N/A 83401BAB2 324102.11000000 PA USD 314458.22000000 0.024851967663 Long ABS-O CORP US N 2 2041-01-25 Fixed 2.84000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796CX5 240000.00000000 PA USD 236296.20000000 0.018674740070 Long STIV UST US N 2 2024-04-18 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXWP3 44607371.94000000 PA USD 36914339.97000000 2.917379559212 Long ABS-MBS USGSE US N 2 2062-03-01 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H7Z22 19772348.52000000 PA USD 460915.19000000 0.036426617811 Long ABS-MBS USGSE US N 2 2055-06-25 Variable 0.31700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376GL32 612720.00000000 PA USD 4527.31000000 0.000357798125 Long ABS-MBS USGA US N 3 2053-04-16 Variable 0.53000000 N N N N N N Santander Bank Auto Credit-Linked Notes N/A 80290CAX2 520524.90000000 PA USD 518634.93000000 0.040988270268 Long ABS-O CORP US N 2 2032-08-16 Fixed 5.72100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AWM51 4451981.96000000 PA USD 510817.83000000 0.040370476539 Long ABS-MBS USGSE US N 3 2042-11-15 Floating 0.69700000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RHC1 4318000.00000000 PA USD 4384635.38000000 0.346522398683 Long ABS-O CORP US N 2 2028-04-20 Fixed 5.78000000 N N N N N N COMM Mortgage Trust N/A 12591UAF0 517916.81000000 PA USD 517010.20000000 0.040859866128 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 663755.73000000 PA USD 638592.75000000 0.050468664400 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 12491.86000000 PA USD 11293.16000000 0.000892510449 Long ABS-MBS USGA US N 3 2061-06-20 Variable 4.89600000 N N N N N N AGL CLO 3 Ltd. 549300LS0REDUXQSHW18 00119MAA7 3000000.00000000 PA USD 3000537.00000000 0.237135631236 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 6.95500000 N N N N N N GS Mortgage Securities Trust N/A 36253BBB8 2373000.00000000 PA USD 1436767.97000000 0.113549301177 Long ABS-MBS CORP US N 2 2047-06-10 Variable 4.68500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A36Q9 912286.69000000 PA USD 61277.49000000 0.004842825224 Long ABS-MBS USGSE US N 3 2042-03-25 Floating 0.49800000 N N N N N N Willis Engine Securitization Trust N/A 97064GAA1 2220214.57000000 PA USD 1863708.06000000 0.147290830690 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 3277801.18000000 PA USD 3060139.78000000 0.241846102348 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797FH5 12600000.00000000 PA USD 12358410.75000000 0.976698349088 Long STIV UST US N 2 2024-05-16 None 0.00000000 N N N N N N Palmer Square CLO Ltd 5493006ZPBFJJGSXB826 69689ABL3 575000.00000000 PA USD 574717.10000000 0.045420503826 Long ABS-CBDO CORP KY N 2 2034-05-21 Floating 7.32900000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12597DAD7 2405000.00000000 PA USD 2124537.80000000 0.167904482527 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 2.96800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BLDL9 1101990.82000000 PA USD 193272.04000000 0.015274494933 Long ABS-MBS USGSE US N 3 2044-03-15 Fixed 4.50000000 N N N N N N Vibrant CLO Ltd 5493000EYNEUF6J67S05 92558KAA6 2944676.46000000 PA USD 2943328.68000000 0.232614396845 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 6.87700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JVVH2 2118756.83000000 PA USD 1902722.73000000 0.150374201566 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FET44 590105.58000000 PA USD 101677.28000000 0.008035663607 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 2733957.90000000 0.216067601362 Long ABS-MBS CORP US N 2 2034-11-05 Fixed 2.95400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FEMJ0 3568653.55000000 PA USD 3070896.33000000 0.242696203938 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 289958.64000000 0.022915739792 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 3997950.18000000 0.315962255951 Long ABS-MBS CORP US N 2 2037-10-15 Floating 7.61600000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FAB74 58800.04000000 PA USD 10162.60000000 0.000803161089 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 4634183.97000000 0.366244489233 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 244476.84000000 PA USD 236739.68000000 0.018709788766 Long ABS-MBS USGA US N 3 2064-11-20 Variable 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FYQ41 15299412.96000000 PA USD 1110631.81000000 0.087774413491 Long ABS-MBS USGSE US N 2 2048-12-15 Variable 1.48900000 N N N N N N MED Trust N/A 58403YAD8 3134954.61000000 PA USD 3073958.74000000 0.242938229458 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.42600000 N N N N N N WAVE 2017-1 LLC N/A 94353WAA3 3263986.81000000 PA USD 2755176.96000000 0.217744566248 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 472641.41000000 PA USD 420809.28000000 0.033257005077 Long ABS-O CORP US N 2 2051-07-25 Fixed 1.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380JDW5 21974376.50000000 PA USD 719950.89000000 0.056898484757 Long ABS-MBS USGA US N 2 2059-12-16 Variable 0.54400000 N N N N N N GREAT AMERICA LEASING RECEIVABLES N/A 39154TBL1 812000.00000000 PA USD 772726.00000000 0.061069357845 Long ABS-O CORP US N 2 2026-12-15 Fixed 0.72000000 N N N N N N Harbour Aircraft Investments Limited N/A 000000000 1511439.52000000 PA USD 1356246.42000000 0.107185597417 Long LON CORP KY N 2 2037-11-15 None 0.00000000 N N N N N N Horizon Aircraft Finance II LLC 549300KSCDSEIWTVMM32 44040HAA0 515982.34000000 PA USD 456207.33000000 0.036054550626 Long ABS-O CORP KY N 2 2039-07-15 Fixed 3.72100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXUC4 9749203.08000000 PA USD 8073293.91000000 0.638041006494 Long ABS-MBS USGSE US N 2 2061-12-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RMB9 1411.96000000 PA USD 1360.54000000 0.000107524923 Long ABS-MBS USGA US N 3 2065-10-20 Floating 6.13700000 N N N N N N LCM Ltd Partnership N/A 50200YAS7 3005000.00000000 PA USD 2942547.09000000 0.232552626956 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 7.17700000 N N N N N N Hayfin Kingsland VIII Ltd 549300ROX4COSD406L14 42086PAE3 3497500.00000000 PA USD 3461318.36000000 0.273551672320 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 7.15700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379US56 6596556.34000000 PA USD 311459.57000000 0.024614981163 Long ABS-MBS USGA US N 3 2056-10-16 Fixed 0.85800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397RC38 763913.39000000 PA USD 62551.40000000 0.004943503687 Long ABS-MBS USGSE US N 3 2038-02-15 Floating 0.79700000 N N N N N N Flagship Credit Auto Trust N/A 33844WAC4 680299.32000000 PA USD 670923.57000000 0.053023803500 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 10763212.55000000 PA USD 439945.24000000 0.034769340353 Long ABS-MBS USGA US N 2 2059-12-16 Variable 0.70600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396RGA9 2367020.34000000 PA USD 242504.88000000 0.019165418655 Long ABS-MBS USGSE US N 3 2036-05-15 Floating 1.74700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380RTF7 40581983.53000000 PA USD 2560155.01000000 0.202331774065 Long ABS-MBS USGA US N 2 2063-03-16 Variable 0.95500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394DR36 902183.93000000 PA USD 988683.63000000 0.078136719091 Long ABS-MBS USGSE US N 3 2035-06-25 Floating 4.43000000 N N N N N N Progress Residential Trust N/A 74333DAE4 2670000.00000000 PA USD 2441519.29000000 0.192955866903 Long ABS-O CORP US N 2 2038-04-19 Fixed 1.99700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380N6M6 34537282.28000000 PA USD 1590220.81000000 0.125676842373 Long ABS-MBS USGA US N 2 2061-10-15 Variable 0.70500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B4X7 2946382.09000000 PA USD 68153.80000000 0.005386267319 Long ABS-MBS USGA US N 3 2063-07-20 Variable 1.48900000 N N N N N N Bank N/A 06539VAJ7 5300000.00000000 PA USD 4565577.41000000 0.360822439809 Long ABS-MBS CORP US N 2 2055-02-15 Variable 2.92800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382YHA4 2785492.75000000 PA USD 25798.01000000 0.002038844175 Long ABS-MBS USGA US N 3 2070-03-20 Variable 0.02500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382KYU1 9563378.90000000 PA USD 2051702.44000000 0.162148226540 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 3.00000000 N N N N N N SMB Private Education Loan Trust 549300QHI21JZK7YIR34 78449PAD1 115000.00000000 PA USD 108317.93000000 0.008560481242 Long ABS-O CORP US N 2 2042-07-15 Fixed 3.96000000 N N N N N N Navient Student Loan Trust N/A 63941JAA6 792886.26000000 PA USD 740491.54000000 0.058521834179 Long ABS-O CORP US N 2 2068-10-15 Fixed 2.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396KPJ5 32188.96000000 PA USD 3258.98000000 0.000257560656 Long ABS-MBS USGSE US N 3 2036-08-25 Floating 1.84800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UTH3 12730885.34000000 PA USD 12586970.32000000 0.994761655059 Long ABS-MBS USGA US N 2 2064-10-20 Variable 4.50600000 N N N N N N Progress Residential Trust N/A 74333AAC4 1120000.00000000 PA USD 1042051.36000000 0.082354427568 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 4955918.75000000 0.391671531175 Long ABS-MBS CORP US N 2 2043-10-15 Floating 6.62600000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H8BN0 51535748.12000000 PA USD 1394196.59000000 0.110184839726 Long ABS-MBS USGSE US N 2 2032-06-25 Variable 0.35800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380CG31 4409160.03000000 PA USD 594260.42000000 0.046965033197 Long ABS-MBS USGA US N 3 2047-02-20 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397MA80 148446.99000000 PA USD 142201.74000000 0.011238354793 Long ABS-MBS USGSE US N 3 2038-11-25 Variable 4.00500000 N N N N N N Ajax Mortgage Loan Trust N/A 00968FAA4 1521963.77000000 PA USD 1424069.23000000 0.112545706245 Long ABS-MBS CORP US N 2 2065-09-25 Variable 2.95600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379VRP1 434185.12000000 PA USD 429295.44000000 0.033927675329 Long ABS-MBS USGA US N 3 2037-07-20 Variable 5.58400000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FC2M7 126618.71000000 PA USD 23202.60000000 0.001833726162 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 131000.00000000 PA USD 130422.03000000 0.010307391780 Long ABS-O CORP US N 2 2033-03-15 Variable 8.96900000 N N N N N N Tricon American Homes N/A 89613JAC4 1305000.00000000 PA USD 1143861.47000000 0.090400588873 Long ABS-O CORP US N 2 2039-11-17 Fixed 1.83200000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69380RAA3 297060.20000000 PA USD 277554.34000000 0.021935414766 Long ABS-MBS CORP US N 2 2053-11-25 Variable 4.00000000 N N N N N N OneMain Direct Auto Receivables Trust N/A 68269DAB0 3485000.00000000 PA USD 3498546.54000000 0.276493854990 Long ABS-O CORP US N 2 2029-03-14 Floating 6.93900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RFZ4 10590.83000000 PA USD 10145.53000000 0.000801812029 Long ABS-MBS USGA US N 3 2063-04-20 Floating 5.63700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BVA7 287630.46000000 PA USD 283435.15000000 0.022400181437 Long ABS-MBS USGA US N 3 2061-01-20 Variable 5.31000000 N N N N N N Hyundai Auto Receivables Trust N/A 44935FAG9 4230000.00000000 PA USD 3910421.81000000 0.309044795753 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 823322.01000000 PA USD 820724.35000000 0.064862718509 Long ABS-MBS CORP US N 2 2047-04-10 Fixed 3.99800000 N N N N N N COMM Mortgage Trust N/A 12629NAF2 3110000.00000000 PA USD 3014357.24000000 0.238227859506 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.35000000 N N N N N N BPR Trust N/A 05592DAA2 2235000.00000000 PA USD 2202756.77000000 0.174086210939 Long ABS-MBS CORP US N 2 2037-04-15 Floating 7.26000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGZN2 9627405.54000000 PA USD 8192628.00000000 0.647472106581 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 140.00000000 NC USD 1197970.62000000 0.094676892561 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT U.S. Long Bond Futures USH4 Comdty 2024-03-19 16293279.38000000 USD 1197970.62000000 N N N CarMax Auto Owner Trust N/A 14319BAF9 800000.00000000 PA USD 801876.24000000 0.063373132324 Long ABS-O CORP US N 2 2029-02-15 Fixed 5.61000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FC2T2 190219.70000000 PA USD 39519.67000000 0.003123281563 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 50705784.28000000 PA USD 2954575.34000000 0.233503232350 Long ABS-MBS USGA US N 2 2064-03-16 Variable 0.80100000 N N N N N N Countrywide Asset-Backed Certificates N/A 126673TD4 11042.18000000 PA USD 10886.96000000 0.000860408030 Long ABS-O CORP US N 2 2035-02-25 Variable 5.11500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BWZ1 2841.15000000 PA USD 2775.36000000 0.000219339653 Long ABS-MBS USGA US N 3 2062-10-20 Floating 4.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381DMB3 41240620.94000000 PA USD 2676804.98000000 0.211550745292 Long ABS-MBS USGA US N 2 2063-04-16 Variable 0.85900000 N N N N N N 2024-01-30 LOOMIS SAYLES FUNDS I John Sgroi John Sgroi Assistant Treasurer XXXX