NPORT-P false 0001517936 XXXXXXXX S000046204 C000144500 First Trust Exchange-Traded Fund IV 811-22559 0001517936 5493006CBTW7P2B31B80 120 East Liberty Drive Suite 400 Wheaton 60187 630-765-8000 First Trust Low Duration Opportunities ETF S000046204 549300ZVBPE1RKOPM784 2026-10-31 2026-04-30 N 9016307844.75 2853464205.50 6162843639.25 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1768042464.86000000 0.00000000 302505.25000000 USD N The Fund's Designated Reference Portfolio is the Fund's Securities Portfolio. N/A CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -18.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 125.00000000 USD 2026-05-22 XXXX 16827.84000000 N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -277.00000000 NC USD -463109.38000000 -0.00751454048 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 110.00000000 USD 2026-08-21 XXXX 4914.88000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137ALYJ2 1878000.00000000 PA USD 1753130.28000000 0.028446775265 Long ABS-O USGSE US N 2 2042-02-15 Fixed 4.50000000 N N N N N N Farm Mortgage Trust 2024-2 N/A 307910AC3 5362910.08000000 PA USD 5237627.14000000 0.084987181998 Long ABS-O CORP US N 2 2054-08-01 Variable 5.16524000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374GV41 303196.19340000 PA USD 303504.79000000 0.004924752399 Long ABS-O USGA US N 2 2034-06-20 Fixed 6.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31397QQC5 1507000.00000000 PA USD 1551869.42000000 0.025181061062 Long ABS-O USGSE US N 2 2041-02-25 Fixed 6.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ASPG5 8774460.00000000 PA USD 7334328.94000000 0.119008843471 Long ABS-O USGSE US N 2 2046-06-25 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620C5BG1 425947.65000000 PA USD 404487.47000000 0.006563325206 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36241KAZ1 121906.85000000 PA USD 124216.48000000 0.002015570851 Long ABS-MBS USGA US N 2 2034-11-15 Fixed 5.50000000 N N N N N N J.P. MORGAN MORTGAGE TRUST 2019-1 N/A 46650HAE8 1008850.39000000 PA USD 943027.85000000 0.015301829888 Long ABS-O CORP US N 2 2049-05-25 Variable 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36178YGE9 1618779.68000000 PA USD 1547662.51000000 0.025112798581 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379FDE6 28942438.88000000 PA USD 22564526.76000000 0.366138232297 Long ABS-O USGA US N 2 2045-09-20 Fixed 3.00000000 N N N N N N COREVEST AMERICAN FINANCE 2020-3 TRUST N/A 21873CAA1 772153.53000000 PA USD 768288.05000000 0.012466453718 Long ABS-O CORP US N 2 2053-08-15 Fixed 1.35800000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31418ALC0 14600.76000000 PA USD 14436.22000000 0.000234246085 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FTFW2 38645000.00000000 PA USD 391276.76000000 0.006348964583 Long ABS-O USGSE US N 2 2027-03-25 Variable 1.48663300 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3137FTG84 47500000.00000000 PA USD 2456937.50000000 0.039866945258 Long ABS-O USGSE US N 2 2029-02-25 Fixed 2.19787000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382FT46 7097422.06000000 PA USD 1455460.53000000 0.023616703833 Long ABS-O USGA US N 2 2050-05-20 Fixed 2.50000000 N N N N N N SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2026-NQM3 N/A 802929AC3 4333125.92000000 PA USD 4332958.23000000 0.070307774846 Long ABS-O CORP US N 2 2066-03-25 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379RMR1 3476482.09000000 PA USD 2029818.46000000 0.032936393957 Long ABS-O USGA US N 2 2059-05-16 Fixed 2.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136FCCR5 104439.61000000 PA USD 11798.77000000 0.000191450094 Long ABS-MBS USGSE US N 2 2034-03-25 Fixed 6.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 91282CKJ9 4000000.00000000 PA USD 4027718.20000000 0.065354865963 Long DBT UST US N 2 2027-04-15 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31397HM70 114788.93000000 PA USD 101514.00000000 0.001647194151 Long ABS-O USGSE US N 2 2037-05-15 Floating 0.01000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31416BNN4 8059.80000000 PA USD 8570.30000000 0.000139064050 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.50000000 N N N N N N COREVEST AMERICAN FINANCE 2021-1 TRUST N/A 21873LAA1 1922883.78000000 PA USD 1891097.55000000 0.030685470226 Long ABS-O CORP US N 2 2053-04-15 Fixed 1.56900000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H1YZ3 41565013.00000000 PA USD 2357837.71000000 0.038258924743 Long ABS-O USGSE US N 2 2031-07-25 Variable 1.32141500 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31282YWM7 69853.49000000 PA USD 6796.57000000 0.000110283018 Long ABS-MBS USGSE US N 2 2036-08-15 Variable 7.26736100 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912833X88 63205000.00000000 PA USD 42497338.63000000 0.689573533219 Long DBT UST US N 2 2035-05-15 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128M92Q4 213186.53000000 PA USD 205777.41000000 0.003339000987 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3617JKVA8 255053.14000000 PA USD 255359.54000000 0.004143534299 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128K8ZA7 78295.69000000 PA USD 79952.91000000 0.001297337960 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398FDQ1 1734004.76000000 PA USD 1730102.56000000 0.028073121131 Long ABS-O USGSE US N 2 2039-10-25 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380GAD6 3027559.18550000 PA USD 298160.08000000 0.004838027661 Long ABS-O USGA US N 2 2047-08-16 Floating 2.42112000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912810RK6 10000000.00000000 PA USD 6948437.50000000 0.112747262574 Long DBT UST US N 2 2045-02-15 Fixed 2.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BRT64 12122936.65000000 PA USD 10930506.42000000 0.177361410735 Long ABS-O USGSE US N 2 2045-10-25 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31394VL57 19542.11540000 PA USD 19915.06000000 0.000323147254 Long ABS-O USGSE US N 2 2035-02-25 Floating 3.89964000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3133THHD2 877.79050000 PA USD 891.15000000 0.000014460045 Long ABS-O USGSE US N 2 2028-12-15 Fixed 6.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31394AWK8 62333.00000000 PA USD 62264.16000000 0.001010315426 Long ABS-O USGSE US N 2 2034-04-25 Fixed 5.50000000 N N N N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP5 N/A 46647TAR9 1462208.67000000 PA USD 1459693.67000000 0.023685391930 Long ABS-O CORP US N 2 2050-03-17 Fixed 3.45690000 N N N N N N HILTON USA TRUST 2016-HHV N/A 43300LAA8 4250000.00000000 PA USD 4232923.93000000 0.068684590714 Long ABS-O CORP US N 2 2038-11-05 Fixed 3.71900000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AHVZ0 17373181.04000000 PA USD 15890951.62000000 0.257850962156 Long ABS-O USGSE US N 2 2044-01-25 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31397S7M0 187804.67000000 PA USD 189784.79000000 0.003079500326 Long ABS-O USGSE US N 2 2041-06-25 Fixed 5.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912833X96 13500000.00000000 PA USD 8839604.12000000 0.143433853549 Long DBT UST US N 2 2035-11-15 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132A2XV9 733195.67000000 PA USD 760728.98000000 0.012343798164 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.50000000 N N N N N N PROGRESS RESIDENTIAL 2025-SFR3 TRUST N/A 74334BAA5 4341000.00000000 PA USD 4104598.26000000 0.066602343013 Long ABS-O CORP US N 2 2042-07-17 Fixed 3.39000000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES N/A 35563PHF9 24530511.68000000 PA USD 23786074.43000000 0.385959401574 Long ABS-O USGSE US N 2 2058-03-25 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31395KL92 188377.98000000 PA USD 184991.72000000 0.003001726651 Long ABS-O USGSE US N 2 2034-12-15 Fixed 4.00000000 N N N N N N PMT LOAN TRUST 2025-INV2 N/A 729911BE6 13227499.62000000 PA USD 13287205.91000000 0.215601866407 Long ABS-O CORP US N 2 2057-01-25 Variable 5.06190000 N N N N N N METLIFE SECURITIZATION TRUST 2017-1 N/A 59166DAA5 3365543.48000000 PA USD 3266141.48000000 0.052997312136 Long ABS-O CORP US N 2 2057-03-25 Variable 3.45671100 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B9JR9 11969763.00000000 PA USD 3527758.48000000 0.057242381707 Long ABS-O USGSE US N 2 2050-03-25 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380VVB4 998721.53000000 PA USD 752394.26000000 0.012208556699 Long ABS-O USGA US N 2 2047-09-20 Fixed 2.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383RAN7 35938333.52000000 PA USD 29826329.89000000 0.483970251979 Long ABS-O USGA US N 2 2051-08-20 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3132E0NW8 8182172.27000000 PA USD 7830751.41000000 0.127063931334 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FUAH7 3748773.75000000 PA USD 3673172.98000000 0.059601917475 Long ABS-O USGSE US N 2 2050-07-25 Floating 4.15964000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3137FUZZ0 29273633.00000000 PA USD 1830169.97000000 0.029696842515 Long ABS-O USGSE US N 2 2030-05-25 Variable 1.76927200 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B4CS5 9544226.58000000 PA USD 8572459.20000000 0.139099086425 Long ABS-O USGSE US N 2 2056-11-25 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FTG68 37600000.00000000 PA USD 1991766.00000000 0.032318944250 Long ABS-O USGSE US N 2 2028-11-25 Variable 2.63487000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380RVN7 27111642.67000000 PA USD 1848319.97000000 0.029991349419 Long ABS-O USGA US N 2 2061-01-16 Variable 0.94027000 N N N N N N FANNIE MAE REMIC TRUST 2019-33 N/A 3136B47H5 3172064.49000000 PA USD 3123169.65000000 0.050677411805 Long ABS-O USGSE US N 2 2049-07-25 Floating 4.20964000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H9M71 641672.89000000 PA USD 635341.44000000 0.010309225370 Long ABS-O USGSE US N 2 2032-01-25 Fixed 3.78000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380AAW7 1164993.40000000 PA USD 1058009.96000000 0.017167561306 Long ABS-O USGA US N 2 2036-08-20 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128M9PN6 207467.78000000 PA USD 200132.37000000 0.003247403012 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 4.00000000 N N N N N N J P MORGAN CHASE COMMERCIAL MORTGAG N/A 46592UAA8 6215000.00000000 PA USD 6227443.05000000 0.101048207849 Long ABS-O CORP US N 2 2041-01-15 Floating 5.29871000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140X4NB8 1083851.72000000 PA USD 1043938.00000000 0.016939225803 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 91282CKL4 30000000.00000000 PA USD 32677616.31000000 0.530236011536 Long DBT UST US N 2 2029-04-15 Fixed 2.12500000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 9128337V6 23400000.00000000 PA USD 16554064.88000000 0.268610820734 Long DBT UST US N 2 2034-05-15 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379XQF0 309039.58150000 PA USD 62371.36000000 0.001012054883 Long ABS-O USGA US N 2 2046-06-20 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H9DF3 7871994.00000000 PA USD 5916230.94000000 0.095998394350 Long ABS-O USGSE US N 2 2048-11-25 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FRV99 150334000.00000000 PA USD 11078458.23000000 0.179762117595 Long ABS-O USGSE US N 2 2033-05-27 Variable 1.83575260 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36296DEE4 9529.56000000 PA USD 9944.84000000 0.000161367715 Long ABS-MBS USGA US N 2 2038-08-15 Fixed 6.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396WK70 404312.97000000 PA USD 421863.95000000 0.006845280761 Long ABS-O USGSE US N 2 2037-07-25 Fixed 6.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138MBZ58 81958.47000000 PA USD 78880.36000000 0.001279934468 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BKYF1 14641194.51000000 PA USD 12834129.97000000 0.208250131291 Long ABS-O USGSE US N 2 2045-08-15 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31412NZ33 4960.25000000 PA USD 5023.55000000 0.000081513507 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31394C7D8 1479822.30000000 PA USD 1448018.85000000 0.023495953082 Long ABS-O USGSE US N 2 2035-05-25 Variable 4.19303000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31393JLU0 76021.14000000 PA USD 76509.86000000 0.001241470082 Long ABS-O USGSE US N 2 2033-01-15 Fixed 5.30000000 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2025-PJ10 N/A 36273RBA1 7313365.25000000 PA USD 7324354.31000000 0.118846992374 Long ABS-O CORP US N 2 2056-05-25 Variable 5.01190000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3622AAEZ3 2769017.56000000 PA USD 2688097.29000000 0.043617807741 Long ABS-MBS USGA US N 2 2045-03-15 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136FCEX0 19171.77000000 PA USD 1829.55000000 0.000029686782 Long ABS-MBS USGSE US N 2 2033-12-25 Fixed 7.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138ERNT3 9435986.08000000 PA USD 9080951.54000000 0.147350023326 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XJCZ4 6108642.41000000 PA USD 5886603.22000000 0.095517646797 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31416XYC8 748647.35000000 PA USD 757067.81000000 0.012284391010 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378HPP5 251623.00000000 PA USD 198309.42000000 0.003217823323 Long ABS-O USGA US N 2 2042-09-16 Fixed 2.75000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380MC82 19987748.03000000 PA USD 12614271.78000000 0.204682651684 Long ABS-O USGA US N 2 2061-01-16 Fixed 2.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31419AEK9 96680.08000000 PA USD 95924.11000000 0.001556491055 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 4.50000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912810RN0 5000000.00000000 PA USD 3679101.55000000 0.059698116086 Long DBT UST US N 2 2045-08-15 Fixed 2.87500000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31417YKH9 10475.96000000 PA USD 10576.02000000 0.000171609416 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 5.00000000 N N N N N N COMM 2024-277P MORTGAGE TRUST N/A 12654FAC4 41260000.00000000 PA USD 892585.83000000 0.014483343765 Long ABS-O CORP US N 2 2044-08-11 Variable 0.89432070 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36241KB72 4570.95000000 PA USD 4704.45000000 0.000076335702 Long ABS-MBS USGA US N 2 2035-01-15 Fixed 5.50000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 9128337W4 70333000.00000000 PA USD 48489130.19000000 0.786797995022 Long DBT UST US N 2 2034-11-15 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136FAJF8 32262.40940000 PA USD 4293.11000000 0.000069661186 Long ABS-MBS USGSE US N 2 2032-04-25 Fixed 7.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 31427NVR7 64209990.15000000 PA USD 59036586.75000000 0.957943933122 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137AT7D8 2447000.00000000 PA USD 2269327.25000000 0.036822729617 Long ABS-O USGSE US N 2 2042-08-15 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38375KYH9 109839.92000000 PA USD 2621.40000000 0.000042535559 Long ABS-O USGA US N 2 2037-07-20 Floating 2.97451000 N N N N N N PRPM 2024-8 LLC N/A 74448KAA8 334340.93000000 PA USD 334454.61000000 0.005426952711 Long ABS-O CORP US N 2 2029-12-25 Variable 5.89700000 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2019-PJ3 N/A 36257QAA4 215272.91000000 PA USD 202608.08000000 0.003287574565 Long ABS-O CORP US N 2 2050-03-25 Variable 3.50000000 N N N N N N ARROYO MORTGAGE TRUST 2019-3 N/A 04285AAC9 1214129.92000000 PA USD 1170014.75000000 0.018984981909 Long ABS-O CORP US N 2 2048-10-25 Variable 3.41600000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38375GHS3 6711842.00000000 PA USD 4149900.36000000 0.067337427378 Long ABS-O USGA US N 2 2042-07-16 Floating 0.35493000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138EJLY2 38080.18000000 PA USD 40375.20000000 0.000655139126 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BRX93 11093678.97000000 PA USD 10007726.50000000 0.162388129341 Long ABS-O USGSE US N 2 2045-10-25 Fixed 4.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834AT5 3833000.00000000 PA USD 2144867.80000000 0.034803216267 Long DBT UST US N 2 2038-08-15 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XCDY1 4995028.97000000 PA USD 4777276.93000000 0.077517412571 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31359KW45 177.28530000 PA USD 1.16000000 0.000000018822 Long ABS-O USGSE US N 2 2026-12-18 Fixed 7.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383P4Q1 17556958.35000000 PA USD 13801740.91000000 0.223950853175 Long ABS-O USGA US N 2 2052-04-20 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31397JSA3 25148.06600000 PA USD 24851.01000000 0.000403239339 Long ABS-O USGSE US N 2 2037-07-15 Floating 4.05428000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36198TAS1 471311.30000000 PA USD 459676.94000000 0.007458844762 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 4.50000000 N N N N N N BX TRUST 2018-BILT N/A 12433GAA4 5740000.00000000 PA USD 5752083.85000000 0.093334898412 Long ABS-O CORP US N 2 2042-07-15 Floating 5.25471000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620C1FT8 195526.82000000 PA USD 196275.22000000 0.003184815833 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138EGGW8 36571.86000000 PA USD 37252.51000000 0.000604469497 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380HCX8 1776096.77900000 PA USD 173129.65000000 0.002809249433 Long ABS-O USGA US N 2 2041-06-20 Fixed 7.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H7UG6 9596249.04000000 PA USD 8576443.18000000 0.139163731582 Long ABS-O USGSE US N 2 2052-06-25 Fixed 4.50000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797TS6 50000000.00000000 PA USD 49910356.00000000 0.809859196850 Long DBT UST US N 2 2026-05-19 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620ABW93 68568.31000000 PA USD 67853.84000000 0.001101015115 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 4.50000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -45.00000000 NC USD -44648.46000000 -0.00072447822 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-09-30 0.00000000 USD 100000.00000000 108.00000000 USD 2026-08-21 XXXX -12071.01000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379QT54 19959.77000000 PA USD 19775.31000000 0.000320879632 Long ABS-O USGA US N 2 2034-04-20 Variable 4.17589000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H4CM0 55000000.00000000 PA USD 5600947.00000000 0.090882510215 Long ABS-O USGSE US N 2 2033-04-27 Variable 1.85000010 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B9HC4 3717585.95000000 PA USD 3639424.82000000 0.059054310526 Long ABS-O USGSE US N 2 2050-04-25 Floating 4.15964000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620AAST6 136708.06000000 PA USD 139202.16000000 0.002258732626 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31397F5S7 22358.62000000 PA USD 23373.52000000 0.000379265179 Long ABS-O USGSE US N 2 2037-02-15 Fixed 6.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620AAV96 106822.25000000 PA USD 105700.92000000 0.001715132269 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HAXP6 4508131.31000000 PA USD 3576783.39000000 0.058037873413 Long ABS-O USGSE US N 2 2053-11-25 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B7LQ2 11930696.24000000 PA USD 10397036.26000000 0.168705176840 Long ABS-O USGSE US N 2 2042-11-25 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374KPS6 288721.55000000 PA USD 286918.54000000 0.004655619334 Long ABS-O USGA US N 2 2035-01-16 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AUKR1 142512.45000000 PA USD 139721.57000000 0.002267160716 Long ABS-O USGSE US N 2 2046-11-25 Variable 4.20304000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834LK2 5000000.00000000 PA USD 2225026.25000000 0.036103889377 Long DBT UST US N 2 2042-05-15 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137B1GZ9 550547.60000000 PA USD 9916.79000000 0.000160912568 Long ABS-O USGSE US N 2 2028-04-15 Fixed 3.00000000 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PHH N/A 46650FAA0 3561389.85000000 PA USD 2368431.09000000 0.038430815847 Long ABS-O CORP US N 2 2035-06-15 Floating 4.63000000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K115 N/A 3137FWGB0 55537412.00000000 PA USD 3200576.62000000 0.051933438642 Long ABS-O USGSE US N 2 2030-07-25 Variable 1.64407400 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36176LGK5 584162.76000000 PA USD 577727.95000000 0.009374372997 Long ABS-MBS USGA US N 2 2041-07-20 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3137F9CT6 4725000.00000000 PA USD 4212685.26000000 0.068356192475 Long ABS-O USGSE US N 2 2030-12-25 Fixed 1.65800000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31398QFX0 303945.28000000 PA USD 308517.35000000 0.005006087580 Long ABS-O USGSE US N 2 2040-05-15 Fixed 5.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797TR8 75000000.00000000 PA USD 74918202.75000000 1.215643412934 Long DBT UST US N 2 2026-05-12 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136A94X3 4895340.74520000 PA USD 494265.91000000 0.008020094925 Long ABS-O USGSE US N 2 2042-11-25 Floating 2.34036000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379WTL6 8145.94000000 PA USD 8220.35000000 0.000133385665 Long ABS-O USGA US N 2 2031-03-20 Variable 5.38130000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ATM76 2194544.41000000 PA USD 365234.95000000 0.005926402994 Long ABS-O USGSE US N 2 2046-08-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XFCL3 10537322.86000000 PA USD 9643357.78000000 0.156475782033 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N First Trust Exchange-Traded Fund IV 2549004N8C03JQQ2OB54 33738D770 22500.00000000 NS USD 464625.00000000 0.007539133348 Long EC RF US N 1 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H13X2 31542632.59000000 PA USD 716042.99000000 0.011618710970 Long ABS-O USGSE US N 2 2031-01-25 Variable 1.37140120 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36179RGE3 25051.91000000 PA USD 26344.09000000 0.000427466467 Long ABS-MBS USGA US N 2 2045-03-20 Fixed 6.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31395K2B8 801627.50000000 PA USD 846075.34000000 0.013728651731 Long ABS-O USGSE US N 2 2034-11-15 Fixed 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 35564CSK4 23026624.55000000 PA USD 23483875.75000000 0.381055842475 Long ABS-O USGSE US N 2 2034-10-25 Floating 4.89516000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378BM63 20582077.70000000 PA USD 13415859.28000000 0.217689431459 Long ABS-O USGA US N 2 2055-01-16 Variable 2.45968000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HHF89 13250541.02000000 PA USD 13348107.40000000 0.216590070774 Long ABS-O USGSE US N 2 2054-11-25 Floating 4.74516000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374KPT4 288721.55000000 PA USD 287283.14000000 0.004661535434 Long ABS-O USGA US N 2 2035-01-16 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380JLF3 4729826.44000000 PA USD 2581317.44000000 0.041885168456 Long ABS-O USGA US N 2 2059-10-16 Fixed 2.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138A2HT9 60996.28000000 PA USD 60514.84000000 0.000981930477 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136A4N88 776952.00000000 PA USD 759780.58000000 0.012328409164 Long ABS-O USGSE US N 2 2042-04-25 Fixed 4.25000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AL2S9 10790.71630000 PA USD 73.80000000 0.000001197499 Long ABS-O USGSE US N 2 2026-12-25 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31419MB59 344023.27000000 PA USD 347429.38000000 0.005637484906 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H9UC1 4899096.40000000 PA USD 4914468.29000000 0.079743517403 Long ABS-O USGSE US N 2 2032-02-25 Fixed 4.36300000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140W1QA4 22185139.48000000 PA USD 21978061.84000000 0.356622090815 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383PF22 19425506.93000000 PA USD 15258479.28000000 0.247588291593 Long ABS-O USGA US N 2 2052-04-20 Fixed 3.50000000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES N/A 35563PFG9 4068775.11000000 PA USD 3971874.38000000 0.064448728744 Long ABS-O USGSE US N 2 2057-11-26 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 31427RHA1 19759144.15000000 PA USD 18199613.39000000 0.295311944539 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31393LYD9 465000.00000000 PA USD 472497.10000000 0.007666868213 Long ABS-O USGSE US N 2 2033-03-15 Fixed 5.25000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396WSC1 664174.53000000 PA USD 659583.82000000 0.010702588912 Long ABS-O USGSE US N 2 2037-07-25 Fixed 4.75000000 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2024-R04 N/A 20753GAA9 4224650.09000000 PA USD 4230315.77000000 0.068642269991 Long ABS-O USGSE US N 2 2044-05-25 Floating 4.64516000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES N/A 3137BKRL6 8120218.56000000 PA USD 812.83000000 0.000013189203 Long ABS-O USGSE US N 2 2043-06-25 Variable 4.19796100 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H2NA8 58530863.00000000 PA USD 2605542.34000000 0.042278248362 Long ABS-O USGSE US N 2 2031-07-25 Variable 1.03903200 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BFTY9 5912139.32000000 PA USD 5432309.50000000 0.088146151646 Long ABS-O USGSE US N 2 2036-04-25 Fixed 1.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398GTS8 325796.28000000 PA USD 308932.77000000 0.005012828299 Long ABS-O USGSE US N 2 2040-01-25 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AWC96 597364.00000000 PA USD 441413.29000000 0.007162493742 Long ABS-O USGSE US N 2 2047-06-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31374CST4 20734012.23000000 PA USD 19054566.57000000 0.309184650550 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38377U2F4 26668.26140000 PA USD 114.75000000 0.000001861965 Long ABS-O USGA US N 2 2038-02-20 Fixed 6.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620AR3D1 110396.95000000 PA USD 105069.02000000 0.001704878886 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 4.00000000 N N N N N N CSMC 2020-West N/A 12662GAC2 397951.83000000 PA USD 396952.41000000 0.006441059245 Long ABS-O CORP US N 2 2060-12-27 Variable 4.15482900 N N N N N N PRPM 2026-NQM1 TRUST N/A 74391DAC7 3409019.89000000 PA USD 3403641.48000000 0.055228425045 Long ABS-O CORP US N 2 2071-02-25 Variable 5.13400000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3617G6N86 294490.51000000 PA USD 293582.84000000 0.004763756103 Long ABS-MBS USGA US N 2 2035-06-20 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378PXC7 688000.00000000 PA USD 656208.90000000 0.010647826529 Long ABS-O USGA US N 2 2043-12-20 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BACY8 5648050.54000000 PA USD 5533998.89000000 0.089796191724 Long ABS-O USGSE US N 2 2050-06-25 Floating 4.20964000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797TP2 10000000.00000000 PA USD 9917172.90000000 0.160918781661 Long DBT UST US N 2 2026-07-23 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136A0JB4 95115.10000000 PA USD 9469.72000000 0.000153658287 Long ABS-O USGSE US N 2 2033-12-25 Floating 4.50000000 N N N N N N Fnma Pass-Thru I B1V7KEBTPIMZEU4LTD58 3140W5WG5 11501742.77000000 PA USD 11410978.49000000 0.185157683010 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136A8ZJ2 326569.32000000 PA USD 3569.40000000 0.000057918068 Long ABS-O USGSE US N 2 2027-09-25 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3622AAPD0 841202.81000000 PA USD 733952.73000000 0.011909319349 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3137H13R5 132385810.85000000 PA USD 5193826.32000000 0.084276457817 Long ABS-O USGSE US N 2 2031-05-25 Variable 1.13363800 N N N N N N TRK 2021-INV1 TRUST N/A 89688WAA9 2334126.63000000 PA USD 2113701.28000000 0.034297499721 Long ABS-O CORP US N 2 2056-07-25 Variable 1.15300000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BRSL2 13053136.70000000 PA USD 11847662.56000000 0.192243439125 Long ABS-O USGSE US N 2 2044-05-25 Fixed 4.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912810RU4 3718000.00000000 PA USD 2692500.09000000 0.043689248788 Long DBT UST US N 2 2046-11-15 Fixed 2.87500000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H4RF9 9251265.02000000 PA USD 7935327.15000000 0.128760806123 Long ABS-O USGSE US N 2 2035-11-25 Fixed 1.91200000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3617AVJN9 82103.35000000 PA USD 77279.89000000 0.001253964801 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BQLA5 6484589.07000000 PA USD 5317706.72000000 0.086286575342 Long ABS-O USGSE US N 2 2053-10-25 None 0.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834JB5 28500000.00000000 PA USD 14103075.38000000 0.228840389364 Long DBT UST US N 2 2040-08-15 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383PD40 14712960.64000000 PA USD 14212693.49000000 0.230619083039 Long ABS-O USGA US N 2 2049-02-20 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31396HX79 86277.47000000 PA USD 91765.05000000 0.001489005001 Long ABS-O USGSE US N 2 2036-02-15 Fixed 6.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136A92Y3 98965.81850000 PA USD 14349.86000000 0.000232844784 Long ABS-O USGSE US N 2 2042-11-25 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BLDP0 345401.69000000 PA USD 354024.02000000 0.005744491353 Long ABS-O USGSE US N 2 2038-05-15 Variable 5.40906000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31393BKD6 32138.79750000 PA USD 4458.14000000 0.000072339008 Long ABS-O USGSE US N 2 2033-05-25 Fixed 6.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FQEU3 6459937.43000000 PA USD 756341.75000000 0.012272609760 Long ABS-O USGSE US N 2 2049-12-25 Floating 2.24036000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398NNU4 52409.78000000 PA USD 46024.33000000 0.000746803467 Long ABS-O USGSE US N 2 2040-04-25 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ARBM9 4587286.03000000 PA USD 4215938.34000000 0.068408977848 Long ABS-O USGSE US N 2 2046-02-25 Fixed 2.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 01F030678 4951000.00000000 PA USD 4329318.53000000 0.070248716070 Long ABS-MBS USGSE US N 2 2056-07-15 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31410FWY7 39230.84000000 PA USD 41415.05000000 0.000672012019 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 7.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140X6KR1 67077369.01000000 PA USD 64491031.34000000 1.046449254841 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31374CR81 14111116.13000000 PA USD 12995129.20000000 0.210862549184 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3617AVJA7 246858.48000000 PA USD 234798.28000000 0.003809901625 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137B1HG0 826035.00000000 PA USD 753810.88000000 0.012231543166 Long ABS-O USGSE US N 2 2043-04-15 Fixed 4.00000000 N N N N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1 N/A 617946AA6 3340900.99000000 PA USD 3256736.34000000 0.052844701742 Long ABS-O CORP US N 2 2065-02-25 Variable 4.25000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137ATPL0 1682464.72000000 PA USD 167404.57000000 0.002716352706 Long ABS-O USGSE US N 2 2042-08-15 Floating 2.29572000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383RPG6 10497936.73000000 PA USD 10327017.72000000 0.167569036706 Long ABS-O USGA US N 2 2052-04-20 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396YJD5 147759.59750000 PA USD 144137.37000000 0.002338812704 Long ABS-O USGSE US N 2 2038-02-25 Floating 4.30964000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3132DNNE9 4180190.70000000 PA USD 3759683.54000000 0.061005661673 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38377VQW9 3580194.83000000 PA USD 19437.59000000 0.000315399694 Long ABS-O USGA US N 2 2038-02-20 Floating 2.69451000 N N N N N N NY COMMERCIAL MORTGAGE TRUST 2025-299P N/A 62957FAA7 3230000.00000000 PA USD 3355405.07000000 0.054445727758 Long ABS-O CORP US N 2 2047-02-12 Variable 5.85250000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381ATW6 10000000.00000000 PA USD 9206763.00000000 0.149391474762 Long ABS-O USGA US N 2 2048-10-20 Fixed 3.50000000 N N N N N N HOMES 2024-AFC1 TRUST 2549009KYOPIDSS2IL61 403945AC2 3857496.72000000 PA USD 3866716.91000000 0.062742414644 Long ABS-O CORP US N 2 2059-08-25 Fixed 5.22400000 N N N N N N BANK 2019-BNK23 N/A 06541RBC6 7661670.10000000 PA USD 155560.25000000 0.002524163504 Long ABS-O CORP US N 2 2052-12-17 Variable 0.79806600 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H6KT1 15873716.63000000 PA USD 15473021.16000000 0.251069507288 Long ABS-O USGSE US N 2 2052-03-25 Floating 3.94516000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912810RT7 15562000.00000000 PA USD 10050255.66000000 0.163078219216 Long DBT UST US N 2 2046-08-15 Fixed 2.25000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31397AM59 3302830.26000000 PA USD 3404425.98000000 0.055241154559 Long ABS-O USGSE US N 2 2032-04-15 Fixed 6.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BATB0 10938419.99000000 PA USD 10712136.90000000 0.173818086699 Long ABS-O USGSE US N 2 2050-07-25 Floating 4.15964000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834EV6 22500000.00000000 PA USD 11673448.43000000 0.189416592620 Long DBT UST US N 2 2039-11-15 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AFNG5 13145010.24000000 PA USD 11005582.27000000 0.178579612176 Long ABS-O USGSE US N 2 2043-07-25 Fixed 3.25000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137B32M9 15831343.07000000 PA USD 14991349.42000000 0.243253768836 Long ABS-O USGSE US N 2 2043-06-15 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3137H13T1 43636000.00000000 PA USD 2346063.36000000 0.038067870894 Long ABS-O USGSE US N 2 2031-05-25 Variable 1.32168200 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H7FG3 3438053.06000000 PA USD 3346677.52000000 0.054304112125 Long ABS-O USGSE US N 2 2044-08-25 Fixed 3.50000000 N N N N N N HOUSTON GALLERIA MALL TRUST 2025-HGLR N/A 44216XAA3 5425000.00000000 PA USD 5558222.81000000 0.090189255729 Long ABS-O CORP US N 2 2045-02-07 Variable 5.64391200 N N N N N N PRPM 2024-RPL4 LLC N/A 74448MAA4 14052615.31000000 PA USD 13734584.95000000 0.222861162053 Long ABS-O CORP US N 2 2054-12-25 Variable 4.00000000 N N N N N N JP MORGAN MORTGAGE TRUST 2019-INV2 N/A 46651DAR7 824573.76000000 PA USD 747794.65000000 0.012133922159 Long ABS-O CORP US N 2 2050-02-25 Variable 3.50000000 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2022-2 N/A 85571RAA8 6338685.40000000 PA USD 6323310.92000000 0.102603786338 Long ABS-O CORP US N 2 2067-03-25 Variable 4.16100000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374NV20 231864.22320000 PA USD 231619.05000000 0.003758314563 Long ABS-O USGA US N 2 2036-11-20 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31397PRT9 123281.44000000 PA USD 127694.95000000 0.002072013464 Long ABS-O USGSE US N 2 2038-01-15 Fixed 6.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31396CNQ9 1180529.63000000 PA USD 1240912.78000000 0.020135392890 Long ABS-O USGSE US N 2 2035-10-15 Fixed 6.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374XAM7 22535.02620000 PA USD 628.73000000 0.000010201946 Long ABS-O USGA US N 2 2039-03-20 Floating 2.52451000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -72.00000000 NC USD -40500.00000000 -0.00065716416 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 119.00000000 USD 2026-08-21 XXXX 35811.36000000 N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K115 N/A 3137FWG95 155632204.63590000 PA USD 7137355.16000000 0.115812692610 Long ABS-O USGSE US N 2 2030-06-25 Variable 1.41087600 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374GSA1 52181.46000000 PA USD 52133.81000000 0.000845937574 Long ABS-O USGA US N 2 2034-04-17 Fixed 6.00000000 N N N N N N BRAVO RESIDENTIAL FUNDING TRUST 2025-CES1 254900AZU85EXAPTTF77 105927AC1 743319.51000000 PA USD 747962.58000000 0.012136647038 Long ABS-O CORP US N 2 2065-03-25 Variable 5.57300000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31397RCQ7 68553.06000000 PA USD 70466.38000000 0.001143406909 Long ABS-O USGSE US N 2 2037-04-15 Fixed 5.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31418DW99 11337014.97000000 PA USD 8478729.48000000 0.137578202146 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 1.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132GHBH5 116068.23000000 PA USD 114983.03000000 0.001865746345 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36241LDP8 27527.42000000 PA USD 27376.65000000 0.000444221070 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31393NTQ2 4088.99000000 PA USD 4109.34000000 0.000066679283 Long ABS-O USGSE US N 2 2033-04-15 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3617BFRC8 210217.29000000 PA USD 204813.49000000 0.003323360156 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380XDR5 2774479.33060000 PA USD 320828.03000000 0.005205844067 Long ABS-O USGA US N 2 2048-06-20 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31393YES0 53506.87000000 PA USD 53470.95000000 0.000867634376 Long ABS-O USGSE US N 2 2034-05-25 Fixed 5.50000000 N N N N N N CIM TRUST 2019-INV1 N/A 12555DAL9 615564.71000000 PA USD 588638.62000000 0.009551412537 Long ABS-O CORP US N 2 2049-02-25 Variable 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BMNB8 321349.30000000 PA USD 236067.50000000 0.003830496339 Long ABS-O USGSE US N 2 2045-12-15 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AAZM0 435138.00000000 PA USD 224647.69000000 0.003645195353 Long ABS-O USGSE US N 2 2042-12-25 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31397SMA9 159188.33300000 PA USD 156846.67000000 0.002545037310 Long ABS-O USGSE US N 2 2041-04-25 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379WN99 621305.24000000 PA USD 125562.68000000 0.002037414663 Long ABS-O USGA US N 2 2046-05-20 Fixed 4.50000000 N N N N N N PRPM 2024-RCF2 LLC N/A 693987AB5 7840000.00000000 PA USD 7636388.14000000 0.123910139328 Long ABS-O CORP US N 2 2054-03-25 Variable 3.75000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H7WJ8 8917916.00000000 PA USD 7705737.57000000 0.125035422299 Long ABS-O USGSE US N 2 2044-09-25 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396VCB2 7542.32500000 PA USD 7447.60000000 0.000120846810 Long ABS-O USGSE US N 2 2037-04-25 Floating 4.08964000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H8VE8 9767373.88000000 PA USD 8885782.43000000 0.144183155538 Long ABS-O USGSE US N 2 2052-09-25 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31374CR57 13886070.00000000 PA USD 12246366.33000000 0.198712916420 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382FJZ8 3000000.00000000 PA USD 603095.70000000 0.009785997103 Long ABS-O USGA US N 2 2050-01-20 Fixed 2.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 20753UAA8 1074801.53000000 PA USD 1075054.97000000 0.017444138338 Long ABS-O USGSE US N 2 2044-01-25 Floating 4.69516000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31342WBL4 358882.96000000 PA USD 361037.96000000 0.005858301477 Long ABS-MBS USGSE US N 2 2048-12-01 Variable 5.06800000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P4 N/A 29429EAF8 58185054.45000000 PA USD 2938.35000000 0.000047678477 Long ABS-O CORP US N 2 2049-07-12 Variable 1.89768300 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2025-R03 N/A 20754TAB8 4862955.68000000 PA USD 4872530.84000000 0.079063028777 Long ABS-O USGSE US N 2 2045-02-27 Floating 4.64516000 N N N N N N ARROYO MORTGAGE TRUST 2019-2 N/A 042858AD2 9000000.00000000 PA USD 8732226.60000000 0.141691516305 Long ABS-O CORP US N 2 2049-04-25 Fixed 4.76000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797TT4 50000000.00000000 PA USD 49875694.50000000 0.809296769795 Long DBT UST US N 2 2026-05-26 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140HBDE5 284071.57000000 PA USD 279526.16000000 0.004535668538 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3132AA2H6 20402315.08990000 PA USD 18997677.92000000 0.308261559631 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FQPH0 6773872.00380000 PA USD 720068.69000000 0.011684033088 Long ABS-O USGSE US N 2 2050-01-25 Floating 2.24036000 N N N N N N GCAT 2019-NQM3 TRUST N/A 36173VBA3 10693686.89000000 PA USD 10750081.12000000 0.174433780074 Long ABS-O CORP US N 2 2055-12-25 Variable 5.16190000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36291URZ0 57048.30000000 PA USD 60103.60000000 0.000975257584 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 5.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BDUX4 9295206.69000000 PA USD 780774.12000000 0.012669056132 Long ABS-O USGSE US N 2 2051-01-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XJHB2 13673907.21000000 PA USD 12503039.39000000 0.202877764257 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3617AVHG6 329468.65000000 PA USD 309651.25000000 0.005024486554 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36297BH87 147392.61000000 PA USD 148402.22000000 0.002408015336 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138WHS45 25536457.65000000 PA USD 22909806.47000000 0.371740836066 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -111.00000000 NC USD -27750.00000000 -0.00045027915 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long United States Treasury Notes T 3.375 05/15/33 2026-09-21 0.00000000 USD 100000.00000000 114.00000000 USD 2026-08-21 XXXX 28615.43000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376MDW4 1536175.34000000 PA USD 198535.76000000 0.003221495978 Long ABS-O USGA US N 2 2047-01-20 Floating 2.32451000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396X7A6 158450.39000000 PA USD 162327.01000000 0.002633962818 Long ABS-O USGSE US N 2 2035-08-25 Fixed 5.50000000 N N N N N N BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM1 N/A 10569TAC2 1794061.01000000 PA USD 1708039.73000000 0.027715123569 Long ABS-O CORP US N 2 2049-02-25 Variable 1.33200000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31398JGX5 918797.62000000 PA USD 911686.68000000 0.014793279423 Long ABS-O USGSE US N 2 2039-08-15 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383P4G3 12991946.00000000 PA USD 11355171.27000000 0.184252139672 Long ABS-O USGA US N 2 2052-04-20 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FQXL2 64546758.17850000 PA USD 96781.41000000 0.001570401841 Long ABS-O USGSE US N 2 2026-10-25 Variable 0.71729300 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398PEC9 193754.33000000 PA USD 192995.61000000 0.003131599977 Long ABS-O USGSE US N 2 2040-04-25 Fixed 4.50000000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2019-K103 N/A 3137FQKS1 59029000.00000000 PA USD 1666952.99000000 0.027048438798 Long ABS-O USGSE US N 2 2029-11-25 Variable 1.01791400 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398PMS5 250333.87000000 PA USD 253912.94000000 0.004120061368 Long ABS-O USGSE US N 2 2040-05-25 Fixed 5.00000000 N N N N N N GSMS TRUST 2024-FAIR N/A 36270JAA3 4025000.00000000 PA USD 4100087.18000000 0.066529144985 Long ABS-O CORP US N 2 2029-07-15 Variable 6.07208400 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -244.00000000 NC USD -3812.50000000 -0.00006186267 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 107.00000000 USD 2026-05-22 XXXX 35048.22000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BRVQ7 25281913.27000000 PA USD 19752422.59000000 0.320508254731 Long ABS-O USGSE US N 2 2054-05-25 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 35564C2S5 29887000.00000000 PA USD 25422808.70000000 0.412517503090 Long ABS-O USGSE US N 2 2035-10-25 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B8D30 12175339.48000000 PA USD 11947523.05000000 0.193863802967 Long ABS-O USGSE US N 2 2050-03-25 Floating 4.20964000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398GMM8 35490.24000000 PA USD 35930.51000000 0.000583018361 Long ABS-O USGSE US N 2 2040-01-25 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FFXM4 158193871.94350000 PA USD 1928320.02000000 0.031289452286 Long ABS-O USGSE US N 2 2031-01-25 Variable 0.39845800 N N N N N N BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM1 N/A 10569TAB4 717624.50000000 PA USD 683396.25000000 0.011088975966 Long ABS-O CORP US N 2 2049-02-25 Variable 1.26000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 01F042673 -63285000.00000000 PA USD -60788765.58000000 -0.98637526989 Short ABS-MBS USGSE US N 2 2056-07-15 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137B8YJ0 15872435.81000000 PA USD 14646010.79000000 0.237650209015 Long ABS-O USGSE US N 2 2044-03-15 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ALRP8 44923.88680000 PA USD 1939.82000000 0.000031476054 Long ABS-O USGSE US N 2 2043-10-25 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36230N2R5 53496.39000000 PA USD 53899.48000000 0.000874587822 Long ABS-MBS USGA US N 2 2042-03-20 Fixed 4.50000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -586.00000000 NC USD -155656.25000000 -0.00252572122 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-09-30 0.00000000 USD 100000.00000000 109.50000000 USD 2026-08-21 XXXX 74316.38000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31395DAL3 33101.25370000 PA USD 34303.18000000 0.000556612856 Long ABS-O USGSE US N 2 2036-05-25 Fixed 6.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132DNBX0 11986182.42000000 PA USD 10972490.48000000 0.178042655668 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FYUN4 64367000.00000000 PA USD 2123061.82000000 0.034449386424 Long ABS-O USGSE US N 2 2031-03-25 Variable 0.82744900 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31393RFB1 615000.00000000 PA USD 622316.29000000 0.010097875695 Long ABS-O USGSE US N 2 2033-05-15 Fixed 5.00000000 N N N N N N SKY1 TRUST 2025-LINE N/A 830941AA8 1218648.87000000 PA USD 1224108.90000000 0.019862728500 Long ABS-O CORP US N 2 2042-04-15 Fixed 6.91574000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 9128284N7 18000000.00000000 PA USD 17644570.38000000 0.286305663632 Long DBT UST US N 2 2028-05-15 Fixed 2.87500000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31418CPH1 80517.77000000 PA USD 80952.03000000 0.001313549957 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 01F052672 81494000.00000000 PA USD 81733844.99000000 1.326235903008 Long ABS-MBS USGSE US N 2 2056-07-15 Fixed 5.50000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797TN7 10000000.00000000 PA USD 9924395.80000000 0.161035982428 Long DBT UST US N 2 2026-07-16 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FUZK3 43943640.07000000 PA USD 4523255.10000000 0.073395584323 Long ABS-O USGSE US N 2 2035-05-25 Variable 1.62133000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -57.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 128.00000000 USD 2026-05-22 XXXX 45866.29000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FMD74 5731302.71000000 PA USD 5667817.07000000 0.091967562407 Long ABS-O USGSE US N 2 2027-09-25 Fixed 2.82100000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374KFR9 146485.20600000 PA USD 146198.37000000 0.002372255058 Long ABS-O USGA US N 2 2034-12-16 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H7YC1 9012170.71000000 PA USD 4082512.43000000 0.066243972246 Long ABS-O USGSE US N 2 2051-08-25 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36186G6E9 55167.54000000 PA USD 55713.03000000 0.000904014984 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HH6L0 11475000.00000000 PA USD 11516446.55000000 0.186869036829 Long ABS-O USGSE US N 2 2032-01-25 Fixed 4.69600000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES N/A 3137FMU83 15639969.57000000 PA USD 453.56000000 0.000007359589 Long ABS-O USGSE US N 2 2026-05-25 Variable 1.08148800 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137F83U5 24471000.00000000 PA USD 1194652.20000000 0.019384755965 Long ABS-O USGSE US N 2 2030-11-25 Variable 1.29081100 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31393LFT5 53311.97000000 PA USD 54536.07000000 0.000884917307 Long ABS-O USGSE US N 2 2033-02-15 Fixed 5.50000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834FB9 42024000.00000000 PA USD 21446869.82000000 0.348002822648 Long DBT UST US N 2 2040-02-15 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38375QFE4 53331.82000000 PA USD 1732.16000000 0.000028106505 Long ABS-O USGA US N 2 2038-04-16 Floating 3.92112000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -3135.00000000 NC USD 6497423.35000000 0.105428982630 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT T 3.75 02/28/33 2026-06-18 -353208829.60000000 USD 6497423.35000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HJGG6 19981111.79000000 PA USD 20284660.84000000 0.329144499315 Long ABS-O USGSE US N 2 2055-02-25 Floating 5.24516000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FNWZ9 35100280.96000000 PA USD 32457.23000000 0.000526659962 Long ABS-O USGSE US N 2 2026-07-25 Variable 1.36922400 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B8RV3 8148585.26000000 PA USD 964144.68000000 0.015644477394 Long ABS-O USGSE US N 2 2050-02-25 Floating 2.24036000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36179NJF6 55272.02000000 PA USD 58123.14000000 0.000943122094 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 6.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137APLG3 6590.67000000 PA USD 35.22000000 0.000000571489 Long ABS-O USGSE US N 2 2027-04-15 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES N/A 36210BDM4 21897.62000000 PA USD 22084.39000000 0.000358347400 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 6.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 01F040677 48390000.00000000 PA USD 45291912.51000000 0.734919059467 Long ABS-MBS USGSE US N 2 2056-07-15 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398MUM6 92537.80000000 PA USD 81533.42000000 0.001322983751 Long ABS-O USGSE US N 2 2040-03-25 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396LC99 120182.17000000 PA USD 118891.83000000 0.001929171612 Long ABS-O USGSE US N 2 2036-12-25 Floating 4.10964000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374XSE6 52213.47000000 PA USD 627.92000000 0.000010188803 Long ABS-O USGA US N 2 2038-09-20 Floating 3.82451000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -225.00000000 NC USD -3515.63000000 -0.00005704558 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 122.00000000 USD 2026-05-22 XXXX 291269.87000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380BHQ1 365553.18000000 PA USD 256385.33000000 0.004160179050 Long ABS-O USGA US N 2 2046-10-20 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374MLY3 106338.49000000 PA USD 89875.60000000 0.001458346264 Long ABS-O USGA US N 2 2035-06-20 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FVAV4 22908897.61830000 PA USD 22372087.17000000 0.363015654453 Long ABS-O USGSE US N 2 2050-08-25 Floating 4.15964000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31398KHZ6 40998.32000000 PA USD 41003.37000000 0.000665331986 Long ABS-O USGSE US N 2 2039-08-15 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380B3G8 303000.00000000 PA USD 208769.42000000 0.003387550167 Long ABS-O USGA US N 2 2046-11-20 Fixed 2.50000000 N N N N N N FLAGSTAR MORTGAGE TRUST 2018-2 N/A 33851HAD5 74480.93000000 PA USD 71031.35000000 0.001152574268 Long ABS-O CORP US N 2 2048-04-25 Variable 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XJ5B5 31514224.17000000 PA USD 28745986.99000000 0.466440310231 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FQVN0 2038424.25000000 PA USD 2005432.35000000 0.032540698213 Long ABS-O USGSE US N 2 2050-01-25 Floating 4.25964000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128M7FQ4 57293.75000000 PA USD 58390.41000000 0.000947458891 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379ENH1 1792648.26800000 PA USD 139033.86000000 0.002256001744 Long ABS-O USGA US N 2 2044-08-20 Floating 1.82451000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -394.00000000 NC USD -788000.00000000 -0.01278630525 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 111.00000000 USD 2026-08-21 XXXX -156634.34000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38377NF41 397352.42820000 PA USD 344083.76000000 0.005583197954 Long ABS-O USGA US N 2 2040-12-20 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140QAHZ6 2779370.17000000 PA USD 2646737.65000000 0.042946694820 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374JPK6 93838.81000000 PA USD 442.97000000 0.000007187753 Long ABS-O USGA US N 2 2034-10-16 Floating 2.32112000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380MYS4 27053818.91000000 PA USD 19668288.67000000 0.319143074549 Long ABS-O USGA US N 2 2060-11-16 Fixed 2.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H7AV5 5243385.42000000 PA USD 5066656.59000000 0.082212966717 Long ABS-O USGSE US N 2 2052-05-25 Fixed 3.25000000 N N N N N N EFMT 2026-AE1 N/A 26846NBB7 1281013.86000000 PA USD 1281929.27000000 0.020800937765 Long ABS-O CORP US N 2 2060-11-25 Variable 4.81190000 N N N N N N FREDDIE MAC STACR REMIC TRUST 2024-DNA2 529900GRKKKHILZX4347 35564NCW1 5639721.31000000 PA USD 5665053.81000000 0.091922724988 Long ABS-O USGSE US N 2 2044-05-25 Floating 4.89516000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834JH2 28300000.00000000 PA USD 13785484.11000000 0.223687065857 Long DBT UST US N 2 2040-11-15 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379NPR7 2456.64080000 PA USD 0.00000000 0.000000 Long ABS-O USGA US N 2 2037-05-16 Variable 0.01000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HAMP8 10000000.00000000 PA USD 10322790.00000000 0.167500436555 Long ABS-O USGSE US N 2 2031-06-25 Variable 5.43000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -90.00000000 NC USD -26718.75000000 -0.00043354580 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 111.00000000 USD 2026-05-22 XXXX 10170.45000000 N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -2881.00000000 NC USD 3286010.91000000 0.053319718986 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT T 3.625 08/31/30 2026-06-30 -313961348.29000000 USD 3286010.91000000 N N N OBX 2026-J1 TRUST N/A 67123TAU1 5604078.51000000 PA USD 5612353.49000000 0.091067595066 Long ABS-O CORP US N 2 2056-01-25 Variable 5.01190000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K120 N/A 3137F72T1 77535017.00000000 PA USD 3766938.01000000 0.061123374703 Long ABS-O USGSE US N 2 2030-10-25 Variable 1.30629500 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383LNJ5 10173000.00000000 PA USD 9390310.74000000 0.152369770996 Long ABS-O USGA US N 2 2052-07-20 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 01F040461 8731000.00000000 PA USD 8503116.53000000 0.137973913143 Long ABS-MBS USGSE US N 2 2040-06-15 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BQBX4 8183689.25000000 PA USD 7733860.49000000 0.125491752553 Long ABS-O USGSE US N 2 2044-03-15 Variable 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132DNBS1 16637627.08000000 PA USD 15200012.65000000 0.246639595935 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.00000000 N N N N N N Fnma Pass-Thru I B1V7KEBTPIMZEU4LTD58 3140W5SV7 23571728.94000000 PA USD 21725944.94000000 0.352531172487 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 01F030660 14083000.00000000 PA USD 12323443.93000000 0.199963598808 Long ABS-MBS USGSE US N 2 2056-06-15 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FQY23 79276000.00000000 PA USD 2782143.65000000 0.045143829908 Long ABS-O USGSE US N 2 2028-09-27 Variable 1.81580000 N N N N N N EFMT 2025-NQM3 2549007I2BIJP4S0O647 281916AE6 2882906.69000000 PA USD 2875925.44000000 0.046665559088 Long ABS-O CORP US N 2 2070-12-25 Variable 5.00100000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -720.00000000 NC USD -703125.36000000 -0.01140910594 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-30 0.00000000 USD 100000.00000000 108.75000000 USD 2026-05-22 XXXX -347261.47000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FMTU6 155146029.31200000 PA USD 7446140.59000000 0.120823130130 Long ABS-O USGSE US N 2 2034-04-25 Variable 1.04579200 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 01F052664 94493000.00000000 PA USD 94867072.27000000 1.539339269713 Long ABS-MBS USGSE US N 2 2056-06-15 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137A0XA8 550000.00000000 PA USD 543376.35000000 0.008816974465 Long ABS-O USGSE US N 2 2040-08-15 Fixed 4.75000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FVAT9 29879517.07000000 PA USD 29123078.25000000 0.472559096981 Long ABS-O USGSE US N 2 2050-07-25 Floating 4.10964000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128MEZN4 438.40000000 PA USD 437.14000000 0.000007093154 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ANAM9 1867000.00000000 PA USD 1595468.19000000 0.025888506725 Long ABS-O USGSE US N 2 2045-04-25 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376CXX2 58393.75000000 PA USD 48705.44000000 0.000790307897 Long ABS-O USGA US N 2 2037-11-16 None 0.00000000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-B33RP N/A 95004RAA4 5100000.00000000 PA USD 5102699.94000000 0.082797816052 Long ABS-O CORP US N 2 2042-08-15 Floating 5.00471000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138APD62 1026883.37000000 PA USD 989368.13000000 0.016053760048 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H1YX8 66360632.63160000 PA USD 2913364.49000000 0.047273055435 Long ABS-O USGSE US N 2 2031-06-25 Variable 1.14042900 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -2524.00000000 NC USD 4861154.25000000 0.078878429091 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT T 4.75 11/15/43 2026-06-18 -289678779.25000000 USD 4861154.25000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BDZM1 400194.60000000 PA USD 5429.76000000 0.000088104782 Long ABS-O USGSE US N 2 2028-11-15 Fixed 2.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31329MUV0 8129886.71000000 PA USD 7431333.84000000 0.120582871722 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378F3M0 2223000.00000000 PA USD 1873053.34000000 0.030392679899 Long ABS-O USGA US N 2 2043-02-16 Fixed 2.62500000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379AWF3 3970293.09390000 PA USD 33629.18000000 0.000545676346 Long ABS-O USGA US N 2 2044-03-16 Variable 0.32495000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3132VMK79 1406726.50000000 PA USD 1340877.73000000 0.021757451729 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31339WW85 34316.37000000 PA USD 1520.50000000 0.000024672052 Long ABS-O USGSE US N 2 2029-01-15 Floating 4.14572000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374LCL3 58293.85200000 PA USD 57712.10000000 0.000936452445 Long ABS-O USGA US N 2 2035-05-20 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3617ARK55 641290.37000000 PA USD 624801.69000000 0.010138204481 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FTJK4 3966760.28000000 PA USD 3883302.02000000 0.063011529211 Long ABS-O USGSE US N 2 2049-07-25 Floating 4.15964000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BVXE3 5445179.54000000 PA USD 5521140.88000000 0.089587554109 Long ABS-O USGSE US N 2 2055-05-25 Floating 5.39516000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -108.00000000 NC USD -124875.00000000 -0.00202625617 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 108.00000000 USD 2026-08-21 XXXX 47529.54000000 N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797TL1 50000000.00000000 PA USD 49980361.00000000 0.810995117281 Long DBT UST US N 2 2026-05-05 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BW2X3 7284095.92000000 PA USD 6035969.00000000 0.097941297123 Long ABS-O USGSE US N 2 2048-07-25 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376FJN3 5010906.24080000 PA USD 396380.22000000 0.006431774732 Long ABS-O USGA US N 2 2035-11-16 Floating 2.47112000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31405FTE2 85474.94000000 PA USD 86627.04000000 0.001405634234 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.50000000 N N N N N N Freddie Mac Multiclass Certifi S6XOOCT0IEG5ABCC6L87 3137H1M86 100924000.00000000 PA USD 3311911.89000000 0.053739995428 Long ABS-MBS USGSE US N 2 2028-10-27 Variable 1.90332360 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912810SJ8 2000000.00000000 PA USD 1230312.50000000 0.019963389824 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 35564CCZ8 11839365.83000000 PA USD 11335617.39000000 0.183934853024 Long ABS-O USGSE US N 2 2029-09-25 Fixed 2.75000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FWHV5 70619984.85000000 PA USD 3395698.41000000 0.055099538602 Long ABS-O USGSE US N 2 2030-07-25 Variable 1.50917000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396WKF2 936697.56000000 PA USD 914627.37000000 0.014840995870 Long ABS-O USGSE US N 2 2037-06-25 Fixed 4.75000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128UNBB7 1857.37000000 PA USD 1869.52000000 0.000030335346 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.50000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -838.00000000 NC USD -602312.50000000 -0.00977328868 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-30 0.00000000 USD 200000.00000000 103.87500000 USD 2026-05-22 XXXX -394570.09000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 01F022667 2076000.00000000 PA USD 1737952.01000000 0.028200488471 Long ABS-MBS USGSE US N 2 2056-06-15 Fixed 2.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379VEB6 8120295.26000000 PA USD 7982670.06000000 0.129529005233 Long ABS-O USGA US N 2 2046-02-20 Floating 4.17549000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H7EX7 33673000.00000000 PA USD 31276095.25000000 0.507494544414 Long ABS-O USGSE US N 2 2052-05-25 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38375KWU2 55993.17000000 PA USD 47860.64000000 0.000776599939 Long ABS-O USGA US N 2 2037-07-20 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383UTR1 7043387.04000000 PA USD 6942506.02000000 0.112651016744 Long ABS-O USGA US N 2 2052-08-20 Floating 4.09014000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132GSUC1 11899.65000000 PA USD 11238.53000000 0.000182359486 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N FANNIE MAE REMIC TRUST 2007-W1 5493006KCWOV61WOTM60 31396XD43 1492982.47000000 PA USD 1501440.81000000 0.024362792533 Long ABS-O USGSE US N 2 2047-06-25 Variable 5.47814000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38384DK63 6880055.68000000 PA USD 5618974.50000000 0.091175029400 Long ABS-O USGA US N 2 2053-05-20 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383JCQ6 69668179.70000000 PA USD 5227008.45000000 0.084814880207 Long ABS-O USGA US N 2 2067-09-16 Variable 0.85327000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137A8AM0 2025524.90000000 PA USD 2010244.14000000 0.032618775644 Long ABS-O USGSE US N 2 2041-03-15 Fixed 4.50000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -228.00000000 NC USD -3562.50000000 -0.00005780610 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 120.00000000 USD 2026-05-22 XXXX 229355.77000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383PN49 14447945.23000000 PA USD 11738498.94000000 0.190472120130 Long ABS-O USGA US N 2 2052-04-20 Fixed 3.50000000 N N N N N N OBX 2026-NQM2 TRUST 2549007DTHVTGCMU8X03 67124FAC0 9245000.00000000 PA USD 9250304.78000000 0.150097995689 Long ABS-O CORP US N 2 2066-02-25 Variable 5.22800000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FP5D3 8039428.14000000 PA USD 7888860.10000000 0.128006818958 Long ABS-O USGSE US N 2 2049-09-25 Floating 4.20964000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31368HMU4 21380.86000000 PA USD 22719.91000000 0.000368659523 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136FCWD4 41589.73320000 PA USD 5424.24000000 0.000088015213 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 6.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31281LCL0 57365.52000000 PA USD 57216.43000000 0.000928409567 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383RC96 15577930.29000000 PA USD 11769624.83000000 0.190977177403 Long ABS-O USGA US N 2 2051-04-20 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HDVT4 11532776.11000000 PA USD 10496490.44000000 0.170318947784 Long ABS-O USGSE US N 2 2054-08-25 Floating 4.73468000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ABFP3 663937.13000000 PA USD 576851.29000000 0.009360148070 Long ABS-O USGSE US N 2 2043-01-25 Fixed 1.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140W1ZF3 15848287.94000000 PA USD 15582726.74000000 0.252849620275 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 4.50000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -18.00000000 NC USD -14625.00000000 -0.00023730928 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 106.00000000 USD 2026-08-21 XXXX 8671.59000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ACCG4 690000.00000000 PA USD 479714.43000000 0.007783978599 Long ABS-O USGSE US N 2 2043-02-25 Fixed 2.50000000 N N N N N N EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-1 N/A 30185AAF8 4250000.00000000 PA USD 4355976.30000000 0.070681272396 Long ABS-O CORP US N 2 2031-09-15 Fixed 6.14000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138EKNK7 291673.39000000 PA USD 273835.98000000 0.004443338108 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.50000000 N N N N N N BX TRUST 2018-BILT N/A 12433LAA3 3410000.00000000 PA USD 3417118.03000000 0.055447099261 Long ABS-O CORP US N 2 2031-02-15 Floating 5.05965000 N N N N N N JP Morgan Mortgage Trust N/A 46593VAC1 3000000.00000000 PA USD 2997777.90000000 0.048642770699 Long ABS-O CORP US N 2 2055-11-25 Variable 5.81600000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FN3E8 2713356.63000000 PA USD 2663711.70000000 0.043222120435 Long ABS-O USGSE US N 2 2049-08-25 Floating 4.20964000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36179UK35 1134535.13000000 PA USD 1185530.44000000 0.019236743772 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 6.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XHLH8 20098580.85000000 PA USD 18764446.50000000 0.304477082308 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.50000000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2019-K99 N/A 3137FPJL0 57790000.00000000 PA USD 1941163.79000000 0.031497858839 Long ABS-O USGSE US N 2 2029-09-25 Variable 1.26036100 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XHCW5 6697180.80000000 PA USD 6438232.43000000 0.104468534444 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -139.00000000 NC USD -330125.00000000 -0.00535669926 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-12-21 0.00000000 USD 100000.00000000 110.00000000 USD 2026-11-20 XXXX -18395.43000000 N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912833Y46 8600000.00000000 PA USD 5181330.06000000 0.084073690057 Long DBT UST US N 2 2037-05-15 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BTZJ5 30079246.48000000 PA USD 30447864.64000000 0.494055446191 Long ABS-O USGSE US N 2 2054-12-25 Floating 4.99516000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38384X5M1 10985733.82000000 PA USD 11080942.78000000 0.179802432588 Long ABS-O USGA US N 2 2054-11-20 Floating 4.79014000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396KB50 23747.62000000 PA USD 24940.99000000 0.000404699380 Long ABS-O USGSE US N 2 2036-09-25 Fixed 6.50000000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES N/A 35563PLC1 8404631.37000000 PA USD 7915815.49000000 0.128444204548 Long ABS-O USGSE US N 2 2058-10-25 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383PP62 8030066.41000000 PA USD 6233849.76000000 0.101152164891 Long ABS-O USGA US N 2 2052-04-20 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BSDB8 4406311.06000000 PA USD 4185478.21000000 0.067914723380 Long ABS-O USGSE US N 2 2033-11-25 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AGC91 195852.00000000 PA USD 157824.12000000 0.002560897683 Long ABS-O USGSE US N 2 2043-10-25 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31409GV86 27051.58000000 PA USD 27112.23000000 0.000439930518 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137F72F1 70811000.00000000 PA USD 987749.72000000 0.016027499281 Long ABS-O USGSE US N 2 2027-10-25 Variable 1.19729300 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -76.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 116.00000000 USD 2026-05-22 XXXX 25925.88000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B27D8 2232244.35000000 PA USD 2162963.08000000 0.035096835269 Long ABS-O USGSE US N 2 2058-10-25 Floating 4.10964000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138MSDD8 163720.27000000 PA USD 149762.69000000 0.002430090697 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BTEH0 13230933.67000000 PA USD 11039920.16000000 0.179136788246 Long ABS-O USGSE US N 2 2053-04-15 Variable 3.25000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31292KZX8 6556.07000000 PA USD 6647.81000000 0.000107869197 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140HBDR6 200176.34000000 PA USD 197233.23000000 0.003200360767 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H7AS2 5601782.26000000 PA USD 5242673.29000000 0.085069062220 Long ABS-O USGSE US N 2 2037-05-25 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31395BVS9 20489.36000000 PA USD 2088.97000000 0.000033896203 Long ABS-O USGSE US N 2 2036-03-25 Floating 2.82036000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3137H1Z58 102778954.73650000 PA USD 1697641.11000000 0.027546392694 Long ABS-O USGSE US N 2 2028-07-25 Variable 0.95801300 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3132AAP73 14993933.49000000 PA USD 14068742.72000000 0.228283298157 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H6ZG3 9750000.00000000 PA USD 7615875.15000000 0.123577289897 Long ABS-O USGSE US N 2 2050-08-25 Fixed 3.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -18.00000000 NC USD -2531.27000000 -0.00004107308 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT T 3.625 08/31/30 2026-09-30 0.00000000 USD 200000.00000000 104.75000000 USD 2026-08-21 XXXX 4452.84000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140JBEB8 8018198.92000000 PA USD 7071720.70000000 0.114747689767 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.00000000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C47 549300VHRKFNCWVN9Y77 95002DBR9 3519700.00000000 PA USD 3490346.05000000 0.056635317303 Long ABS-O CORP US N 2 2061-09-16 Variable 4.67300000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620AQAS2 348529.37000000 PA USD 342100.28000000 0.005551013461 Long ABS-MBS USGA US N 2 2036-06-20 Fixed 4.25000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BS3A1 2067159.36000000 PA USD 2043388.47000000 0.033156584680 Long ABS-O USGSE US N 2 2035-11-25 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136A6AH7 285648.13370000 PA USD 270849.99000000 0.004394886611 Long ABS-O USGSE US N 2 2042-05-25 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137ACW96 1131275.45000000 PA USD 1123800.43000000 0.018235095611 Long ABS-O USGSE US N 2 2041-07-15 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137ANCR4 11352.44590000 PA USD 10569.35000000 0.000171501187 Long ABS-O USGSE US N 2 2041-05-15 Fixed 1.75000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912810SL3 6361000.00000000 PA USD 3661550.63000000 0.059413330019 Long DBT UST US N 2 2050-02-15 Fixed 2.00000000 N N N N N N JP Morgan Mortgage Trust N/A 466247JX2 3028.76380000 PA USD 2941.68000000 0.000047732510 Long ABS-MBS CORP US N 2 2019-12-25 Fixed 5.50000000 N N N N N N FHLMC Super 30Y Fixed S6XOOCT0IEG5ABCC6L87 31427PY73 112124797.04000000 PA USD 105975387.67000000 1.719585857980 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -197.00000000 NC USD -38476.66000000 -0.00062433289 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-09-30 0.00000000 USD 100000.00000000 110.00000000 USD 2026-08-21 XXXX 55116.61000000 N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -144.00000000 NC USD -175500.00000000 -0.00284771138 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 115.00000000 USD 2026-05-22 XXXX 37872.72000000 N N N NYO COMMERCIAL MORTGAGE TRUST 2021-1290 N/A 62955HAA5 5300000.00000000 PA USD 5298223.97000000 0.085970442869 Long ABS-O CORP US N 2 2038-11-15 Floating 4.86419000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31395BW33 151881.16000000 PA USD 6296.66000000 0.000102171341 Long ABS-O USGSE US N 2 2030-11-25 Floating 2.92036000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B4PW2 6626152.24000000 PA USD 6534898.20000000 0.106037059878 Long ABS-O USGSE US N 2 2049-05-25 Floating 4.15964000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B5SZ9 8544825.23730000 PA USD 720068.15000000 0.011684024326 Long ABS-O USGSE US N 2 2049-08-25 Floating 2.29036000 N N N N N N SEQUOIA MORTGAGE TRUST 2018-CH1 549300ZUG1L9OO3W6B29 81747DCC1 4205079.63000000 PA USD 4045486.35000000 0.065643176864 Long ABS-O CORP US N 2 2048-03-25 Variable 4.42072840 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379XMH0 7231381.00000000 PA USD 6041711.80000000 0.098034481380 Long ABS-O USGA US N 2 2046-06-20 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138AKXX2 50131.03000000 PA USD 50197.91000000 0.000814525127 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 4.50000000 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-10 N/A 69544MAA7 2360822.61000000 PA USD 2367960.56000000 0.038423180898 Long ABS-O CORP US N 2 2032-06-15 Fixed 5.18300000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31403E7J0 9967.19000000 PA USD 9995.36000000 0.000162187467 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 6.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31394DGJ3 71581.85580000 PA USD 69784.01000000 0.001132334585 Long ABS-O USGSE US N 2 2035-04-25 Fixed 5.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -185.00000000 NC USD -72265.63000000 -0.00117260203 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 121.00000000 USD 2026-08-21 XXXX 113499.67000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31410LMD1 458562.63000000 PA USD 450485.57000000 0.007309703058 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N BANK 2022-BNK43 N/A 06541QAT2 3450000.00000000 PA USD 3438724.02000000 0.055797684012 Long ABS-O CORP US N 2 2055-08-17 Variable 4.50200000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378NNC3 3623.02040000 PA USD 3447.57000000 0.000055941221 Long ABS-O USGA US N 2 2044-11-16 Variable 2.75000000 N N N N N N OBX 2021-NQM4 TRUST N/A 67115DAA0 4976692.66000000 PA USD 4274978.50000000 0.069366979761 Long ABS-O CORP US N 2 2061-10-25 Fixed 1.95700000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128LXG20 123687.04000000 PA USD 125411.32000000 0.002034958654 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31393EHE2 355000.00000000 PA USD 347980.51000000 0.005646427694 Long ABS-O USGSE US N 2 2033-08-25 Fixed 4.28600000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379YEV6 1613862.97800000 PA USD 124674.14000000 0.002022996968 Long ABS-O USGA US N 2 2040-05-20 Floating 2.22451000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380XHF7 5757804.16000000 PA USD 5261695.06000000 0.085377714704 Long ABS-O USGA US N 2 2048-04-20 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31325UDY9 27281.40000000 PA USD 380.06000000 0.000006166958 Long ABS-MBS USGSE US N 2 2028-01-15 Fixed 3.50000000 N N N N N N PRPM 2025-NQM6 TRUST N/A 69383RAF9 1954444.31000000 PA USD 1945775.57000000 0.031572690853 Long ABS-O CORP US N 2 2070-12-25 Variable 4.98600000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -70.00000000 NC USD -18593.75000000 -0.00030170731 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 110.00000000 USD 2026-05-22 XXXX 44847.85000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381J2J5 49596181.44920000 PA USD 2604042.55000000 0.042253912356 Long ABS-O USGA US N 2 2063-06-16 Variable 0.69991000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912833Y20 9185000.00000000 PA USD 5850711.91000000 0.094935264505 Long DBT UST US N 2 2036-05-15 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 01F032666 52967000.00000000 PA USD 48186501.55000000 0.781887459274 Long ABS-MBS USGSE US N 2 2056-06-15 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382AEN1 7148209.87000000 PA USD 6611867.53000000 0.107285985448 Long ABS-O USGA US N 2 2049-10-20 Floating 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378ACU3 25038.96380000 PA USD 2117.33000000 0.000034356380 Long ABS-O USGA US N 2 2041-04-20 Floating 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380RFV7 9382547.10000000 PA USD 3247702.44000000 0.052698115190 Long ABS-O USGA US N 2 2062-06-16 Fixed 1.83000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31413RK47 75483.24000000 PA USD 77120.44000000 0.001251377521 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FNHT0 5189993.29000000 PA USD 615660.88000000 0.009989883177 Long ABS-O USGSE US N 2 2049-06-15 Floating 2.29572000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BN6P6 33614785.42000000 PA USD 33354596.90000000 0.541220885235 Long ABS-O USGSE US N 2 2052-10-25 Floating 4.44516000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BRGT6 42786.80000000 PA USD 554.64000000 0.000008999741 Long ABS-O USGSE US N 2 2054-04-15 Fixed 4.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -36.00000000 NC USD -25031.27000000 -0.00040616428 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-12-31 0.00000000 USD 100000.00000000 106.50000000 USD 2026-11-20 XXXX -1219.34000000 N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797TE7 20000000.00000000 PA USD 19889282.00000000 0.322728973250 Long DBT UST US N 2 2026-06-25 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AEJ24 386748.16000000 PA USD 329244.55000000 0.005342412841 Long ABS-O USGSE US N 2 2043-06-25 Fixed 1.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BSQ65 4983980.00000000 PA USD 4946071.85000000 0.080256325480 Long ABS-O USGSE US N 2 2035-10-25 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B3MR8 23028975.24000000 PA USD 21590670.65000000 0.350336174562 Long ABS-O USGSE US N 2 2048-11-25 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383M3M8 23600000.00000000 PA USD 21696145.52000000 0.352047638882 Long ABS-O USGA US N 2 2051-07-20 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31335AGB8 141498.17000000 PA USD 132210.96000000 0.002145291487 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31395TYA6 773610.83000000 PA USD 794274.05000000 0.012888109718 Long ABS-O USGSE US N 2 2035-05-15 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378GZP6 358476.64760000 PA USD 3402.05000000 0.000055202601 Long ABS-O USGA US N 2 2027-12-16 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382AEP6 1624593.28190000 PA USD 11974.88000000 0.000194307704 Long ABS-O USGA US N 2 2049-10-20 Floating 0.01000000 N N N N N N OBX 2018-EXP1 TRUST N/A 67097VAC8 450869.82000000 PA USD 430130.39000000 0.006979414296 Long ABS-O CORP US N 2 2048-04-25 Variable 4.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -61.00000000 NC USD -84828.13000000 -0.00137644462 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 109.00000000 USD 2026-08-21 XXXX 34652.68000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ADZ44 698931.78650000 PA USD 125995.38000000 0.002044435773 Long ABS-O USGSE US N 2 2043-05-25 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31402RAQ2 139511.90000000 PA USD 145157.12000000 0.002355359449 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.50000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797TD9 20000000.00000000 PA USD 19903916.60000000 0.322966438305 Long DBT UST US N 2 2026-06-18 None 0.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834JP4 25825000.00000000 PA USD 12387722.05000000 0.201006593305 Long DBT UST US N 2 2041-02-15 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374HVU1 21354.82000000 PA USD 21427.86000000 0.000347694364 Long ABS-O USGA US N 2 2034-08-20 Fixed 6.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3137FF4B0 107703000.00000000 PA USD 1362137.07000000 0.022102411642 Long ABS-O USGSE US N 2 2027-12-25 Variable 1.02640100 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FQ4B6 67154640.57000000 PA USD 1660693.97000000 0.026946878214 Long ABS-O USGSE US N 2 2029-10-25 Variable 0.93771200 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132DM5D3 9805030.58000000 PA USD 9206685.26000000 0.149390213332 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31393VKV2 681154.19000000 PA USD 672387.39000000 0.010910343168 Long ABS-O USGSE US N 2 2033-06-15 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BR2M6 136618.73000000 PA USD 75253.60000000 0.001221085661 Long ABS-O USGSE US N 2 2043-08-15 Floating 0.01000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -290.00000000 NC USD -77031.54000000 -0.00124993500 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-30 0.00000000 USD 200000.00000000 103.50000000 USD 2026-05-22 XXXX 128349.43000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374Y6D0 689538.21530000 PA USD 16508.58000000 0.000267872770 Long ABS-O USGA US N 2 2037-07-20 Floating 2.82451000 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2015-2 N/A 64829EAF1 2473673.07000000 PA USD 2456169.85000000 0.039854489157 Long ABS-O CORP US N 2 2055-08-25 Variable 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FWHX1 55652865.00000000 PA USD 3381584.95000000 0.054870529709 Long ABS-O USGSE US N 2 2030-08-25 Variable 1.70080600 N N N N N N PRPM 2025-RCF6 LLC N/A 69393BAA3 2678892.44000000 PA USD 2657294.94000000 0.043118000318 Long ABS-O CORP US N 2 2055-12-25 Variable 4.99000000 N N N N N N MELLO MORTGAGE CAPITAL ACCEPTANCE 2018-MTG2 N/A 585499AJ5 3487748.33000000 PA USD 3337166.54000000 0.054149784342 Long ABS-O CORP US N 2 2048-10-25 Variable 4.31121000 N N N N N N First Trust Exchange-Traded Fund IV 254900TMRGSMLWIAPA66 33738D762 20000.00000000 NS USD 406442.00000000 0.006595039948 Long EC RF US N 1 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137AMGA9 25679.81000000 PA USD 189.87000000 0.000003080882 Long ABS-O USGSE US N 2 2027-03-15 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381HJA0 20665092.61000000 PA USD 11871883.27000000 0.192636451043 Long ABS-O USGA US N 2 2063-05-16 Fixed 2.00000000 N N N N N N PAGAYA AI DEBT TRUST 2025-4 N/A 69547DAB2 3229003.76000000 PA USD 3248850.19000000 0.052716738898 Long ABS-O CORP US N 2 2033-01-18 Fixed 5.37300000 N N N N N N HOMES 2025-AFC1 TRUST 2549006ZK3R8WZLA9S73 43762DAC3 2739495.20000000 PA USD 2739434.66000000 0.044450822061 Long ABS-O CORP US N 2 2060-11-25 Variable 5.14900000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -403.00000000 NC USD -239281.25000000 -0.00388264353 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-09-30 0.00000000 USD 100000.00000000 107.00000000 USD 2026-08-21 XXXX 25991.02000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378KSU4 85344.50000000 PA USD 71437.23000000 0.001159160189 Long ABS-O USGA US N 2 2053-12-16 Variable 2.54827000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383JCS2 197873544.04000000 PA USD 11955756.98000000 0.193997408985 Long ABS-O USGA US N 2 2064-04-16 Variable 0.80353000 N N N N N N PFS FINANCING CORP N/A 69335PFW0 2500000.00000000 PA USD 2509491.50000000 0.040719700951 Long ABS-O CORP US N 2 2029-04-16 Floating 4.58980000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3133TGKG3 215.70000000 PA USD 9.51000000 0.000000154311 Long ABS-O USGSE US N 2 2028-10-15 Fixed 7.00000000 N N N N N N CSAIL 2017-CX10 COMMERCIAL MORTGAGE TRUST N/A 12597NAU7 55687498.46000000 PA USD 1751449.79000000 0.028419507171 Long ABS-O CORP US N 2 2053-03-17 Variable 1.20535500 N N N N N N TOWD POINT MORTGAGE TRUST 2015-3 549300ZHISOOIT5VZP03 89177BAA3 5355142.45000000 PA USD 5215601.36000000 0.084629785620 Long ABS-O CORP US N 2 2058-03-25 Variable 3.75000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136A2HE6 2102120.26000000 PA USD 2056903.65000000 0.033375885717 Long ABS-O USGSE US N 2 2041-11-25 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36297GM80 154324.23000000 PA USD 149808.20000000 0.002430829155 Long ABS-MBS USGA US N 2 2040-01-15 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36200M7J6 36342.51000000 PA USD 36397.54000000 0.000590596518 Long ABS-MBS USGA US N 2 2033-12-15 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136A1MS1 750000.00000000 PA USD 673630.58000000 0.010930515512 Long ABS-O USGSE US N 2 2041-10-25 Fixed 4.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -296.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 123.00000000 USD 2026-05-22 XXXX 340693.24000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H7EW9 5064581.14000000 PA USD 4865860.14000000 0.078954788159 Long ABS-O USGSE US N 2 2033-07-25 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 31427NRL5 13778021.14000000 PA USD 13141846.23000000 0.213243220163 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36200MLT8 49351.20000000 PA USD 49913.30000000 0.000809906967 Long ABS-MBS USGA US N 2 2033-05-15 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 01F032674 -4090000.00000000 PA USD -3716706.07000000 -0.06030829739 Short ABS-MBS USGSE US N 2 2056-07-15 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376JCQ5 2071629.44000000 PA USD 57793.49000000 0.000937773102 Long ABS-O USGA US N 2 2036-04-20 Floating 2.32451000 N N N N N N OBX 2025-NQM6 TRUST 254900W46UQEWQMYYZ02 67448UAA0 1799273.85000000 PA USD 1813739.29000000 0.029430233771 Long ABS-O CORP US N 2 2065-03-25 Variable 5.60300000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374MBY4 1124672.89000000 PA USD 1122121.23000000 0.018207848449 Long ABS-O USGA US N 2 2035-10-16 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B3TV2 2815583.72000000 PA USD 2601970.73000000 0.042220294434 Long ABS-O USGSE US N 2 2048-12-25 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38385CCE6 4528955.00000000 PA USD 4568301.66000000 0.074126522225 Long ABS-O USGA US N 2 2055-01-20 Floating 5.24014000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3137FTF28 2515155.00000000 PA USD 621531.77000000 0.010085145857 Long ABS-O USGSE US N 2 2049-12-25 Fixed 3.50000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -19.00000000 NC USD -32656.25000000 -0.00052988931 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 116.00000000 USD 2026-05-22 XXXX -15549.78000000 N N N WINWATER MORTGAGE LOAN TRUST 2016-1 5493007FSEV8PHXVE122 97655JCB6 2509671.27000000 PA USD 2409170.48000000 0.039091864422 Long ABS-O CORP US N 2 2046-01-20 Variable 3.86980600 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140X6JS1 58203758.99800000 PA USD 56091946.77000000 0.910163392962 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380MLC3 18915707.66000000 PA USD 13875402.47000000 0.225146105957 Long ABS-O USGA US N 2 2060-06-16 Fixed 2.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132H7DA9 77824.12000000 PA USD 77262.53000000 0.001253683113 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AHFX3 27776484.02000000 PA USD 26680460.07000000 0.432924500957 Long ABS-O USGSE US N 2 2033-12-25 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 35564CEE3 2914656.89000000 PA USD 2773483.73000000 0.045003311658 Long ABS-O USGSE US N 2 2029-11-25 Fixed 2.75000000 N N N N N N FREDDIE MAC STACR REMIC TRUST 2024-HQA1 529900PGKDI4ZEXFQ523 35564NCA9 8000000.00000000 PA USD 8061860.80000000 0.130813976013 Long ABS-O USGSE US N 2 2044-03-25 Floating 5.64516000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137F6JT5 7743899.96860000 PA USD 650918.93000000 0.010561990017 Long ABS-O USGSE US N 2 2045-10-15 Variable 2.37694400 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36200NRJ2 47529.03000000 PA USD 47874.70000000 0.000776828081 Long ABS-MBS USGA US N 2 2034-04-15 Fixed 5.00000000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES N/A 35563PKG3 15940393.46000000 PA USD 15363854.93000000 0.249298145942 Long ABS-O USGSE US N 2 2058-08-26 Fixed 3.50000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -9630.00000000 NC USD 23204676.22000000 0.376525473925 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT T 4 11/15/35 2026-06-18 -1110040457.47000000 USD 23204676.22000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398SKS1 2821000.00000000 PA USD 2710277.44000000 0.043977708970 Long ABS-O USGSE US N 2 2040-12-25 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31392CDZ4 2800.10930000 PA USD 2907.14000000 0.000047172055 Long ABS-O USGSE US N 2 2032-04-25 Fixed 6.50000000 N N N N N N PRPM 2025-RPL4 LLC N/A 74448NAA2 4963736.70000000 PA USD 4722895.20000000 0.076634999627 Long ABS-O CORP US N 2 2055-05-25 Variable 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31392JGL7 738.67000000 PA USD 735.71000000 0.000011937833 Long ABS-O USGSE US N 2 2033-03-25 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376K2G5 55414.58000000 PA USD 57022.62000000 0.000925264753 Long ABS-O USGA US N 2 2039-10-20 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128K8VV5 208592.41000000 PA USD 202426.17000000 0.003284622843 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 3.50000000 N N N N N N COREVEST AMERICAN FINANCE 2021-2 TRUST N/A 21873BAA3 831327.81000000 PA USD 811536.97000000 0.013168222617 Long ABS-O CORP US N 2 2054-07-17 Fixed 1.40800000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HHSZ5 26383151.26000000 PA USD 26680167.50000000 0.432919753635 Long ABS-O USGSE US N 2 2054-12-25 Floating 4.94516000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31396AAK0 56682.70270000 PA USD 5007.23000000 0.000081248694 Long ABS-O USGSE US N 2 2035-08-15 Floating 2.93572000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36202DSQ5 17112.62000000 PA USD 17689.50000000 0.000287034704 Long ABS-MBS USGA US N 2 2032-04-20 Fixed 6.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -92.00000000 NC USD -15812.50000000 -0.00025657798 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long United States Treasury Notes T 3.375 05/15/33 2026-09-21 0.00000000 USD 100000.00000000 115.00000000 USD 2026-08-21 XXXX 26962.09000000 N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -19.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 124.00000000 USD 2026-05-22 XXXX 14793.97000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138WHTF9 33396017.33230000 PA USD 30947485.13000000 0.502162426009 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381RHP7 694144.47980000 PA USD 98730.18000000 0.001602023120 Long ABS-O USGA US N 2 2040-01-20 Fixed 5.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31418DZF2 6417889.44000000 PA USD 5292979.04000000 0.085885337188 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380F6N1 2486492.80000000 PA USD 423111.06000000 0.006865516712 Long ABS-O USGA US N 2 2047-08-16 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FTZY6 96907000.00000000 PA USD 1640916.54000000 0.026625964182 Long ABS-O USGSE US N 2 2027-12-27 Variable 2.01317920 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797SX6 60000000.00000000 PA USD 59796495.60000000 0.970274423630 Long DBT UST US N 2 2026-06-04 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398SGL1 119822.40160000 PA USD 6511.46000000 0.000105656745 Long ABS-O USGSE US N 2 2040-11-25 Floating 2.24036000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES N/A 35563PML0 2735116.66000000 PA USD 2572716.10000000 0.041745600742 Long ABS-O USGSE US N 2 2059-02-25 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 21H042661 26659000.00000000 PA USD 25686362.91000000 0.416794006364 Long ABS-MBS USGA US N 2 2056-06-15 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FV2D3 38965236.76980000 PA USD 908864.15000000 0.014747480273 Long ABS-O USGSE US N 2 2028-12-28 Variable 2.51777670 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 -543.00000000 NC USD -627843.75000000 -0.01018756578 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2028-03-15 0.00000000 USD 2500.00000000 96.37500000 USD 2027-12-10 XXXX -276338.13000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137B27G9 19744999.82000000 PA USD 18588406.84000000 0.301620614250 Long ABS-O USGSE US N 2 2043-05-15 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BUDS6 20516682.90000000 PA USD 20651434.42000000 0.335095868544 Long ABS-O USGSE US N 2 2054-11-25 Floating 4.64516000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38384BJS1 10738770.00000000 PA USD 9572374.20000000 0.155323982893 Long ABS-O USGA US N 2 2053-06-20 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XGEU9 9441199.50000000 PA USD 9269692.18000000 0.150412580987 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FJZ51 296300.06000000 PA USD 295895.64000000 0.004801284233 Long ABS-O USGSE US N 2 2028-10-25 Variable 4.21337000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383RDP9 21178505.79000000 PA USD 15558573.26000000 0.252457699249 Long ABS-O USGA US N 2 2051-11-20 Fixed 2.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BTLF8 12064355.48000000 PA USD 12176397.15000000 0.197577577215 Long ABS-O USGSE US N 2 2054-07-25 Floating 4.79516000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H2P57 20098730.44000000 PA USD 762013.22000000 0.012364636596 Long ABS-O USGSE US N 2 2029-04-27 Variable 2.01478920 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137B4HE9 2750000.00000000 PA USD 2609572.08000000 0.042343636034 Long ABS-O USGSE US N 2 2043-09-15 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36193FLA3 127582.23000000 PA USD 129154.02000000 0.002095688736 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 5.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -1124.00000000 NC USD -790312.50000000 -0.01282382851 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 112.00000000 USD 2026-05-22 XXXX 597570.76000000 N N N MORGAN STANLEY INSTITUTIONAL LIQUIDITY FUNDS 5493000A332Y142SOW84 61747C582 64076728.49000000 NS USD 64076728.49000000 1.039726662573 Long STIV RF US N 1 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138MFN52 1132940.31000000 PA USD 1067173.17000000 0.017316246078 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620AL7G3 130173.85000000 PA USD 128475.05000000 0.002084671582 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H8JY8 26539663.87000000 PA USD 19218824.98000000 0.311849952797 Long ABS-O USGSE US N 2 2052-08-25 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ALK26 692314.17000000 PA USD 596064.08000000 0.009671900098 Long ABS-O USGSE US N 2 2044-12-25 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AU5M9 12784239.09000000 PA USD 11664986.63000000 0.189279289120 Long ABS-O USGSE US N 2 2047-02-25 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381AP59 2411793.15000000 PA USD 2273039.07000000 0.036882958631 Long ABS-O USGA US N 2 2048-11-20 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137AV5X1 105946.55000000 PA USD 1204.02000000 0.000019536760 Long ABS-O USGSE US N 2 2027-10-15 Fixed 3.50000000 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2025-2 N/A 69545GAF8 1428237.99000000 PA USD 1433010.88000000 0.023252429623 Long ABS-O CORP US N 2 2032-10-15 Variable 4.96100000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797SW8 60000000.00000000 PA USD 59839575.00000000 0.970973441852 Long DBT UST US N 2 2026-05-28 None 0.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -147.00000000 NC USD -16078.13000000 -0.00026088817 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-09-30 0.00000000 USD 100000.00000000 111.00000000 USD 2026-08-21 XXXX 39810.24000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H9AD1 21385549.53000000 PA USD 21234221.10000000 0.344552325890 Long ABS-O USGSE US N 2 2052-09-25 Floating 4.46516000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AKVK6 202556.00000000 PA USD 195.93000000 0.000003179214 Long ABS-O USGSE US N 2 2044-08-25 Variable 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FV2B7 112919000.00000000 PA USD 5307554.34000000 0.086121840025 Long ABS-O USGSE US N 2 2029-01-25 Variable 2.84282630 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38377UX86 48846.47850000 PA USD 2325.53000000 0.000037734690 Long ABS-O USGA US N 2 2041-01-16 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31283HS89 6392.08000000 PA USD 6638.92000000 0.000107724946 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HH6B2 113233000.00000000 PA USD 5297690.83000000 0.085961791992 Long ABS-O USGSE US N 2 2031-08-25 Variable 1.17579200 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36179RB40 50916.22000000 PA USD 53502.26000000 0.000868142421 Long ABS-MBS USGA US N 2 2045-01-20 Fixed 6.00000000 N N N N N N JW TRUST 2024-BERY N/A 46676AAA1 3500000.00000000 PA USD 3510877.30000000 0.056968463026 Long ABS-O CORP US N 2 2039-11-15 Floating 5.24771000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H92G3 24279238.91000000 PA USD 24169300.09000000 0.392177726789 Long ABS-O USGSE US N 2 2052-09-25 Floating 4.39516000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BNRK2 7234661.87000000 PA USD 756921.43000000 0.012282015808 Long ABS-O USGSE US N 2 2046-04-15 Floating 2.24572000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 -887.00000000 NC USD -742862.50000000 -0.01205389173 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2028-03-15 0.00000000 USD 2500.00000000 96.00000000 USD 2027-12-10 XXXX -270496.92000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376T2N1 6585.61000000 PA USD 6324.45000000 0.000102622269 Long ABS-O USGA US N 2 2040-01-16 Fixed 3.00000000 N N N N N N FNA VI LLC N/A 34411YAA5 2063176.08200000 PA USD 1920676.02000000 0.031165418635 Long ABS-O CORP US N 2 2032-01-10 Fixed 1.35000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 312946C79 53586.17000000 PA USD 51676.25000000 0.000838513079 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797SV0 60000000.00000000 PA USD 59880916.80000000 0.971644265297 Long DBT UST US N 2 2026-05-21 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396YSL7 979.86600000 PA USD 12.04000000 0.000000195364 Long ABS-O USGSE US N 2 2038-02-25 Fixed 6.50000000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES N/A 35563PKJ7 12506223.76000000 PA USD 11773779.26000000 0.191044588329 Long ABS-O USGSE US N 2 2058-08-26 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31418SYU7 2502.89000000 PA USD 2503.52000000 0.000040622805 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AW7J0 7433814.24000000 PA USD 7360202.38000000 0.119428673041 Long ABS-O USGSE US N 2 2027-05-25 Variable 3.06100000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396YHW5 14594.36440000 PA USD 14174.79000000 0.000230004050 Long ABS-O USGSE US N 2 2038-02-25 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374KGD9 289924.57000000 PA USD 289265.77000000 0.004693706135 Long ABS-O USGA US N 2 2034-12-20 Fixed 5.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 -657.00000000 NC USD -238162.50000000 -0.00386449038 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2028-03-15 0.00000000 USD 2500.00000000 97.50000000 USD 2027-12-10 XXXX 156514.88000000 N N N MFA 2024-NQM3 TRUST 2549008RILDRJCGX2M75 55287GAA0 10424147.53000000 PA USD 10496532.81000000 0.170319635292 Long ABS-O CORP US N 2 2069-12-25 Variable 5.72200000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31397TJN3 98027.20000000 PA USD 1486.96000000 0.000024127822 Long ABS-O USGSE US N 2 2038-05-15 Floating 2.29572000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834HV3 20000000.00000000 PA USD 10059688.00000000 0.163231270966 Long DBT UST US N 2 2040-05-15 None 0.00000000 N N N N N N MFA 2025-NQM1 TRUST 254900T233AM4RM23465 59319DAC7 2780174.82000000 PA USD 2783292.79000000 0.045162476170 Long ABS-O CORP US N 2 2070-11-25 Variable 5.18600000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XFZG9 26160647.36000000 PA USD 24587502.47000000 0.398963593906 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3137FQA52 6541513.04000000 PA USD 6425423.42000000 0.104260691916 Long ABS-O USGSE US N 2 2049-12-25 Floating 4.20964000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AN7L5 10216796.25000000 PA USD 9833089.14000000 0.159554415389 Long ABS-O USGSE US N 2 2045-07-25 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138EQPX4 249963.34000000 PA USD 248937.25000000 0.004039324451 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137AWVX0 38513.51000000 PA USD 462.02000000 0.000007496863 Long ABS-O USGSE US N 2 2027-12-15 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36182D3G8 20631.90000000 PA USD 19612.94000000 0.000318244971 Long ABS-MBS USGA US N 2 2043-12-20 Fixed 4.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -1200.00000000 NC USD -1528125.60000000 -0.02479578729 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-09-30 0.00000000 USD 100000.00000000 108.50000000 USD 2026-08-21 XXXX -786652.26000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 313920PF1 170.28580000 PA USD 1.73000000 0.000000028071 Long ABS-O USGSE US N 2 2031-08-18 Floating 4.34538000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HCUG5 16542753.74000000 PA USD 12497565.75000000 0.202788947465 Long ABS-O USGSE US N 2 2054-05-25 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374NPM3 331890.71000000 PA USD 331130.75000000 0.005373018842 Long ABS-O USGA US N 2 2036-08-20 Fixed 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FRTX9 13625306.85000000 PA USD 13367487.43000000 0.216904536484 Long ABS-O USGSE US N 2 2050-03-25 Floating 4.20964000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379XH60 186396.44000000 PA USD 192760.83000000 0.003127790372 Long ABS-O USGA US N 2 2045-11-20 Variable 5.48531000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398THN4 217259.81000000 PA USD 55501.26000000 0.000900578746 Long ABS-O USGSE US N 2 2050-07-25 Fixed 5.50000000 N N N N N N CAPITAL STREET MASTER TRUST N/A 14051LAC6 2500000.00000000 PA USD 2497683.50000000 0.040528101087 Long ABS-O CORP US N 2 2029-08-16 Floating 4.73914000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2019-K99 N/A 3137FPJJ5 55360007.57440000 PA USD 1396965.50000000 0.022667547349 Long ABS-O USGSE US N 2 2029-09-25 Variable 0.99072300 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31418CNT7 115091.18000000 PA USD 112954.12000000 0.001832824692 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.50000000 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES N/A 95001TAA3 155608.24000000 PA USD 147354.42000000 0.002391013444 Long ABS-O CORP US N 2 2048-11-25 Variable 3.91569000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -43.00000000 NC USD -32921.88000000 -0.00053419950 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-12-21 0.00000000 USD 100000.00000000 120.00000000 USD 2026-11-20 XXXX -222.04000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36290RU43 92740.78000000 PA USD 92121.15000000 0.001494783177 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38375GGT2 3885816.47370000 PA USD 303412.71000000 0.004923258284 Long ABS-O USGA US N 2 2042-07-16 Floating 2.32112000 N N N N N N BMO 2024-5C3 MORTGAGE TRUST N/A 09660QAU8 78498462.90000000 PA USD 2045819.09000000 0.033196024591 Long ABS-O CORP US N 2 2057-02-16 Variable 1.34862200 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382FNH3 14014801.00000000 PA USD 2530389.14000000 0.041058791819 Long ABS-O USGA US N 2 2049-08-20 Fixed 2.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 21H032662 42246000.00000000 PA USD 38153418.33000000 0.619087884803 Long ABS-MBS USGA US N 2 2056-06-15 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140JAJR0 3915988.81000000 PA USD 3857631.02000000 0.062594984487 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38373MC32 567956.53000000 PA USD 568606.16000000 0.009226360318 Long ABS-O USGA US N 2 2037-04-20 Fixed 6.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376LWH8 819285.17580000 PA USD 1111.44000000 0.000018034531 Long ABS-O USGA US N 2 2035-07-20 Floating 0.62000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FJG45 418713.35000000 PA USD 409296.53000000 0.006641358339 Long ABS-O USGSE US N 2 2048-11-15 Floating 4.10428000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797QX8 30000000.00000000 PA USD 29877170.70000000 0.484795208979 Long DBT UST US N 2 2026-06-11 None 0.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -36.00000000 NC USD -1687.50000000 -0.00002738184 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 106.00000000 USD 2026-05-22 XXXX 10030.68000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379JUY5 10092703.39000000 PA USD 9009133.60000000 0.146184685631 Long ABS-O USGA US N 2 2045-02-20 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140W1D67 47276411.73000000 PA USD 39785215.14000000 0.645565869732 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BPRZ6 27279533.36000000 PA USD 21057082.71000000 0.341678029536 Long ABS-O USGSE US N 2 2053-01-25 Variable 4.04700000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137A62R2 1569839.78000000 PA USD 1589084.76000000 0.025784927429 Long ABS-O USGSE US N 2 2041-01-15 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396YBM3 34544.15000000 PA USD 35282.89000000 0.000572509900 Long ABS-O USGSE US N 2 2037-07-25 Fixed 5.50000000 N N N N N N MFA 2026-NQM1 TRUST N/A 55287YAF0 3296582.90000000 PA USD 3289135.26000000 0.053370415550 Long ABS-O CORP US N 2 2071-02-25 Variable 5.05100000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31416YJD1 1997933.30000000 PA USD 1945096.26000000 0.031561668182 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 4.50000000 N N N N N N FLAGSTAR MORTGAGE TRUST 2019-2 N/A 33852BAL9 1120844.87000000 PA USD 1010767.70000000 0.016400995371 Long ABS-O CORP US N 2 2049-12-25 Variable 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BTTR4 12898096.45000000 PA USD 13020076.33000000 0.211267348194 Long ABS-O USGSE US N 2 2054-11-25 Floating 4.78516000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H76P3 13858442.14000000 PA USD 12564922.87000000 0.203881902665 Long ABS-O USGSE US N 2 2051-02-25 Fixed 4.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -720.00000000 NC USD -90000.00000000 -0.00146036481 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-30 0.00000000 USD 200000.00000000 103.25000000 USD 2026-05-22 XXXX 280645.07000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H3EZ1 78491000.00000000 PA USD 3166531.02000000 0.051381005350 Long ABS-O USGSE US N 2 2031-09-25 Variable 0.95377900 N N N N N N CSMC TRUST 2018-RPL9 N/A 12654PAE8 214634.38000000 PA USD 206428.41000000 0.003349564293 Long ABS-O CORP US N 2 2057-09-25 Variable 3.85000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140GYPN3 9448.69000000 PA USD 9265.91000000 0.000150351210 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137GAFQ5 25445.11000000 PA USD 1504.73000000 0.000024416163 Long ABS-O USGSE US N 2 2030-10-15 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128MDBR3 914.18000000 PA USD 912.84000000 0.000014811993 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 4.00000000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2019-K102 N/A 3137FQKG7 64993000.00000000 PA USD 2124081.73000000 0.034465935764 Long ABS-O USGSE US N 2 2029-10-25 Variable 1.20572700 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140J8JM6 8249725.63000000 PA USD 7949144.24000000 0.128985006034 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132HQPT3 240269.85000000 PA USD 226671.90000000 0.003678040743 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.50000000 N N N N N N Ellington Financial Mortgage Trust 2019-1 N/A 31572YAA6 5177084.16000000 PA USD 5165236.92000000 0.083812558331 Long ABS-O CORP US N 2 2067-04-25 Variable 4.27420350 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138WMLN9 47989.03000000 PA USD 44128.29000000 0.000716037799 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -412.00000000 NC USD -193125.00000000 -0.00313369949 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 120.00000000 USD 2026-08-21 XXXX 161342.45000000 N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -420.00000000 NC USD -223125.00000000 -0.00362048776 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-30 0.00000000 USD 200000.00000000 103.75000000 USD 2026-05-22 XXXX -20756.34000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31396FPT4 27592.58000000 PA USD 27810.97000000 0.000451268466 Long ABS-O USGSE US N 2 2035-11-15 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378TLD0 953680.00000000 PA USD 756204.63000000 0.012270384813 Long ABS-O USGA US N 2 2043-05-20 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XDN28 3331693.05000000 PA USD 3271137.06000000 0.053078371795 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137F5J75 4192255.91000000 PA USD 3761803.88000000 0.061040066894 Long ABS-O USGSE US N 2 2048-05-15 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379KU30 2440863.63000000 PA USD 2351420.87000000 0.038154803328 Long ABS-O USGA US N 2 2035-05-16 Variable 2.70000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383PC90 13995979.74000000 PA USD 11408074.10000000 0.185110555577 Long ABS-O USGA US N 2 2052-04-20 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ATXX7 4720944.90000000 PA USD 4656695.67000000 0.075560827802 Long ABS-O USGSE US N 2 2046-09-25 Floating 4.25964000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132FTAW8 1131889.55000000 PA USD 1114006.82000000 0.018076181795 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396QAU3 1169786.00000000 PA USD 1198932.86000000 0.019454215134 Long ABS-O USGSE US N 2 2037-02-25 Fixed 5.71154000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912810SP4 19500000.00000000 PA USD 9423984.38000000 0.152916168763 Long DBT UST US N 2 2050-08-15 Fixed 1.37500000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -178.00000000 NC USD -394937.50000000 -0.00640836476 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 113.00000000 USD 2026-08-21 XXXX 99658.64000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137F85E9 34897468.00000000 PA USD 4304176.93000000 0.069840761537 Long ABS-O USGSE US N 2 2034-03-27 Variable 2.12608160 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HQEA5 29853466.26000000 PA USD 29857577.08000000 0.484477277499 Long ABS-O USGSE US N 2 2056-03-25 Floating 4.54516000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128M7L61 34727.88000000 PA USD 34495.81000000 0.000559738523 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 91282CHQ7 58600000.00000000 PA USD 58895288.92000000 0.955651195576 Long DBT UST US N 2 2028-07-31 Fixed 4.12500000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31418ALJ5 34581.33000000 PA USD 31634.04000000 0.000513302654 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AG6S6 11799679.30000000 PA USD 11326441.36000000 0.183785960232 Long ABS-O USGSE US N 2 2033-11-25 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31339NKJ4 83455.62000000 PA USD 84985.21000000 0.001378993448 Long ABS-O USGSE US N 2 2032-02-15 Fixed 6.37500000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31394DYA2 388030.74100000 PA USD 408880.72000000 0.006634611292 Long ABS-O USGSE US N 2 2035-06-25 Fixed 6.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381L5V0 38869353.02000000 PA USD 2735251.92000000 0.044382951768 Long ABS-O USGA US N 2 2065-04-16 Variable 0.94964000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31371NGR0 3040.84000000 PA USD 3008.98000000 0.000048824539 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -1651.00000000 NC USD -1264046.88000000 -0.02051077317 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-09-30 0.00000000 USD 100000.00000000 107.50000000 USD 2026-08-21 XXXX -324114.26000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BRLB1 13805414.48000000 PA USD 11720958.42000000 0.190187502816 Long ABS-O USGSE US N 2 2053-04-25 Variable 4.66340040 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3133Q3C33 8686535.32000000 PA USD 7273928.17000000 0.118028763924 Long ABS-MBS USGSE US N 2 2053-09-25 None 0.00000000 N N N N N N Fnma Pass-Thru I B1V7KEBTPIMZEU4LTD58 3140W2WL1 48002384.11000000 PA USD 45973148.60000000 0.745972984081 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.00000000 N N N N N N PRPM 2025-7 LLC N/A 69382YAA6 3608756.03000000 PA USD 3609789.58000000 0.058573440951 Long ABS-O CORP US N 2 2030-08-25 Variable 5.50300000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137F5MU0 11900390.61000000 PA USD 11280050.62000000 0.183033211294 Long ABS-O USGSE US N 2 2048-06-15 Fixed 4.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834KH0 35750000.00000000 PA USD 16885023.16000000 0.273981041032 Long DBT UST US N 2 2041-05-15 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ATVK7 3511639.71000000 PA USD 269116.26000000 0.004366754630 Long ABS-O USGSE US N 2 2046-09-25 Floating 2.34036000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36241LNG7 46653.06000000 PA USD 48556.55000000 0.000787891967 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H8UD1 200000000.00000000 PA USD 3197254.00000000 0.051879524893 Long ABS-O USGSE US N 2 2032-08-25 Variable 0.38770400 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K119 N/A 3137FXQT8 51000000.00000000 PA USD 2293521.00000000 0.037215304074 Long ABS-O USGSE US N 2 2030-10-25 Variable 1.22807900 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -90.00000000 NC USD -16875.00000000 -0.00027381840 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT T 3.625 08/31/30 2026-09-30 0.00000000 USD 200000.00000000 104.50000000 USD 2026-08-21 XXXX 2576.70000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H63G8 2890500.91000000 PA USD 2644933.20000000 0.042917415317 Long ABS-O USGSE US N 2 2037-01-25 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BLTL2 44655.85000000 PA USD 3679.91000000 0.000059711234 Long ABS-O USGSE US N 2 2035-10-15 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31371LNF2 11789.12000000 PA USD 12035.16000000 0.000195285824 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376UJQ3 2595710.08150000 PA USD 329671.53000000 0.005349341136 Long ABS-O USGA US N 2 2047-04-16 Fixed 6.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374XBQ7 68677.60000000 PA USD 3146.43000000 0.000051054840 Long ABS-O USGA US N 2 2039-03-20 Fixed 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132DNQN6 5318591.75000000 PA USD 4971411.21000000 0.080667488922 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 91282CLX7 10000000.00000000 PA USD 10037304.70000000 0.162868073369 Long DBT UST US N 2 2027-11-15 Fixed 4.12500000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620A6D61 2651356.25000000 PA USD 2615247.59000000 0.042435728424 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31398EDX9 859261.04000000 PA USD 869809.50000000 0.014113768755 Long ABS-O USGSE US N 2 2039-06-15 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138WA4D6 1563365.33000000 PA USD 1576402.28000000 0.025579138012 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 5.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 2084.00000000 NC USD -2435536.02000000 -0.03951967894 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT T 3.875 03/15/28 2026-06-30 434084036.02000000 USD -2435536.02000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31393DRP8 3578.21000000 PA USD 3573.34000000 0.000057982000 Long ABS-O USGSE US N 2 2027-11-25 Floating 4.05964000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383P5T4 10917513.00000000 PA USD 8250936.65000000 0.133881972884 Long ABS-O USGA US N 2 2052-04-20 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION REMIC TRUST N/A 21H050672 2500000.00000000 PA USD 2470973.88000000 0.040094703429 Long ABS-MBS USGA US N 2 2056-07-15 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128KHFQ4 44804.14000000 PA USD 46282.83000000 0.000750997959 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383PV40 8025517.06000000 PA USD 7542779.00000000 0.122391211614 Long ABS-O USGA US N 2 2052-04-20 Floating 4.39014000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398GUS6 85121.73000000 PA USD 5555.37000000 0.000090142965 Long ABS-O USGSE US N 2 2040-01-25 Floating 2.49036000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132DNBR3 12115381.98000000 PA USD 11016799.73000000 0.178761629774 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31393CSV6 171492.07000000 PA USD 175268.50000000 0.002843955002 Long ABS-O USGSE US N 2 2033-06-25 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36179QN80 7983.77000000 PA USD 7175.20000000 0.000116426773 Long ABS-MBS USGA US N 2 2044-09-20 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379CUJ3 10854.27870000 PA USD 545.40000000 0.000008849810 Long ABS-O USGA US N 2 2040-01-20 Fixed 4.50000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -764.00000000 NC USD -537187.50000000 -0.00871655247 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 118.00000000 USD 2026-08-21 XXXX 80295.20000000 N N N PROGRESS RESIDENTIAL 2025-SFR1 TRUST N/A 74334NAA9 5472158.44000000 PA USD 5199343.98000000 0.084365988890 Long ABS-O CORP US N 2 2042-02-20 Fixed 3.40000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797SP3 60000000.00000000 PA USD 59964073.20000000 0.972993583969 Long DBT UST US N 2 2026-05-07 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31398LXJ2 370268.41000000 PA USD 374347.21000000 0.006074261037 Long ABS-O USGSE US N 2 2040-01-15 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BA4P4 5850908.04000000 PA USD 5678095.62000000 0.092134344993 Long ABS-O USGSE US N 2 2044-04-15 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383RK55 9161419.02000000 PA USD 4745865.16000000 0.077007716531 Long ABS-O USGA US N 2 2052-02-20 Fixed 1.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31325TUP2 4665731.10000000 PA USD 445538.22000000 0.007229425993 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 2.21329000 N N N N N N PRPM 2024-RPL3 LLC N/A 69381LAA5 8240003.99000000 PA USD 8059675.62000000 0.130778518680 Long ABS-O CORP US N 2 2054-11-25 Variable 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31335A3R7 125082.18000000 PA USD 112905.43000000 0.001832034635 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31410K5J9 5985.45000000 PA USD 6364.73000000 0.000103275863 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137F82T9 76100669.71890000 PA USD 2501155.05000000 0.040584431415 Long ABS-O USGSE US N 2 2030-11-25 Variable 0.95496000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -468.00000000 NC USD -7312.50000000 -0.00011865464 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 122.00000000 USD 2026-05-22 XXXX 257523.86000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128M8UG7 103810.61000000 PA USD 105263.74000000 0.001708038466 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31335ADT2 214711.10000000 PA USD 221797.77000000 0.003598951766 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128M9GH9 247035.77000000 PA USD 254143.48000000 0.004123802174 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140JB4P8 5892693.97000000 PA USD 5390610.46000000 0.087469531527 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137AT5V0 785961.54000000 PA USD 704375.51000000 0.011429391223 Long ABS-O USGSE US N 2 2042-08-15 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137AYVG3 4641891.89000000 PA USD 4227166.70000000 0.068591172313 Long ABS-O USGSE US N 2 2032-11-15 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620AATY4 36879.91000000 PA USD 37552.78000000 0.000609341761 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 5.00000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2025-BCAT N/A 05619RAA0 4650000.00000000 PA USD 4663241.81000000 0.075667047275 Long ABS-O CORP US N 2 2042-12-15 Fixed 5.35012000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31385XQC4 4724.21000000 PA USD 4900.77000000 0.000079521245 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 6.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 21H040665 7571000.00000000 PA USD 7060997.07000000 0.114573685190 Long ABS-MBS USGA US N 2 2056-06-15 Fixed 4.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -85.00000000 NC USD -67734.38000000 -0.00109907672 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short United States Treasury Notes T 3.375 05/15/33 2026-09-21 0.00000000 USD 100000.00000000 109.00000000 USD 2026-08-21 XXXX -13738.33000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620AQK69 67249.39000000 PA USD 65507.16000000 0.001062937238 Long ABS-MBS USGA US N 2 2035-12-15 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3622A2E99 119415.06000000 PA USD 122100.06000000 0.001981229236 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31325TYW3 137789.58230000 PA USD 15494.08000000 0.000251411213 Long ABS-MBS USGSE US N 2 2043-01-15 Floating 2.21329000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HAYT7 13132348.42000000 PA USD 11140286.73000000 0.180765363882 Long ABS-O USGSE US N 2 2053-11-25 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31398VFK7 152000.00000000 PA USD 149785.38000000 0.002430458872 Long ABS-O USGSE US N 2 2040-02-15 Fixed 4.50000000 N N N N N N BX TRUST 2025-DELC N/A 05594MAA0 3500000.00000000 PA USD 3508728.30000000 0.056933592759 Long ABS-O CORP US N 2 2042-12-15 Floating 5.22251000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XJDA8 12511052.73000000 PA USD 11707073.59000000 0.189962203737 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3.50000000 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-4 N/A 64828FCQ3 6205479.90000000 PA USD 6130314.78000000 0.099472177761 Long ABS-O CORP US N 2 2048-01-27 Variable 4.54303000 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2003-UP2 N/A 79549AXS3 208.25190000 PA USD 207.57000000 0.000003368088 Long ABS-O CORP US N 2 2018-12-25 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137B22X7 500000.00000000 PA USD 440971.90000000 0.007155331626 Long ABS-O USGSE US N 2 2043-05-15 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -93.00000000 NC USD -98812.50000000 -0.00160335886 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-12-21 0.00000000 USD 100000.00000000 105.00000000 USD 2026-11-20 XXXX 2600.09000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140JB2M7 13514741.36000000 PA USD 12867829.07000000 0.208796942178 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3622A2QQ8 2104179.86000000 PA USD 2134816.82000000 0.034640126295 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36297BHR5 35441.17000000 PA USD 35683.92000000 0.000579017124 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 4.50000000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K117 N/A 3137FX3V8 63500000.00000000 PA USD 3510241.90000000 0.056958152850 Long ABS-O USGSE US N 2 2030-09-25 Variable 1.52795600 N N N N N N BWAY TRUST 2025-1535 N/A 12430BAE0 2859000.00000000 PA USD 2972983.18000000 0.048240444736 Long ABS-O CORP US N 2 2042-05-07 Variable 7.71019600 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BPRX1 23520747.06000000 PA USD 22691302.03000000 0.368195322780 Long ABS-O USGSE US N 2 2037-12-25 Variable 4.04700000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XGRF8 15462198.84000000 PA USD 14434874.27000000 0.234224249631 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137B16B3 732650.00000000 PA USD 705083.31000000 0.011440876181 Long ABS-O USGSE US N 2 2033-03-15 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AAFH3 232937.08000000 PA USD 202606.25000000 0.003287544871 Long ABS-O USGSE US N 2 2042-12-25 Fixed 1.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834DV7 10000000.00000000 PA USD 5351383.30000000 0.086833020813 Long DBT UST US N 2 2039-05-15 None 0.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -178.00000000 NC USD -506187.50000000 -0.00821353793 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 113.00000000 USD 2026-08-21 XXXX 38471.14000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FLYL2 15390305.89000000 PA USD 659885.53000000 0.010707484541 Long ABS-O USGSE US N 2 2034-03-25 Variable 0.92416900 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BYGP9 600000.00000000 PA USD 504058.56000000 0.008178993164 Long ABS-O USGSE US N 2 2047-05-15 Fixed 2.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AHFT2 29483148.19000000 PA USD 28480912.79000000 0.462139143180 Long ABS-O USGSE US N 2 2033-10-25 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132HM7C9 50067.39000000 PA USD 47171.66000000 0.000765420360 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 21H052660 5000000.00000000 PA USD 5028886.15000000 0.081600093144 Long ABS-MBS USGA US N 2 2056-06-15 Fixed 5.50000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 9128334Z0 63418000.00000000 PA USD 43179940.66000000 0.700649621953 Long DBT UST US N 2 2035-02-15 None 0.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3137ALAF6 239740.67000000 PA USD 246720.46000000 0.004003354205 Long ABS-O USGSE US N 2 2040-08-15 Variable 5.54398000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XHHW0 31694646.71000000 PA USD 31258512.21000000 0.507209237159 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31416LU53 53091.54000000 PA USD 53672.21000000 0.000870900077 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BV6G8 28263895.42000000 PA USD 28134028.47000000 0.456510502567 Long ABS-O USGSE US N 2 2055-06-25 Floating 4.44516000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -192.00000000 NC USD -210000.00000000 -0.00340751789 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 116.00000000 USD 2026-08-21 XXXX 111731.35000000 N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 -305.00000000 NC USD -173468.75000000 -0.00281475176 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2028-03-15 0.00000000 USD 2500.00000000 95.50000000 USD 2027-12-10 XXXX 11769.95000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 21H040673 3501000.00000000 PA USD 3264069.16000000 0.052963686101 Long ABS-MBS USGA US N 2 2056-07-15 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XKN97 1147349.68000000 PA USD 1178793.36000000 0.019127426055 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132HTUJ3 3589425.78000000 PA USD 2775788.99000000 0.045040717442 Long ABS-MBS USGSE US N 2 2043-09-15 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HAHL3 2150423.55000000 PA USD 1771703.21000000 0.028748144747 Long ABS-O USGSE US N 2 2053-09-25 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H8WD9 4427513.18200000 PA USD 4395524.84000000 0.071322997909 Long ABS-O USGSE US N 2 2052-09-25 Floating 4.34516000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138WHAM4 122296.46000000 PA USD 111895.98000000 0.001815655021 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132DM6Y6 7628487.27000000 PA USD 7123401.54000000 0.115586277325 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138EQYB2 566582.79000000 PA USD 563847.41000000 0.009149143528 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FPJA4 55899075.86640000 PA USD 2681316.56000000 0.043507781747 Long ABS-O USGSE US N 2 2034-08-25 Variable 0.98255600 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376GL99 1287588.50000000 PA USD 1148284.30000000 0.018632377636 Long ABS-O USGA US N 2 2052-09-16 Variable 3.44921000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -210.00000000 NC USD -3281.25000000 -0.00005324246 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 121.00000000 USD 2026-05-22 XXXX 193277.93000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AHG38 1003000.00000000 PA USD 994793.55000000 0.016141794409 Long ABS-O USGSE US N 2 2041-06-25 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398G3T4 234455.75920000 PA USD 219245.07000000 0.003557530952 Long ABS-O USGSE US N 2 2040-02-25 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31397QNH7 104959.51000000 PA USD 106018.02000000 0.001720277621 Long ABS-O USGSE US N 2 2040-05-25 Fixed 5.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 31427M5H0 26564015.20000000 PA USD 24527474.35000000 0.397989561081 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379KAF5 18064735.65000000 PA USD 16231121.63000000 0.263370654524 Long ABS-O USGA US N 2 2055-05-16 Fixed 2.95000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31408FKM0 133703.77000000 PA USD 137950.96000000 0.002238430310 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381A3V6 5265890.29000000 PA USD 4979281.05000000 0.080795187116 Long ABS-O USGA US N 2 2048-11-20 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137AVJZ1 21165.66000000 PA USD 2616.51000000 0.000042456212 Long ABS-O USGSE US N 2 2042-10-15 Floating 2.39572000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383RBL0 18752462.45000000 PA USD 15792718.17000000 0.256256999113 Long ABS-O USGA US N 2 2046-11-20 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38375XME1 247364.34460000 PA USD 2465.73000000 0.000040009614 Long ABS-O USGA US N 2 2038-04-20 Fixed 6.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -262.00000000 NC USD -8187.50000000 -0.00013285263 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 117.00000000 USD 2026-05-22 XXXX 144094.81000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XFBP5 10144912.51000000 PA USD 9165848.92000000 0.148727591620 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.00000000 N N N N N N CSMC 2021-RPL6 TRUST N/A 12657GAA3 882286.19050000 PA USD 798590.49000000 0.012958149463 Long ABS-O CORP US N 2 2060-10-25 Variable 2.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 01F050668 43203000.00000000 PA USD 42521726.28000000 0.689969253952 Long ABS-MBS USGSE US N 2 2056-06-15 Fixed 5.00000000 N N N N N N FREMF 2020-K110 MORTGAGE TRUST N/A 3137FTZU4 24006055.00000000 PA USD 1565569.28000000 0.025403358768 Long ABS-O USGSE US N 2 2030-04-25 Variable 1.95449800 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H7L27 16182150.99000000 PA USD 14125561.42000000 0.229205254049 Long ABS-O USGSE US N 2 2052-05-25 Fixed 4.00000000 N N N N N N BWAY TRUST 2025-1535 N/A 12430BAA8 3753000.00000000 PA USD 3798959.99000000 0.061642972179 Long ABS-O CORP US N 2 2042-05-07 Variable 6.51931000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H9KK4 7727398.63000000 PA USD 7728176.01000000 0.125399514613 Long ABS-O USGSE US N 2 2042-06-25 Fixed 4.75000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31398EXD1 177000.00000000 PA USD 174681.95000000 0.002834437480 Long ABS-O USGSE US N 2 2039-07-15 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379VAD6 216977.40880000 PA USD 174771.27000000 0.002835886811 Long ABS-O USGA US N 2 2046-02-16 Fixed 3.00000000 N N N N N N PRPM 2025-RCF4 LLC N/A 69382WAA0 1228141.27000000 PA USD 1209490.10000000 0.019625519821 Long ABS-O CORP US N 2 2055-08-25 Variable 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -70.00000000 NC USD -150937.50000000 -0.00244915348 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long United States Treasury Notes T 3.375 05/15/33 2026-09-21 0.00000000 USD 100000.00000000 109.00000000 USD 2026-08-21 XXXX -1277.15000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31397RDR4 122453.52000000 PA USD 126376.72000000 0.002050623501 Long ABS-O USGSE US N 2 2038-02-15 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31292HN34 1366.10000000 PA USD 1418.83000000 0.000023022326 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 6.50000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 9128334X5 14450000.00000000 PA USD 10347158.61000000 0.167895848340 Long DBT UST US N 2 2034-02-15 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FWHG8 56317038.12500000 PA USD 4930894.59000000 0.080010055075 Long ABS-O USGSE US N 2 2035-07-25 Variable 1.43469800 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BPAQ4 17528598.74000000 PA USD 17427735.68000000 0.282787244008 Long ABS-O USGSE US N 2 2052-10-25 Floating 4.50516000 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 2476172.12000000 PA USD 2522590.44000000 0.040932247963 Long ABS-O CORP US N 2 2058-05-28 Variable 4.79303000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3132DUSW8 14843502.63000000 PA USD 13055817.52000000 0.211847294597 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140X6FD8 21495082.12000000 PA USD 20015802.39000000 0.324781927980 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XKN71 1072600.12000000 PA USD 1038657.10000000 0.016853536464 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.00000000 N N N N N N BPR TRUST 2021-WILL N/A 05591VAA3 4207569.99000000 PA USD 4206264.80000000 0.068252012321 Long ABS-O CORP US N 2 2038-06-15 Floating 5.51948000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -65.00000000 NC USD -34531.25000000 -0.00056031358 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 113.00000000 USD 2026-05-22 XXXX 27673.45000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128M9MP4 29527.65000000 PA USD 28328.85000000 0.000459671730 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31416BSR0 21865.47000000 PA USD 23251.15000000 0.000377279570 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6.50000000 N N N N N N MSWF 2023-1 N/A 55376CAP8 22130141.87000000 PA USD 1036239.47000000 0.016814307333 Long ABS-O CORP US N 2 2056-05-17 Variable 0.86487700 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ADR35 750000.00000000 PA USD 612042.90000000 0.009931176836 Long ABS-O USGSE US N 2 2043-05-25 Fixed 3.00000000 N N N N N N CFCRE 2017-C8 MORTGAGE TRUST N/A 12532CBE4 194166725.68000000 PA USD 1497743.87000000 0.024302804965 Long ABS-O CORP US N 2 2050-06-17 Variable 1.59852100 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 91282CLV1 30000000.00000000 PA USD 31820426.94000000 0.516327020490 Long DBT UST US N 2 2029-10-15 Fixed 1.62500000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132H3HW6 52824.98000000 PA USD 49594.24000000 0.000804729811 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.50000000 N N N N N N FREMF 2020-K110 MORTGAGE TRUST N/A 3137FTZS9 112355427.57070000 PA USD 5932096.92000000 0.096255840116 Long ABS-O USGSE US N 2 2030-04-25 Variable 1.75186100 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2016-3 N/A 64829HAM9 1769395.65000000 PA USD 1732280.10000000 0.028108454496 Long ABS-O CORP US N 2 2056-09-25 Variable 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374BDT7 156812.23580000 PA USD 156509.34000000 0.002539563700 Long ABS-O USGA US N 2 2033-07-20 Fixed 5.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -15.00000000 NC USD -15000.00000000 -0.00024339413 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 120.00000000 USD 2026-08-21 XXXX 1523.21000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132XXEZ8 295180.14000000 PA USD 290678.97000000 0.004716637108 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BPEZ0 27085835.71000000 PA USD 26893537.11000000 0.436381947754 Long ABS-O USGSE US N 2 2052-10-25 Floating 4.46516000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374UNN7 1836209.53000000 PA USD 1931927.46000000 0.031347987602 Long ABS-O USGA US N 2 2039-05-20 Fixed 7.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378FUX6 43018.20060000 PA USD 4990.60000000 0.000080978851 Long ABS-O USGA US N 2 2042-10-16 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3132D9H56 7440368.58000000 PA USD 6837926.40000000 0.110954078997 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 3.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 9128334Y3 13500000.00000000 PA USD 9427056.62000000 0.152966019776 Long DBT UST US N 2 2034-08-15 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378UBE6 533606.75990000 PA USD 58911.52000000 0.000955914565 Long ABS-O USGA US N 2 2043-09-20 Floating 2.32451000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 21H030666 -20999000.00000000 PA USD -18691151.10000000 -0.30328777094 Short ABS-MBS USGA US N 2 2056-06-15 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3622A2ZG0 267347.22000000 PA USD 273259.23000000 0.004433979604 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HHUT6 9700000.00000000 PA USD 9782751.67000000 0.158737625723 Long ABS-O USGSE US N 2 2032-01-25 Fixed 4.75800000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 -500.00000000 NC USD -196875.00000000 -0.00319454802 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2028-03-15 0.00000000 USD 2500.00000000 95.00000000 USD 2027-12-10 XXXX 101795.00000000 N N N JP MORGAN MORTGAGE TRUST 2025-3 N/A 46593RAD8 11850000.00000000 PA USD 11797921.62000000 0.191436328919 Long ABS-O CORP US N 2 2055-09-25 Variable 5.63800000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36297GQQ6 505871.03000000 PA USD 509336.92000000 0.008264641289 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31414UW87 14701.16000000 PA USD 15250.11000000 0.000247452489 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.50000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797QN0 50000000.00000000 PA USD 49935406.00000000 0.810265665057 Long DBT UST US N 2 2026-05-14 None 0.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797UV7 10000000.00000000 PA USD 9883718.10000000 0.160375934853 Long DBT UST US N 2 2026-08-25 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31393XSN8 130170.53000000 PA USD 133551.06000000 0.002167036319 Long ABS-O USGSE US N 2 2034-04-25 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132AC2L3 38213996.81000000 PA USD 34098847.28000000 0.553297297092 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31394CCQ3 147725.70000000 PA USD 1002.01000000 0.000016258890 Long ABS-O USGSE US N 2 2033-07-25 Floating 0.40000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AXAN5 13618206.78000000 PA USD 12081596.42000000 0.196039314433 Long ABS-O USGSE US N 2 2047-07-25 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381EWE4 24235274.82000000 PA USD 12053312.14000000 0.195580365908 Long ABS-O USGA US N 2 2061-09-16 Fixed 2.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -22.00000000 NC USD -7562.50000000 -0.00012271120 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 112.00000000 USD 2026-05-22 XXXX 26411.11000000 N N N EFMT 2026-NQM3 N/A 26846JAF8 1492893.40000000 PA USD 1489643.82000000 0.024171371321 Long ABS-O CORP US N 2 2071-03-25 Variable 5.02900000 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2026-R1 N/A 76089TAA8 5699015.70000000 PA USD 5706847.86000000 0.092600886766 Long ABS-O CORP US N 2 2034-07-25 Fixed 5.65900000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FX3Q9 8000000.00000000 PA USD 7123443.20000000 0.115586953312 Long ABS-O USGSE US N 2 2030-08-25 Fixed 1.40600000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379RT37 1933766.87000000 PA USD 1626763.78000000 0.026396317596 Long ABS-O USGA US N 2 2056-12-16 Fixed 2.60000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BPBU2 166973.26000000 PA USD 115259.22000000 0.001870227880 Long ABS-O USGSE US N 2 2046-04-15 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31393L2Q5 123731.88000000 PA USD 127405.03000000 0.002067309142 Long ABS-O USGSE US N 2 2033-02-15 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382FP81 19759118.24000000 PA USD 4248465.31000000 0.068936769431 Long ABS-O USGA US N 2 2050-04-20 Fixed 2.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380RAP5 6700000.00000000 PA USD 3387320.81000000 0.054963601354 Long ABS-O USGA US N 2 2062-08-16 Fixed 2.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620A9N98 163700.54000000 PA USD 161103.02000000 0.002614102018 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 4.50000000 N N N N N N FIGRE TRUST 2026-FL1 N/A 31684XAM7 5672200.00000000 PA USD 5670942.43000000 0.092018275360 Long ABS-O CORP US N 2 2056-03-25 Variable 5.48900000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -248.00000000 NC USD -174375.25000000 -0.00282946088 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT T 3.625 08/31/30 2026-09-30 0.00000000 USD 200000.00000000 103.50000000 USD 2026-08-21 XXXX 37318.76000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B2GN6 837284.89000000 PA USD 816290.81000000 0.013245359736 Long ABS-O USGSE US N 2 2048-06-25 Floating 4.05964000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES N/A 35563PDJ5 1910926.01000000 PA USD 1897582.59000000 0.030790698273 Long ABS-O USGSE US N 2 2057-06-25 Variable 4.75000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 35564CWZ6 2053818.94000000 PA USD 2085421.05000000 0.033838616912 Long ABS-O USGSE US N 2 2035-05-25 Floating 4.74516000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B06R2 2936202.65000000 PA USD 2489737.48000000 0.040399166776 Long ABS-O USGSE US N 2 2048-03-25 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137AFGX4 2198161.30000000 PA USD 2150476.59000000 0.034894226040 Long ABS-O USGSE US N 2 2041-09-15 Fixed 4.50000000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2018-MP N/A 61691DAA5 4527000.00000000 PA USD 4255614.50000000 0.069052774159 Long ABS-O CORP US N 2 2040-07-12 Variable 4.41853300 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36176DKS1 199954.45000000 PA USD 196995.12000000 0.003196497129 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398GJE0 1017745.40000000 PA USD 1047527.07000000 0.016997463043 Long ABS-O USGSE US N 2 2039-12-25 Fixed 6.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31397SMD3 52808.37000000 PA USD 4013.80000000 0.000065129025 Long ABS-O USGSE US N 2 2041-04-25 Variable 1.93665900 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31394YH98 156286.59000000 PA USD 158004.82000000 0.002563829771 Long ABS-O USGSE US N 2 2034-05-15 Fixed 5.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -18.00000000 NC USD -17156.27000000 -0.00027838236 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT T 3.625 08/31/30 2026-09-30 0.00000000 USD 200000.00000000 103.75000000 USD 2026-08-21 XXXX -5109.66000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132XXS34 357997.86000000 PA USD 352637.70000000 0.005721996543 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36179V7D6 66441115.25000000 PA USD 54735104.97000000 0.888146903831 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XG7K9 27337606.84000000 PA USD 25629353.05000000 0.415868948658 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FPVL6 8168258.71000000 PA USD 8037518.38000000 0.130418989195 Long ABS-O USGSE US N 2 2049-11-25 Floating 4.25964000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140QGN78 16645318.56000000 PA USD 14006014.54000000 0.227265453415 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138A2CR8 185796.38000000 PA USD 173142.25000000 0.002809453884 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 3.50000000 N N N N N N WINWATER MORTGAGE LOAN TRUST 2016-1 5493007FSEV8PHXVE122 97655JBS0 434592.19000000 PA USD 421308.31000000 0.006836264793 Long ABS-O CORP US N 2 2030-12-20 Variable 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION I MORTGAGE-BACKED SECURITIES N/A 36225B3E6 21561.08000000 PA USD 22397.63000000 0.000363430119 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 6.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137F62R7 37151661.00000000 PA USD 1707085.39000000 0.027699638185 Long ABS-O USGSE US N 2 2030-09-25 Variable 1.26100300 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BMNX0 543963.90000000 PA USD 396503.99000000 0.006433783058 Long ABS-O USGSE US N 2 2046-01-15 Fixed 4.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -244.00000000 NC USD -38125.00000000 -0.00061862676 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 109.00000000 USD 2026-05-22 XXXX 172329.47000000 N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -306.00000000 NC USD -4781.56000000 -0.00007758691 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2026-06-30 0.00000000 USD 200000.00000000 105.00000000 USD 2026-05-22 XXXX 97901.20000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ALDV0 31641280.35000000 PA USD 28926854.01000000 0.469375108363 Long ABS-O USGSE US N 2 2044-10-25 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FLEW0 3753179.65000000 PA USD 3431723.94000000 0.055684098784 Long ABS-O USGSE US N 2 2049-04-15 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31419JSX7 1592939.22000000 PA USD 1613295.44000000 0.026177776598 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379PC54 2553467.14080000 PA USD 153272.89000000 0.002487048170 Long ABS-O USGA US N 2 2045-05-16 Fixed 5.00000000 N N N N N N GGP TRUST 2026-2PAK N/A 37441HAA9 6500000.00000000 PA USD 6483573.85000000 0.105204256825 Long ABS-O CORP US N 2 2031-04-11 None 0.00000000 N N N N N N FIGRE TRUST 2026-FL1 N/A 31684XAL9 3867386.60000000 PA USD 3883294.43000000 0.063011406053 Long ABS-O CORP US N 2 2056-03-25 Variable 5.48900000 N N N N N N JP MORGAN MORTGAGE TRUST 2020-INV1 N/A 46591VBH1 2981438.57000000 PA USD 2679978.16000000 0.043486064500 Long ABS-O CORP US N 2 2050-08-25 Variable 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620AYFN1 74728.51000000 PA USD 74146.15000000 0.001203115872 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 4.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3132DNB69 7935925.51000000 PA USD 7398996.03000000 0.120058149502 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379VYP3 4138282.96000000 PA USD 4076412.32000000 0.066144990180 Long ABS-O USGA US N 2 2043-11-20 Variable 4.24927000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -127.00000000 NC USD -49609.38000000 -0.00080497547 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long United States Treasury Notes T 3.375 05/15/33 2026-09-21 0.00000000 USD 100000.00000000 113.00000000 USD 2026-08-21 XXXX 30542.26000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31325TN96 229044.24000000 PA USD 21876.01000000 0.000354966169 Long ABS-MBS USGSE US N 2 2042-08-15 Floating 2.21329000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 20754XAA1 4510707.97000000 PA USD 4518434.36000000 0.073317361667 Long ABS-O USGSE US N 2 2044-07-25 Floating 4.64516000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H6UD5 15100837.97000000 PA USD 11964103.99000000 0.194132849871 Long ABS-O USGSE US N 2 2052-04-25 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31394ERF7 1193585.93000000 PA USD 1237972.29000000 0.020087679689 Long ABS-O USGSE US N 2 2035-07-25 Fixed 6.00000000 N N N N N N FREDDIE MAC STACR REMIC TRUST 2025-DNA1 529900WZAMS87JCAOC53 35564NFY4 1347500.00000000 PA USD 1348972.14000000 0.021888793858 Long ABS-O USGSE US N 2 2045-01-25 Floating 4.59516000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379QPM1 170511.88800000 PA USD 11951.37000000 0.000193926224 Long ABS-O USGA US N 2 2044-08-20 Fixed 4.50000000 N N N N N N PROVIDENT FUNDING MORTGAGE TRUST 2019-1 N/A 74387LAJ0 966844.30000000 PA USD 837274.59000000 0.013585848335 Long ABS-O CORP US N 2 2049-12-25 Variable 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138ALJ32 13481.04000000 PA USD 13374.59000000 0.000217019784 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376T7H9 6815326.69000000 PA USD 5783955.81000000 0.093852061622 Long ABS-O USGA US N 2 2047-02-20 Fixed 3.00000000 N N N N N N MFA 2025-NQM1 TRUST 254900T233AM4RM23465 55287JAA4 1559114.35000000 PA USD 1563880.87000000 0.025375962162 Long ABS-O CORP US N 2 2070-03-25 Variable 5.44100000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -209.00000000 NC USD -107765.83000000 -0.00174863806 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT T 3.625 08/31/30 2026-09-30 0.00000000 USD 200000.00000000 103.25000000 USD 2026-08-21 XXXX -39750.80000000 N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2019-K100 N/A 3137FQ3C5 121631948.17000000 PA USD 2299804.71000000 0.037317265285 Long ABS-O USGSE US N 2 2029-09-25 Variable 0.76316700 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H9C80 4533430.44000000 PA USD 4493869.91000000 0.072918772129 Long ABS-O USGSE US N 2 2031-12-25 Variable 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379CA89 692877.02000000 PA USD 675252.45000000 0.010956832422 Long ABS-O USGA US N 2 2044-01-20 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31392DSE3 10857843.01000000 PA USD 11290621.43000000 0.183204736172 Long ABS-O USGSE US N 2 2032-07-25 Variable 6.78078000 N N N N N N OSCAR US FUNDING XVII LLC 353800UI8625NXT7ND41 68784BAC8 4900000.00000000 PA USD 4898569.69000000 0.079485542336 Long ABS-O CORP JP N 2 2029-03-12 Fixed 4.47000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38377LBY3 1406100.47000000 PA USD 1394967.39000000 0.022635125465 Long ABS-O USGA US N 2 2040-06-16 Fixed 5.00000000 N N N N N N VISTA POINT SECURITIZATION TRUST 2020-1 N/A 92838WAD6 4724770.73000000 PA USD 4704977.25000000 0.076344258031 Long ABS-O CORP US N 2 2065-03-25 Variable 4.15100000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374JBT2 25968.80500000 PA USD 26063.08000000 0.000422906721 Long ABS-O USGA US N 2 2034-09-20 Floating 7.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137ANZG3 1346765.63000000 PA USD 1271197.40000000 0.020626799484 Long ABS-O USGSE US N 2 2042-04-15 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620ARQ20 538341.04000000 PA USD 528835.48000000 0.008581030299 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 4.50000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -735.00000000 NC USD -1228828.13000000 -0.01993930402 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-18 0.00000000 USD 100000.00000000 114.00000000 USD 2026-05-22 XXXX 410121.18000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3129882Y3 473977.04000000 PA USD 468593.35000000 0.007603524889 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ATDD3 11510000.00000000 PA USD 9360249.68000000 0.151881991949 Long ABS-O USGSE US N 2 2046-08-25 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376PWN6 732000.00000000 PA USD 739041.55000000 0.011991891945 Long ABS-O USGA US N 2 2039-12-20 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380CDE0 113588.08850000 PA USD 12062.40000000 0.000195727828 Long ABS-O USGA US N 2 2046-12-16 Fixed 6.00000000 N N N N N N PROVIDENT FUNDING MORTGAGE LOAN TRUST 2005-1 N/A 743874AJ8 2108532.03000000 PA USD 1836076.38000000 0.029792681552 Long ABS-O CORP US N 2 2050-02-25 Variable 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128K96H2 48109.21000000 PA USD 49697.98000000 0.000806413125 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AGQC9 85660.88000000 PA USD 75867.44000000 0.001231045998 Long ABS-O USGSE US N 2 2043-10-25 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140J9J77 2912680.86000000 PA USD 2913295.67000000 0.047271938743 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383T5C3 12000000.00000000 PA USD 10323218.40000000 0.167507387892 Long ABS-O USGA US N 2 2052-07-20 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BQPQ4 599764.56000000 PA USD 59043.64000000 0.000958058381 Long ABS-O USGSE US N 2 2044-12-15 Fixed 4.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -111.00000000 NC USD -104062.50000000 -0.00168854681 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-30 0.00000000 USD 200000.00000000 104.00000000 USD 2026-05-22 XXXX -66775.16000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140JLQM9 762430.05000000 PA USD 715067.06000000 0.011602875261 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31335AFH6 372658.91000000 PA USD 367516.23000000 0.005963419673 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383RBC0 12318553.41000000 PA USD 9454293.88000000 0.153407979066 Long ABS-O USGA US N 2 2051-05-20 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398PHK8 500000.00000000 PA USD 499830.45000000 0.008110386686 Long ABS-O USGSE US N 2 2040-04-25 Fixed 5.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AYT37 2488717.34000000 PA USD 2083668.14000000 0.033810173711 Long ABS-O USGSE US N 2 2057-11-25 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620A9P96 39717.74000000 PA USD 40610.87000000 0.000658963173 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136A6A53 12467.24000000 PA USD 129.03000000 0.000002093676 Long ABS-O USGSE US N 2 2027-06-25 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137AWMU6 196431.58350000 PA USD 31117.34000000 0.000504918537 Long ABS-O USGSE US N 2 2042-08-15 Floating 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379RQH9 4523408.82000000 PA USD 2765642.01000000 0.044876069747 Long ABS-O USGA US N 2 2059-05-16 Fixed 2.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128M7CJ3 6330.87000000 PA USD 6302.48000000 0.000102265778 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -507.00000000 NC USD -190125.00000000 -0.00308502066 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT T 3.625 08/31/30 2026-09-30 0.00000000 USD 200000.00000000 103.00000000 USD 2026-08-21 XXXX -17812.28000000 N N N HOMES 2026-AFC1 TRUST N/A 403972AC6 4428817.49000000 PA USD 4405586.57000000 0.071486262314 Long ABS-O CORP US N 2 2061-02-01 Variable 4.84600000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31398JSS3 410650.71000000 PA USD 18405.82000000 0.000298657909 Long ABS-O USGSE US N 2 2039-09-15 Floating 3.04572000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3133Q3ND9 2951665.77000000 PA USD 2527013.63000000 0.041004019863 Long ABS-MBS USGSE US N 2 2054-05-25 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383T5D1 22341349.00000000 PA USD 19169270.65000000 0.311045870576 Long ABS-O USGA US N 2 2052-07-20 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 20754BAB7 4754942.47000000 PA USD 4815451.97000000 0.078136851295 Long ABS-O USGSE US N 2 2042-01-27 Floating 6.64516000 N N N N N N REDWOOD FUNDING TRUST 2025-3 N/A 75806GAA0 2944005.71000000 PA USD 2970402.55000000 0.048198570722 Long ABS-O CORP US N 2 2056-12-28 Variable 6.23100000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128KV4H5 96168.17000000 PA USD 98724.77000000 0.001601935336 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FTZM2 88711063.16990000 PA USD 8175682.55000000 0.132660879109 Long ABS-O USGSE US N 2 2035-02-25 Variable 1.63052500 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BQGQ6 4607392.84000000 PA USD 3674174.17000000 0.059618163060 Long ABS-O USGSE US N 2 2053-09-25 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137B3FV5 11837.93000000 PA USD 6056.77000000 0.000098278819 Long ABS-O USGSE US N 2 2043-01-15 Floating 0.01000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -734.00000000 NC USD -3440625.00000000 -0.05582852983 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 116.00000000 USD 2026-08-21 XXXX -1503338.24000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36297GP46 78111.97000000 PA USD 75825.35000000 0.001230363034 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31394DQF0 30991.50060000 PA USD 2403.91000000 0.000039006506 Long ABS-O USGSE US N 2 2035-05-25 Floating 2.94036000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36225BYU6 146354.91000000 PA USD 147678.67000000 0.002396274814 Long ABS-MBS USGA US N 2 2033-06-15 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38377LBS6 89000.00000000 PA USD 86291.06000000 0.001400182530 Long ABS-O USGA US N 2 2040-09-16 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31394CCK6 644834.23000000 PA USD 50080.21000000 0.000812615294 Long ABS-O USGSE US N 2 2035-02-25 Floating 2.84036000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140X5NP4 10243606.21000000 PA USD 10102686.56000000 0.163928977455 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.50000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 9128335A4 10200000.00000000 PA USD 6769850.16000000 0.109849455158 Long DBT UST US N 2 2035-08-15 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137F84T7 114256288.76000000 PA USD 3518179.64000000 0.057086952808 Long ABS-O USGSE US N 2 2030-11-25 Variable 0.92529800 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 9128337E4 10000000.00000000 PA USD 6280621.90000000 0.101911102530 Long DBT UST US N 2 2036-08-15 None 0.00000000 N N N N N N CSMC 2019-UVIL N/A 12656DAA1 3205000.00000000 PA USD 3014101.55000000 0.048907642744 Long ABS-O CORP US N 2 2041-12-17 Variable 3.15950000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -144.00000000 NC USD -342000.00000000 -0.00554938629 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-09-21 0.00000000 USD 100000.00000000 112.00000000 USD 2026-08-21 XXXX 7497.72000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ACE56 63781.18000000 PA USD 1039.63000000 0.000016869323 Long ABS-O USGSE US N 2 2028-03-25 Fixed 2.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380T4U7 2302821.86310000 PA USD 26534.26000000 0.000430552218 Long ABS-O USGA US N 2 2040-05-20 Floating 0.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137AUAF6 37120.24880000 PA USD 475.15000000 0.000007709914 Long ABS-O USGSE US N 2 2027-09-15 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138ER2K5 838321.21000000 PA USD 824959.94000000 0.013386027429 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AYMD2 4589425.03000000 PA USD 3929346.84000000 0.063758665155 Long ABS-O USGSE US N 2 2057-10-25 Fixed 3.50000000 N N N N N N EFMT 2023-1 N/A 26844QAA5 5258194.00000000 PA USD 5255652.71000000 0.085279669867 Long ABS-O CORP US N 2 2068-02-25 Variable 5.73200000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128MJDT4 1011.32000000 PA USD 1065.28000000 0.000017285526 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6.50000000 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-LTV1 N/A 36266VAR5 10000000.00000000 PA USD 7223594.00000000 0.117212027804 Long ABS-O CORP US N 2 2052-06-25 Variable 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31393LCM3 51348.98000000 PA USD 4919.70000000 0.000079828408 Long ABS-O USGSE US N 2 2033-02-15 Fixed 5.50000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 9128335B2 27339000.00000000 PA USD 17658459.40000000 0.286531030700 Long DBT UST US N 2 2036-02-15 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137F92K6 112345000.00000000 PA USD 9747861.08000000 0.158171481390 Long ABS-O USGSE US N 2 2034-10-27 Variable 1.56367530 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2018-BIOA N/A 05608MAA4 2900000.00000000 PA USD 2696901.98000000 0.043760675069 Long ABS-O CORP US N 2 2044-03-11 Fixed 2.84300000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BYC26 28514645.00000000 PA USD 28486118.95000000 0.462223619768 Long ABS-O USGSE US N 2 2056-02-25 Floating 4.69516000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H7KJ1 12153605.01000000 PA USD 10527991.06000000 0.170830085529 Long ABS-O USGSE US N 2 2051-08-25 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 35564CKH9 17406417.26000000 PA USD 16078706.23000000 0.260897520222 Long ABS-O USGSE US N 2 2031-05-26 Fixed 2.25000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 9128337F1 14000000.00000000 PA USD 8552425.42000000 0.138774012787 Long DBT UST US N 2 2037-02-15 None 0.00000000 N N N N N N ONE BRYANT PARK TRUST 2019-OBP N/A 68236JAA9 2250000.00000000 PA USD 2084095.35000000 0.033817105738 Long ABS-O CORP US N 2 2054-09-13 Fixed 2.51641000 N N N N N N PRPM 2025-RPL3 LLC N/A 69392NAA8 1729214.50000000 PA USD 1676306.24000000 0.027200207211 Long ABS-O CORP US N 2 2055-04-25 Variable 3.25000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132GSKA6 35991.60000000 PA USD 34719.31000000 0.000563365096 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36292MS86 38024.49000000 PA USD 37889.26000000 0.000614801578 Long ABS-MBS USGA US N 2 2036-04-15 Fixed 4.90000000 N N N N N N ISLAND FINANCE TRUST 2025-1 N/A 463920AA6 3000000.00000000 PA USD 3021296.10000000 0.049024383496 Long ABS-O CORP US N 2 2035-03-19 Fixed 6.54000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3133SKDP3 15022021.97000000 PA USD 11823000.82000000 0.191843270932 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36291FVQ8 3693.27200000 PA USD 3725.42000000 0.000060449692 Long ABS-MBS USGA US N 2 2034-03-15 Fixed 5.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138APE87 702379.72000000 PA USD 758768.41000000 0.012311985414 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 6.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B3WL0 5440400.59000000 PA USD 5146433.44000000 0.083507447880 Long ABS-O USGSE US N 2 2049-01-25 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132MQFB7 621991.83000000 PA USD 615193.99000000 0.009982307292 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380ASK4 4996257.08880000 PA USD 689723.80000000 0.011191648537 Long ABS-O USGA US N 2 2046-09-20 Floating 2.32451000 N N N N N N ELLINGTON FINANCIAL MORTGAGE TRUST 2019-2 N/A 31573TAD0 2422000.00000000 PA USD 2338235.86000000 0.037940859721 Long ABS-O CORP US N 2 2059-11-25 Variable 3.46900000 N N N N N N PRPM 2025-RCF5 LLC N/A 69384AAA6 1675819.60000000 PA USD 1662899.70000000 0.026982668997 Long ABS-O CORP US N 2 2055-10-25 Fixed 4.83900000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376F4G4 178870.44980000 PA USD 174334.01000000 0.002828791710 Long ABS-O USGA US N 2 2039-09-20 Fixed 5.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3132DNJP9 14607160.49000000 PA USD 13630775.08000000 0.221176714482 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374DKM0 181590.66020000 PA USD 177606.94000000 0.002881899175 Long ABS-O USGA US N 2 2037-12-20 Floating 4.12549000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -2951.00000000 NC USD 5954881.24000000 0.096625544774 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT T 4 11/15/52 2026-06-18 -345412099.99000000 USD 5954881.24000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31393XRL3 119340.37000000 PA USD 122439.64000000 0.001986739355 Long ABS-O USGSE US N 2 2034-04-25 Fixed 5.50000000 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2025-1 N/A 69544NAB3 3364214.24000000 PA USD 3376405.14000000 0.054786480683 Long ABS-O CORP US N 2 2032-07-15 Fixed 5.15600000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K113 N/A 3137FV5S7 82019000.00000000 PA USD 4787875.53000000 0.077689388377 Long ABS-O USGSE US N 2 2030-06-25 Variable 1.68440900 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620AMEE8 53628.60000000 PA USD 54504.62000000 0.000884406991 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 5.00000000 N N N N N N FLAGSTAR MORTGAGE TRUST 2018-4 N/A 33851LAM6 3240194.69000000 PA USD 3020122.61000000 0.049005342124 Long ABS-O CORP US N 2 2048-07-25 Variable 4.39732000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ATD76 250178.91000000 PA USD 44731.04000000 0.000725818187 Long ABS-O USGSE US N 2 2046-10-25 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136FAMX5 28960.90000000 PA USD 2665.56000000 0.000043252111 Long ABS-MBS USGSE US N 2 2032-01-25 Fixed 6.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380BC94 5827610.14000000 PA USD 5282814.84000000 0.085720410077 Long ABS-O USGA US N 2 2046-11-20 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128P7UF8 8592.56000000 PA USD 8414.44000000 0.000136535023 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38373AM52 669551.45000000 PA USD 670683.26000000 0.010882691485 Long ABS-O USGA US N 2 2039-08-20 Fixed 6.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AJV86 14726.30120000 PA USD 337.20000000 0.000005471500 Long ABS-O USGSE US N 2 2029-05-25 Fixed 3.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834NV6 5220000.00000000 PA USD 2027722.57000000 0.032902385468 Long DBT UST US N 2 2044-08-15 None 0.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834PB8 5350000.00000000 PA USD 2050163.39000000 0.033266516400 Long DBT UST US N 2 2044-11-15 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379AVB3 277093.57800000 PA USD 552.05000000 0.000008957715 Long ABS-O USGA US N 2 2028-04-20 Fixed 3.00000000 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2025-5 N/A 76089KAC3 8000000.00000000 PA USD 8011172.80000000 0.129991498550 Long ABS-O CORP US N 2 2034-06-26 Fixed 4.83800000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376FEC2 350088.72000000 PA USD 367502.41000000 0.005963195425 Long ABS-O USGA US N 2 2039-08-20 Fixed 7.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XKTP5 20900956.80000000 PA USD 19906467.96000000 0.323007837375 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834AE8 23853000.00000000 PA USD 13543377.75000000 0.219758581310 Long DBT UST US N 2 2038-05-15 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38377TAY7 329595.59140000 PA USD 328305.98000000 0.005327183346 Long ABS-O USGA US N 2 2041-01-20 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379QAH8 236452.71510000 PA USD 243288.80000000 0.003947671144 Long ABS-O USGA US N 2 2038-01-20 Variable 5.55200000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797UC9 10000000.00000000 PA USD 9939593.70000000 0.161282587744 Long DBT UST US N 2 2026-06-30 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B5EY7 4898513.04000000 PA USD 4812643.58000000 0.078091281585 Long ABS-O USGSE US N 2 2049-07-25 Floating 4.20964000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376LU98 239265.00000000 PA USD 238082.86000000 0.003863198126 Long ABS-O USGA US N 2 2041-03-20 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3620AC7F5 22903.99000000 PA USD 22679.22000000 0.000367999276 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ACLY5 7053443.89000000 PA USD 6411975.49000000 0.104042482096 Long ABS-O USGSE US N 2 2043-03-25 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38373SV20 1870474.84000000 PA USD 1866474.64000000 0.030285932099 Long ABS-O USGA US N 2 2033-04-16 Fixed 5.75000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379EKC5 693441.41890000 PA USD 66758.30000000 0.001083238581 Long ABS-O USGA US N 2 2044-05-20 Floating 2.47451000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 9128337U8 33300000.00000000 PA USD 24160864.95000000 0.392040855882 Long DBT UST US N 2 2033-11-15 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B3WA4 1512686.66000000 PA USD 1392193.76000000 0.022590119780 Long ABS-O USGSE US N 2 2049-01-25 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137BQXX0 771702.00000000 PA USD 697734.52000000 0.011321632688 Long ABS-O USGSE US N 2 2036-07-15 Fixed 3.50000000 N N N N N N First Trust Exchange-Traded Fund IV 5493006CBTW7P2B31B80 33738D606 73956.00000000 NS USD 1590793.56000000 0.025812654889 Long EC RF US N 1 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3132DNJN4 8065193.54000000 PA USD 7543346.00000000 0.122400411913 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31325UPS9 5776.63510000 PA USD 74.56000000 0.000001209831 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374VSP5 3732286.95000000 PA USD 3725680.80000000 0.060453923839 Long ABS-O USGA US N 2 2039-06-16 Fixed 5.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834MZ8 5340000.00000000 PA USD 2168845.59000000 0.035192286498 Long DBT UST US N 2 2043-11-15 None 0.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797UB1 20000000.00000000 PA USD 19893153.40000000 0.322791791654 Long DBT UST US N 2 2026-06-23 None 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132HNBD0 33554.82000000 PA USD 31548.16000000 0.000511909142 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XTD40 13394535.63000000 PA USD 13064334.61000000 0.211985495247 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 4.50000000 N N N N N N ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1 N/A 03881BAC7 7400000.00000000 PA USD 6900835.96000000 0.111974866862 Long ABS-O CORP US N 2 2053-05-16 Fixed 2.49530000 N N N N N N BMO 2025-C13 MORTGAGE TRUST N/A 05592YAE8 64624305.78000000 PA USD 4891374.93000000 0.079368798176 Long ABS-O CORP US N 2 2058-10-18 Variable 1.22160300 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136FLCE4 199131.42000000 PA USD 27531.65000000 0.000446736143 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140LDLR8 6735000.00000000 PA USD 6332015.25000000 0.102745025197 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 1.39000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FH4X8 3288650.25000000 PA USD 2966548.33000000 0.048136031086 Long ABS-O USGSE US N 2 2048-09-15 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BAHZ0 13694272.84000000 PA USD 13434818.41000000 0.217997067529 Long ABS-O USGSE US N 2 2050-06-25 Floating 4.20964000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38375XBM5 280072.56000000 PA USD 283594.30000000 0.004601679299 Long ABS-O USGA US N 2 2038-06-16 Fixed 5.25000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31392FLJ4 86203.54000000 PA USD 83010.07000000 0.001346944281 Long ABS-O USGSE US N 2 2032-09-25 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398FVJ7 97000.00000000 PA USD 97958.44000000 0.001589500654 Long ABS-O USGSE US N 2 2039-11-25 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136ADCB3 56378.08620000 PA USD 39380.74000000 0.000639002744 Long ABS-O USGSE US N 2 2043-03-25 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137F4W73 2008156.44000000 PA USD 212490.06000000 0.003447922297 Long ABS-O USGSE US N 2 2048-04-15 Floating 2.44572000 N N N N N N First Trust Exchange-Traded Fund IV 5493000G9GN9OLNUML64 33738D838 90000.00000000 NS USD 1819800.00000000 0.029528576522 Long EC RF US N 1 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380CS95 2283296.07000000 PA USD 201889.95000000 0.003275921990 Long ABS-O USGA US N 2 2035-05-20 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378GM88 906222.66000000 PA USD 939787.88000000 0.015249257242 Long ABS-O USGA US N 2 2042-12-20 Variable 6.26164000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31398FTF8 120102.64000000 PA USD 121485.36000000 0.001971254945 Long ABS-O USGSE US N 2 2039-11-25 Fixed 5.00000000 N N N N N N BANK 2020-BNK26 N/A 06540JBM3 8142138.58000000 PA USD 270551.05000000 0.004390035928 Long ABS-O CORP US N 2 2063-03-16 Variable 1.30500000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132H4A92 6663.15000000 PA USD 6102.74000000 0.000099024741 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FRNY3 8706789.00000000 PA USD 7896753.76000000 0.128134903662 Long ABS-O USGSE US N 2 2040-03-25 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140H74S3 30563.82000000 PA USD 30598.34000000 0.000496497100 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 5.00000000 N N N N N N PRPM 2025-2 LLC N/A 69382HAA3 4984366.56000000 PA USD 4971695.30000000 0.080672098645 Long ABS-O CORP US N 2 2030-05-25 Variable 6.46900000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36294SLD7 194490.48000000 PA USD 201031.20000000 0.003261987675 Long ABS-MBS USGA US N 2 2037-03-15 Fixed 5.50000000 N N N N N N TIAA BANK MORTGAGE LOAN TRUST 2018-3 N/A 88632AAA6 681889.27000000 PA USD 647420.86000000 0.010505229369 Long ABS-O CORP US N 2 2048-11-25 Variable 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381NPY8 34026595.66000000 PA USD 31221007.57000000 0.506600676531 Long ABS-O USGA US N 2 2055-06-20 Floating 3.88775000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31394UET5 129608.14290000 PA USD 130753.17000000 0.002121636985 Long ABS-O USGSE US N 2 2035-11-25 Fixed 6.00000000 N N N N N N BENCHMARK 2024-V6 MORTGAGE TRUST N/A 081927AC9 75072729.14000000 PA USD 2479584.68000000 0.040234424644 Long ABS-O CORP US N 2 2057-03-16 Variable 1.57677500 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137B0PK4 905000.00000000 PA USD 838785.95000000 0.013610372079 Long ABS-O USGSE US N 2 2043-03-15 Fixed 4.00000000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K118 N/A 3137F62P1 75773484.67520000 PA USD 2628718.58000000 0.042654312422 Long ABS-O USGSE US N 2 2030-09-25 Variable 1.03683300 N N N N N N GRACIE POINT INTERNATIONAL FUNDING 2025-1 LLC N/A 38411WAA0 16300000.00000000 PA USD 16327053.11000000 0.264927265167 Long ABS-O CORP US N 2 2028-08-15 Floating 5.17223000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380YZK4 3381154.85750000 PA USD 449622.59000000 0.007295700107 Long ABS-O USGA US N 2 2044-04-20 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380CAX1 464000.00000000 PA USD 443620.42000000 0.007198307242 Long ABS-O USGA US N 2 2046-10-20 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38377FVF5 1178557.05000000 PA USD 1272772.20000000 0.020652352623 Long ABS-O USGA US N 2 2040-05-20 Fixed 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31398KRU6 206091.79000000 PA USD 204515.08000000 0.003318518073 Long ABS-O USGSE US N 2 2036-03-15 Variable 4.28304000 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2016-1 N/A 64829FAA9 2360411.44000000 PA USD 2277068.62000000 0.036948343220 Long ABS-O CORP US N 2 2056-03-25 Variable 3.75000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132DVKW4 14264304.05000000 PA USD 12736402.24000000 0.206664374200 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396QLV9 4400000.00000000 PA USD 4439470.64000000 0.072036074576 Long ABS-O USGSE US N 2 2039-07-25 Fixed 5.00000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 91282CMF5 15000000.00000000 PA USD 15089648.40000000 0.244848795187 Long DBT UST US N 2 2028-01-15 Fixed 4.25000000 N N N N N N PRPM 2025-NQM2 TRUST N/A 693983AA6 4049848.72000000 PA USD 4074900.27000000 0.066120455239 Long ABS-O CORP US N 2 2070-04-25 Variable 5.68800000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380NLL1 2076458.05000000 PA USD 1093956.38000000 0.017750837828 Long ABS-O USGA US N 2 2061-05-16 Fixed 2.80000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H7G72 26789410.00000000 PA USD 24816388.71000000 0.402677565141 Long ABS-O USGSE US N 2 2052-04-25 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36183KUN6 232749.29000000 PA USD 227480.92000000 0.003691168124 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137ATJQ6 19028.16000000 PA USD 1999.65000000 0.000032446872 Long ABS-O USGSE US N 2 2042-08-15 Floating 2.34572000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138ENRL5 356859.25000000 PA USD 354042.10000000 0.005744784724 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 4.50000000 N N N N N N ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1 N/A 03881BAJ2 2963000.00000000 PA USD 2760889.03000000 0.044798946583 Long ABS-O CORP US N 2 2053-05-16 Variable 3.06110000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AGPZ9 379979.00000000 PA USD 353370.29000000 0.005733883750 Long ABS-O USGSE US N 2 2043-05-25 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31394FHE8 18371.06250000 PA USD 1430.36000000 0.000023209415 Long ABS-O USGSE US N 2 2035-09-25 Floating 2.33036000 N N N N N N BBCMS 2018-TALL MORTGAGE TRUST N/A 05548WAA5 8812000.00000000 PA USD 8341607.51000000 0.135353223256 Long ABS-O CORP US N 2 2037-03-16 Floating 4.57401000 N N N N N N FIVE 2023-V1 MORTGAGE TRUST N/A 337964AD2 25977589.82000000 PA USD 238011.87000000 0.003862046223 Long ABS-O CORP US N 2 2056-02-11 Variable 0.65472700 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FUCU6 6647964.58000000 PA USD 6505652.27000000 0.105562507355 Long ABS-O USGSE US N 2 2050-01-25 Floating 4.15964000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XQXJ1 45211052.98000000 PA USD 40624786.35000000 0.659188983657 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137B2Y53 15246910.95000000 PA USD 12610473.05000000 0.204621012444 Long ABS-O USGSE US N 2 2043-02-15 Fixed 2.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376FUK6 760202.32000000 PA USD 753863.60000000 0.012232398615 Long ABS-O USGA US N 2 2039-09-16 Fixed 5.50000000 N N N N N N REDWOOD FUNDING TRUST 2026-2 N/A 75805CAA0 8999000.00000000 PA USD 8998987.40000000 0.146020050592 Long ABS-O CORP US N 2 2056-11-27 Fixed 6.25900000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 91282CKA8 30000000.00000000 PA USD 30086706.30000000 0.488195191394 Long DBT UST US N 2 2027-02-15 Fixed 4.12500000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3133SSSS4 5515870.09000000 PA USD 5171763.31000000 0.083918457334 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 3.50000000 N N N N N N NRTH 2024-PARK MORTGAGE TRUST N/A 669985AA1 5611500.00000000 PA USD 5615824.22000000 0.091123912088 Long ABS-O CORP US N 2 2040-10-15 Floating 5.04798000 N N N N N N PRKCM 2025-AFC2 TRUST N/A 74277JAC3 1945731.44000000 PA USD 1939619.51000000 0.031472800926 Long ABS-O CORP US N 2 2060-12-25 Variable 5.02200000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BU3V0 15471921.35000000 PA USD 15703641.22000000 0.254811611964 Long ABS-O USGSE US N 2 2055-02-25 Floating 5.44516000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380CYG2 1123620.18000000 PA USD 1006961.66000000 0.016339237516 Long ABS-O USGA US N 2 2047-02-20 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3137F64T1 46072531.00000000 PA USD 732834.29000000 0.011891171233 Long ABS-O USGSE US N 2 2027-09-25 Variable 1.66438400 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138YDAP4 52489.65000000 PA USD 50926.11000000 0.000826341101 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31398KD98 65903.82000000 PA USD 59259.36000000 0.000961558713 Long ABS-O USGSE US N 2 2037-12-15 Floating 3.78671000 N N N N N N BX TRUST 2018-BILT N/A 05619PAA4 3245000.00000000 PA USD 3248615.90000000 0.052712937243 Long ABS-O CORP US N 2 2044-12-15 Floating 5.35471000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138WLC43 143378.56000000 PA USD 140738.54000000 0.002283662351 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FL2N3 28252445.21790000 PA USD 747847.88000000 0.012134785884 Long ABS-O USGSE US N 2 2034-01-25 Variable 0.63434700 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137F84L4 35410560.00000000 PA USD 1565249.44000000 0.025398168956 Long ABS-O USGSE US N 2 2030-11-25 Variable 1.17021600 N N N N N N JP MORGAN MORTGAGE TRUST 2019-INV1 N/A 46591DAX7 4910950.62260000 PA USD 4789735.59000000 0.077719570223 Long ABS-O CORP US N 2 2049-09-25 Variable 4.93236300 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H6TV7 13093341.55000000 PA USD 11468548.21000000 0.186091825159 Long ABS-O USGSE US N 2 2052-03-25 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3137F64R5 120494784.48530000 PA USD 1149014.17000000 0.018644220708 Long ABS-O USGSE US N 2 2027-09-25 Variable 1.26538400 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140MM5G9 3474903.03000000 PA USD 3401232.58000000 0.055189337570 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.50000000 N N N N N N JP MORGAN MORTGAGE TRUST 2019-8 N/A 46591KBE2 445156.43000000 PA USD 403092.00000000 0.006540681925 Long ABS-O CORP US N 2 2050-03-25 Variable 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36241KJP4 2679.27000000 PA USD 2722.38000000 0.000044174088 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 7.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383LHV5 11106000.00000000 PA USD 10594312.15000000 0.171906229821 Long ABS-O USGA US N 2 2041-08-20 Fixed 4.00000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -367.00000000 NC USD -441546.88000000 -0.00716466141 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2026-06-30 0.00000000 USD 100000.00000000 109.00000000 USD 2026-05-22 XXXX -140399.00000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FNX70 71253040.63000000 PA USD 2168201.53000000 0.035181835803 Long ABS-O USGSE US N 2 2029-07-25 Variable 1.20901400 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 313920B41 557.63230000 PA USD 557.95000000 0.000009053450 Long ABS-O USGSE US N 2 2031-09-25 Floating 8.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FJD63 2042461.67000000 PA USD 1910292.75000000 0.030996936833 Long ABS-O USGSE US N 2 2048-10-15 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138EKGA7 47617.19000000 PA USD 44714.96000000 0.000725557268 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.50000000 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2026-CINV1 N/A 161923CC9 13541964.33000000 PA USD 13562997.71000000 0.220076940190 Long ABS-O CORP US N 2 2057-01-25 Variable 4.86190000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BNZ74 23240534.58000000 PA USD 22946523.23000000 0.372336612336 Long ABS-O USGSE US N 2 2052-09-25 Floating 4.29516000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137GARQ2 134091.80000000 PA USD 13206.61000000 0.000214294094 Long ABS-O USGSE US N 2 2040-10-15 Floating 2.24572000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136FLCA2 184412.58000000 PA USD 25450.92000000 0.000412973644 Long ABS-MBS USGSE US N 2 2041-11-25 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140HBD62 762102.56000000 PA USD 750049.88000000 0.012170516143 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378TPS3 90896.42250000 PA USD 6982.21000000 0.000113295264 Long ABS-O USGA US N 2 2043-05-20 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31417YDA2 21339.20000000 PA USD 21353.16000000 0.000346482261 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FVNL2 53269611.00000000 PA USD 2643770.79000000 0.042898553731 Long ABS-O USGSE US N 2 2030-06-25 Variable 1.43474100 N N N N N N ARROYO MORTGAGE TRUST 2021-1R N/A 042853AB7 1298708.33000000 PA USD 1200167.15000000 0.019474243064 Long ABS-O CORP US N 2 2048-10-25 Variable 1.48300000 N N N N N N HOMES 2025-AFC2 TRUST N/A 43761YAA2 2173461.82000000 PA USD 2184459.10000000 0.035445635616 Long ABS-O CORP US N 2 2060-06-25 Variable 5.47100000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BSR98 5042573.50000000 PA USD 5014253.90000000 0.081362666222 Long ABS-O USGSE US N 2 2035-11-25 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374K2D4 63598.25000000 PA USD 63499.83000000 0.001030365748 Long ABS-O USGA US N 2 2035-04-16 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132G7GV1 29335.79000000 PA USD 28487.86000000 0.000462251870 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140JBPS9 17760539.60000000 PA USD 17099970.96000000 0.277468843296 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3137FURQ9 12570407.40000000 PA USD 12308511.76000000 0.199721305301 Long ABS-O USGSE US N 2 2050-07-25 Floating 4.15964000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES K-123 N/A 3137F8ZV8 5700000.00000000 PA USD 5082212.91000000 0.082465387854 Long ABS-O USGSE US N 2 2030-12-25 Fixed 1.62100000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31394UCM2 1208905.83000000 PA USD 1224368.34000000 0.019866938245 Long ABS-O USGSE US N 2 2035-10-25 Fixed 5.50000000 N N N N N N SEQUOIA MORTGAGE TRUST 2017-CH1 N/A 81746HAN1 152353.83000000 PA USD 144375.56000000 0.002342677641 Long ABS-O CORP US N 2 2047-08-25 Variable 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140JCLB8 15111983.46000000 PA USD 14013423.11000000 0.227385666914 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140JCQT4 25339474.58000000 PA USD 23434261.31000000 0.380250784893 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N JP MORGAN MORTGAGE TRUST 2026-1 N/A 46594NCH5 2899425.66000000 PA USD 2882543.17000000 0.046772940199 Long ABS-O CORP US N 2 2056-07-25 Variable 4.76190000 N N N N N N COLT 2025-4 MORTGAGE LOAN TRUST 2138002WIT3BHLQD3E93 12674HAA0 3770159.82000000 PA USD 3805925.44000000 0.061755995491 Long ABS-O CORP US N 2 2070-04-25 Variable 5.79400000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140FXGR7 14664152.79000000 PA USD 14465212.00000000 0.234716518002 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 3132DVL78 3818948.79000000 PA USD 3408503.49000000 0.055307317360 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381QSW2 31231953.70000000 PA USD 27311593.94000000 0.443165453136 Long ABS-O USGA US N 2 2055-08-20 Floating 4.33775000 N N N N N N FARM 2024-1 MORTGAGE TRUST N/A 30335JAC5 4747896.32000000 PA USD 4594396.83000000 0.074549949648 Long ABS-O CORP US N 2 2053-10-01 Variable 4.67668060 N N N N N N ARROYO MORTGAGE TRUST 2021-1R N/A 042853AC5 1792996.70000000 PA USD 1655715.73000000 0.026866099919 Long ABS-O CORP US N 2 2048-10-25 Variable 1.63700000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3131XQ6T8 11644315.57000000 PA USD 10891563.78000000 0.176729516722 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138M4KK7 148463.53000000 PA USD 139753.54000000 0.002267679470 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.50000000 N N N N N N FREDDIE MAC STACR REMIC TRUST 2025-HQA1 529900MBUPRSJMB6GN48 35564NGY3 2412500.00000000 PA USD 2416436.24000000 0.039209760647 Long ABS-O USGSE US N 2 2045-02-27 Floating 4.59516000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AUDV0 2063654.90000000 PA USD 2035682.68000000 0.033031548407 Long ABS-O USGSE US N 2 2046-11-25 Floating 4.25964000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 3837427Z0 81997.55000000 PA USD 82876.02000000 0.001344769149 Long ABS-O USGA US N 2 2038-06-20 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BN3L8 24241202.58000000 PA USD 23975926.25000000 0.389039989548 Long ABS-O USGSE US N 2 2052-09-25 Floating 4.34516000 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-1 N/A 69544AAA3 2838785.14000000 PA USD 2848088.97000000 0.046213876851 Long ABS-O CORP US N 2 2032-07-15 Fixed 5.09200000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38385GUG2 18874512.58000000 PA USD 17535669.79000000 0.284538612635 Long ABS-O USGA US N 2 2055-05-20 Floating 5.52465000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379YV39 3801564.35000000 PA USD 454676.98000000 0.007377714032 Long ABS-O USGA US N 2 2045-06-20 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31396L4R8 1030034.74000000 PA USD 1007312.07000000 0.016344923365 Long ABS-O USGSE US N 2 2036-12-25 Variable 3.96425900 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31397KDY4 38914.12000000 PA USD 40124.10000000 0.000651064708 Long ABS-O USGSE US N 2 2037-08-15 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31296UZ46 44671.89000000 PA USD 44535.80000000 0.000722650169 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137FTG43 35529637.00000000 PA USD 2291579.87000000 0.037183806764 Long ABS-O USGSE US N 2 2030-04-25 Variable 1.91328600 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137B3CM8 5388000.00000000 PA USD 5014572.81000000 0.081367840943 Long ABS-O USGSE US N 2 2043-07-15 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136B46X1 3086733.18000000 PA USD 3029629.54000000 0.049159604191 Long ABS-O USGSE US N 2 2049-07-25 Floating 4.20964000 N N N N N N TENNESSEE VALLEY AUTHORITY (TN) 549300HE1ISW43LNKM54 880591FC1 5000000.00000000 PA USD 4876685.20000000 0.079130438568 Long DBT USGA US N 2 2055-02-01 Fixed 5.25000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31392JM71 7093.43500000 PA USD 7034.90000000 0.000114150226 Long ABS-O USGSE US N 2 2033-03-25 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136FCTX4 54094.86000000 PA USD 6760.95000000 0.000109705038 Long ABS-MBS USGSE US N 2 2035-11-25 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H7G31 14966510.47000000 PA USD 13638900.17000000 0.221308554433 Long ABS-O USGSE US N 2 2052-04-25 Fixed 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136BWAF3 11831410.23000000 PA USD 11777553.65000000 0.191105832622 Long ABS-O USGSE US N 2 2055-06-25 Floating 4.44516000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912810RQ3 7436000.00000000 PA USD 5080588.92000000 0.082439036545 Long DBT UST US N 2 2046-02-15 Fixed 2.50000000 N N N N N N PRKCM 2025-HOME1 TRUST N/A 69382FAB5 797258.10000000 PA USD 801042.92000000 0.012997943269 Long ABS-O CORP US N 2 2060-02-25 Variable 5.64800000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138ERNL0 48590847.47000000 PA USD 43283815.36000000 0.702335121474 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137HLXX5 213452835.21000000 PA USD 4773061.54000000 0.077449012491 Long ABS-O USGSE US N 2 2030-02-25 Variable 0.80655400 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912834LR7 34000000.00000000 PA USD 14888108.36000000 0.241578550933 Long DBT UST US N 2 2042-08-15 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376JCK8 61541.83000000 PA USD 59157.73000000 0.000959909636 Long ABS-O USGA US N 2 2039-11-16 Fixed 5.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31394VL99 8823005.26000000 PA USD 5988.97000000 0.000097178678 Long ABS-O USGSE US N 2 2035-02-25 Variable 0.01000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 35563PAT6 9016875.06000000 PA USD 8798782.10000000 0.142771464198 Long ABS-O USGSE US N 2 2056-01-25 Variable 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38375L4C1 342453.14000000 PA USD 341741.04000000 0.005545184333 Long ABS-O USGA US N 2 2037-11-20 Fixed 6.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 35564CDD6 11000000.00000000 PA USD 10474670.80000000 0.169964896290 Long ABS-O USGSE US N 2 2029-09-25 Fixed 2.75000000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912797TZ0 30000000.00000000 PA USD 29883324.90000000 0.484895068725 Long DBT UST US N 2 2026-06-09 None 0.00000000 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2025-1 N/A 76089YAA7 3254801.90000000 PA USD 3261302.06000000 0.052918786373 Long ABS-O CORP US N 2 2033-06-27 Fixed 5.04400000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3132H3XT5 517203.09000000 PA USD 485572.20000000 0.007879028390 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3128M6VF2 67243.43000000 PA USD 69225.73000000 0.001123275780 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38374UCB5 506470.72980000 PA USD 503865.14000000 0.008175854678 Long ABS-O USGA US N 2 2039-05-16 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137AHZ76 5266277.53000000 PA USD 630047.44000000 0.010223323466 Long ABS-O USGSE US N 2 2041-11-15 Floating 2.24572000 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-PJ6 N/A 36262LAJ9 2722173.72000000 PA USD 2445903.85000000 0.039687910211 Long ABS-O CORP US N 2 2051-11-25 Variable 2.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136A2PK3 1301245.16000000 PA USD 50590.85000000 0.000820901080 Long ABS-O USGSE US N 2 2041-03-25 Floating 2.89036000 N N N N N N GS MORTGAGE SECURITIES CORP CU46ESEFJB81SUVBJO28 36244LAC7 595884.51000000 PA USD 854358.45000000 0.013863055758 Long ABS-O CORP US N 2 2036-05-25 Floating 4.86879000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ASF50 11628310.84000000 PA USD 1353151.65000000 0.021956611739 Long ABS-O USGSE US N 2 2046-07-25 Floating 2.24036000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31393VKU4 312455.73000000 PA USD 316950.16000000 0.005142920680 Long ABS-O USGSE US N 2 2033-06-15 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138ERTY6 4901791.29000000 PA USD 4597906.06000000 0.074606891382 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383YWD0 10992463.42000000 PA USD 8908279.16000000 0.144548193682 Long ABS-O USGA US N 2 2052-09-20 Fixed 3.50000000 N N N N N N PRKCM 2025-HOME1 TRUST N/A 69382FAA7 2284144.33000000 PA USD 2295644.08000000 0.037249753756 Long ABS-O CORP US N 2 2060-02-25 Variable 5.54600000 N N N N N N UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 254900HROIFWPRGM1V77 912810RP5 11500000.00000000 PA USD 8616015.63000000 0.139805845066 Long DBT UST US N 2 2045-11-15 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140X4NA0 1260437.90000000 PA USD 1183401.20000000 0.019202194137 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31417FUA4 306514.47000000 PA USD 285726.87000000 0.004636282968 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136FCEY8 28807.99000000 PA USD 3375.06000000 0.000054764654 Long ABS-MBS USGSE US N 2 2033-12-25 Fixed 7.50000000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES N/A 35563PJF7 17210555.21000000 PA USD 16669140.40000000 0.270478067849 Long ABS-O USGSE US N 2 2058-07-25 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H73N1 4766358.96000000 PA USD 4458121.39000000 0.072338706788 Long ABS-O USGSE US N 2 2031-12-25 Variable 2.40000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31398KP61 754620.92000000 PA USD 779602.19000000 0.012650040072 Long ABS-O USGSE US N 2 2037-06-15 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H2NR1 3861266.27000000 PA USD 398284.60000000 0.006462675727 Long ABS-O USGSE US N 2 2045-09-25 Variable 1.74280390 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31371NLR4 28003.83000000 PA USD 29045.98000000 0.000471308079 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379R6F5 2884631.15000000 PA USD 1773865.85000000 0.028783236340 Long ABS-O USGA US N 2 2057-09-16 Fixed 2.60000000 N N N N N N PRPM 2024-RPL2 LLC N/A 69381DAA3 3948504.18000000 PA USD 3858894.85000000 0.062615491741 Long ABS-O CORP US N 2 2054-05-25 Variable 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376CKS7 455000.00000000 PA USD 458107.10000000 0.007433372105 Long ABS-O USGA US N 2 2039-09-16 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38377UAJ7 771202.00000000 PA USD 767023.01000000 0.012445926830 Long ABS-O USGA US N 2 2041-03-16 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BAB78 4626529.61000000 PA USD 4521051.21000000 0.073359823397 Long ABS-O USGSE US N 2 2050-07-25 Floating 4.15964000 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2019-ATR2 N/A 16159GAL3 1636314.10000000 PA USD 1600467.37000000 0.025969624797 Long ABS-O CORP US N 2 2049-07-25 Variable 4.69303000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 3132DQPZ3 29098227.61000000 PA USD 26540881.57000000 0.430659661734 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38375JJ71 73738.71000000 PA USD 396.89000000 0.000006440046 Long ABS-O USGA US N 2 2037-05-20 Floating 2.42451000 N N N N N N FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES N/A 35563PLK3 9155224.16000000 PA USD 8678877.85000000 0.140825864779 Long ABS-O USGSE US N 2 2058-10-25 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382P4V1 4993855.24000000 PA USD 631654.27000000 0.010249396333 Long ABS-O USGA US N 2 2051-03-20 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31418BYF7 1591.13000000 PA USD 1403.21000000 0.000022768872 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379QDE2 5790229.13000000 PA USD 5412610.07000000 0.087826503264 Long ABS-O USGA US N 2 2045-09-20 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36213FP56 11714.14000000 PA USD 11867.94000000 0.000192572466 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31335AAV0 6136.98000000 PA USD 5997.83000000 0.000097322443 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136AEQT7 299422.47450000 PA USD 22362.88000000 0.000362866256 Long ABS-O USGSE US N 2 2033-06-25 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31281LCS5 146248.53000000 PA USD 147883.02000000 0.002399590654 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.50000000 N N N N N N TOWD POINT MORTGAGE TRUST 2017-4 N/A 89173UAH0 1850000.00000000 PA USD 1448632.51000000 0.023505910498 Long ABS-O CORP US N 2 2057-06-25 Variable 3.62499000 N N N N N N COREVEST AMERICAN FINANCE 2021-3 TRUST N/A 21873NAA7 503766.46000000 PA USD 499285.96000000 0.008101551641 Long ABS-O CORP US N 2 2054-10-19 Fixed 1.90000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31371MRA7 35496.82000000 PA USD 35682.96000000 0.000579001546 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 36241LXC5 86934.16000000 PA USD 88218.16000000 0.001431452186 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 31292LW68 63442.73000000 PA USD 58144.42000000 0.000943467389 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.00000000 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2025-5 N/A 69548WAB9 2295557.44000000 PA USD 2302121.13000000 0.037354852155 Long ABS-O CORP US N 2 2033-03-15 Fixed 5.10800000 N N N N N N PMT LOAN TRUST 2025-INV11 N/A 729916BK1 4179143.39000000 PA USD 4200732.43000000 0.068162242560 Long ABS-O CORP US N 2 2056-11-25 Variable 5.01190000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 3137H53U9 8815818.00000000 PA USD 6109195.26000000 0.099129486607 Long ABS-O USGSE US N 2 2052-01-25 Fixed 2.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38385GPR4 20807118.26000000 PA USD 20033811.31000000 0.325074145681 Long ABS-O USGA US N 2 2055-05-20 Floating 5.39965000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3136FANS5 70608.75000000 PA USD 8359.60000000 0.000135645174 Long ABS-MBS USGSE US N 2 2032-07-25 Fixed 6.50000000 N N N N N N 2026-06-22 First Trust Exchange-Traded Fund IV Derek Maltbie Derek Maltbie Treasurer, Chief Financial Officer and Chief Accounting Officer