NPORT-P false 0000930007 XXXXXXXX S000002696 C000007350 C000007349 PACE SELECT ADVISORS TRUST 811-08764 0000930007 549300TPB2UX3QR3SC50 1285 Avenue of the Americas New York 10019 212-821-3000 PACE Mortgage-Backed Securities Fixed Income Investments S000002696 549300SL7FH0DG7NFM06 2026-07-31 2026-04-30 N 718645204.99 553427516.99 165217688.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 242449000.41000000 0.00000000 0.00000000 0.00000000 USD N Bloomberg U.S. Mortgage Backed Securities (Returns Universe) LEHM.MC.LEHM003446UUSD Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XLE4 98652.83000000 PA USD 90094.85000000 0.054530995494 Long ABS-MBS USGA US N 2 2052-11-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C7D0 39605.60000000 PA USD 39431.69000000 0.023866506351 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417AXF1 5311.92000000 PA USD 5277.87000000 0.003194494526 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1400000.00000000 NC USD 2471.42000000 0.001495856787 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Call Purchased Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1400000.00000000 OU Notional Amount N/A 2471.42000000 0.00000000 DIR US N/A N/A 2033-09-16 0.00000000 N/A 0.00000000 N/A 1400000.00000000 USD 1.00000000 3.13500000 USD 2026-09-14 XXXX -15518.58000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138Y9DA3 492.57000000 PA USD 486.86000000 0.000294677891 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AM6U1 39156.32000000 PA USD 37708.25000000 0.022823373487 Long ABS-MBS USGA US N 2 2041-07-20 Fixed 4.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 500000.00000000 OU Notional Amount USD 55046.05000000 0.033317286221 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2032-06-15 22693.58000000 USD 0.00000000 USD 500000.00000000 USD 32352.47000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128HDPU7 8839.11000000 PA USD 8954.65000000 0.005419910003 Long ABS-MBS USGSE US N 2 2030-01-01 Floating 6.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -4500000.00000000 NC USD -10656.00000000 -0.00644967262 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 95.20703120 USD 2026-06-04 XXXX 10437.75000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AXTT0 324848.26000000 PA USD 25355.02000000 0.015346431914 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 2.44600000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45660LCL1 117997.58000000 PA USD 111562.76000000 0.067524707160 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.40900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617AANP5 2922.27000000 PA USD 2879.58000000 0.001742900554 Long ABS-MBS USGA US N 2 2045-12-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AD3D9 333578.45000000 PA USD 27739.75000000 0.016789818533 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6LC3 23796.28000000 PA USD 23668.45000000 0.014325615063 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312926VK1 13712.51000000 PA USD 14033.99000000 0.008494241851 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELA29 16203.09000000 PA USD 16005.81000000 0.009687709708 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AC3V0 2398930.65000000 PA USD 2217983.01000000 1.342460990012 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ENL0 320193.81000000 PA USD 328244.08000000 0.198673691644 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYZG7 320780.36000000 PA USD 315412.11000000 0.190906986908 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179NLG1 650806.56000000 PA USD 660325.04000000 0.399669701224 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNBC6 796551.93000000 PA USD 699406.69000000 0.423324341640 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount USD -17609.00000000 -0.01065805980 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2033-03-08 0.00000000 USD 0.00000000 USD 1000000.00000000 USD -17609.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YEZM2 25739.82000000 PA USD 25278.61000000 0.015300183839 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H6LZ0 23876.04000000 PA USD 22712.89000000 0.013747250839 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.00000000 N N N N N N GSR Mortgage Loan Trust N/A 36242DPD9 865.03000000 PA USD 840.46000000 0.000508698560 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.09900000 N N N N N N MLCC Mortgage Investors Inc 9DJT3UXIJIZJI4WXO774 59020UAR6 6308.82000000 PA USD 5870.22000000 0.003553021514 Long ABS-MBS CORP US N 2 2029-04-25 Floating 4.22900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396RLX3 55138.53000000 PA USD 54807.03000000 0.033172616481 Long ABS-MBS USGSE US N 2 2036-05-15 Floating 4.18400000 N N N N N N UMBS, TBA N/A 01F012452 824000.00000000 PA USD 738070.81000000 0.446726266984 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CXZ2 23994.69000000 PA USD 23776.36000000 0.014390928893 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F052664 12100000.00000000 PA USD 12147553.00000000 7.352453086015 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XXXT1 21065.14000000 PA USD 20032.60000000 0.012124972962 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BXL25 221474.18000000 PA USD 219429.15000000 0.132812141760 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8ML8 357115.82000000 PA USD 299757.38000000 0.181431772607 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36295QBJ8 56805.59000000 PA USD 58673.14000000 0.035512626226 Long ABS-MBS USGA US N 2 2038-04-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177JQR3 551694.15000000 PA USD 532701.22000000 0.322423843626 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133L8B53 495133.17000000 PA USD 456286.54000000 0.276172936156 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 2.00000000 N N N N N N JP Morgan Mortgage Trust 529900YPO46YLJDFF157 46664MAF8 958234.70000000 PA USD 956133.21000000 0.578711166809 Long ABS-MBS CORP US N 2 2066-04-25 Floating 4.84500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XCY43 24608.41000000 PA USD 23661.98000000 0.014321699018 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380B7Q2 42107.63000000 PA USD 1861.22000000 0.001126525871 Long ABS-MBS USGA US N 2 2045-12-20 Variable 1.23900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FZR2 345652.06000000 PA USD 325224.95000000 0.196846326768 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TGQ2 969.96000000 PA USD 994.63000000 0.000602011813 Long ABS-MBS USGA US N 2 2037-02-15 Fixed 6.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 -500000.00000000 NC USD -102.10000000 -0.00006179725 N/A DIR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Put Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 500000.00000000 OU Notional Amount N/A -102.10000000 0.00000000 DIR US N/A N/A 2036-05-08 0.00000000 N/A 0.00000000 N/A 500000.00000000 USD 1.00000000 4.08800000 USD 2026-05-06 XXXX 547.90000000 N N N UMBS, TBA N/A 01F050650 1000000.00000000 PA USD 985251.00000000 0.596335060686 Long ABS-MBS USGSE US N 2 2056-05-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31329QHD6 427443.44000000 PA USD 406421.51000000 0.245991524829 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X63B5 119343.94000000 PA USD 116271.80000000 0.070374910463 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FS6Z1 21605.96000000 PA USD 20553.40000000 0.012440193449 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4900000.00000000 OU Notional Amount USD -95892.02000000 -0.05803980261 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-10 0.00000000 USD 0.00000000 USD 4900000.00000000 USD -95892.02000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WNE4 3519006.96000000 PA USD 3015518.56000000 1.825179008678 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1.00000000 NC USD -1829.33000000 -0.00110722406 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes FVM6 Comdty 2026-06-30 109665.27000000 USD -1829.33000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ASYF5 15517.60000000 PA USD 185.73000000 0.000112415324 Long ABS-MBS USGSE US N 2 2027-08-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B62S1 164687.31000000 PA USD 19936.34000000 0.012066710435 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 2.24000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MU5P6 22134.02000000 PA USD 21995.91000000 0.013313290039 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412PPK1 34961.84000000 PA USD 33866.18000000 0.020497914242 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0WU2 443449.11000000 PA USD 466782.17000000 0.282525542906 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FQLE1 72458.04000000 PA USD 71429.27000000 0.043233427888 Long ABS-MBS USGSE US N 2 2046-12-15 Floating 4.28300000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 8500000.00000000 OU Notional Amount USD 70458.20000000 0.042645676048 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2034-06-20 211912.40000000 USD 0.00000000 USD 8500000.00000000 USD -141454.20000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FUF1 81238.89000000 PA USD 80558.92000000 0.048759258754 Long ABS-MBS USGA US N 2 2041-06-20 Fixed 4.50000000 N N N N N N Onslow Bay Financial LLC 25490010LUJWFEUCIH44 67114WAA9 462538.43000000 PA USD 399445.32000000 0.241769101623 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXFK3 560046.94000000 PA USD 507125.85000000 0.306944042214 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F060659 500000.00000000 PA USD 510360.00000000 0.308901550541 Long ABS-MBS USGSE US N 2 2056-05-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36193QNF6 245538.04000000 PA USD 226730.57000000 0.137231414350 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GLWQ3 34489.42000000 PA USD 32779.79000000 0.019840363581 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W2W35 28197.75000000 PA USD 27551.02000000 0.016675587422 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31329PBB8 504857.16000000 PA USD 466338.00000000 0.282256703652 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XJCU4 505.28000000 PA USD 476.56000000 0.000288443692 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 3.50000000 N N N N N N Sequoia Mortgage Trust 549300671OK77JNRLK28 81743WAA9 13014.92000000 PA USD 12973.80000000 0.007852549056 Long ABS-MBS CORP US N 2 2026-10-19 Floating 4.47500000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 700000.00000000 OU Notional Amount USD 24087.14000000 0.014579032240 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-08 0.00000000 USD 0.00000000 USD 700000.00000000 USD 24087.14000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288CUA7 765.35000000 PA USD 781.83000000 0.000473212044 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BDR42 748303.03000000 PA USD 123893.76000000 0.074988193758 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FP75 12778.00000000 PA USD 12671.05000000 0.007669305964 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCS82 345865.17000000 PA USD 294627.70000000 0.178326971867 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N EMC Mortgage Loan Trust N/A 268668BU3 45190.18000000 PA USD 45878.86000000 0.027768733817 Long ABS-MBS CORP US N 2 2040-08-25 Floating 5.26900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A25E8 357099.89000000 PA USD 329409.68000000 0.199379185114 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNUB6 706404.67000000 PA USD 620411.57000000 0.375511591712 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9K85 472055.36000000 PA USD 467754.93000000 0.283114317638 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FKN5 40708.51000000 PA USD 40368.20000000 0.024433340333 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GTJB4 26414.01000000 PA USD 25132.52000000 0.015211761103 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AL2X8 193187.18000000 PA USD 1039.19000000 0.000628982291 Long ABS-MBS USGSE US N 2 2043-02-25 Floating 0.20000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GBHY5 105613.91000000 PA USD 100440.92000000 0.060793079249 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PXVE3 5636.15000000 PA USD 5605.52000000 0.003392808644 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FECL6 432589.55000000 PA USD 403077.44000000 0.243967486096 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197K5G3 36858.92000000 PA USD 34000.81000000 0.020579400675 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CPQ3 1477.72000000 PA USD 1483.05000000 0.000897633914 Long ABS-MBS USGA US N 2 2030-07-20 Floating 5.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7ZZ2 1788.71000000 PA USD 1849.99000000 0.001119728778 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.50000000 N N N N N N Morgan Stanley Mortgage Loan Trust 5493001INKZRJR8O7L63 61748HGR6 8902.43000000 PA USD 8516.53000000 0.005154732585 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.08900000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1200000.00000000 OU Notional Amount USD 12567.48000000 0.007606618971 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2034-12-18 0.00000000 USD -36546.56000000 USD 1200000.00000000 USD 49114.04000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292CDD3 6496.20000000 PA USD 6679.73000000 0.004042987213 Long ABS-MBS USGA US N 2 2035-08-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LUT1 11082.83000000 PA USD 10987.53000000 0.006650335162 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYX38 94735.41000000 PA USD 93292.87000000 0.056466635703 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617AT4T7 103017.61000000 PA USD 95029.43000000 0.057517709605 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DSEP3 168036.76000000 PA USD 176794.40000000 0.107006944680 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B6YB0 52725.89000000 PA USD 46307.38000000 0.028028100720 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31281BHU7 114517.19000000 PA USD 114107.49000000 0.069064935710 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202K2L8 13.01000000 PA USD 12.98000000 0.000007856301 Long ABS-MBS USGA US N 2 2026-06-20 Floating 5.62500000 N N N N N N BARCLAYS CAPITAL INC AC28XWWI3WIBK2824319 000000000 -20000.00000000 NS USD -20000.00000000 -0.01210524141 Short STIV CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HBEV3 438465.32000000 PA USD 426008.96000000 0.257847065382 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G1FZ6 916809.03000000 PA USD 845717.90000000 0.511880967611 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LLZL8 392000.00000000 PA USD 401302.55000000 0.242893212499 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 5.61000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617AQU56 76805.14000000 PA USD 70849.52000000 0.042882527202 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KXB9 1467.68000000 PA USD 1514.89000000 0.000916905458 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 5.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1800000.00000000 NC USD 115280.46000000 0.069774889962 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1800000.00000000 OU Notional Amount N/A 115280.46000000 0.07000000 DIR US N/A N/A 2045-07-25 0.00000000 N/A 0.00000000 N/A 1800000.00000000 USD 1.00000000 4.64000000 USD 2035-07-23 XXXX -46566.54000000 N N N UMBS, TBA N/A 01F062671 7500000.00000000 PA USD 7767900.00000000 4.701615241099 Long ABS-MBS USGSE US N 2 2056-07-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375US27 391434.47000000 PA USD 383618.78000000 0.232189897246 Long ABS-MBS USGA US N 2 2067-11-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H5JG7 204177.10000000 PA USD 191744.58000000 0.116055721588 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196LHV6 173689.63000000 PA USD 160221.40000000 0.096975936377 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WJUN9 538682.32000000 PA USD 484711.03000000 0.293377201840 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BB7D6 41973.94000000 PA USD 2340.82000000 0.001416809560 Long ABS-MBS USGSE US N 2 2041-10-15 Variable 2.28400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B1P32 164030.36000000 PA USD 145663.67000000 0.088164694569 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6S77 1156934.99000000 PA USD 1029616.94000000 0.623188081411 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H040657 250000.00000000 PA USD 232992.25000000 0.141021371755 Long ABS-MBS USGA US N 2 2056-05-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A95V6 79892.26000000 PA USD 3160.75000000 0.001913082090 Long ABS-MBS USGSE US N 2 2041-07-25 Fixed 4.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2400000.00000000 OU Notional Amount USD 122505.12000000 0.074147702635 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2035-06-18 90685.06000000 USD 0.00000000 USD 2400000.00000000 USD 31820.06000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCSK2 467935.51000000 PA USD 471884.38000000 0.285613717097 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B5HZ9 227012.40000000 PA USD 225650.60000000 0.136577749471 Long ABS-MBS USGSE US N 2 2035-05-15 Floating 2.21800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXAT7 21215.97000000 PA USD 21452.92000000 0.012984638787 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.00000000 N N N N N N Ameriquest Mortgage Securities Inc. N/A 03072SYB5 83268.71000000 PA USD 82481.95000000 0.049923195874 Long ABS-O CORP US N 2 2035-03-25 Floating 4.87900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202K6U4 44.33000000 PA USD 44.24000000 0.000026776794 Long ABS-MBS USGA US N 2 2026-09-20 Floating 5.37500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202DKB6 1480.81000000 PA USD 1512.62000000 0.000915531513 Long ABS-MBS USGA US N 2 2030-10-20 Fixed 9.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7100000.00000000 OU Notional Amount USD 783793.14000000 0.474400259129 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2032-06-15 603285.74000000 USD 0.00000000 USD 7100000.00000000 USD 180507.40000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 400000.00000000 NC USD 32027.32000000 0.019384922030 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 400000.00000000 OU Notional Amount N/A 32027.32000000 0.02000000 DIR US N/A N/A 2045-02-08 0.00000000 N/A 0.00000000 N/A 400000.00000000 USD 1.00000000 4.09800000 USD 2035-02-06 XXXX -3492.68000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2300000.00000000 OU Notional Amount USD 56837.60000000 0.034401643485 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2031-04-15 0.00000000 USD 0.00000000 USD 2300000.00000000 USD 56837.60000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KND83 1077488.07000000 PA USD 944019.36000000 0.571379112870 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N Thornburg Mortgage Securities Trust N/A 885220HB2 12215.95000000 PA USD 12051.91000000 0.007294564005 Long ABS-MBS CORP US N 2 2045-04-25 Variable 5.17900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297VDF2 45325.52000000 PA USD 46695.81000000 0.028263202666 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MAFD6 12728.75000000 PA USD 12890.55000000 0.007802160988 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417AKM0 8196.06000000 PA USD 8151.60000000 0.004933854297 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132Y0FE5 44694.90000000 PA USD 42319.49000000 0.025614382159 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MMWN9 102971.21000000 PA USD 100038.81000000 0.060549697318 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ALAT1 23287.98000000 PA USD 24104.79000000 0.014589715115 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PXVT0 8121.81000000 PA USD 8077.72000000 0.004889137535 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617HF3Z7 123642.61000000 PA USD 125016.11000000 0.075667509643 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36192S2Y5 328568.17000000 PA USD 303379.11000000 0.183623868408 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31347AKC7 307840.39000000 PA USD 319921.02000000 0.193636059112 Long ABS-MBS USGSE US N 2 2041-11-01 Floating 6.52300000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5500000.00000000 OU Notional Amount USD 159584.15000000 0.096590233123 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2032-10-06 0.00000000 USD 0.00000000 USD 5500000.00000000 USD 159584.15000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6V96 78180.30000000 PA USD 80013.18000000 0.048428943031 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ASG94 28139.55000000 PA USD 28563.43000000 0.017288360795 Long ABS-MBS USGA US N 2 2041-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RLR5 227319.89000000 PA USD 227681.47000000 0.137806958054 Long ABS-MBS USGA US N 2 2065-11-20 Floating 4.45900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9AX9 98137.12000000 PA USD 95986.85000000 0.058097199617 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412M2R8 28662.11000000 PA USD 28983.71000000 0.017542740339 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202CTV5 988.90000000 PA USD 989.48000000 0.000598894713 Long ABS-MBS USGA US N 2 2027-01-20 Fixed 9.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410CME9 54.32000000 PA USD 56.76000000 0.000034354675 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLY9 4004402.67000000 PA USD 3424123.96000000 2.072492359292 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGPN1 980025.36000000 PA USD 822541.80000000 0.497853353328 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1300000.00000000 NC USD 55.25000000 0.000033440729 N/A DIR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Call Purchased Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1300000.00000000 OU Notional Amount N/A 55.25000000 0.00000000 DIR US N/A N/A 2033-05-20 0.00000000 N/A 0.00000000 N/A 1300000.00000000 USD 1.00000000 3.22400000 USD 2026-05-18 XXXX -5272.62000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JLYX6 64561.94000000 PA USD 63407.17000000 0.038377955028 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398SXJ7 91337.10000000 PA USD 90490.81000000 0.054770655064 Long ABS-MBS USGSE US N 2 2040-12-25 Floating 4.26000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TV77 15536.14000000 PA USD 15259.06000000 0.009235730256 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 400000.00000000 NC USD 1205.08000000 0.000729389216 N/A DIR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Put Purchased Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 400000.00000000 OU Notional Amount N/A 1205.08000000 0.00000000 DIR US N/A N/A 2033-06-02 0.00000000 N/A 0.00000000 N/A 400000.00000000 USD 1.00000000 3.90000000 USD 2026-05-29 XXXX -1594.92000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RH28 2372.11000000 PA USD 2442.82000000 0.001478546292 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312930UC2 107292.53000000 PA USD 105418.94000000 0.063806085944 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6NL8 11490.40000000 PA USD 11759.62000000 0.007117651955 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7CQ7 14602.18000000 PA USD 15068.36000000 0.009120306779 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2200000.00000000 OU Notional Amount USD 15015.66000000 0.009088409468 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-12-22 0.00000000 USD 0.00000000 USD 2200000.00000000 USD 15015.66000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EP6V1 90849.22000000 PA USD 93480.23000000 0.056580037604 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 6.18800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFNC6 6074.00000000 PA USD 5903.99000000 0.003573461214 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403SGB6 325.25000000 PA USD 332.47000000 0.000201231480 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197DZB7 138884.73000000 PA USD 132257.41000000 0.080050393877 Long ABS-MBS USGA US N 2 2047-02-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYXA2 48788.98000000 PA USD 44758.60000000 0.027090682929 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412XNK6 26635.45000000 PA USD 27454.31000000 0.016617052527 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KLQQ3 163465.04000000 PA USD 168614.58000000 0.102056009886 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36188KDV2 269023.60000000 PA USD 242836.36000000 0.146979638160 Long ABS-MBS USGA US N 2 2045-10-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398WJ21 24147.02000000 PA USD 1166.49000000 0.000706032153 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 1.82100000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4000000.00000000 OU Notional Amount USD 265282.80000000 0.160565616921 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2032-06-15 0.00000000 USD 0.00000000 USD 4000000.00000000 USD 265282.80000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9UB1 153769.02000000 PA USD 147155.87000000 0.089067866631 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31393QQ54 226641.08000000 PA USD 199475.54000000 0.120734978448 Long ABS-MBS USGSE US N 2 2033-05-15 None 0.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C64K2 152355.29000000 PA USD 147251.21000000 0.089125572317 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QAEF3 101973.45000000 PA USD 101611.36000000 0.061501502187 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36184XCW7 31542.43000000 PA USD 29126.60000000 0.017629226236 Long ABS-MBS USGA US N 2 2045-04-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GBLM6 43151.55000000 PA USD 41037.98000000 0.024838732763 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G8N41 112994.65000000 PA USD 104232.83000000 0.063088178549 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417BFX0 132348.44000000 PA USD 124826.88000000 0.075552975901 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407HN85 6929.14000000 PA USD 7215.92000000 0.004367522683 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XQSR9 138066.80000000 PA USD 145120.58000000 0.087835982791 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CDL5 20968.25000000 PA USD 18843.48000000 0.011405243729 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MGMJ1 734944.99000000 PA USD 673314.61000000 0.407531795263 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MMWE9 188625.78000000 PA USD 183366.90000000 0.110985029641 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G0JC5 124366.95000000 PA USD 118153.23000000 0.071513668681 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412RD53 23460.61000000 PA USD 23273.37000000 0.014086488124 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398W2S2 14825.40000000 PA USD 790.80000000 0.000478641245 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 1.95600000 N N N N N N JP Morgan Mortgage Trust 529900371ZWA9WXVGB88 46651BAL4 220160.07000000 PA USD 216683.65000000 0.131150394744 Long ABS-MBS CORP US N 2 2049-12-25 Floating 4.66900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3129456E3 45707.41000000 PA USD 46300.89000000 0.028024172569 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 5.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2900000.00000000 OU Notional Amount USD -13827.20000000 -0.00836907970 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-04-10 0.00000000 USD 0.00000000 USD 2900000.00000000 USD -13827.20000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CE69 944.71000000 PA USD 943.06000000 0.000570798448 Long ABS-MBS USGA US N 2 2028-01-20 Floating 5.62500000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 3500000.00000000 NC USD 12435.50000000 0.007526736483 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Purchased Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 96.58984370 USD 2026-05-06 XXXX 8060.50000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X5ND5 99740.28000000 PA USD 98635.20000000 0.059700145422 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 073879GZ5 569465.55000000 PA USD 569521.81000000 0.344709950184 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.96900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415YKQ1 14877.79000000 PA USD 14770.07000000 0.008939763156 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.50000000 N N N N N N Freddie Mac Whole Loan Securities Trust S6XOOCT0IEG5ABCC6L87 3137G1BK2 292084.13000000 PA USD 250660.15000000 0.151715081499 Long ABS-MBS USGSE US N 2 2046-12-25 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312946LX2 15120.66000000 PA USD 15316.99000000 0.009270793088 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NRGK6 81726.86000000 PA USD 81173.65000000 0.049131331507 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CJJ4 253653.32000000 PA USD 246478.80000000 0.149184268938 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132Y0UU2 30574.41000000 PA USD 28949.47000000 0.017522016165 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196YDX8 29205.55000000 PA USD 27811.92000000 0.016833500296 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288JZQ2 179.21000000 PA USD 183.41000000 0.000111011116 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9YB4 85077.50000000 PA USD 88385.67000000 0.053496493668 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31426MDM1 1078257.39000000 PA USD 1119668.18000000 0.677692681427 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GT6E5 119158.45000000 PA USD 110432.69000000 0.066840718652 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8CY8 27059.67000000 PA USD 27396.44000000 0.016582026011 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180B3A7 55905.65000000 PA USD 51194.86000000 0.030986306986 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BR4S3 1295738.10000000 PA USD 1301480.94000000 0.787737049074 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 4.46900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XBX53 37855.89000000 PA USD 36701.91000000 0.022214274055 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXE97 162.64000000 PA USD 164.46000000 0.000099541400 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATUB8 211538.70000000 PA USD 22988.16000000 0.013913861329 Long ABS-MBS USGSE US N 2 2046-05-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A9SC3 91647.09000000 PA USD 89878.11000000 0.054399810993 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 4.11000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KLTN7 1355896.46000000 PA USD 1187941.24000000 0.719015775114 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31392XF29 64127.29000000 PA USD 6443.77000000 0.003900169575 Long ABS-MBS USGSE US N 2 2032-02-15 Floating 4.24600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EKRH0 528155.72000000 PA USD 498485.19000000 0.301714178448 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATY81 23565.19000000 PA USD 994.60000000 0.000601993655 Long ABS-MBS USGSE US N 2 2046-10-25 Variable 1.81400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BSNZ1 385954.69000000 PA USD 374195.90000000 0.226486585383 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417DHM8 1505102.17000000 PA USD 1459787.82000000 0.883554199112 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178SUD8 2880.20000000 PA USD 2838.23000000 0.001717872967 Long ABS-MBS USGA US N 2 2045-12-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G82B8 28173.10000000 PA USD 26776.57000000 0.016206842211 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.00000000 N N N N N N CCBCYHUS5 CCPC BARC COC N/A 000000000 433000.00000000 NS USD 433000.00000000 0.262078476730 Long STIV CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5SX2 81045.86000000 PA USD 74233.74000000 0.044930867208 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ARXE3 94541.78000000 PA USD 9299.50000000 0.005628634628 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BTBB7 66423.74000000 PA USD 61273.12000000 0.037086295506 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7600000.00000000 OU Notional Amount USD -7215.44000000 -0.00436723215 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-06-20 70651.66000000 USD 0.00000000 USD 7600000.00000000 USD -77867.10000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31295LNS7 3110.60000000 PA USD 3114.30000000 0.001884967667 Long ABS-MBS USGSE US N 2 2027-10-01 Floating 6.40700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FQLW1 197063.68000000 PA USD 194334.11000000 0.117623065878 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 4.31000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398QFQ5 3438.66000000 PA USD 3427.13000000 0.002074311801 Long ABS-MBS USGSE US N 2 2038-02-15 Floating 4.30400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CB88 170.43000000 PA USD 170.30000000 0.000103076130 Long ABS-MBS USGA US N 2 2027-04-20 Floating 5.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H020667 10000000.00000000 PA USD 8230540.00000000 4.981633685613 Long ABS-MBS USGA US N 2 2056-06-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617ALXP0 48945.09000000 PA USD 46574.34000000 0.028189681482 Long ABS-MBS USGA US N 2 2047-05-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BULB1 445692.15000000 PA USD 443116.84000000 0.268201816260 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7HN9 488.75000000 PA USD 505.49000000 0.000305953924 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384VYL0 6888.18000000 PA USD 6930.03000000 0.004194484309 Long ABS-MBS USGSE US N 2 2030-05-01 Floating 6.00100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36295XFV2 4216.81000000 PA USD 4424.80000000 0.002678163611 Long ABS-MBS USGA US N 2 2038-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379TGM5 105436.46000000 PA USD 5794.08000000 0.003506936860 Long ABS-MBS USGA US N 2 2042-06-20 Variable 1.49300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376T6N7 171475.49000000 PA USD 7246.57000000 0.004386073965 Long ABS-MBS USGA US N 2 2045-09-20 Variable 1.21100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140W2RX1 290472.88000000 PA USD 301586.92000000 0.182539123777 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LKDW0 300000.00000000 PA USD 299958.95000000 0.181553775283 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.49000000 N N N N N N JP MORGAN JPST CASH COLL N/A 000000000 -740000.00000000 NS USD -740000.00000000 -0.44789393251 Short STIV CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5DQ0 744.98000000 PA USD 768.76000000 0.000465301269 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 5.50000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86360KAA6 103306.74000000 PA USD 95064.87000000 0.057539160092 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.18900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417AQB8 264623.94000000 PA USD 256660.50000000 0.155346865766 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GLVF8 28422.81000000 PA USD 27013.90000000 0.016350489059 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3618N6BB2 6981675.84000000 PA USD 6306096.00000000 3.816840724704 Long ABS-MBS USGA US N 2 2056-02-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5VG5 82648.55000000 PA USD 80236.00000000 0.048563807526 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140E6J78 553374.44000000 PA USD 529596.89000000 0.320544910421 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GS2M3 59207.95000000 PA USD 56379.45000000 0.034124342667 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176MN82 163216.93000000 PA USD 161518.18000000 0.097760828126 Long ABS-MBS USGA US N 2 2030-05-20 Fixed 3.75000000 N N N N N N Citigroup Global Markets Ltd. XKZZ2JZF41MRHTR1V493 000000000 -2000000.00000000 NC USD -3258.00000000 -0.00197194382 N/A DIR US N 2 Citigroup Global Markets Ltd. XKZZ2JZF41MRHTR1V493 Put Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 101.97656250 USD 2026-06-04 XXXX 648.25000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B6UH1 384576.57000000 PA USD 339209.46000000 0.205310620252 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128HDQ44 6504.96000000 PA USD 6509.67000000 0.003940056345 Long ABS-MBS USGSE US N 2 2029-11-01 Floating 6.11400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179NJC3 3196.10000000 PA USD 3169.35000000 0.001918287344 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MYG8 36186.46000000 PA USD 36523.61000000 0.022106355827 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8GA6 18940.69000000 PA USD 19589.59000000 0.011856835812 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GDFU1 30624.64000000 PA USD 31085.23000000 0.018814710686 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36295NJ24 63608.96000000 PA USD 65701.99000000 0.039766922534 Long ABS-MBS USGA US N 2 2038-05-15 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AASW6 722074.00000000 PA USD 708652.95000000 0.428920752117 Long ABS-MBS USGSE US N 2 2027-12-25 Fixed 1.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DUPL5 190267.17000000 PA USD 199969.90000000 0.121034195805 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CNP7 934.52000000 PA USD 937.36000000 0.000567348454 Long ABS-MBS USGA US N 2 2030-04-20 Floating 5.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BCL55 23430.77000000 PA USD 1199.32000000 0.000725902906 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 1.98800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B5XG2 118337.16000000 PA USD 100585.04000000 0.060880309619 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1800000.00000000 NC USD 110802.24000000 0.067064393250 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Call Purchased Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1800000.00000000 OU Notional Amount N/A 110802.24000000 0.07000000 DIR US N/A N/A 2045-07-11 0.00000000 N/A 0.00000000 N/A 1800000.00000000 USD 1.00000000 4.55875000 USD 2035-07-09 XXXX -49037.76000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202EWV7 551.81000000 PA USD 581.35000000 0.000351869104 Long ABS-MBS USGA US N 2 2038-10-20 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AJKA1 63670.41000000 PA USD 3670.11000000 0.002221378379 Long ABS-MBS USGSE US N 2 2038-06-15 Floating 2.26700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179NDT2 4687.86000000 PA USD 4648.67000000 0.002813663631 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 4.50000000 N N N N N N CHEVY CHASE MORTGAGE FUNDING CORP. 5493000I2UKXKSXK3222 16678RAS6 4465.74000000 PA USD 4428.82000000 0.002680596765 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.04900000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2200000.00000000 OU Notional Amount USD 107867.76000000 0.065288263808 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2035-03-19 126756.18000000 USD 0.00000000 USD 2200000.00000000 USD -18888.42000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179M2P4 343096.83000000 PA USD 314531.01000000 0.190373690497 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AYC64 364.93000000 PA USD 362.76000000 0.000219564868 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H2ZE1 75059.18000000 PA USD 69612.59000000 0.042133860389 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030658 -3000000.00000000 PA USD -2668863.00000000 -1.61536154651 Short ABS-MBS USGA US N 2 2056-05-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3142GVC82 529997.37000000 PA USD 558429.15000000 0.337995983819 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379FDK2 96830.18000000 PA USD 4140.35000000 0.002505996815 Long ABS-MBS USGA US N 2 2042-06-20 Variable 1.54300000 N N N N N N Renaissance Home Equity Loan Trust N/A 759950AW8 75364.92000000 PA USD 69960.84000000 0.042344642905 Long ABS-MBS CORP US N 2 2033-08-25 Floating 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398TDW8 230043.24000000 PA USD 16885.36000000 0.010220067962 Long ABS-MBS USGSE US N 2 2040-07-25 Floating 2.74000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8GS7 8457.45000000 PA USD 8747.20000000 0.005294348387 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AC5B3 241320.57000000 PA USD 26165.64000000 0.015837069454 Long ABS-MBS USGSE US N 2 2042-07-25 Floating 2.39000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ATY47 117251.99000000 PA USD 104220.71000000 0.063080842772 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount USD 20094.40000000 0.012162378158 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-11-08 0.00000000 USD 0.00000000 USD 1000000.00000000 USD 20094.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410PTG8 11954.17000000 PA USD 12487.64000000 0.007558294847 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2300000.00000000 OU Notional Amount USD 36698.34000000 0.022212113269 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2029-11-09 0.00000000 USD 0.00000000 USD 2300000.00000000 USD 36698.34000000 N N N Amortizing Residential Collateral Trust N/A 031733AE8 59195.35000000 PA USD 58590.41000000 0.035462552895 Long ABS-O CORP US N 2 2034-10-25 Floating 4.76900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9UF2 280571.57000000 PA USD 271781.78000000 0.164499203015 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4LT8 13139.33000000 PA USD 13558.80000000 0.008206627367 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CA48 4624.86000000 PA USD 4613.98000000 0.002792667090 Long ABS-MBS USGA US N 2 2027-01-20 Floating 5.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617AQUG2 61189.60000000 PA USD 56444.84000000 0.034163920754 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 3.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -4500000.00000000 NC USD -2673.00000000 -0.00161786551 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 98.20703120 USD 2026-06-04 XXXX 15784.03000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178WGL7 22497.41000000 PA USD 20634.68000000 0.012489389150 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 600000.00000000 NC USD 39401.46000000 0.023848209278 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 600000.00000000 OU Notional Amount N/A 39401.46000000 0.02000000 DIR US N/A N/A 2045-08-29 0.00000000 N/A 0.00000000 N/A 600000.00000000 USD 1.00000000 4.69300000 USD 2035-08-27 XXXX -12288.54000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J84U4 81181.52000000 PA USD 81529.57000000 0.049346756383 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYXH7 1636.80000000 PA USD 1501.59000000 0.000908855473 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLZ6 3088498.00000000 PA USD 2755075.96000000 1.667542981233 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36190VGT6 253537.07000000 PA USD 234390.45000000 0.141867649182 Long ABS-MBS USGA US N 2 2045-11-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EUX6 1433004.51000000 PA USD 1409023.21000000 0.852828306131 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UMM1 183295.05000000 PA USD 179782.01000000 0.108815231696 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8N84 60903.85000000 PA USD 57936.83000000 0.035066965711 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 600000.00000000 NC USD 38516.46000000 0.023312552346 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 600000.00000000 OU Notional Amount N/A 38516.46000000 0.02000000 DIR US N/A N/A 2045-08-29 0.00000000 N/A 0.00000000 N/A 600000.00000000 USD 1.00000000 4.69300000 USD 2035-08-27 XXXX -13173.54000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QTHX0 113896.78000000 PA USD 119704.98000000 0.072452884100 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FPG5 51672.60000000 PA USD 51240.64000000 0.031014015884 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31348SWZ3 916.14000000 PA USD 915.46000000 0.000554093215 Long ABS-MBS USGSE US N 2 2028-01-01 Floating 5.76200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G9GA3 19152.13000000 PA USD 18202.76000000 0.011017440214 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36184CJV8 230612.47000000 PA USD 207625.20000000 0.125667658537 Long ABS-MBS USGA US N 2 2045-01-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WVW5 1986409.11000000 PA USD 1817532.49000000 1.100083478955 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBGN6 269523.66000000 PA USD 267385.21000000 0.161838125951 Long ABS-MBS USGSE US N 2 2050-08-25 Floating 4.23300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DKL5 85514.95000000 PA USD 82997.15000000 0.050235026893 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292HPS7 316.85000000 PA USD 322.68000000 0.000195305965 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411JTS5 2192.64000000 PA USD 2332.17000000 0.001411574044 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BREM4 113444.68000000 PA USD 104647.96000000 0.063339440992 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 3.50000000 N N N N N N Venture CDO Ltd 549300NQPL9XHZ20E278 92330YAN3 18463.27000000 PA USD 18508.49000000 0.011202486987 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 4.99500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1300000.00000000 OU Notional Amount USD 74543.69000000 0.045118468187 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-12-21 59365.59000000 USD 0.00000000 USD 1300000.00000000 USD 15178.10000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HPJZ1 18562.37000000 PA USD 18696.13000000 0.011316058362 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6ZQ4 58975.83000000 PA USD 59724.64000000 0.036149059294 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H022655 4400000.00000000 PA USD 3767403.20000000 2.280266263016 Long ABS-MBS USGA US N 2 2056-05-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294NMF2 26192.60000000 PA USD 27488.96000000 0.016638024858 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AW4V2 7521.29000000 PA USD 7480.63000000 0.004527741605 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AYM3 524953.38000000 PA USD 509161.23000000 0.308175980528 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ADW38 68900.89000000 PA USD 67329.86000000 0.040752210501 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FLP9 10906.30000000 PA USD 10815.13000000 0.006545987981 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FVG8 23058.18000000 PA USD 22865.18000000 0.013839426199 Long ABS-MBS USGA US N 2 2041-07-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6WA5 308821.47000000 PA USD 301751.79000000 0.182638913334 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4Y59 450269.75000000 PA USD 394940.76000000 0.239042662308 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYYH6 196358.99000000 PA USD 193369.03000000 0.117038939559 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F050650 -1000000.00000000 PA USD -985251.00000000 -0.59633506068 Short ABS-MBS USGSE US N 2 2056-05-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QHKU8 1658737.47000000 PA USD 1453269.26000000 0.879608761986 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 3.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1400000.00000000 OU Notional Amount USD 100248.96000000 0.060676893142 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2032-06-08 0.00000000 USD 0.00000000 USD 1400000.00000000 USD 100248.96000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DU4F1 180066.23000000 PA USD 189265.74000000 0.114555373756 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 6.50000000 N N N N N N Deutsche Bank Securities, Inc. 9J6MBOOO7BECTDTUZW19 000000000 -947251.64000000 PA USD -947251.64000000 -0.57333548935 Short RA CORP US N 2 Reverse repurchase N 3.77000000 2026-05-13 932660.21000000 USD 982603.21250000 USD AMBS N N N Morgan Stanley Bank NA G1MLHIS0N32I3QPILB75 000000000 -1100000.00000000 NC USD -304.15000000 -0.00018409045 N/A DIR US N 2 Morgan Stanley Bank NA G1MLHIS0N32I3QPILB75 Call Written Morgan Stanley Bank NA G1MLHIS0N32I3QPILB75 Morgan Stanley Bank NA G1MLHIS0N32I3QPILB75 N/A 1100000.00000000 OU Notional Amount N/A -304.15000000 0.00000000 DIR US N/A N/A 2036-06-09 0.00000000 N/A 0.00000000 N/A 1100000.00000000 USD 1.00000000 3.45000000 USD 2026-06-05 XXXX 5195.85000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C2ME5 368308.07000000 PA USD 365428.57000000 0.221180053070 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 3700000.00000000 NC USD 8788.98000000 0.005319636236 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 3700000.00000000 OU Notional Amount N/A 8788.98000000 0.01000000 DIR US N/A N/A 2033-07-16 0.00000000 N/A 0.00000000 N/A 3700000.00000000 USD 1.00000000 3.48000000 USD 2026-07-14 XXXX -21253.76000000 N N N Structured Adjustable Rate Mortgage Loan Trust N/A 86363LAB9 66283.95000000 PA USD 62249.21000000 0.037677085760 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.20900000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BBAR3 580289.65000000 PA USD 25409.20000000 0.015379225013 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.35000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2000000.00000000 NC USD 830.00000000 0.000502367518 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Purchased Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 2000000.00000000 OU Notional Amount N/A 830.00000000 0.00000000 DIR US N/A N/A 2033-06-10 0.00000000 N/A 0.00000000 N/A 2000000.00000000 USD 1.00000000 4.31250000 USD 2026-06-08 XXXX -40245.00000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 900000.00000000 NC USD 58844.25000000 0.035616192619 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 900000.00000000 OU Notional Amount N/A 58844.25000000 0.04000000 DIR US N/A N/A 2045-07-25 0.00000000 N/A 0.00000000 N/A 900000.00000000 USD 1.00000000 4.64000000 USD 2035-07-23 XXXX -22083.75000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415PYW2 42293.86000000 PA USD 43686.47000000 0.026441763305 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QC5P7 3295401.27000000 PA USD 3022055.05000000 1.829135298152 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31374GW52 2685.24000000 PA USD 2699.47000000 0.001633886802 Long ABS-MBS USGSE US N 2 2027-12-01 Floating 6.22300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RLR8 55989.70000000 PA USD 55355.08000000 0.033504330359 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36195XZ74 190174.13000000 PA USD 185096.40000000 0.112031830393 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 4.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -4000000.00000000 NC USD -40026.00000000 -0.02422621965 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Written Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 4000000.00000000 OU Notional Amount N/A -40026.00000000 -0.02000000 DIR US N/A N/A 2033-07-16 0.00000000 N/A 0.00000000 N/A 4000000.00000000 USD 1.00000000 3.78000000 USD 2026-07-14 XXXX -9626.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDFG6 142307.81000000 PA USD 124680.11000000 0.075464141587 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B6F4 48335.81000000 PA USD 48748.53000000 0.029505636224 Long ABS-MBS USGA US N 2 2063-08-20 Floating 4.77900000 N Y N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1000000.00000000 OU Notional Amount USD -4251.90000000 -0.00257351379 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2036-03-18 0.00000000 USD -30676.41000000 USD 1000000.00000000 USD 26424.51000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4000000.00000000 OU Notional Amount USD 78387.60000000 0.047445041114 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-11-08 0.00000000 USD 0.00000000 USD 4000000.00000000 USD 78387.60000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136APU75 63004.11000000 PA USD 3163.61000000 0.001914813140 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 2.39000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XSC76 126717.57000000 PA USD 133179.57000000 0.080608542349 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418MNH1 1321.79000000 PA USD 1312.22000000 0.000794236994 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NMS73 170584.24000000 PA USD 164869.47000000 0.099789236852 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B5R9 81658.50000000 PA USD 81693.25000000 0.049445825679 Long ABS-MBS USGA US N 2 2063-05-20 Floating 4.42900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BUZB8 51441.45000000 PA USD 47673.53000000 0.028854979498 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 2500000.00000000 NC USD 0.25000000 0.000000151315 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 2500000.00000000 OU Notional Amount N/A 0.25000000 0.00000000 DIR US N/A N/A 2033-05-07 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 2.75000000 USD 2026-05-05 XXXX -1249.75000000 N N N Citigroup Global Markets Ltd. XKZZ2JZF41MRHTR1V493 000000000 1000000.00000000 NC USD 0.80000000 0.000000484209 N/A DIR US N 2 Citigroup Global Markets Ltd. XKZZ2JZF41MRHTR1V493 Put Purchased Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 99.09375000 USD 2026-05-06 XXXX -311.70000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WWL98 14946.59000000 PA USD 14705.15000000 0.008900469542 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31294MKJ9 1034.93000000 PA USD 1030.31000000 0.000623607564 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A9HB7 35960.96000000 PA USD 24247.30000000 0.014675971013 Long ABS-MBS USGSE US N 2 2042-10-25 Floating 0.53400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XCH83 15824.78000000 PA USD 15252.58000000 0.009231808158 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LT4F2 189107.36000000 PA USD 187596.98000000 0.113545336622 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2600000.00000000 OU Notional Amount USD 34342.10000000 0.020785970567 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2035-09-17 0.00000000 USD -43232.20000000 USD 2600000.00000000 USD 77574.30000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411BFP3 33740.50000000 PA USD 35246.20000000 0.021333188005 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6.00000000 N N N N N N Mortgage Equity Conversion Asset Trust N/A 61911GAA2 487310.64000000 PA USD 469101.79000000 0.283929520911 Long ABS-MBS CORP US N 2 2042-05-25 Floating 4.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXPZ7 1239.43000000 PA USD 1268.49000000 0.000767768884 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1600000.00000000 OU Notional Amount USD 35358.56000000 0.021401195252 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2031-04-26 0.00000000 USD 0.00000000 USD 1600000.00000000 USD 35358.56000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXLQ3 793792.80000000 PA USD 714002.55000000 0.432158662091 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 3.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1100000.00000000 OU Notional Amount USD 277.86000000 0.000168178119 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2031-03-12 0.00000000 USD 0.00000000 USD 1100000.00000000 USD 277.86000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6NV6 9898.72000000 PA USD 10184.31000000 0.006164176562 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QED66 488322.89000000 PA USD 429939.31000000 0.260225957162 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EKDV4 46654.00000000 PA USD 47661.87000000 0.028847922142 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 6.07500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5VM2 1337754.44000000 PA USD 1173371.64000000 0.710197348845 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H23C0 112460.63000000 PA USD 104225.34000000 0.063083645136 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31325UEH5 318519.40000000 PA USD 50008.90000000 0.030268490381 Long ABS-MBS USGSE US N 2 2043-01-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CB70 502.92000000 PA USD 502.52000000 0.000304156295 Long ABS-MBS USGA US N 2 2027-04-20 Floating 5.62500000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -2500000.00000000 NC USD -2436.00000000 -0.00147441840 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 103.68750000 USD 2026-05-06 XXXX 103.06000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BWGC1 410382.47000000 PA USD 396892.87000000 0.240224200450 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ADMT3 491205.99000000 PA USD 32547.90000000 0.019700009359 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417AXJ3 9722.55000000 PA USD 9660.24000000 0.005846976868 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617B4JZ1 4606.93000000 PA USD 4389.42000000 0.002656749439 Long ABS-MBS USGA US N 2 2047-08-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9UE5 38924.53000000 PA USD 37226.87000000 0.022532012431 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D6JY7 801410.75000000 PA USD 818448.47000000 0.495375815935 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133TK6Z8 124.25000000 PA USD 5.79000000 0.000003504467 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417F3G1 169295.81000000 PA USD 154397.55000000 0.093450980865 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31423YS59 824378.43000000 PA USD 152257.97000000 0.092155974244 Long ABS-MBS USGSE US N 2 2053-04-25 Variable 4.33600000 N N N N N N MORGAN STANLEY MYC CAS H COLL N/A 000000000 -20000.00000000 NS USD -20000.00000000 -0.01210524141 Short STIV CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BMB9 92673.16000000 PA USD 88271.64000000 0.053427475634 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8NN0 31462.56000000 PA USD 32453.71000000 0.019642999725 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FNEK6 120240.24000000 PA USD 114453.85000000 0.069274574281 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128CUU87 114981.93000000 PA USD 112876.49000000 0.068319858101 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AWCL5 3186.78000000 PA USD 3169.50000000 0.001918378133 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NRNV4 164002.93000000 PA USD 166288.13000000 0.100647897941 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797UQ8 3000.00000000 PA USD 2975.72000000 0.001801090449 Long STIV UST US N 2 2026-07-21 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38383KNN8 909763.97000000 PA USD 923271.96000000 0.558821498579 Long ABS-MBS USGA US N 2 2074-01-20 Floating 4.54000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -500000.00000000 NC USD -142.55000000 -0.00008628010 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 100.03125000 USD 2026-06-04 XXXX 677.76000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FHRY1 450886.18000000 PA USD 445400.38000000 0.269583956410 Long ABS-MBS USGSE US N 2 2038-04-15 Floating 4.13300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YEGY7 13777.58000000 PA USD 13508.94000000 0.008176449001 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6NG9 96821.26000000 PA USD 99614.66000000 0.060292975410 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVK79 425713.98000000 PA USD 380477.92000000 0.230288853818 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NVJY4 1700000.00000000 PA USD 1743479.91000000 1.055262261023 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 5.81000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 000000000 -2000000.00000000 NC USD -338.20000000 -0.00020469963 N/A DIR US N 2 Morgan Stanley IGJSJL3JD5P30I6NJZ34 Call Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 100.28125000 USD 2026-06-04 XXXX 4036.80000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413ECZ6 11230.13000000 PA USD 11975.92000000 0.007248570140 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2300000.00000000 OU Notional Amount USD 101962.22000000 0.061713864438 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2032-09-16 0.00000000 USD 0.00000000 USD 2300000.00000000 USD 101962.22000000 N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 3132HT3R5 185067.76000000 PA USD 184377.83000000 0.111596907227 Long ABS-MBS USGSE US N 2 2044-03-15 Floating 4.30400000 N N N N N N Fremont Home Loan Trust N/A 35729PCK4 191465.77000000 PA USD 183343.77000000 0.110971029929 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.59400000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 700000.00000000 OU Notional Amount USD 2565.29000000 0.001552672738 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-03-18 0.00000000 USD -12002.28000000 USD 700000.00000000 USD 14567.57000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RS91 174205.63000000 PA USD 161065.57000000 0.097486880460 Long ABS-MBS USGA US N 2 2045-11-20 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F060667 37500000.00000000 PA USD 38238000.00000000 23.14401106980 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSUR0 452544.57000000 PA USD 440664.48000000 0.266717495768 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296TQR7 34144.06000000 PA USD 35287.99000000 0.021358481907 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMRX4 353871.33000000 PA USD 310037.20000000 0.187653757750 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LKU9 75385.67000000 PA USD 74739.28000000 0.045236851395 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGWH8 552233.33000000 PA USD 469220.05000000 0.284001099204 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 164.00000000 NC USD -447336.57000000 -0.27075585877 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year U.S. Treasury Notes TYM6 Comdty 2026-06-18 18584711.57000000 USD -447336.57000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BHGF8 39626.87000000 PA USD 2056.04000000 0.001244443028 Long ABS-MBS USGSE US N 2 2038-02-15 Floating 2.37600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BEV43 20679.30000000 PA USD 1095.60000000 0.000663125124 Long ABS-MBS USGSE US N 2 2041-08-15 Floating 2.23300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C5S44 292532.27000000 PA USD 291812.79000000 0.176623213611 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241L7B6 8648.99000000 PA USD 8576.60000000 0.005191090677 Long ABS-MBS USGA US N 2 2041-06-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AYSK8 317443.06000000 PA USD 14003.71000000 0.008475914515 Long ABS-MBS USGSE US N 2 2042-12-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GQJL8 41165.47000000 PA USD 38073.21000000 0.023044269933 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AMEE5 58065.59000000 PA USD 3054.14000000 0.001848555101 Long ABS-MBS USGSE US N 2 2045-01-25 Variable 2.07800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617HPC44 11243.15000000 PA USD 11464.23000000 0.006938863591 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FM45 91000.43000000 PA USD 86688.11000000 0.052469024987 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 4.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5600000.00000000 OU Notional Amount USD -128458.96000000 -0.07775133616 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-12-20 0.00000000 USD -132719.79000000 USD 5600000.00000000 USD 4260.83000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3400000.00000000 OU Notional Amount USD 7341.28000000 0.004443398336 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2032-09-17 0.00000000 USD -76663.86000000 USD 3400000.00000000 USD 84005.14000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3900000.00000000 OU Notional Amount USD 71550.18000000 0.043306610125 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-10 0.00000000 USD 0.00000000 USD 3900000.00000000 USD 71550.18000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404Q5M7 45058.08000000 PA USD 45269.81000000 0.027400098953 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 5.05800000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 2000000.00000000 NC USD 113777.40000000 0.068865144753 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 2000000.00000000 OU Notional Amount N/A 113777.40000000 0.07000000 DIR US N/A N/A 2045-06-27 0.00000000 N/A 0.00000000 N/A 2000000.00000000 USD 1.00000000 4.40000000 USD 2035-06-25 XXXX -64822.60000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CYK4 364884.62000000 PA USD 356502.40000000 0.215777380930 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AKPR8 65121.87000000 PA USD 2494.47000000 0.001509808078 Long ABS-MBS USGSE US N 2 2044-07-25 Variable 1.80400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C3WT9 103792.34000000 PA USD 103055.67000000 0.062375688249 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.00000000 N N N N N N MLCC Mortgage Investors Inc 9DJT3UXIJIZJI4WXO774 59020UNP6 35905.01000000 PA USD 33985.42000000 0.020570085692 Long ABS-MBS CORP US N 2 2034-12-25 Variable 4.92100000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FFSR1 22281.77000000 PA USD 4912.13000000 0.002973125976 Long ABS-MBS USGSE US N 2 2038-04-25 Fixed 6.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 800000.00000000 NC USD 52535.28000000 0.031797612371 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 800000.00000000 OU Notional Amount N/A 52535.28000000 0.03000000 DIR US N/A N/A 2045-08-29 0.00000000 N/A 0.00000000 N/A 800000.00000000 USD 1.00000000 4.69300000 USD 2035-08-27 XXXX -16384.72000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1700000.00000000 OU Notional Amount USD 652.12000000 0.000394703501 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-06-21 0.00000000 USD -12.65000000 USD 1700000.00000000 USD 664.77000000 N N N UMBS, TBA N/A 01F060469 5000000.00000000 PA USD 5158950.00000000 3.122516761038 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XC3U4 23696.69000000 PA USD 23410.37000000 0.014169409028 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9CV1 47998.08000000 PA USD 45270.28000000 0.027400383426 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FT5R8 7070.26000000 PA USD 6739.60000000 0.004079224253 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1000000.00000000 NC USD 71464.70000000 0.043254872323 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1000000.00000000 OU Notional Amount N/A 71464.70000000 0.04000000 DIR US N/A N/A 2045-06-27 0.00000000 N/A 0.00000000 N/A 1000000.00000000 USD 1.00000000 4.40000000 USD 2035-06-25 XXXX -18885.30000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375JD69 6501.86000000 PA USD 6272.87000000 0.003796730287 Long ABS-MBS USGA US N 2 2035-03-20 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NLN88 465135.65000000 PA USD 463991.65000000 0.280836546992 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BMQG4 748697.59000000 PA USD 127649.12000000 0.077261170728 Long ABS-MBS USGSE US N 2 2046-01-15 Fixed 4.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4200000.00000000 OU Notional Amount USD 29507.10000000 0.017859528454 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2029-04-10 0.00000000 USD 0.00000000 USD 4200000.00000000 USD 29507.10000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A4FG8 513.92000000 PA USD 483.55000000 0.000292674474 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406WXY5 3044.17000000 PA USD 3169.79000000 0.001918553659 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XDBA2 5095.34000000 PA USD 4884.08000000 0.002956148375 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 2.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 600000.00000000 OU Notional Amount USD 63266.58000000 0.038292861234 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2032-12-21 48910.90000000 USD 0.00000000 USD 600000.00000000 USD 14355.68000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GLR2 13823.87000000 PA USD 14486.08000000 0.008767874781 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.00000000 N N N N N N UMBS, TBA N/A 01F050668 -1900000.00000000 PA USD -1870221.30000000 -1.13197401721 Short ABS-MBS USGSE US N 2 2056-06-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31281BMU1 8308.49000000 PA USD 8275.48000000 0.005008834163 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AAAA2 1371068.06000000 PA USD 1264736.59000000 0.765497087696 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNNN8 311704.11000000 PA USD 264579.78000000 0.160140105579 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92922FBX5 19604.51000000 PA USD 19261.97000000 0.011658539853 Long ABS-MBS CORP US N 2 2033-09-25 Variable 5.68300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EER7 143928.78000000 PA USD 132039.05000000 0.079918228852 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AKKU6 117740.04000000 PA USD 7532.64000000 0.004559221286 Long ABS-MBS USGSE US N 2 2044-07-25 Variable 1.95900000 N N N N N N Citigroup Global Markets Ltd. XKZZ2JZF41MRHTR1V493 000000000 -500000.00000000 NC USD -437.05000000 -0.00026452978 N/A DIR US N 2 Citigroup Global Markets Ltd. XKZZ2JZF41MRHTR1V493 Call Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 97.90625000 USD 2026-06-04 XXXX 1164.51000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RKZ8 3085.19000000 PA USD 3095.78000000 0.001873758214 Long ABS-MBS USGA US N 2 2061-08-20 Floating 4.45900000 N Y N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416YT73 126028.66000000 PA USD 124903.35000000 0.075599260292 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617AUKA7 97695.76000000 PA USD 90120.24000000 0.054546363098 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6ST9 1190790.15000000 PA USD 1120056.69000000 0.677927831794 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31294MKQ3 12524.44000000 PA USD 12462.31000000 0.007542963559 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AKUC5 57756.14000000 PA USD 4201.73000000 0.002543147801 Long ABS-MBS USGSE US N 2 2044-08-25 Variable 2.14400000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7000000.00000000 OU Notional Amount USD 63250.60000000 0.038283189146 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2030-12-20 4936.93000000 USD 0.00000000 USD 7000000.00000000 USD 58313.67000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407LQM2 11149.78000000 PA USD 11609.07000000 0.007026529750 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERM64 342500.78000000 PA USD 335808.90000000 0.203252390264 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5KC6 62389.70000000 PA USD 64913.41000000 0.039289624970 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AE45 115336.28000000 PA USD 119133.96000000 0.072107267352 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DNC2 74241.27000000 PA USD 72021.42000000 0.043591833823 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 3.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2200000.00000000 OU Notional Amount USD 37398.24000000 0.022635736193 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-06 0.00000000 USD 0.00000000 USD 2200000.00000000 USD 37398.24000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AXWQ0 2927.35000000 PA USD 2909.99000000 0.001761306573 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3.00000000 N N N N N N Freddie Mac Whole Loan Securities Trust S6XOOCT0IEG5ABCC6L87 3137G1AK3 146351.84000000 PA USD 128235.98000000 0.077616374827 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AVH7 103118.94000000 PA USD 108065.47000000 0.065407930172 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417AKL2 6780.70000000 PA USD 6743.92000000 0.004081838985 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXEN6 5125.72000000 PA USD 5182.97000000 0.003137055155 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31295LNX6 2171.00000000 PA USD 2164.19000000 0.001309902121 Long ABS-MBS USGSE US N 2 2029-01-01 Floating 6.14200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31281BRQ5 961.79000000 PA USD 956.91000000 0.000579181328 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F040669 4500000.00000000 PA USD 4218079.50000000 2.553043533692 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XQQ34 151721.17000000 PA USD 159704.32000000 0.096662967466 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MBJ5 3196.61000000 PA USD 3328.87000000 0.002014838750 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKVH9 916010.46000000 PA USD 768849.19000000 0.465355253004 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F5CV3 1198248.47000000 PA USD 1076826.66000000 0.651762334308 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31295KYF5 440.64000000 PA USD 445.31000000 0.000269529252 Long ABS-MBS USGSE US N 2 2029-12-01 Floating 6.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ACVF8 2526.55000000 PA USD 2562.00000000 0.001550681425 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371ND51 2978.28000000 PA USD 3012.52000000 0.001823364094 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XS98 300609.76000000 PA USD 275989.18000000 0.167045782652 Long ABS-MBS USGA US N 2 2053-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BMC54 58264.02000000 PA USD 53746.12000000 0.032530487897 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417C5E1 1714093.64000000 PA USD 1662487.15000000 1.006240415372 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFF50 17745.59000000 PA USD 16478.84000000 0.009974016825 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GNHP1 412858.29000000 PA USD 404908.90000000 0.245075999368 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379GWG8 86692.53000000 PA USD 2688.94000000 0.001627513393 Long ABS-MBS USGA US N 2 2029-10-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417MS95 94333.71000000 PA USD 91384.33000000 0.055311468830 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H062651 3500000.00000000 PA USD 3658025.00000000 2.214063787165 Long ABS-MBS USGA US N 2 2054-05-20 Fixed 6.50000000 N N N N N N Chase Funding Mortgage Loan Asset-Backed CTFS N/A 161546DQ6 2862.30000000 PA USD 2852.64000000 0.001726594794 Long ABS-O CORP US N 2 2032-10-25 Floating 4.50900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D54W9 286961.95000000 PA USD 278424.17000000 0.168519589742 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 3.50000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 073879BN7 241625.93000000 PA USD 235212.55000000 0.142365235131 Long ABS-MBS CORP US N 2 2034-06-25 Variable 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396WPE0 20929.91000000 PA USD 20665.39000000 0.012507976748 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.08000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CMJ0 152755.85000000 PA USD 148247.21000000 0.089728413340 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C64F3 67537.80000000 PA USD 67080.64000000 0.040601367088 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X6ZL2 23043.03000000 PA USD 21015.21000000 0.012719709526 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 3.00000000 N N N N N N Option One Mortgage Loan Trust N/A 68403FAC0 41778.18000000 PA USD 23805.29000000 0.014408439125 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.94900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A24S8 384845.08000000 PA USD 354998.90000000 0.214867369406 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYW39 142006.05000000 PA USD 130275.16000000 0.078850613137 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBLQ1 44640.96000000 PA USD 40938.09000000 0.024778273135 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKGG7 652266.03000000 PA USD 573067.13000000 0.346855797909 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404KMF6 7975.77000000 PA USD 8195.52000000 0.004960437407 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398KZ94 9149.54000000 PA USD 402.06000000 0.000243351668 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 1.84200000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1200000.00000000 NC USD 83910.00000000 0.050787540375 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Purchased Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1200000.00000000 OU Notional Amount N/A 83910.00000000 0.05000000 DIR US N/A N/A 2045-08-08 0.00000000 N/A 0.00000000 N/A 1200000.00000000 USD 1.00000000 4.46000000 USD 2035-08-06 XXXX -21570.00000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2000000.00000000 NC USD 333.60000000 0.000201915426 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Purchased Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 2000000.00000000 OU Notional Amount N/A 333.60000000 0.00000000 DIR US N/A N/A 2033-06-10 0.00000000 N/A 0.00000000 N/A 2000000.00000000 USD 1.00000000 3.15000000 USD 2026-06-08 XXXX -9896.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ENEN5 90426.83000000 PA USD 89286.85000000 0.054041943741 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -2500000.00000000 NC USD -6286.75000000 -0.00380513132 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 102.17187500 USD 2026-06-04 XXXX -1696.91000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NRNZ5 159345.40000000 PA USD 161897.08000000 0.097990161925 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3300000.00000000 OU Notional Amount USD 46733.94000000 0.028286281309 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2032-02-07 0.00000000 USD 0.00000000 USD 3300000.00000000 USD 46733.94000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196CZQ7 83529.26000000 PA USD 82056.28000000 0.049665553969 Long ABS-MBS USGA US N 2 2046-10-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AC3W8 1574782.66000000 PA USD 1453931.37000000 0.880009512056 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F042665 -23125000.00000000 PA USD -22228952.50000000 -13.4543418256 Short ABS-MBS USGSE US N 2 2056-06-01 Fixed 4.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1400000.00000000 OU Notional Amount USD 8900.36000000 0.005387050325 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-03-08 0.00000000 USD 0.00000000 USD 1400000.00000000 USD 8900.36000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8RH2 391625.24000000 PA USD 344575.15000000 0.208558268894 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WEXS3 3162.96000000 PA USD 3027.24000000 0.001832273551 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36295FGG3 3903.38000000 PA USD 4124.90000000 0.002496645516 Long ABS-MBS USGA US N 2 2037-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UH62 137185.03000000 PA USD 138421.98000000 0.083781574282 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617B4GK7 38320.34000000 PA USD 36511.06000000 0.022098759788 Long ABS-MBS USGA US N 2 2047-07-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJHP1 454856.57000000 PA USD 438910.95000000 0.265656150569 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137HLY30 1019557.79000000 PA USD 990488.87000000 0.599505344730 Long ABS-MBS USGSE US N 2 2054-07-25 Variable 2.93100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HPNC7 31924.07000000 PA USD 31177.14000000 0.018870340323 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3000000.00000000 OU Notional Amount USD 82860.30000000 0.050152196779 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-12-21 69113.03000000 USD 0.00000000 USD 3000000.00000000 USD 13747.27000000 N N N JP Morgan Mortgage Trust 529900YPO46YLJDFF157 46664MAA9 574940.76000000 PA USD 570950.73000000 0.345574821262 Long ABS-MBS CORP US N 2 2066-04-25 Variable 4.89400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RVB2 167597.24000000 PA USD 154955.64000000 0.093788771575 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397NXK6 181809.78000000 PA USD 182949.49000000 0.110732387200 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 4.58000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LHP4 74963.18000000 PA USD 77382.66000000 0.046836789048 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417AXE4 10476.37000000 PA USD 10409.25000000 0.006300324212 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFNY3 169978.89000000 PA USD 155020.51000000 0.093828034925 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378PAG3 567646.64000000 PA USD 45040.89000000 0.027261542359 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AXB67 211211.68000000 PA USD 204855.60000000 0.123991324706 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4.00000000 N N N N N N Freddie Mac Whole Loan Securities Trust S6XOOCT0IEG5ABCC6L87 3137G1BL0 348814.81000000 PA USD 307266.57000000 0.185976800498 Long ABS-MBS USGSE US N 2 2046-12-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36195EUQ9 36832.47000000 PA USD 36186.14000000 0.021902098036 Long ABS-MBS USGA US N 2 2046-09-15 Fixed 4.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1400000.00000000 OU Notional Amount USD 8875.30000000 0.005371882458 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-03-08 0.00000000 USD 0.00000000 USD 1400000.00000000 USD 8875.30000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417F3E6 68833.77000000 PA USD 62776.30000000 0.037996113345 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376MCQ8 87655.97000000 PA USD 3472.78000000 0.002101942014 Long ABS-MBS USGA US N 2 2045-08-20 Variable 1.25100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31349TD40 127615.38000000 PA USD 131125.76000000 0.079365449055 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 6.37200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9BT0 820116.97000000 PA USD 767868.57000000 0.464761720912 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406RSH9 163795.44000000 PA USD 174153.46000000 0.105408483866 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WCM91 262992.68000000 PA USD 259036.34000000 0.156784871605 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXFH0 476537.79000000 PA USD 411512.85000000 0.249073119822 Long ABS-MBS USGSE US N 2 2057-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128S3JQ3 125590.51000000 PA USD 111916.55000000 0.067738842828 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31339D4L9 2499.18000000 PA USD 2493.33000000 0.001509118079 Long ABS-MBS USGSE US N 2 2029-12-15 Floating 4.10400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296P5T4 8046.91000000 PA USD 8315.75000000 0.005033208066 Long ABS-MBS USGA US N 2 2038-11-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396GWP2 34729.22000000 PA USD 34481.91000000 0.020870592257 Long ABS-MBS USGSE US N 2 2036-01-15 Floating 4.15400000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3700000.00000000 OU Notional Amount USD 46739.51000000 0.028289652618 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-11-08 0.00000000 USD 0.00000000 USD 3700000.00000000 USD 46739.51000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H052652 2500000.00000000 PA USD 2517300.00000000 1.523626211256 Long ABS-MBS USGA US N 2 2056-05-20 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 -4600000.00000000 NC USD -6884.82000000 -0.00416712041 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Put Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 101.93750000 USD 2026-06-04 XXXX 5333.93000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DYC0 1249323.71000000 PA USD 1056450.94000000 0.639429683824 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CBA3 98.05000000 PA USD 97.82000000 0.000059206735 Long ABS-MBS USGA US N 2 2027-01-20 Floating 5.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UCA8 388202.62000000 PA USD 358123.74000000 0.216758716536 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 3.50000000 N N N N N N Structured Asset Securities Corporation N/A 86359DVX2 552679.82000000 PA USD 530750.48000000 0.321243134693 Long ABS-O CORP US N 2 2035-09-25 Floating 4.45900000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 5900000.00000000 NC USD 693.84000000 0.000419955035 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 5900000.00000000 OU Notional Amount N/A 693.84000000 0.00000000 DIR US N/A N/A 2036-06-15 0.00000000 N/A 0.00000000 N/A 5900000.00000000 USD 1.00000000 4.75000000 USD 2026-06-11 XXXX -2049.66000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CNK8 922.62000000 PA USD 925.34000000 0.000560073204 Long ABS-MBS USGA US N 2 2030-04-20 Floating 5.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140W0J97 692915.43000000 PA USD 706895.93000000 0.427857294553 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ADNA3 182779.73000000 PA USD 19531.07000000 0.011821415876 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XS80 720378.40000000 PA USD 642832.96000000 0.389082408658 Long ABS-MBS USGA US N 2 2053-02-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KMDF9 653023.55000000 PA USD 572133.37000000 0.346290628398 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EJL5 69951.75000000 PA USD 68735.67000000 0.041603093973 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CPL4 5514.10000000 PA USD 5535.96000000 0.003350706614 Long ABS-MBS USGA US N 2 2030-07-20 Floating 5.37500000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2800000.00000000 OU Notional Amount USD 68950.56000000 0.041733158740 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2032-11-28 0.00000000 USD 0.00000000 USD 2800000.00000000 USD 68950.56000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RVV5 60007.82000000 PA USD 60204.44000000 0.036439464036 Long ABS-MBS USGA US N 2 2066-06-20 Floating 4.57900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417A6Z7 7897.64000000 PA USD 7843.10000000 0.004747130948 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312945ZR2 3432.25000000 PA USD 3476.82000000 0.002104387273 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D53J9 17843.82000000 PA USD 17361.56000000 0.010508293760 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 17500000.00000000 OU Notional Amount USD -996038.75000000 -0.60286447659 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-06-15 0.00000000 USD -588274.28000000 USD 17500000.00000000 USD -407764.47000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ABE31 134727.25000000 PA USD 135453.38000000 0.081984793298 Long ABS-MBS USGSE US N 2 2039-03-15 Floating 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H4UM4 19631.17000000 PA USD 18674.81000000 0.011303154175 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CGM0 52819.75000000 PA USD 51358.25000000 0.031085200756 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GQNB8 4389.94000000 PA USD 4184.63000000 0.002532797820 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A7RY0 32199.25000000 PA USD 31808.25000000 0.019252327268 Long ABS-MBS USGSE US N 2 2042-08-25 Floating 4.20000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G1HC5 39857.88000000 PA USD 36766.75000000 0.022253519247 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HNV66 32985.02000000 PA USD 32279.86000000 0.019537774914 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MMV26 54115.10000000 PA USD 52627.78000000 0.031853599113 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418MUL4 97521.86000000 PA USD 96815.45000000 0.058598719769 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412QDL0 46729.56000000 PA USD 46298.77000000 0.028022889413 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L0RM1 393287.99000000 PA USD 302522.40000000 0.183105334339 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 1.50000000 N N N N N N Venture CDO Ltd 549300AZL7IWJJ04HD37 92332LAU3 221089.42000000 PA USD 221279.78000000 0.133932257906 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 5.06700000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31325VRC0 471090.02000000 PA USD 76591.11000000 0.046357693856 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F062663 -4000000.00000000 PA USD -4146640.00000000 -2.50980391397 Short ABS-MBS USGSE US N 2 2056-06-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417EK75 29237.06000000 PA USD 27906.43000000 0.016890703615 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CQT6 2166.10000000 PA USD 2172.17000000 0.001314732112 Long ABS-MBS USGA US N 2 2030-10-20 Floating 5.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297DCT2 24457.89000000 PA USD 24761.28000000 0.014987063612 Long ABS-MBS USGA US N 2 2039-03-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M86H2 46024.48000000 PA USD 47496.66000000 0.028747926795 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CWV2 37993.47000000 PA USD 35692.29000000 0.021603189363 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AP3C4 55182.87000000 PA USD 2071.87000000 0.001254024326 Long ABS-MBS USGSE US N 2 2045-09-25 Variable 1.93200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LH3L2 200000.00000000 PA USD 199879.13000000 0.120979256167 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617ALZA1 19064.48000000 PA USD 18164.36000000 0.010994198151 Long ABS-MBS USGA US N 2 2047-06-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AC2W9 1271473.71000000 PA USD 1210326.31000000 0.732564608941 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CRJ5 135757.35000000 PA USD 131568.35000000 0.079633331995 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128K8GL4 531.83000000 PA USD 537.77000000 0.000325491783 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297GVM9 326626.52000000 PA USD 299552.29000000 0.181307639409 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TXW0 44471.46000000 PA USD 43678.32000000 0.026436830419 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 900000.00000000 NC USD 60618.60000000 0.036690139375 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Purchased Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 900000.00000000 OU Notional Amount N/A 60618.60000000 0.04000000 DIR US N/A N/A 2045-07-11 0.00000000 N/A 0.00000000 N/A 900000.00000000 USD 1.00000000 4.55875000 USD 2035-07-09 XXXX -19301.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AP7M8 176804.96000000 PA USD 113098.61000000 0.068454298912 Long ABS-MBS USGSE US N 2 2045-10-25 Floating 0.54100000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AT5G5 314814.12000000 PA USD 286557.76000000 0.173442543270 Long ABS-MBS USGSE US N 2 2039-07-25 Fixed 2.94400000 N N N N N N UMBS, TBA N/A 01F030462 1345000.00000000 PA USD 1280476.32000000 0.775023749273 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 3.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 21.00000000 NC USD -68277.51000000 -0.04132578710 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Ultra 10 Year U.S. Treasury Notes Futures UXYM6 Comdty 2026-06-18 2438324.39000000 USD -68277.51000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617AQHV4 73710.04000000 PA USD 67994.42000000 0.041154443463 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PXS80 6355.68000000 PA USD 6321.13000000 0.003825940234 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31427P5F7 68333.39000000 PA USD 71873.34000000 0.043502206616 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617HRSQ4 158503.31000000 PA USD 154010.21000000 0.093216538655 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EP2Y9 447798.31000000 PA USD 461462.11000000 0.279305512373 Long ABS-MBS USGSE US N 2 2037-10-01 Floating 6.18200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617AN3Q7 68580.39000000 PA USD 63262.53000000 0.038290409922 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 3.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 2100000.00000000 NC USD 5723.13000000 0.003463993516 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 2100000.00000000 OU Notional Amount N/A 5723.13000000 0.00000000 DIR US N/A N/A 2036-10-27 0.00000000 N/A 0.00000000 N/A 2100000.00000000 USD 1.00000000 4.75000000 USD 2026-10-23 XXXX 1470.63000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140W1NN9 548606.52000000 PA USD 529374.36000000 0.320410221452 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 800000.00000000 NC USD 51355.28000000 0.031083403128 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 800000.00000000 OU Notional Amount N/A 51355.28000000 0.03000000 DIR US N/A N/A 2045-08-29 0.00000000 N/A 0.00000000 N/A 800000.00000000 USD 1.00000000 4.69300000 USD 2035-08-27 XXXX -17564.72000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -1500000.00000000 NC USD -148.80000000 -0.00009006299 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 102.31250000 USD 2026-05-06 XXXX 2546.51000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4300000.00000000 OU Notional Amount USD -1226.36000000 -0.00074226919 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2031-01-10 0.00000000 USD 0.00000000 USD 4300000.00000000 USD -1226.36000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B7U63 132701.56000000 PA USD 117047.24000000 0.070844254883 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132VLSJ7 103222.51000000 PA USD 97736.53000000 0.059156214557 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LCMA1 89492.25000000 PA USD 90604.71000000 0.054839594414 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.00000000 N N N N N N Citigroup Global Markets Ltd. XKZZ2JZF41MRHTR1V493 000000000 -1000000.00000000 NC USD -2684.00000000 -0.00162452339 N/A DIR US N 2 Citigroup Global Markets Ltd. XKZZ2JZF41MRHTR1V493 Call Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 96.98437500 USD 2026-06-04 XXXX 4191.00000000 N N N Credit Agricole Securities USA, Inc. 549300WO2DKF0Q3YMV43 000000000 -3360291.34000000 PA USD -3360291.34000000 -2.03385689551 Short RA CORP US N 2 Reverse repurchase N 3.78000000 2026-05-13 4004402.67000000 USD 3434691.13400000 USD AMBS N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137A06E0 74351.12000000 PA USD 4045.01000000 0.002448291129 Long ABS-MBS USGSE US N 2 2036-11-15 Floating 2.11900000 N N N N N N EquiFirst Loan Securitization Trust N/A 29445UAN5 858636.04000000 PA USD 806531.86000000 0.488163143888 Long ABS-O CORP US N 2 2037-04-25 Floating 4.10900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXM90 536045.54000000 PA USD 519793.52000000 0.314611302392 Long ABS-MBS USGSE US N 2 2059-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G02L3 13641.02000000 PA USD 12996.96000000 0.007866566925 Long ABS-MBS USGA US N 2 2047-12-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BU2B4 34560.96000000 PA USD 31964.82000000 0.019347093151 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.00000000 N N N N N N Residential Asset Securitization Trust N/A 76113NAA1 181606.40000000 PA USD 109078.03000000 0.066020794335 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.26900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ARPN0 305078.62000000 PA USD 304979.90000000 0.184592765878 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 4.25400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M5KX6 568.63000000 PA USD 562.96000000 0.000340738335 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BUZF9 132754.23000000 PA USD 123030.42000000 0.074465646801 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D55B4 137712.58000000 PA USD 133594.90000000 0.080859925845 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQCH3 49153.42000000 PA USD 50039.52000000 0.030287023505 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 5.78700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBP36 187380.45000000 PA USD 194740.76000000 0.117869195700 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7HN6 554.16000000 PA USD 554.90000000 0.000335859923 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202K2Z7 62.42000000 PA USD 62.28000000 0.000037695721 Long ABS-MBS USGA US N 2 2026-06-20 Floating 5.62500000 N N N N N N State Street Global Advisors 549300BZ5TGIFZUZDZ37 857492706 2059431.97000000 NS USD 2059431.97000000 1.246496059187 Long STIV RF US N 1 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 500000.00000000 OU Notional Amount USD 988.30000000 0.000598180504 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-03-08 0.00000000 USD 0.00000000 USD 500000.00000000 USD 988.30000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DWP8 60759.52000000 PA USD 55641.74000000 0.033677834784 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 3.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 350000.00000000 OU Notional Amount USD 575.44000000 0.000348292006 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-07-10 0.00000000 USD 0.00000000 USD 350000.00000000 USD 575.44000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CC87 170.41000000 PA USD 170.34000000 0.000103100341 Long ABS-MBS USGA US N 2 2027-07-20 Floating 5.37500000 N N N N N N JP Morgan Mortgage Trust 529900371ZWA9WXVGB88 46651DAL0 381188.48000000 PA USD 374739.11000000 0.226815369792 Long ABS-MBS CORP US N 2 2050-02-25 Floating 4.66900000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3200000.00000000 OU Notional Amount USD 53813.12000000 0.032571040456 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-10 0.00000000 USD 0.00000000 USD 3200000.00000000 USD 53813.12000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GEFG0 3429.57000000 PA USD 3474.10000000 0.002102740960 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31339NC79 4317.59000000 PA USD 4316.15000000 0.002612401887 Long ABS-MBS USGSE US N 2 2032-01-15 Floating 4.25400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WQB7 126835.92000000 PA USD 113021.41000000 0.068407572680 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3.00000000 N N N N N N UMBS, TBA N/A 01F052466 4000000.00000000 PA USD 4081080.00000000 2.470122932600 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EEE6 138913.90000000 PA USD 127438.44000000 0.077133654115 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288GY97 627.82000000 PA USD 641.36000000 0.000388190881 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31427P4Y7 17754.75000000 PA USD 18923.27000000 0.011453537589 Long ABS-MBS USGSE US N 2 2055-06-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397T3Q3 18349.34000000 PA USD 17085.82000000 0.010341398797 Long ABS-MBS USGSE US N 2 2034-07-15 Floating 3.75400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGAA7 1815723.95000000 PA USD 1708935.31000000 1.034353724886 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGWJ4 458255.68000000 PA USD 388833.26000000 0.235346024210 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XH6Q5 1403049.78000000 PA USD 1188160.99000000 0.719148781454 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F6K55 587427.83000000 PA USD 77524.50000000 0.046922639421 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.00000000 N N N N N N UMBS, TBA N/A 01F032617 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GUMA2 42055.16000000 PA USD 38854.71000000 0.023517282241 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3300000.00000000 OU Notional Amount USD 9690.45000000 0.005865261835 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2032-12-17 0.00000000 USD -69397.16000000 USD 3300000.00000000 USD 79087.61000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413DQQ3 10667.94000000 PA USD 11377.78000000 0.006886538685 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3QC7 1047239.68000000 PA USD 1032046.96000000 0.624658880349 Long ABS-MBS USGSE US N 2 2048-12-25 Floating 4.06000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WVX97 139725.18000000 PA USD 131417.89000000 0.079542264264 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C8TD7 133688.41000000 PA USD 132946.31000000 0.080467358918 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179FWC5 242743.79000000 PA USD 222297.47000000 0.134548227063 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31295KGW8 1677.32000000 PA USD 1680.87000000 0.001017366857 Long ABS-MBS USGSE US N 2 2028-07-01 Floating 6.53200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B0ZL1 22507.69000000 PA USD 977.28000000 0.000591510516 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJ7J9 188000.00000000 PA USD 189359.88000000 0.114612353127 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LLY54 266628.95000000 PA USD 272648.53000000 0.165023813915 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 5.61000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31295LNU2 796.40000000 PA USD 798.30000000 0.000483180711 Long ABS-MBS USGSE US N 2 2027-10-01 Floating 6.66500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617B0YJ8 88032.84000000 PA USD 83634.47000000 0.050620772516 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405KNA5 5038.52000000 PA USD 5227.19000000 0.003163819844 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7JL1 19158.06000000 PA USD 19738.34000000 0.011946868545 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375B8J4 19370.28000000 PA USD 19407.63000000 0.011746702326 Long ABS-MBS USGA US N 2 2063-09-20 Floating 4.49900000 N Y N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBDY1 571130.45000000 PA USD 543606.89000000 0.329024632035 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4.00000000 N N N N N N UMBS, TBA N/A 01F030660 -26450000.00000000 PA USD -23145231.20000000 -14.0089305692 Short ABS-MBS USGSE US N 2 2056-06-01 Fixed 3.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -2000000.00000000 NC USD -1029.80000000 -0.00062329888 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 101.37500000 USD 2026-06-04 XXXX 4751.45000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XYZN7 6428.27000000 PA USD 6360.84000000 0.003849975191 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1000000.00000000 NC USD 1390.70000000 0.000841737962 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 1000000.00000000 OU Notional Amount N/A 1390.70000000 0.00000000 DIR US N/A N/A 2036-06-08 0.00000000 N/A 0.00000000 N/A 1000000.00000000 USD 1.00000000 4.21900000 USD 2026-06-04 XXXX -3509.30000000 N N N UMBS, TBA N/A 01F032468 1500000.00000000 PA USD 1439994.00000000 0.871573750626 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XGMZ6 221351.00000000 PA USD 205409.15000000 0.124326367525 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 3.05000000 N N N N N N Chase Funding Mortgage Loan Asset-Backed CTFS N/A 161546DB9 87174.32000000 PA USD 86627.21000000 0.052432164527 Long ABS-O CORP US N 2 2032-08-25 Floating 4.40900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B12W1 256499.21000000 PA USD 4186.30000000 0.002533808607 Long ABS-MBS USGSE US N 2 2028-03-15 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B5QX4 797068.83000000 PA USD 730216.44000000 0.441972314731 Long ABS-MBS USGSE US N 2 2043-11-15 Floating 1.70100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241L6M3 20798.12000000 PA USD 20624.04000000 0.012482949162 Long ABS-MBS USGA US N 2 2041-12-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNBH5 233003.44000000 PA USD 205543.94000000 0.124407950800 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G9MX6 5100.23000000 PA USD 4847.41000000 0.002933953415 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H2ZF8 100856.91000000 PA USD 93439.96000000 0.056555663701 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133TLUJ5 1194.28000000 PA USD 96.62000000 0.000058480421 Long ABS-MBS USGSE US N 2 2029-08-15 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312943K85 1527.19000000 PA USD 1546.82000000 0.000936231476 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AEKD7 42620.22000000 PA USD 41475.24000000 0.025103389656 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4VG8 231230.04000000 PA USD 202816.57000000 0.122757177185 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397JZ80 347071.89000000 PA USD 28787.57000000 0.017424024236 Long ABS-MBS USGSE US N 2 2037-07-15 Floating 2.72600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31427P5D2 41785.10000000 PA USD 44002.52000000 0.026633056383 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TSF3 220630.12000000 PA USD 198747.15000000 0.120294111608 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCTU2 352801.84000000 PA USD 309054.39000000 0.187058900134 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132J86D7 97685.75000000 PA USD 89167.10000000 0.053969463608 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31337NAV0 2481.00000000 PA USD 2476.53000000 0.001498949676 Long ABS-MBS USGSE US N 2 2028-06-01 Floating 6.53200000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 07384YMA1 38828.92000000 PA USD 48252.12000000 0.029205178079 Long ABS-MBS CORP US N 2 2033-10-25 Variable 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FPL64 23674.18000000 PA USD 22591.52000000 0.013673790181 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 2.00000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 -1750000.00000000 NC USD -3300.33000000 -0.00199756457 N/A DIR US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 Put Written BNP Paribas SA R0MUWSFPU8MPRO8K5P83 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 N/A 1750000.00000000 OU Notional Amount N/A -3300.33000000 0.00000000 DIR US N/A N/A 2036-05-08 0.00000000 N/A 0.00000000 N/A 1750000.00000000 USD 1.00000000 3.96700000 USD 2026-05-06 XXXX -806.58000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 -1800000.00000000 NC USD -13325.04000000 -0.00806514130 N/A DIR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Put Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1800000.00000000 OU Notional Amount N/A -13325.04000000 -0.01000000 DIR US N/A N/A 2033-05-20 0.00000000 N/A 0.00000000 N/A 1800000.00000000 USD 1.00000000 3.72400000 USD 2026-05-18 XXXX -7925.04000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31281BHS2 140443.25000000 PA USD 139940.79000000 0.084700852368 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 4.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 400000.00000000 OU Notional Amount USD -2159.04000000 -0.00130678502 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-05-08 0.00000000 USD 0.00000000 USD 400000.00000000 USD -2159.04000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376T5N8 104303.10000000 PA USD 104916.43000000 0.063501935700 Long ABS-MBS USGA US N 2 2060-01-20 Floating 4.61100000 N Y N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LS6G0 525637.43000000 PA USD 510155.09000000 0.308777526290 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XY7E8 4274.31000000 PA USD 4224.76000000 0.002557086986 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.50000000 N N N N N N CCBCYXUS0 BARCLAYS COC FUTURES N/A 000000000 396000.00000000 NS USD 396000.00000000 0.239683780104 Long STIV CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H6HW2 11158.83000000 PA USD 10615.21000000 0.006424983988 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MER4 400.28000000 PA USD 416.84000000 0.000252297441 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179W5C8 490243.69000000 PA USD 436525.61000000 0.264212394740 Long ABS-MBS USGA US N 2 2052-05-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FJJY6 343384.96000000 PA USD 209181.91000000 0.126609876056 Long ABS-MBS USGSE US N 2 2056-08-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M5N76 420778.85000000 PA USD 414312.92000000 0.250767895989 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179MVV9 7455.10000000 PA USD 7564.27000000 0.004578365725 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415YHE2 447.24000000 PA USD 443.90000000 0.000268675833 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378MAC9 428890.84000000 PA USD 46518.53000000 0.028155901806 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ADQR3 188328.82000000 PA USD 10785.52000000 0.006528066171 Long ABS-MBS USGSE US N 2 2042-08-25 Floating 2.39000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1400000.00000000 OU Notional Amount USD 29499.54000000 0.017854952673 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2033-03-08 0.00000000 USD 0.00000000 USD 1400000.00000000 USD 29499.54000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHS40 891907.29000000 PA USD 813418.23000000 0.492331202455 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AMZT9 148624.03000000 PA USD 7869.21000000 0.004762934341 Long ABS-MBS USGSE US N 2 2045-03-25 Floating 2.02100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KVQ8 131250.23000000 PA USD 135489.13000000 0.082006431417 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291FQ84 94396.51000000 PA USD 86196.65000000 0.052171562889 Long ABS-MBS USGA US N 2 2045-03-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291FRX8 320286.09000000 PA USD 287625.37000000 0.174088727110 Long ABS-MBS USGA US N 2 2045-10-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410WRX8 4692.90000000 PA USD 4746.86000000 0.002873094314 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36295YXL2 24082.82000000 PA USD 24316.19000000 0.014717667517 Long ABS-MBS USGA US N 2 2038-04-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8QN8 715298.51000000 PA USD 657563.20000000 0.397998064226 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3000000.00000000 OU Notional Amount USD 52591.20000000 0.031831458626 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-10 0.00000000 USD 0.00000000 USD 3000000.00000000 USD 52591.20000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137HA4L7 600000.00000000 PA USD 604702.98000000 0.366003777997 Long ABS-MBS USGSE US N 2 2031-01-25 Fixed 4.66000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CB47 392.39000000 PA USD 392.13000000 0.000237341415 Long ABS-MBS USGA US N 2 2027-04-20 Floating 5.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197MRM2 69421.10000000 PA USD 66143.41000000 0.040034097317 Long ABS-MBS USGA US N 2 2047-04-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31427P5B6 33416.87000000 PA USD 35412.18000000 0.021433649404 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATXU3 28664.65000000 PA USD 2294.69000000 0.001388888821 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31391YUS4 4380.36000000 PA USD 4510.94000000 0.002730300886 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 6.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1800000.00000000 OU Notional Amount USD 19549.80000000 0.011832752435 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2031-04-08 0.00000000 USD 0.00000000 USD 1800000.00000000 USD 19549.80000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CN36 41725.97000000 PA USD 41868.78000000 0.025341584491 Long ABS-MBS USGA US N 2 2030-05-20 Floating 5.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417HA95 158744.96000000 PA USD 155848.73000000 0.094329325078 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 2.50000000 N N N N N N UMBS, TBA N/A 01F020455 1500000.00000000 PA USD 1374336.00000000 0.831833453570 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XZFG1 20201.88000000 PA USD 19932.01000000 0.012064089651 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PXV37 822.61000000 PA USD 818.14000000 0.000495189110 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 800000.00000000 NC USD 47465.76000000 0.028729224197 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Purchased Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 800000.00000000 OU Notional Amount N/A 47465.76000000 0.03000000 DIR US N/A N/A 2045-08-09 0.00000000 N/A 0.00000000 N/A 800000.00000000 USD 1.00000000 4.48500000 USD 2035-08-07 XXXX -23014.24000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EGD6 32728.29000000 PA USD 30024.66000000 0.018172787891 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QLF24 120875.30000000 PA USD 109660.98000000 0.066373631859 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FUKX5 2134.61000000 PA USD 2034.78000000 0.001231575156 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QCBM7 178858.61000000 PA USD 160078.77000000 0.096889607848 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CBR6 413.45000000 PA USD 412.48000000 0.000249658499 Long ABS-MBS USGA US N 2 2027-02-20 Floating 5.62500000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -2000000.00000000 NC USD -2471.00000000 -0.00149560257 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 94.37500000 USD 2026-06-04 XXXX 10654.00000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202EYG8 2062.72000000 PA USD 2201.32000000 0.001332375502 Long ABS-MBS USGA US N 2 2038-12-20 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132J9GR3 48806.79000000 PA USD 44618.21000000 0.027005710187 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H22E7 87223.07000000 PA USD 80835.88000000 0.048926892137 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3M72 1586062.62000000 PA USD 1568315.37000000 0.949241808782 Long ABS-MBS USGSE US N 2 2049-03-25 Floating 4.16000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AWBD4 1737.99000000 PA USD 1728.56000000 0.001046231805 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379MX90 101333.17000000 PA USD 5004.42000000 0.003028985613 Long ABS-MBS USGA US N 2 2043-06-20 Floating 1.28000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5H45 299700.49000000 PA USD 314456.46000000 0.190328568209 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ARWA2 45109.35000000 PA USD 2090.73000000 0.001265439569 Long ABS-MBS USGSE US N 2 2046-04-25 Variable 1.90800000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -1500000.00000000 NC USD -2844.00000000 -0.00172136532 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 102.31250000 USD 2026-05-06 XXXX -31.50000000 N N N Sequoia Mortgage Trust 549300671OK77JNRLK28 81744AAA6 52836.19000000 PA USD 45910.64000000 0.027787969046 Long ABS-MBS CORP US N 2 2032-12-20 Floating 4.67500000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1000000.00000000 NC USD 2924.80000000 0.001770270505 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Put Purchased Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 95.46875000 USD 2026-06-04 XXXX -1450.20000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312939WT4 1398.07000000 PA USD 1418.87000000 0.000858788194 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CPN0 2430.59000000 PA USD 2447.05000000 0.001481106550 Long ABS-MBS USGA US N 2 2030-07-20 Floating 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417AXD6 8817.76000000 PA USD 8761.31000000 0.005302888635 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CFH4 111.21000000 PA USD 111.03000000 0.000067202247 Long ABS-MBS USGA US N 2 2028-02-20 Floating 5.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36195ETX6 7397.82000000 PA USD 7200.30000000 0.004358068489 Long ABS-MBS USGA US N 2 2046-08-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GQT6 1472.09000000 PA USD 1385.09000000 0.000838342441 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179DWV8 17656.85000000 PA USD 16169.61000000 0.009786851635 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 3.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1400000.00000000 NC USD 26776.82000000 0.016206993527 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Purchased Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1400000.00000000 OU Notional Amount N/A 26776.82000000 0.02000000 DIR US N/A N/A 2033-09-16 0.00000000 N/A 0.00000000 N/A 1400000.00000000 USD 1.00000000 3.63500000 USD 2026-09-14 XXXX 8786.82000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KNX65 419728.75000000 PA USD 356763.95000000 0.215935687224 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -15.00000000 NC USD 26641.98000000 0.016125379989 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 2 Year U.S. Treasury Notes Futures TUM6 Comdty 2026-06-30 -3133516.98000000 USD 26641.98000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1100000.00000000 NC USD 2751.10000000 0.001665136483 N/A DIR US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 Put Purchased BNP Paribas SA R0MUWSFPU8MPRO8K5P83 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 N/A 1100000.00000000 OU Notional Amount N/A 2751.10000000 0.00000000 DIR US N/A N/A 2036-06-08 0.00000000 N/A 0.00000000 N/A 1100000.00000000 USD 1.00000000 4.12250000 USD 2026-06-04 XXXX -3582.58000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2ZK1 1340160.67000000 PA USD 1236242.04000000 0.748250417352 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YRQP6 17358.60000000 PA USD 17022.57000000 0.010303115971 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ETR1 831813.19000000 PA USD 817892.81000000 0.495039496013 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GNKM4 85075.26000000 PA USD 81011.03000000 0.049032903789 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9TZ0 167437.79000000 PA USD 160492.62000000 0.097140095556 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 2.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 800000.00000000 NC USD 46111.04000000 0.027909263565 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 800000.00000000 OU Notional Amount N/A 46111.04000000 0.03000000 DIR US N/A N/A 2045-08-08 0.00000000 N/A 0.00000000 N/A 800000.00000000 USD 1.00000000 4.42700000 USD 2035-08-06 XXXX -24288.96000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418MT93 1009.33000000 PA USD 1002.02000000 0.000606484700 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YTCG7 5548.07000000 PA USD 5309.93000000 0.003213899228 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJL65 13414.35000000 PA USD 13586.15000000 0.008223181285 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.00000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 000000000 -1000000.00000000 NC USD -304.00000000 -0.00018399966 N/A DIR US N 2 Morgan Stanley IGJSJL3JD5P30I6NJZ34 Call Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 100.00000000 USD 2026-06-04 XXXX 1336.63000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TZ65 110226.30000000 PA USD 108113.70000000 0.065437121962 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196JFE1 81803.22000000 PA USD 75460.04000000 0.045673100085 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q1EY2 3300000.00000000 PA USD 3265353.23000000 1.976394458443 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 4.30000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 800000.00000000 NC USD 55425.36000000 0.033546868177 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Purchased Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 800000.00000000 OU Notional Amount N/A 55425.36000000 0.03000000 DIR US N/A N/A 2045-08-09 0.00000000 N/A 0.00000000 N/A 800000.00000000 USD 1.00000000 4.48500000 USD 2035-08-07 XXXX -15054.64000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -2500000.00000000 NC USD -477.50000000 -0.00028901263 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 102.25781250 USD 2026-05-06 XXXX 3233.44000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UGE6 148159.14000000 PA USD 149294.99000000 0.090362594833 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 5.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -1500000.00000000 NC USD -2892.75000000 -0.00175087185 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 93.84375000 USD 2026-05-06 XXXX 4138.50000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X3CN6 1753536.13000000 PA USD 1560563.49000000 0.944549889839 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FQ74 65891.49000000 PA USD 65339.98000000 0.039547811612 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WTRV0 32573.74000000 PA USD 29707.21000000 0.017980647447 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AKTL7 114979.81000000 PA USD 5762.97000000 0.003488107157 Long ABS-MBS USGSE US N 2 2054-08-25 Variable 2.15500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405XNA7 49528.57000000 PA USD 50893.16000000 0.030803699419 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FWA0 5673.30000000 PA USD 5759.65000000 0.003486097687 Long ABS-MBS USGA US N 2 2041-08-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136APNG3 366680.77000000 PA USD 19801.57000000 0.011985139266 Long ABS-MBS USGSE US N 2 2045-07-25 Variable 2.04900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9PU1 51048.96000000 PA USD 49895.88000000 0.030200083661 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4.00000000 N N N N N N Soundview Home Equity Loan Trust N/A 83612TAA0 475190.87000000 PA USD 327611.51000000 0.198290821016 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.96900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVM36 2647590.84000000 PA USD 2758433.29000000 1.669575045742 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292JBP4 2045.03000000 PA USD 2066.18000000 0.001250580385 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410F5M3 45946.45000000 PA USD 47359.00000000 0.028664606419 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413FYG1 22341.51000000 PA USD 23825.21000000 0.014420495945 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AP35 311263.70000000 PA USD 333795.81000000 0.202033943242 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KNYR8 145085.88000000 PA USD 123151.38000000 0.074538859301 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407A6M8 862.58000000 PA USD 898.22000000 0.000543658497 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1200000.00000000 OU Notional Amount USD 14705.40000000 0.008900620858 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2031-04-08 0.00000000 USD 0.00000000 USD 1200000.00000000 USD 14705.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136APDE9 14859.75000000 PA USD 634.79000000 0.000384214310 Long ABS-MBS USGSE US N 2 2044-06-25 Fixed 4.00000000 N N N N N N KGS-Alpha SBA COOF Trust N/A 48248JAA7 3401244.66000000 PA USD 72446.51000000 0.043849124677 Long ABS-O USGA US N 3 2038-04-25 Variable 1.09000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36184SPQ7 2750.15000000 PA USD 2542.42000000 0.001538830394 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31426MCP5 4646735.91000000 PA USD 4833808.39000000 2.925720876810 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 6.00000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31325YRU4 3929400.57000000 PA USD 606856.86000000 0.367307439866 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202ESA8 41711.49000000 PA USD 42325.17000000 0.025617820048 Long ABS-MBS USGA US N 2 2038-04-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CZ72 203310.23000000 PA USD 198645.94000000 0.120232853034 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LX2V0 195392.91000000 PA USD 189398.13000000 0.114635504401 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HFFC8 48229.85000000 PA USD 45612.10000000 0.027607274107 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 500000.00000000 OU Notional Amount USD 12538.15000000 0.007588866635 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-10 0.00000000 USD 0.00000000 USD 500000.00000000 USD 12538.15000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A6H98 65538.84000000 PA USD 2974.14000000 0.001800134135 Long ABS-MBS USGSE US N 2 2052-07-25 Variable 1.79900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X5HN0 9016.81000000 PA USD 8848.38000000 0.005355588803 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379FE39 104057.99000000 PA USD 8898.81000000 0.005386112169 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8BG7 69809.70000000 PA USD 67752.31000000 0.041007903463 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXDG4 591055.29000000 PA USD 535204.09000000 0.323938735905 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 3.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31395Q5Q9 67801.23000000 PA USD 8850.25000000 0.005356720643 Long ABS-MBS USGSE US N 2 2043-11-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HCAX4 26557.07000000 PA USD 25224.90000000 0.015267675214 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.00000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 000000000 -2000000.00000000 NC USD -2215.20000000 -0.00134077653 N/A DIR US N 2 Morgan Stanley IGJSJL3JD5P30I6NJZ34 Put Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 97.28125000 USD 2026-06-04 XXXX 3409.80000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128C6N21 28212.23000000 PA USD 29113.35000000 0.017621206513 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296B6M9 5698.58000000 PA USD 5933.70000000 0.003591443550 Long ABS-MBS USGA US N 2 2038-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LCR5 79312.91000000 PA USD 81912.36000000 0.049578444651 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WEX87 1083595.07000000 PA USD 1006243.71000000 0.609041151816 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -4000000.00000000 NC USD -3948.80000000 -0.00239005886 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 98.65625000 USD 2026-07-06 XXXX 5738.70000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292KZ75 1939.33000000 PA USD 2005.77000000 0.001214016504 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MUM56 6655.95000000 PA USD 6106.11000000 0.003695796784 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1300000.00000000 OU Notional Amount USD 23319.79000000 0.014114584390 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-10 0.00000000 USD 0.00000000 USD 1300000.00000000 USD 23319.79000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38383KVX7 459191.20000000 PA USD 463114.35000000 0.280305550577 Long ABS-MBS USGA US N 2 2074-04-20 Floating 4.43000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G1A73 48175.40000000 PA USD 44439.22000000 0.026897374329 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405PYH7 29425.48000000 PA USD 30527.36000000 0.018477053134 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412PXC0 1531.23000000 PA USD 1520.14000000 0.000920083084 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38383KMK5 1774511.67000000 PA USD 1803076.87000000 1.091334040456 Long ABS-MBS USGA US N 2 2074-01-20 Floating 4.57000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31392EVN7 21722.59000000 PA USD 21683.42000000 0.013124151694 Long ABS-MBS USGSE US N 2 2032-06-25 Floating 4.16000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGUC6 1136.97000000 PA USD 1132.98000000 0.000685749821 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178WPX1 161187.34000000 PA USD 151143.12000000 0.091481197824 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C9HP1 88611.90000000 PA USD 87982.97000000 0.053252754632 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TG33 358925.55000000 PA USD 323325.89000000 0.195696897780 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHDQ7 63183.74000000 PA USD 59592.91000000 0.036069328121 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DWS7 435178.43000000 PA USD 368653.24000000 0.223131823512 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617B0TG0 69182.73000000 PA USD 63818.17000000 0.038626717739 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 3.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3100000.00000000 OU Notional Amount USD 55521.00000000 0.033604755442 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2033-03-08 0.00000000 USD 0.00000000 USD 3100000.00000000 USD 55521.00000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291FQK7 316242.99000000 PA USD 283994.56000000 0.171891135530 Long ABS-MBS USGA US N 2 2045-07-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KMHX6 1314034.38000000 PA USD 1151094.04000000 0.696713562533 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407CGX9 471.39000000 PA USD 490.90000000 0.000297123150 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2300000.00000000 OU Notional Amount USD 35752.58000000 0.021639680613 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2029-11-09 0.00000000 USD 0.00000000 USD 2300000.00000000 USD 35752.58000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNBJ1 611715.39000000 PA USD 540463.78000000 0.327122226767 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X1RR9 49286.85000000 PA USD 48405.74000000 0.029298158439 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EFA3 259682.71000000 PA USD 238230.73000000 0.144192025008 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3.00000000 N N N N N N GS Mortgage-Backed Securities Trust 25490038RWR4AJZ5B524 36266PAB3 1310009.71000000 PA USD 1082805.56000000 0.655381135705 Long ABS-MBS CORP US N 2 2052-07-25 Variable 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXAV2 86552.00000000 PA USD 89173.57000000 0.053973379654 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MCG0 394.39000000 PA USD 410.71000000 0.000248587185 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ETY91 611508.49000000 PA USD 606628.07000000 0.367168961957 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MMWZ2 107474.70000000 PA USD 104302.12000000 0.063130117157 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CP67 6754.42000000 PA USD 6778.80000000 0.004102950526 Long ABS-MBS USGA US N 2 2030-08-20 Floating 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ANJM0 108452.46000000 PA USD 5035.63000000 0.003047875842 Long ABS-MBS USGSE US N 2 2055-04-25 Variable 2.03000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ENEW5 266240.30000000 PA USD 273259.46000000 0.165393586672 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 6.34300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C7A6 41771.58000000 PA USD 40820.40000000 0.024707039841 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202K5J0 271.19000000 PA USD 270.60000000 0.000163783916 Long ABS-MBS USGA US N 2 2026-08-20 Floating 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NGBN9 111975.12000000 PA USD 108175.60000000 0.065474587684 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241K5X2 15521.74000000 PA USD 16028.32000000 0.009701334157 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 5.50000000 N N N N N N BCAP LLC Trust N/A 05490BAQ4 118459.73000000 PA USD 78889.30000000 0.047748701095 Long ABS-MBS CORP US N 2 2037-10-26 Variable 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31427P5E0 66316.16000000 PA USD 69814.88000000 0.042256298853 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406YYK0 2984.83000000 PA USD 3108.53000000 0.001881475305 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CP83 667.86000000 PA USD 670.27000000 0.000405689008 Long ABS-MBS USGA US N 2 2030-08-20 Floating 5.37500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617ATYC1 61772.86000000 PA USD 56982.87000000 0.034489569906 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EP2M5 457089.17000000 PA USD 450935.68000000 0.272934263551 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JNRD4 22057.36000000 PA USD 22151.57000000 0.013407505133 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KQ76 565.78000000 PA USD 583.19000000 0.000352982787 Long ABS-MBS USGA US N 2 2038-02-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297FV82 153141.52000000 PA USD 151948.02000000 0.091968373265 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPR41 373543.88000000 PA USD 328620.96000000 0.198901802814 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042661 2360000.00000000 PA USD 2272493.56000000 1.375454158394 Long ABS-MBS USGA US N 2 2055-06-23 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312941NS2 71445.20000000 PA USD 72364.05000000 0.043799214766 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292DT77 36040.40000000 PA USD 37241.30000000 0.022540746363 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140W3FL8 79692.96000000 PA USD 83862.08000000 0.050758536216 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AG3P5 157309.19000000 PA USD 8957.83000000 0.005421834737 Long ABS-MBS USGSE US N 2 2043-09-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36209BHT8 28.57000000 PA USD 28.70000000 0.000017371021 Long ABS-MBS USGA US N 2 2029-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617B4HP5 67423.41000000 PA USD 64240.04000000 0.038882059649 Long ABS-MBS USGA US N 2 2047-08-15 Fixed 4.00000000 N N N N N N UMBS, TBA N/A 01F042459 -800000.00000000 PA USD -793750.40000000 -0.48042701093 Short ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131Y94T7 34948.25000000 PA USD 34201.12000000 0.020700640720 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W6GB6 245326.86000000 PA USD 223737.76000000 0.135419979972 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396HJ83 224275.62000000 PA USD 222624.41000000 0.134746111445 Long ABS-MBS USGSE US N 2 2036-02-15 Floating 4.15400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CDP8 1808.48000000 PA USD 1807.96000000 0.001094289613 Long ABS-MBS USGA US N 2 2027-08-20 Floating 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M0XQ8 1764.18000000 PA USD 1749.09000000 0.001058657835 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJ7K6 113962.76000000 PA USD 114820.71000000 0.069496620725 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YBHL0 2435.98000000 PA USD 2340.05000000 0.001416343509 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138E4Y47 31616.36000000 PA USD 32349.04000000 0.019579646944 Long ABS-MBS USGSE US N 2 2042-02-01 Floating 5.91500000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2400000.00000000 OU Notional Amount USD 37346.40000000 0.022604359407 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2029-11-09 0.00000000 USD 0.00000000 USD 2400000.00000000 USD 37346.40000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297US43 11349.43000000 PA USD 11693.19000000 0.007077444395 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FM7B6 7544.91000000 PA USD 7177.35000000 0.004344177725 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202ERC5 34803.27000000 PA USD 35308.72000000 0.021371028990 Long ABS-MBS USGA US N 2 2038-02-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MMW41 191894.94000000 PA USD 186217.00000000 0.112710087070 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELN41 166.68000000 PA USD 157.32000000 0.000095219829 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WP55 17632.23000000 PA USD 17491.51000000 0.010586947567 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HNVQ2 125925.48000000 PA USD 123233.43000000 0.074588521054 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYWX3 1220389.59000000 PA USD 1119575.15000000 0.677636373897 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KMR31 693668.67000000 PA USD 591721.04000000 0.358146302107 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ASY86 456.22000000 PA USD 478.21000000 0.000289442374 Long ABS-MBS USGA US N 2 2032-09-20 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJN38 979283.56000000 PA USD 885038.64000000 0.535680320136 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4200000.00000000 OU Notional Amount USD 8497.02000000 0.005142923922 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2029-12-18 40352.33000000 USD 0.00000000 USD 4200000.00000000 USD -31855.31000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31427MPF2 924026.37000000 PA USD 963530.14000000 0.583188247979 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FJE21 620810.80000000 PA USD 386766.31000000 0.234094977772 Long ABS-MBS USGSE US N 2 2058-10-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GRAU8 88622.24000000 PA USD 84388.56000000 0.051077194591 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BKKP5 80248.10000000 PA USD 74025.51000000 0.044804833487 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VKL3 1313478.57000000 PA USD 1173307.76000000 0.710158684704 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B5QQ9 259503.95000000 PA USD 231918.50000000 0.140371471606 Long ABS-MBS USGSE US N 2 2043-11-15 Floating 2.25500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181AYT3 23453.00000000 PA USD 21477.55000000 0.012999546392 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYYB9 127232.24000000 PA USD 125294.87000000 0.075836232498 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XXE47 7789.13000000 PA USD 7407.40000000 0.004483418264 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSUT6 1790202.81000000 PA USD 1739179.61000000 1.052659452539 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404RZW0 4261.38000000 PA USD 4241.01000000 0.002566922495 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179Y5N0 462907.81000000 PA USD 483662.24000000 0.292742409033 Long ABS-MBS USGA US N 2 2054-08-20 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQ7E6 537611.47000000 PA USD 521432.90000000 0.315603556926 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128S4FZ5 137401.82000000 PA USD 141405.54000000 0.085587409987 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 6.42900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417EQ38 94646.85000000 PA USD 90247.35000000 0.054623297960 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KR5X8 19155.07000000 PA USD 20131.89000000 0.012185069433 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CV50 153502.16000000 PA USD 144209.41000000 0.087284486150 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C5FZ9 580234.70000000 PA USD 578807.62000000 0.350330298775 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCUP1 661214.67000000 PA USD 564988.24000000 0.341965952216 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312942GP4 35165.89000000 PA USD 35619.99000000 0.021559428915 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKME5 1314101.42000000 PA USD 1151323.36000000 0.696852361231 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3.00000000 N N N N N N J.P. Morgan Alternative Loan Trust N/A 466309AC5 358120.83000000 PA USD 199589.05000000 0.120803681746 Long ABS-MBS CORP US N 2 2037-06-27 Floating 4.29100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380CSQ7 103496.39000000 PA USD 4336.17000000 0.002624519234 Long ABS-MBS USGA US N 2 2045-11-20 Variable 1.20700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411KE41 2557.55000000 PA USD 2680.18000000 0.001622211297 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 6.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797UC9 208000.00000000 PA USD 206753.04000000 0.125139773170 Long STIV UST US N 2 2026-06-30 None 0.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797TP2 200000.00000000 PA USD 198342.31000000 0.120049077311 Long STIV UST US N 2 2026-07-23 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CC95 226.84000000 PA USD 226.74000000 0.000137237121 Long ABS-MBS USGA US N 2 2027-07-20 Floating 5.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31427PYY4 932660.21000000 PA USD 977366.72000000 0.591563005045 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202K2M6 4.64000000 PA USD 4.63000000 0.000002802363 Long ABS-MBS USGA US N 2 2026-06-20 Floating 5.62500000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2200000.00000000 OU Notional Amount USD 69745.94000000 0.042214572086 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2031-04-09 0.00000000 USD 0.00000000 USD 2200000.00000000 USD 69745.94000000 N N N Morgan Stanley Bank NA G1MLHIS0N32I3QPILB75 000000000 2100000.00000000 NC USD 8149.47000000 0.004932565089 N/A DIR US N 2 Morgan Stanley Bank NA G1MLHIS0N32I3QPILB75 Put Purchased Morgan Stanley Bank NA G1MLHIS0N32I3QPILB75 Morgan Stanley Bank NA G1MLHIS0N32I3QPILB75 N/A 2100000.00000000 OU Notional Amount N/A 8149.47000000 0.00000000 DIR US N/A N/A 2036-12-09 0.00000000 N/A 0.00000000 N/A 2100000.00000000 USD 1.00000000 4.75000000 USD 2026-12-07 XXXX 2524.47000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNL42 308684.78000000 PA USD 262378.03000000 0.158807469815 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 5000000.00000000 NC USD 4.00000000 0.000002421048 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Purchased Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 99.09765620 USD 2026-05-06 XXXX -1558.50000000 N N N UMBS, TBA N/A 01F032674 -15250000.00000000 PA USD -13860206.50000000 -8.38905729028 Short ABS-MBS USGSE US N 2 2056-07-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31427P4Z4 29756.82000000 PA USD 31647.15000000 0.019154819549 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJCJ7 5831.84000000 PA USD 5896.97000000 0.003569212274 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ECVH3 9410.93000000 PA USD 8857.44000000 0.005361072477 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N Countrywide Home Loans N/A 17025TBJ9 23856.14000000 PA USD 7931.02000000 0.004800345590 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291FN46 15464.17000000 PA USD 13887.23000000 0.008405413589 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQM58 64826.17000000 PA USD 66822.94000000 0.040445391052 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X2Q23 94003.07000000 PA USD 92742.57000000 0.056133559985 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140W3FM6 53292.96000000 PA USD 55924.80000000 0.033849160266 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M1X60 231.57000000 PA USD 218.56000000 0.000132286078 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GQJU8 32754.90000000 PA USD 30294.43000000 0.018336069440 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CNG5 67102.80000000 PA USD 65097.23000000 0.039400884244 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 3.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -1000000.00000000 NC USD -2782.20000000 -0.00168396013 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 92.92187500 USD 2026-06-04 XXXX -438.45000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 400000.00000000 NC USD 19499.96000000 0.011802586173 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 400000.00000000 OU Notional Amount N/A 19499.96000000 0.01000000 DIR US N/A N/A 2045-02-08 0.00000000 N/A 0.00000000 N/A 400000.00000000 USD 1.00000000 4.09800000 USD 2035-02-06 XXXX -16020.04000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AS6D3 221246.28000000 PA USD 22789.58000000 0.013793668387 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1200000.00000000 NC USD 70315.80000000 0.042559486730 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Call Purchased Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1200000.00000000 OU Notional Amount N/A 70315.80000000 0.04000000 DIR US N/A N/A 2045-08-08 0.00000000 N/A 0.00000000 N/A 1200000.00000000 USD 1.00000000 4.46000000 USD 2035-08-06 XXXX -35164.20000000 N N N Countrywide Asset-Backed Certificates 549300XF11BHS5IOB463 1266713Y0 44237.52000000 PA USD 43579.00000000 0.026376715790 Long ABS-O CORP US N 2 2034-07-25 Floating 4.26900000 N N N N N N Countrywide Asset-Backed Certificates 549300H6I2066O1LC673 126673BC5 17591.94000000 PA USD 17525.95000000 0.010607792792 Long ABS-O CORP US N 2 2034-10-25 Floating 4.66900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXJG8 491164.16000000 PA USD 422579.73000000 0.255771482530 Long ABS-MBS USGSE US N 2 2058-05-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042653 9000000.00000000 PA USD 8674191.00000000 5.250158808662 Long ABS-MBS USGA US N 2 2056-05-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QDFB5 239921.13000000 PA USD 219992.38000000 0.133153043516 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H4Y65 184072.06000000 PA USD 169121.44000000 0.102362793020 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9TV9 123636.70000000 PA USD 118527.89000000 0.071740436169 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H6DW6 146196.83000000 PA USD 138261.76000000 0.083684599193 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418MRT1 99785.60000000 PA USD 103082.31000000 0.062391812431 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKVF2 1005604.26000000 PA USD 881039.82000000 0.533259986061 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380AUU9 23976.46000000 PA USD 3453.06000000 0.002090006246 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CHH0 51185.65000000 PA USD 49752.07000000 0.030113040923 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296DNB0 1412.68000000 PA USD 1524.27000000 0.000922582816 Long ABS-MBS USGA US N 2 2038-11-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ2X7 102159.72000000 PA USD 97306.74000000 0.058896078971 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4.00000000 N N N N N N BCAP LLC Trust N/A 05532TAD4 46413.39000000 PA USD 42883.21000000 0.025955580494 Long ABS-MBS CORP US N 2 2037-03-26 Variable 4.49400000 N N N N N N Adjustable Rate Mortgage Trust N/A 007036QH2 217778.27000000 PA USD 152312.60000000 0.092189039711 Long ABS-MBS CORP US N 2 2035-11-25 Variable 4.75500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGD89 108775.69000000 PA USD 96433.01000000 0.058367243342 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ARNQ7 276012.51000000 PA USD 33462.49000000 0.020253575997 Long ABS-MBS USGSE US N 2 2046-03-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFUB0 5675.74000000 PA USD 5545.34000000 0.003356383972 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 3.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3000000.00000000 OU Notional Amount USD -85923.60000000 -0.05200629608 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2032-06-18 0.00000000 USD -68339.78000000 USD 3000000.00000000 USD -17583.82000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617ACHV5 215321.23000000 PA USD 204891.72000000 0.124013186772 Long ABS-MBS USGA US N 2 2047-04-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412N6H4 2336.43000000 PA USD 2319.51000000 0.001403911426 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KNX57 425233.73000000 PA USD 360945.67000000 0.218466723732 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JHBA0 158591.05000000 PA USD 149983.26000000 0.090779178558 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BQ6A2 519237.25000000 PA USD 515854.32000000 0.312227054042 Long ABS-MBS USGSE US N 2 2050-12-25 Floating 4.56900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31427P5C4 27721.98000000 PA USD 29282.29000000 0.017723459488 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GDS94 20914.50000000 PA USD 21186.06000000 0.012823118551 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140E6M74 9602.95000000 PA USD 9322.86000000 0.005642773550 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5000000.00000000 OU Notional Amount USD 618.50000000 0.000374354590 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-12-18 8995.98000000 USD 0.00000000 USD 5000000.00000000 USD -8377.48000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELXR9 134175.84000000 PA USD 140609.12000000 0.085105367168 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C9NH2 150746.12000000 PA USD 149725.72000000 0.090623299364 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.00000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 -4778436.59000000 PA USD -4778436.59000000 -2.89220642646 Short RA CORP US N 2 Reverse repurchase N 3.77000000 2026-05-13 1371068.06000000 USD 1269459.16100000 USD ACMO 3578422.10000000 USD 3658837.53000000 USD AMBS N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ASGB4 710337.40000000 PA USD 67655.30000000 0.040949186990 Long ABS-MBS USGSE US N 2 2042-07-15 Floating 2.29600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BFTQ5 60082.41000000 PA USD 60706.76000000 0.036743499279 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DTBY5 37089.08000000 PA USD 39040.60000000 0.023629794407 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GE7M6 15195.74000000 PA USD 15393.05000000 0.009316829321 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412Q7B9 1021.87000000 PA USD 1014.47000000 0.000614020213 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202D2U4 43078.96000000 PA USD 43709.72000000 0.026455835648 Long ABS-MBS USGA US N 2 2033-12-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31427P5A8 16172.44000000 PA USD 17142.64000000 0.010375789788 Long ABS-MBS USGSE US N 2 2055-06-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CKK9 75838.93000000 PA USD 73671.06000000 0.044590298346 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G7N35 30488.54000000 PA USD 28996.94000000 0.017550747956 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202DJU6 516.90000000 PA USD 522.06000000 0.000315983116 Long ABS-MBS USGA US N 2 2030-09-20 Fixed 9.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 4400000.00000000 OU Notional Amount USD -67305.04000000 -0.04073718789 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-03-20 0.00000000 USD -78262.76000000 USD 4400000.00000000 USD 10957.72000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1000000.00000000 NC USD 421.60000000 0.000255178489 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Call Purchased Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 98.46875000 USD 2026-06-04 XXXX -3640.90000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CNZ5 9324.59000000 PA USD 9353.58000000 0.005661367201 Long ABS-MBS USGA US N 2 2030-05-20 Floating 5.62500000 N N N N N N UMBS, TBA N/A 01F020661 24850000.00000000 PA USD 19878335.05000000 12.03160223982 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 2.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 800000.00000000 NC USD 56632.56000000 0.034277540550 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 800000.00000000 OU Notional Amount N/A 56632.56000000 0.03000000 DIR US N/A N/A 2045-08-08 0.00000000 N/A 0.00000000 N/A 800000.00000000 USD 1.00000000 4.42700000 USD 2035-08-06 XXXX -13767.44000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38383KMM1 1411649.98000000 PA USD 1428570.44000000 0.864659503043 Long ABS-MBS USGA US N 2 2073-12-20 Floating 4.64000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 100000.00000000 OU Notional Amount USD 1746.73000000 0.001057229417 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2036-06-17 1927.52000000 USD 0.00000000 USD 100000.00000000 USD -180.79000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KHLP9 217863.07000000 PA USD 199551.10000000 0.120780712050 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406MJ56 10798.06000000 PA USD 10742.13000000 0.006501803850 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B9M76 82647.19000000 PA USD 70126.74000000 0.042445055882 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CU85 4147.41000000 PA USD 3945.36000000 0.002387976764 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C5FY2 166821.12000000 PA USD 166878.07000000 0.101004966247 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419ADH7 12403.90000000 PA USD 12998.91000000 0.007867747186 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LJF4 61359.76000000 PA USD 62264.56000000 0.037686376533 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31300LYH2 307392.74000000 PA USD 314561.40000000 0.190392084411 Long ABS-MBS USGSE US N 2 2039-10-01 Floating 6.20900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617KDJ99 15287.42000000 PA USD 14385.95000000 0.008707269889 Long ABS-MBS USGA US N 2 2049-07-15 Fixed 4.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -2000000.00000000 NC USD -3381.40000000 -0.00204663316 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 97.37500000 USD 2026-06-04 XXXX 8181.10000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BLEX4 3374797.84000000 PA USD 10072.42000000 0.006096453788 Long ABS-MBS USGSE US N 2 2052-02-25 Floating 0.00000000 N N N N N N Gallatin Loan Management, LLC N/A 36361UAL4 374987.77000000 PA USD 375536.00000000 0.227297697084 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 5.02500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FXC5 2303.22000000 PA USD 2283.94000000 0.001382382254 Long ABS-MBS USGA US N 2 2041-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617YD2W1 934593.64000000 PA USD 881305.70000000 0.533420913140 Long ABS-MBS USGA US N 2 2052-03-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XECC6 4654878.96000000 PA USD 4381110.35000000 2.651719923595 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RMB9 238.66000000 PA USD 239.63000000 0.000145038950 Long ABS-MBS USGA US N 2 2065-10-20 Floating 4.47900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LBU97 3756.11000000 PA USD 3884.79000000 0.002351316040 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07384MM25 16808.77000000 PA USD 15285.11000000 0.009251497333 Long ABS-MBS CORP US N 2 2034-05-25 Variable 4.06700000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31351DDT5 102993.69000000 PA USD 101729.83000000 0.061573207585 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 4.13300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417JSB7 1356.95000000 PA USD 1347.12000000 0.000815360641 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9GT1 170.56000000 PA USD 160.48000000 0.000097132457 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B6YF1 111631.01000000 PA USD 97810.67000000 0.059201088687 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FHX7 13451.27000000 PA USD 13338.82000000 0.008073481817 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 4.50000000 N N N N N N Citigroup Global Markets Ltd. XKZZ2JZF41MRHTR1V493 000000000 -1000000.00000000 NC USD -368.30000000 -0.00022291802 N/A DIR US N 2 Citigroup Global Markets Ltd. XKZZ2JZF41MRHTR1V493 Put Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 96.10156250 USD 2026-06-04 XXXX 4514.51000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617B8LV8 67848.26000000 PA USD 62587.18000000 0.037881646183 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WTST4 22933.12000000 PA USD 22684.66000000 0.013730164290 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 6400000.00000000 OU Notional Amount USD 170632.96000000 0.103277658745 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2030-06-21 50532.38000000 USD 0.00000000 USD 6400000.00000000 USD 120100.58000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XWE64 188035.54000000 PA USD 179104.78000000 0.108405330063 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N UMBS, TBA N/A 01F050452 2200000.00000000 PA USD 2214916.00000000 1.340604645187 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419ANB9 690986.59000000 PA USD 669467.82000000 0.405203479181 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128K66P0 31912.46000000 PA USD 32269.53000000 0.019531522557 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379QFL4 323051.96000000 PA USD 202420.71000000 0.122517578142 Long ABS-MBS USGA US N 2 2045-09-20 Floating 0.51500000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2900000.00000000 OU Notional Amount USD -14169.11000000 -0.00857602486 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-05-08 0.00000000 USD 0.00000000 USD 2900000.00000000 USD -14169.11000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5100000.00000000 OU Notional Amount USD 45280.86000000 0.027406787098 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2031-06-10 0.00000000 USD 0.00000000 USD 5100000.00000000 USD 45280.86000000 N N N Countrywide Home Loans N/A 12669DC89 2130.25000000 PA USD 2004.69000000 0.001213362821 Long ABS-MBS CORP US N 2 2033-05-19 Variable 4.22500000 N N N N N N UMBS, TBA N/A 01F022667 8850000.00000000 PA USD 7408689.00000000 4.484198447323 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31295KAW4 6454.90000000 PA USD 6446.44000000 0.003901785624 Long ABS-MBS USGSE US N 2 2027-11-01 Floating 6.19800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FSE7 10108.87000000 PA USD 10024.26000000 0.006067304367 Long ABS-MBS USGA US N 2 2041-04-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179QRQ6 50494.76000000 PA USD 49766.65000000 0.030121865644 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MMWB5 276867.84000000 PA USD 269292.85000000 0.162992748088 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BAGM8 24593.99000000 PA USD 1718.77000000 0.001040306289 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 2.51700000 N N N N N N UMBS, TBA N/A 01F012650 3000000.00000000 PA USD 2298663.00000000 1.391293527845 Long ABS-MBS USGSE US N 2 2056-05-01 Fixed 1.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31395QLQ1 333629.99000000 PA USD 46074.43000000 0.027887104920 Long ABS-MBS USGSE US N 2 2042-07-25 Variable 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179MX39 339103.23000000 PA USD 310869.92000000 0.188157771581 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G8U84 30557.15000000 PA USD 29042.44000000 0.017578287380 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KMUA1 1783.19000000 PA USD 1840.12000000 0.001113754842 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.50000000 N N N N N N Morgan Stanley ReRemic Trust N/A 61759FAU5 72666.15000000 PA USD 63320.84000000 0.038325702754 Long ABS-MBS CORP US N 2 2037-02-26 Floating 2.80700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G9E72 32608.59000000 PA USD 31026.57000000 0.018779206013 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NLQZ5 210012.16000000 PA USD 208188.00000000 0.126008300031 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AWAY9 1342.71000000 PA USD 1335.42000000 0.000808279074 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKGJ1 2197330.36000000 PA USD 1925146.52000000 1.165218169618 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FJQ0 9620.90000000 PA USD 9540.47000000 0.005774484630 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 4.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -500000.00000000 NC USD -428.45000000 -0.00025932453 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Uniform Mortgage-Backed Security, TBA Uniform Mortgage-Backed Security, TBA 1.00000000 97.92187500 USD 2026-06-04 XXXX 1446.55000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202D3G4 22472.18000000 PA USD 22801.22000000 0.013800713637 Long ABS-MBS USGA US N 2 2034-01-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FEGT5 40983.55000000 PA USD 39038.70000000 0.023628644410 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XDG82 143970.21000000 PA USD 139333.11000000 0.084333046713 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQNF5 6041.99000000 PA USD 5633.62000000 0.003409816508 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.50000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2000000.00000000 NC USD 778.00000000 0.000470893891 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Purchased Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 2000000.00000000 OU Notional Amount N/A 778.00000000 0.00000000 DIR US N/A N/A 2033-06-10 0.00000000 N/A 0.00000000 N/A 2000000.00000000 USD 1.00000000 3.31250000 USD 2026-06-08 XXXX -40297.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8LH4 296227.02000000 PA USD 290754.15000000 0.175982458972 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 4.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5500000.00000000 OU Notional Amount USD 76418.65000000 0.046253310359 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2035-09-17 0.00000000 USD -45076.03000000 USD 5500000.00000000 USD 121494.68000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGPY9 122746.22000000 PA USD 104189.09000000 0.063061704386 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A7NX9 3217.48000000 PA USD 3305.48000000 0.002000681670 Long ABS-MBS USGA US N 2 2040-01-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BRBR6 71433.97000000 PA USD 65894.84000000 0.039883647324 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414GGT0 28769.10000000 PA USD 30679.65000000 0.018569228495 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288JU61 71429.98000000 PA USD 73090.49000000 0.044238901345 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398QB71 325244.34000000 PA USD 327811.46000000 0.198411843167 Long ABS-MBS USGSE US N 2 2036-12-15 Floating 4.60400000 N N N N N N CCBCYCUS6 CCPC BARC COC N/A 000000000 1457000.00000000 NS USD 1457000.00000000 0.881866837405 Long STIV CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38383KVE9 506427.25000000 PA USD 507104.24000000 0.306930962500 Long ABS-MBS USGA US N 2 2074-02-20 Floating 4.29000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DV6G5 225780.24000000 PA USD 220109.62000000 0.133224004441 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128K5W65 14285.29000000 PA USD 14444.60000000 0.008742768510 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FTWA5 62623.88000000 PA USD 59814.89000000 0.036203684196 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XW4M0 15725.77000000 PA USD 14978.87000000 0.009066141877 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GYK57 161673.17000000 PA USD 150144.15000000 0.090876559173 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HBXZ3 67253.04000000 PA USD 65342.45000000 0.039549306609 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410LFB3 219021.87000000 PA USD 217068.49000000 0.131383323800 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSUS8 1447199.06000000 PA USD 1407794.81000000 0.852084802203 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GLMB7 21267.59000000 PA USD 19670.02000000 0.011905517041 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PXA97 5430.34000000 PA USD 5406.27000000 0.003272210176 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UKY7 106194.63000000 PA USD 104159.30000000 0.063043673628 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179NTC2 73945.02000000 PA USD 67789.63000000 0.041030491844 Long ABS-MBS USGA US N 2 2043-11-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BGLL1 68915.63000000 PA USD 3700.11000000 0.002239536241 Long ABS-MBS USGSE US N 2 2038-11-15 Floating 2.16900000 N N N N N N Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 000000000 -21287957.00000000 PA USD -21287957.00000000 -12.8847929405 Short RA CORP US N 2 Reverse repurchase N 3.77000000 2026-05-13 21287957.00000000 USD 21328084.80000000 USD AMBS N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296B6S6 40422.92000000 PA USD 41770.23000000 0.025281935914 Long ABS-MBS USGA US N 2 2038-06-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PXWH5 2864.19000000 PA USD 2848.63000000 0.001724167693 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 -1300000.00000000 NC USD -286.91000000 -0.00017365574 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Written Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1300000.00000000 OU Notional Amount N/A -286.91000000 0.00000000 DIR US N/A N/A 2036-05-08 0.00000000 N/A 0.00000000 N/A 1300000.00000000 USD 1.00000000 4.08400000 USD 2026-05-06 XXXX 1045.59000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390XQ52 15551.94000000 PA USD 15869.50000000 0.009605206435 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KXY9 467.86000000 PA USD 482.86000000 0.000292256843 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H050656 6000000.00000000 PA USD 5948778.00000000 3.600569692029 Long ABS-MBS USGA US N 2 2056-05-20 Fixed 5.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1500000.00000000 NC USD 440.25000000 0.000266466626 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1500000.00000000 OU Notional Amount N/A 440.25000000 0.00000000 DIR US N/A N/A 2036-07-02 0.00000000 N/A 0.00000000 N/A 1500000.00000000 USD 1.00000000 4.75000000 USD 2026-06-30 XXXX -2559.75000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RHR0 303491.36000000 PA USD 304281.74000000 0.184170196111 Long ABS-MBS USGA US N 2 2065-09-20 Floating 4.52900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9AH5 28806.65000000 PA USD 29793.55000000 0.018032905774 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBHT0 654539.01000000 PA USD 573461.11000000 0.347094259060 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBW32 6133261.14000000 PA USD 289975.07000000 0.175510911398 Long ABS-MBS USGSE US N 2 2050-10-25 Variable 2.43600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H8ZE8 19463.19000000 PA USD 19011.72000000 0.011507073019 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M96X5 890547.18000000 PA USD 862825.84000000 0.522235754806 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4.00000000 N N N N N N 2026-05-29 PACE SELECT ADVISORS TRUST Rose Ann Bubloski Rose Ann Bubloski Director XXXX