NPORT-P false 0000106444 XXXXXXXX S000002590 C000007105 C000007106 VANGUARD FIXED INCOME SECURITIES FUNDS 811-02368 0000106444 549300F3N7VQKU6I4K64 100 Vanguard Boulevard Malvern 19355 610-669-1000 VANGUARD SHORT-TERM FEDERAL FUND S000002590 K4A6QLIWM1594TB2F156 2027-01-31 2026-07-31 N 4745530613.89 311977408.58 4433553205.31 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 111768269.53000000 0.00000000 0.00000000 27885161.93000000 USD N Bloomberg U.S. 1-5 Year Government Bond Index I00640 Fannie Mae Pool N/A 3140HXKQ2 1900000.00000000 PA USD 1758243.47000000 0.039657660313 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 2.35000000 N N N N N N Fannie Mae Pool N/A 3138LNPH8 1062005.72000000 PA USD 1046795.99000000 0.023610768643 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 3.68000000 N N N N N N Fannie Mae Pool N/A 3140Y7H27 3092521.80000000 PA USD 3036818.06000000 0.068496258404 Long ABS-MBS USGSE US N 2 2055-10-01 Floating 4.55300000 N N N N N N Freddie Mac REMICS N/A 3137H8XP1 14724379.25000000 PA USD 14530771.33000000 0.327745504725 Long ABS-MBS USGSE US N 2 2052-09-25 Floating 4.26610000 N N N N N N Fannie Mae Pool N/A 3140JCYM0 469853.37000000 PA USD 466332.99000000 0.010518267592 Long ABS-MBS USGSE US N 2 2056-01-01 Floating 4.71300000 N N N N N N Fannie Mae-Aces N/A 3136AY7L1 12724873.13000000 PA USD 12511919.83000000 0.282209759319 Long ABS-MBS USGSE US N 2 2027-12-25 Variable 2.98200000 N N N N N N Fannie Mae or Freddie Mac N/A 01F052680 14900000.00000000 PA USD 14752163.69000000 0.332739069699 Long ABS-MBS USGSE US N 2 2026-08-13 Fixed 5.50000000 N N N N N N N/A N/A N/A -42690000.00000000 NC USD -107714.13000000 -0.00242952153 N/A DIR N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Put Written JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2029-06-28 0.00000000 USD 0.00000000 USD 0.00000000 USD -42690000.00000000 4.91000000 USD 2027-06-24 XXXX -33006.63000000 N N N Fannie Mae REMICS N/A 3136BWM29 3071337.79000000 PA USD 3088317.07000000 0.069657832600 Long ABS-MBS USGSE US N 2 2036-07-25 Fixed 5.50000000 N N N N N N Fannie Mae Pool N/A 3140Y9CW2 915226.68000000 PA USD 907400.21000000 0.020466658862 Long ABS-MBS USGSE US N 2 2056-06-01 Floating 4.91400000 N N N N N N Fannie Mae REMICS N/A 3136BVGS1 10085319.44000000 PA USD 10195402.72000000 0.229960085012 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.96610000 N N N N N N N/A N/A N/A 8000000.00000000 NC USD -73770.00000000 -0.00166390244 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2044-05-15 0.00000000 USD 0.00000000 USD 8000000.00000000 USD -73770.00000000 N N N Fannie Mae Pool N/A 3138LKBD8 15500000.00000000 PA USD 15272202.70000000 0.344468691200 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.00000000 N N N N N N Fannie Mae-Aces N/A 3136B8TG4 5143322.16000000 PA USD 4771546.38000000 0.107623528105 Long ABS-MBS USGSE US N 2 2030-01-25 Fixed 2.21000000 N N N N N N Sequoia Mortgage Trust 2026-7 N/A 81750UBD6 8751488.34000000 PA USD 8558684.30000000 0.193043455297 Long ABS-MBS CORP US Y 2 2056-06-25 Floating 5.31610000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383MEK0 7111947.74000000 PA USD 6589104.37000000 0.148619043572 Long ABS-MBS USGA US N 2 2052-02-20 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138LN5B3 3279866.00000000 PA USD 3268520.29000000 0.073722365304 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3.75000000 N N N N N N Ginnie Mae II Pool N/A 3618VV2B8 14554417.00000000 PA USD 14745953.13000000 0.332598988827 Long ABS-MBS USGA US N 2 2066-07-20 Fixed 6.00000000 N N N N N N Freddie Mac Pool N/A 3132XGJC1 3714325.88000000 PA USD 3624602.62000000 0.081753899235 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 1.18000000 N N N N N N N/A N/A N/A -25650000.00000000 NC USD -296154.39000000 -0.00667984292 N/A DIR N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Put Written JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2030-01-24 0.00000000 USD 0.00000000 USD 0.00000000 USD -25650000.00000000 3.85000000 USD 2028-01-20 XXXX -129429.39000000 N N N Fannie Mae-Aces N/A 3136AX3J2 17606658.96000000 PA USD 16854425.02000000 0.380156146537 Long ABS-MBS USGSE US N 2 2029-08-25 Fixed 2.98000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CEV9 40000000.00000000 PA USD 38814062.40000000 0.875461748231 Long DBT UST US N 2 2029-06-30 Fixed 3.25000000 N N N N N N Fannie Mae Pool N/A 3138L0KX8 893914.89000000 PA USD 847130.51000000 0.019107259364 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 2.92000000 N N N N N N Fannie Mae Pool N/A 3140LEWX1 1509773.42000000 PA USD 1420070.38000000 0.032030074169 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 1.70000000 N N N N N N N/A N/A N/A 5400000.00000000 NC USD 21953.38000000 0.000495164464 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2029-06-12 0.00000000 USD 0.00000000 USD 5400000.00000000 USD 21953.38000000 N N N Fannie Mae Pool N/A 3138LE6H9 4384527.36000000 PA USD 4204257.96000000 0.094828183294 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 2.42000000 N N N N N N Fannie Mae Pool N/A 3140HTWL9 1207455.99000000 PA USD 1161512.41000000 0.026198228739 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.08000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381PME0 22096235.30000000 PA USD 22366366.20000000 0.504479480999 Long ABS-MBS USGA US N 2 2055-07-20 Floating 4.97140000 N N N N N N Fannie Mae-Aces N/A 3136B26W7 850804.90000000 PA USD 821303.67000000 0.018524727954 Long ABS-MBS USGSE US N 2 2030-08-25 Variable 3.65410000 N N N N N N Fannie Mae REMICS N/A 3136BKVR0 8427250.55000000 PA USD 7248927.10000000 0.163501524946 Long ABS-MBS USGSE US N 2 2050-04-25 Fixed 2.50000000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BGWV7 998535.67000000 PA USD 976905.89000000 0.022034378403 Long ABS-MBS USGSE US N 2 2055-10-01 Floating 4.55600000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BBUE8 179687.73000000 PA USD 175429.22000000 0.003956853834 Long ABS-MBS USGSE US N 2 2056-06-01 Floating 4.63700000 N N N N N N PMT Loan Trust 2026-J3 N/A 73015NBA6 4127101.17000000 PA USD 4131203.51000000 0.093180420278 Long ABS-MBS CORP US Y 2 2057-06-25 Floating 5.41610000 N N N N N N Fannie Mae Pool N/A 3140HTRT8 344499.74000000 PA USD 331689.52000000 0.007481347457 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 3.14000000 N N N N N N Freddie Mac Pool N/A 3132XGHJ8 4691060.32000000 PA USD 4665638.06000000 0.105234737104 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 2.12000000 N N N N N N Fannie Mae Pool N/A 3140Q2UE6 1490000.00000000 PA USD 1478813.38000000 0.033355038532 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.68000000 N N N N N N Freddie Mac Non Gold Pool N/A 3142AWRY3 450460.49000000 PA USD 448577.29000000 0.010117782943 Long ABS-MBS USGSE US N 2 2055-11-01 Floating 4.96000000 N N N N N N Fannie Mae REMICS N/A 3136G6LG1 10293668.25000000 PA USD 10343027.42000000 0.233289800325 Long ABS-MBS USGSE US N 2 2056-06-25 Floating 5.01610000 N N N N N N Freddie Mac Pool N/A 3132XGLE4 800000.00000000 PA USD 755232.32000000 0.017034470661 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 1.65000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CMN8 35000000.00000000 PA USD 34994531.25000000 0.789311182915 Long DBT UST US N 2 2028-02-15 Fixed 4.25000000 N N N N N N N/A N/A N/A 38.00000000 NC USD 45125.00000000 0.001017806664 N/A DE N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Long N/A US 10YR NOTE (CBT)Sep26 2026-09-21 0.00000000 USD 38.00000000 109.00000000 USD 2026-08-21 XXXX 20149.12000000 N N N Fannie Mae-Aces N/A 3136B1XJ8 6939928.24000000 PA USD 6803930.63000000 0.153464508373 Long ABS-MBS USGSE US N 2 2028-03-25 Variable 3.06700000 N N N N N N N/A N/A N/A 13480000.00000000 NC USD -308998.27000000 -0.00696954013 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2046-06-25 0.00000000 USD 0.00000000 USD 13480000.00000000 USD -308998.27000000 N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CJM4 72750000.00000000 PA USD 72622119.32000000 1.638011679503 Long DBT UST US N 2 2030-11-30 Fixed 4.37500000 N N N N N N Fannie Mae-Aces N/A 3136BTGM9 123854532.99000000 PA USD 122524805.95000000 2.763580367170 Long ABS-MBS USGSE US N 2 2027-07-25 Variable 2.95070000 N N N N N N Ginnie Mae II Pool N/A 3618N6H83 4882194.82000000 PA USD 4800459.07000000 0.108275661702 Long ABS-MBS USGA US N 2 2056-05-20 Floating 4.50000000 N N N N N N N/A N/A N/A -244.00000000 NC USD 623761.52000000 0.014069110961 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A US LONG BOND(CBT) Sep26 2026-09-21 -27052011.52000000 USD 623761.52000000 N N N Freddie Mac Non Gold Pool N/A 3142BBJA9 317244.76000000 PA USD 316248.90000000 0.007133080068 Long ABS-MBS USGSE US N 2 2055-10-01 Floating 5.22400000 N N N N N N Fannie Mae-Aces N/A 3136B0YM2 8884856.03000000 PA USD 8719399.58000000 0.196668432208 Long ABS-MBS USGSE US N 2 2028-01-25 Variable 2.92820000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CJF9 175000000.00000000 PA USD 177078125.00000000 3.994045335644 Long DBT UST US N 2 2028-10-31 Fixed 4.87500000 N N N N N N Fannie Mae Pool N/A 3140BTJF3 552259.61000000 PA USD 551303.26000000 0.012434795173 Long ABS-MBS USGSE US N 2 2055-10-01 Floating 5.11700000 N N N N N N Fannie Mae Pool N/A 3140Q2YQ5 3850000.00000000 PA USD 3827784.73000000 0.086336727061 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 4.72000000 N N N N N N Fannie Mae Pool N/A 3140HTEY1 3224794.84000000 PA USD 3132808.86000000 0.070661357040 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.47000000 N N N N N N Fannie Mae Pool N/A 3140JCXZ2 21498188.78000000 PA USD 21385714.56000000 0.482360616184 Long ABS-MBS USGSE US N 2 2055-12-01 Floating 4.99200000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38385NZQ0 53923788.00000000 PA USD 53602828.22000000 1.209026388942 Long ABS-MBS USGA US N 2 2055-07-20 Floating 4.47140000 N N N N N N Fannie Mae Pool N/A 3138LJPR5 38200000.00000000 PA USD 37656826.56000000 0.849359978693 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 2.87000000 N N N N N N Fannie Mae REMICS N/A 3136B3G61 1709763.31000000 PA USD 1620119.74000000 0.036542241966 Long ABS-MBS USGSE US N 2 2049-02-25 Fixed 3.20000000 N N N N N N Fannie Mae Pool N/A 3140X4ZP4 2437791.58000000 PA USD 2400010.20000000 0.054132883690 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140LDS42 7899450.48000000 PA USD 7429901.61000000 0.167583454307 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 1.53000000 N N N N N N Fannie Mae-Aces N/A 3136AUG21 18579784.43000000 PA USD 18488903.27000000 0.417022248607 Long ABS-MBS USGSE US N 2 2026-10-25 Variable 2.41740000 N N N N N N Fannie Mae Pool N/A 3140LJYV2 8000000.00000000 PA USD 7935510.40000000 0.178987598265 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 4.10000000 N N N N N N Fannie Mae Pool N/A 3140HSZL8 743848.64000000 PA USD 725889.16000000 0.016372627695 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.59000000 N N N N N N Fannie Mae Pool N/A 3138LFKU1 28256673.68000000 PA USD 27015903.36000000 0.609351057919 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 2.47000000 N N N N N N OBX 2026-AHC2 Trust N/A 67124PAD6 1291392.35000000 PA USD 1286239.18000000 0.029011475005 Long ABS-MBS CORP US Y 2 2056-06-25 Variable 5.50000000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BBGY0 13466604.19000000 PA USD 13405433.49000000 0.302363203264 Long ABS-MBS USGSE US N 2 2055-09-01 Floating 5.11500000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382FPB4 16056374.20000000 PA USD 15623959.99000000 0.352402672675 Long ABS-MBS USGA US N 2 2050-05-20 Floating 4.13410000 N N N N N N Fannie Mae Pool N/A 3140Q2YR3 10080000.00000000 PA USD 10035973.58000000 0.226364117340 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 4.72000000 N N N N N N N/A N/A N/A 2700000.00000000 NC USD 10038.56000000 0.000226422454 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2029-06-10 0.00000000 USD 0.00000000 USD 2700000.00000000 USD 10038.56000000 N N N Freddie Mac REMICS N/A 3137B2R51 19172303.70000000 PA USD 18252700.32000000 0.411694626741 Long ABS-MBS USGSE US N 2 2033-06-15 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138LMRD7 550000.00000000 PA USD 539978.18000000 0.012179354910 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 3.48500000 N N N N N N Fannie Mae Pool N/A 31418D5K4 3459610.10000000 PA USD 3284189.53000000 0.074075789280 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.00000000 N N N N N N Freddie Mac Non Gold Pool N/A 3142AWUE3 6840642.68000000 PA USD 6752825.93000000 0.152311827946 Long ABS-MBS USGSE US N 2 2056-03-01 Floating 4.62400000 N N N N N N Freddie Mac REMICS N/A 3137ATTJ1 1452681.53000000 PA USD 1392125.05000000 0.031399759640 Long ABS-MBS USGSE US N 2 2032-09-15 Fixed 3.00000000 N N N N N N N/A N/A N/A -59824000.00000000 NC USD -31019.94000000 -0.00069966319 N/A DIR N/A N 2 BANK OF AMERICA N A B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2030-03-14 0.00000000 USD 0.00000000 USD 0.00000000 USD -59824000.00000000 1.50000000 USD 2028-03-10 XXXX 36282.06000000 N N N Fannie Mae REMICS N/A 3136AK7H0 7947205.96000000 PA USD 7646459.05000000 0.172467966344 Long ABS-MBS USGSE US N 2 2034-10-25 Fixed 3.50000000 N N N N N N N/A N/A N/A -9210000.00000000 NC USD -639220.51000000 -0.01441779269 N/A DIR N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2038-05-24 0.00000000 USD 0.00000000 USD 0.00000000 USD -9210000.00000000 5.32700000 USD 2036-05-21 XXXX -20308.51000000 N N N Fannie Mae Pool N/A 3138LDQZ9 15074616.38000000 PA USD 14584151.68000000 0.328949513057 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 2.68000000 N N N N N N Fannie Mae Pool N/A 3140HV4J0 7142499.35000000 PA USD 6639905.24000000 0.149764871030 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 2.14000000 N N N N N N N/A N/A N/A -42690000.00000000 NC USD -50203.44000000 -0.00113235226 N/A DIR N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Call Written JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2029-06-28 0.00000000 USD 0.00000000 USD 0.00000000 USD -42690000.00000000 2.91000000 USD 2027-06-24 XXXX 24504.06000000 N N N Fannie Mae REMICS N/A 3136AEU21 2932914.48000000 PA USD 2807996.67000000 0.063335129634 Long ABS-MBS USGSE US N 2 2033-06-25 Fixed 3.00000000 N N N N N N Federal Farm Credit Banks Funding Corp 254900C5LP6DN9OP9V83 3133ELA38 20400000.00000000 PA USD 15604306.80000000 0.351959389622 Long DBT USGSE US N 2 2035-05-21 Fixed 1.62500000 N N N N N N Fannie Mae Pool N/A 3140LDM71 6955000.00000000 PA USD 6523059.73000000 0.147129388730 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 1.53000000 N N N N N N Fannie Mae Pool N/A 3140HTLC1 2800000.00000000 PA USD 2694277.60000000 0.060770165039 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.19000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38384UHR3 2036236.16000000 PA USD 2052843.29000000 0.046302439486 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 5.50000000 N N N N N N Fannie Mae Pool N/A 3138LKGR2 13493552.67000000 PA USD 13279857.98000000 0.299530813436 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.98000000 N N N N N N Fannie Mae Pool N/A 3140HT3K3 1316390.37000000 PA USD 1267930.75000000 0.028598523380 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.20500000 N N N N N N Fannie Mae Pool N/A 3140HVYW8 872799.03000000 PA USD 816373.27000000 0.018413521439 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 2.55000000 N N N N N N Fannie Mae Pool N/A 3140LD3P2 2670000.00000000 PA USD 2493027.33000000 0.056230910390 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 1.38500000 N N N N N N Fannie Mae Pool N/A 3140HW4G4 200000.00000000 PA USD 185627.12000000 0.004186870246 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 2.43000000 N N N N N N Fannie Mae Pool N/A 3140QSHH7 2091282.86000000 PA USD 2100722.49000000 0.047382367882 Long ABS-MBS USGSE US N 2 2053-06-01 Floating 5.14900000 N N N N N N Freddie Mac REMICS N/A 3137H8SJ1 27259492.08000000 PA USD 26903156.00000000 0.606808010509 Long ABS-MBS USGSE US N 2 2052-08-25 Floating 4.26610000 N N N N N N Fannie Mae Pool N/A 3138LJ3U2 1659392.98000000 PA USD 1636489.54000000 0.036911467263 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.06000000 N N N N N N Fannie Mae Pool N/A 3138LLKQ7 4463201.97000000 PA USD 4391732.72000000 0.099056727564 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 3.15000000 N N N N N N Fannie Mae REMICS N/A 3136BXSK1 0.01000000 PA USD 0.01000000 0.000000000225 Long ABS-MBS USGSE US N 2 2052-07-25 Fixed 4.50000000 N N N N N N Fannie Mae REMICS N/A 3136BXKK9 20327272.16000000 PA USD 20166316.75000000 0.454856766483 Long ABS-MBS USGSE US N 2 2052-03-25 Fixed 5.00000000 N N N N N N Fannie Mae REMICS N/A 3136BUAK6 2837745.47000000 PA USD 2811739.52000000 0.063419550635 Long ABS-MBS USGSE US N 2 2054-12-25 Fixed 5.50000000 N N N N N N Fannie Mae Pool N/A 3140BQF97 6399835.10000000 PA USD 6435967.93000000 0.145165009462 Long ABS-MBS USGSE US N 2 2055-09-01 Floating 5.40100000 N N N N N N Fannie Mae REMICS N/A 3136G5WN6 31533626.52000000 PA USD 31503562.36000000 0.710571428854 Long ABS-MBS USGSE US N 2 2055-07-25 Floating 4.61610000 N N N N N N N/A N/A N/A 23920000.00000000 NC USD 359111.20000000 0.008099850917 N/A DIR N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Put Purchased JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2029-02-09 0.00000000 USD 0.00000000 USD 0.00000000 USD 23920000.00000000 3.45000000 USD 2027-02-05 XXXX 249677.20000000 N N N N/A N/A N/A 25650000.00000000 NC USD 373541.21000000 0.008425323723 N/A DIR N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Put Purchased JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2030-01-24 0.00000000 USD 0.00000000 USD 0.00000000 USD 25650000.00000000 3.60000000 USD 2028-01-20 XXXX 150386.21000000 N N N Fannie Mae Pool N/A 3140HSBS9 1188565.44000000 PA USD 1172255.35000000 0.026440538676 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.91000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38385LGJ1 23841700.77000000 PA USD 23562953.14000000 0.531468825315 Long ABS-MBS USGA US N 2 2056-01-20 Floating 4.37140000 N N N N N N Fannie Mae Pool N/A 3140LGXE7 97530.79000000 PA USD 95868.65000000 0.002162343510 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 4.67000000 N N N N N N N/A N/A N/A 15700000.00000000 NC USD -216684.54000000 -0.00488737881 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2033-05-31 0.00000000 USD 0.00000000 USD 15700000.00000000 USD -216684.54000000 N N N Fannie Mae Pool N/A 3140Y7YM4 5895098.52000000 PA USD 5843732.17000000 0.131806970603 Long ABS-MBS USGSE US N 2 2055-12-01 Floating 4.85900000 N N N N N N New Issuer: BB Company ID:69419330 N/A 3137F92D2 2997802.08000000 PA USD 2869413.11000000 0.064720394165 Long ABS-MBS CORP US N 2 2027-11-25 Variable 1.10000000 N N N N N N Fannie Mae Pool N/A 3140LDUQ0 1800925.31000000 PA USD 1682893.57000000 0.037958122798 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 1.45500000 N N N N N N Fannie Mae Pool N/A 3140HTRS0 516749.70000000 PA USD 497534.36000000 0.011222022990 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 3.14000000 N N N N N N Freddie Mac Strips N/A 3133Q3QF1 86648608.97000000 PA USD 84271426.91000000 1.900764984822 Long ABS-MBS CORP US N 2 2031-03-25 Fixed 4.00000000 N N N N N N Ginnie Mae II Pool N/A 3618N6BT3 892026.39000000 PA USD 890106.21000000 0.020076587982 Long ABS-MBS USGA US N 2 2056-02-20 Floating 5.00000000 N N N N N N N/A N/A N/A 24320000.00000000 NC USD 342583.92000000 0.007727073616 N/A DIR N/A N 2 BLACKROCK FINANCIAL MANAGEMENT INC 549300LVXYIVJKE13M84 Put Purchased WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2029-01-25 0.00000000 USD 0.00000000 USD 0.00000000 USD 24320000.00000000 3.50000000 USD 2027-01-21 XXXX 223415.92000000 N N N Fannie Mae Pool N/A 3140JCYC2 2073520.59000000 PA USD 2077244.01000000 0.046852804371 Long ABS-MBS USGSE US N 2 2055-12-01 Floating 5.08700000 N N N N N N Fannie Mae Pool N/A 3140LCCX7 3000000.00000000 PA USD 2846830.50000000 0.064211037246 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 1.54000000 N N N N N N Ginnie Mae II Pool N/A 3618H4Y86 1010237.00000000 PA USD 1025110.21000000 0.023121639969 Long ABS-MBS USGA US N 2 2066-06-20 Fixed 6.00000000 N N N N N N Freddie Mac REMICS N/A 3137FGT70 2615309.49000000 PA USD 2594964.21000000 0.058530124481 Long ABS-MBS USGSE US N 2 2046-07-15 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3140JCWU4 2840903.36000000 PA USD 2824986.35000000 0.063718336494 Long ABS-MBS USGSE US N 2 2055-11-01 Floating 4.96700000 N N N N N N Fannie Mae Pool N/A 3140LGTP7 900000.00000000 PA USD 867116.52000000 0.019558049263 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.32000000 N N N N N N Federal Farm Credit Banks Funding Corp 254900C5LP6DN9OP9V83 3133EL6C3 38759000.00000000 PA USD 29603387.78000000 0.667712473700 Long DBT USGSE US N 2 2035-09-10 Fixed 1.73000000 N N N N N N Fannie Mae Pool N/A 3140LHHC7 52664000.00000000 PA USD 51018802.97000000 1.150742995683 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 3.50000000 N N N N N N Freddie Mac Pool N/A 3132XGHN9 5216314.23000000 PA USD 5187512.35000000 0.117005753845 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 2.06000000 N N N N N N Fannie Mae Pool N/A 3138LLRD9 1510000.00000000 PA USD 1478859.27000000 0.033356073594 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 2.96500000 N N N N N N Fannie Mae REMICS N/A 3136G6NQ7 24026491.50000000 PA USD 24045282.62000000 0.542347898096 Long ABS-MBS USGSE US N 2 2056-06-25 Floating 5.01610000 N N N N N N Fannie Mae Pool N/A 3138LEXZ9 2800244.17000000 PA USD 2684936.00000000 0.060559462707 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 2.55000000 N N N N N N Fannie Mae Pool N/A 3138LFC89 20145906.03000000 PA USD 19400592.12000000 0.437585638912 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 2.65000000 N N N N N N Fannie Mae Pool N/A 3138LLWQ4 754328.68000000 PA USD 739640.62000000 0.016682795621 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 2.99000000 N N N N N N N/A N/A N/A 162.00000000 NC USD 3037.50000000 0.000068511639 N/A DE N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Long N/A SOFR 1yr MidCurve Aug26C 2027-12-14 0.00000000 USD 162.00000000 96.12500000 USD 2026-08-14 XXXX -30077.24000000 N N N Freddie Mac Pool N/A 3132XFFF0 13200000.00000000 PA USD 12690967.08000000 0.286248218805 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 1.05000000 N N N N N N Fannie Mae REMICS N/A 3136ABJU8 2808800.29000000 PA USD 2624397.50000000 0.059194000352 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 1.75000000 N N N N N N N/A N/A N/A 50.00000000 NC USD 20312.50000000 0.000458153969 N/A DE N/A N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Purchased MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Long N/A US 5YR FUTR OPTN Sep26P 2026-09-30 0.00000000 USD 50.00000000 106.00000000 USD 2026-08-21 XXXX 730.50000000 N N N PMT Loan Trust 2026-INV7 N/A 69384QAH6 8500000.00000000 PA USD 8467196.89000000 0.190979931849 Long ABS-MBS CORP US Y 2 2057-07-25 Variable 5.50000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CQA2 40000000.00000000 PA USD 39212500.00000000 0.884448616812 Long DBT UST US N 2 2029-02-15 Fixed 3.50000000 N N N N N N N/A N/A N/A 25110000.00000000 NC USD 128152.90000000 0.002890523561 N/A DIR N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2029-06-28 0.00000000 USD 0.00000000 USD 0.00000000 USD 25110000.00000000 3.91000000 USD 2027-06-24 XXXX -51383.60000000 N N N Fannie Mae Pool N/A 3140HU7G5 9525054.32000000 PA USD 9017478.46000000 0.203391682526 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 2.74000000 N N N N N N Fannie Mae-Aces N/A 3136B6XJ7 10995649.15000000 PA USD 10375658.37000000 0.234025800289 Long ABS-MBS USGSE US N 2 2029-08-25 Fixed 2.52200000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381QA92 8032882.61000000 PA USD 7939670.65000000 0.179081433837 Long ABS-MBS USGA US N 2 2038-04-20 Fixed 5.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CGC9 100000000.00000000 PA USD 99492187.00000000 2.244073373943 Long DBT UST US N 2 2027-12-31 Fixed 3.87500000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BBHR4 8341520.73000000 PA USD 8343420.09000000 0.188188112415 Long ABS-MBS USGSE US N 2 2055-09-01 Floating 5.29700000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BBHQ6 710425.11000000 PA USD 710260.72000000 0.016020123975 Long ABS-MBS USGSE US N 2 2055-09-01 Floating 5.29200000 N N N N N N Freddie Mac REMICS N/A 3137FYP34 6057463.40000000 PA USD 5662043.70000000 0.127708937680 Long ABS-MBS USGSE US N 2 2031-04-25 Fixed 1.00000000 N N N N N N N/A N/A N/A 32000000.00000000 NC USD 517820.23000000 0.011679576313 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2036-02-15 -4783.71000000 USD 0.00000000 USD 32000000.00000000 USD 522603.94000000 N N N Sequoia Mortgage Trust 2026-7 N/A 81750UAB1 1573301.28000000 PA USD 1509017.76000000 0.034036306549 Long ABS-MBS CORP US Y 2 2056-06-25 Variable 5.00000000 N N N N N N Fannie Mae Pool N/A 3140Q3ES1 2430000.00000000 PA USD 2429336.37000000 0.054794343441 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 4.88000000 N N N N N N Fannie Mae Pool N/A 3138LKS65 10000000.00000000 PA USD 9828978.00000000 0.221695275658 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.88000000 N N N N N N Fannie Mae Pool N/A 3140LEWK9 22261529.78000000 PA USD 20952139.99000000 0.472581223676 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 1.99000000 N N N N N N Fannie Mae Pool N/A 3138LKZ34 4140000.00000000 PA USD 4067580.22000000 0.091745379645 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 2.93000000 N N N N N N Fannie Mae-Aces N/A 3136BQDE6 3616433.39000000 PA USD 3587219.84000000 0.080910720451 Long ABS-MBS USGSE US N 2 2028-07-25 Variable 4.17200000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383MTP3 16676986.78000000 PA USD 15350914.51000000 0.346244057511 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.25000000 N N N N N N Ginnie Mae II Pool N/A 3618N6DN4 3069696.78000000 PA USD 3064833.46000000 0.069128153381 Long ABS-MBS USGA US N 2 2056-03-20 Floating 5.00000000 N N N N N N Fannie Mae-Aces N/A 3136B1LF9 8652326.61000000 PA USD 8261387.67000000 0.186337848841 Long ABS-MBS USGSE US N 2 2030-02-25 Variable 3.07420000 N N N N N N Fannie Mae Pool N/A 3140HSL25 10473011.44000000 PA USD 10234538.87000000 0.230842811534 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.66000000 N N N N N N Chase Home Lending Mortgage Trust Series 2026-HYB1 N/A 16162VAE1 3000000.00000000 PA USD 2990395.20000000 0.067449178153 Long ABS-MBS CORP US Y 2 2057-03-25 Variable 5.37500000 N N N N N N Fannie Mae Pool N/A 3140LDWG0 4000000.00000000 PA USD 3736125.60000000 0.084269330421 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 1.40000000 N N N N N N Ginnie Mae II Pool N/A 36179TH24 21369136.27000000 PA USD 20608711.28000000 0.464835095591 Long ABS-MBS USGA US N 2 2032-10-20 Fixed 3.00000000 N N N N N N Radian Mortgage Capital Trust 2025-J3 N/A 75024RAX2 1003188.06000000 PA USD 999690.14000000 0.022548283367 Long ABS-MBS CORP US Y 2 2055-12-25 Variable 5.50000000 N N N N N N N/A N/A N/A 860000.00000000 NC USD 36623.13000000 0.000826044671 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2056-07-20 0.00000000 USD 0.00000000 USD 860000.00000000 USD 36623.13000000 N N N Ginnie Mae II Pool N/A 3618N6BR7 6322413.18000000 PA USD 6220906.20000000 0.140314233571 Long ABS-MBS USGA US N 2 2056-02-20 Floating 4.50000000 N N N N N N Fannie Mae REMICS N/A 3136G5ZX1 48636332.90000000 PA USD 47800473.75000000 1.078152703631 Long ABS-MBS USGSE US N 2 2032-08-25 Fixed 4.50000000 N N N N N N PMT Loan Trust 2026-INV6 N/A 69393NAH2 8276611.26000000 PA USD 8237812.99000000 0.185806115513 Long ABS-MBS CORP US Y 2 2057-06-25 Variable 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38385S2N2 25124476.79000000 PA USD 25226349.01000000 0.568987172180 Long ABS-MBS USGA US N 2 2055-05-20 Floating 4.87140000 N N N N N N N/A N/A N/A 37390000.00000000 NC USD 59552.55000000 0.001343223984 N/A DIR N/A N 2 BANK OF AMERICA N A B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2030-03-14 0.00000000 USD 0.00000000 USD 0.00000000 USD 37390000.00000000 2.50000000 USD 2028-03-10 XXXX -82529.45000000 N N N N/A N/A N/A 2358.00000000 NC USD -844111.60000000 -0.01903916702 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Long N/A CBOT 2 Year US Treasury Note Future 2026-09-30 485671020.21000000 USD -844111.60000000 N N N N/A N/A N/A 12000000.00000000 NC USD 111222.34000000 0.002508650169 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2030-11-30 0.00000000 USD 0.00000000 USD 12000000.00000000 USD 111222.34000000 N N N Ginnie Mae II Pool N/A 3618W3SV7 800000.00000000 PA USD 810028.00000000 0.018270402146 Long ABS-MBS USGA US N 2 2066-07-20 Fixed 6.00000000 N N N N N N N/A N/A N/A 15000000.00000000 NC USD -126071.52000000 -0.00284357746 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2033-05-31 0.00000000 USD 0.00000000 USD 15000000.00000000 USD -126071.52000000 N N N Fannie Mae REMICS N/A 3136BS5Q4 0.01000000 PA USD 0.01000000 0.000000000225 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 4.50000000 N N N N N N Fannie Mae REMICS N/A 3136A8RL6 831105.60000000 PA USD 783025.39000000 0.017661350924 Long ABS-MBS USGSE US N 2 2042-02-25 Fixed 2.00000000 N N N N N N Fannie Mae REMICS N/A 3136A9KB3 3559615.50000000 PA USD 3324981.31000000 0.074995858987 Long ABS-MBS USGSE US N 2 2032-10-25 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136G43S0 44326000.00000000 PA USD 33547290.91000000 0.756668282898 Long DBT USGSE US N 2 2035-09-14 Fixed 1.63000000 N N N N N N Fannie Mae Pool N/A 3140W47F8 2878106.95000000 PA USD 2787049.98000000 0.062862671336 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 2.00000000 N N N N N N Fannie Mae Pool N/A 31418D6P2 3503791.10000000 PA USD 3323500.03000000 0.074962448313 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N N/A N/A N/A -1181.00000000 NC USD 1105957.55000000 0.024945173741 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A US 10YR NOTE (CBT)Sep26 2026-09-21 -128653957.55000000 USD 1105957.55000000 N N N N/A N/A N/A 35.00000000 NC USD 37187.50000000 0.000838774190 N/A DE N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Long N/A US LONG BOND(CBT) Sep26 2026-09-21 0.00000000 USD 35.00000000 109.00000000 USD 2026-08-07 XXXX 17623.90000000 N N N Fannie Mae Pool N/A 3140Y9H64 1146377.24000000 PA USD 1133638.01000000 0.025569514055 Long ABS-MBS USGSE US N 2 2056-06-01 Floating 4.60600000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38385BRH5 5087240.24000000 PA USD 4973116.65000000 0.112170000442 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3140Y8KU9 11899355.69000000 PA USD 11565288.42000000 0.260858230056 Long ABS-MBS USGSE US N 2 2056-02-01 Floating 4.30400000 N N N N N N Fannie Mae Pool N/A 3140LHJF8 7474000.00000000 PA USD 7216498.28000000 0.162770084079 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 3.47000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CFC0 75000000.00000000 PA USD 71428710.75000000 1.611094024189 Long DBT UST US N 2 2029-07-31 Fixed 2.62500000 N N N N N N N/A N/A N/A -162.00000000 NC USD -1012.50000000 -0.00002283721 N/A DE N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Short N/A SOFR 2yr MidCurve Aug26C 2028-12-19 0.00000000 USD -162.00000000 96.31250000 USD 2026-08-14 XXXX 22335.26000000 N N N Fannie Mae Pool N/A 3140LGXS6 1486697.62000000 PA USD 1449990.61000000 0.032704933105 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 4.04000000 N N N N N N Fannie Mae Pool N/A 3140BY2F0 129459.67000000 PA USD 128246.68000000 0.002892638794 Long ABS-MBS USGSE US N 2 2056-05-01 Floating 5.11500000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CBP5 45000000.00000000 PA USD 42874804.80000000 0.967052898985 Long DBT UST US N 2 2028-02-29 Fixed 1.12500000 N N N N N N Fannie Mae-Aces N/A 3136AY2H5 3744628.50000000 PA USD 3666183.78000000 0.082691773623 Long ABS-MBS USGSE US N 2 2027-11-25 Variable 2.77620000 N N N N N N Fannie Mae REMICS N/A 3136G6NT1 16530226.15000000 PA USD 16621841.62000000 0.374910164607 Long ABS-MBS USGSE US N 2 2056-06-25 Floating 5.06610000 N N N N N N Fannie Mae Pool N/A 3140Y7FT0 1777698.34000000 PA USD 1743586.44000000 0.039327067010 Long ABS-MBS USGSE US N 2 2055-09-01 Floating 4.52200000 N N N N N N Fannie Mae Pool N/A 3138LKME4 5643000.00000000 PA USD 5552241.37000000 0.125232316223 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.97500000 N N N N N N Fannie Mae Pool N/A 3138LL4D4 3699584.15000000 PA USD 3618333.51000000 0.081612497751 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 2.89000000 N N N N N N Fannie Mae REMICS N/A 3136ALY88 7479071.61000000 PA USD 7154868.81000000 0.161380014599 Long ABS-MBS USGSE US N 2 2043-06-25 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137F72C8 37111000.00000000 PA USD 35621961.95000000 0.803463053230 Long ABS-MBS USGSE US N 2 2027-10-25 Fixed 1.07000000 N N N N N N Fannie Mae Pool N/A 3140JBGE0 5104910.28000000 PA USD 4462786.59000000 0.100659366953 Long ABS-MBS USGSE US N 2 2030-12-01 Variable 1.38230000 N N N N N N Fannie Mae-Aces N/A 3136AY6U2 53644260.63000000 PA USD 53000068.16000000 1.195430971630 Long ABS-MBS USGSE US N 2 2027-11-25 Variable 3.17790000 N N N N N N Chase Home Lending Mortgage Trust 2024-9 N/A 16160QAD6 13423186.31000000 PA USD 13391742.50000000 0.302054399256 Long ABS-MBS CORP US Y 2 2055-09-25 Variable 5.50000000 N N N N N N Fannie Mae Pool N/A 3138LKZ26 2070000.00000000 PA USD 2033790.11000000 0.045872689822 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 2.93000000 N N N N N N Fannie Mae Pool N/A 3140BT5U5 3783409.40000000 PA USD 3724748.02000000 0.084012706006 Long ABS-MBS USGSE US N 2 2055-11-01 Floating 4.63000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CPC9 90000000.00000000 PA USD 88484765.40000000 1.995797981944 Long DBT UST US N 2 2028-10-15 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3140HU5F9 300000.00000000 PA USD 285358.86000000 0.006436346803 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 2.94000000 N N N N N N Fannie Mae Pool N/A 3140Q3ER3 2560000.00000000 PA USD 2559300.86000000 0.057725727909 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 4.88000000 N N N N N N Fannie Mae Pool N/A 3138LJ4D9 2207381.93000000 PA USD 2182047.59000000 0.049216677661 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 3.23000000 N N N N N N Fannie Mae-Aces N/A 3136B1K86 60894810.89000000 PA USD 59679313.93000000 1.346083179029 Long ABS-MBS USGSE US N 2 2028-03-25 Variable 3.03130000 N N N N N N N/A N/A N/A -35.00000000 NC USD -15312.50000000 -0.00034537760 N/A DE N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Short N/A US LONG BOND(CBT) Sep26 2026-09-21 0.00000000 USD -35.00000000 107.50000000 USD 2026-08-07 XXXX -8273.65000000 N N N Fannie Mae or Freddie Mac N/A 01F052680 -14900000.00000000 PA USD -14752163.69000000 -0.33273906969 Short ABS-MBS USGSE US N 2 2026-08-13 Fixed 5.50000000 N N N N N N N/A N/A N/A 25110000.00000000 NC USD 242422.24000000 0.005467899645 N/A DIR N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Put Purchased JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2029-06-28 0.00000000 USD 0.00000000 USD 0.00000000 USD 25110000.00000000 3.91000000 USD 2027-06-24 XXXX 62885.74000000 N N N Fannie Mae Pool N/A 3138LEVK4 4100000.00000000 PA USD 4082962.86000000 0.092092339280 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 2.12000000 N N N N N N Fannie Mae Pool N/A 3138EK3D5 2910121.27000000 PA USD 2848504.11000000 0.064248785975 Long ABS-MBS USGSE US N 2 2028-04-01 Variable 3.22000000 N N N N N N Sequoia Mortgage Trust 2026-INV1 N/A 816942AE6 29489396.99000000 PA USD 28687073.07000000 0.647044745863 Long ABS-MBS CORP US Y 2 2056-01-25 Variable 4.50000000 N N N N N N Fannie Mae Pool N/A 3140LDTY5 390000.00000000 PA USD 363545.21000000 0.008199861221 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 1.33000000 N N N N N N Radian Mortgage Capital Trust 2025-J2 N/A 75023XAX0 1515594.62000000 PA USD 1510157.12000000 0.034062005124 Long ABS-MBS CORP US Y 2 2055-11-25 Variable 5.50000000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BBHS2 774384.95000000 PA USD 773912.58000000 0.017455809012 Long ABS-MBS USGSE US N 2 2055-09-01 Floating 5.28200000 N N N N N N Fannie Mae Pool N/A 3140J8K85 292456.76000000 PA USD 282684.23000000 0.006376019795 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.00000000 N N N N N N Fannie Mae-Aces N/A 3136B4QB7 5157613.59000000 PA USD 4972947.30000000 0.112166180706 Long ABS-MBS USGSE US N 2 2029-04-25 Fixed 3.14300000 N N N N N N EFMT 2026-AE4 N/A 26847AAA7 14717485.01000000 PA USD 14503625.24000000 0.327133217272 Long ABS-MBS CORP US Y 2 2061-06-25 Variable 5.50000000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BBPG9 2470219.65000000 PA USD 2418735.58000000 0.054555239736 Long ABS-MBS USGSE US N 2 2056-01-01 Floating 4.59100000 N N N N N N Freddie Mac REMICS N/A 3137HPZM8 13070682.27000000 PA USD 12754624.02000000 0.287684018423 Long ABS-MBS USGSE US N 2 2048-12-15 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3138LKQ67 2549214.21000000 PA USD 2503722.46000000 0.056472141960 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.77000000 N N N N N N Fannie Mae Pool N/A 3138LJX54 816101.56000000 PA USD 782963.51000000 0.017659955203 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.04000000 N N N N N N Freddie Mac Non Gold Pool N/A 31288RJT6 1078337.17000000 PA USD 1073882.13000000 0.024221703908 Long ABS-MBS USGSE US N 2 2055-12-01 Floating 5.12600000 N N N N N N Fannie Mae Pool N/A 31377U6U2 753681.60000000 PA USD 739519.62000000 0.016680066433 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 3.63000000 N N N N N N Fannie Mae Pool N/A 3138LLL45 2446148.28000000 PA USD 2400859.80000000 0.054152046650 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 2.97000000 N N N N N N Fannie Mae Pool N/A 3140HWWS7 1600000.00000000 PA USD 1487068.96000000 0.033541245387 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 2.37000000 N N N N N N Fannie Mae-Aces N/A 3136B3J50 3697260.15000000 PA USD 3625537.00000000 0.081774974430 Long ABS-MBS USGSE US N 2 2028-11-25 Variable 3.62610000 N N N N N N Fannie Mae-Aces N/A 3136B8M97 5372043.36000000 PA USD 4899409.91000000 0.110507524847 Long ABS-MBS USGSE US N 2 2030-02-25 Fixed 1.82100000 N N N N N N N/A N/A N/A 40050000.00000000 NC USD 560108.95000000 0.012633409909 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2036-06-30 0.00000000 USD 0.00000000 USD 40050000.00000000 USD 560108.95000000 N N N Provident Funding Mortgage Trust 2026-3 N/A 74391JAD2 7000000.00000000 PA USD 6865779.20000000 0.154859519713 Long ABS-MBS CORP US Y 2 2056-08-25 Variable 5.00000000 N N N N N N Fannie Mae Pool N/A 3138LKVA2 3037709.45000000 PA USD 2982397.01000000 0.067268776800 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 2.87500000 N N N N N N Fannie Mae REMICS N/A 3136G5QK9 8804287.56000000 PA USD 8841526.17000000 0.199423030706 Long ABS-MBS USGSE US N 2 2056-04-25 Floating 4.91610000 N N N N N N Fannie Mae Pool N/A 31377U6E8 600000.00000000 PA USD 587945.58000000 0.013261272680 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 3.65000000 N N N N N N Freddie Mac REMICS N/A 3137HRVA4 34855057.97000000 PA USD 34102896.28000000 0.769200113334 Long ABS-MBS USGSE US N 2 2052-12-25 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3140LDTV1 6790000.00000000 PA USD 6359690.54000000 0.143444552157 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 1.47000000 N N N N N N Fannie Mae REMICS N/A 31393ETS8 3312840.80000000 PA USD 3359971.92000000 0.075785081725 Long ABS-MBS USGSE US N 2 2033-09-25 Fixed 5.50000000 N N N N N N Fannie Mae-Aces N/A 3136AVKR9 17193480.40000000 PA USD 17069816.29000000 0.385014355293 Long ABS-MBS USGSE US N 2 2027-02-25 Variable 2.86330000 N N N N N N Fannie Mae Pool N/A 3140JCYW8 2586180.31000000 PA USD 2591841.20000000 0.058459684139 Long ABS-MBS USGSE US N 2 2055-08-01 Floating 4.99600000 N N N N N N Fannie Mae Pool N/A 3140LBXD0 340000.00000000 PA USD 298763.58000000 0.006738693913 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 1.78000000 N N N N N N Fannie Mae Pool N/A 3138LKMY0 8234751.40000000 PA USD 8104941.25000000 0.182809157230 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.98000000 N N N N N N Fannie Mae Pool N/A 3140HVH49 2000000.00000000 PA USD 1860224.00000000 0.041957858941 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 2.29000000 N N N N N N N/A N/A N/A -47830000.00000000 NC USD -496674.37000000 -0.01120262568 N/A DIR N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Put Written JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2029-02-09 0.00000000 USD 0.00000000 USD 0.00000000 USD -47830000.00000000 3.75000000 USD 2027-02-05 XXXX -375903.62000000 N N N Ginnie Mae II Pool N/A 3618N5ZV4 2643192.69000000 PA USD 2603145.15000000 0.058714647810 Long ABS-MBS USGA US N 2 2055-11-20 Floating 4.50000000 N N N N N N Vanguard Cmt Funds-Vanguard Market Liquidity Fund 1I6HV0TLSTR3A4XQ6L78 N/A 29076780.71000000 NS USD 29073873.03000000 0.655769124303 Long STIV CORP US N 1 N N N Fannie Mae-Aces N/A 3136B56M2 2154531.23000000 PA USD 2034019.90000000 0.045877872798 Long ABS-MBS USGSE US N 2 2029-08-25 Fixed 2.46900000 N N N N N N Fannie Mae Pool N/A 3138LHW91 800000.00000000 PA USD 793589.20000000 0.017899620535 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3.29000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GWDT0 21800000.00000000 PA USD 16635819.80000000 0.375225446264 Long DBT USGSE US N 2 2035-07-27 Fixed 1.67000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380UDY6 3375064.00000000 PA USD 3307321.07000000 0.074597527464 Long ABS-MBS USGA US N 2 2038-03-20 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 3136BMBL1 7687874.64000000 PA USD 7031368.59000000 0.158594433502 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138LM6U2 868868.21000000 PA USD 851758.80000000 0.019211651705 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 3.44000000 N N N N N N Ginnie Mae II Pool N/A 3618N56T1 18699078.81000000 PA USD 18398861.36000000 0.414991328805 Long ABS-MBS USGA US N 2 2056-01-20 Floating 4.50000000 N N N N N N Sequoia Mortgage Trust 2026-HYB2 N/A 81751JAB5 7687314.73000000 PA USD 7554879.21000000 0.170402358112 Long ABS-MBS CORP US Y 2 2056-07-25 Variable 4.62910000 N N N N N N N/A N/A N/A 100.00000000 NC USD 16406.30000000 0.000370048564 N/A DE N/A N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Purchased MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Long N/A US 5YR FUTR OPTN Sep26P 2026-09-30 0.00000000 USD 100.00000000 106.50000000 USD 2026-08-21 XXXX -26272.70000000 N N N N/A N/A N/A -50.00000000 NC USD -8593.75000000 -0.00019383437 N/A DE N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Short N/A US 10YR FUT OPTN Nov26C 2026-12-21 0.00000000 USD -50.00000000 111.00000000 USD 2026-10-23 XXXX 3855.75000000 N N N Fannie Mae Pool N/A 3138LJBT6 2818959.90000000 PA USD 2786913.40000000 0.062859590737 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 3.00000000 N N N N N N Freddie Mac Non Gold Pool N/A 31288RHZ4 540906.64000000 PA USD 541122.52000000 0.012205165810 Long ABS-MBS USGSE US N 2 2055-11-01 Floating 5.18200000 N N N N N N Ginnie Mae II Pool N/A 36179SZV2 12586244.14000000 PA USD 12175208.87000000 0.274615151915 Long ABS-MBS USGA US N 2 2032-04-20 Fixed 3.00000000 N N N N N N Ginnie Mae II Pool N/A 3618N5V22 1911948.69000000 PA USD 1884883.72000000 0.042514065642 Long ABS-MBS USGA US N 2 2055-09-20 Floating 4.50000000 N N N N N N Fannie Mae Pool N/A 3140UHQ86 179780.18000000 PA USD 179272.80000000 0.004043546827 Long ABS-MBS USGSE US N 2 2056-06-01 Floating 5.14600000 N N N N N N Freddie Mac REMICS N/A 3137HMAR1 25507338.32000000 PA USD 25407048.57000000 0.573062899968 Long ABS-MBS USGSE US N 2 2036-05-25 Fixed 5.25000000 N N N N N N Freddie Mac Non Gold Pool N/A 31288RKJ6 14142468.28000000 PA USD 14023080.39000000 0.316294397306 Long ABS-MBS USGSE US N 2 2056-02-01 Floating 4.96800000 N N N N N N Ginnie Mae II Pool N/A 3618N6FY8 19785992.56000000 PA USD 19454800.77000000 0.438808329777 Long ABS-MBS USGA US N 2 2056-04-20 Floating 4.50000000 N N N N N N N/A N/A N/A 100.00000000 NC USD 68750.00000000 0.001550674973 N/A DE N/A N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Purchased MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Long N/A US 5YR FUTR OPTN Sep26P 2026-09-30 0.00000000 USD 100.00000000 106.50000000 USD 2026-08-21 XXXX 25290.00000000 N N N Fannie Mae Pool N/A 3138LKQF7 1900000.00000000 PA USD 1817578.19000000 0.040995971083 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 3.18000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CPR6 20000000.00000000 PA USD 19372656.20000000 0.436955536629 Long DBT UST US N 2 2030-12-31 Fixed 3.62500000 N N N N N N Freddie Mac REMICS N/A 3137FDDJ8 1447165.50000000 PA USD 1391675.24000000 0.031389614053 Long ABS-MBS USGSE US N 2 2046-07-15 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137FLYH1 2612555.36000000 PA USD 2536911.43000000 0.057220728217 Long ABS-MBS USGSE US N 2 2030-10-25 Fixed 3.27900000 N N N N N N Fannie Mae-Aces N/A 3136B9WE3 5500000.00000000 PA USD 4993885.05000000 0.112638437360 Long ABS-MBS USGSE US N 2 2029-10-25 Fixed 1.43500000 N N N N N N Fannie Mae REMICS N/A 3136BMNF1 13850925.19000000 PA USD 12933765.40000000 0.291724601038 Long ABS-MBS USGSE US N 2 2049-11-25 Fixed 2.50000000 N N N N N N Freddie Mac REMICS N/A 3137HMB90 7033462.40000000 PA USD 7009300.35000000 0.158096678339 Long ABS-MBS USGSE US N 2 2036-05-25 Fixed 5.25000000 N N N N N N Freddie Mac REMICS N/A 3137AWXK6 1228199.21000000 PA USD 1174250.44000000 0.026485538474 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 3.00000000 N N N N N N Ginnie Mae II Pool N/A 36179TKV6 26992068.27000000 PA USD 26031968.50000000 0.587158139183 Long ABS-MBS USGA US N 2 2032-11-20 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140Q2UG1 910000.00000000 PA USD 903167.90000000 0.020371197957 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.68000000 N N N N N N Fannie Mae Pool N/A 3140HTBW8 1138541.39000000 PA USD 1107662.78000000 0.024983635668 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.48000000 N N N N N N Fannie Mae Pool N/A 3140LHLW8 2733200.75000000 PA USD 2652474.57000000 0.059827286313 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 3.62000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38385MP42 37869978.65000000 PA USD 37212347.54000000 0.839334633346 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 4.50000000 N N N N N N Chase Home Lending Mortgage Trust 2026-AGY1 N/A 16160FAJ7 22925778.82000000 PA USD 22545786.33000000 0.508526350896 Long ABS-MBS CORP US Y 2 2057-02-25 Variable 5.00000000 N N N N N N OBX 2026-INV5 Trust N/A 67125FAE5 3500000.00000000 PA USD 3491100.59000000 0.078742724589 Long ABS-MBS CORP US Y 2 2056-08-25 Variable 5.50000000 N N N N N N Fannie Mae Pool N/A 3140LFQD9 9100000.00000000 PA USD 8143975.84000000 0.183689593038 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 2.63000000 N N N N N N Fannie Mae Pool N/A 3138LJTY6 3688986.49000000 PA USD 3628515.52000000 0.081842155760 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 2.82000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CHW4 45000000.00000000 PA USD 44514843.75000000 1.004044424158 Long DBT UST US N 2 2030-08-31 Fixed 4.12500000 N N N N N N Freddie Mac REMICS N/A 3137FVAY8 5352699.23000000 PA USD 5204902.10000000 0.117397984392 Long ABS-MBS USGSE US N 2 2050-08-25 Floating 4.08060000 N N N N N N N/A N/A N/A 6714.00000000 NC USD -5629345.75000000 -0.12697142651 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Long N/A US 5YR FUTR OPTN Sep26P 2026-09-30 717155989.73000000 USD -5629345.75000000 N N N Fannie Mae Pool N/A 3140USCJ3 1200000.00000000 PA USD 1201602.36000000 0.027102468479 Long ABS-MBS USGSE US N 2 2056-08-01 Floating 5.28400000 N N N N N N Fannie Mae Pool N/A 3140Q2UH9 1010000.00000000 PA USD 1002417.12000000 0.022609791144 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.68000000 N N N N N N Fannie Mae-Aces N/A 3136BCFX3 2511268.58000000 PA USD 2258465.45000000 0.050940303305 Long ABS-MBS USGSE US N 2 2030-05-25 Fixed 1.32300000 N N N N N N Fannie Mae Pool N/A 3138LJ6U9 8519689.26000000 PA USD 8397735.87000000 0.189413219625 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.01000000 N N N N N N Fannie Mae Pool N/A 3138LLQP3 15652356.37000000 PA USD 15339770.99000000 0.345992712383 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 3.03000000 N N N N N N Fannie Mae Pool N/A 3140U6SP0 2907081.84000000 PA USD 2874282.40000000 0.064830222327 Long ABS-MBS USGSE US N 2 2056-03-01 Floating 4.59200000 N N N N N N Fannie Mae Pool N/A 3138LKLC9 7951866.83000000 PA USD 7825830.54000000 0.176513739152 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.98000000 N N N N N N N/A N/A N/A 6000000.00000000 NC USD -26132.25000000 -0.00058942001 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2036-02-15 0.00000000 USD 0.00000000 USD 6000000.00000000 USD -26132.25000000 N N N Fannie Mae or Freddie Mac N/A 01F060683 42600000.00000000 PA USD 43087569.78000000 0.971851871054 Long ABS-MBS USGSE US N 2 2026-08-13 Fixed 6.00000000 N N N N N N Fannie Mae Pool N/A 3138LEXA4 11713160.68000000 PA USD 11210049.97000000 0.252845730069 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 2.38000000 N N N N N N N/A N/A N/A 9210000.00000000 NC USD 213258.75000000 0.004810109186 N/A DIR N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2046-05-23 0.00000000 USD 0.00000000 USD 0.00000000 USD 9210000.00000000 4.85600000 USD 2028-05-22 XXXX -413.25000000 N N N Fannie Mae Pool N/A 3140J5WD7 301074.18000000 PA USD 294303.92000000 0.006638105067 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 3.50000000 N N N N N N Fannie Mae-Aces N/A 3136B4KB3 14448995.26000000 PA USD 14033478.28000000 0.316528924547 Long ABS-MBS USGSE US N 2 2029-02-25 Fixed 3.27300000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38385C2K3 5197028.28000000 PA USD 5012880.42000000 0.113066883103 Long ABS-MBS USGA US N 2 2055-02-20 Fixed 4.50000000 N N N N N N PMT Loan Trust 2026-CNF6 N/A 69292FAE8 6700000.00000000 PA USD 6672692.14000000 0.150504388489 Long ABS-MBS CORP US Y 2 2057-07-25 Variable 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38384X3Y7 4514073.63000000 PA USD 4483963.40000000 0.101137015670 Long ABS-MBS USGA US N 2 2052-07-20 Fixed 5.00000000 N N N N N N Freddie Mac Non Gold Pool N/A 31288RGG7 3438887.59000000 PA USD 3426492.12000000 0.077285462953 Long ABS-MBS USGSE US N 2 2055-08-01 Floating 5.14200000 N N N N N N Fannie Mae Pool N/A 3140JBVN3 22701608.36000000 PA USD 21624428.39000000 0.487744871632 Long ABS-MBS USGSE US N 2 2029-11-01 Variable 2.85690000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381PZT3 4421444.53000000 PA USD 4476103.75000000 0.100959739123 Long ABS-MBS USGA US N 2 2055-07-20 Floating 4.97140000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CKG5 105000000.00000000 PA USD 104450390.10000000 2.355906995204 Long DBT UST US N 2 2029-03-31 Fixed 4.12500000 N N N N N N N/A N/A N/A 54000000.00000000 NC USD 498222.22000000 0.011237537860 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2030-11-30 0.00000000 USD 6564.44000000 USD 54000000.00000000 USD 491657.78000000 N N N Fannie Mae REMICS N/A 3136G6LE6 8987616.99000000 PA USD 9030663.18000000 0.203689067477 Long ABS-MBS USGSE US N 2 2056-06-25 Floating 5.01610000 N N N N N N Fannie Mae Pool N/A 3140LCNL1 700000.00000000 PA USD 658528.57000000 0.014853291243 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 1.23000000 N N N N N N Fannie Mae-Aces N/A 3136B27L0 2896858.60000000 PA USD 2841874.78000000 0.064099259632 Long ABS-MBS USGSE US N 2 2028-08-25 Variable 3.57740000 N N N N N N Fannie Mae Pool N/A 3140LFDC5 6320000.00000000 PA USD 5890961.74000000 0.132872246417 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 1.74000000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BGXV6 267556.02000000 PA USD 265578.83000000 0.005990202839 Long ABS-MBS USGSE US N 2 2056-05-01 Floating 5.05400000 N N N N N N Fannie Mae-Aces N/A 3136BARB2 4549789.67000000 PA USD 4233064.71000000 0.095477927386 Long ABS-MBS USGSE US N 2 2029-09-25 Fixed 2.06500000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BN7K4 367647.91000000 PA USD 366188.49000000 0.008259481121 Long ABS-MBS USGSE US N 2 2055-10-01 Floating 5.36100000 N N N N N N Fannie Mae Pool N/A 3138LKKZ9 1065793.29000000 PA USD 1048341.67000000 0.023645631877 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 3.00000000 N N N N N N Freddie Mac REMICS N/A 3137HPR70 0.01000000 PA USD 0.01000000 0.000000000225 Long ABS-MBS USGSE US N 2 2053-03-25 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3138LGKW5 2878308.04000000 PA USD 2785261.26000000 0.062822326270 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.12000000 N N N N N N Fannie Mae Pool N/A 3140LGKB7 13585000.00000000 PA USD 13002911.28000000 0.293284205192 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 2.88500000 N N N N N N Fannie Mae-Aces N/A 3136B2HA3 4421931.71000000 PA USD 4338599.08000000 0.097858283843 Long ABS-MBS USGSE US N 2 2028-07-25 Variable 3.35410000 N N N N N N Fannie Mae Pool N/A 3140J2TV8 4234248.90000000 PA USD 4041197.21000000 0.091150303669 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.95000000 N N N N N N Fannie Mae-Aces N/A 3136B5NV3 6795184.12000000 PA USD 6504603.70000000 0.146713107947 Long ABS-MBS USGSE US N 2 2029-06-25 Variable 2.88500000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38385NAE4 73644095.25000000 PA USD 73786751.23000000 1.664280269415 Long ABS-MBS USGA US N 2 2056-02-20 Floating 4.62140000 N N N N N N Fannie Mae or Freddie Mac N/A 01F060683 -42600000.00000000 PA USD -43087569.78000000 -0.97185187105 Short ABS-MBS USGSE US N 2 2026-08-13 Fixed 6.00000000 N N N N N N Fannie Mae Pool N/A 3138LE3U3 1469547.74000000 PA USD 1405290.74000000 0.031696715364 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 2.36000000 N N N N N N N/A N/A N/A -48640000.00000000 NC USD -497358.59000000 -0.01121805845 N/A DIR N/A N 2 BLACKROCK FINANCIAL MANAGEMENT INC 549300LVXYIVJKE13M84 Put Written WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2029-01-25 0.00000000 USD 0.00000000 USD 0.00000000 USD -48640000.00000000 3.75000000 USD 2027-01-21 XXXX -353627.39000000 N N N Fannie Mae or Freddie Mac N/A 01F050684 -12600000.00000000 PA USD -12164906.88000000 -0.27438278772 Short ABS-MBS USGSE US N 2 2026-08-13 Fixed 5.00000000 N N N N N N Fannie Mae-Aces N/A 3136AN6U6 8425006.37000000 PA USD 8367769.40000000 0.188737317733 Long ABS-MBS USGSE US N 2 2027-04-25 Variable 3.09200000 N N N N N N Fannie Mae Pool N/A 3140LFYZ1 463079.98000000 PA USD 438815.84000000 0.009897610780 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 2.51000000 N N N N N N Fannie Mae Pool N/A 3138LJZY9 837948.35000000 PA USD 802011.59000000 0.018089589835 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 2.99000000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BBKN9 787368.80000000 PA USD 783581.00000000 0.017673882859 Long ABS-MBS USGSE US N 2 2055-11-01 Floating 5.09500000 N N N N N N Fannie Mae Pool N/A 3138LLF34 2656063.27000000 PA USD 2600695.24000000 0.058659389423 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 2.98000000 N N N N N N N/A N/A N/A 43970000.00000000 NC USD -269585.01000000 -0.00608056332 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2031-06-29 0.00000000 USD 0.00000000 USD 43970000.00000000 USD -269585.01000000 N N N Fannie Mae Pool N/A 3140AXCD7 1298980.07000000 PA USD 1307373.56000000 0.029488166701 Long ABS-MBS USGSE US N 2 2055-05-01 Floating 5.36800000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137FLYW8 5000000.00000000 PA USD 4786259.50000000 0.107955386534 Long ABS-MBS USGSE US N 2 2029-04-25 Fixed 3.01500000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BBH60 638889.63000000 PA USD 635220.93000000 0.014327581075 Long ABS-MBS USGSE US N 2 2055-09-01 Floating 5.04200000 N N N N N N Fannie Mae Pool N/A 3138LGP83 6592815.61000000 PA USD 6554913.51000000 0.147847859413 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 2.96000000 N N N N N N RATE Mortgage Trust 2026-J2 N/A 75410WAA3 10953696.26000000 PA USD 10506139.18000000 0.236968830495 Long ABS-MBS CORP US Y 2 2056-07-25 Variable 5.00000000 N N N N N N Fannie Mae-Aces N/A 3136B2GX4 11705148.51000000 PA USD 11483989.09000000 0.259024501527 Long ABS-MBS USGSE US N 2 2028-06-25 Variable 3.30150000 N N N N N N N/A N/A N/A 50.00000000 NC USD 28906.25000000 0.000651988341 N/A DE N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Long N/A US 10YR FUT OPTN Nov26C 2026-12-21 0.00000000 USD 50.00000000 109.00000000 USD 2026-10-23 XXXX -8644.25000000 N N N N/A N/A N/A -25650000.00000000 NC USD -230771.00000000 -0.00520510275 N/A DIR N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Put Written JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Secured Overnight Financing Rate SOFRATE 2030-01-24 0.00000000 USD 0.00000000 USD 0.00000000 USD -25650000.00000000 4.10000000 USD 2028-01-20 XXXX -107651.00000000 N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CGB1 100000000.00000000 PA USD 98441406.00000000 2.220372722314 Long DBT UST US N 2 2029-12-31 Fixed 3.87500000 N N N N N N Chase Home Lending Mortgage Trust 2025-8 529900CHSDEA1SX67419 16162UAD5 1621889.72000000 PA USD 1626942.23000000 0.036696125086 Long ABS-MBS CORP US Y 2 2056-06-25 Variable 6.00000000 N N N N N N JP Morgan Mortgage Trust Series 2026-HYB2 N/A 46595AAE1 3700000.00000000 PA USD 3704296.81000000 0.083551423394 Long ABS-MBS CORP US Y 2 2056-11-25 Variable 5.50000000 N N N N N N Fannie Mae Pool N/A 3140HV4V3 1136140.95000000 PA USD 1064142.68000000 0.024002027960 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 2.42000000 N N N N N N N/A N/A N/A 5800000.00000000 NC USD 105069.38000000 0.002369868480 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2036-02-15 0.00000000 USD 0.00000000 USD 5800000.00000000 USD 105069.38000000 N N N Fannie Mae Pool N/A 3140JCYD0 1004125.04000000 PA USD 1001137.37000000 0.022580926034 Long ABS-MBS USGSE US N 2 2055-12-01 Floating 5.04700000 N N N N N N Fannie Mae Pool N/A 3140U0WP8 3391212.81000000 PA USD 3379055.31000000 0.076215512784 Long ABS-MBS USGSE US N 2 2056-01-01 Floating 5.05900000 N N N N N N Freddie Mac REMICS N/A 3137BYFS4 2059794.25000000 PA USD 2010871.05000000 0.045355744182 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 3136BTYR8 16444730.54000000 PA USD 16451206.47000000 0.371061442327 Long ABS-MBS USGSE US N 2 2051-07-25 Fixed 5.00000000 N N N N N N N/A N/A N/A 50.00000000 NC USD 19140.65000000 0.000431722573 N/A DE N/A N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Purchased MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Long N/A US 5YR FUTR OPTN Sep26P 2026-09-30 0.00000000 USD 50.00000000 106.00000000 USD 2026-08-21 XXXX -5519.35000000 N N N Fannie Mae Pool N/A 3140J7XA8 603602.80000000 PA USD 595133.53000000 0.013423398850 Long ABS-MBS USGSE US N 2 2028-01-01 Variable 3.27900000 N N N N N N Fannie Mae REMICS N/A 3136BPCN9 4668404.21000000 PA USD 4636533.48000000 0.104578275376 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3140Y7A73 1075627.48000000 PA USD 1068480.37000000 0.024099865740 Long ABS-MBS USGSE US N 2 2055-08-01 Floating 4.61500000 N N N N N N Fannie Mae Pool N/A 3138LNF55 537647.26000000 PA USD 526932.33000000 0.011885102210 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 3.42000000 N N N N N N Fannie Mae-Aces N/A 3136AV7G8 29019905.65000000 PA USD 28787189.22000000 0.649302892892 Long ABS-MBS USGSE US N 2 2027-02-25 Variable 2.96100000 N N N N N N Fannie Mae Pool N/A 3138LJJZ4 12025289.46000000 PA USD 11877136.69000000 0.267892052716 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 3.04000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CMG3 100000000.00000000 PA USD 99589844.00000000 2.246276054175 Long DBT UST US N 2 2030-01-31 Fixed 4.25000000 N N N N N N Fannie Mae Pool N/A 3140LDVR7 3586478.81000000 PA USD 3103631.89000000 0.070003262536 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 1.68000000 N N N N N N Fannie Mae Pool N/A 3140LDSB6 510000.00000000 PA USD 441692.23000000 0.009962488540 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 1.57000000 N N N N N N Freddie Mac REMICS N/A 3137H6AQ8 6939005.16000000 PA USD 6322484.27000000 0.142605354604 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 3136AB7F4 5192564.40000000 PA USD 4875440.47000000 0.109966887600 Long ABS-MBS USGSE US N 2 2033-03-25 Fixed 2.00000000 N N N N N N N/A N/A N/A 52200000.00000000 NC USD 121756.59000000 0.002746253047 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2028-06-30 0.00000000 USD 0.00000000 USD 52200000.00000000 USD 121756.59000000 N N N Fannie Mae Pool N/A 3140HV6T6 50000000.00000000 PA USD 49650745.00000000 1.119886075586 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 2.19000000 N N N N N N Freddie Mac Strips N/A 3133QBBZ5 99800000.00000000 PA USD 98895812.00000000 2.230621973399 Long ABS-MBS CORP US N 2 2031-08-25 Fixed 4.90000000 N N N N N N Fannie Mae REMICS N/A 3136BU3Q1 30928384.50000000 PA USD 30734302.70000000 0.693220567719 Long ABS-MBS USGSE US N 2 2049-11-25 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3138LE5A5 16800607.59000000 PA USD 16130231.43000000 0.363821762884 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 2.42000000 N N N N N N Fannie Mae Pool N/A 3140J8E33 255822.66000000 PA USD 252591.95000000 0.005697280224 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3138LMVK6 300000.00000000 PA USD 293132.25000000 0.006611677731 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 3.02000000 N N N N N N Fannie Mae REMICS N/A 3136BMPR3 0.01000000 PA USD 0.01000000 0.000000000225 Long ABS-MBS USGSE US N 2 2047-05-25 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3140LBWJ8 33000000.00000000 PA USD 31372077.00000000 0.707605740750 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 1.33000000 N N N N N N Fannie Mae Pool N/A 3140U0UF2 241436.20000000 PA USD 241298.34000000 0.005442549774 Long ABS-MBS USGSE US N 2 2055-12-01 Floating 5.16700000 N N N N N N Fannie Mae Pool N/A 3138ERDG2 653676.79000000 PA USD 633584.92000000 0.014290680424 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 3.00000000 N N N N N N Freddie Mac REMICS N/A 3137H5R74 12485392.25000000 PA USD 10867185.53000000 0.245112329248 Long ABS-MBS USGSE US N 2 2049-08-25 Fixed 2.25000000 N N N N N N Fannie Mae Pool N/A 3140JCV27 1182480.31000000 PA USD 1181711.22000000 0.026653818399 Long ABS-MBS USGSE US N 2 2055-09-01 Floating 5.13300000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CKD2 50000000.00000000 PA USD 49921875.00000000 1.126001486577 Long DBT UST US N 2 2029-02-28 Fixed 4.25000000 N N N N N N Fannie Mae Pool N/A 3140Q2UD8 1120000.00000000 PA USD 1111591.26000000 0.025072243605 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.68000000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BBH94 628960.60000000 PA USD 626967.42000000 0.014141420909 Long ABS-MBS USGSE US N 2 2055-10-01 Floating 5.16300000 N N N N N N Fannie Mae Pool N/A 3140J8SU8 706600.66000000 PA USD 699161.99000000 0.015769789097 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3140Q2UC0 520000.00000000 PA USD 516095.94000000 0.011640684482 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.68000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380KHV0 5746034.40000000 PA USD 5438340.00000000 0.122663239802 Long ABS-MBS USGA US N 2 2047-05-20 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140UHFA3 188829.31000000 PA USD 186682.09000000 0.004210665381 Long ABS-MBS USGSE US N 2 2056-06-01 Floating 4.89100000 N N N N N N Fannie Mae-Aces N/A 3136BCB90 1638930.35000000 PA USD 1445640.97000000 0.032606825790 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 1.32330000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CBS9 80000000.00000000 PA USD 76178124.80000000 1.718218351564 Long DBT UST US N 2 2028-03-31 Fixed 1.25000000 N N N N N N Freddie Mac REMICS N/A 3137BWNE0 1857486.49000000 PA USD 1812815.80000000 0.040888554079 Long ABS-MBS USGSE US N 2 2046-03-15 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3140LDT58 2670000.00000000 PA USD 2489959.76000000 0.056161720513 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 1.33000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38384Y3H2 4135479.42000000 PA USD 4059238.96000000 0.091557240254 Long ABS-MBS USGA US N 2 2054-11-20 Fixed 5.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CGP0 70000000.00000000 PA USD 69732030.90000000 1.572824948090 Long DBT UST US N 2 2028-02-29 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3140JBTY2 425320.25000000 PA USD 406628.66000000 0.009171620169 Long ABS-MBS USGSE US N 2 2051-08-01 Floating 1.77200000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38384XAX1 0.03000000 PA USD 0.03000000 0.000000000676 Long ABS-MBS USGA US N 2 2053-10-20 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3140HWPU0 654549.32000000 PA USD 613384.06000000 0.013835044525 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 2.50000000 N N N N N N Fannie Mae REMICS N/A 3136BT2H5 2906365.32000000 PA USD 2839479.97000000 0.064045244040 Long ABS-MBS USGSE US N 2 2054-12-25 Fixed 5.00000000 N N N N N N Ginnie Mae II Pool N/A 36179TPU3 15809735.29000000 PA USD 15240908.92000000 0.343762851469 Long ABS-MBS USGA US N 2 2033-01-20 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140LABQ7 2990000.00000000 PA USD 2864341.96000000 0.064606012995 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 1.23000000 N N N N N N Fannie Mae Pool N/A 3140J8Y98 7141608.74000000 PA USD 7044354.31000000 0.158887329953 Long ABS-MBS USGSE US N 2 2028-07-01 Variable 3.78800000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CKP5 165000000.00000000 PA USD 166256836.35000000 3.749968223024 Long DBT UST US N 2 2029-04-30 Fixed 4.62500000 N N N N N N Fannie Mae-Aces N/A 3136A9MS4 16662030.09000000 PA USD 16381764.75000000 0.369495165421 Long ABS-MBS USGSE US N 2 2027-09-25 Variable 2.87600000 N N N N N N Fannie Mae Pool N/A 3140LLEB3 1990000.00000000 PA USD 1981253.75000000 0.044687717914 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 4.39000000 N N N N N N Fannie Mae REMICS N/A 3136BHKK4 8934014.26000000 PA USD 7997888.59000000 0.180394555329 Long ABS-MBS USGSE US N 2 2041-05-25 Fixed 1.75000000 N N N N N N Fannie Mae Pool N/A 3140J2UV6 16500000.00000000 PA USD 15782769.75000000 0.355984670063 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 1.12000000 N N N N N N Fannie Mae Pool N/A 3138LEVD0 20000000.00000000 PA USD 19947468.00000000 0.449920573325 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 2.34000000 N N N N N N Freddie Mac Non Gold Pool N/A 3142B3WH7 688207.76000000 PA USD 688185.39000000 0.015522208895 Long ABS-MBS USGSE US N 2 2055-10-01 Floating 5.16700000 N N N N N N Ginnie Mae II Pool N/A 3618N5ZW2 1046873.08000000 PA USD 1044254.22000000 0.023553438329 Long ABS-MBS USGA US N 2 2055-11-20 Floating 5.00000000 N N N N N N N/A N/A N/A 2700000.00000000 NC USD 9133.05000000 0.000205998430 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2029-06-10 0.00000000 USD 0.00000000 USD 2700000.00000000 USD 9133.05000000 N N N GS Mortgage-Backed Securities Trust 2024-PJ1 N/A 36268VAZ5 6967175.04000000 PA USD 6956071.45000000 0.156896086003 Long ABS-MBS CORP US Y 2 2054-06-25 Variable 6.00000000 N N N N N N Freddie Mac REMICS N/A 3137H0FB9 4491325.53000000 PA USD 4062139.40000000 0.091622660468 Long ABS-MBS USGSE US N 2 2041-05-15 Fixed 2.00000000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BBKG4 384913.90000000 PA USD 384107.85000000 0.008663657166 Long ABS-MBS USGSE US N 2 2055-11-01 Floating 5.30900000 N N N N N N Fannie Mae Pool N/A 3140BQT50 4236715.60000000 PA USD 4227240.19000000 0.095346553751 Long ABS-MBS USGSE US N 2 2055-09-01 Floating 5.07900000 N N N N N N Fannie Mae REMICS N/A 3136AVBQ1 275448.38000000 PA USD 271612.87000000 0.006126302255 Long ABS-MBS USGSE US N 2 2045-04-25 Fixed 3.50000000 N N N N N N Sequoia Mortgage Trust 2026-9 N/A 81690AAE2 14200000.00000000 PA USD 13976303.57000000 0.315239333392 Long ABS-MBS CORP US Y 2 2056-08-25 Variable 5.00000000 N N N N N N Freddie Mac Non Gold Pool N/A 3142BGXW4 167810.54000000 PA USD 167258.76000000 0.003772566883 Long ABS-MBS USGSE US N 2 2056-05-01 Floating 5.25400000 N N N N N N N/A N/A N/A 38.00000000 NC USD 7125.00000000 0.000160706315 N/A DE N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Long N/A US 10YR NOTE (CBT)Sep26 2026-09-21 0.00000000 USD 38.00000000 109.00000000 USD 2026-08-21 XXXX -13694.82000000 N N N Fannie Mae Pool N/A 3140J8HE6 1727894.94000000 PA USD 1705450.79000000 0.038466907038 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 3.50000000 N N N N N N N/A N/A N/A 15300000.00000000 NC USD -154958.99000000 -0.00349514222 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2033-05-31 0.00000000 USD 0.00000000 USD 15300000.00000000 USD -154958.99000000 N N N Federal Home Loan Banks 2549001DPIFGXC1TOL40 3130AJ5P0 22735000.00000000 PA USD 18879053.06000000 0.425822183376 Long DBT USGSE US N 2 2035-02-21 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 3138LKA31 16205000.00000000 PA USD 15965235.68000000 0.360100238807 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 2.99000000 N N N N N N Fannie Mae Pool N/A 3140JCYJ7 689521.04000000 PA USD 681691.67000000 0.015375741271 Long ABS-MBS USGSE US N 2 2055-12-01 Floating 4.84800000 N N N N N N Fannie Mae REMICS N/A 3136BWAQ9 5963113.46000000 PA USD 5919900.57000000 0.133524969609 Long ABS-MBS USGSE US N 2 2036-06-25 Fixed 5.00000000 N N N N N N N/A N/A N/A -1259.00000000 NC USD 2002036.13000000 0.045156470155 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A Ultra 10-Year US Treasury Note Futures 2026-09-21 -140118270.51000000 USD 2002036.13000000 N N N Fannie Mae Pool N/A 3140LB4Q3 3470000.00000000 PA USD 3303768.26000000 0.074517392867 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 1.53000000 N N N N N N N/A N/A N/A 2700000.00000000 NC USD 8807.07000000 0.000198645862 N/A DIR N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 United States SOFR Secured Ove SOFRRATE Y 2029-06-10 0.00000000 USD 0.00000000 USD 2700000.00000000 USD 8807.07000000 N N N Fannie Mae Pool N/A 3140LEA98 8500000.00000000 PA USD 8420083.00000000 0.189917265229 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 1.16000000 N N N N N N Fannie Mae Pool N/A 3140Q2UF3 910000.00000000 PA USD 903167.90000000 0.020371197957 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.68000000 N N N N N N Chase Home Lending Mortgage Trust Series 2026-7 N/A 16162MAK7 5700000.00000000 PA USD 5602032.96000000 0.126355379096 Long ABS-MBS CORP US Y 2 2057-05-25 Variable 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381NAS7 36664217.08000000 PA USD 36970704.27000000 0.833884303581 Long ABS-MBS USGA US N 2 2055-06-20 Floating 4.72140000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137F64Q7 60766000.00000000 PA USD 58406498.76000000 1.317374486225 Long ABS-MBS USGSE US N 2 2027-09-25 Fixed 0.93700000 N N N N N N Ginnie Mae II Pool N/A 36179SV46 22674413.37000000 PA USD 21953498.54000000 0.495167138486 Long ABS-MBS USGA US N 2 2032-02-20 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140B9U56 6397138.52000000 PA USD 6477808.36000000 0.146108731755 Long ABS-MBS USGSE US N 2 2055-09-01 Floating 5.70500000 N N N N N N Fannie Mae Pool N/A 3140HYLH9 3078972.54000000 PA USD 3011948.54000000 0.067935319607 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 1.53000000 N N N N N N Fannie Mae-Aces N/A 3136AW7J0 15630224.84000000 PA USD 15476636.00000000 0.349079739958 Long ABS-MBS USGSE US N 2 2027-05-25 Variable 3.06100000 N N N N N N Fannie Mae Pool N/A 3140Y7WW4 398376.47000000 PA USD 395752.68000000 0.008926309478 Long ABS-MBS USGSE US N 2 2055-11-01 Floating 4.93900000 N N N N N N Fannie Mae-Aces N/A 3136B7FC0 2964815.97000000 PA USD 2772207.59000000 0.062527897188 Long ABS-MBS USGSE US N 2 2029-11-25 Variable 2.33000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F050684 12600000.00000000 PA USD 12164906.88000000 0.274382787724 Long ABS-MBS USGSE US N 2 2026-08-13 Fixed 5.00000000 N N N N N N 2026-09-28 VANGUARD FIXED INCOME SECURITIES FUNDS My Trieu-Gatt My Trieu-Gatt Treasurer