NPORT-P false 0001562565 XXXXXXXX S000071132 C000225827 Fidelity Merrimack Street Trust 811-22796 0001562565 549300782HVYOIE6CE74 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Investment Grade Securitized ETF S000071132 549300HFZPB6XNO7BR43 2026-08-31 2026-08-31 N 7553336857.48 2912812889.56 4640523967.92 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1933496971.79000000 0.00000000 0.00000000 0.00000000 USD N Bloomberg US Securitized Index 19910058 FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2GC9 6047137.08500000 PA USD 6296271.27000000 0.135680179943 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QN3S9 17310.36000000 PA USD 16039.26000000 0.000345634676 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJQ26 3449350.36000000 PA USD 3466351.86000000 0.074697423910 Long ABS-CBDO USGSE US N 2 2054-10-25 Variable 0.04893190 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMQ64 982542.19600000 PA USD 811860.76000000 0.017495023527 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N BARINGS EQUIPMENT FINANCE LLC 2025-A N/A 06764MAB0 10000920.68000000 PA USD 10015253.00000000 0.215821598363 Long ABS-CBDO CORP US N 2 2028-10-13 Fixed 0.04640000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQNC9 360382.27300000 PA USD 366041.68000000 0.007887938571 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05143190 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDQS8 93497.34600000 PA USD 81197.16000000 0.001749741205 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N BX COML MTG TR 2024-XL4 N/A 05611VAA9 7570633.06000000 PA USD 7584828.00000000 0.163447663505 Long ABS-MBS CORP US N 3 2039-02-15 Variable 0.05081230 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A8Z62 139902.96600000 PA USD 147415.41000000 0.003176697524 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N BANK 2017-BNK8 N/A 06541XAD2 382793.13600000 PA USD 380793.12000000 0.008205821640 Long ABS-MBS CORP US N 2 2060-09-15 Fixed 0.03265000 N N N N N N HPEFS EQUIP TR 2024-2 N/A 40444MAE1 787831.62000000 PA USD 788852.41000000 0.016999209905 Long ABS-CBDO CORP US N 2 2031-10-20 Fixed 0.05360000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQCX5 1099314.74000000 PA USD 1075915.50000000 0.023185215881 Long ABS-MBS USGSE US N 2 2033-04-25 Variable 0.04646925 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QPZU4 13786554.27700000 PA USD 13531554.03000000 0.291595391458 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQ4Q7 2474177.26200000 PA USD 2067573.20000000 0.044554735937 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GVZ79 310340.50100000 PA USD 330176.32000000 0.007115065503 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQSN0 1400000.00000000 PA USD 1367090.76000000 0.029459836204 Long ABS-MBS USGSE US N 2 2033-03-25 Variable 0.04624800 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H0426A2 20325000.00000000 PA USD 19018960.22000000 0.409845102653 Long ABS-MBS USGA US N 2 2056-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MKV2 14670784.95000000 PA USD 14726463.51000000 0.317344843207 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XL6X1 4229196.74400000 PA USD 3522279.74000000 0.075902630055 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVLA0 3499204.11700000 PA USD 3518334.62000000 0.075817615517 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MUS8 10551380.48200000 PA USD 9453821.66000000 0.203723151207 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.03500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F0506A9 71500000.00000000 PA USD 68930475.90000000 1.485402863480 Long ABS-MBS USGA US N 2 2056-10-01 Fixed 0.05000000 N N N N N N ARI FLEET LEASE TRUST 2025-A N/A 04033CAB2 271486.65000000 PA USD 271574.77000000 0.005852243666 Long ABS-CBDO CORP US N 2 2034-01-17 Fixed 0.04380000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B0P36 339372.42900000 PA USD 354589.92000000 0.007641161266 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F0426A6 -20325000.00000000 PA USD -19224592.31000000 -0.41427632833 Short ABS-MBS USGA US N 2 2056-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XASY9 3341013.04100000 PA USD 2651460.69000000 0.057137097196 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABE65 6480295.50000000 PA USD 5418262.55000000 0.116759714796 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 0.02500000 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2023-1 N/A 68269JAE1 8863000.00000000 PA USD 8964309.41000000 0.193174509429 Long ABS-CBDO CORP US N 2 2038-06-14 Fixed 0.05500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BHKG3 3223053.63800000 PA USD 2814607.65000000 0.060652798465 Long ABS-CBDO USGSE US N 2 2041-05-25 Fixed 0.01000000 N N N N N N UPX HIL 2025-1 ISSUER TR N/A 916925AB6 600000.00000000 PA USD 595986.18000000 0.012843079447 Long ABS-CBDO CORP US N 2 2047-01-25 Fixed 0.06070000 N N N N N N BANK 2017-BNKS N/A 06541WAW2 347476.18100000 PA USD 344381.66000000 0.007421180504 Long ABS-MBS CORP US N 2 2060-06-15 Fixed 0.03131000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DQGL4 27084547.98100000 PA USD 21426851.34000000 0.461733448380 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 36268GAD7 2325115.52000000 PA USD 2330396.09000000 0.050218382797 Long ABS-CBDO CORP US N 2 2028-12-18 Fixed 0.04850000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140NFBH4 16788.80400000 PA USD 17820.17000000 0.000384012023 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTRW2 741763.87700000 PA USD 774758.05000000 0.016695486444 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.06500000 N N N N N N EXETER AUTOMOBILE RECEIVABLES TR 2026-1 N/A 30168HAC1 930000.00000000 PA USD 926038.01000000 0.019955462279 Long ABS-CBDO CORP US N 2 2030-03-15 Fixed 0.04030000 N N N N N N EXTENDED STAY AMER TR 2026-ESH2 N/A 30227WAC7 861029.80000000 PA USD 863182.37000000 0.018600967821 Long ABS-MBS CORP US N 3 2043-02-15 Variable 0.05039200 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YENY9 20842.98000000 PA USD 19068.58000000 0.000410914373 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N VOLKSWAGEN CR AUTO MASTER OWNER TR N/A 928667AE4 4500000.00000000 PA USD 4496994.00000000 0.096907030996 Long ABS-CBDO CORP US N 2 2031-05-20 Fixed 0.04710000 N N N N N N OBX 2025-NQM10 N/A 67121LAA4 3751585.22000000 PA USD 3740575.44000000 0.080606747553 Long ABS-CBDO CORP US N 2 2065-05-25 Variable 0.05453000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLK9 378519.95200000 PA USD 315604.60000000 0.006801055272 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132AEVX1 456303.72600000 PA USD 411975.92000000 0.008877788862 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNL77 1633434.20500000 PA USD 1482410.31000000 0.031944890711 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKQL7 7207618.56700000 PA USD 6676252.74000000 0.143868511102 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CFJ8 5169345.69500000 PA USD 4942440.88000000 0.106506095306 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.02500000 N N N N N N RCKT TRUST 2025-1A N/A 74939RAA9 138016.45000000 PA USD 138125.30000000 0.002976502243 Long ABS-CBDO CORP US N 2 2034-07-25 Fixed 0.04900000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXTH5 4962450.84000000 PA USD 5076301.37000000 0.109390693919 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 0.06000000 N N N N N N LONDON CLEARING HOUSE N/A N/A 16210000.00000000 NC USD -596333.72000000 -0.01285056868 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2056-09-16 0.00000000 USD 0.00000000 USD 15316532.92000000 USD -596333.72000000 N N N BMO 2024-5C5 MTG TR N/A 05593RAC6 1000000.00000000 PA USD 1016542.60000000 0.021905771999 Long ABS-MBS CORP US N 2 2057-02-15 Fixed 0.05857400 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L05E3 18107.75900000 PA USD 14472.35000000 0.000311868877 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N BX TR 2021-ACNT N/A 05609QAA4 459050.80700000 PA USD 459050.81000000 0.009892219352 Long ABS-MBS CORP US N 2 2038-11-15 Variable 0.04603480 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9GT5 18346.58800000 PA USD 16144.31000000 0.000347898429 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XADW9 331930.39200000 PA USD 265601.51000000 0.005723524150 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABKS0 19788.07800000 PA USD 16514.16000000 0.000355868434 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 0.02500000 N N N N N N DELL EQUIPMENT FINANCE TRUST 24-1 N/A 24702GAE5 709099.84000000 PA USD 711089.15000000 0.015323466809 Long ABS-CBDO CORP US N 2 2030-03-22 Fixed 0.05390000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5PJ7 12769072.84000000 PA USD 11484722.46000000 0.247487622936 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.03500000 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1 N/A 68270DAA9 11900000.00000000 PA USD 11837381.01000000 0.255087164549 Long ABS-CBDO CORP US N 2 2038-07-14 Fixed 0.04820000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8WP2 7119273.39400000 PA USD 7047146.61000000 0.151861010927 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04293190 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 13890000.00000000 NC USD 887730.04000000 0.019129952697 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2041-05-29 0.00000000 USD 0.00000000 USD 13890000.00000000 USD 1.00000000 4.50900000 USD 2031-05-27 XXXX 60580.54000000 N N N FNMA/FHLG TBA ISSUER N/A 01F020695 278925000.00000000 PA USD 217583284.04000000 4.688765439940 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.02000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0MB8 1219263.92700000 PA USD 974097.14000000 0.020991102443 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XHV38 44704.86700000 PA USD 43877.99000000 0.000945539561 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427C5Y5 47118.18400000 PA USD 49953.11000000 0.001076454088 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WNF1 37190.18400000 PA USD 32387.84000000 0.000697934979 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPGR3 164627.59800000 PA USD 161839.83000000 0.003487533544 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A3RT2 276350.80700000 PA USD 292157.38000000 0.006295784312 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X92S3 969048.06800000 PA USD 776616.73000000 0.016735539679 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H060697 80300000.00000000 PA USD 81436622.41000000 1.754901450202 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MK9 488946.58500000 PA USD 516638.07000000 0.011133183958 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLFA1 15433862.54200000 PA USD 13934533.79000000 0.300279319454 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03500000 N N N N N N DLLAD 2023-1A N/A 233258AC6 799303.08000000 PA USD 800377.90000000 0.017247576039 Long ABS-CBDO CORP US N 2 2028-01-20 Fixed 0.04790000 N N N N N N ACHV ABS TRUST 2024-3AL N/A 00092KAA2 27017.32000000 PA USD 27055.08000000 0.000583017783 Long ABS-CBDO CORP US N 2 2031-12-26 Fixed 0.05010000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNSX1 3656853.32600000 PA USD 3160914.53000000 0.068115466095 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XF5A5 16403.08400000 PA USD 14050.37000000 0.000302775507 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133L8NJ0 1479329.36700000 PA USD 1346362.95000000 0.029013166601 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.02000000 N N N N N N GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1 N/A 36271NAB1 500000.00000000 PA USD 495502.45000000 0.010677726339 Long ABS-CBDO CORP US N 2 2037-12-11 Fixed 0.04800000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNWV6 3000000.00000000 PA USD 2929838.40000000 0.063135939395 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.04165000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5A33 1432473.39600000 PA USD 1396544.24000000 0.030094537807 Long ABS-MBS USGA US N 2 2054-11-20 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H050698 -108925000.00000000 PA USD -105507282.06000000 -2.27360709241 Short ABS-MBS USGA US N 2 2056-09-01 Fixed 0.05000000 N N N N N N ONSLOW BAY FINANCIAL N/A 67124FAA4 3278091.68000000 PA USD 3251944.64000000 0.070077100398 Long ABS-CBDO CORP US N 2 2066-02-25 Variable 0.05082000 N N N N N N EART 2025-5A N/A 30166VAE8 10600000.00000000 PA USD 10586152.16000000 0.228124070324 Long ABS-CBDO CORP US N 2 2029-11-15 Fixed 0.04240000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W4AJ6 6183687.61700000 PA USD 6328596.15000000 0.136376758179 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.06000000 N N N N N N PRPM 2025-RCF5 LLC N/A 69384AAA6 939180.69400000 PA USD 932339.70000000 0.020091259229 Long ABS-CBDO CORP US N 2 2055-10-25 Fixed 0.04839000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WG36 1887397.88200000 PA USD 1580733.10000000 0.034063677096 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5C72 3439501.66300000 PA USD 3502558.05000000 0.075477641624 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 0.06000000 N N N N N N MSRM 2025-NQM3 N/A 61778LAA3 1458356.39600000 PA USD 1455455.43000000 0.031364032166 Long ABS-CBDO CORP US N 2 2070-05-25 Variable 0.05530000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QPHP5 2662914.36200000 PA USD 2396735.03000000 0.051647939900 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CJKZ3 26331.06500000 PA USD 27892.68000000 0.000601067469 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H4UB4 3639481.86400000 PA USD 3202069.28000000 0.069002321766 Long ABS-CBDO USGSE US N 2 2048-06-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDS49 178523.54600000 PA USD 142626.44000000 0.003073498617 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QRYK3 40015.96100000 PA USD 42486.10000000 0.000915545319 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBKY5 18006.11300000 PA USD 15468.48000000 0.000333334772 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.03000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030694 -3300000.00000000 PA USD -2814023.52000000 -0.06064021087 Short ABS-MBS USGA US N 2 2056-09-01 Fixed 0.03000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0L94 15181299.03600000 PA USD 12643720.61000000 0.272463210995 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BVFK9 7918609.78000000 PA USD 7961169.93000000 0.171557565159 Long ABS-CBDO USGSE US N 2 2055-03-25 Variable 0.05043190 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FCJK1 3900000.00000000 PA USD 3845192.52000000 0.082861171423 Long ABS-MBS USGSE US N 2 2027-11-25 Fixed 0.03303000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050692 -105475000.00000000 PA USD -101808098.34000000 -2.19389230707 Short ABS-MBS USGA US N 2 2056-09-01 Fixed 0.05000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQN4 7970000.00000000 PA USD 7753315.63000000 0.167078452424 Long DBT UST US N 2 2033-04-30 Fixed 0.04125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140MYAF9 1106831.35200000 PA USD 1083332.55000000 0.023345048048 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XFC5 126684.17600000 PA USD 101845.97000000 0.002194708414 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 0.02000000 N N N N N N TOWD POINT MORTGAGE TRUST 2015-6 N/A 89172RAE5 4100000.00000000 PA USD 3960329.40000000 0.085342289521 Long ABS-CBDO CORP US N 2 2055-04-25 Variable 0.03794690 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DYX4 4197576.84000000 PA USD 3314185.46000000 0.071418345921 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJEZ6 4739247.09000000 PA USD 4755741.09000000 0.102482847257 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04793190 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133BE7E7 144737.69400000 PA USD 134471.45000000 0.002897764367 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DY22 19351400.27000000 PA USD 17181723.21000000 0.370253948234 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KM4Y8 277695.11900000 PA USD 221162.59000000 0.004765896944 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA N/A 44989YAA6 1637000.00000000 PA USD 1612698.24000000 0.034752503190 Long ABS-MBS CORP US N 2 2037-11-05 Variable 0.05041458 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BKCE2 51941.92800000 PA USD 55083.31000000 0.001187006260 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XFF8 6290884.61500000 PA USD 5598527.47000000 0.120644295961 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XTDR9 7358648.14000000 PA USD 6599916.33000000 0.142223515612 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVMP6 4270642.48000000 PA USD 4251284.08000000 0.091612156501 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.05500000 N N N N N N HILTON USA TR 2016-HHV N/A 43300LAG5 1456000.00000000 PA USD 1454231.54000000 0.031337658205 Long ABS-MBS CORP US N 2 2038-11-05 Variable 0.04193500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRU94 1063764.92100000 PA USD 849865.52000000 0.018313999149 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XJX24 16753.12100000 PA USD 16469.43000000 0.000354904534 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.05000000 N N N N N N ONEMAIN FINL ISSUANCE TR 2020-2 N/A 682696AA7 4506025.81000000 PA USD 4465007.46000000 0.096217743747 Long ABS-CBDO CORP US N 2 2035-09-14 Fixed 0.01750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B97A6 271587.14200000 PA USD 251983.98000000 0.005430076037 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKDX5 16711.99500000 PA USD 16345.04000000 0.000352224018 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCGT9 104439.51700000 PA USD 83047.41000000 0.001789612780 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02000000 N N N N N N VERUS SECURITIZATION TRUST 2026-6 N/A 92541QAC9 8341974.41000000 PA USD 8327985.75000000 0.179462185899 Long ABS-CBDO CORP US N 2 2071-07-27 Variable 0.05513000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8P62 2098215.64400000 PA USD 2075185.21000000 0.044718769353 Long ABS-CBDO USGSE US N 2 2052-08-25 Variable 0.04313190 N N N N N N ALA TRUST 2025-OANA N/A 009920AA7 17948000.00000000 PA USD 18037740.00000000 0.388700502889 Long ABS-MBS CORP US N 2 2040-06-15 Variable 0.05381630 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 23400000.00000000 NC USD 79192.62000000 0.001706544789 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-06-21 0.00000000 USD 0.00000000 USD 23400000.00000000 USD 1.00000000 3.85000000 USD 2028-06-16 XXXX -42955.38000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDY67 4232943.93100000 PA USD 3516141.02000000 0.075770344993 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUBP7 5967779.28000000 PA USD 6107628.22000000 0.131615056020 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 700000.00000000 NC USD 111373.50000000 0.002400019928 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 100624.63000000 USD 0.00000000 USD 700000.00000000 USD 10748.87000000 N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 2100000.00000000 NC USD -8821.89000000 -0.00019010547 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S19 PRC CORP INDEX CZ039897 Y 2058-12-17 0.00000000 USD 2652.05000000 USD 2100000.00000000 USD -6169.84000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPRT7 930921.68000000 PA USD 744606.83000000 0.016045749039 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QTVE6 2618906.36700000 PA USD 2782205.13000000 0.059954547142 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTEA0 598904.98600000 PA USD 628548.63000000 0.013544777148 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A5SJ8 285899.57400000 PA USD 301582.25000000 0.006498883576 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2JJ1 17229600.06900000 PA USD 14403487.35000000 0.310384936045 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNS52 10909841.14200000 PA USD 9491627.25000000 0.204537834856 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.03000000 N N N N N N BANK 2017-BNK8 N/A 06650AAD9 2506122.46800000 PA USD 2466613.70000000 0.053153775673 Long ABS-MBS CORP US N 2 2050-11-15 Fixed 0.03229000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L5G26 1287508.56900000 PA USD 1031435.73000000 0.022226708387 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM2S3 1355370.24800000 PA USD 1081988.41000000 0.023316082784 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N CFMT 2024-HB15 LLC N/A 15723AAA9 40758.06000000 PA USD 40614.65000000 0.000875216899 Long ABS-CBDO CORP US N 2 2034-08-25 Variable 0.04000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A -8.00000000 NC USD 7737.04000000 0.000166727724 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short UNITED STATES TREASURY BOND UNITED STATES TREASURY BOND 0% 06/30/2040 2026-12-21 -889237.04000000 USD 7737.04000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XHKK2 3868782.98500000 PA USD 3336848.54000000 0.071906719221 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.03000000 N N N N N N PRPM 2025-RCF3 LLC N/A 69392PAA3 1683636.80000000 PA USD 1678688.93000000 0.036174555752 Long ABS-CBDO CORP US N 2 2055-07-25 Variable 0.05250000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F4D41 3640908.17000000 PA USD 3591994.03000000 0.077404923556 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 0.03600000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CKX8 5000.00000000 PA USD 4979.30000000 0.000107300383 Long DBT UST US N 2 2029-06-30 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DMYM1 1206291.46800000 PA USD 967879.78000000 0.020857122744 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2VD0 5251668.26400000 PA USD 4390254.97000000 0.094606880609 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QN7A4 2631610.21400000 PA USD 2369382.36000000 0.051058509262 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.03500000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GCP0 2700000.00000000 PA USD 2677293.00000000 0.057693765154 Long ABS-CBDO CORP US N 2 2040-09-18 Fixed 0.04080000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QPJ32 1700776.44000000 PA USD 1665066.43000000 0.035881000540 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MN72 5198248.09300000 PA USD 4332601.51000000 0.093364489440 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N CROSS 2025-H4 MTG TR N/A 22790AAA3 6098530.34000000 PA USD 6091377.98000000 0.131264874874 Long ABS-CBDO CORP US N 2 2070-06-25 Variable 0.05596000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVRW6 769716.21400000 PA USD 790640.18000000 0.017037735080 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N OLIT 2026-HB3 N/A 68278KAA5 881415.07000000 PA USD 863345.53000000 0.018604483803 Long ABS-CBDO CORP US N 2 2039-06-25 Variable 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBJ68 6704877.29000000 PA USD 5615575.44000000 0.121011667622 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BBQT2 867708.22200000 PA USD 804658.63000000 0.017339822734 Long ABS-CBDO USGSE US N 2 2043-05-25 Fixed 0.02000000 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2026-A N/A 142929AD0 715000.00000000 PA USD 705861.66000000 0.015210818107 Long ABS-CBDO CORP US N 2 2032-05-17 Fixed 0.03990000 N N N N N N EFF 2026-1 N/A 29376JAC7 4700000.00000000 PA USD 4634558.14000000 0.099871440639 Long ABS-CBDO CORP US N 2 2030-03-20 Fixed 0.04120000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRML6 9698640.19500000 PA USD 8632445.40000000 0.186023075404 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3132E06X5 1014030.45600000 PA USD 1073694.08000000 0.023137345856 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV6Q3 39362.40700000 PA USD 31139.99000000 0.000671044697 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQVC8 6610868.65300000 PA USD 5732902.33000000 0.123539978882 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.03000000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 19700000.00000000 NC USD 775643.37000000 0.016714564462 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2037-01-28 0.00000000 USD 0.00000000 USD 19700000.00000000 USD 1.00000000 3.96400000 USD 2027-01-26 XXXX 310723.37000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GS5P9 8940443.90300000 PA USD 8958589.43000000 0.193051247917 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.05500000 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2026-XL6 N/A 12433NAA9 4538925.65000000 PA USD 4541762.48000000 0.097871759986 Long ABS-MBS CORP US N 2 2043-03-15 Variable 0.04839200 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XCR72 1787051.94700000 PA USD 1620666.69000000 0.034924217635 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FUAS3 11775802.71100000 PA USD 9708786.64000000 0.209217465680 Long ABS-CBDO USGSE US N 2 2050-07-25 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CYCH1 1592184.99900000 PA USD 1585545.11000000 0.034167372498 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.05000000 N N N N N N JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020 N/A 46652JAV4 3400000.00000000 PA USD 3071603.86000000 0.066190884504 Long ABS-MBS CORP US N 2 2053-05-13 Fixed 0.01915200 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AKQL2 327336.13900000 PA USD 340771.06000000 0.007343374635 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06500000 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2026-A N/A 142929AB4 2044122.69000000 PA USD 2038996.03000000 0.043938918193 Long ABS-CBDO CORP US N 2 2029-12-17 Fixed 0.04030000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3618N6NA1 6259999.05000000 PA USD 6068752.32000000 0.130777307949 Long ABS-MBS USGA US N 2 2056-07-20 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F0426A6 20325000.00000000 PA USD 19224592.31000000 0.414276328339 Long ABS-MBS USGA US N 2 2056-10-01 Fixed 0.04500000 N N N N N N EXTENDED STAY AMERICA TRUST 2025-ESH N/A 30227TAC4 950964.71000000 PA USD 953924.87000000 0.020556404332 Long ABS-MBS CORP US N 2 2042-10-15 Variable 0.05239200 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GYJN6 7028254.00000000 PA USD 7206132.08000000 0.155287035037 Long ABS-MBS USGSE US N 2 2056-09-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNV91 16589.55200000 PA USD 16237.34000000 0.000349903159 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N SHOPS COML MTG TR 2026-CSTL N/A 82510YAA4 3073000.00000000 PA USD 3013019.03000000 0.064928422971 Long ABS-MBS CORP US N 2 2039-05-05 Variable 0.04810530 N N N N N N PEAC SOLUTIONS RECEIVABLES 2025-1 LLC N/A 69392HAB9 469966.99000000 PA USD 471065.35000000 0.010151124167 Long ABS-CBDO CORP US N 2 2028-10-20 Fixed 0.04940000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3622ADQ27 4496150.51500000 PA USD 4367571.85000000 0.094118075462 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM2T1 79004.55900000 PA USD 63118.50000000 0.001360158905 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLTZ1 3656227.10400000 PA USD 3748762.56000000 0.080783174182 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BKUM4 63127.59800000 PA USD 66965.21000000 0.001443052777 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KKQG7 43728.25900000 PA USD 34566.52000000 0.000744883988 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N AUTONATION FINANCE TRUST 2025-1 N/A 05330QAB8 23396.64000000 PA USD 23397.97000000 0.000504209657 Long ABS-CBDO CORP US N 2 2028-04-10 Fixed 0.04720000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140NPMP2 248324.78000000 PA USD 264041.58000000 0.005689908765 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.07000000 N N N N N N VERUS 2025-4 N/A 92540UAC1 9974016.04200000 PA USD 9944537.84000000 0.214297736823 Long ABS-CBDO CORP US N 2 2070-05-25 Fixed 0.05448000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CJKC4 20049.88300000 PA USD 21249.94000000 0.000457921134 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 38800000.00000000 NC USD 1546581.58000000 0.033327736063 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2037-06-23 0.00000000 USD 0.00000000 USD 38800000.00000000 USD 1.00000000 4.06000000 USD 2027-06-21 XXXX 559121.58000000 N N N VCAT 2026-NPL3 LLC N/A 91826FAA5 3063953.97000000 PA USD 3061759.57000000 0.065978747037 Long ABS-CBDO CORP US N 2 2056-05-25 Variable 0.05567000 N N N N N N UPG HI 2025-2 ISSUER TR N/A 90321EAA0 4781863.38000000 PA USD 4753688.64000000 0.102438618415 Long ABS-CBDO CORP US N 2 2047-09-25 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QADB3 10193.61000000 PA USD 9811.65000000 0.000211434098 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 700000.00000000 NC USD 111373.50000000 0.002400019928 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 48110.97000000 USD 0.00000000 USD 700000.00000000 USD 63262.53000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427JJ82 65827.41400000 PA USD 69431.10000000 0.001496190957 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GCE5 7723129.81000000 PA USD 7719171.71000000 0.166342675166 Long ABS-CBDO CORP US N 2 2040-01-18 Fixed 0.04570000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7VJ5 2274226.61800000 PA USD 2053295.96000000 0.044247071541 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179Y5D2 182425.98400000 PA USD 146473.53000000 0.003156400678 Long ABS-MBS USGA US N 2 2054-07-20 Fixed 0.02000000 N N N N N N VERUS SECURITIZATION TR 2026-R2 N/A 92541GAD9 2990725.91000000 PA USD 2976778.36000000 0.064147462238 Long ABS-CBDO CORP US N 2 2067-10-25 Variable 0.05282000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVRY2 4943284.18800000 PA USD 5065304.21000000 0.109153712921 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 18463627.66800000 NC USD -76773.61000000 -0.00165441684 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S18 PRC INDX CZ030005 Y 2057-12-17 33206.78000000 USD 0.00000000 USD 18463627.67000000 USD -109980.39000000 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6TH6 40546.17900000 PA USD 40324.38000000 0.000868961787 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AJFA6 25883.95800000 PA USD 20663.09000000 0.000445274933 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 350000.00000000 NC USD -82403.19000000 -0.00177573029 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX BB CDSI S17 PRC CORP CY885801 Y 2056-12-15 0.00000000 USD 72890.55000000 USD 350000.00000000 USD -9512.64000000 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6JS3 158008.33600000 PA USD 167860.76000000 0.003617280314 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CCED4 54867.72800000 PA USD 53552.82000000 0.001154025286 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 0.05000000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 1300000.00000000 NC USD 83534.49000000 0.001800109008 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX BBB- CDSI S19 PRC CORP INDEX CZ039900 Y 2058-12-17 97210.52000000 USD 0.00000000 USD 1300000.00000000 USD -13676.03000000 N N N DELL EQUIPMENT FINANCE TRUST 2025-2 N/A 24703VAC5 12380626.37000000 PA USD 12373497.61000000 0.266640097013 Long ABS-CBDO CORP US N 2 2028-02-22 Fixed 0.04100000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133D4Z22 98967.85000000 PA USD 104218.78000000 0.002245840786 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5A25 31350443.90000000 PA USD 29531754.49000000 0.636388362481 Long ABS-MBS USGA US N 2 2054-11-20 Fixed 0.04500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CPZ8 4330000.00000000 PA USD 4130414.06000000 0.089007493303 Long DBT UST US N 2 2036-02-15 Fixed 0.04125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B0DU9 241820.30000000 PA USD 252807.14000000 0.005447814551 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06500000 N N N N N N BENCHMARK 2024-V9 MORTGAGE TRUST N/A 081919AN2 5400000.00000000 PA USD 5457254.58000000 0.117599965385 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 0.05601900 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AAJX1 29012.48200000 PA USD 22952.06000000 0.000494600613 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N FORD CR FLOORPLN MAST OWN TR A 5493001DTG5N7T8BG747 34528QJB1 2400000.00000000 PA USD 2405723.52000000 0.051841635484 Long ABS-CBDO CORP US N 2 2029-04-15 Variable 0.04386500 N N N N N N BANK5 2026-5YR21 N/A 06644BAM6 900000.00000000 PA USD 909088.65000000 0.019590215593 Long ABS-MBS CORP US N 2 2059-04-15 Fixed 0.05844000 N N N N N N TCO COML MTG TR 2024-DPM N/A 87231EAA5 9227000.00000000 PA USD 9232766.88000000 0.198959577492 Long ABS-MBS CORP US N 2 2039-12-15 Variable 0.04882110 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AVVS7 291156.00400000 PA USD 302919.46000000 0.006527699503 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNWY6 2059164.84700000 PA USD 2182413.69000000 0.047029467040 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y8TK2 4506831.76900000 PA USD 4627937.10000000 0.099728761924 Long ABS-MBS USGSE US N 2 2056-04-01 Fixed 0.06000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UQ9 2390000.00000000 PA USD 2212243.75000000 0.047672283675 Long DBT UST US N 2 2045-11-15 Fixed 0.04625000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142JCB74 5567150.15700000 PA USD 5439391.85000000 0.117215036224 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG5F7 3166141.22600000 PA USD 3039970.18000000 0.065509201137 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CPT2 28910000.00000000 PA USD 28340834.38000000 0.610724878826 Long DBT UST US N 2 2029-01-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140ACAL7 70300.66100000 PA USD 74114.08000000 0.001597105855 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.07000000 N N N N N N SCLP 2025-1 N/A 83406YAA9 1809259.98000000 PA USD 1812134.53000000 0.039050213780 Long ABS-CBDO CORP US N 2 2034-02-27 Fixed 0.04800000 N N N N N N ONEMAIN FINL ISSUANCE TR 2019-2 N/A 68269BAA6 27800000.00000000 PA USD 27513646.10000000 0.592899558114 Long ABS-CBDO CORP US N 2 2036-10-14 Fixed 0.03140000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AC7D6 3071636.51100000 PA USD 3071662.62000000 0.066192150740 Long ABS-MBS USGA US N 2 2054-03-20 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUHG4 40545.01500000 PA USD 40361.23000000 0.000869755878 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.05500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQD6 10010000.00000000 PA USD 9614292.19000000 0.207181177308 Long DBT UST US N 2 2031-02-28 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVL60 3591174.30900000 PA USD 2870191.48000000 0.061850590576 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2N80 13975261.15800000 PA USD 11626172.09000000 0.250535762133 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N LONDON CLEARING HOUSE N/A N/A 17590000.00000000 NC USD -142755.34000000 -0.00307627632 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2030-09-16 0.00000000 USD 0.00000000 USD 17106392.50000000 USD -142755.34000000 N N N BX TRUST 2025-ROIC N/A 05593VAG8 627534.47000000 PA USD 625965.63000000 0.013489115331 Long ABS-MBS CORP US N 2 2030-03-15 Variable 0.05032680 N N N N N N BMO 2025-5C9 MTG TR N/A 096933AE6 12991107.49000000 PA USD 291163.20000000 0.006274360438 Long ABS-MBS CORP US N 2 2058-04-15 Variable 0.00706516 N N N N N N UPSTART SECURITIZATION TRUST 2026-3 N/A 916930AB6 1285000.00000000 PA USD 1283045.13000000 0.027648712491 Long ABS-CBDO CORP US N 2 2036-07-20 Fixed 0.04770000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBQ37 4273562.53200000 PA USD 3555223.25000000 0.076612539329 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.02500000 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2026-1 N/A 68270GAA2 2600000.00000000 PA USD 2589929.42000000 0.055811141972 Long ABS-CBDO CORP US N 2 2039-07-14 Fixed 0.04980000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XJM67 22360183.65400000 PA USD 19516381.96000000 0.420564188331 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31426TS32 36906.07100000 PA USD 39230.37000000 0.000845386647 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.07000000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 33200000.00000000 NC USD 1320818.18000000 0.028462694926 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2035-03-25 0.00000000 USD 0.00000000 USD 33200000.00000000 USD 1.00000000 3.94000000 USD 2030-03-21 XXXX 40294.18000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFAC5 15322.77800000 PA USD 13134.59000000 0.000283041098 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HB2L7 3600000.00000000 PA USD 3548853.00000000 0.076475264960 Long ABS-MBS USGSE US N 2 2030-10-25 Fixed 0.04400000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBH5 471571.71100000 PA USD 372328.17000000 0.008023407972 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H6ZM0 21200000.00000000 PA USD 18638847.08000000 0.401653934099 Long ABS-MBS USGSE US N 2 2032-02-25 Fixed 0.02250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KPQ50 11410712.72100000 PA USD 11199656.76000000 0.241344659297 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AHRR5 110348.62900000 PA USD 117746.54000000 0.002537354419 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31425WLC3 35539.15800000 PA USD 37762.93000000 0.000813764356 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.07000000 N N N N N N CFMT 2025-HB16 N/A 12531BAA6 264107.83000000 PA USD 261545.11000000 0.005636111607 Long ABS-CBDO CORP US N 2 2035-03-25 Variable 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427TEM4 13962317.86100000 PA USD 12645211.93000000 0.272495347883 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBL24 72096.96600000 PA USD 64216.23000000 0.001383814208 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XMNV4 407001.91900000 PA USD 321347.27000000 0.006924805737 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02000000 N N N N N N LONDON CLEARING HOUSE N/A N/A -807291000.00000000 NC USD 3097908.20000000 0.066757724373 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2028-09-16 0.00000000 USD 0.00000000 USD -791587536.75000000 USD 3097908.20000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV7J8 50656576.61500000 PA USD 40074914.19000000 0.863585975787 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 0.02000000 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 N/A 78397XAC8 294639.82000000 PA USD 296134.44000000 0.006381487134 Long ABS-CBDO CORP US N 2 2029-11-20 Fixed 0.05330000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F85N9 1750109.89800000 PA USD 1315570.04000000 0.028349601232 Long ABS-CBDO USGSE US N 2 2051-01-25 Fixed 0.01000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133W9MN8 63450.57200000 PA USD 67378.21000000 0.001451952634 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVKQ7 4780453.54400000 PA USD 4314560.58000000 0.092975720195 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03500000 N N N N N N PRPM 2024-RCF6 LLC N/A 74390FAA7 1226836.56000000 PA USD 1200629.61000000 0.025872716492 Long ABS-CBDO CORP US N 2 2064-10-25 Variable 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DES7 14842891.41000000 PA USD 12820636.51000000 0.276275623154 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRMK8 3989674.89700000 PA USD 3542352.95000000 0.076335193492 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KSKR7 3105658.97500000 PA USD 2809044.01000000 0.060532905969 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BQ4N8 31325.93800000 PA USD 32946.88000000 0.000709981894 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KPUK2 10697016.55200000 PA USD 10482447.24000000 0.225889302855 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUGA2 1772047.52300000 PA USD 1781455.15000000 0.038389094902 Long ABS-CBDO USGSE US N 2 2054-06-25 Variable 0.04843190 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 1100000.00000000 NC USD 81790.50000000 0.001762527261 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 82219.46000000 USD 0.00000000 USD 1100000.00000000 USD -428.96000000 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H052694 292950000.00000000 PA USD 291022799.13000000 6.271334899719 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABFG2 3034505.30300000 PA USD 2537190.85000000 0.054674663196 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140APCY8 146890.25400000 PA USD 156026.46000000 0.003362259543 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FBBX3 9800000.00000000 PA USD 9682082.48000000 0.208642009974 Long ABS-MBS USGSE US N 2 2027-08-25 Fixed 0.03244000 N N N N N N ARES COMMERCIAL MORTGAGE TRUST N/A 04021QAA7 1490000.00000000 PA USD 1490000.00000000 0.032108443147 Long ABS-MBS CORP US N 2 2043-02-15 Variable 0.04889200 N N N N N N BHG SECURITIZATION TR 2026-1CON N/A 05494TAA6 1989444.02000000 PA USD 1972930.04000000 0.042515242969 Long ABS-CBDO CORP US N 2 2037-06-17 Fixed 0.04810000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UF3 34870000.00000000 PA USD 32426375.96000000 0.698765402014 Long DBT UST US N 2 2044-11-15 Fixed 0.04625000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427SMD7 18536748.80000000 PA USD 16614341.51000000 0.358027275041 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3622ADP28 3228558.78800000 PA USD 3231613.00000000 0.069638967977 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLTR9 541431.09200000 PA USD 493243.89000000 0.010629055973 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.03500000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 400000.00000000 NC USD 29742.00000000 0.000640919004 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 27872.48000000 USD 0.00000000 USD 400000.00000000 USD 1869.52000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMNF7 1229549.96700000 PA USD 1142722.22000000 0.024624853311 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQHN0 702859.82800000 PA USD 554941.08000000 0.011958586656 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N BX 2026-LBTY N/A 05620WAA6 2101000.00000000 PA USD 2102313.13000000 0.045303356787 Long ABS-MBS CORP US N 2 2048-08-15 Variable 0.04900000 N N N N N N BBCMS MTG TR 2020-C7 N/A 05492VAF2 4675000.00000000 PA USD 4199621.22000000 0.090498858513 Long ABS-MBS CORP US N 2 2053-04-15 Fixed 0.02037000 N N N N N N WELLS FARGO COML MTG TR 2024-GRP N/A 95003YAC6 2500000.00000000 PA USD 2489323.50000000 0.053643155755 Long ABS-MBS CORP US N 2 2041-10-15 Variable 0.05929810 N N N N N N FED HOME LN MTG CORP MTN S6XOOCT0IEG5ABCC6L87 31425X2S7 42879.55100000 PA USD 45372.35000000 0.000977741960 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MJ2 281938.68200000 PA USD 298245.51000000 0.006426979195 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KGNJ3 79376.30700000 PA USD 69206.69000000 0.001491355081 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRZH1 3728686.50000000 PA USD 3099604.51000000 0.066794278651 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTD23 5246675.37000000 PA USD 5499398.28000000 0.118508132228 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DYT3 5889993.15300000 PA USD 5194635.88000000 0.111940718675 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.01500000 N N N N N N GS MTG SECS TR 2019-GSA1 N/A 36261PAT9 100000.00000000 PA USD 94027.81000000 0.002026232611 Long ABS-MBS CORP US N 2 2052-11-10 Fixed 0.03047900 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KKS75 695492.36500000 PA USD 582282.48000000 0.012547774432 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XN5C4 3695902.97900000 PA USD 2946964.46000000 0.063504993840 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVFQ2 1956863.93900000 PA USD 2078270.32000000 0.044785251285 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCZ68 939891.36400000 PA USD 784843.03000000 0.016912810609 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6DW7 6856557.02700000 PA USD 7025804.28000000 0.151401098853 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 800000.00000000 NC USD 116334.88000000 0.002506934148 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 110834.62000000 USD 0.00000000 USD 800000.00000000 USD 5500.26000000 N N N DLLMT 2026-1 LLC N/A 23347JAC6 1355000.00000000 PA USD 1343360.96000000 0.028948475846 Long ABS-CBDO CORP US N 2 2029-12-20 Fixed 0.04200000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133L8EX9 41297585.12800000 PA USD 36706020.50000000 0.790988706313 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.01500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180AB36 1198750.83100000 PA USD 962314.13000000 0.020737186935 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEA69 143551.70200000 PA USD 120229.70000000 0.002590864756 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02500000 N N N N N N BANK 2021-BNK33 N/A 06541CBL9 3325548.00000000 PA USD 2963037.99000000 0.063851367011 Long ABS-MBS CORP US N 2 2064-05-15 Fixed 0.02556000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRM28 9261237.01800000 PA USD 8005237.31000000 0.172507185941 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 81.00000000 NC USD -7446.98000000 -0.00016047713 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long UST NOTES UST NOTES 0% 06/30/2040 2026-12-21 8736462.61000000 USD -7446.98000000 N N N WORLD OMNI AUTO RECEIVABLES TR 2023-B N/A 98164QAD0 178.22000000 PA USD 178.29000000 0.000003842023 Long ABS-CBDO CORP US N 2 2028-05-15 Fixed 0.04660000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SSP3 8315013.36100000 PA USD 7340041.46000000 0.158172687195 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSD33 4107560.16100000 PA USD 4290267.31000000 0.092452217457 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BBB76 451133.92000000 PA USD 414764.81000000 0.008937887464 Long ABS-CBDO USGSE US N 2 2045-09-25 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUWL0 2718954.22000000 PA USD 2737999.13000000 0.059001939197 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.05043190 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HKGX6 16367548.04500000 PA USD 16489707.24000000 0.355341494925 Long ABS-CBDO USGSE US N 2 2055-03-25 Variable 0.04993190 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNFX6 17547.89600000 PA USD 15030.97000000 0.000323906742 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KLVJ3 15775386.38400000 PA USD 12554009.89000000 0.270530008610 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N ANGEL OAK MORTGAGE TRUST 2026-2 N/A 03466LAA2 1472046.80000000 PA USD 1443497.34000000 0.031106343808 Long ABS-CBDO CORP US N 2 2071-02-25 Variable 0.04694000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUZ90 17491.65000000 PA USD 18285.00000000 0.000394028780 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0DV4 5610137.76200000 PA USD 4875594.01000000 0.105065592672 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QRQX4 21816.48000000 PA USD 23204.09000000 0.000500031680 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BMGV4 2370024.00200000 PA USD 2216997.48000000 0.047774723184 Long ABS-CBDO USGSE US N 2 2046-07-25 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140APGT5 86862.56000000 PA USD 91993.75000000 0.001982400061 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEZ39 1421246.90600000 PA USD 1284955.87000000 0.027689887583 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPN96 3424966.94800000 PA USD 3185244.95000000 0.068639769388 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMA0 16369471.52000000 PA USD 14215961.14000000 0.306343879231 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6JH7 142344.44400000 PA USD 151620.50000000 0.003267314231 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.07000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 1400000.00000000 NC USD 203586.04000000 0.004387134759 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 153423.03000000 USD 0.00000000 USD 1400000.00000000 USD 50163.01000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVKP9 2687609.22200000 PA USD 2420641.20000000 0.052163100907 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 0.03500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F062697 10000000.00000000 PA USD 10306250.00000000 0.222092377310 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRDP7 7921857.61400000 PA USD 7050988.79000000 0.151943807180 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GVZ87 368573.42600000 PA USD 391785.74000000 0.008442704804 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTZ78 2771758.59300000 PA USD 2955848.54000000 0.063696439463 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BURK8 10322486.12000000 PA USD 10323768.17000000 0.222469881448 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04743190 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KQGP5 2198045.53300000 PA USD 2253675.87000000 0.048565116473 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRLC7 10495013.55700000 PA USD 9693207.12000000 0.208881738075 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.04000000 N N N N N N BANK5 2025-5YR14 N/A 06604MAE8 74200000.00000000 PA USD 808023.16000000 0.017412325969 Long ABS-MBS CORP US N 2 2058-04-15 Variable 0.00271239 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQF1 500000.00000000 PA USD 490332.03000000 0.010566307455 Long DBT UST US N 2 2033-03-31 Fixed 0.04250000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31425YAN7 49120.11700000 PA USD 51929.66000000 0.001119047339 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCWH7 17939917.85300000 PA USD 15579805.05000000 0.335733748122 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMWW0 715012.72600000 PA USD 664520.31000000 0.014319941338 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BWSK5 64940.42500000 PA USD 68495.55000000 0.001476030518 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179W5B0 46384408.65800000 PA USD 38840610.78000000 0.836987612789 Long ABS-MBS USGA US N 2 2052-05-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QQNK7 36116.15600000 PA USD 35436.85000000 0.000763638982 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XX43 19577.47500000 PA USD 18553.41000000 0.000399812825 Long ABS-MBS USGA US N 2 2053-04-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427JJX7 33927.74500000 PA USD 35851.89000000 0.000772582799 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N HAVN TR 2025-MOB N/A 40408XAA9 605000.00000000 PA USD 604621.88000000 0.013029172657 Long ABS-MBS CORP US N 3 2035-10-15 Variable 0.05339200 N N N N N N BX TRUST 2025-ROIC N/A 05593VAJ2 884910.37000000 PA USD 884088.73000000 0.019051485050 Long ABS-MBS CORP US N 2 2030-03-15 Floating 0.05182470 N N N N N N ENTERPRISE FLEET FINANCING LLC 2024-1 N/A 29375PAB6 179602.80700000 PA USD 180082.72000000 0.003880654883 Long ABS-CBDO CORP US N 2 2030-03-20 Fixed 0.05230000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QPT23 7037915.19700000 PA USD 6887945.67000000 0.148430343590 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTLF5 6162074.16700000 PA USD 5316751.59000000 0.114572225609 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBB8 9540322.29300000 PA USD 7538498.41000000 0.162449293702 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6EJ5 2637062.17700000 PA USD 2756874.20000000 0.059408683568 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XGXG9 17066311.54800000 PA USD 15823798.74000000 0.340991639077 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNW42 4479012.28900000 PA USD 4735200.59000000 0.102040214052 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142JNAN6 40331.81100000 PA USD 42377.16000000 0.000913197740 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N AJAX MTG LN TR 2021-E N/A 009740AA9 53978.84000000 PA USD 47072.31000000 0.001014374892 Long ABS-CBDO CORP US N 2 2060-12-25 Fixed 0.01740000 N N N N N N MSC 2021-L6 N/A 61692CBE7 3435715.00000000 PA USD 3031015.26000000 0.065316228963 Long ABS-MBS CORP US N 2 2054-06-15 Variable 0.02444000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKJH4 3094780.98600000 PA USD 2475390.90000000 0.053342918108 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5C64 1840739.66700000 PA USD 1835578.23000000 0.039555408886 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 0.05500000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2026-5C9 N/A 94990LAC2 5600000.00000000 PA USD 5652161.76000000 0.121800076867 Long ABS-MBS CORP US N 2 2059-05-15 Fixed 0.05486000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2018-H4 N/A 61691RAE6 3405000.00000000 PA USD 3344333.12000000 0.072068006611 Long ABS-MBS CORP US N 2 2051-12-15 Fixed 0.04310000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BNY75 12763821.00000000 PA USD 12606689.43000000 0.271665215332 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04443190 N N N N N N WESTF 2025-A N/A 97063RAA8 2116259.11000000 PA USD 2099328.61000000 0.045239042498 Long ABS-CBDO CORP US N 2 2050-06-15 Fixed 0.05582000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133D4ZX4 45470.07500000 PA USD 48081.51000000 0.001036122436 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KNAB9 35275.81000000 PA USD 27973.18000000 0.000602802187 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUDJ9 766238.58000000 PA USD 801051.79000000 0.017262097891 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6ZA1 5874772.14300000 PA USD 6160044.62000000 0.132744592261 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSA44 20928.47400000 PA USD 16478.24000000 0.000355094384 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427R7A2 1506154.99700000 PA USD 1353720.21000000 0.029171710336 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.03500000 N N N N N N WELLS FARGO COML MTG TR 2019-C50 N/A 95001XAZ9 882939.68200000 PA USD 872788.79000000 0.018807979358 Long ABS-MBS CORP US N 2 2052-05-15 Fixed 0.03635000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BDZE3 387795.50600000 PA USD 405778.13000000 0.008744230884 Long ABS-MBS USGSE US N 2 2055-06-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CTXC8 98845.35100000 PA USD 104758.53000000 0.002257472016 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.07000000 N N N N N N HOMES 2026-NQM4 TRUST N/A 437938AA1 2980139.42000000 PA USD 2972104.37000000 0.064046741069 Long ABS-CBDO CORP US N 2 2061-06-25 Variable 0.05502000 N N N N N N POST ROAD EQUIPMENT FINANCE 2026-1 LLC N/A 73747RAB1 2900000.00000000 PA USD 2887260.01000000 0.062218405291 Long ABS-CBDO CORP US N 2 2033-01-18 Fixed 0.04470000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136ARGN2 20886395.94500000 PA USD 17751333.29000000 0.382528641436 Long ABS-CBDO USGSE US N 2 2046-02-25 Fixed 0.02500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F0206A2 157675000.00000000 PA USD 122924896.38000000 2.648944326756 Long ABS-MBS USGA US N 2 2056-10-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBP7 2502071.28300000 PA USD 1975503.63000000 0.042570702008 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUW86 8260862.25800000 PA USD 8306025.22000000 0.178988952054 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AUJ46 62304.25300000 PA USD 66072.34000000 0.001423812062 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DX80 2758522.76500000 PA USD 2449237.47000000 0.052779330242 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.01500000 N N N N N N 3650R 2021-PF1 COMMERCIAL MORTGAGE TRUST N/A 88581EAE1 1400000.00000000 PA USD 1328108.74000000 0.028619801323 Long ABS-MBS CORP US N 2 2054-11-15 Fixed 0.02372000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BBGJ5 6203691.88100000 PA USD 5880709.69000000 0.126725122651 Long ABS-CBDO USGSE US N 2 2044-06-25 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427NAS8 21277943.63600000 PA USD 17787794.89000000 0.383314363053 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XMQW9 7481077.25200000 PA USD 6496892.91000000 0.140003433985 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XF7L9 2100017.70000000 PA USD 1798809.01000000 0.038763058276 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTZ86 1733881.37500000 PA USD 1840369.95000000 0.039658667054 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N ARI FLEET LEASE TRUST 2025-A N/A 04033CAD8 1100000.00000000 PA USD 1092724.05000000 0.023547428211 Long ABS-CBDO CORP US N 2 2034-01-17 Fixed 0.04700000 N N N N N N ONSLOW BAY FINANC N/A 67125EAA6 8515842.71000000 PA USD 8531573.17000000 0.183849350396 Long ABS-CBDO CORP US N 2 2063-07-25 Variable 0.05731000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W4GQ4 10462173.92100000 PA USD 10707344.50000000 0.230735679290 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KKK24 18595466.62900000 PA USD 15574370.88000000 0.335616645612 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02500000 N N N N N N TOWD PT MTG TR 2017-6 N/A 89175JAB6 5700000.00000000 PA USD 5482645.32000000 0.118147117823 Long ABS-CBDO CORP US N 2 2057-10-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5QU1 3064747.32800000 PA USD 2916390.27000000 0.062846141732 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.04500000 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2024-2 N/A 17331XAD3 654.16000000 PA USD 656.10000000 0.000014138489 Long ABS-CBDO CORP US N 2 2028-08-15 Fixed 0.05330000 N N N N N N DTP COML MTG TR 2023-STE2 N/A 23346GAA7 2420000.00000000 PA USD 2423626.85000000 0.052227439546 Long ABS-MBS CORP US N 2 2041-01-15 Variable 0.05843270 N N N N N N HONDA AUTO RECEIVABLES 2024-1 OWNER TR N/A 437918AC9 1207746.72000000 PA USD 1212518.16000000 0.026128906312 Long ABS-CBDO CORP US N 2 2028-08-15 Fixed 0.05210000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FKSH0 2700000.00000000 PA USD 2652520.77000000 0.057159941169 Long ABS-MBS USGSE US N 2 2028-11-25 Fixed 0.03859000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABCA8 2379447.20600000 PA USD 1988744.35000000 0.042856030132 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DMN9 4689397.28900000 PA USD 3885040.92000000 0.083719876179 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X42P0 31262.53000000 PA USD 29909.26000000 0.000644523338 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLC7 2707941.39700000 PA USD 2263766.98000000 0.048782572736 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 0.02500000 N N N N N N WILLIS ENGINE SECURITIZATION TRUST 2025-B N/A 970910AA3 4592866.77000000 PA USD 4516420.80000000 0.097325664757 Long ABS-CBDO CORP US N 2 2050-12-15 Fixed 0.05159000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVME2 13748412.60700000 PA USD 13108663.22000000 0.282482394458 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133USJU6 143178.10500000 PA USD 113269.60000000 0.002440879538 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N BMO 2024-C9 MTG TR N/A 05593MAD5 18034000.00000000 PA USD 18424427.08000000 0.397033335187 Long ABS-MBS CORP US N 2 2057-07-15 Fixed 0.05759200 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KJ4H2 436654.32100000 PA USD 348443.51000000 0.007508710490 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3622AD6T0 15000063.88100000 PA USD 13247244.92000000 0.285468731797 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNEL2 2424527.70600000 PA USD 1933220.93000000 0.041659539814 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNTK4 10800000.00000000 PA USD 10519560.72000000 0.226689072025 Long ABS-MBS USGSE US N 2 2032-09-25 Fixed 0.04360000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MH6 866859.92700000 PA USD 914004.10000000 0.019696140054 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050692 124125000.00000000 PA USD 119809719.90000000 2.581814483197 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.05000000 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2026-2 N/A 68270HAA0 5100000.00000000 PA USD 5086849.14000000 0.109617990881 Long ABS-CBDO CORP US N 2 2038-01-14 Fixed 0.04980000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKYL8 3120785.24600000 PA USD 2479611.49000000 0.053433868829 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQXA0 949306.86800000 PA USD 788255.44000000 0.016986345624 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3132E06F4 16037430.25300000 PA USD 14479467.68000000 0.312022258264 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNN81 12909711.96700000 PA USD 11211355.44000000 0.241596757553 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2 N/A 92867YAD6 331108.32000000 PA USD 333095.30000000 0.007177967451 Long ABS-CBDO CORP US N 2 2028-12-20 Fixed 0.05480000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUK97 6208942.49400000 PA USD 6508016.08000000 0.140243130409 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133W7BX2 29260.96200000 PA USD 30898.04000000 0.000665830846 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GT6J0 1570210.99700000 PA USD 1647930.79000000 0.035511739652 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWCK7 7875574.99700000 PA USD 6745969.46000000 0.145370856968 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KMSU0 30279.93700000 PA USD 24115.62000000 0.000519674505 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F2LJ3 2748863.03000000 PA USD 2723073.75000000 0.058680307845 Long ABS-MBS USGSE US N 2 2027-06-25 Fixed 0.03117000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GV2F7 152123.72600000 PA USD 162488.68000000 0.003501515801 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CGS65 937871.62900000 PA USD 994006.81000000 0.021420141709 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSD41 4745315.93400000 PA USD 4948679.77000000 0.106640538960 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XAH47 1805914.51400000 PA USD 1443349.73000000 0.031103162918 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQSJ7 3291866.72000000 PA USD 3441994.61000000 0.074172542449 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142JCCM0 10522104.05900000 PA USD 10277348.34000000 0.221469567036 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XND27 4182428.29900000 PA USD 4431455.52000000 0.095494723238 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H0606A4 45900000.00000000 PA USD 46452883.86000000 1.001026698302 Long ABS-MBS USGA US N 2 2056-10-01 Fixed 0.06000000 N N N N N N MHP 2025-MHIL2 N/A 59317DAA3 2512000.00000000 PA USD 2507307.84000000 0.054030705526 Long ABS-MBS CORP US N 2 2040-09-15 Variable 0.05139200 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQME4 817466.37200000 PA USD 817848.21000000 0.017624048828 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.05500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 300000.00000000 NC USD 19277.19000000 0.000415409771 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S19 PRC CORP INDEX CZ039900 Y 2058-12-17 23546.91000000 USD 0.00000000 USD 300000.00000000 USD -4269.72000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QV4N1 6194617.44300000 PA USD 6481870.53000000 0.139679712351 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06500000 N N N N N N EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 N/A 30185EAC7 305000.00000000 PA USD 304385.06000000 0.006559282143 Long ABS-CBDO CORP US N 2 2030-08-15 Fixed 0.04430000 N N N N N N BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC 25-5C38 N/A 05556RAH0 24896000.00000000 PA USD 866789.09000000 0.018678690078 Long ABS-MBS CORP US N 2 2058-11-15 Variable 0.00891936 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427HEX6 38032.82900000 PA USD 40476.82000000 0.000872246760 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B4K87 135585.80500000 PA USD 125799.22000000 0.002710883962 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2VC2 6917660.79000000 PA USD 5782980.41000000 0.124619125986 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVEX8 715606.87000000 PA USD 735059.93000000 0.015840020115 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QPR33 118499.46200000 PA USD 116566.88000000 0.002511933583 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142JCDV9 4130363.00000000 PA USD 4114428.89000000 0.088663024228 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133GEYP7 3844472.71800000 PA USD 3477295.20000000 0.074933245125 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 0.02000000 N N N N N N PEAC SOLUTIONS RECEIVABLES 2026-1 LLC N/A 704583AC7 620000.00000000 PA USD 613217.70000000 0.013214406481 Long ABS-CBDO CORP US N 2 2033-07-20 Fixed 0.04390000 N N N N N N WELLS FARGO COML MTG TR 2025-VTT N/A 94990GAA7 1226000.00000000 PA USD 1217397.89000000 0.026234061033 Long ABS-MBS CORP US N 2 2038-03-15 Variable 0.05100370 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VVX5 8216469.98900000 PA USD 6603590.08000000 0.142302682318 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 0.02000000 N N N N N N REACH ABS TR 2026-2 N/A 754923AB6 800000.00000000 PA USD 797598.56000000 0.017187683233 Long ABS-CBDO CORP US N 2 2035-02-15 Fixed 0.04810000 N N N N N N BX TRUST 2025-ROIC N/A 05593VAA1 7531377.63700000 PA USD 7517291.70000000 0.161992304144 Long ABS-MBS CORP US N 3 2030-03-15 Variable 0.04783030 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BQ7F2 43099.14100000 PA USD 45434.33000000 0.000979077585 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 17400000.00000000 NC USD -124427.40000000 -0.00268132221 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX AAA CDSI S17 PRC CORP CY885799 Y 2056-12-15 0.00000000 USD 230472.82000000 USD 17400000.00000000 USD 106045.42000000 N N N BMW VEHICLE OWNER TRUST 2024-A N/A 096919AD7 881832.13000000 PA USD 885618.45000000 0.019084449431 Long ABS-CBDO CORP US N 2 2029-02-26 Fixed 0.05180000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNUF8 26444865.52800000 PA USD 25880944.64000000 0.557715999721 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6 N/A 48128KBA8 7824.72500000 PA USD 7799.52000000 0.000168074123 Long ABS-MBS CORP US N 2 2050-07-15 Fixed 0.03282900 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F72B0 100000.00000000 PA USD 96999.60000000 0.002090272578 Long ABS-MBS USGSE US N 2 2027-09-25 Fixed 0.01470000 N N N N N N BLP COML MTG 2024-INDS N/A 05625AAA9 1522034.33000000 PA USD 1523936.87000000 0.032839758624 Long ABS-MBS CORP US N 3 2041-03-15 Variable 0.04981350 N N N N N N JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020 N/A 46652JAW2 100000.00000000 PA USD 86383.22000000 0.001861497119 Long ABS-MBS CORP US N 2 2053-05-13 Fixed 0.02179800 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H65X9 17420896.44000000 PA USD 16202830.85000000 0.349159512201 Long ABS-CBDO USGSE US N 2 2048-04-25 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABJF0 1354979.78400000 PA USD 1132916.89000000 0.024413555405 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNNM1 3950238.53800000 PA USD 3866063.70000000 0.083310930548 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PX66 15361198.94500000 PA USD 16081918.75000000 0.346553942209 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06500000 N N N N N N BRAVO RESIDENTIAL FDG TR 2026-NQM3 N/A 10571LAC5 2803902.96000000 PA USD 2777420.94000000 0.059851451241 Long ABS-CBDO CORP US N 2 2065-11-25 Variable 0.04922000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FJXV6 2200000.00000000 PA USD 2171558.62000000 0.046795547981 Long ABS-MBS USGSE US N 2 2028-09-25 Fixed 0.04050000 N N N N N N FIDIUM FIBER FINANCE HOLDCO LLC N/A 315961AG7 3820000.00000000 PA USD 3707087.29000000 0.079885101674 Long ABS-CBDO CORP US N 2 2056-03-20 Fixed 0.05079000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142JNAM8 47070.10000000 PA USD 49479.24000000 0.001066242526 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9EH3 70211.20200000 PA USD 60693.25000000 0.001307896487 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHEU2 2718085.04200000 PA USD 2609760.38000000 0.056238485094 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N DBJPM 2020-C9 N/A 233063AT3 2000000.00000000 PA USD 1788616.20000000 0.038543410450 Long ABS-MBS CORP US N 2 2053-08-15 Fixed 0.01926000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 200000.00000000 NC USD 31821.00000000 0.000685719979 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 28387.88000000 USD 0.00000000 USD 200000.00000000 USD 3433.12000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFUZ2 24192.83100000 PA USD 19396.23000000 0.000417974998 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMJ1 1613379.76300000 PA USD 1492892.56000000 0.032170775764 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MPQ8 14348146.73100000 PA USD 14729219.16000000 0.317404225510 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FKUP9 1058618.06000000 PA USD 1038457.21000000 0.022378016301 Long ABS-MBS USGSE US N 2 2028-12-25 Fixed 0.03771000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B5LN0 115700.74500000 PA USD 107530.25000000 0.002317200616 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKW71 50830.39700000 PA USD 40625.42000000 0.000875448985 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N RCO MORTGAGE LLC N/A 74940DAA7 5119600.80000000 PA USD 5096621.98000000 0.109828588651 Long ABS-CBDO CORP US N 2 2031-03-25 Variable 0.05535800 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSQK1 573318.39800000 PA USD 452124.51000000 0.009742962500 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133A96N0 486587.35300000 PA USD 384944.02000000 0.008295270591 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N BENCHMARK 2021 MORTGAGE TRUST N/A 08163DAF4 4954464.75000000 PA USD 4673177.99000000 0.100703671014 Long ABS-MBS CORP US N 2 2054-04-15 Fixed 0.02271000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F0504A1 21050000.00000000 PA USD 20930770.70000000 0.451043262456 Long ABS-MBS USGA US N 2 2041-10-01 Fixed 0.05000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CPU9 10040000.00000000 PA USD 9853042.45000000 0.212326076066 Long DBT UST US N 2 2036-01-15 Fixed 0.01875000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 63200000.00000000 NC USD 334106.17000000 0.007199750983 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2028-07-01 0.00000000 USD 0.00000000 USD 63200000.00000000 USD 1.00000000 3.94000000 USD 2027-06-29 XXXX 95526.17000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427SQB7 974884.43500000 PA USD 882006.80000000 0.019006620935 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140MHHF9 162583.95100000 PA USD 151102.68000000 0.003256155577 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427C5Z2 43845.33600000 PA USD 46541.58000000 0.001002938037 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 0.07000000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 200000.00000000 NC USD 31821.00000000 0.000685719979 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 12839.80000000 USD 0.00000000 USD 200000.00000000 USD 18981.20000000 N N N LONDON CLEARING HOUSE N/A N/A 23049000.00000000 NC USD -178726.93000000 -0.00385143857 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2036-09-16 0.00000000 USD 0.00000000 USD 22056605.63000000 USD -178726.93000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QPYD3 22130.83000000 PA USD 21721.49000000 0.000468082702 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N PEAC SOLUTIONS RECEIVABLES 2026-1 LLC N/A 704583AB9 2760000.00000000 PA USD 2750761.18000000 0.059276952322 Long ABS-CBDO CORP US N 2 2028-10-20 Fixed 0.04270000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUDH3 706327.46000000 PA USD 739080.85000000 0.015926668089 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HN4R6 4800000.00000000 PA USD 4734151.68000000 0.102017610785 Long ABS-MBS USGSE US N 2 2030-05-25 Variable 0.04361000 N N N N N N BENCHMARK 2018-B6 MORTGAGE TRUST N/A 08162CAC4 1300000.00000000 PA USD 1274259.74000000 0.027459393568 Long ABS-MBS CORP US N 2 2051-10-10 Fixed 0.03995000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWA45 27536.47800000 PA USD 20640.81000000 0.000444794815 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H0506A5 -43600000.00000000 PA USD -42184281.84000000 -0.90904135247 Short ABS-MBS USGA US N 2 2056-10-01 Fixed 0.05000000 N N N N N N LONDON CLEARING HOUSE N/A N/A -7810000.00000000 NC USD 184521.09000000 0.003976298609 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2033-09-16 0.00000000 USD 0.00000000 USD -7627353.70000000 USD 184521.09000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CW7F5 5765905.80000000 PA USD 5774293.46000000 0.124431928375 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 0.05000000 N N N N N N BRIDGE COML MTG TR 2026-MF N/A 10804AAA2 6400000.00000000 PA USD 6408000.00000000 0.138087854826 Long ABS-MBS CORP US N 2 2039-06-15 Variable 0.04889200 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137GBX42 7890000.00000000 PA USD 7889971.60000000 0.170023291648 Long ABS-MBS USGSE US N 2 2031-06-25 Floating 0.04099750 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 N/A 802920AD0 590100.33000000 PA USD 590192.50000000 0.012718229753 Long ABS-CBDO CORP US N 2 2028-11-15 Fixed 0.04620000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BQ7G0 36330.50000000 PA USD 38233.67000000 0.000823908469 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MHB0 14719640.08000000 PA USD 12245429.03000000 0.263880309953 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXG22 1550860.79500000 PA USD 1591287.70000000 0.034291121239 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRCH6 12602315.58300000 PA USD 11464699.51000000 0.247056142566 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.03500000 N N N N N N BX 2024-CNYN N/A 05612HAA9 4044771.82200000 PA USD 4051091.78000000 0.087298154432 Long ABS-MBS CORP US N 2 2041-04-15 Variable 0.05081078 N N N N N N RKTL 2026-1A N/A 74990JAB1 1200000.00000000 PA USD 1189682.88000000 0.025636822225 Long ABS-CBDO CORP US N 2 2035-02-26 Fixed 0.04330000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F060691 19200000.00000000 PA USD 19417459.20000000 0.418432473018 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUDY0 6203776.94900000 PA USD 6372420.42000000 0.137321140113 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06000000 N N N N N N REACH ABS TR 2025-2 N/A 75525QAA8 1121627.04000000 PA USD 1123216.39000000 0.024204516510 Long ABS-CBDO CORP US N 2 2032-08-18 Fixed 0.04930000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QTQJ1 2011504.46200000 PA USD 2140700.98000000 0.046130587726 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140N4UD7 39559.75600000 PA USD 38821.86000000 0.000836583546 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GSVE5 3480371.42500000 PA USD 3489610.42000000 0.075198629381 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDXZ4 37557589.05800000 PA USD 31326724.94000000 0.675068702512 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N D2-NATIXIS MULTIFAMILY N/A 23348GAC1 125920000.00000000 PA USD 3845080.53000000 0.082858758118 Long ABS-MBS CORP US N 2 2059-08-15 Variable 0.00916138 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQ6C0 17696553.60000000 PA USD 17686454.18000000 0.381130542634 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.04119750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQX51 2162610.48000000 PA USD 1845886.23000000 0.039777538975 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNQZ0 3105843.14600000 PA USD 3283489.61000000 0.070756872126 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133USHP9 28565.82900000 PA USD 22598.71000000 0.000486986171 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N PSA TRUST 2026-STOR N/A 74449KAA7 3272000.00000000 PA USD 3273954.69000000 0.070551401364 Long ABS-MBS CORP US N 2 2031-08-15 Fixed 0.05553815 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 500000.00000000 NC USD 37177.50000000 0.000801148755 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 18667.77000000 USD 0.00000000 USD 500000.00000000 USD 18509.73000000 N N N GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2 N/A 39571VAB4 165252.81000000 PA USD 165476.71000000 0.003565905728 Long ABS-CBDO CORP US N 2 2060-06-25 Fixed 0.04930000 N N N N N N OLIT 2026-HB3 N/A 68279MAA0 1453011.90000000 PA USD 1423870.15000000 0.030683391785 Long ABS-CBDO CORP US N 2 2039-05-25 Variable 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QHPZ2 13751.63000000 PA USD 12742.12000000 0.000274583648 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136B3DE7 914426.12100000 PA USD 884094.97000000 0.019051619517 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 0.03893430 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUDE0 209583.20000000 PA USD 220022.31000000 0.004741324719 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6Y46 10386237.06000000 PA USD 10539559.73000000 0.227120036505 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427SSP4 7247321.09700000 PA USD 5726632.38000000 0.123404865907 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y8CE4 6551445.64900000 PA USD 6696782.92000000 0.144310921919 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQP43 12070505.05000000 PA USD 12679267.69000000 0.273229225355 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HFYT6 1810262.74500000 PA USD 1816752.54000000 0.039149728620 Long ABS-CBDO USGSE US N 2 2054-10-25 Variable 0.04643190 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXRU8 934871.37500000 PA USD 958948.89000000 0.020664668400 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG3V4 3543453.90700000 PA USD 3399831.34000000 0.073263953887 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H6UX1 1963326.86200000 PA USD 1762091.16000000 0.037971814652 Long ABS-CBDO USGSE US N 2 2050-08-25 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HRVC0 21199219.46000000 PA USD 21286032.38000000 0.458698899674 Long ABS-MBS USGSE US N 2 2031-03-25 Variable 0.04119750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BKMN1 56101.46900000 PA USD 59196.38000000 0.001275640001 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.07000000 N N N N N N BX COML MTG TR 2024-XL5 N/A 05612GAA1 6161099.48400000 PA USD 6174576.89000000 0.133057752372 Long ABS-MBS CORP US N 2 2041-03-15 Variable 0.05030850 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BFPS6 72153061.67300000 PA USD 54928062.27000000 1.183660781621 Long ABS-CBDO USGSE US N 2 2050-02-25 Fixed 0.01250000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022691 6100000.00000000 PA USD 4978648.59000000 0.107286345775 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q7U96 79856.02000000 PA USD 72322.97000000 0.001558508705 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HN6B9 5200000.00000000 PA USD 5141309.68000000 0.110791576889 Long ABS-MBS USGSE US N 2 2030-05-25 Fixed 0.04421000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FUBJ2 219785.53000000 PA USD 209749.53000000 0.004519953596 Long ABS-CBDO USGSE US N 2 2044-03-25 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AKT70 153303.70800000 PA USD 162172.91000000 0.003494711181 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BUJ94 52950.95000000 PA USD 55899.36000000 0.001204591558 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KKHK3 500760.00400000 PA USD 397556.72000000 0.008567065330 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CQA5 166528.39300000 PA USD 150455.01000000 0.003242198748 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHD74 2913392.54300000 PA USD 2792916.19000000 0.060185362888 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427JFB9 69736.96600000 PA USD 73673.44000000 0.001587610375 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W1AD5 15970726.96000000 PA USD 13391029.73000000 0.288567192467 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNEP4 2978667.83300000 PA USD 2597974.72000000 0.055984512480 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N BBCMS Mortgage Trust 2022-C14 N/A 07336AAF4 600000.00000000 PA USD 565681.38000000 0.012190032503 Long ABS-MBS CORP US N 2 2055-02-15 Fixed 0.02901000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXU42 8358093.62300000 PA USD 7410537.38000000 0.159691824268 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140NM4F1 730095.19000000 PA USD 760551.18000000 0.016389338472 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.06500000 N N N N N N TOYOTA LEASE OWNER TR 2026-A N/A 89240MAB0 21097901.61000000 PA USD 21037491.99000000 0.453343030559 Long ABS-CBDO CORP US N 2 2028-02-22 Fixed 0.03700000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133BFC65 251780.91800000 PA USD 233922.10000000 0.005040855334 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBT9 24855.88800000 PA USD 19624.90000000 0.000422902675 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WFH6 7714794.69400000 PA USD 6720998.76000000 0.144832756095 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 0.03000000 N N N N N N PRPM 2026-RCF4 N/A 69384HAA1 3199420.82000000 PA USD 3166649.79000000 0.068239056880 Long ABS-CBDO CORP US N 2 2056-06-25 Variable 0.05250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV6R1 24478558.75600000 PA USD 19365227.72000000 0.417306921672 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W3JC4 23096864.79200000 PA USD 23630898.95000000 0.509229111052 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133GAVD5 378687.48900000 PA USD 337057.46000000 0.007263349189 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.01500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BL7M6 9928865.30900000 PA USD 1815325.22000000 0.039118970886 Long ABS-CBDO USGSE US N 2 2048-04-25 Fixed 0.04500000 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2019 N/A 90278PBA7 1700000.00000000 PA USD 1581513.40000000 0.034080492007 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 0.03035200 N N N N N N EXTENDED STAY AMERICA TRUST 2025-ESH N/A 30227TAA8 5356941.90000000 PA USD 5366986.17000000 0.115654745177 Long ABS-MBS CORP US N 2 2042-10-15 Variable 0.04939200 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5WR4 5450922.39100000 PA USD 4791059.89000000 0.103243942346 Long ABS-CBDO USGSE US N 2 2052-02-25 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPZ51 1005353.09500000 PA USD 1050071.90000000 0.022628304632 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 0.06500000 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1 N/A 81885FAD8 2300000.00000000 PA USD 2266090.18000000 0.048832636048 Long ABS-CBDO CORP US N 2 2031-07-21 Fixed 0.03960000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KJ6R8 10321412.87900000 PA USD 8236330.59000000 0.177487082211 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DYB2 4788475.43600000 PA USD 3780727.85000000 0.081472003509 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUK63 10931144.28300000 PA USD 11475612.56000000 0.247291311053 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KML37 32071.82000000 PA USD 28765.76000000 0.000619881724 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BXNE0 5800000.00000000 PA USD 5551278.60000000 0.119626116326 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 0.04389000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BPBP5 18581238.06600000 PA USD 18352220.59000000 0.395477336543 Long ABS-CBDO USGSE US N 2 2052-10-25 Variable 0.04443190 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WG44 2043000.12500000 PA USD 1778869.42000000 0.038333374254 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XHHT7 215666.52800000 PA USD 170076.74000000 0.003665033112 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02000000 N N N N N N BX TRUST 2025-DIME N/A 05613UAA9 5616000.00000000 PA USD 5601625.85000000 0.120711063852 Long ABS-MBS CORP US N 2 2035-02-15 Variable 0.04789200 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2MT5 10424707.29700000 PA USD 8295953.92000000 0.178771922682 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AF6L0 15598.50500000 PA USD 12466.87000000 0.000268652205 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV3Z6 4363123.02000000 PA USD 3768673.69000000 0.081212244911 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNN53 6190698.34700000 PA USD 6186306.05000000 0.133310507450 Long ABS-MBS USGSE US N 2 2030-07-25 Variable 0.04149750 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133BJC59 140996.44400000 PA USD 130995.57000000 0.002822861618 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.04000000 N N N N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2026-NQM3 N/A 617960AA7 1547443.15000000 PA USD 1537637.93000000 0.033135006749 Long ABS-CBDO CORP US N 2 2071-03-25 Variable 0.05134000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QTDB2 3532265.16600000 PA USD 3552680.25000000 0.076557739482 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.05500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 1345000.00000000 NC USD 195588.02000000 0.004214783101 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 180511.08000000 USD 0.00000000 USD 1345000.00000000 USD 15076.94000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133G8VY4 61055.61400000 PA USD 55567.76000000 0.001197445813 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CWZZ0 1093537.60800000 PA USD 1014627.61000000 0.021864505323 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLE46 5731624.87900000 PA USD 4534344.61000000 0.097711910149 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02000000 N N N N N N SCMS 2025-BNC1 N/A 78398LAC3 4604129.29000000 PA USD 4561110.61000000 0.098288698464 Long ABS-MBS CORP US N 2 2057-12-15 Fixed 0.04501600 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSRB0 6244206.31500000 PA USD 6603310.62000000 0.142296660154 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N DBJPM 2020-C9 N/A 233063AQ9 2100000.00000000 PA USD 1910028.96000000 0.041159769310 Long ABS-MBS CORP US N 2 2053-08-15 Fixed 0.01644000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNYX5 17199.05000000 PA USD 16875.56000000 0.000363656348 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.05000000 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2026-P3 N/A 14689HAC5 1650000.00000000 PA USD 1645352.12000000 0.035456171143 Long ABS-CBDO CORP US N 2 2031-08-11 Fixed 0.04760000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QSU33 116612.62700000 PA USD 114419.28000000 0.002465654326 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QS4U2 15678.89500000 PA USD 16380.22000000 0.000352982122 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140UNUN5 999999.68500000 PA USD 995829.39000000 0.021459417015 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N BENCHMARK 2019-B10 MTG TR N/A 08162VAE8 750000.00000000 PA USD 725037.08000000 0.015624034807 Long ABS-MBS CORP US N 2 2062-03-15 Fixed 0.03717000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNF73 30931.28400000 PA USD 24634.36000000 0.000530852984 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140MRBN6 13977.56200000 PA USD 13680.81000000 0.000294811751 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSYQ9 378951.19100000 PA USD 386609.42000000 0.008331158780 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HMC65 4700000.00000000 PA USD 4628376.70000000 0.099738234992 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 0.04329000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B9WC9 78756.49600000 PA USD 83544.21000000 0.001800318467 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2 N/A 30168JAC7 1672752.50000000 PA USD 1673539.86000000 0.036063596946 Long ABS-CBDO CORP US N 2 2029-01-16 Fixed 0.04740000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BUTE2 43558.77700000 PA USD 46006.67000000 0.000991411106 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJYG6 5819461.74000000 PA USD 5843221.44000000 0.125917277453 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04793190 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QV5K6 158089.26000000 PA USD 167329.18000000 0.003605825142 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QM4P6 2378352.07400000 PA USD 1973374.37000000 0.042524817965 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CQ6B6 69356.82600000 PA USD 73232.83000000 0.001578115542 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNVQ4 1816101.10400000 PA USD 1919977.55000000 0.041374154368 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XR6J9 499881.00800000 PA USD 399053.66000000 0.008599323325 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BNBG0 709173.81600000 PA USD 684042.89000000 0.014740639090 Long ABS-CBDO USGSE US N 2 2047-03-25 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BWR75 40318.65100000 PA USD 42751.41000000 0.000921262562 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CCDZ6 79443.55400000 PA USD 77584.38000000 0.001671888358 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137H3EQ1 6326874.02400000 PA USD 4964846.73000000 0.106988925481 Long ABS-CBDO USGSE US N 2 2051-10-25 Fixed 0.01750000 N N N N N N BX COML MTG TR 2024-GPA3 N/A 123910AA9 4608712.36600000 PA USD 4617353.70000000 0.099500697160 Long ABS-MBS CORP US N 2 2039-12-15 Variable 0.04932020 N N N N N N PLYM COMMERCIAL MORTGAGE TRUST 2026-IND N/A 69292BAA5 6404040.37000000 PA USD 6408042.90000000 0.138088779290 Long ABS-MBS CORP US N 2 2043-03-15 Variable 0.04889200 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMS1 9692053.42400000 PA USD 9940378.37000000 0.214208103195 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W4QU4 14125506.61000000 PA USD 14775007.29000000 0.318390927234 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.06500000 N N N N N N BANK 2017-BNK9 N/A 06540RAC8 235555.72000000 PA USD 233890.08000000 0.005040165326 Long ABS-MBS CORP US N 2 2054-11-15 Fixed 0.03470000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H7ZT3 894984.41000000 PA USD 884043.94000000 0.019050519857 Long ABS-CBDO USGSE US N 2 2052-07-25 Variable 0.04193190 N N N N N N OBX 2026-NQM11 N/A 67125JAA5 2667389.37000000 PA USD 2667252.27000000 0.057477394545 Long ABS-CBDO CORP US N 2 2066-06-25 Variable 0.05592000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DXK3 6441406.92700000 PA USD 5089821.33000000 0.109682039467 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2Z53 3460672.85600000 PA USD 3539169.22000000 0.076266586369 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.06000000 N N N N N N PLYM COMMERCIAL MORTGAGE TRUST 2026-IND N/A 69292BAC1 1691792.64000000 PA USD 1692850.01000000 0.036479716982 Long ABS-MBS CORP US N 2 2043-03-15 Variable 0.05089200 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HAT48 1128156.42100000 PA USD 1146756.56000000 0.024711790477 Long ABS-CBDO USGSE US N 2 2053-10-25 Variable 0.05093190 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABKA9 1540697.46900000 PA USD 1288679.42000000 0.027770127444 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XJBR3 31104.96400000 PA USD 27578.60000000 0.000594299268 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A4QP9 164222.42900000 PA USD 173253.74000000 0.003733495208 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNN32 2946379.64500000 PA USD 2451125.34000000 0.052820012501 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B0NZ7 234907.30100000 PA USD 244893.68000000 0.005277285101 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGV35 2868978.20700000 PA USD 2756765.58000000 0.059406342884 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 0.02500000 N N N N N N DBGS 2018-C1 MTG TR N/A 23307DAY9 292564.43500000 PA USD 291591.10000000 0.006283581380 Long ABS-MBS CORP US N 2 2051-10-15 Fixed 0.04302000 N N N N N N GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 N/A 39154GAQ9 430000.00000000 PA USD 430326.37000000 0.009273228044 Long ABS-CBDO CORP US N 2 2030-09-16 Fixed 0.04760000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AR4L6 179056.28900000 PA USD 142604.42000000 0.003073024102 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQRD3 7325708.05100000 PA USD 7445114.16000000 0.160436929352 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05093190 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140MYAE2 60035.05100000 PA USD 58735.14000000 0.001265700606 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N JOHN DEERE OWNER TRUST 2025 N/A 47800DAB0 809516.33000000 PA USD 809813.99000000 0.017450917086 Long ABS-CBDO CORP US N 2 2028-03-15 Fixed 0.04230000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133ASJZ7 297310.36100000 PA USD 276315.05000000 0.005954393338 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BSMZ5 1137374.33900000 PA USD 1149059.95000000 0.024761426897 Long ABS-CBDO USGSE US N 2 2054-07-25 Variable 0.05173190 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BPDD0 7095002.21600000 PA USD 7021908.08000000 0.151317138507 Long ABS-CBDO USGSE US N 2 2052-10-25 Variable 0.04443190 N N N N N N EQT 2026-IND1 N/A 29439AAA5 2847000.00000000 PA USD 2850558.75000000 0.061427519170 Long ABS-MBS CORP US N 2 2041-07-15 Floating 0.04839200 N N N N N N GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 N/A 39154GAH9 2964009.70000000 PA USD 2967222.39000000 0.063941537863 Long ABS-CBDO CORP US N 2 2027-10-15 Fixed 0.04520000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BRNU9 68355.75300000 PA USD 72360.59000000 0.001559319389 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N VERUS SECURITIZATION TRUST 2026-5 N/A 92541NAC6 2431253.93000000 PA USD 2421822.85000000 0.052188564626 Long ABS-CBDO CORP US N 2 2071-05-25 Variable 0.05362000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRY33 1858766.54400000 PA USD 1550394.20000000 0.033409895320 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N GS MTG SECS CORP TR 2019 5493005BBCF84ICNQ550 36257HBP0 4850000.00000000 PA USD 4592990.26000000 0.098975682309 Long ABS-MBS CORP US N 2 2052-07-10 Fixed 0.03160000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050494 21050000.00000000 PA USD 21003130.07000000 0.452602555556 Long ABS-MBS USGA US N 2 2041-09-01 Fixed 0.05000000 N N N N N N JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2 N/A 46590SAC1 2010817.68000000 PA USD 2007696.09000000 0.043264426687 Long ABS-CBDO CORP US N 2 2065-09-25 Variable 0.05567000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLH6 2370008.15300000 PA USD 1900118.01000000 0.040946195367 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KPGQ5 17070204.74600000 PA USD 15720719.71000000 0.338770359094 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTJQ4 2041141.51600000 PA USD 2157889.71000000 0.046500992666 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N BANK 2019-BNK19 N/A 06540WBB8 176698.17100000 PA USD 172404.44000000 0.003715193396 Long ABS-MBS CORP US N 2 2061-08-15 Fixed 0.03071000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AA4S0 59648.92900000 PA USD 49835.99000000 0.001073930235 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137BEAB0 5215247.00000000 PA USD 4537726.44000000 0.097784786187 Long ABS-CBDO USGSE US N 2 2044-09-15 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNNS7 857588.30800000 PA USD 685414.42000000 0.014770194588 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 30000000.00000000 NC USD -126027.00000000 -0.00271579245 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S19 PRC CORP INDEX CZ039897 Y 2058-12-17 0.00000000 USD 44303.74000000 USD 30000000.00000000 USD -81723.26000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDCE4 1466629.79600000 PA USD 1217813.70000000 0.026243021443 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418FUB1 404398.02100000 PA USD 395117.65000000 0.008514505101 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DTQ5 796491.80900000 PA USD 630112.48000000 0.013578477007 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427NGV5 7018663.01900000 PA USD 7037294.76000000 0.151648710547 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLW3 871470.03300000 PA USD 697870.85000000 0.015038621819 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BTXR9 6949146.69400000 PA USD 6974294.96000000 0.150291109543 Long ABS-CBDO USGSE US N 2 2054-12-25 Variable 0.04843190 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F0606A8 3400000.00000000 PA USD 3433062.96000000 0.073980071727 Long ABS-MBS USGA US N 2 2056-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KJQU9 1174167.34500000 PA USD 941370.82000000 0.020285873459 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV7K5 777564.43300000 PA USD 615138.84000000 0.013255805686 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5UK8 6186840.12400000 PA USD 4950538.09000000 0.106680584438 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQ3S4 2074064.16000000 PA USD 1743584.64000000 0.037573012273 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQSW2 15795164.07000000 PA USD 15789176.12000000 0.340245546174 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.04119750 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H052694 -238575000.00000000 PA USD -237005510.51000000 -5.10730064424 Short ABS-MBS USGA US N 2 2056-09-01 Fixed 0.05500000 N N N N N N UPGRADE MASTER PASS-THRU TRUST SERIES 2026-ST4 N/A 91533WAA2 562000.00000000 PA USD 561671.23000000 0.012103616614 Long ABS-CBDO CORP US N 2 2035-10-15 Fixed 0.04541000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HJZC4 1861863.57000000 PA USD 1858554.67000000 0.040050534871 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04843190 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HPUB7 17387133.78000000 PA USD 17364796.53000000 0.374199048427 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04119750 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030694 16200000.00000000 PA USD 13814297.28000000 0.297688307947 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.03000000 N N N N N N CIM TRUST 2025-R1 N/A 12575LAA1 5913223.28000000 PA USD 5825183.66000000 0.125528576089 Long ABS-CBDO CORP US N 2 2099-02-25 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXK43 3349642.59700000 PA USD 3429631.73000000 0.073906131154 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133W8KA0 31329.09000000 PA USD 33081.87000000 0.000712890833 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUNN2 17955.94900000 PA USD 18257.49000000 0.000393435959 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMG7 33699.66500000 PA USD 33926.03000000 0.000731081882 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179Y2D5 148338.90200000 PA USD 119104.32000000 0.002566613615 Long ABS-MBS USGA US N 2 2054-06-20 Fixed 0.02000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 700000.00000000 NC USD -164806.39000000 -0.00355146080 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BB CDSI S17 PRC CORP CY885801 Y 2056-12-15 0.00000000 USD 149114.79000000 USD 700000.00000000 USD -15691.60000000 N N N OWN EQUIPMENT FUND I LLC N/A 69121NAA6 9229274.85000000 PA USD 9166512.09000000 0.197531833762 Long ABS-CBDO CORP US N 2 2032-12-20 Fixed 0.05700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X96G5 446855.75700000 PA USD 357142.67000000 0.007696171218 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140N85H7 86467.97100000 PA USD 91305.64000000 0.001967571779 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMU6 18220558.70600000 PA USD 19058352.75000000 0.410693983734 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H4R36 2200000.00000000 PA USD 1939284.16000000 0.041790198120 Long ABS-MBS USGSE US N 2 2031-10-25 Fixed 0.02154000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DQKC9 2506945.09700000 PA USD 2095739.42000000 0.045161697999 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 400000.00000000 NC USD 29742.00000000 0.000640919004 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 14030.49000000 USD 0.00000000 USD 400000.00000000 USD 15711.51000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 24220000.00000000 NC USD 1027561.60000000 0.022143223633 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2035-09-19 0.00000000 USD 0.00000000 USD 24220000.00000000 USD 1.00000000 3.88700000 USD 2030-09-17 XXXX 234356.60000000 N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 900000.00000000 NC USD -191548.62000000 -0.00412773689 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BB CDSI S15 PRC Corp CY562348 Y 2064-11-18 0.00000000 USD 213616.30000000 USD 900000.00000000 USD 22067.68000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131XW4R1 306383.38500000 PA USD 276811.14000000 0.005965083725 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.03500000 N N N N N N HOUSTON GALLERIA MALL TRUST N/A 44216XAA3 3120000.00000000 PA USD 3114995.83000000 0.067125950680 Long ABS-MBS CORP US N 2 2045-02-05 Variable 0.05461850 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUVP9 4769957.58500000 PA USD 4309559.37000000 0.092867947666 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABCD2 3612342.08500000 PA USD 3019199.13000000 0.065061599743 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QRK93 61006.34200000 PA USD 64886.58000000 0.001398259775 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L6TA2 113027.69200000 PA USD 90547.59000000 0.001951236339 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMB8 21233280.38700000 PA USD 17710645.20000000 0.381651841956 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6NW6 5022396.39500000 PA USD 5140091.23000000 0.110765320156 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 0.06000000 N N N N N N BARINGS ISSUER LLC 2026-SBP N/A 06764UAA4 3159646.44000000 PA USD 3107746.72000000 0.066969737501 Long ABS-MBS CORP US N 2 2059-02-26 Fixed 0.04820000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPW96 1722897.58100000 PA USD 1375384.49000000 0.029638560203 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DV7B5 15001244.86400000 PA USD 11867631.82000000 0.255739048048 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6V59 5054134.65700000 PA USD 5167835.00000000 0.111363178721 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140YWUS0 67717.98400000 PA USD 71488.65000000 0.001540529700 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0M28 5259857.97900000 PA USD 4157837.78000000 0.089598455018 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N TOWD PT MTG TR 2018-1 N/A 89176EAB6 2216252.17000000 PA USD 2175502.61000000 0.046880538168 Long ABS-CBDO CORP US N 2 2058-01-25 Fixed 0.03250000 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2017-C34 N/A 61767EAE4 5210000.00000000 PA USD 5137090.74000000 0.110700661725 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 0.03536000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427JRX8 68402.14900000 PA USD 72187.40000000 0.001555587267 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DV66 27377.08900000 PA USD 20521.34000000 0.000442220321 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L7M41 128409.11400000 PA USD 102869.80000000 0.002216771224 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XN5W0 1401763.83600000 PA USD 1465166.60000000 0.031573300992 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.06500000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GAS6 417438.11300000 PA USD 418151.64000000 0.009010871248 Long ABS-CBDO CORP US N 2 2038-04-18 Fixed 0.05800000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 900000.00000000 NC USD -6435.90000000 -0.00013868908 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S17 PRC CORP CY885799 Y 2056-12-15 0.00000000 USD 11520.96000000 USD 900000.00000000 USD 5085.06000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNW26 1746597.84900000 PA USD 1849910.16000000 0.039864251812 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 800000.00000000 NC USD 51405.84000000 0.001107759390 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S19 PRC CORP INDEX CZ039900 Y 2058-12-17 72683.93000000 USD 0.00000000 USD 800000.00000000 USD -21278.09000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133WFVC8 26055.25400000 PA USD 27525.20000000 0.000593148536 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140ATT89 32504.91500000 PA USD 34425.06000000 0.000741835625 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QWC34 8982092.68400000 PA USD 9192579.04000000 0.198093558045 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XABM3 117955.90700000 PA USD 94163.88000000 0.002029164823 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUXZ5 2020240.44500000 PA USD 2136424.47000000 0.046038431969 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GVZ61 243483.15300000 PA USD 259616.35000000 0.005594548197 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DQ70 10639640.67300000 PA USD 8417124.00000000 0.181383051961 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNHB3 1762884.79600000 PA USD 1844274.01000000 0.039742796777 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132AEPW0 55577.06600000 PA USD 50521.49000000 0.001088702274 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QV5L4 287701.52700000 PA USD 304337.15000000 0.006558249717 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N BANK5 2025-5YR14 N/A 06604MAD0 29730337.83000000 PA USD 914927.36000000 0.019716035652 Long ABS-MBS CORP US N 2 2058-04-15 Variable 0.01199876 N N N N N N SOFI CONSUMER LOAN PROGRAM TRUST N/A 83408AAB7 1800000.00000000 PA USD 1781204.40000000 0.038383691417 Long ABS-CBDO CORP US N 2 2035-12-26 Fixed 0.04440000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0ET8 16138981.80200000 PA USD 13925012.07000000 0.300074133142 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912810UJ5 20990000.00000000 PA USD 19808492.63000000 0.426858966076 Long DBT UST US N 2 2045-02-15 Fixed 0.04750000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136ADR27 3630111.82000000 PA USD 3236804.09000000 0.069750832284 Long ABS-CBDO USGSE US N 2 2043-02-25 Fixed 0.01750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AFRZ6 51669.97800000 PA USD 41409.47000000 0.000892344706 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HRKE8 16689633.52000000 PA USD 16694358.36000000 0.359751581403 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 0.04139750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEWH1 50769550.17000000 PA USD 42521320.89000000 0.916304304943 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02500000 N N N N N N SCLP 2025-2 N/A 83407HAA5 1677020.36000000 PA USD 1679873.31000000 0.036200078301 Long ABS-CBDO CORP US N 2 2034-06-25 Fixed 0.04820000 N N N N N N EXTENDED STAY AMER TR 2026-ESH2 N/A 30227WAA1 8181188.45600000 PA USD 8186301.70000000 0.176408995117 Long ABS-MBS CORP US N 3 2043-02-15 Variable 0.04839200 N N N N N N MORGAN STANLEY CAP I TR 2019-NUGS N/A 61692AAA0 700000.00000000 PA USD 435743.00000000 0.009389952578 Long ABS-MBS CORP US N 2 2036-12-15 Variable 0.04704480 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AJ6U2 52633.21700000 PA USD 42164.99000000 0.000908625627 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VHS2 1232048.33500000 PA USD 1075264.76000000 0.023171192896 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DS5L2 9396570.96700000 PA USD 8195628.12000000 0.176609972853 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QLWH5 46312872.89100000 PA USD 38672911.50000000 0.833373812253 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02500000 N N N N N N CSTL COMMERCIAL MORTGAGE TRUST 2026-GATE3 N/A 228920AA2 2000000.00000000 PA USD 1951846.80000000 0.042060914101 Long ABS-MBS CORP US N 2 2043-02-10 Variable 0.04694500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XHVB0 64474.54600000 PA USD 63382.75000000 0.001365853305 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QELA8 307982.28000000 PA USD 285276.96000000 0.006147516141 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HN4S4 20742734.29300000 PA USD 20719703.64000000 0.446494917023 Long ABS-MBS USGSE US N 2 2030-03-25 Variable 0.04149750 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 N/A 17326DAC6 2600000.00000000 PA USD 2569058.18000000 0.055361381554 Long ABS-MBS CORP US N 2 2050-09-15 Fixed 0.03203000 N N N N N N GS MTG SECS TR 2020-GSA2 N/A 36264KAV2 3018000.00000000 PA USD 2648322.16000000 0.057069464101 Long ABS-MBS CORP US N 2 2053-12-12 Fixed 0.02012000 N N N N N N POST ROAD EQUIPMENT FINANCE 2025-1 LLC N/A 73747LAB4 241923.42000000 PA USD 242534.06000000 0.005226436964 Long ABS-CBDO CORP US N 2 2031-05-15 Fixed 0.04900000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H020691 150000000.00000000 PA USD 120328935.00000000 2.593003200324 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.02000000 N N N N N N MERCHANTS FLEET FUNDING LLC N/A 588926AF2 3223569.88000000 PA USD 3228180.87000000 0.069565008010 Long ABS-CBDO CORP US N 2 2037-04-20 Fixed 0.05820000 N N N N N N JPMDB COML MTG SECS TR 2019 N/A 48129RAX3 14477167.00000000 PA USD 13168965.31000000 0.283781861725 Long ABS-MBS CORP US N 2 2052-11-13 Fixed 0.03056500 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMX0 6014639.28000000 PA USD 6153706.76000000 0.132608015873 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PE83 59584496.70300000 PA USD 49755193.83000000 1.072189135838 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 N/A 949931AD1 21291657.80000000 PA USD 757052.57000000 0.016313945908 Long ABS-MBS CORP US N 2 2058-05-15 Variable 0.01120627 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVGT5 688098.95900000 PA USD 684979.88000000 0.014760830559 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.05500000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C60 N/A 95003DBQ0 25751000.00000000 PA USD 1226664.34000000 0.026433746457 Long ABS-MBS CORP US N 2 2054-08-15 Variable 0.01119525 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427RJS0 1385946.17900000 PA USD 1360311.30000000 0.029313743650 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVAT2 3979118.85500000 PA USD 4214486.12000000 0.090819186564 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 200000.00000000 NC USD 26347.48000000 0.000567769505 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 MARKIT CMBX.NA.BBB 15 CY562349 Y 2064-11-18 29043.46000000 USD 0.00000000 USD 200000.00000000 USD -2695.98000000 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HPEY5 16283582.08000000 PA USD 16262302.69000000 0.350441088170 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04159750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QLJB3 16344.74000000 PA USD 14700.74000000 0.000316790519 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.03500000 N N N N N N DLLAA 2025-1 LLC N/A 233249AC5 5800000.00000000 PA USD 5824506.16000000 0.125513976444 Long ABS-CBDO CORP US N 2 2029-09-20 Fixed 0.04950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W45B9 5549613.28000000 PA USD 5679662.92000000 0.122392707359 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DN3Z4 32240.04500000 PA USD 31541.96000000 0.000679706865 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140M7PW5 109842.67600000 PA USD 87481.16000000 0.001885156947 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N VERUS SECURITIZATION TRUST 2026-R6 213800GSR4Y25LVEHS32 92490JAA0 8119355.17000000 PA USD 8133620.07000000 0.175273743358 Long ABS-CBDO CORP US N 2 2068-07-25 Variable 0.05765000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F050494 -21050000.00000000 PA USD -21003130.07000000 -0.45260255555 Short ABS-MBS USGA US N 2 2041-09-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W5NR1 4457325.69800000 PA USD 3981136.67000000 0.085790671431 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.03500000 N N N N N N PRPM 2026-RCF2 LLC N/A 74449JAA0 3651025.56000000 PA USD 3637438.63000000 0.078384222453 Long ABS-CBDO CORP US N 2 2056-03-25 Variable 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XN5K6 4206505.66600000 PA USD 3499437.91000000 0.075410404820 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N DEXT ABS 2025-2 LLC N/A 252153AB7 732537.05000000 PA USD 731526.44000000 0.015763875912 Long ABS-CBDO CORP US N 2 2028-04-17 Fixed 0.04100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140LNH75 90996.28900000 PA USD 84570.36000000 0.001822431272 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPZH5 277847.67000000 PA USD 230970.85000000 0.004977257990 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6YQ7 17979820.59700000 PA USD 18451727.96000000 0.397621649786 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QTDT3 1265927.00900000 PA USD 1340807.35000000 0.028893447362 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BKPE8 58203.37200000 PA USD 61379.68000000 0.001322688567 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KMDK3 20205.42400000 PA USD 16180.45000000 0.000348677220 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QGLW5 55102.57000000 PA USD 44074.33000000 0.000949770549 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XGGW3 19784928.33200000 PA USD 15818986.03000000 0.340887928590 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BWY69 39803.48600000 PA USD 41828.27000000 0.000901369549 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.07000000 N N N N N N CARMAX SELECT RECEIVABLES TR 2025-A N/A 14319UAC4 1425000.00000000 PA USD 1427854.42000000 0.030769249978 Long ABS-CBDO CORP US N 2 2029-09-17 Fixed 0.04770000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810US5 8400000.00000000 PA USD 7608487.61000000 0.163957511319 Long DBT UST US N 2 2056-02-15 Fixed 0.02375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A1UR6 79739.36300000 PA USD 77855.82000000 0.001677737698 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GVER8 9058902.68100000 PA USD 9271189.01000000 0.199787547141 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137GB2J3 19099406.61000000 PA USD 19099368.41000000 0.411577842115 Long ABS-MBS USGSE US N 2 2031-05-25 Variable 0.04119750 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427KFQ3 34043.06200000 PA USD 36091.31000000 0.000777742131 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PQZ0 7091970.86300000 PA USD 7121878.41000000 0.153471428210 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKJ68 1694237.42800000 PA USD 1451230.41000000 0.031272985982 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L4CZ0 15339.21600000 PA USD 12245.25000000 0.000263876451 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N WELLS FARGO COML MTG TR 2024-GRP N/A 95003YAA0 603000.00000000 PA USD 599985.12000000 0.012929253768 Long ABS-MBS CORP US N 2 2041-10-15 Variable 0.05430520 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWA52 7992374.22400000 PA USD 6315352.72000000 0.136091371656 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPL49 3053410.26800000 PA USD 3233067.13000000 0.069670303447 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F060691 -9700000.00000000 PA USD -9809862.20000000 -0.21139557230 Short ABS-MBS USGA US N 2 2056-09-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133C8PN9 92362.88100000 PA USD 90149.40000000 0.001942655627 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.05000000 N N N N N N BANK 2018-BNK10 N/A 065404AZ8 270186.32900000 PA USD 268500.69000000 0.005785999422 Long ABS-MBS CORP US N 2 2061-02-15 Fixed 0.03641000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNW82 47015.43200000 PA USD 46145.82000000 0.000994409689 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020695 -233675000.00000000 PA USD -182284750.02000000 -3.92810706894 Short ABS-MBS USGA US N 2 2056-09-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMKY9 18095.07300000 PA USD 15470.26000000 0.000333373129 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W04U6 18099267.93400000 PA USD 14290228.13000000 0.307944280188 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6W98 34669.97000000 PA USD 33903.93000000 0.000730605643 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133WGKC8 18839.44600000 PA USD 19929.38000000 0.000429464003 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMN2 3655826.33200000 PA USD 3667084.81000000 0.079023076604 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKKX7 17650.03900000 PA USD 17312.55000000 0.000373073172 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 0.05000000 N N N N N N PRET 2026-RN4 N/A 69386EAA6 4256303.76000000 PA USD 4256295.25000000 0.091720143661 Long ABS-CBDO CORP US N 2 2056-08-25 Variable 0.05803200 N N N N N N WELLS FARGO COML MTG TR 2019-C51 N/A 95001VAS9 83894.21000000 PA USD 82129.00000000 0.001769821696 Long ABS-MBS CORP US N 2 2052-06-15 Fixed 0.03160000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QTVF3 7680849.88600000 PA USD 8152579.27000000 0.175682300670 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNUU5 37195.70800000 PA USD 36507.73000000 0.000786715686 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AHB63 229808.97100000 PA USD 183455.88000000 0.003953344089 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133W8QL0 39962.20500000 PA USD 42113.07000000 0.000907506787 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CE4C3 34306.21000000 PA USD 36060.46000000 0.000777077335 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.07000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 1200000.00000000 NC USD 190926.00000000 0.004114319876 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 75544.50000000 USD 0.00000000 USD 1200000.00000000 USD 115381.50000000 N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BMBT4 3213177.62700000 PA USD 2924143.95000000 0.063013228036 Long ABS-CBDO USGSE US N 2 2046-09-25 Fixed 0.02250000 N N N N N N LONDON CLEARING HOUSE N/A N/A -5000000.00000000 NC USD 18511.80000000 0.000398916159 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2046-09-16 0.00000000 USD 0.00000000 USD -4621789.05000000 USD 18511.80000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142JCDN7 8999996.58900000 PA USD 8962463.90000000 0.193134739998 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.05000000 N N N N N N RKTL 2026-3 N/A 74990PAA9 1900000.00000000 PA USD 1898539.47000000 0.040912178950 Long ABS-CBDO CORP US N 2 2035-08-27 Fixed 0.04510000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AFXA4 52666.35700000 PA USD 42207.99000000 0.000909552246 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132D9FB5 17795.68000000 PA USD 15287.26000000 0.000329429609 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02000000 N N N N N N ACRA 2026-NQM1 N/A 00093CAA9 7063609.94000000 PA USD 7057802.24000000 0.152090632195 Long ABS-CBDO CORP US N 2 2066-06-25 Variable 0.05573000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRVF9 15113232.69600000 PA USD 12629537.64000000 0.272157578051 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A77D0 59595.48100000 PA USD 62731.36000000 0.001351816312 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQEV5 2429710.98500000 PA USD 2591083.40000000 0.055836009422 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2R78 4591266.24900000 PA USD 4712383.39000000 0.101548519576 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG3U6 3195966.46200000 PA USD 3066424.03000000 0.066079262841 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N JPMDB COML MTG SECS TR 2019 N/A 48129RAW5 3800000.00000000 PA USD 3543977.28000000 0.076370196652 Long ABS-MBS CORP US N 2 2052-11-13 Fixed 0.02794600 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 800000.00000000 NC USD 59484.00000000 0.001281838008 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 59915.72000000 USD 0.00000000 USD 800000.00000000 USD -431.72000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132E0R46 96451.27300000 PA USD 94667.28000000 0.002040012736 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XBXK1 985734.41400000 PA USD 897133.75000000 0.019332595978 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AK3J2 153675.95200000 PA USD 163978.59000000 0.003533622305 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X9UX1 24776.98200000 PA USD 19802.63000000 0.000426732630 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3132E0MF6 17913.61700000 PA USD 17466.12000000 0.000376382497 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.05000000 N N N N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 31635A105 135107921.32600000 NS USD 135134942.91000000 2.912062168931 Long STIV RF US N 1 N N N CENT TRUST 2025-CITY N/A 12517TAA5 8531000.00000000 PA USD 8437594.08000000 0.181824167665 Long ABS-MBS CORP US N 2 2040-07-10 Variable 0.04919988 N N N N N N ARI FLEET LEASE TR 2025-B N/A 00193GAB7 4826438.86000000 PA USD 4832290.43000000 0.104132431238 Long ABS-CBDO CORP US N 2 2034-03-15 Fixed 0.04590000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 5000.00000000 NC USD 727.09000000 0.000015668273 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX BBB- CDSI S17 PRC INDX CY885802 Y 2056-12-15 758.58000000 USD 0.00000000 USD 5000.00000000 USD -31.49000000 N N N LBA TRUST 2026-LBA6 N/A 50177CAA3 2214000.00000000 PA USD 2214000.00000000 0.047710129616 Long ABS-MBS CORP US N 2 2043-07-15 Variable 0.04850000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WJR0 61061.63000000 PA USD 51130.78000000 0.001101832042 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31425YAP2 27411.76600000 PA USD 28930.39000000 0.000623429384 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W3XF1 2768057.91600000 PA USD 2825139.42000000 0.060879750638 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWAW3 9517407.41800000 PA USD 7523365.90000000 0.162123198845 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTFN5 8997994.27300000 PA USD 7814249.64000000 0.168391537119 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XL2H0 692181.26000000 PA USD 676212.98000000 0.014571910083 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XHWU7 86476.38200000 PA USD 85066.06000000 0.001833113255 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QMH80 257577.74500000 PA USD 205623.62000000 0.004431043162 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N NYMT LOAN TRUST 2025-CP1 N/A 67121VAA2 5562937.13070000 PA USD 5364390.34000000 0.115598806882 Long ABS-CBDO CORP US N 2 2069-11-25 Fixed 0.03750000 N N N N N N PFDR TRUST 2026-DLVR N/A 69415PAA6 6900000.00000000 PA USD 6910781.25000000 0.148922434142 Long ABS-MBS CORP US N 2 2043-06-15 Variable 0.05339200 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1 N/A 80288FAC5 2925000.00000000 PA USD 2904589.06000000 0.062591834027 Long ABS-CBDO CORP US N 2 2030-07-15 Fixed 0.03930000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM6A8 966931.61000000 PA USD 862498.35000000 0.018586227675 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQRH2 9434387.25100000 PA USD 9868186.98000000 0.212652429945 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133WGEA9 123311.57700000 PA USD 129453.59000000 0.002789633043 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XA5H1 13174165.68400000 PA USD 11849069.89000000 0.255339051622 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H060697 -45900000.00000000 PA USD -46549700.73000000 -1.00311303317 Short ABS-MBS USGA US N 2 2056-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X83P0 45194.86800000 PA USD 36220.18000000 0.000780519188 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.02000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F042699 -19075000.00000000 PA USD -17911871.36000000 -0.38598812297 Short ABS-MBS USGA US N 2 2056-09-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HRKQ1 10599575.83000000 PA USD 10599554.63000000 0.228412884046 Long ABS-MBS USGSE US N 2 2031-02-25 Variable 0.04129750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y8UR5 2178470.51400000 PA USD 2239051.60000000 0.048249973827 Long ABS-MBS USGSE US N 2 2056-04-01 Fixed 0.06000000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 1000000.00000000 NC USD 74355.00000000 0.001602297510 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 48532.78000000 USD 0.00000000 USD 1000000.00000000 USD 25822.22000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWC27 4771909.09800000 PA USD 3925066.54000000 0.084582399899 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DVZ2 6776996.50200000 PA USD 5672453.83000000 0.122237356583 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.01500000 N N N N N N PRPM 2024-RPL1 LLC N/A 69380XAA0 1337063.84300000 PA USD 1303585.77000000 0.028091348714 Long ABS-CBDO CORP US N 2 2064-12-25 Variable 0.04200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DU42 27163450.69400000 PA USD 22754374.45000000 0.490340629793 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.01500000 N N N N N N ARI FLEET LEASE TRUST N/A 00218KAB9 1153790.85000000 PA USD 1155970.82000000 0.024910351244 Long ABS-CBDO CORP US N 2 2032-11-15 Fixed 0.05300000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 784000.00000000 NC USD -143672.94000000 -0.00309604995 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX BBB- CDSI S16 PRC CORP CY873248 Y 2065-04-17 0.00000000 USD 124638.86000000 USD 784000.00000000 USD -19034.08000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AMA27 33653.27000000 PA USD 35716.45000000 0.000769664163 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CNJ94 57344.24700000 PA USD 60704.84000000 0.001308146244 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DV74 11010247.77000000 PA USD 8703433.51000000 0.187552818823 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KNGT4 2117466.08200000 PA USD 1686397.21000000 0.036340663719 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L3G88 19022.70100000 PA USD 15185.77000000 0.000327242572 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GYGZ6 282057.08800000 PA USD 254656.54000000 0.005487667809 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N AFFIRM MASTER TRUST N/A 00833BAU2 7020000.00000000 PA USD 6970360.18000000 0.150206317825 Long ABS-CBDO CORP US N 2 2034-02-15 Fixed 0.04370000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFF97 359613.22600000 PA USD 299952.82000000 0.006463770515 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XH4A2 200630.62400000 PA USD 196919.70000000 0.004243479860 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWAF0 46035077.13100000 PA USD 36390028.74000000 0.784179308017 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H6V28 1963326.86200000 PA USD 1762091.16000000 0.037971814652 Long ABS-CBDO USGSE US N 2 2050-08-25 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133KRMW1 5789559.32200000 PA USD 5801309.81000000 0.125014111555 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140ASRG5 846234.04600000 PA USD 820233.42000000 0.017675448412 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSRC8 3793619.32400000 PA USD 4010604.87000000 0.086425690239 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9W64 33131.83000000 PA USD 28672.32000000 0.000617868158 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.02500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UH9 14000000.00000000 PA USD 13026459.67000000 0.280710966262 Long DBT UST US N 2 2055-02-15 Fixed 0.02375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRT96 832570.35600000 PA USD 740263.36000000 0.015952150341 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.01500000 N N N N N N OPORTUN ISSUANCE TRUST 2025-B N/A 68378QAA1 3200000.00000000 PA USD 3195589.44000000 0.068862685810 Long ABS-CBDO CORP US N 2 2033-05-09 Fixed 0.04880000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QM7H1 906187.09700000 PA USD 842194.43000000 0.018148692600 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPMG1 2719294.48200000 PA USD 2791878.98000000 0.060163011748 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABFC1 2841264.12800000 PA USD 2375619.29000000 0.051192910680 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140N9NL6 141559.06100000 PA USD 138639.93000000 0.002987592154 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137BSRE5 8450952.77000000 PA USD 8427563.91000000 0.181608024616 Long ABS-MBS USGSE US N 2 2026-09-25 Variable 0.03120000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRVG7 14880417.30500000 PA USD 12439633.05000000 0.268065268835 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNWW4 27280132.78000000 PA USD 27235126.02000000 0.586897647943 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04169750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QWCX8 3280628.95400000 PA USD 3372885.16000000 0.072683282821 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPVQ9 773795.91700000 PA USD 618444.62000000 0.013327042900 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N CFMT 2024-R1 LLC N/A 12530YAA7 2710856.93000000 PA USD 2655511.26000000 0.057224384107 Long ABS-CBDO CORP US N 2 2054-10-25 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XHW9 2613618.11100000 PA USD 2325153.86000000 0.050105416458 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QU6W1 2512025.77800000 PA USD 2527329.29000000 0.054462153572 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XHQA8 526161.75300000 PA USD 517580.69000000 0.011153496751 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7EQ8 2074292.64800000 PA USD 1734053.48000000 0.037367622535 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XATV4 123760.86300000 PA USD 99184.72000000 0.002137360364 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BTF81 2350074.94800000 PA USD 2363755.44000000 0.050937253127 Long ABS-CBDO USGSE US N 2 2054-12-25 Variable 0.04743190 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133A9RU1 20339.94800000 PA USD 16091.13000000 0.000346752438 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WJS8 2581585.52200000 PA USD 2249033.68000000 0.048465080571 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 0.03000000 N N N N N N WHEELS FLEET LEASE FUNDING 1 LLC 549300BSFY0E0XXREF43 96328GBM8 6593709.19400000 PA USD 6631674.45000000 0.142907880572 Long ABS-CBDO CORP US N 2 2039-02-18 Fixed 0.05490000 N N N N N N CITIGROUP COML MTG TR 2019-C7 N/A 17328CAD4 2450626.00000000 PA USD 2306957.32000000 0.049713293928 Long ABS-MBS CORP US N 2 2072-12-15 Fixed 0.03102000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNNT5 275203.68700000 PA USD 219436.36000000 0.004728697912 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3618N5AV1 185278.71100000 PA USD 148691.67000000 0.003204200021 Long ABS-MBS USGA US N 2 2053-08-20 Fixed 0.02000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F052698 -19300000.00000000 PA USD -19110014.66000000 -0.41180726125 Short ABS-MBS USGA US N 2 2056-09-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BH3A7 37778.43900000 PA USD 39776.94000000 0.000857164843 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 0.07000000 N N N N N N BANKERS HEALTHCARE GROUP SECURITIZATION TRUST N/A 08860AAA7 2467918.51000000 PA USD 2441190.21000000 0.052605917497 Long ABS-CBDO CORP US N 2 2036-04-17 Fixed 0.04820000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W3KN8 3667460.63600000 PA USD 3256265.32000000 0.070170207987 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUVZ7 8053888.10900000 PA USD 6386610.85000000 0.137626933815 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X54P5 1704255.88800000 PA USD 1420451.95000000 0.030609732000 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BQ7H8 103062.45200000 PA USD 108337.38000000 0.002334593695 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QQJK2 533662.47800000 PA USD 518455.07000000 0.011172339019 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A4F94 45280.93000000 PA USD 39206.19000000 0.000844865585 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM5R2 324137.43700000 PA USD 255212.79000000 0.005499654602 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02000000 N N N N N N BANK5 2025-5YR19 N/A 05494RBS0 12200000.00000000 PA USD 303157.80000000 0.006532835561 Long ABS-MBS CORP US N 2 2058-12-15 Variable 0.00599729 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2017 N/A 17326FAD9 7609000.00000000 PA USD 7507912.15000000 0.161790181494 Long ABS-MBS CORP US N 2 2050-10-12 Fixed 0.03471000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0B95 11819417.89700000 PA USD 9825315.44000000 0.211728578667 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUVN7 2366213.77500000 PA USD 2382140.29000000 0.051333433605 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04843190 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2VB4 6429896.17800000 PA USD 5349100.72000000 0.115269326416 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPZN2 1689589.34800000 PA USD 1411923.76000000 0.030425955555 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A3RQ8 124473.82000000 PA USD 131328.90000000 0.002830044643 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQSQ5 13398273.66000000 PA USD 13398246.86000000 0.288722716499 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 0.04119750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUWD8 2539430.54000000 PA USD 2548510.02000000 0.054918583281 Long ABS-CBDO USGSE US N 2 2055-02-25 Variable 0.04793190 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UP1 3110000.00000000 PA USD 2819409.38000000 0.060756272341 Long DBT UST US N 2 2055-11-15 Fixed 0.04625000 N N N N N N EVERGREEN CR CARD TR N/A 30023JCX4 1200000.00000000 PA USD 1205310.12000000 0.025973578163 Long ABS-CBDO CORP CA N 2 2029-05-15 Fixed 0.05240000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418EAN0 38325.91600000 PA USD 31524.44000000 0.000679329321 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QRLA9 57115.68800000 PA USD 60641.37000000 0.001306778510 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 0.07000000 N N N N N N AFFIRM MASTER TR SER 2026-2 N/A 00833KAA6 5780000.00000000 PA USD 5729930.17000000 0.123475930942 Long ABS-CBDO CORP US N 2 2035-04-16 Fixed 0.04670000 N N N N N N SCG 2025-FLWR N/A 78438AAA3 11500000.00000000 PA USD 11507187.50000000 0.247971728614 Long ABS-MBS CORP US N 2 2042-08-15 Variable 0.04889200 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FUFC3 695598.15000000 PA USD 662963.26000000 0.014286388015 Long ABS-CBDO USGSE US N 2 2044-01-25 Fixed 0.02000000 N N N N N N WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A N/A 98164PAF7 2750000.00000000 PA USD 2751935.18000000 0.059302251190 Long ABS-CBDO CORP US N 2 2030-05-15 Fixed 0.04680000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHEV0 4555466.45700000 PA USD 4370891.71000000 0.094189616091 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VN30 63944.50700000 PA USD 55787.30000000 0.001202176745 Long ABS-MBS USGA US N 2 2050-06-20 Fixed 0.03000000 N N N N N N EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 N/A 30185AAC5 314394.04000000 PA USD 314668.63000000 0.006780885783 Long ABS-CBDO CORP US N 2 2030-04-15 Fixed 0.04690000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BQVT3 8649091.15500000 PA USD 8784960.59000000 0.189309669570 Long ABS-CBDO USGSE US N 2 2053-11-25 Variable 0.05143190 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 800000.00000000 NC USD 127284.00000000 0.002742879917 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX BB CDSI S18 PRC INDX CZ030007 Y 2057-12-17 111362.34000000 USD 0.00000000 USD 800000.00000000 USD 15921.66000000 N N N BENCHMARK 2025-V16 MORTGAGE TRUST N/A 08164RAE5 45400000.00000000 PA USD 568462.48000000 0.012249963235 Long ABS-MBS CORP US N 2 2058-08-15 Variable 0.00488236 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BKCD4 44830.73500000 PA USD 47699.65000000 0.001027893624 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 0.07000000 N N N N N N AVIS BUDGET RENT CAR FDG AESOP LLC IHXLB8SL0QWSSG2VG640 05377REZ3 6000000.00000000 PA USD 5963722.20000000 0.128513983361 Long ABS-CBDO CORP US N 2 2028-08-21 Fixed 0.03830000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L5BJ4 53235.26000000 PA USD 42497.56000000 0.000915792274 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y8TL0 11161226.03400000 PA USD 11394875.14000000 0.245551476918 Long ABS-MBS USGSE US N 2 2056-04-01 Fixed 0.06000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810UN6 5440000.00000000 PA USD 5204550.00000000 0.112154360929 Long DBT UST US N 2 2045-08-15 Fixed 0.04875000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5KC0 16498.60100000 PA USD 14884.55000000 0.000320751494 Long ABS-CBDO USGSE US N 2 2047-11-25 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VSF8 3787258.36200000 PA USD 3047376.16000000 0.065668794753 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 0.02000000 N N N N N N AFFIRM MASTER TRUST N/A 00833BAN8 9800000.00000000 PA USD 9709997.78000000 0.209243564888 Long ABS-CBDO CORP US N 2 2034-10-16 Fixed 0.04450000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AM2V2 93696.77600000 PA USD 99773.37000000 0.002150045354 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GQYQ9 4263794.01000000 PA USD 4515999.98000000 0.097316596384 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A5H40 3027171.86000000 PA USD 2733096.04000000 0.058896281085 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HMCE8 3200000.00000000 PA USD 3144607.68000000 0.067764065043 Long ABS-MBS USGSE US N 2 2030-07-25 Variable 0.04266000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427PYB4 3205143.08400000 PA USD 3345506.56000000 0.072093293410 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H4BY5 7600000.00000000 PA USD 7216656.76000000 0.155513834426 Long ABS-MBS USGSE US N 2 2028-09-25 Fixed 0.02031000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W4GW1 9732549.36400000 PA USD 9938419.06000000 0.214165881454 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A5GW9 39295.35800000 PA USD 35551.67000000 0.000766113271 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPJM1 33405.36600000 PA USD 26427.31000000 0.000569489785 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N ARES1 2026-RTL N/A 00193LAA8 1088000.00000000 PA USD 1089360.00000000 0.023474935320 Long ABS-MBS CORP US N 2 2043-08-15 Floating 0.04850000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427H2G6 148053.31000000 PA USD 156107.51000000 0.003364006113 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AAXL3 20252.43200000 PA USD 16920.67000000 0.000364628436 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A1SZ1 94337.13500000 PA USD 92391.78000000 0.001990977325 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNEK4 122585.18700000 PA USD 97859.42000000 0.002108801089 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N CIM TRUST N/A 12566LAB0 3346881.34300000 PA USD 3117112.92000000 0.067171572467 Long ABS-CBDO CORP US N 2 2057-06-25 Fixed 0.01951000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GR3T5 10050640.97400000 PA USD 10295590.17000000 0.221862665534 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W1C92 9842627.76200000 PA USD 7826584.96000000 0.168657354516 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTWB8 1359498.96400000 PA USD 1426789.27000000 0.030746296751 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06500000 N N N N N N RKTL 2026-3 N/A 74990PAB7 820000.00000000 PA USD 817645.29000000 0.017619676046 Long ABS-CBDO CORP US N 2 2035-08-27 Fixed 0.05040000 N N N N N N LIFE FINANCIAL SERVICES TRUST 2022 N/A 53218DAA6 6100000.00000000 PA USD 5741625.00000000 0.123727946233 Long ABS-MBS CORP US N 2 2039-05-15 Variable 0.04934440 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0VX0 9570288.11300000 PA USD 9578945.40000000 0.206419479054 Long ABS-MBS USGSE US N 2 2055-02-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140UHGF1 3205016.57900000 PA USD 3191650.70000000 0.068777808757 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HQDN8 18998977.16000000 PA USD 18978697.65000000 0.408977472828 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 0.04109750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QPYC5 257586.51700000 PA USD 253224.60000000 0.005456810518 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.05000000 N N N N N N BMO MORTGAGE TRUST N/A 09664JAB2 7300000.00000000 PA USD 7170069.49000000 0.154509911802 Long ABS-MBS CORP US N 2 2058-12-15 Fixed 0.04735500 N N N N N N PRESTON RIDGE PARTNERS MORTGAGE N/A 69383VAA1 4328873.81000000 PA USD 4248778.39000000 0.091558160659 Long ABS-CBDO CORP US N 2 2056-01-25 Variable 0.04845000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140M6P31 228726.45300000 PA USD 242327.24000000 0.005221980140 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F042699 35875000.00000000 PA USD 33687464.48000000 0.725940965134 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QL3M6 912301.21200000 PA USD 847876.78000000 0.018271143212 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.04000000 N N N N N N CROSS 2026-NQM2 MTG TR N/A 227924AA5 2771435.66000000 PA USD 2734753.21000000 0.058931991923 Long ABS-CBDO CORP US N 2 2061-03-25 Variable 0.04735000 N N N N N N ENTERPRISE FLEET FING 2023-3 LLC N/A 29374LAB6 271141.07000000 PA USD 272806.15000000 0.005878779031 Long ABS-CBDO CORP US N 2 2030-03-20 Fixed 0.06400000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F4F76 2607435.58800000 PA USD 2505286.43000000 0.053987145574 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-H6 N/A 61769JAY7 157850.03900000 PA USD 155013.69000000 0.003340435068 Long ABS-MBS CORP US N 2 2052-06-15 Fixed 0.03224000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DMSD8 7981214.15400000 PA USD 6886339.22000000 0.148395725732 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03000000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 1000000.00000000 NC USD 74355.00000000 0.001602297510 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 47794.71000000 USD 0.00000000 USD 1000000.00000000 USD 26560.29000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 56200000.00000000 NC USD 904134.36000000 0.019483454158 N/A DIR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A N/A NC USD N/A N/A DIR CORP US 2029-04-12 0.00000000 USD 0.00000000 USD 56200000.00000000 USD 1.00000000 3.46600000 USD 2027-04-08 XXXX 503990.36000000 N N N WELLS FARGO COML MTG TR 2019-C54 N/A 95001YAC8 311765.07000000 PA USD 304414.30000000 0.006559912244 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 0.03063000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BQ7K1 40936.50300000 PA USD 43032.35000000 0.000927316619 Long ABS-MBS USGSE US N 2 2055-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DVA7 1088734.13200000 PA USD 860627.78000000 0.018545918218 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W2AB7 650277.60500000 PA USD 633901.14000000 0.013660119942 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLM5 33183.48000000 PA USD 26593.98000000 0.000573081405 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W3QE2 7179012.86200000 PA USD 6450196.60000000 0.138997161626 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.03500000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3142GUPN7 3393420.09000000 PA USD 3468699.72000000 0.074748018628 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31426GJF3 144541.55200000 PA USD 152458.90000000 0.003285381156 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.07000000 N N N N N N DEXT ABS 2025-1 LLC N/A 252154AC3 2340000.00000000 PA USD 2343069.14000000 0.050491478035 Long ABS-CBDO CORP US N 2 2035-08-15 Fixed 0.04770000 N N N N N N AUTONATION FINANCE TRUST 2026-1 N/A 05330WAC3 2400000.00000000 PA USD 2381335.68000000 0.051316094830 Long ABS-CBDO CORP US N 2 2030-08-12 Fixed 0.04030000 N N N N N N SOFI CONSUMER LOAN PROGRAM TRUST N/A 83408AAA9 8698105.95000000 PA USD 8667551.24000000 0.186779581355 Long ABS-CBDO CORP US N 2 2035-12-26 Fixed 0.04060000 N N N N N N TESLA FINANCE LLC N/A 881938AA2 5110551.72000000 PA USD 5071982.39000000 0.109297622963 Long ABS-CBDO CORP US N 2 2052-05-20 Fixed 0.05310000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CY3P1 5521308.25200000 PA USD 5541141.34000000 0.119407665563 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.05500000 N N N N N N CARVANA AUTO RECEIVABLES TR 2025-P1 N/A 14689MAE0 2800000.00000000 PA USD 2795750.72000000 0.060246444999 Long ABS-CBDO CORP US N 2 2031-05-12 Fixed 0.04980000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A6MD5 527585.00600000 PA USD 556525.05000000 0.011992720086 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A N/A 81378RAB0 222889.05000000 PA USD 223738.28000000 0.004821401237 Long ABS-CBDO CORP CA N 2 2031-07-25 Fixed 0.05038000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HCTM4 8744288.31100000 PA USD 8724525.34000000 0.188007332799 Long ABS-MBS USGSE US N 2 2029-03-25 Variable 0.04139750 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CYC24 5409470.59200000 PA USD 5019121.57000000 0.108158509786 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 0.02500000 N N N N N N VCAT ASSET SECURITIZATION LLC N/A 921968AA1 3209662.30000000 PA USD 3199806.39000000 0.068953558092 Long ABS-CBDO CORP US N 2 2056-02-25 Variable 0.05062000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427SWY0 27046356.59300000 PA USD 27646352.97000000 0.595759297034 Long ABS-MBS USGSE US N 2 2056-03-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BV4T2 15900000.00000000 PA USD 15792460.35000000 0.340316319001 Long ABS-MBS USGSE US N 2 2030-04-25 Fixed 0.04620000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AGRB7 182868.47800000 PA USD 145983.41000000 0.003145838939 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31425UMH5 3536407.93700000 PA USD 3614859.61000000 0.077897660587 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DQ6Z4 23448.69900000 PA USD 23029.64000000 0.000496272407 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 0.05000000 N N N N N N AVIS BUDGET RENT CAR FDG AESOP LLC IHXLB8SL0QWSSG2VG640 05377RJG0 11095000.00000000 PA USD 11133298.83000000 0.239914692973 Long ABS-CBDO CORP US N 2 2028-10-20 Fixed 0.05130000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRUZ6 727208.84800000 PA USD 609063.52000000 0.013124886849 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 33600000.00000000 NC USD 204727.15000000 0.004411724870 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2029-06-12 0.00000000 USD 0.00000000 USD 33600000.00000000 USD 1.00000000 3.98800000 USD 2028-06-08 XXXX 19927.15000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CLM52 340656.38000000 PA USD 359342.68000000 0.007743579873 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPPP7 462758.98000000 PA USD 366093.16000000 0.007889047929 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31426FVK0 86721.58100000 PA USD 91416.25000000 0.001969955346 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNNX6 186444.72800000 PA USD 148838.32000000 0.003207360225 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDCS3 116105.66400000 PA USD 92469.14000000 0.001992644378 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N BX COML MTG TR 2024-MDHS N/A 12433BAA5 745273.42400000 PA USD 746437.91000000 0.016085207514 Long ABS-MBS CORP US N 2 2041-05-15 Floating 0.05280500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418D4X7 35399.46300000 PA USD 27872.11000000 0.000600624200 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XALE0 3177556.05000000 PA USD 2521739.62000000 0.054341700149 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133CKJU3 57024.60400000 PA USD 60330.82000000 0.001300086378 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N PRET 2025-RPL2 N/A 69392LAA2 13150439.13000000 PA USD 12693878.24000000 0.273544072345 Long ABS-CBDO CORP US N 2 2064-08-25 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31425UFE0 45581.75800000 PA USD 47907.59000000 0.001032374583 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.07000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0S97 5397408.55100000 PA USD 4501969.84000000 0.097014256819 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XGPU7 20881.95400000 PA USD 16487.29000000 0.000355289405 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N RCKTL 2025-2 N/A 74939HAA1 526903.29000000 PA USD 527072.48000000 0.011358038093 Long ABS-CBDO CORP US N 2 2034-11-27 Fixed 0.04480000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQAJ6 4430360.65500000 PA USD 3667666.98000000 0.079035621954 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WLQ9 3073743.50100000 PA USD 2676832.85000000 0.057683849248 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MMP3 10420585.02600000 PA USD 10946135.77000000 0.235881461784 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W4XQ5 6503543.64700000 PA USD 6653915.33000000 0.143387155760 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 0.06000000 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM7 N/A 64831YAA4 2596151.59000000 PA USD 2573398.14000000 0.055454904614 Long ABS-CBDO CORP US N 2 2065-10-26 Variable 0.04949000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31426YMC7 27850.89400000 PA USD 29289.41000000 0.000631166010 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCB56 21107876.12600000 PA USD 17645622.97000000 0.380250659020 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140U0Q59 47511.12100000 PA USD 50217.50000000 0.001082151505 Long ABS-MBS USGSE US N 2 2056-01-01 Fixed 0.07000000 N N N N N N BMO 2025-5C11 MTG TR N/A 096941AE9 39396000.00000000 PA USD 853017.95000000 0.018381931779 Long ABS-MBS CORP US N 2 2058-07-15 Variable 0.00583796 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y9NM2 72436.86100000 PA USD 72202.69000000 0.001555916756 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X9X67 22569512.01800000 PA USD 20039020.59000000 0.431826680101 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTGD6 4211294.86300000 PA USD 3516582.40000000 0.075779856419 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427RFR6 7096943.33600000 PA USD 7421047.96000000 0.159918319812 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6HT0 53093354.85500000 PA USD 53234296.47000000 1.147161330013 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.05500000 N N N N N N PRET 2025-RPL3 N/A 69382RAA1 3302912.70000000 PA USD 3192016.08000000 0.068785682437 Long ABS-CBDO CORP US N 2 2065-04-25 Variable 0.04150000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140UWND5 1575000.00000000 PA USD 1568431.78000000 0.033798592375 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136AST63 3233444.73700000 PA USD 2984886.61000000 0.064322189275 Long ABS-CBDO USGSE US N 2 2044-11-25 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133ABWH9 65738.24300000 PA USD 51965.08000000 0.001119810615 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N OLIT 2026-HB3 N/A 68278FAA6 505070.62000000 PA USD 493568.29000000 0.010636046563 Long ABS-CBDO CORP US N 2 2038-11-25 Variable 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLD39 18447.12300000 PA USD 18033.86000000 0.000388616891 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31427NUK3 16688956.74400000 PA USD 13281026.72000000 0.286196705626 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FBU79 62209.27600000 PA USD 61326.48000000 0.001321542145 Long ABS-MBS USGSE US N 2 2027-09-25 Fixed 0.03187000 N N N N N N D2-NATIXIS MULTIFAMILY N/A 23348GAA5 2058000.00000000 PA USD 2043893.64000000 0.044044458214 Long ABS-MBS CORP US N 2 2059-08-15 Fixed 0.05229800 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLQ6 3118932.36800000 PA USD 2611243.16000000 0.056270437951 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02500000 N N N N N N GREENSKY HOME IMPROVEMENT 2025-3A N/A 39571WAC0 1946288.28700000 PA USD 1922742.29000000 0.041433732554 Long ABS-CBDO CORP US N 2 2060-12-27 Fixed 0.04520000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLE3 4618228.27700000 PA USD 3867931.98000000 0.083351190657 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02500000 N N N N N N BENCHMARK 2019-B12 MTG TR N/A 08162FAE3 10895000.00000000 PA USD 10318036.75000000 0.222346373412 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 0.03115600 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVL94 119619.17500000 PA USD 99662.02000000 0.002147645841 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N VERUS 2026-R3 N/A 92541HAC9 1996337.01000000 PA USD 1977980.89000000 0.042624085204 Long ABS-CBDO CORP US N 2 2068-02-27 Variable 0.05190000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W7D23 8691862.87200000 PA USD 8051074.40000000 0.173494942718 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 0.02500000 N N N N N N BRAVO RESIDENTIAL FUNDING TRUST 2025-NQM4 25490082TY9NA9XBGW19 10570QAE1 5654267.28000000 PA USD 5648992.41000000 0.121731779623 Long ABS-CBDO CORP US N 2 2065-02-25 Variable 0.05613000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVRX4 1870868.76200000 PA USD 1920557.17000000 0.041386644768 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418EBJ8 1654934.04500000 PA USD 1411574.17000000 0.030418422138 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XDC7 8078677.82700000 PA USD 7223011.74000000 0.155650779738 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 0.03500000 N N N N N N LONDON CLEARING HOUSE N/A N/A -8090000.00000000 NC USD 31271.00000000 0.000673867869 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2041-09-16 0.00000000 USD 0.00000000 USD -7653960.97000000 USD 31271.00000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CXLU4 5684387.21900000 PA USD 5829011.67000000 0.125611066989 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.06000000 N N N N N N BENCHMARK 2025-V16 MORTGAGE TRUST N/A 08164RAH8 9700000.00000000 PA USD 578867.87000000 0.012474192009 Long ABS-MBS CORP US N 2 2058-08-15 Variable 0.01974058 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H0526A1 233850000.00000000 PA USD 231973610.99000000 4.998866778700 Long ABS-MBS USGA US N 2 2056-10-01 Fixed 0.05500000 N N N N N N CCG RECEIVABLES TRUST. N/A 12515XAC4 1000000.00000000 PA USD 996125.40000000 0.021465795821 Long ABS-CBDO CORP US N 2 2032-10-14 Fixed 0.04690000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H0506A5 109225000.00000000 PA USD 105678398.72000000 2.277294535068 Long ABS-MBS USGA US N 2 2056-10-01 Fixed 0.05000000 N N N N N N M and T EQUIPMENT NOTES N/A 552476AC7 625000.00000000 PA USD 623751.63000000 0.013441405201 Long ABS-CBDO CORP US N 2 2030-11-18 Fixed 0.04800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XPBC2 4281663.72300000 PA USD 3397970.29000000 0.073223849580 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8V81 2238376.03400000 PA USD 2205766.92000000 0.047532712582 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04343190 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XDKE5 130738.43800000 PA USD 113538.95000000 0.002446683839 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N TOWD POINT MORTGAGE TRUST 2026-2 N/A 89183WAA9 7448633.96000000 PA USD 7289489.43000000 0.157083326805 Long ABS-CBDO CORP US N 2 2066-07-20 Variable 0.04531940 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W6X72 3984032.52800000 PA USD 4068679.28000000 0.087677152582 Long ABS-MBS USGSE US N 2 2056-05-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRMS1 2782684.06700000 PA USD 2221409.18000000 0.047869792190 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMT9 5998474.44200000 PA USD 6159662.45000000 0.132736356768 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 0.06000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BNS31 6348960.80000000 PA USD 6270800.65000000 0.135131306148 Long ABS-CBDO USGSE US N 2 2052-08-25 Variable 0.04443190 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVLS1 778262.03300000 PA USD 798931.89000000 0.017216415549 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.06000000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 3920.00000000 NC USD -1907544.13000000 -0.04110622298 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long UST NOTES UST NOTES 0% 06/30/2040 2026-12-31 806610044.13000000 USD -1907544.13000000 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNN46 8700000.00000000 PA USD 8555249.40000000 0.184359556359 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 0.04320000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DUHC4 14565186.52700000 PA USD 13477458.40000000 0.290429669002 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XRYF6 5064252.53000000 PA USD 4405930.09000000 0.094944668327 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG5A8 3070554.23100000 PA USD 2946163.32000000 0.063487729841 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N VERUS SECURITIZATION TRUST 2025-5 N/A 92540XAA9 2599163.44000000 PA USD 2590685.49000000 0.055827434744 Long ABS-CBDO CORP US N 2 2070-06-25 Variable 0.05427000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L4HK8 347117.61500000 PA USD 277103.05000000 0.005971374179 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVL52 78487271.81600000 PA USD 65613271.48000000 1.413919461112 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133CLMR4 459182.91200000 PA USD 484155.57000000 0.010433209123 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140MUX39 161679.17100000 PA USD 150211.27000000 0.003236946324 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XMAW6 2552777.34000000 PA USD 2123683.29000000 0.045763868577 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 7400000.00000000 NC USD 274733.81000000 0.005920318737 N/A DIR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A N/A NC USD N/A N/A DIR CORP US 2034-12-24 0.00000000 USD 0.00000000 USD 7400000.00000000 USD 1.00000000 4.01000000 USD 2029-12-20 XXXX -20711.19000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XFGG0 13212.36600000 PA USD 12576.62000000 0.000271017240 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYUY3 28052846.99200000 PA USD 23459403.69000000 0.505533509840 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KJJB9 408749.27800000 PA USD 327325.32000000 0.007053628475 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVD93 5443495.90100000 PA USD 4340424.80000000 0.093533075790 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEN32 46875417.54700000 PA USD 39259845.02000000 0.846021813299 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QKP51 21232544.16400000 PA USD 17710031.12000000 0.381638608968 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02500000 N N N N N N ARI FLEET LEASE TRUST 2024-B N/A 04033HAC9 2670000.00000000 PA USD 2687486.36000000 0.057913424832 Long ABS-CBDO CORP US N 2 2033-04-15 Fixed 0.05260000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H050698 183275000.00000000 PA USD 177524416.98000000 3.825525268422 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A9FA3 44258.83100000 PA USD 46768.20000000 0.001007821537 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F052698 36600000.00000000 PA USD 36239716.92000000 0.780940194911 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.05500000 N N N N N N ONITY LOAN INVESTMENT TRUST 2024-HB2 N/A 68278DAA1 1575216.37000000 PA USD 1574975.20000000 0.033939598435 Long ABS-CBDO CORP US N 2 2037-08-25 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140A7GJ7 21990.88800000 PA USD 23252.15000000 0.000501067339 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVAU9 3624483.74600000 PA USD 3832927.81000000 0.082596875622 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DPUG1 3623866.33700000 PA USD 3265029.64000000 0.070359072867 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSJW3 2213815.45400000 PA USD 2341131.98000000 0.050449733611 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022697 104200000.00000000 PA USD 87156006.00000000 1.878150109826 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.02500000 N N N N N N OPTN 2026-A N/A 68390VAA4 985000.00000000 PA USD 974692.66000000 0.021003935476 Long ABS-CBDO CORP US N 2 2034-01-09 Fixed 0.04320000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y6HB9 17667219.72900000 PA USD 17296273.48000000 0.372722425303 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DM7D1 217560.41900000 PA USD 173813.87000000 0.003745565612 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02000000 N N N N N N REACH ABS TR 2026-1A N/A 75526XAB0 3100000.00000000 PA USD 3078453.45000000 0.066338488310 Long ABS-CBDO CORP US N 2 2033-02-15 Fixed 0.04370000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HPU68 6901699.00000000 PA USD 6892842.05000000 0.148535857106 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 0.04159750 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWAV5 27087.72100000 PA USD 20304.43000000 0.000437546064 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140BWR83 58573.02100000 PA USD 61879.32000000 0.001333455455 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.07000000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 133540000.00000000 NC USD 1279569.60000000 0.027573817285 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2029-04-19 0.00000000 USD 0.00000000 USD 133540000.00000000 USD 1.00000000 3.39500000 USD 2028-04-17 XXXX 641916.10000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QQFK6 1618680.35400000 PA USD 1503867.36000000 0.032407274919 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.04000000 N N N N N N OPORTUN ISSUANCE TRUST 2025-D N/A 68379HAA0 6800000.00000000 PA USD 6753172.48000000 0.145526076940 Long ABS-CBDO CORP US N 2 2033-02-08 Fixed 0.04530000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNW34 2030145.68900000 PA USD 2146899.37000000 0.046264158634 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2026-4 N/A 30168EAB0 725000.00000000 PA USD 724708.12000000 0.015616945952 Long ABS-CBDO CORP US N 2 2028-12-15 Fixed 0.04370000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQW29 5314400.77700000 PA USD 4242471.79000000 0.091422257902 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133AXLZ3 267864.60000000 PA USD 248948.67000000 0.005364667260 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XMRT5 2486949.86300000 PA USD 2629197.18000000 0.056657334347 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418D3G5 26764.54000000 PA USD 21106.78000000 0.000454836138 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVFP4 750452.88900000 PA USD 797715.51000000 0.017190203423 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140N4N86 45190.31000000 PA USD 44192.05000000 0.000952307332 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QNHA3 661126.39900000 PA USD 614439.31000000 0.013240731310 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DNY49 456334.65800000 PA USD 446254.18000000 0.009616461052 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H042695 19075000.00000000 PA USD 17865675.52000000 0.384992635390 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427DSK8 66815.57700000 PA USD 70809.52000000 0.001525894931 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BLES5 16445.60900000 PA USD 14481.81000000 0.000312072733 Long ABS-CBDO USGSE US N 2 2047-10-25 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AARN9 34535.39300000 PA USD 36514.51000000 0.000786861790 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 0.07000000 N N N N N N BENCHMARK 2019-B9 MTG TR N/A 08160KAF1 319512.00000000 PA USD 310886.04000000 0.006699373651 Long ABS-MBS CORP US N 2 2072-12-15 Fixed 0.02859000 N N N N N N UPG HI 2026-1 ISSUER TR N/A 90321BAA6 1278487.91000000 PA USD 1270038.51000000 0.027368429056 Long ABS-CBDO CORP US N 2 2048-02-25 Fixed 0.05030000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133ARAC9 178230.16400000 PA USD 141946.48000000 0.003058845961 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWBG7 40360.00100000 PA USD 30253.08000000 0.000651932415 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XJSH7 335717.89000000 PA USD 268946.89000000 0.005795614716 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FK4M5 5000000.00000000 PA USD 4937372.50000000 0.106396875312 Long ABS-MBS USGSE US N 2 2028-10-25 Fixed 0.04060000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H8VP3 3529594.43400000 PA USD 3480948.15000000 0.075011963607 Long ABS-CBDO USGSE US N 2 2052-09-25 Variable 0.04393190 N N N N N N OPORTUN ISSUANCE TRUST 2025-C N/A 68378RAA9 2510000.00000000 PA USD 2495555.70000000 0.053777455245 Long ABS-CBDO CORP US N 2 2033-07-08 Fixed 0.04490000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140M4V96 153350.90800000 PA USD 142521.65000000 0.003071240467 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CQJ3 26860000.00000000 PA USD 26517954.55000000 0.571443111452 Long DBT UST US N 2 2029-04-15 Fixed 0.03875000 N N N N N N RCO VIII MORTGAGE LLC 2025-3 N/A 74939GAA3 648788.69000000 PA USD 649560.36000000 0.013997565026 Long ABS-CBDO CORP US N 2 2030-05-25 Variable 0.06434500 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427QSJ2 1794762.97500000 PA USD 1618727.42000000 0.034882427742 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QV5J9 220984.63900000 PA USD 234125.07000000 0.005045229194 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.07000000 N N N N N N VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 N/A 92887TAB7 2324607.38000000 PA USD 2325605.33000000 0.050115145317 Long ABS-CBDO CORP US N 2 2027-11-15 Fixed 0.04410000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XLVZ8 411262.38800000 PA USD 324711.11000000 0.006997294103 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140YW5N9 29938.88400000 PA USD 31723.36000000 0.000683615906 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179XBS4 13607165.48200000 PA USD 12140427.34000000 0.261617598011 Long ABS-MBS USGA US N 2 2052-07-20 Fixed 0.03500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140W0A62 2292498.80100000 PA USD 2393826.10000000 0.051585254521 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140B65N1 42626.84100000 PA USD 45131.59000000 0.000972553752 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQC96 13236640.27000000 PA USD 10459226.49000000 0.225388912163 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137AVJY4 2471652.07900000 PA USD 2164075.25000000 0.046634286665 Long ABS-CBDO USGSE US N 2 2042-08-15 Fixed 0.01350000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F0506A9 -22325000.00000000 PA USD -21522697.55000000 -0.46379886622 Short ABS-MBS USGA US N 2 2056-10-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FRDX6 875200.76500000 PA USD 692535.95000000 0.014923658508 Long ABS-CBDO USGSE US N 2 2050-02-25 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179W5C8 35573031.90500000 PA USD 30968391.07000000 0.667346861778 Long ABS-MBS USGA US N 2 2052-05-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XCW61 1175519.44900000 PA USD 979029.49000000 0.021097391087 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02500000 N N N N N N OBX 2025-NQM19 TR N/A 67449LAA9 2534669.60000000 PA USD 2495408.58000000 0.053774284913 Long ABS-CBDO CORP US N 2 2065-10-25 Variable 0.04869000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3132E0EK4 6358038.24500000 PA USD 5364181.50000000 0.115594306528 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31426LRG1 49820.98100000 PA USD 52591.22000000 0.001133303488 Long ABS-MBS USGSE US N 2 2055-05-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622ABLA8 2257468.23900000 PA USD 1888205.13000000 0.040689481253 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VTV2 7764053.60600000 PA USD 6247261.11000000 0.134624045758 Long ABS-MBS USGA US N 2 2050-09-20 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140KKTJ3 11496.91300000 PA USD 9217.48000000 0.000198630156 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DTJP6 3962069.78200000 PA USD 4197976.57000000 0.090463417472 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140W24M0 5663955.40500000 PA USD 5028913.29000000 0.108369514407 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KQUT1 871087.01100000 PA USD 853886.27000000 0.018400643459 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032690 24800000.00000000 PA USD 22005156.56000000 0.474195515681 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BMAZ1 1371004.40500000 PA USD 1255666.47000000 0.027058721788 Long ABS-CBDO USGSE US N 2 2049-03-25 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XQHG5 1703392.94400000 PA USD 1494205.22000000 0.032199062656 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03000000 N N N N N N BX TRUST 2026-LP3 N/A 05620HAA9 4665775.82000000 PA USD 4680356.37000000 0.100858360011 Long ABS-MBS CORP US N 2 2043-04-15 Variable 0.05019200 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QUYT7 35874.90500000 PA USD 36592.28000000 0.000788537679 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3142GS5C8 657268.05000000 PA USD 674724.43000000 0.014539832886 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.06000000 N N N N N N JPMDB COML MTG SECS TR 2017-C5 N/A 46590TAF2 40059.89500000 PA USD 39962.19000000 0.000861156849 Long ABS-MBS CORP US N 2 2050-03-15 Fixed 0.03491900 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140L3JA0 24377.01500000 PA USD 19460.11000000 0.000419351567 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVMC6 10467586.41300000 PA USD 9090507.38000000 0.195893986171 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XF6S5 2575767.96500000 PA USD 2139589.74000000 0.046106641292 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTBS4 655432.38000000 PA USD 670996.61000000 0.014459501009 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137GBGB5 33500000.00000000 PA USD 33485688.80000000 0.721592842348 Long ABS-MBS USGSE US N 2 2031-05-25 Variable 0.04119750 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 N/A 949931AE9 57043000.00000000 PA USD 1060229.72000000 0.022847198448 Long ABS-MBS CORP US N 2 2058-05-15 Variable 0.00514795 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HN4L9 4000000.00000000 PA USD 3909571.20000000 0.084248486313 Long ABS-MBS USGSE US N 2 2032-06-25 Fixed 0.04400000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2021-L5 N/A 61691YAD3 7700000.00000000 PA USD 6957124.79000000 0.149921104558 Long ABS-MBS CORP US N 2 2054-05-15 Fixed 0.02438000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KYU80 14492042.76400000 PA USD 12100138.35000000 0.260749398853 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140YW3H4 100684.01500000 PA USD 106392.55000000 0.002292683988 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 0.07000000 N N N N N N BX TR 2025-TAIL N/A 123912AA5 1026000.00000000 PA USD 1027923.75000000 0.022151027709 Long ABS-MBS CORP US N 2 2035-06-15 Variable 0.05039200 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 700000.00000000 NC USD 52048.50000000 0.001121608257 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 MARKIT CMBX.NA.BBB- S18 CZ030008 Y 2057-12-17 27091.69000000 USD 0.00000000 USD 700000.00000000 USD 24956.81000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XKQ52 22300.15200000 PA USD 21779.66000000 0.000469336224 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3142GTVA1 6498693.00000000 PA USD 6777199.04000000 0.146043832266 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Y8US3 4663644.24700000 PA USD 4780219.03000000 0.103010329502 Long ABS-MBS USGSE US N 2 2056-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG4L5 3682894.98300000 PA USD 3538821.24000000 0.076259087647 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BVVD7 3806384.77000000 PA USD 3860182.31000000 0.083184190765 Long ABS-CBDO USGSE US N 2 2054-08-25 Variable 0.05243190 N N N N N N REACH ABS TRUST 2025-1 N/A 75525PAA0 3528697.22000000 PA USD 3530866.31000000 0.076087664548 Long ABS-CBDO CORP US N 2 2032-08-16 Fixed 0.04960000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUWX4 3253442.06000000 PA USD 3274794.07000000 0.070569489407 Long ABS-CBDO USGSE US N 2 2054-09-25 Variable 0.05043190 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DUA8 45756.20700000 PA USD 39474.15000000 0.000850639933 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.02000000 N N N N N N MERCHANTS FLEET FUNDING LLC N/A 588926AL9 4245000.00000000 PA USD 4237440.93000000 0.091313846438 Long ABS-CBDO CORP US N 2 2039-01-20 Fixed 0.04490000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427MAC5 6732325.44900000 PA USD 6745989.38000000 0.145371286230 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 0.05500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BJTS4 469509.30100000 PA USD 381841.21000000 0.008228407236 Long ABS-CBDO USGSE US N 2 2050-08-25 Fixed 0.01500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137HNNC8 2600000.00000000 PA USD 2557364.94000000 0.055109400526 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 0.04340000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 3622ADQU5 2632585.68700000 PA USD 2628494.65000000 0.056642195324 Long ABS-MBS USGA US N 2 2055-01-20 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31427Q2H4 2773967.23700000 PA USD 2842439.84000000 0.061252562418 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H5JE8 2203935.76000000 PA USD 1982343.02000000 0.042718086011 Long ABS-CBDO USGSE US N 2 2052-01-25 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DB92 3436201.92300000 PA USD 3091652.58000000 0.066622920199 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QVFN9 1029905.11100000 PA USD 1096698.37000000 0.023633071988 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA B1V7KEBTPIMZEU4LTD58 3136BJZQ1 500000.00000000 PA USD 436046.95000000 0.009396502485 Long ABS-MBS USGSE US N 2 2031-10-25 Variable 0.01867613 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DWMS9 850700.79400000 PA USD 846047.12000000 0.018231715337 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179W2V9 50262038.86400000 PA USD 43756025.06000000 0.942911304035 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KN4L4 1955682.96600000 PA USD 1751029.74000000 0.037733448897 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QRC84 2619831.31700000 PA USD 2741111.69000000 0.059069012657 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136BUW22 2244419.57000000 PA USD 2252232.84000000 0.048534020200 Long ABS-CBDO USGSE US N 2 2054-09-25 Variable 0.04843190 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140AN3F4 33922.69900000 PA USD 35927.66000000 0.000774215589 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XMCY0 2436805.45300000 PA USD 2185612.48000000 0.047098398696 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DSD25 1675980.59900000 PA USD 1753357.61000000 0.037783612844 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.06500000 N N N N N N TCO COML MTG TR 2024-DPM N/A 87231EAC1 1000000.00000000 PA USD 1000000.00000000 0.021549290703 Long ABS-MBS CORP US N 2 2039-12-15 Variable 0.05231620 N N N N N N MORGAN STANLEY CAP I TR 2024-NSTB N/A 61690BAA0 856628.39000000 PA USD 840512.90000000 0.018112456821 Long ABS-MBS CORP US N 2 2057-09-24 Variable 0.03900000 N N N N N N GMF FLOORPLAN OWNER REVOLVING TR N/A 361886DZ4 2000000.00000000 PA USD 2001721.00000000 0.043135667735 Long ABS-CBDO CORP US N 2 2029-03-15 Fixed 0.04790000 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TR N/A 80288DAC0 312984.06000000 PA USD 313188.69000000 0.006748994125 Long ABS-CBDO CORP US N 2 2029-01-16 Fixed 0.04740000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133B9TC8 207356.08400000 PA USD 192389.12000000 0.004145849075 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140XNHC1 3910130.88500000 PA USD 4089921.44000000 0.088134906063 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 0.06500000 N N N N N N BENCHMARK 2018-B4 MTG TR N/A 08161HAD2 1876912.70800000 PA USD 1866731.96000000 0.040226749671 Long ABS-MBS CORP US N 2 2051-07-15 Fixed 0.04059000 N N N N N N BENCHMARK 2018-B8 MTG TR N/A 08162UAW0 970000.00000000 PA USD 948556.70000000 0.020440724076 Long ABS-MBS CORP US N 2 2052-01-15 Fixed 0.04231700 N N N N N N DEXT ABS 2025-1 LLC N/A 252154AB5 252641.62000000 PA USD 252714.13000000 0.005445810252 Long ABS-CBDO CORP US N 2 2027-08-16 Fixed 0.04590000 N N N N N N GS MTG SECS TR 2018-GS10 N/A 36250SAE9 400000.00000000 PA USD 394734.72000000 0.008506253231 Long ABS-MBS CORP US N 2 2051-07-10 Fixed 0.04155000 N N N N N N MERCEDES-BENZ AUTO LEASE TR 2024-B N/A 58769GAD5 354423.35000000 PA USD 354458.30000000 0.007638324948 Long ABS-CBDO CORP US N 2 2028-02-15 Fixed 0.04230000 N N N N N N 2026-09-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer