BMO Mortgage Trust, Series 2024-5C6, Class XA

NPORT-P false 0001005942 XXXXXXXX S000048370 C000213255 C000213253 C000152757 C000213254 C000219743 Putnam Funds Trust 811-07513 0001005942 549300S9JYWEMKQCLW53 100 Federal Street Boston 02110 617-292-1000 Putnam Mortgage Opportunities Fund S000048370 549300SDR1EM41OFS298 2027-05-31 2026-08-31 N 614330862.16 118717643.55 495613218.61 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 103146177.28000000 0.00000000 0.00000000 0.00000000 USD N N/A N/A BMO Mortgage Trust N/A BMO Mortgage Trust, Series 2024-5C6, Class XA 05593QAD6 15360440.76000000 PA USD 512461.17000000 0.103399415261 Long ABS-MBS CORP US N 2 2057-09-15 Variable 1.35251640 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2017-H19, Class MI 38375UK25 728431.11000000 PA USD 24057.02000000 0.004853990792 Long ABS-MBS USGA US N 2 2067-04-20 Variable 2.02938840 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2013-CR13, Class D 12630BAE8 2158997.83000000 PA USD 1222446.16000000 0.246653259860 Long ABS-MBS CORP US N 2 2046-11-10 Variable 4.84062480 N N N N N N Bear Stearns Mortgage Funding Trust N/A Bear Stearns Mortgage Funding Trust, Series 2006-AR2, Class 2A1 07401AAX5 1669292.77000000 PA USD 1604361.79000000 0.323712469675 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.24175040 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 5077, Class NI 3137F9A68 12845128.49800000 PA USD 2333920.03000000 0.470915613700 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3.50000000 N N N N N N FHLMC 549300BL200YC56BUV20 FHLMC STACR Trust, Series 2018-DNA3, Class B2 35563WBE3 1131000.00000000 PA USD 1269951.04000000 0.256238331084 Long ABS-MBS CORP US N 2 2048-09-25 Floating 11.50767000 N N N N N N MFA LLC N/A MFA LLC, Series 2026-NPL1, Class A1 592929AA1 1757000.00000000 PA USD 1760170.33000000 0.355149996793 Long ABS-O CORP US N 2 2031-08-25 Fixed 5.88900000 N N N N N N N/A N/A CDSCMBX N/A 3233000.00000000 PA USD 249959.08000000 0.050434304537 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB- 10 137BERAJ6 Y Receipt of notional amount upon default event with regard to the reference instrument 2059-11-17 619394.39000000 USD 0.00000000 USD 3233000.00000000 USD 249959.08000000 N N N FNMA or FHLMC N/A Uniform Mortgage-Backed Securities 01F042699 3000000.00000000 PA USD 2815720.05000000 0.568128521248 Long ABS-MBS USGSE US N 2 2056-09-25 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-105, Class LI 38379NRH7 300734.57000000 PA USD 61580.70000000 0.012425152858 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 5.00000000 N N N N N N BIKE Pass-Through Trust N/A BIKE Pass-Through Trust, Series 2026-BAND, Class C 09000VAG7 899000.00000000 PA USD 902278.65000000 0.182052983278 Long ABS-MBS CORP US N 2 2043-07-15 Floating 11.13919920 N N N N N N N/A N/A SOP N/A 18632600.00000000 PA USD 442400.90000000 0.089263337495 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Call Purchased N/A Swaption 1.00000000 3.95250000 USD 2029-06-18 XXXX -221385.48000000 N N N Wells Fargo Commercial Mortgage Trust 549300SGFUCMB43V8P22 Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class D 95000CBJ1 371000.00000000 PA USD 140980.00000000 0.028445568985 Long ABS-MBS CORP US N 2 2059-01-15 Variable 4.79552040 N N N N N N CSAIL 549300D5DIOOMKWXVZ20 CSAIL Commercial Mortgage Trust, Series 2015-C2, Class C 12634NAZ1 145397.27000000 PA USD 139378.62000000 0.028122458152 Long ABS-MBS CORP US N 2 2057-06-15 Variable 4.17749400 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2022-179, Class SD 38383Y5C2 9701954.80000000 PA USD 823335.05000000 0.166124513851 Long ABS-MBS USGA US N 2 2049-11-20 Floating 2.33307000 N N N N N N Unlock Hea Trust N/A Unlock Hea Trust, Series 2023-1, Class A 91528JAA8 613328.52000000 PA USD 614336.71000000 0.123954867814 Long ABS-O CORP US N 2 2038-10-25 Fixed 7.00000000 N N N N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class C 29425AAH6 1242000.00000000 PA USD 1068531.10000000 0.215597780663 Long ABS-MBS CORP US N 2 2058-09-10 Variable 4.33592640 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-20, Class SB 38383VWQ7 15986519.05000000 PA USD 1396838.09000000 0.281840362110 Long ABS-MBS USGA US N 2 2053-02-20 Floating 3.36116160 N N N N N N FHLMC 5493000ISUYHCRLRBE46 FHLMC STACR REMIC Trust, Series 2021-DNA3, Class B2 35564KFH7 2879000.00000000 PA USD 3661689.83000000 0.738820050092 Long ABS-MBS CORP US N 2 2033-10-25 Floating 9.89318880 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2021-7, Class MI 38382M4V8 13658952.62000000 PA USD 1914400.55000000 0.386269065899 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 5529, Class EI 3137HKUM4 4743097.11000000 PA USD 1043418.76000000 0.210530857697 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 4.50000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust 549300P1YQ48837ZOI22 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class C 61762MCB5 1543000.00000000 PA USD 1431766.52000000 0.288887879951 Long ABS-MBS CORP US N 2 2046-07-15 Variable 3.94925760 N N N N N N FNMA N/A FNMA Connecticut Avenue Securities Trust, Series 2022-R05, Class 2B1 20754DAF4 2540000.00000000 PA USD 2593071.27000000 0.523204622603 Long ABS-MBS CORP US N 2 2042-04-25 Floating 8.14318920 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-4, Class GI 38384HZX9 6787730.46000000 PA USD 1662524.25000000 0.335447923415 Long ABS-MBS USGA US N 2 2053-02-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2017-H16, Class JI 38375UG46 115208.85000000 PA USD 4734.39000000 0.000955259025 Long ABS-MBS USGA US N 2 2067-08-20 Variable 2.09805120 N N N N N N MFA Trust N/A MFA Trust, Series 2024-NPL1, Class A1 58004YAA7 210368.96000000 PA USD 210785.79000000 0.042530300259 Long ABS-MBS CORP US N 2 2054-09-25 Fixed 6.32999880 N N N N N N Wells Fargo Commercial Mortgage Trust 549300JPCJUA5JJLRW54 Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class D 95000LAJ2 242829.11000000 PA USD 238102.03000000 0.048041904666 Long ABS-MBS CORP US N 2 2059-03-15 Fixed 3.12300000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2017-H10, Class MI 38375UB25 914983.54000000 PA USD 26371.11000000 0.005320905296 Long ABS-MBS USGA US N 2 2067-04-20 Variable 1.87770960 N N N N N N A&D Mortgage Trust N/A A&D Mortgage Trust, Series 2023-NQM2, Class A1 00002DAA7 552867.86900000 PA USD 551487.52000000 0.111273771419 Long ABS-MBS CORP US N 2 2068-05-25 Fixed 6.13199880 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2013-LC13, Class D 12626GAT0 265852.27000000 PA USD 249010.13000000 0.050242834664 Long ABS-MBS CORP US N 2 2046-08-10 Variable 5.36936040 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-101, Class HS 38384CBH1 15556628.74000000 PA USD 884425.46000000 0.178450740777 Long ABS-MBS USGA US N 2 2053-07-20 Floating 2.36116080 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class E 61762XAE7 405000.00000000 PA USD 331355.00000000 0.066857579168 Long ABS-MBS CORP US N 2 2046-10-15 Variable 4.69005840 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H25, Class AI 38376RJD9 19764.02000000 PA USD 486.81000000 0.000098223772 Long ABS-MBS USGA US N 2 2065-09-20 Variable 1.67239080 N N N N N N COMM Mortgage Trust 549300MGZ5FI5VFL1177 COMM Mortgage Trust, Series 2013-CR12, Class AM 12591KAG0 801843.84000000 PA USD 769120.99000000 0.155185729742 Long ABS-MBS CORP US N 2 2046-10-10 Fixed 4.30000000 N N N N N N BANK5 Trust N/A BANK5 Trust, Series 2024-5YR10, Class XA 06604AAH7 17610605.47000000 PA USD 542832.83000000 0.109527512507 Long ABS-MBS CORP US N 2 2057-10-15 Variable 1.18647360 N N N N N N Cross 2026-Ces1 Mortgage Trust N/A Cross Mortgage Trust, Series 2026-CES1, Class A1A 22759DAA6 2345511.37000000 PA USD 2340141.56000000 0.472170933326 Long ABS-O CORP US N 2 2061-08-25 Fixed 5.64900120 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-89, Class LI 38379P4V6 277721.92000000 PA USD 46585.96000000 0.009399660511 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 5.00000000 N N N N N N FNMA or FHLMC N/A Uniform Mortgage-Backed Securities 01F050692 4000000.00000000 PA USD 3859143.64000000 0.778660353495 Long ABS-MBS USGSE US N 2 2056-09-25 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA Connecticut Avenue Securities Trust, Series 2016-C06, Class 1B 30711XDY7 1541428.32040000 PA USD 1559114.82000000 0.314582977502 Long ABS-MBS CORP US N 2 2029-04-25 Floating 13.00767120 N N N N N N FNMA N/A FNMA Connecticut Avenue Securities Trust, Series 2022-R09, Class 2B1 20753DAF5 500000.00000000 PA USD 527810.90000000 0.106496534027 Long ABS-MBS CORP US N 2 2042-09-25 Floating 10.39318920 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2021-17, Class KI 3136BF4A8 1919031.94000000 PA USD 445890.53000000 0.089967440991 Long ABS-MBS USGSE US N 2 2051-04-25 Fixed 4.50000000 N N N N N N FHLMC N/A FHLMC STACR Debt Notes, Series 2017-DNA1, Class B2 3137G0MY2 515476.47770000 PA USD 530371.79000000 0.107013245427 Long ABS-MBS CORP US N 2 2029-07-25 Floating 13.75767000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2016-H24 38376RJ80 63929.40380000 PA USD 3831.99000000 0.000773181556 Long ABS-MBS USGA US N 2 2066-09-20 Variable 2.00035080 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2016-H23, Class NI 38376RA63 29241.50000000 PA USD 1416.72000000 0.000285851939 Long ABS-MBS USGA US N 2 2066-10-20 Variable 2.72553120 N N N N N N J.P. Morgan Chase Commercial Mortgage Securities Trust N/A J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class E 46631QAT9 9429.62990000 PA USD 13296.32000000 0.002682801729 Long ABS-MBS CORP US N 2 2051-02-12 Variable 10.84105440 N N N N N N Saluda Grade Alternative Mortgage Trust N/A Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1 79585UAA8 2372630.33000000 PA USD 2371817.23000000 0.478562140988 Long ABS-MBS CORP US N 2 2030-07-25 Fixed 7.43900040 N N N N N N GS Mortgage-Backed Securities Trust N/A GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1 362948AA9 262857.70990000 PA USD 255945.16000000 0.051642117358 Long ABS-MBS CORP US N 2 2061-09-25 Fixed 3.89999880 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2019-H12, Class GI 38380LWX7 3646027.54000000 PA USD 168972.23000000 0.034093568059 Long ABS-MBS USGA US N 2 2069-07-20 Variable 2.49978960 N N N N N N PRPM Trust N/A PRPM Trust, Series 2026-NQM3, Class A1 69393RAE0 793000.00000000 PA USD 793026.33000000 0.160009116024 Long ABS-MBS CORP US N 2 2071-07-25 Variable 5.84499960 N N N N N N PRPM LLC N/A PRPM LLC, Series 2026-1, Class A1 74449BAA7 578022.85000000 PA USD 568932.75000000 0.114793699731 Long ABS-MBS CORP US N 2 2031-02-25 Fixed 5.18500080 N N N N N N WFRBS Commercial Mortgage Trust N/A WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D 92937EAJ3 1379099.46000000 PA USD 1263185.19000000 0.254873183879 Long ABS-MBS CORP US N 2 2045-03-15 Variable 4.21524000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-4, Class AS 38384HXC7 14097890.11000000 PA USD 1243261.91000000 0.250853258814 Long ABS-MBS USGA US N 2 2054-01-20 Floating 3.31116120 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2012-CR4, Class B 12624QBA0 1072000.00000000 PA USD 712772.80000000 0.143816341702 Long ABS-MBS CORP US N 2 2045-10-15 Fixed 3.70300000 N N N N N N GS Mortgage Securities Trust 549300L45M7638EL0H21 GS Mortgage Securities Trust, Series 2015-GC30, Class B 36250GAU9 1476905.25200000 PA USD 1437398.04000000 0.290024153115 Long ABS-MBS CORP US N 2 2050-05-10 Variable 3.96056520 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2021-H08 38380Q2G6 22930507.04290000 PA USD 705892.73000000 0.142428148300 Long ABS-MBS USGA US N 2 2071-01-20 Variable 1.34521920 N N N N N N CSMC Mortgage-Backed Trust N/A CSMC Mortgage-Backed Trust, Series 2007-1, Class 1A3 126378AG3 5393342.67990000 PA USD 1199361.84000000 0.241995530983 Long ABS-MBS CORP US N 2 2037-02-25 Variable 5.98889880 N N N N N N Benchmark Mortgage Trust N/A Benchmark Mortgage Trust, Series 2019-B11, Class D 08162BAJ1 963000.00000000 PA USD 531635.71000000 0.107268266873 Long ABS-MBS CORP US N 2 2052-05-15 Fixed 3.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust, Series 2026-5C9, Class XA 94990LAD0 8921044.62000000 PA USD 446657.97000000 0.090122287547 Long ABS-MBS CORP US N 2 2059-05-15 Variable 1.23453360 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-20, Class SP 38383VYA0 14115343.14000000 PA USD 1156340.20000000 0.233315044187 Long ABS-MBS USGA US N 2 2053-02-20 Floating 3.36116160 N N N N N N Lehman XS Trust N/A Lehman XS Trust, Series 2006-17, Class 1A4A 52523KBH6 2566650.62000000 PA USD 2458576.41000000 0.496067561897 Long ABS-O CORP US N 2 2046-08-25 Floating 4.12175160 N N N N N N CD Mortgage Trust N/A CD Mortgage Trust, Series 2017-CD3, Class D 12515GAM9 616193.99000000 PA USD 20974.38000000 0.004232005768 Long ABS-MBS CORP US N 2 2050-02-10 Fixed 3.25000000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A Merrill Lynch Mortgage Investors Trust, Series 2006-HE3, Class A4 590212AD8 742117.36000000 PA USD 182100.39000000 0.036742440104 Long ABS-O CORP US N 2 2037-06-25 Floating 4.28175000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-114, Class SB 38384EAG0 31933572.26500000 PA USD 2059846.34000000 0.415615698422 Long ABS-MBS USGA US N 2 2053-08-20 Floating 2.41116120 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2017-H02, Class BI 38375UYG9 377706.06000000 PA USD 16750.43000000 0.003379738346 Long ABS-MBS USGA US N 2 2067-01-20 Variable 2.25289080 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2D 17312EAE6 130971.79000000 PA USD 113686.87000000 0.022938627488 Long ABS-O CORP US N 2 2037-03-25 Floating 4.13174880 N N N N N N Onity Loan Investment Trust N/A Onity Loan Investment Trust, Series 2026-HB3, Class M2 68278KAC1 206000.00000000 PA USD 189325.91000000 0.038200335037 Long ABS-MBS CORP US N 2 2039-06-25 Variable 2.99999880 N N N N N N N/A N/A CDSCMBX N/A 1024000.00000000 PA USD -64554.56000000 -0.01302518931 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BBB-12 137BERAL1 Y Receipt of notional amount upon default event with regard to the reference instrument 2061-08-17 290602.56000000 USD 0.00000000 USD 1024000.00000000 USD -64554.56000000 N N N Bear Stearns ALT-A Trust N/A Bear Stearns ALT-A Trust, Series 2005-10, Class 11A1 07386HYW5 65534.84000000 PA USD 63978.62000000 0.012908981761 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.28175000 N N N N N N FNMA or FHLMC N/A Uniform Mortgage-Backed Securities 01F040693 -1000000.00000000 PA USD -912578.13000000 -0.18413111186 Short ABS-MBS USGSE US N 2 2056-09-25 Fixed 4.00000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class D 61690VAE8 355106.15400000 PA USD 341088.80000000 0.068821570368 Long ABS-MBS CORP US N 2 2048-10-15 Fixed 3.06000000 N N N N N N PRET LLC 254900YVPXC5UC5GP265 PRET LLC, Series 2026-NPL3, Class A1 69383QAA2 1552014.59000000 PA USD 1534345.84000000 0.309585334366 Long ABS-O CORP US N 2 2056-02-25 Fixed 4.96820160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2025-214, Class KI 38385KS76 6984116.15780000 PA USD 1479019.29000000 0.298422082879 Long ABS-MBS USGA US N 2 2055-12-20 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-197, Class SC 38385BBW9 18230573.95710000 PA USD 1166882.52000000 0.235442170665 Long ABS-MBS USGA US N 2 2054-12-20 Floating 2.36116080 N N N N N N FNMA N/A FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B1 20754BAF8 2146000.00000000 PA USD 2173985.13000000 0.438645509919 Long ABS-MBS CORP US N 2 2042-01-25 Floating 8.14318920 N N N N N N N/A N/A CDSCMBX N/A 750000.00000000 PA USD -4345.31000000 -0.00087675425 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB-18 137BERAR8 Y Payout of notional amount upon default event with regard to the reference instrument 2057-12-17 0.00000000 USD 53296.88000000 USD 750000.00000000 USD -4345.31000000 N N N N/A N/A OIS N/A 6289000.00000000 PA USD -64320.13000000 -0.01297788831 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-09-16 0.00000000 USD 47156.06000000 USD 6289000.00000000 USD -64320.13000000 N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 5116, Class BI 3137H0JE9 9253574.70000000 PA USD 1836621.75000000 0.370575618453 Long ABS-MBS USGSE US N 2 2050-01-25 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 5159, Class TI 3137H3UQ3 15284465.35600000 PA USD 1824113.82000000 0.368051890366 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3.00000000 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2013-LC6, Class E 20048EAG6 460000.00000000 PA USD 433679.40000000 0.087503598313 Long ABS-MBS CORP US N 2 2046-01-10 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-4, Class NS 38384HZZ4 14765371.35000000 PA USD 714237.93000000 0.144111961340 Long ABS-MBS USGA US N 2 2054-01-20 Floating 2.11115880 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2012-LC4, Class D 126192AK9 2406479.46700000 PA USD 1946916.49000000 0.392829815044 Long ABS-MBS CORP US N 2 2044-12-10 Variable 5.38339680 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 5558, Class SG 3137HM4N7 29062804.69000000 PA USD 2395196.52000000 0.483279386033 Long ABS-MBS USGSE US N 2 2055-07-25 Floating 2.75681160 N N N N N N CFCRE Commercial Mortgage Trust N/A CFCRE Commercial Mortgage Trust, Series 2011-C2, Class E 12527DAG5 1801000.00000000 PA USD 1696632.59000000 0.342329971496 Long ABS-MBS CORP US N 2 2047-12-15 Variable 5.24916000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2016-H18, Class QI 38376RYA8 236663.05800000 PA USD 13905.37000000 0.002805689896 Long ABS-MBS USGA US N 2 2066-06-20 Variable 2.23827120 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-H16, Class ID 38383KAP7 15237491.98170000 PA USD 517501.80000000 0.104416464405 Long ABS-MBS USGA US N 2 2072-04-20 Variable 0.66174840 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 5274 3137H9F46 12167930.71000000 PA USD 2038508.03000000 0.411310262409 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2021-176, Class IK 38383CCY4 3700970.43000000 PA USD 743558.64000000 0.150028008148 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 5.50000000 N N N N N N J.P. Morgan Chase Commercial Mortgage Securities Trust N/A J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class G 46634SAR6 100000.00000000 PA USD 91475.00000000 0.018456933060 Long ABS-MBS CORP US N 2 2045-05-15 Variable 2.97200160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-11, Class S 38384G3V0 13022637.60000000 PA USD 780613.36000000 0.157504548040 Long ABS-MBS USGA US N 2 2054-01-20 Floating 2.76116040 N N N N N N BANK N/A BANK Trust, Series 2018-BN11, Class D 06540TAP5 1309000.00000000 PA USD 1140572.67000000 0.230133625813 Long ABS-MBS CORP US N 2 2061-03-15 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-30, Class SU 38384JRW6 24426816.42000000 PA USD 1325789.89000000 0.267504949468 Long ABS-MBS USGA US N 2 2054-02-20 Floating 2.21115960 N N N N N N JPMDB Commercial Mortgage Securities Trust N/A JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4 46590TAD7 40867.75000000 PA USD 40708.68000000 0.008213800292 Long ABS-MBS CORP US N 2 2050-03-15 Fixed 3.41400000 N N N N N N N/A N/A CDSCMBX N/A 836000.00000000 PA USD 70467.29000000 0.014218202290 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BB-10 137BEMAI9 Y Receipt of notional amount upon default event with regard to the reference instrument 2059-11-17 376521.97000000 USD 0.00000000 USD 836000.00000000 USD 70467.29000000 N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-53, Class MI 38379LL46 49618.53000000 PA USD 9585.88000000 0.001934145345 Long ABS-MBS USGA US N 2 2045-04-16 Fixed 4.00000000 N N N N N N SF Abs Issuer LLC N/A SF ABS Issuer LLC, Series 2025-1A, Class A2 784193AA2 1262000.00000000 PA USD 1215187.37000000 0.245188652031 Long ABS-O CORP US N 2 2055-11-25 Fixed 5.37700000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2020-167, Class PI 38382LDU2 1919473.98000000 PA USD 426045.29000000 0.085963262076 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2022-128, Class SH 38383T8J5 21463910.35000000 PA USD 1507498.43000000 0.304168325902 Long ABS-MBS USGA US N 2 2052-07-20 Floating 2.34115920 N N N N N N BX Trust N/A BX Trust, Series 2026-CLS, Class A 123915AA8 1341000.00000000 PA USD 1344582.35000000 0.271296708705 Long ABS-MBS CORP US N 2 2043-05-15 Floating 5.03920080 N N N N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class E 17323CAS6 2077000.00000000 PA USD 1969977.80000000 0.397482901187 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.00000000 N N N N N N Cascade Funding Mortgage Trust N/A Cascade Funding Mortgage Trust, Series 2025-HB16, Class M2 12531BAC2 932000.00000000 PA USD 904234.14000000 0.182447542972 Long ABS-MBS CORP US N 2 2035-03-25 Variable 2.99999880 N N N N N N J.P. Morgan Mortgage Trust 5299003B69ZIV0CEZL85 J.P. Morgan Mortgage Trust, Series 2026-NQX2, Class A1 46661HAE5 1147832.41000000 PA USD 1142691.84000000 0.230561211261 Long ABS-MBS CORP US N 2 2066-10-25 Variable 5.62799880 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-13, Class SB 38383HMT3 19867397.27000000 PA USD 1292711.94000000 0.260830803428 Long ABS-MBS USGA US N 2 2053-01-20 Floating 2.61115920 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust 549300P1YQ48837ZOI22 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class B 61762MBZ3 1400159.65890000 PA USD 1333463.61000000 0.269053277824 Long ABS-MBS CORP US N 2 2046-07-15 Variable 3.94925760 N N N N N N PRET Trust N/A PRET Trust, Series 2026-RN1, Class A1 74144HAA2 398080.32000000 PA USD 398959.20000000 0.080498095090 Long ABS-O CORP US N 2 2066-06-25 Fixed 5.66840160 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2013-CR6, Class C 12624XAT5 885000.00000000 PA USD 853782.16000000 0.172267834662 Long ABS-MBS CORP US N 2 2046-03-10 Variable 3.77700120 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2014-CR17, Class C 12631DBG7 1493500.00000000 PA USD 1443646.97000000 0.291285001245 Long ABS-MBS CORP US N 2 2047-05-10 Variable 4.78002960 N N N N N N BANK N/A BANK Trust, Series 2019-BN19, Class C 06540WBG7 334000.00000000 PA USD 250870.14000000 0.050618129335 Long ABS-MBS CORP US N 2 2061-08-15 Variable 4.03035840 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 5065, Class MI 3137F8RM7 2536478.64000000 PA USD 472414.83000000 0.095319255472 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 3.50000000 N N N N N N N/A N/A CDSCMBX N/A 576000.00000000 PA USD -60731.16000000 -0.01225374096 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BB-8 137BEMAG3 Y Receipt of notional amount upon default event with regard to the reference instrument 2057-10-17 249406.21000000 USD 0.00000000 USD 576000.00000000 USD -60731.16000000 N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2020-151, Class MI 38382J3Q7 3495988.95000000 PA USD 500123.24000000 0.100909988115 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust 549300PFVBG5704L7K74 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class G 61762DAL5 1500000.00000000 PA USD 1175023.80000000 0.237084838716 Long ABS-MBS CORP US N 2 2046-05-15 Variable 3.78741600 N N N N N N UBS Commercial Mortgage Trust N/A UBS Commercial Mortgage Trust, Series 2018-C11, Class D 90276XAC9 2195000.00000000 PA USD 1485617.27000000 0.299753358912 Long ABS-MBS CORP US N 2 2051-06-15 Variable 2.99999880 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2019-H14, Class IB 38380LYU1 85560.19000000 PA USD 3439.69000000 0.000694027090 Long ABS-MBS USGA US N 2 2069-08-20 Variable 2.44928880 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2018-H01, Class AI 38375U3K4 3905687.49000000 PA USD 162734.37000000 0.032834953526 Long ABS-MBS USGA US N 2 2068-01-20 Variable 2.36031840 N N N N N N FNMA or FHLMC N/A Uniform Mortgage-Backed Securities 01F052698 70500000.00000000 PA USD 69785768.03000000 14.08069143630 Long ABS-MBS USGSE US N 2 2056-09-25 Fixed 5.50000000 N N N N N N Cantor Commercial Real Estate Lending N/A Cantor Commercial Real Estate Lending LP, Series 2019-CF3, Class XA 12529TAZ6 11619168.29160000 PA USD 210763.58000000 0.042525818942 Long ABS-MBS CORP US N 2 2053-01-15 Variable 0.67119840 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H10, Class HI 38376RAQ9 18206.60030000 PA USD 1055.36000000 0.000212940244 Long ABS-MBS USGA US N 2 2065-04-20 Variable 1.99927080 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2021-149, Class CI 38382XBY0 12675097.93000000 PA USD 1820747.40000000 0.367372646981 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.50000000 N N N N N N Imperial Fund Mortgage Trust N/A Imperial Fund Mortgage Trust, Series 2023-NQM1, Class A1 45290BAA7 674411.37000000 PA USD 671017.66000000 0.135391396920 Long ABS-MBS CORP US N 2 2068-02-25 Fixed 5.94100080 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2021-8, Class ID 3136BFES8 6570194.20500000 PA USD 1419070.62000000 0.286326225111 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 4949 3137FR6Y2 9515154.12000000 PA USD 1973696.07000000 0.398233137432 Long ABS-MBS USGSE US N 2 2050-01-25 Fixed 4.00000000 N N N N N N FHLMC 5493005RUXPCBST1N217 FHLMC STACR Trust, Series 2018-HQA2, Class B2 35563XBE1 3028000.00000000 PA USD 3622394.89000000 0.730891500464 Long ABS-MBS CORP US N 2 2048-10-25 Floating 14.75767080 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2014-CR17, Class D 12631DAG8 1247000.00000000 PA USD 1099037.22000000 0.221753007936 Long ABS-MBS CORP US N 2 2047-05-10 Variable 4.84378200 N N N N N N GSAA Home Equity Trust N/A GSAA Home Equity Trust, Series 2006-8, Class 2A2 362348AS3 74819.59000000 PA USD 14231.46000000 0.002871485155 Long ABS-O CORP US N 2 2036-05-25 Floating 4.14174960 N N N N N N Arroyo Mortgage Trust N/A Arroyo Mortgage Trust, Series 2020-1, Class M1 04285CAD3 442000.00000000 PA USD 399394.60000000 0.080585945855 Long ABS-MBS CORP US N 2 2055-03-25 Fixed 4.27700000 N N N N N N Tricolor Auto Securitization Trust N/A Tricolor Auto Securitization Trust, Series 2024-1A, Class A 89616LAA0 647275.09000000 PA USD 603519.29000000 0.121772234342 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.61000000 Y N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2014-H21, Class AI 38375UQB9 154430.47000000 PA USD 8010.77000000 0.001616335016 Long ABS-MBS USGA US N 2 2064-10-20 Variable 2.19305160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-32 38381J2J5 15725754.74000000 PA USD 809341.69000000 0.163301070191 Long ABS-MBS USGA US N 2 2063-06-16 Variable 0.69949080 N N N N N N GNMA N/A GNMA N/A 12156655.94600000 PA USD 626298.76000000 0.126368453560 Long ABS-MBS CORP US N 2 2049-02-20 Fixed 1.60000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-56, Class AS 38383XS70 17505788.03000000 PA USD 1093434.28000000 0.220622501366 Long ABS-MBS USGA US N 2 2053-04-20 Floating 2.52115920 N N N N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust, Series 2015-GC31, Class D 17323YAJ8 1541000.00000000 PA USD 89330.54000000 0.018024244843 Long ABS-MBS CORP US N 2 2048-06-10 Variable 3.65915160 N N N N N N N/A N/A CDSCMBX N/A 3436000.00000000 PA USD -162020.26000000 -0.03269086737 N/A DCR GB N 2 MORGAN STANLEY INTL PLC IGJSJL3JD5P30I6NJZ34 Markit CMBX North American Index Series BBB-8 137BERAH0 Y Receipt of notional amount upon default event with regard to the reference instrument 2057-10-17 707311.20000000 USD 0.00000000 USD 3436000.00000000 USD -162020.26000000 N N N Alternative Loan Trust N/A Alternative Loan Trust, Series 2006-OA19, Class A1 12668RAA6 879656.93000000 PA USD 708050.11000000 0.142863443389 Long ABS-MBS CORP US N 2 2047-02-20 Floating 3.94692840 N N N N N N N/A N/A CDSCMBX N/A 2375000.00000000 PA USD 2671.88000000 0.000539105879 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB-13 137BERAM9 Y Receipt of notional amount upon default event with regard to the reference instrument 2072-12-16 502312.50000000 USD 0.00000000 USD 2375000.00000000 USD 2671.88000000 N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2014-CR15, Class D 12591RAE0 923000.00000000 PA USD 856859.20000000 0.172888689773 Long ABS-MBS CORP US N 2 2047-02-10 Variable 3.86355960 N N N N N N CSAIL 549300D5DIOOMKWXVZ20 CSAIL Commercial Mortgage Trust, Series 2015-C2, Class D 12634NBA5 1121000.00000000 PA USD 991161.30000000 0.199986857247 Long ABS-MBS CORP US N 2 2057-06-15 Variable 4.17749400 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class E 61761DAS1 1303000.00000000 PA USD 892541.97000000 0.180088410979 Long ABS-MBS CORP US N 2 2045-11-15 Variable 4.34454840 N N N N N N Morgan Stanley Residential Mortgage Loan Trust N/A Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM1, Class A1 61775UAA6 716478.23000000 PA USD 717302.68000000 0.144730336695 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.15200040 N N N N N N A&D Mortgage Trust 984500E3BD374F778L95 A&D Mortgage Trust, Series 2024-NQM1, Class A1 00039GAA7 1151482.15900000 PA USD 1152142.76000000 0.232468125695 Long ABS-MBS CORP US N 2 2069-02-25 Fixed 6.19499880 N N N N N N N/A N/A OIS N/A 15856000.00000000 PA USD -930552.20000000 -0.18775774435 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2056-09-16 246350.11000000 USD 0.00000000 USD 15856000.00000000 USD -930552.20000000 N N N N/A N/A CDSCMBX N/A 114000.00000000 PA USD 2522.58000000 0.000508981581 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB-16 137BERAP2 Y Payout of notional amount upon default event with regard to the reference instrument 2065-04-17 0.00000000 USD 23410.23000000 USD 114000.00000000 USD 2522.58000000 N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-24, Class SQ 38383WDC7 12664601.59000000 PA USD 874676.91000000 0.176483773466 Long ABS-MBS USGA US N 2 2053-02-20 Floating 2.61115920 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-173, Class ES 38384GDP2 8470732.39000000 PA USD 544546.11000000 0.109873201430 Long ABS-MBS USGA US N 2 2053-11-20 Floating 3.31116120 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-35, Class SH 38383VL97 9785851.45000000 PA USD 755872.87000000 0.152512653338 Long ABS-MBS USGA US N 2 2053-02-20 Floating 2.81116080 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2016-H24, Class HI 38376RF84 2769531.87040000 PA USD 189322.43000000 0.038199632877 Long ABS-MBS USGA US N 2 2066-09-20 Variable 2.74317840 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2016-H24, Class CI 38376RF35 470196.13000000 PA USD 14076.26000000 0.002840170413 Long ABS-MBS USGA US N 2 2066-10-20 Variable 1.65695040 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2020-162, Class UI 38382KPP2 11763306.21000000 PA USD 1647958.03000000 0.332508893653 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N COMM Mortgage Trust 549300FVY7JUBJ0PIH53 COMM Mortgage Trust, Series 2013-CR7, Class D 12625FBA3 836220.61900000 PA USD 823488.74000000 0.166155523920 Long ABS-MBS CORP US N 2 2046-03-10 Variable 4.24667880 N N N N N N N/A N/A CDSCMBX N/A 3724000.00000000 PA USD 206557.84000000 0.041677225756 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BB-6 137BEMAE8 Y Payout of notional amount upon default event with regard to the reference instrument 2063-05-11 0.00000000 USD 647506.25000000 USD 3724000.00000000 USD 206557.84000000 N N N N/A N/A SOP N/A 626037300.00000000 PA USD 6692136.60000000 1.350274034007 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Put Purchased N/A Swaption 1.00000000 3.70000000 USD 2026-11-06 XXXX 3436351.37000000 N N N Barclays Commercial Mortgage Trust N/A Barclays Commercial Mortgage Trust, Series 2019-C4, Class D 07335CAT1 1010000.00000000 PA USD 675988.96000000 0.136394457334 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 3.25000000 N N N N N N PRPM Trust N/A PRPM Trust, Series 2024-NQM2, Class A1 74448PAA7 584764.96990000 PA USD 587105.43000000 0.118460405807 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.32700000 N N N N N N CD Mortgage Trust N/A CD Mortgage Trust, Series 2017-CD4, Class B 12515DAU8 1712000.00000000 PA USD 1627990.28000000 0.328479995865 Long ABS-MBS CORP US N 2 2050-05-10 Variable 3.94700040 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-7, Class SA 38384GL81 12525952.08000000 PA USD 772728.49000000 0.155913615897 Long ABS-MBS USGA US N 2 2054-01-20 Floating 2.76116040 N N N N N N N/A N/A OIS N/A 204280000.00000000 PA USD 1396874.42000000 0.281847692423 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2033-09-16 1328934.67000000 USD 0.00000000 USD 204280000.00000000 USD 1396874.42000000 N N N Morgan Stanley Bank of America Merrill Lynch Trust 549300P1YQ48837ZOI22 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class F 61762MBG5 1286000.00000000 PA USD 251459.30000000 0.050737004292 Long ABS-MBS CORP US N 2 2046-07-15 Variable 3.94925760 N N N N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class D 29425AAJ2 700000.00000000 PA USD 374486.00000000 0.075560131557 Long ABS-MBS CORP US N 2 2058-09-10 Fixed 3.17200000 N N N N N N CD Mortgage Trust N/A CD Mortgage Trust, Series 2019-CD8, Class D 12515BAR9 507000.00000000 PA USD 338041.95000000 0.068206806700 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2018-H05, Class BI 38380LAD5 479819.31000000 PA USD 19540.64000000 0.003942719698 Long ABS-MBS USGA US N 2 2068-02-20 Variable 2.40517080 N N N N N N Benchmark Mortgage Trust N/A Benchmark Mortgage Trust, Series 2025-V18, Class D 08164EAJ3 1436000.00000000 PA USD 1247087.02000000 0.251625052192 Long ABS-MBS CORP US N 2 2058-10-15 Fixed 4.50000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class D 46641JAE6 1135000.00000000 PA USD 1043774.38000000 0.210602611231 Long ABS-MBS CORP US N 2 2047-02-15 Variable 4.50970560 N N N N N N FHLMC 549300EUJICRX5L38Y52 FHLMC STACR Trust, Series 2019-HQA3, Class B2 35564XBE0 1000000.00000000 PA USD 1115696.60000000 0.225114375102 Long ABS-MBS CORP US N 2 2049-09-25 Floating 11.25767160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2017-H06, Class BI 38376RV78 143973.06000000 PA USD 5515.44000000 0.001112851674 Long ABS-MBS USGA US N 2 2067-02-20 Variable 2.38002840 N N N N N N PK ALIFT Loan Funding 7 LP N/A PK ALIFT Loan Funding 7 LP, Series 2025-2, Class A 69291NAA0 272325.14000000 PA USD 269081.72000000 0.054292684273 Long ABS-O CORP US N 2 2043-03-15 Fixed 4.75000000 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2014-CR17, Class E 12631DAJ2 804000.00000000 PA USD 588684.78000000 0.118779071642 Long ABS-MBS CORP US N 2 2047-05-10 Variable 4.84378200 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H26, Class EI 38376RJY3 26342.33300000 PA USD 958.20000000 0.000193336247 Long ABS-MBS USGA US N 2 2065-10-20 Variable 1.70574840 N N N N N N N/A N/A CDSCMBX N/A 1293000.00000000 PA USD 11852.50000000 0.002391481815 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BB-13 137BEMAL2 Y Receipt of notional amount upon default event with regard to the reference instrument 2072-12-16 486491.25000000 USD 0.00000000 USD 1293000.00000000 USD 11852.50000000 N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class E 94989WAD9 2466500.00000000 PA USD 1769382.01000000 0.357008639713 Long ABS-MBS CORP US N 2 2048-11-15 Variable 4.76235360 N N N N N N MAD Commercial Mortgage Trust N/A MAD Commercial Mortgage Trust, Series 2025-11MD, Class D 55616AAG2 919000.00000000 PA USD 920791.22000000 0.185788269042 Long ABS-MBS CORP US N 2 2042-10-15 Variable 6.35919120 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 5349, Class IB 3137HANZ5 308425.30000000 PA USD 64572.32000000 0.013028772755 Long ABS-MBS USGSE US N 2 2046-12-15 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2019-H07, Class EI 38380LSF1 7674463.19000000 PA USD 326579.11000000 0.065893946678 Long ABS-MBS USGA US N 2 2069-03-20 Variable 2.37543840 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-149, Class SE 38384DEX1 16228360.61000000 PA USD 1015591.90000000 0.204916225367 Long ABS-MBS USGA US N 2 2063-09-20 Floating 2.81116080 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2013-182, Class SP 38378PFQ6 449316.05000000 PA USD 48759.28000000 0.009838171818 Long ABS-MBS USGA US N 2 2043-12-20 Floating 2.93307120 N N N N N N IndyMac INDX Mortgage Loan Trust N/A IndyMac INDX Mortgage Loan Trust, Series 2006-AR11, Class 2A1 45661KAD2 17219.78990000 PA USD 15394.27000000 0.003106105612 Long ABS-MBS CORP US N 2 2036-06-25 Variable 3.83767200 N N N N N N GS Mortgage Securities Trust N/A GS Mortgage Securities Trust, Series 2017-GS5, Class D 36252HAL5 3043000.00000000 PA USD 214562.84000000 0.043292396559 Long ABS-MBS CORP US N 2 2050-03-10 Variable 3.50899920 N N N N N N N/A N/A CDSCMBX N/A 4663000.00000000 PA USD -200368.71000000 -0.04042844348 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB-12 137BERAL1 Y Receipt of notional amount upon default event with regard to the reference instrument 2061-08-17 1229725.96000000 USD 0.00000000 USD 4663000.00000000 USD -200368.71000000 N N N CHL Mortgage Pass-Through Trust N/A CHL Mortgage Pass-Through Trust, Series 2006-OA5, Class 2A1 126694M96 24577.93000000 PA USD 21881.60000000 0.004415055768 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.18174920 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class C 61690FAS2 2015000.00000000 PA USD 1699110.47000000 0.342829933948 Long ABS-MBS CORP US N 2 2048-04-15 Variable 3.96205920 N N N N N N X-Caliber Funding LLC 549300GGW5CBE4FDT866 X-Caliber Funding LLC, Series 2026-HRP, Class A 98373XCM0 828000.00000000 PA USD 831007.71000000 0.167672628331 Long ABS-MBS CORP US N 2 2046-07-15 Floating 9.92000160 N N N N N N FNMA or FHLMC N/A Uniform Mortgage-Backed Securities 01F022691 2000000.00000000 PA USD 1631721.36000000 0.329232816787 Long ABS-MBS USGSE US N 2 2056-09-25 Fixed 2.50000000 N N N N N N Structured Asset Mortgage Investments II Trust N/A Structured Asset Mortgage Investments II Trust, Series 2007-AR1, Class 2A1 86362XAP3 19532.97000000 PA USD 17668.69000000 0.003565015890 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.14174960 N N N N N N JPMCC Commercial Mortgage Securities Trust N/A JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class D 465968AM7 388000.00000000 PA USD 293465.27000000 0.059212559104 Long ABS-MBS CORP US N 2 2050-09-15 Variable 4.41424800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2016-H09, Class BI 38376RTH9 721163.11620000 PA USD 29277.78000000 0.005907384811 Long ABS-MBS USGA US N 2 2066-04-20 Variable 1.89601920 N N N N N N Cascade Funding Mortgage Trust N/A Cascade Funding Mortgage Trust, Series 2025-HB16, Class M3 12531BAD0 1000000.00000000 PA USD 966356.00000000 0.194981885816 Long ABS-MBS CORP US N 2 2035-03-25 Variable 2.99999880 N N N N N N Morgan Stanley Capital I Trust N/A Morgan Stanley Capital I Trust, Series 2011-C3, Class G 61760RAS1 753000.00000000 PA USD 736892.50000000 0.148682979454 Long ABS-MBS CORP US N 2 2049-07-15 Variable 4.90539960 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2014-132 38379EW99 457050.89000000 PA USD 87742.39000000 0.017703803430 Long ABS-MBS USGA US N 2 2044-09-20 Fixed 5.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class D 94989WBB2 1422147.01000000 PA USD 1342132.47000000 0.270802395820 Long ABS-MBS CORP US N 2 2048-11-15 Fixed 3.85200000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2017-H04, Class BI 38376RT30 858747.75000000 PA USD 37439.08000000 0.007554092303 Long ABS-MBS USGA US N 2 2067-02-20 Variable 2.41931880 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust 549300PFVBG5704L7K74 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class C 61762DBB6 917000.00000000 PA USD 857937.50000000 0.173106258627 Long ABS-MBS CORP US N 2 2046-05-15 Variable 3.69941760 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-30, Class WS 38384JKZ6 26054051.26000000 PA USD 1126947.14000000 0.227384399302 Long ABS-MBS USGA US N 2 2054-02-20 Floating 2.16115920 N N N N N N BX Trust N/A BX Trust, Series 2026-CLS, Class D 123915AG5 1469000.00000000 PA USD 1482772.02000000 0.299179272126 Long ABS-MBS CORP US N 2 2043-05-15 Floating 7.08919920 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H16, Class XI 38376REB8 1112897.95000000 PA USD 61908.29000000 0.012491250772 Long ABS-MBS USGA US N 2 2065-07-20 Variable 2.44523160 N N N N N N J.P. Morgan Chase Commercial Mortgage Securities Trust N/A J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D 46639EAN1 1799000.00000000 PA USD 1757296.48000000 0.354570139377 Long ABS-MBS CORP US N 2 2047-12-15 Variable 3.57271920 N N N N N N CIM Trust N/A CIM Trust, Series 2024-R1, Class A1 17179VAA8 497307.01990000 PA USD 485659.94000000 0.097991724547 Long ABS-MBS CORP US N 2 2064-06-25 Variable 4.74999840 N N N N N N CoreWeave Financing DDTL V LLC N/A CoreWeave Financing DDTL V LLC, First Lien, Delayed Draw CME Term Loan 21882DAB6 40649.49680000 PA USD 41061.27672300 0.008284943819 Long LON CORP US N 2 2031-11-17 Variable 8.14000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class C 61767EAK0 691000.00000000 PA USD 630897.10000000 0.127296261744 Long ABS-MBS CORP US N 2 2052-11-15 Variable 4.16646720 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2025-120, Class SD 38381N6U7 26108707.63900000 PA USD 2251121.49000000 0.454209332090 Long ABS-MBS USGA US N 2 2049-10-20 Floating 2.23306920 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2021-29, Class TI 38382NT31 18721772.23000000 PA USD 3092986.55000000 0.624072650579 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.50000000 N N N N N N Banc of America Commercial Mortgage Trust N/A Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class C 06054ABD0 1751000.00000000 PA USD 1699892.69000000 0.342987762668 Long ABS-MBS CORP US N 2 2048-09-15 Variable 4.28567760 N N N N N N N/A N/A CDSCMBX N/A 1500000.00000000 PA USD 28400.00000000 0.005730274926 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BB-15 137BEMAN8 Y Receipt of notional amount upon default event with regard to the reference instrument 2064-11-18 286250.00000000 USD 0.00000000 USD 1500000.00000000 USD 28400.00000000 N N N Benchmark Mortgage Trust N/A Benchmark Mortgage Trust, Series 2018-B1, Class D 08162PAG6 1021000.00000000 PA USD 377093.59000000 0.076086265628 Long ABS-MBS CORP US N 2 2051-01-15 Fixed 2.75000000 N N N N N N PRET LLC 2549002NGM9N1GT2FK83 PRET LLC, Series 2026-NPL1, Class A1 69383TAA6 269164.05000000 PA USD 266778.21000000 0.053827904499 Long ABS-MBS CORP US N 2 2056-01-25 Fixed 5.17960080 N N N N N N JPMDB Commercial Mortgage Securities Trust N/A JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class D 46590LAE2 1101000.00000000 PA USD 526278.00000000 0.106187240420 Long ABS-MBS CORP US N 2 2049-06-15 Variable 3.29893920 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H04, Class AI 38378U8K6 497267.94000000 PA USD 17404.48000000 0.003511706174 Long ABS-MBS USGA US N 2 2064-12-20 Variable 1.97385840 N N N N N N Morgan Stanley Capital I Trust N/A Morgan Stanley Capital I Trust, Series 2018-L1, Class D 61691QAN8 1055000.00000000 PA USD 901176.36000000 0.181830573955 Long ABS-MBS CORP US N 2 2051-10-15 Fixed 3.00000000 N N N N N N MFA Trust N/A MFA Trust, Series 2023-NQM3, Class A1 55286MAA8 353516.00900000 PA USD 352611.29000000 0.071146465985 Long ABS-MBS CORP US N 2 2068-07-25 Fixed 6.61700160 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2021-5, Class PI 3136BDZL5 2285013.45000000 PA USD 424624.28000000 0.085676544542 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA II, Single-family, 30 Year 21H050698 1000000.00000000 PA USD 968390.62000000 0.195392411589 Long ABS-MBS USGA US N 2 2056-09-15 Fixed 5.00000000 N N N N N N Pound Sterling N/A Pound Sterling N/A -1338.03000000 OU Currencies -1813.03000000 -0.00036581550 Short STIV GB N 1 N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2022-H09, Class IG 38382YRQ8 7536216.36000000 PA USD 371625.15000000 0.074982897155 Long ABS-MBS USGA US N 2 2072-04-20 Variable 2.45719080 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2022-213, Class IH 38383LC57 1796052.97900000 PA USD 353607.81000000 0.071347534069 Long ABS-MBS USGA US N 2 2052-12-20 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2022-160, Class IB 38383YSF0 14579186.93000000 PA USD 2957148.97000000 0.596664668931 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.50000000 N N N N N N FNMA or FHLMC N/A Uniform Mortgage-Backed Securities 01F032690 1000000.00000000 PA USD 886757.80000000 0.178921337588 Long ABS-MBS USGSE US N 2 2056-09-25 Fixed 3.50000000 N N N N N N Barclays Commercial Mortgage Trust N/A Barclays Commercial Mortgage Trust, Series 2019-C5, Class D 05492JAA0 1845754.00000000 PA USD 1534417.57000000 0.309599807346 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 2.50000000 N N N N N N FHLMC 549300TCRXCIFPAC3B85 FHLMC STACR REMIC Trust, Series 2020-HQA1, Class B2 35565JBE0 800000.00000000 PA USD 888692.48000000 0.179311698443 Long ABS-MBS CORP US N 2 2050-01-25 Floating 8.85767040 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class D 61767EAU8 663000.00000000 PA USD 539746.64000000 0.108904811198 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 2.70000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2022-13, Class CI 3136BL6M7 11516114.56000000 PA USD 1692797.44000000 0.341556152345 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2022-125, Class BS 38383TWH2 11166361.13900000 PA USD 770933.39000000 0.155551418132 Long ABS-MBS USGA US N 2 2052-07-20 Floating 2.41116120 N N N N N N BANK5 N/A BANK5 Trust, Series 2026-5YR22, Class C 06211HAH7 937000.00000000 PA USD 927164.69000000 0.187074245638 Long ABS-MBS CORP US N 2 2059-06-15 Variable 5.96199960 N N N N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class D 95001XAJ5 292000.00000000 PA USD 235612.32000000 0.047539555272 Long ABS-MBS CORP US N 2 2052-05-15 Fixed 3.00000000 N N N N N N Aligned Data Centers Issuer LLC N/A Aligned Data Centers Issuer LLC, Series 2026-1A, Class A2I 01627AAF5 2256000.00000000 PA USD 2242504.38000000 0.452470655703 Long ABS-O CORP US N 2 2056-06-15 Fixed 5.90900000 N N N N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class C 17322MBA3 152512.53990000 PA USD 150251.85000000 0.030316352421 Long ABS-MBS CORP US N 2 2047-05-10 Variable 4.78000080 N N N N N N FHLMC Multifamily Structured Credit Risk 549300XWC4JMK6CH6K84 FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN1, Class M2 35563FAB7 1350000.00000000 PA USD 1375349.76000000 0.277504656525 Long ABS-MBS CORP US N 2 2051-01-25 Floating 7.39319040 N N N N N N Alternative Loan Trust N/A Alternative Loan Trust, Series 2006-OA10, Class 4A1 02146QAD5 173816.04970000 PA USD 152454.21000000 0.030760723135 Long ABS-MBS CORP US N 2 2046-08-25 Floating 4.16175120 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2016-H27, Class EI 38376RK47 4735370.31000000 PA USD 208204.76000000 0.042009525206 Long ABS-MBS USGA US N 2 2066-12-20 Variable 2.09937960 N N N N N N Morgan Stanley Capital I Trust N/A Morgan Stanley Capital I Trust, Series 2015-UBS8, Class D 61691AAQ6 1922000.00000000 PA USD 1828253.87000000 0.368887229264 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 3.18000000 N N N N N N N/A N/A SOP N/A -626037300.00000000 PA USD -223080.75000000 -0.04501105733 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Call Written N/A Swaption 1.00000000 3.69000000 USD 2026-11-06 XXXX 3173171.61000000 N N N Deutsche Alt-B Securities Mortgage Loan Trust N/A Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A4B 251513AZ0 1629438.86000000 PA USD 1403162.76000000 0.283116492319 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.00000120 N N N N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class C 95000TBY1 365000.00000000 PA USD 307476.40000000 0.062039588222 Long ABS-MBS CORP US N 2 2050-03-15 Variable 4.31100000 N N N N N N CSAIL Commercial Mortgage Trust 549300ZAGI6FKGY8O078 CSAIL Commercial Mortgage Trust, Series 2015-C3, Class C 12635FAZ7 1033926.39000000 PA USD 1002438.16000000 0.202262192039 Long ABS-MBS CORP US N 2 2048-08-15 Variable 4.19820480 N N N N N N CSAIL Commercial Mortgage Trust N/A CSAIL Commercial Mortgage Trust, Series 2019-C17, Class D 12597BAC3 594000.00000000 PA USD 349560.80000000 0.070530967874 Long ABS-MBS CORP US N 2 2052-09-15 Fixed 2.50000000 N N N N N N UBS Commercial Mortgage Trust N/A UBS Commercial Mortgage Trust, Series 2018-C11, Class C 90276XBA2 641000.00000000 PA USD 567780.81000000 0.114561272516 Long ABS-MBS CORP US N 2 2051-06-15 Variable 4.86194400 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class F 46640LAS1 402000.00000000 PA USD 33548.51000000 0.006769091045 Long ABS-MBS CORP US N 2 2046-08-15 Variable 3.59799840 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class D 46639NAX9 1000000.00000000 PA USD 951912.10000000 0.192067536590 Long ABS-MBS CORP US N 2 2045-07-15 Variable 3.94040160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2022-120, Class SH 38383TB77 32906017.00000000 PA USD 2520462.70000000 0.508554373724 Long ABS-MBS USGA US N 2 2052-07-20 Floating 2.41116120 N N N N N N PRMI Securitization Trust N/A PRMI Securitization Trust, Series 2024-CMG1, Class A1 74275VAA2 3056861.70990000 PA USD 3054401.24000000 0.616287283169 Long ABS-O CORP US N 2 2054-07-25 Floating 5.07075840 N N N N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust, Series 2020-C55, Class D 95002EAA5 919000.00000000 PA USD 671920.23000000 0.135573508689 Long ABS-MBS CORP US N 2 2053-02-15 Fixed 2.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2016-H19, Class AI 38376RZM1 736290.10450000 PA USD 29386.81000000 0.005929383821 Long ABS-MBS USGA US N 2 2066-09-20 Variable 2.55918960 N N N N N N N/A N/A CDSCMBX N/A 1457000.00000000 PA USD 13153.47000000 0.002653978850 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BB- 13 137BEMAL2 Y Receipt of notional amount upon default event with regard to the reference instrument 2072-12-16 548398.61000000 USD 0.00000000 USD 1457000.00000000 USD 13153.47000000 N N N GS Mortgage Securities Trust 549300WF5YRKNHB1FX69 GS Mortgage Securities Trust, Series 2013-GC13, Class D 36198EBB0 739000.00000000 PA USD 556467.00000000 0.112278482313 Long ABS-MBS CORP US N 2 2046-07-10 Variable 3.72540960 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1C4 92922F4W5 25621.61000000 PA USD 24193.76000000 0.004881580856 Long ABS-MBS CORP US N 2 2045-10-25 Floating 4.64175000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2017-H09 38375UZV5 90286.43000000 PA USD 2813.14000000 0.000567607943 Long ABS-MBS USGA US N 2 2067-04-20 Variable 1.81014840 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class E 46639NAC5 625000.00000000 PA USD 464755.75000000 0.093773881032 Long ABS-MBS CORP US N 2 2045-07-15 Variable 3.94040160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-13, Class SL 38383HLR8 13032746.09000000 PA USD 882667.49000000 0.178096034741 Long ABS-MBS USGA US N 2 2053-01-20 Floating 2.61115920 N N N N N N N/A N/A CDSCMBX N/A 1567000.00000000 PA USD 621145.91000000 0.125328761759 N/A DCR US N 2 J P MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Markit CMBX North American Index Series BB-6 137BEMAE8 Y Payout of notional amount upon default event with regard to the reference instrument 2063-05-11 0.00000000 USD 806689.99000000 USD 1567000.00000000 USD 621145.91000000 N N N BBCMS Mortgage Trust N/A BBCMS Mortgage Trust, Series 2026-5C40, Class E 05557AAR4 1188000.00000000 PA USD 834387.88000000 0.168354646056 Long ABS-MBS CORP US N 2 2059-02-15 Fixed 4.25000000 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2015-LC19, Class E 200474AG9 1070000.00000000 PA USD 989204.62000000 0.199592057446 Long ABS-MBS CORP US N 2 2048-02-10 Variable 4.42147320 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2021-191, Class HI 38383CNQ9 2392426.49000000 PA USD 410942.31000000 0.082915930118 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3.00000000 N N N N N N N/A N/A CDSCMBX N/A 750000.00000000 PA USD 14408.33000000 0.002907172258 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BB-15 137BEMAN8 Y Receipt of notional amount upon default event with regard to the reference instrument 2064-11-18 142916.67000000 USD 0.00000000 USD 750000.00000000 USD 14408.33000000 N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2020-173, Class MI 38382LNV9 8855653.85300000 PA USD 1279799.61000000 0.258225479455 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.50000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class B 46643PBK5 1947000.00000000 PA USD 1860747.90000000 0.375443557623 Long ABS-MBS CORP US N 2 2047-11-15 Variable 4.34720160 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA Connecticut Avenue Securities Trust, Series 2016-C07, Class 2B 30711XEJ9 590749.46840000 PA USD 601701.55000000 0.121405468499 Long ABS-MBS CORP US N 2 2029-05-25 Floating 13.25766960 N N N N N N Wells Fargo Commercial Mortgage Trust 5493007CD1Q2V06I4172 Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class D 94989AAA3 1610771.82000000 PA USD 1589262.38000000 0.320665858036 Long ABS-MBS CORP US N 2 2047-12-15 Variable 3.95700120 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-51, Class HS 38384KTQ4 32996834.13000000 PA USD 1996315.06000000 0.402796976561 Long ABS-MBS USGA US N 2 2054-03-20 Floating 2.36116080 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2026-2, Class SB 38385LDM7 26919397.03000000 PA USD 2614759.10000000 0.527580581352 Long ABS-MBS USGA US N 2 2056-01-20 Floating 2.48115960 N N N N N N Benchmark Mortgage Trust N/A Benchmark Mortgage Trust, Series 2024-V11, Class XA 081921BA5 38672660.35000000 PA USD 629061.10000000 0.126925811576 Long ABS-MBS CORP US N 2 2057-11-15 Variable 0.56019960 N N N N N N N/A N/A CDSCMBX N/A 2375000.00000000 PA USD -63382.81000000 -0.01278876503 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB-11 137BERAK3 Y Receipt of notional amount upon default event with regard to the reference instrument 2054-11-18 306375.00000000 USD 0.00000000 USD 2375000.00000000 USD -63382.81000000 N N N HOMES Trust 2549001JI3VOZZFMYK81 HOMES Trust, Series 2024-NQM1, Class A1 40390TAA8 551617.09000000 PA USD 552892.54000000 0.111557262647 Long ABS-MBS CORP US N 2 2069-07-25 Fixed 5.91500160 N N N N N N PRET LLC 254900IWII23Q41Y2V47 PRET LLC, Series 2025-NPL9, Class A1 740937AA5 2537063.02000000 PA USD 2539304.77000000 0.512356142784 Long ABS-O CORP US N 2 2055-08-25 Fixed 5.39120160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2025-171, Class PI 38385HVM6 5507339.26430000 PA USD 1138457.35000000 0.229706817181 Long ABS-MBS USGA US N 2 2055-10-20 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2021-98, Class EI 38382TD68 3612390.79200000 PA USD 561553.73000000 0.113304833066 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 3.00000000 N N N N N N Sabey Data Center Issuer LLC N/A Sabey Data Center Issuer LLC, Series 2026-1, Class A2 78520EAK2 809000.00000000 PA USD 783972.37000000 0.158182296307 Long ABS-O CORP US N 2 2051-01-20 Fixed 5.48200000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class D 61764PAN2 260417.81000000 PA USD 257260.24000000 0.051907461371 Long ABS-MBS CORP US N 2 2047-12-15 Fixed 3.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2020-189, Class S 38382MFM6 12921046.96000000 PA USD 1121645.08000000 0.226314601363 Long ABS-MBS USGA US N 2 2049-12-20 Floating 2.28306960 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-126, Class LS 38384UYD5 19099810.17000000 PA USD 1289485.48000000 0.260179799807 Long ABS-MBS USGA US N 2 2054-08-20 Floating 3.01115880 N N N N N N COMM Mortgage Trust 5493004GWEVMOU8S3L34 COMM Mortgage Trust, Series 2014-UBS4, Class C 12591QAW2 324000.00000000 PA USD 282477.78000000 0.056995610567 Long ABS-MBS CORP US N 2 2047-08-10 Variable 4.61467440 N N N N N N BWAY Mortgage Trust N/A BWAY Mortgage Trust, Series 2022-26BW, Class F 12429EAN7 2210000.00000000 PA USD 1039218.47000000 0.209683364159 Long ABS-MBS CORP US N 2 2044-02-10 Variable 4.86636120 N N N N N N N/A N/A CDSCMBX N/A 750000.00000000 PA USD -9762.26000000 -0.00196973358 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BB - 6 137BEMAE8 Y Receipt of notional amount upon default event with regard to the reference instrument 2063-05-11 98567.66000000 USD 0.00000000 USD 750000.00000000 USD -9762.26000000 N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2016-75, Class LI 38379YFF0 14523.40000000 PA USD 1949.58000000 0.000393367232 Long ABS-MBS USGA US N 2 2040-01-20 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 5119, Class IB 3137H0SA7 3404032.53000000 PA USD 335467.07000000 0.067687272534 Long ABS-MBS USGSE US N 2 2041-06-25 Fixed 3.00000000 N N N N N N UBS Commercial Mortgage Trust N/A UBS Commercial Mortgage Trust, Series 2018-C15, Class D 90278LAC3 403000.00000000 PA USD 366518.83000000 0.073952593723 Long ABS-MBS CORP US N 2 2051-12-15 Variable 5.13526680 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2021-H12, Class IY 38382YCJ0 91772203.56500000 PA USD 2041234.06000000 0.411860294147 Long ABS-MBS USGA US N 2 2071-08-20 Variable 0.32653080 N N N N N N Chase Home Lending Mortgage Trust 529900HBZNCZRSLIS225 Chase Home Lending Mortgage Trust, Series 2025-3, Class A11 16160MAX1 356907.67000000 PA USD 358371.78000000 0.072308761458 Long ABS-MBS CORP US N 2 2056-02-25 Floating 4.94318880 N N N N N N Radian Mortgage Capital Trust N/A Radian Mortgage Capital Trust, Series 2025-J4, Class A25 75024UBP1 2303791.09400000 PA USD 2316465.17000000 0.467393742341 Long ABS-MBS CORP US N 2 2056-03-25 Floating 5.19319080 N N N N N N N/A N/A CDSCMBX N/A 326000.00000000 PA USD -36400.86000000 -0.00734461040 N/A DCR GB N 2 MORGAN STANLEY INTL PLC IGJSJL3JD5P30I6NJZ34 Markit CMBX North American Index Series BB-8 137BEMAG3 Y Receipt of notional amount upon default event with regard to the reference instrument 2057-10-17 143185.69000000 USD 0.00000000 USD 326000.00000000 USD -36400.86000000 N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-103, Class SK 38384CCX5 32469263.46000000 PA USD 1805183.90000000 0.364232395790 Long ABS-MBS USGA US N 2 2053-07-20 Floating 2.36116080 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-152, Class SL 38384DXW2 16736884.09000000 PA USD 1064557.88000000 0.214796103095 Long ABS-MBS USGA US N 2 2053-10-20 Floating 2.66115960 N N N N N N GS Mortgage Securities Trust N/A GS Mortgage Securities Trust, Series 2019-GC38, Class D 36252SAA5 439000.00000000 PA USD 377455.89000000 0.076159366987 Long ABS-MBS CORP US N 2 2052-02-10 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2022-H01, Class EI 38382YKW2 2456708.41000000 PA USD 130613.60000000 0.026353937928 Long ABS-MBS USGA US N 2 2072-01-20 Variable 2.63919960 N N N N N N N/A N/A CDSCMBX N/A 223000.00000000 PA USD 29362.50000000 0.005924478786 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BB-10 137BEMAI9 Y Receipt of notional amount upon default event with regard to the reference instrument 2059-11-17 89870.28000000 USD 0.00000000 USD 223000.00000000 USD 29362.50000000 N N N N/A N/A CDSCMBX N/A 438000.00000000 PA USD 30927.11000000 0.006240170527 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BB-10 137BEMAI9 Y Receipt of notional amount upon default event with regard to the reference instrument 2059-11-17 203261.04000000 USD 0.00000000 USD 438000.00000000 USD 30927.11000000 N N N Cantor Commercial Real Estate Lending N/A Cantor Commercial Real Estate Lending LP, Series 2019-CF3, Class E 12529TAE3 207000.00000000 PA USD 132875.47000000 0.026810315990 Long ABS-MBS CORP US N 2 2053-01-15 Variable 2.49999840 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2025-169, Class FC 38385HLF2 869729.21700000 PA USD 872360.15000000 0.176016320235 Long ABS-MBS USGA US N 2 2055-10-20 Floating 4.63884120 N N N N N N Structured Asset Mortgage Investments II Trust N/A Structured Asset Mortgage Investments II Trust, Series 2006-AR7, Class A1BG 86361HAB0 122461.91000000 PA USD 107699.89000000 0.021730633073 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.90174840 N N N N N N FHLMC Multifamily Structured Credit Risk 549300XWC4JMK6CH6K84 FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN1, Class M1 35563FAA9 114802.66000000 PA USD 114751.24000000 0.023153385682 Long ABS-MBS CORP US N 2 2051-01-25 Floating 5.64319080 N N N N N N BBCMS Mortgage Trust N/A BBCMS Mortgage Trust, Series 2025-C32, Class XA 07337AAJ5 12136329.62000000 PA USD 906711.25000000 0.182947350061 Long ABS-MBS CORP US N 2 2062-02-15 Variable 1.11632760 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2022-43, Class SB 3136BNSV9 11219961.61000000 PA USD 498789.00000000 0.100640778185 Long ABS-MBS USGSE US N 2 2052-07-25 Floating 1.75681080 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2019-H15, Class IH 38380LC27 4974357.32000000 PA USD 181708.30000000 0.036663328010 Long ABS-MBS USGA US N 2 2069-09-20 Variable 1.60409160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2021-57, Class SD 38382QAM2 7581232.19000000 PA USD 835351.72000000 0.168549120288 Long ABS-MBS USGA US N 2 2051-03-20 Floating 2.53307160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2011-156, Class SK 38378A3Y5 19430.85000000 PA USD 1659.18000000 0.000334773153 Long ABS-MBS USGA US N 2 2038-04-20 Floating 2.83307040 N N N N N N FHLMC 549300MHCI0CUXMJQS62 FHLMC STACR Trust, Series 2019-FTR1, Class B2 35564PAC2 3900000.00000000 PA USD 4569831.63000000 0.922056042576 Long ABS-MBS CORP US N 2 2048-01-25 Floating 12.10767120 N N N N N N UBS Commercial Mortgage Trust N/A UBS Commercial Mortgage Trust, Series 2017-C1, Class D 90276EAN7 1223000.00000000 PA USD 1102535.11000000 0.222458778055 Long ABS-MBS CORP US N 2 2050-06-15 Variable 4.83719760 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2015-69 3136AP4N9 136300.98000000 PA USD 27151.32000000 0.005478328458 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2025-62, Class HS 38385FNW7 11930921.62200000 PA USD 1088319.58000000 0.219590507099 Long ABS-MBS USGA US N 2 2047-11-20 Floating 2.43307080 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2022-139 38383M3L0 8066032.24000000 PA USD 1539210.28000000 0.310566833612 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 4.50000000 N Y N N N N GSAA Home Equity Trust N/A GSAA Home Equity Trust, Series 2006-17, Class A1 362257AA5 8096985.28000000 PA USD 1734292.47000000 0.349928614669 Long ABS-O CORP US N 2 2036-11-25 Floating 3.90174840 N N N N N N N/A N/A CDSCMBX N/A 289000.00000000 PA USD -131332.57000000 -0.02649900468 N/A DCR US N 2 J P MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Markit CMBX North American Index Series BB-10 137BEMAI9 Y Payout of notional amount upon default event with regard to the reference instrument 2059-11-17 0.00000000 USD 23188.84000000 USD 289000.00000000 USD -131332.57000000 N N N RCO VIII Mortgage LLC N/A RCO VIII Mortgage LLC, Series 2025-3, Class A1 74939GAA3 447355.25000000 PA USD 447956.58000000 0.090384308404 Long ABS-MBS CORP US N 2 2030-05-25 Fixed 6.43449960 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H13, Class AI 38376RCL8 36099.58780000 PA USD 2310.07000000 0.000466103387 Long ABS-MBS USGA US N 2 2065-06-20 Variable 2.19749040 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2017-COR2, Class D 12595EAN5 1656000.00000000 PA USD 1513887.88000000 0.305457526787 Long ABS-MBS CORP US N 2 2050-09-10 Fixed 3.00000000 N N N N N N GSAA Home Equity Trust N/A GSAA Home Equity Trust, Series 2006-1, Class A1 362341Z28 949552.25000000 PA USD 241665.04000000 0.048760814063 Long ABS-O CORP US N 2 2036-01-25 Floating 3.96174960 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H20, Class AI 38376RFF8 16157.29390000 PA USD 621.99000000 0.000125499074 Long ABS-MBS USGA US N 2 2065-08-20 Variable 1.86536880 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2014-UBS5, Class AM 12592KBE3 479301.50900000 PA USD 476060.23000000 0.096054788719 Long ABS-MBS CORP US N 2 2047-09-10 Variable 4.19299920 N N N N N N BANK N/A BANK Trust, Series 2020-BN30, Class XA 06541UCB0 16704593.01000000 PA USD 682167.14000000 0.137641030219 Long ABS-MBS CORP US N 2 2053-12-15 Variable 1.23719040 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2024-54, Class FC 3136BSSC0 276683.74000000 PA USD 278797.22000000 0.056252983078 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 4.61319120 N N N N N N Bear Stearns ALT-A Trust N/A Bear Stearns ALT-A Trust, Series 2005-8, Class 21A1 07386HWZ0 196064.47000000 PA USD 161819.85000000 0.032650430602 Long ABS-MBS CORP US N 2 2035-10-25 Variable 4.85245080 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2025-25, Class FB 3136BVJR0 991330.28200000 PA USD 992666.60000000 0.200290581995 Long ABS-MBS USGSE US N 2 2055-04-25 Floating 4.59318960 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 4915, Class SD 3137FNKD1 1228188.73000000 PA USD 101646.86000000 0.020509311734 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 2.29232880 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2020-H04, Class AI 38380LY98 3468142.25000000 PA USD 153326.57000000 0.030936739425 Long ABS-MBS USGA US N 2 2070-02-20 Variable 2.50837920 N N N N N N CSAIL Commercial Mortgage Trust 549300UFJ8EKD81Y8R30 CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C 126281BF0 1009000.00000000 PA USD 988807.08000000 0.199511845703 Long ABS-MBS CORP US N 2 2050-04-15 Variable 3.76558560 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2020-47, Class SA 38382EFD4 2558650.34000000 PA USD 184230.50000000 0.037172232919 Long ABS-MBS USGA US N 2 2044-05-20 Floating 2.23306920 N N N N N N BANK N/A BANK Trust, Series 2024-BNK48, Class XA 06541GAN7 9270077.20000000 PA USD 676340.20000000 0.136465327114 Long ABS-MBS CORP US N 2 2057-10-15 Variable 1.14184080 N N N N N N Wells Fargo Commercial Mortgage Trust 549300FWFHJGIW2B2U59 Wells Fargo Commercial Mortgage Trust, Series 2016-C34, Class D 95000DAL5 1214329.55400000 PA USD 1192146.79000000 0.240539748585 Long ABS-MBS CORP US N 2 2049-06-15 Variable 5.22035640 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2014-CR14, Class D 12630DAE4 1479000.00000000 PA USD 1254192.00000000 0.253058625739 Long ABS-MBS CORP US N 2 2047-02-10 Variable 3.18879000 N N N N N N New Economy Assets - Phase 1 Sponsor LLC N/A New Economy Assets - Phase 1 Sponsor LLC, Series 2021-1, Class A1 643821AA9 1431000.00000000 PA USD 1111104.39000000 0.224187803770 Long ABS-O CORP US N 2 2061-10-20 Fixed 1.91000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H20, Class CI 38376RFK7 207180.45000000 PA USD 12887.87000000 0.002600388673 Long ABS-MBS USGA US N 2 2065-08-20 Variable 2.50544880 N N N N N N Wells Fargo Commercial Mortgage Trust 549300V2DF3KW9L1CV04 Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class D 94988QAU5 381000.00000000 PA USD 273319.88000000 0.055147818850 Long ABS-MBS CORP US N 2 2046-07-15 Variable 3.74034960 N N N N N N Chevy Chase Funding LLC 5493000OPBL8EFF3O717 Chevy Chase Funding LLC, Series 2006-4A, Class A2 16678XAB0 634824.32490000 PA USD 565394.79000000 0.114079844679 Long ABS-MBS CORP US N 2 2047-11-25 Floating 3.96174960 N N N N N N GS Mortgage-Backed Securities Trust N/A GS Mortgage-Backed Securities Trust, Series 2024-HE1, Class A1 36270AAA2 1920634.52000000 PA USD 1928147.27000000 0.389042744946 Long ABS-O CORP US N 2 2054-08-25 Floating 5.24319120 N N N N N N J.P. Morgan Mortgage Trust 529900ELA1S09AZO9Q54 J.P. Morgan Mortgage Trust, Series 2024-HE2, Class A1 46593HAA6 460314.50000000 PA USD 461111.76000000 0.093038632281 Long ABS-O CORP US N 2 2054-10-20 Floating 4.83883920 N N N N N N BANK N/A BANK Trust, Series 2020-BN26, Class XA 06540JBM3 13869633.17000000 PA USD 405833.79000000 0.081885182791 Long ABS-MBS CORP US N 2 2063-03-15 Variable 1.18903680 N N N N N N Castlelake Aircraft Structured Trust N/A Castlelake Aircraft Structured Trust, Series 2025-2A, Class A 14855XAA2 1045269.45000000 PA USD 1039386.67000000 0.209717301914 Long ABS-O CORP US N 2 2050-08-15 Fixed 5.46500000 N N N N N N N/A N/A CDSCMBX N/A 2375000.00000000 PA USD 93218.75000000 0.018808769923 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB-12 137BERAL1 Y Receipt of notional amount upon default event with regard to the reference instrument 2061-08-17 431062.50000000 USD 0.00000000 USD 2375000.00000000 USD 93218.75000000 N N N Home Re Ltd. N/A Home Re Ltd., Series 2022-1, Class B1 43730GAE1 900000.00000000 PA USD 969116.40000000 0.195538852397 Long ABS-MBS CORP BM N 2 2034-10-25 Floating 12.64318920 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2020-99, Class IB 3136BDFP8 6748509.68000000 PA USD 1171353.00000000 0.236344180505 Long ABS-MBS USGSE US N 2 2050-05-25 Fixed 3.50000000 N N N N N N OBX Trust N/A OBX Trust, Series 2026-NQM9, Class A1 67449PAE2 708643.44600000 PA USD 706151.15000000 0.142480289767 Long ABS-MBS CORP US N 2 2066-04-25 Variable 5.46999840 N N N N N N FNMA or FHLMC N/A Uniform Mortgage-Backed Securities 01F030694 6000000.00000000 PA USD 5114244.00000000 1.031902259254 Long ABS-MBS USGSE US N 2 2056-09-25 Fixed 3.00000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class D 61762XAC1 1139000.00000000 PA USD 1089530.61000000 0.219834856918 Long ABS-MBS CORP US N 2 2046-10-15 Variable 4.69005840 N N N N N N MAST Ltd. N/A MAST Ltd., Series 2026-1A, Class A 57631AAA2 2213035.66500000 PA USD 2158718.92000000 0.435565243004 Long ABS-O CORP KY N 2 2051-02-15 Fixed 5.13400000 N N N N N N Imperial Fund Mortgage Trust N/A Imperial Fund Mortgage Trust, Series 2022-NQM4, Class A3 45276NAC5 894425.56990000 PA USD 885579.07000000 0.178683504948 Long ABS-MBS CORP US N 2 2067-06-25 Fixed 6.04000080 N N N N N N WFRBS Commercial Mortgage Trust N/A WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E 92936CAY5 806022.00000000 PA USD 773270.10000000 0.156022896679 Long ABS-MBS CORP US N 2 2044-06-15 Variable 4.98448800 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class D 46643AAG8 2857000.00000000 PA USD 2655168.66000000 0.535734028129 Long ABS-MBS CORP US N 2 2047-09-15 Variable 4.02203160 N N N N N N Morgan Stanley Capital I Trust N/A Morgan Stanley Capital I Trust, Series 2016-BNK2, Class C 61690YBZ4 571000.00000000 PA USD 515876.06000000 0.104088438449 Long ABS-MBS CORP US N 2 2049-11-15 Variable 3.87340200 N N N N N N N/A N/A CDSCMBX N/A 943000.00000000 PA USD 69168.96000000 0.013956237929 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BB-6 137BEMAE8 Y Receipt of notional amount upon default event with regard to the reference instrument 2063-05-11 42489.03000000 USD 0.00000000 USD 943000.00000000 USD 69168.96000000 N N N FHLMC 5493009ZFZYH4FRCW638 FHLMC STACR Trust, Series 2019-FTR3, Class B2 35565EAE2 2655000.00000000 PA USD 2918755.67000000 0.588918043426 Long ABS-MBS CORP US N 2 2047-09-25 Floating 8.55767160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-4, Class GS 38384HYW2 14873076.15000000 PA USD 794620.86000000 0.160330844731 Long ABS-MBS USGA US N 2 2054-01-20 Floating 2.06115840 N N N N N N A&D Mortgage Trust 9845002EOD0CFAFA4F48 A&D Mortgage Trust, Series 2023-NQM4, Class A2 00002MAB5 1836777.30900000 PA USD 1835399.17000000 0.370328938188 Long ABS-MBS CORP US N 2 2068-09-25 Fixed 7.82600040 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2015-CR26, Class D 12593QBK5 875000.00000000 PA USD 718625.25000000 0.144997191966 Long ABS-MBS CORP US N 2 2048-10-10 Variable 3.68336520 N N N N N N GS Mortgage Securities Trust N/A GS Mortgage Securities Trust, Series 2014-GC24, Class B 36253GAK8 824859.68000000 PA USD 806775.70000000 0.162783329763 Long ABS-MBS CORP US N 2 2047-09-10 Variable 4.35635280 N N N N N N Barclays Commercial Mortgage Trust N/A Barclays Commercial Mortgage Trust, Series 2019-C5, Class F 05492JAE2 1881000.00000000 PA USD 1133690.17000000 0.228744942110 Long ABS-MBS CORP US N 2 2052-11-15 Variable 2.53828440 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2021-97, Class NI 38382VKU2 12402183.61800000 PA USD 1319011.91000000 0.266137354790 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 2.50000000 N N N N N N PRET LLC N/A PRET LLC, Series 2026-RN2, Class A1 69385BAA3 1158441.77000000 PA USD 1155175.20000000 0.233079981853 Long ABS-O CORP US N 2 2056-07-25 Fixed 5.77000080 N N N N N N Barclays Commercial Mortgage Trust N/A Barclays Commercial Mortgage Trust, Series 2019-C4, Class E 07335CAV6 793000.00000000 PA USD 440886.59000000 0.088957794797 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 3.25000000 N N N N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class D 17323CAN7 833040.29780000 PA USD 817919.87000000 0.165031891662 Long ABS-MBS CORP US N 2 2048-02-10 Variable 4.37790960 N N N N N N Verus Securitization Trust 213800GSR4Y25LVEHS32 Verus Securitization Trust, Series 2026-R6, Class A1 92490JAC6 407525.93000000 PA USD 407023.12000000 0.082125154196 Long ABS-MBS CORP US N 2 2068-07-25 Variable 5.76500040 N N N N N N Morgan Stanley Capital I Trust N/A Morgan Stanley Capital I Trust, Series 2018-H3, Class D 61767YAC4 1299000.00000000 PA USD 1116992.17000000 0.225375782577 Long ABS-MBS CORP US N 2 2051-07-15 Fixed 3.00000000 N N N N N N Putnam Short Term Investment Fund 549300S9JYWEMKQCLW53 Putnam Short Term Investment Fund, Class P 74676P664 109492729.81000000 NS USD 109492729.81000000 22.09237479926 Long RF US N 1 N N N Benchmark Mortgage Trust N/A Benchmark Mortgage Trust, Series 2019-B13, Class D 08162DAR9 1295000.00000000 PA USD 813811.54000000 0.164202952916 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 2.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2017-H11, Class DI 38376R4R4 49985.73000000 PA USD 2633.50000000 0.000531361937 Long ABS-MBS USGA US N 2 2067-05-20 Variable 2.03167080 N N N N N N Barclays Commercial Mortgage Trust N/A Barclays Commercial Mortgage Trust, Series 2019-C5, Class XF 05492JAN2 3894000.00000000 PA USD 131094.24000000 0.026450916778 Long ABS-MBS CORP US N 2 2052-11-15 Variable 1.24999920 N N N N N N WFRBS Commercial Mortgage Trust 5493003CHVRASC16O965 WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C 92938CAJ6 1593000.00000000 PA USD 1481457.34000000 0.298914008822 Long ABS-MBS CORP US N 2 2046-08-15 Variable 4.14750960 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H10, Class CI 38376RAF3 12959.87000000 PA USD 422.00000000 0.000085147042 Long ABS-MBS USGA US N 2 2065-04-20 Variable 1.76635080 N N N N N N N/A N/A CDSCMBX N/A 221000.00000000 PA USD 9743.80000000 0.001966008902 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BBB-16 137BERAP2 Y Payout of notional amount upon default event with regard to the reference instrument 2065-04-17 0.00000000 USD 50236.52000000 USD 221000.00000000 USD 9743.80000000 N N N Wells Fargo Commercial Mortgage Trust 549300V2DF3KW9L1CV04 Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class C 94988QAS0 1248954.86600000 PA USD 1188146.38000000 0.239732584883 Long ABS-MBS CORP US N 2 2046-07-15 Variable 3.74034960 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H25, Class EI 38376RJK3 11299.43280000 PA USD 423.25000000 0.000085399255 Long ABS-MBS USGA US N 2 2065-10-20 Variable 1.80840960 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2026-51, Class SC 38385PJC4 14180220.57200000 PA USD 1755138.37000000 0.354134696996 Long ABS-MBS USGA US N 2 2056-03-20 Floating 3.16116000 N N N N N N Morgan Stanley Re-REMIC Trust N/A Morgan Stanley Re-REMIC Trust, Series 2010-R4, Class 4B 61759FAU5 263089.18980000 PA USD 254233.82000000 0.051296819869 Long ABS-MBS CORP US N 2 2037-02-26 Floating 3.01456440 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2021-17, Class GI 3136BF3U5 1562011.49000000 PA USD 332859.34000000 0.067161110216 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H16, Class DI 38376RDU7 493803.18490000 PA USD 42670.03000000 0.008609542360 Long ABS-MBS USGA US N 2 2065-07-20 Variable 2.71044000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2022-45, Class SP 38383MD54 28057717.14000000 PA USD 1862044.79000000 0.375705231434 Long ABS-MBS USGA US N 2 2050-05-20 Floating 2.16115920 N N N N N N N/A N/A CDSCMBX N/A 2375000.00000000 PA USD 11380.22000000 0.002296189765 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB- 13 137BERAM9 Y Receipt of notional amount upon default event with regard to the reference instrument 2072-12-16 493604.16000000 USD 0.00000000 USD 2375000.00000000 USD 11380.22000000 N N N FHLMC 5493000IT1PBTE7DAT80 FHLMC STACR REMIC Trust, Series 2021-DNA1, Class B2 35564KBE8 1100000.00000000 PA USD 1234397.78000000 0.249064741142 Long ABS-MBS CORP US N 2 2051-01-25 Floating 8.39319120 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-35, Class ES 38383VK64 10280653.27000000 PA USD 711425.32000000 0.143544460334 Long ABS-MBS USGA US N 2 2053-02-20 Floating 2.56115880 N N N N N N U.S. Treasury Bills 254900HROIFWPRGM1V77 U.S. Treasury Bills 912797VG9 2100000.00000000 PA USD 2078134.72000000 0.419305749315 Long STIV UST US N 2 2026-12-10 None 0.00000000 N N N N N N FHLMC 5493000IS349P4O9HR58 FHLMC STACR REMIC Trust, Series 2022-DNA5, Class M2 35564KYW3 1471000.00000000 PA USD 1536515.10000000 0.310023026486 Long ABS-MBS CORP US N 2 2042-06-25 Floating 10.39318920 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Note 91282CAE1 7848800.00000000 PA USD 7848800.00000000 1.583654290338 Long DBT UST US N 2 2030-08-15 Fixed 0.62500000 N N N N N N GSAA Home Equity Trust N/A GSAA Home Equity Trust, Series 2007-2, Class AF4A 3622EUAD8 1113016.57000000 PA USD 283748.66000000 0.057252036335 Long ABS-O CORP US N 2 2037-03-25 Fixed 6.48320040 N N N N N N BBCMS Mortgage Trust N/A BBCMS Mortgage Trust, Series 2026-5C40, Class XE 05557AAM5 1188000.00000000 PA USD 96031.98000000 0.019376396026 Long ABS-MBS CORP US N 2 2059-02-15 Variable 2.12588640 N N N N N N FIGRE Trust N/A FIGRE Trust, Series 2025-HE5, Class A 31684MAA7 337836.00000000 PA USD 333500.92000000 0.067290561969 Long ABS-O CORP US N 2 2055-08-25 Variable 5.28500160 N N N N N N N/A N/A CDSCMBX N/A 424000.00000000 PA USD 55828.26000000 0.011264481636 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BB-10 137BEMAI9 Y Receipt of notional amount upon default event with regard to the reference instrument 2059-11-17 170874.43000000 USD 0.00000000 USD 424000.00000000 USD 55828.26000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2020-98, Class OI 3136BDTS7 7650906.49000000 PA USD 2116810.73000000 0.427109417286 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 4.50000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class G 61761DAW2 1441000.00000000 PA USD 71854.74000000 0.014498148415 Long ABS-MBS CORP US N 2 2045-11-15 Variable 4.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class D 95000TAC0 1112000.00000000 PA USD 496626.32000000 0.100204413714 Long ABS-MBS CORP US N 2 2050-03-15 Fixed 3.40100000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2025-52, Class SB 3136BWVQ6 34078185.85600000 PA USD 1765031.93000000 0.356130923010 Long ABS-MBS USGSE US N 2 2055-07-25 Floating 2.15681040 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2021-15, Class JI 3136BFWT6 1883559.97000000 PA USD 492029.75000000 0.099276962664 Long ABS-MBS USGSE US N 2 2051-04-25 Fixed 4.50000000 N N N N N N FNMA N/A FNMA Connecticut Avenue Securities Trust, Series 2022-R06, Class 1B2 20754NAR6 500000.00000000 PA USD 532125.40000000 0.107367071744 Long ABS-MBS CORP US N 2 2042-05-25 Floating 14.24319120 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2017-H08, Class NI 38376R2Q8 70021.99000000 PA USD 2743.66000000 0.000553588947 Long ABS-MBS USGA US N 2 2067-03-20 Variable 2.18760840 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2022-H09, Class GI 38382YRN5 10429904.97000000 PA USD 540818.73000000 0.109121127058 Long ABS-MBS USGA US N 2 2072-04-20 Variable 2.63796120 N N N N N N N/A N/A CDSCMBX N/A 1293000.00000000 PA USD 54487.93000000 0.010994042925 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BB-13 137BEMAL2 Y Payout of notional amount upon default event with regard to the reference instrument 2072-12-16 0.00000000 USD 552831.68000000 USD 1293000.00000000 USD 54487.93000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2016-3, Class NI 3136ARFT0 24120.92000000 PA USD 3249.64000000 0.000655680655 Long ABS-MBS USGSE US N 2 2046-02-25 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-4, Class ES 38384HW38 17772275.23000000 PA USD 1359664.36000000 0.274339809542 Long ABS-MBS USGA US N 2 2054-01-20 Floating 3.31116120 N N N N N N N/A N/A CDSCMBX N/A 200000.00000000 PA USD -1317.80000000 -0.00026589282 N/A DCR US N 2 MERRILL LYNCH INTERNATIONAL AHYI0DDQ2LCHPGHJC422 Markit CMBX North American Index Series BB-6 137BEMAE8 Y Payout of notional amount upon default event with regard to the reference instrument 2063-05-11 0.00000000 USD 22363.64000000 USD 200000.00000000 USD -1317.80000000 N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust, Series 2019-C52, Class XA 95002MAY5 15603464.86000000 PA USD 569797.97000000 0.114968275381 Long ABS-MBS CORP US N 2 2052-08-15 Variable 1.54059480 N N N N N N Benchmark Mortgage Trust N/A Benchmark Mortgage Trust, Series 2025-V18, Class XD 08164EAU8 5200000.00000000 PA USD 362217.18000000 0.073084648754 Long ABS-MBS CORP US N 2 2058-10-15 Variable 1.94902200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 4839, Class WS 3137FJK99 11295256.43400000 PA USD 1226543.99000000 0.247480080018 Long ABS-MBS USGSE US N 2 2056-08-15 Floating 2.34902160 N N N N N N BBCMS Mortgage Trust N/A BBCMS Mortgage Trust, Series 2024-5C29, Class XA 05555PAD4 24913993.62000000 PA USD 1016956.83000000 0.205191627626 Long ABS-MBS CORP US N 2 2057-09-15 Variable 1.59625440 N N N N N N FNMA N/A FNMA Connecticut Avenue Securities Trust, Series 2023-R03, Class 2B1 20753ACF9 850000.00000000 PA USD 915643.04000000 0.184749519507 Long ABS-MBS CORP US N 2 2043-04-25 Floating 9.99318960 N N N N N N GS Mortgage Securities Trust N/A GS Mortgage Securities Trust, Series 2014-GC24, Class D 36253GAS1 1920000.00000000 PA USD 1361568.00000000 0.274723907449 Long ABS-MBS CORP US N 2 2047-09-10 Variable 4.37735160 N N N N N N N/A N/A SOP N/A 18632600.00000000 PA USD 867300.03000000 0.174995338589 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Put Purchased N/A Swaption 1.00000000 4.45250000 USD 2029-06-18 XXXX 203513.65000000 N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2019-H02, Class DI 38380LQD8 6176619.08000000 PA USD 290869.35000000 0.058688779693 Long ABS-MBS USGA US N 2 2068-11-20 Variable 2.55791880 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2016-H04, Class KI 38376RQP4 2199389.47000000 PA USD 56637.36000000 0.011427733941 Long ABS-MBS USGA US N 2 2066-02-20 Variable 1.77114960 N N N N N N HTAP N/A HTAP Trust, Series 2024-1, Class A 40445NAA6 1367832.59000000 PA USD 1362343.34000000 0.274880347990 Long ABS-O CORP US N 2 2037-04-25 Fixed 7.00000000 N N N N N N GSR Mortgage Loan Trust N/A GSR Mortgage Loan Trust, Series 2007-OA1, Class 2A3A 3622NAAE0 267624.17000000 PA USD 143842.83000000 0.029023202892 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.09174920 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2019-96, Class SY 38381XK39 11899971.64000000 PA USD 1134470.71000000 0.228902431856 Long ABS-MBS USGA US N 2 2049-08-20 Floating 2.33307000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2021-214, Class AI 38383FDA8 10727335.08000000 PA USD 1970018.23000000 0.397491058758 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA II, Single-family, 30 Year 21H052694 3000000.00000000 PA USD 2979136.71000000 0.601101140594 Long ABS-MBS USGA US N 2 2056-09-15 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2016-H15, Class AI 38376RWX0 1576891.60600000 PA USD 91514.59000000 0.018464921144 Long ABS-MBS USGA US N 2 2066-07-20 Variable 2.48357160 N N N N N N FNMA N/A FNMA Connecticut Avenue Securities Trust, Series 2026-R01, Class 2M2 20755BAC4 118000.00000000 PA USD 117808.72000000 0.023770294168 Long ABS-MBS CORP US N 2 2046-01-25 Floating 4.99318920 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2014-CR16, Class C 12591VAK7 991746.88000000 PA USD 968892.07000000 0.195493589278 Long ABS-MBS CORP US N 2 2047-04-10 Variable 4.72900680 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2014-UBS3, Class C 12591YBH7 301000.00000000 PA USD 280484.35000000 0.056593395710 Long ABS-MBS CORP US N 2 2047-06-10 Variable 4.58274240 N N N N N N N/A N/A CDSCMBX N/A 1500000.00000000 PA USD 21551.28000000 0.004348407022 N/A DCR GB N 2 MORGAN STANLEY INTL PLC IGJSJL3JD5P30I6NJZ34 Markit CMBX North American Index Series BB - 6 137BEMAE8 Y Payout of notional amount upon default event with regard to the reference instrument 2063-05-11 0.00000000 USD 199162.07000000 USD 1500000.00000000 USD 21551.28000000 N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust, Series 2017-P7, Class C 17325HBT0 373000.00000000 PA USD 316670.02000000 0.063894587171 Long ABS-MBS CORP US N 2 2050-04-14 Variable 4.42309680 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2021-28, Class IQ 3136BHMP1 14327258.24000000 PA USD 1912454.01000000 0.385876312049 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.50000000 N N N N N N N/A N/A CDSCMBX N/A 1069000.00000000 PA USD -104057.82000000 -0.02099577172 N/A DCR GB N 2 MORGAN STANLEY INTL PLC IGJSJL3JD5P30I6NJZ34 Markit CMBX North American Index Series BBB-12 137BERAL1 Y Receipt of notional amount upon default event with regard to the reference instrument 2061-08-17 340039.57000000 USD 0.00000000 USD 1069000.00000000 USD -104057.82000000 N N N Alternative Loan Trust N/A Alternative Loan Trust, Series 2006-43CB, Class 1A10 02149FAK0 3363930.91820000 PA USD 1597867.52000000 0.322402119233 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300PX4QZK7CUM8D08 Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class D 94988XAC0 214475.27160000 PA USD 25927.16000000 0.005231329396 Long ABS-MBS CORP US N 2 2050-08-15 Fixed 3.93800000 N N N N N N N/A N/A OIS N/A 79490000.00000000 PA USD -405658.91000000 -0.08184989721 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2031-09-16 0.00000000 USD 352773.22000000 USD 79490000.00000000 USD -405658.91000000 N N N Benchmark Mortgage Trust N/A Benchmark Mortgage Trust, Series 2025-V14, Class C 08164BAJ9 1500000.00000000 PA USD 1516273.50000000 0.305938873917 Long ABS-MBS CORP US N 2 2057-04-15 Variable 6.38992440 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2021-176, Class IA 38383CCM0 11197498.57000000 PA USD 1909091.76000000 0.385197910046 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class XA 95003CBU3 22899968.66000000 PA USD 1134920.16000000 0.228993117492 Long ABS-MBS CORP US N 2 2054-04-15 Variable 1.46282760 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-64, Class QS 38384MPK7 38413535.09000000 PA USD 2395571.76000000 0.483355098299 Long ABS-MBS USGA US N 2 2054-04-20 Floating 2.36116080 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 5459, Class KI 3137HFZ73 11831780.89900000 PA USD 1872097.73000000 0.377733615590 Long ABS-MBS USGSE US N 2 2048-07-25 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2022-H04, Class JI 38382YMS9 22160821.80810000 PA USD 1089053.70000000 0.219738630671 Long ABS-MBS USGA US N 2 2072-02-20 Variable 1.05537960 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2010-26, Class QS 38376VQP5 13879204.40000000 PA USD 1129031.64000000 0.227804989375 Long ABS-MBS USGA US N 2 2040-02-20 Floating 2.48307120 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2012-74, Class IB 3136A66B5 8218678.43300000 PA USD 637150.58000000 0.128558027928 Long ABS-MBS USGSE US N 2 2042-07-25 Floating 2.29232880 N N N N N N WFRBS Commercial Mortgage Trust 5493003CHVRASC16O965 WFRBS Commercial Mortgage Trust, Series 2013-C15, Class D 92938CAL1 1317467.61000000 PA USD 942014.37000000 0.190070469194 Long ABS-MBS CORP US N 2 2046-08-15 Variable 4.14750960 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-79, Class GI 38379LX92 32045.62000000 PA USD 6283.07000000 0.001267736566 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA II, Single-family, 30 Year 21H060697 13000000.00000000 PA USD 13182268.71000000 2.659789572798 Long ABS-MBS USGA US N 2 2056-09-15 Fixed 6.00000000 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2014-CR17, Class B 12631DBE2 490317.76900000 PA USD 480070.13000000 0.096863867220 Long ABS-MBS CORP US N 2 2047-05-10 Fixed 4.37700000 N N N N N N WFRBS Commercial Mortgage Trust 5493000F7E2NMQ4HIO61 WFRBS Commercial Mortgage Trust, Series 2014-C21, Class C 92939FAY5 556927.18000000 PA USD 548816.93000000 0.110734925823 Long ABS-MBS CORP US N 2 2047-08-15 Variable 4.23399960 N N N N N N UBS Commercial Mortgage Trust N/A UBS Commercial Mortgage Trust, Series 2012-C1, Class E 90269GAQ4 503038.07000000 PA USD 479772.56000000 0.096803826448 Long ABS-MBS CORP US N 2 2045-05-10 Variable 5.00000040 N N N N N N FHLMC 5493000IRODEKU3J3Q16 FHLMC STACR REMIC Trust, Series 2022-HQA1, Class B2 35564KUL1 2600000.00000000 PA USD 2736109.22000000 0.552065424661 Long ABS-MBS CORP US N 2 2042-03-25 Floating 14.64319080 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-186 38384XVG5 8423446.50190000 PA USD 1284977.39000000 0.259270201388 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N CAFL Issuer LP N/A CAFL Issuer LP, Series 2025-RRTL1, Class M1 124760AC3 577000.00000000 PA USD 579702.84000000 0.116966783417 Long ABS-MBS CORP US N 2 2040-05-28 Fixed 8.16000000 N N N N N N U.S. Treasury Bills 254900HROIFWPRGM1V77 U.S. Treasury Bills 912797UL9 2600000.00000000 PA USD 2586263.73000000 0.521831063597 Long STIV UST US N 2 2026-10-22 None 0.00000000 N N N N N N CSMC Trust N/A CSMC Trust, Series 2020-SPT1, Class M1 12659LAD4 392000.00000000 PA USD 382954.68000000 0.077268859187 Long ABS-MBS CORP US N 2 2065-04-25 Variable 3.38799960 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Series 5457 3137HFW50 12444514.49200000 PA USD 2767504.47000000 0.558400051911 Long ABS-MBS USGSE US N 2 2054-10-25 Fixed 5.00000000 N N N N N N N/A N/A CDSCMBX N/A 2375000.00000000 PA USD 84222.06000000 0.016993505588 N/A DCR GB N 2 MORGAN STANLEY INTL PLC IGJSJL3JD5P30I6NJZ34 Markit CMBX North American Index Series BBB-9 137BERAI8 Y Receipt of notional amount upon default event with regard to the reference instrument 2058-09-17 426609.38000000 USD 0.00000000 USD 2375000.00000000 USD 84222.06000000 N N N JPMBB Commercial Mortgage Securities Trust N/A JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class D 46643PAN0 1390000.00000000 PA USD 646350.00000000 0.130414197146 Long ABS-MBS CORP US N 2 2047-11-15 Variable 3.90428640 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-114, Class SK 38384EAH8 28866354.82000000 PA USD 1484922.82000000 0.299613239567 Long ABS-MBS USGA US N 2 2053-08-20 Floating 2.21115960 N N N N N N Barclays Commercial Mortgage Trust N/A Barclays Commercial Mortgage Trust, Series 2019-C5, Class E 05492JAC6 1281000.00000000 PA USD 984625.28000000 0.198668082897 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 2.50000000 N N N N N N Lohrasp Enterprise II LLC N/A Lohrasp Enterprise II LLC, Series 2026-1A, Class A21 54143VAA4 760000.00000000 PA USD 756130.08000000 0.152564550663 Long ABS-O CORP US N 2 2056-07-17 Fixed 5.51200000 N N N N N N Benchmark Mortgage Trust N/A Benchmark Mortgage Trust, Series 2018-B3, Class D 08161BAA1 1729000.00000000 PA USD 1210612.08000000 0.244265494652 Long ABS-MBS CORP US N 2 2051-04-10 Variable 3.04419960 N N N N N N J.P. Morgan Chase Commercial Mortgage Securities Trust N/A J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class D 46635TBA9 450000.00000000 PA USD 432267.12000000 0.087218642233 Long ABS-MBS CORP US N 2 2046-02-15 Variable 5.52629880 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H26, Class DI 38376RJW7 14219.51490000 PA USD 705.87000000 0.000142423562 Long ABS-MBS USGA US N 2 2065-10-20 Variable 2.42808120 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2019-121, Class SD 38382AAJ4 2658295.57000000 PA USD 237881.57000000 0.047997422398 Long ABS-MBS USGA US N 2 2049-10-20 Floating 2.23306920 N N N N N N N/A N/A OIS N/A 442105000.00000000 PA USD 2451220.75000000 0.494583408585 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2028-09-16 0.00000000 USD 846006.92000000 USD 442105000.00000000 USD 2451220.75000000 N N N N/A N/A CDSCMBX N/A 750000.00000000 PA USD 3173.44000000 0.000640305762 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB-19 137BERAS6 Y Receipt of notional amount upon default event with regard to the reference instrument 2058-12-17 46734.37000000 USD 0.00000000 USD 750000.00000000 USD 3173.44000000 N N N VCAT LLC N/A VCAT LLC, Series 2026-NPL1, Class A1 91825GAA4 220206.26000000 PA USD 218174.33000000 0.044021087777 Long ABS-O CORP US N 2 2056-01-25 Fixed 5.10099840 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2017-H06, Class MI 38376RX68 213501.13000000 PA USD 8985.62000000 0.001813030739 Long ABS-MBS USGA US N 2 2067-02-20 Variable 2.22651000 N N N N N N Benchmark Mortgage Trust N/A Benchmark Mortgage Trust, Series 2018-B1, Class C 08162PBB6 608000.00000000 PA USD 492097.32000000 0.099290596279 Long ABS-MBS CORP US N 2 2051-01-15 Variable 4.19964120 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class C 61761DAH5 694593.40000000 PA USD 641667.54000000 0.129469416049 Long ABS-MBS CORP US N 2 2045-11-15 Variable 4.53600000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2020-62, Class GI 3136BBWT5 10097808.33500000 PA USD 1991905.79000000 0.401907317078 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 4.00000000 N N N N N N N/A N/A CDSCMBX N/A 750000.00000000 PA USD -8541.67000000 -0.00172345483 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BB-14 137BEMAM0 Y Receipt of notional amount upon default event with regard to the reference instrument 2072-12-16 217916.67000000 USD 0.00000000 USD 750000.00000000 USD -8541.67000000 N N N N/A N/A CDSCMBX N/A 114000.00000000 PA USD 5026.21000000 0.001014139617 N/A DCR GB N 2 MORGAN STANLEY INTL PLC IGJSJL3JD5P30I6NJZ34 Markit CMBX North American Index Series BBB-16 137BERAP2 Y Payout of notional amount upon default event with regard to the reference instrument 2065-04-17 0.00000000 USD 25913.86000000 USD 114000.00000000 USD 5026.21000000 N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class D 17322YAM2 215483.90000000 PA USD 96319.15000000 0.019434338387 Long ABS-MBS CORP US N 2 2047-10-10 Fixed 3.54800000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2021-3, Class IB 3136BDYC6 9177569.05000000 PA USD 1469622.49000000 0.296526088251 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.50000000 N N N N N N Morgan Stanley Residential Mortgage Loan Trust N/A Morgan Stanley Residential Mortgage Loan Trust, Series 2024-3, Class AF 61776QAH9 1620675.40000000 PA USD 1624233.59000000 0.327722007608 Long ABS-MBS CORP US N 2 2054-07-25 Floating 4.99318920 N N N N N N GS Mortgage-Backed Securities Trust N/A GS Mortgage-Backed Securities Trust, Series 2026-HE2, Class A1 362953AA9 460000.00000000 PA USD 461148.30000000 0.093046004965 Long ABS-O CORP US N 2 2066-10-25 Floating 5.04252000 N N N N N N CD Mortgage Trust N/A CD Mortgage Trust, Series 2017-CD3, Class C 12515GAH0 615000.00000000 PA USD 188538.15000000 0.038041388510 Long ABS-MBS CORP US N 2 2050-02-10 Variable 4.55923440 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2024-82, Class FE 3136BTGC1 897821.46000000 PA USD 899207.07000000 0.181433229832 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.59318960 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H25, Class CI 38376RJH0 12262.41000000 PA USD 547.04000000 0.000110376394 Long ABS-MBS USGA US N 2 2065-10-20 Variable 2.34200160 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 427, Class C93 31423XQX2 9011149.45000000 PA USD 1520873.78000000 0.306867073534 Long ABS-MBS USGSE US N 2 2042-08-25 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2017-179, Class WI 38380UMS9 215258.16000000 PA USD 50847.27000000 0.010259466069 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 5.00000000 N N N N N N N/A N/A CDSCMBX N/A 47000.00000000 PA USD 22455.50000000 0.004530851711 N/A DCR US N 2 MERRILL LYNCH INTERNATIONAL AHYI0DDQ2LCHPGHJC422 Markit CMBX North American Index Series BB-10 137BEMAI9 Y Receipt of notional amount upon default event with regard to the reference instrument 2059-11-17 2674.28000000 USD 0.00000000 USD 47000.00000000 USD 22455.50000000 N N N FHLMC Multifamily Structured Credit Risk 549300FK6HM4FW58SP67 FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN3, Class M2 35563GAB5 2059000.00000000 PA USD 2109401.64000000 0.425614483390 Long ABS-MBS CORP US N 2 2051-11-25 Floating 7.64318880 N N N N N N FHLMC 5493007222WHFWMBOC78 FHLMC STACR Trust, Series 2019-DNA1, Class B2 35563KBE9 439000.00000000 PA USD 523582.22000000 0.105643312232 Long ABS-MBS CORP US N 2 2049-01-25 Floating 14.50766880 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2017-104, Class GI 38380FYN0 4862688.26000000 PA USD 958279.76000000 0.193352340901 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.00000000 N N N N N N FHLMC 5493000ITGOA1OPGRQ72 FHLMC STACR REMIC Trust, Series 2020-DNA3, Class B2 35565WBE1 750000.00000000 PA USD 953649.15000000 0.192418021592 Long ABS-MBS CORP US N 2 2050-06-25 Floating 13.10766840 N N N N N N Alternative Loan Trust N/A Alternative Loan Trust, Series 2006-OA10, Class 3A1 02146QAC7 146385.92190000 PA USD 140229.41000000 0.028294122257 Long ABS-MBS CORP US N 2 2046-08-25 Floating 4.16175120 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2015-H23, Class BI 38376RHE9 9433.34000000 PA USD 270.88000000 0.000054655523 Long ABS-MBS USGA US N 2 2065-09-20 Variable 1.75821120 N N N N N N CD Mortgage Trust N/A CD Mortgage Trust, Series 2017-CD3, Class B 12515GAG2 888000.00000000 PA USD 578947.32000000 0.116814341962 Long ABS-MBS CORP US N 2 2050-02-10 Variable 3.98400120 N N N N N N J.P. Morgan Mortgage Trust N/A J.P. Morgan Mortgage Trust, Series 2024-10, Class A11 46658LAX9 988562.93000000 PA USD 988789.21000000 0.199508240069 Long ABS-MBS CORP US N 2 2055-03-25 Floating 4.89318840 N N N N N N FNMA N/A FNMA Connecticut Avenue Securities Trust, Series 2023-R08, Class 1B1 20755CAF5 1500000.00000000 PA USD 1564486.20000000 0.315666762155 Long ABS-MBS CORP US N 2 2043-10-25 Floating 7.19318880 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2016-H11, Class KI 38375UXD7 15888901.09000000 PA USD 688275.42000000 0.138873499365 Long ABS-MBS USGA US N 2 2066-05-20 Variable 2.14104960 N N N N N N COMM Mortgage Trust N/A COMM Mortgage Trust, Series 2014-CR14, Class C 12630DBD5 1154000.00000000 PA USD 1139838.92000000 0.229985576897 Long ABS-MBS CORP US N 2 2047-02-10 Variable 3.18879000 N N N N N N 2026-09-30 Putnam Funds Trust Monica Krogh Monica Krogh Assistant Treasurer XXXX