0001098605-24-000072.txt : 20240227 0001098605-24-000072.hdr.sgml : 20240227 20240227132336 ACCESSION NUMBER: 0001098605-24-000072 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20231231 FILED AS OF DATE: 20240227 DATE AS OF CHANGE: 20240227 PERIOD START: 20231231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PIMCO Managed Accounts Trust CENTRAL INDEX KEY: 0001098605 ORGANIZATION NAME: IRS NUMBER: 066484967 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-09721 FILM NUMBER: 24684730 BUSINESS ADDRESS: STREET 1: 1633 BROADWAY CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 212-739-4000 MAIL ADDRESS: STREET 1: 1633 BROADWAY CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: AllianzGI Managed Accounts Trust DATE OF NAME CHANGE: 20130125 FORMER COMPANY: FORMER CONFORMED NAME: ALLIANZ GLOBAL INVESTORS MANAGED ACCOUNTS TRUST DATE OF NAME CHANGE: 20090626 FORMER COMPANY: FORMER CONFORMED NAME: ALLIANZ GLOBAL INVESTORS DATE OF NAME CHANGE: 20090626 0001098605 S000004803 Fixed Income SHares: Series M C000013019 Series M FXIMX NPORT-P 1 primary_doc.xml NPORT-P false 0001098605 XXXXXXXX S000004803 C000013019 PIMCO Managed Accounts Trust 811-09721 0001098605 549300QOE6UAECNZYE02 1633 Broadway New York 10019 (800) 927-4648 Fixed Income SHares: Series M S000004803 5493007LPIGTL4MBQE69 2023-12-31 2023-12-31 N 2083939855.840000 805044345.930000 1278895509.910000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 26241211.330000 AUD EUR CAD GBP USD N Bloomberg US Credit Total Return Unhedged USD Index LUCRTRUU STRUCTURED ASSET SEC CORP 2007-WF2 N/A 86364LAC6 29649.530000 PA USD 29316.800000 0.0022924 Long ABS-MBS CORP US N 2 2037-08-25 Floating 6.37043 N N N N N N N/A N/A 000000000 -10700000.000000 NC USD -35964.840000 -0.0028122 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.30000 01/18/24-10Y LCH 2034-01-18 0.000000 USD 0.000000 USD N/A USD N/A 3.300000 USD 2024-01-16 XXXX 9617.160000 N N N N/A N/A 000000000 -7200000.000000 NC USD -40746.240000 -0.003186 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.45500 01/10/24-10Y LCH 2034-01-10 0.000000 USD 0.000000 USD N/A USD N/A 3.460000 USD 2024-01-08 XXXX -5826.240000 N N N AURIUM CLO III DAC 3A N/A ACI1FVVB0 5249912.770000 PA 5732099.170000 0.448207 Long ABS-CBDO CORP IE N 2 2030-04-16 Floating 4.635 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAD2 229600.930000 PA USD 234038.750000 0.0183001 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.69043 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-36T2 N/A 02146XAU2 59024.420000 PA USD 26943.500000 0.0021068 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XL2 1000000.000000 PA USD 972562.780000 0.0760471 Long DBT CORP US N 2 2025-08-04 Fixed 4.134 N N N N N N BANC OF AMERICA FUNDING CORP 2007-4 N/A 05953YAB7 55975.260000 PA USD 46636.100000 0.0036466 Long ABS-MBS CORP US N 2 2037-05-25 Floating 6.27043 N N N N N N LONG BEACH MTGE LOAN TR 2005-1 N/A 542514KC7 8024374.690000 PA USD 7830647.030000 0.612298 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.74543 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2010-4 N/A 17315QAN6 92673.460000 PA USD 42404.650000 0.0033157 Long ABS-MBS CORP US N 2 2037-11-25 Variable 6.25 N N N N N N RALI SERIES 2005-QO1 TRUST N/A 761118EN4 69053.920000 PA USD 51883.170000 0.0040569 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.77043 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAB8 37820.770000 PA USD 24975.040000 0.0019529 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.55043 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YP2 26538.680000 PA USD 21754.140000 0.001701 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.05674 N N N N N N STRUCTURED ASSET SEC CORP 2007-MN1A N/A 863613AA3 1795103.530000 PA USD 1067233.750000 0.0834496 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.70043 N N N N N N LIBERTY MUTUAL GROUP INC QUR0DG15Z6FFGYCHH861 53079EBM5 6700000.000000 PA USD 5627029.840000 0.439991 Long DBT CORP US N 2 2051-12-15 Floating 4.125 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL2 N/A 52476TAA0 4654686.970000 PA USD 4417624.230000 0.345425 Long ABS-MBS CORP US N 2 2068-10-25 Fixed 1.875 N N N N N N STRUCTURED ADJUSTABLE RATE MTGE 2004-14 N/A 863579CB2 6356.500000 PA USD 5796.510000 0.0004532 Long ABS-MBS CORP US N 3 2034-10-25 Floating 6.03699 N N N N N N STRUCTURED ASSET SEC CORP 2005-AR1 N/A 86359DVX2 349057.190000 PA USD 327549.050000 0.0256119 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.16043 N N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AM3 73295.590000 PA USD 32813.200000 0.0025657 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.19649 N N N N N N COUNTRYWIDE HOME LOANS 2005-HY10 N/A 126694VP0 108568.660000 PA USD 95593.230000 0.0074747 Long ABS-MBS CORP US N 2 2036-02-20 Floating 4.10997 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4 N/A 02150QAK2 40538.120000 PA USD 37299.100000 0.0029165 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.12025 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 4676760.290000 PA USD 4686553.430000 0.366453 Long ABS-O CORP US N 2 2041-02-20 Floating 7.53774 N N N N N N AMERIQUEST MORTGAGE SECURITIES 2005-R7 N/A 03072SK20 3913180.250000 PA USD 3833226.930000 0.299729 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.25043 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-4 N/A 542514BK9 108506.230000 PA USD 107273.910000 0.008388 Long ABS-MBS CORP US N 3 2032-03-25 Floating 6.89543 N N N N N N DELTA FNDG HOME EQ LN TR 1999-2 N/A 24763LFS4 20663.270000 PA USD 19980.400000 0.0015623 Long ABS-MBS CORP US N 3 2030-08-15 Floating 6.11629 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6 N/A 07387YAA1 19790.270000 PA USD 19396.450000 0.0015167 Long ABS-MBS CORP US N 2 2037-08-25 Floating 6.72043 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XCC2 2600000.000000 PA USD 2643284.900000 0.206685 Long DBT CORP US N 2 2028-07-15 Fixed 5.25 N N N N N N FNMA PASS THRU POOLS N/A 3138Y6ND2 10427.440000 PA USD 10056.860000 0.0007864 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE10 N/A 073879X45 84295.810000 PA USD 81959.400000 0.0064086 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.52043 N N N N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AD8 58983.960000 PA USD 48904.150000 0.0038239 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.89043 N N N N N N AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST N/A 02377LAA2 4860851.880000 PA USD 4261698.900000 0.333233 Long DBT CORP US N 2 2033-08-15 Fixed 3.15 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-19 N/A 02151ABW9 339731.970000 PA USD 145099.320000 0.0113457 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.5 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAH4 74921.180000 PA USD 25152.340000 0.0019667 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.73043 N N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE3 N/A 93364EAA2 5594592.890000 PA USD 5185802.700000 0.405491 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.69543 N N N N N N WAMU MORTGAGE P/T CERTIFICATES 2007-OA1 N/A 92926WAA5 1183849.720000 PA USD 989274.190000 0.0773538 Long ABS-MBS CORP US N 2 2047-02-25 Floating 5.7118 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 262051AA3 11137.000000 PA USD 10324.000000 0.0008073 Long DBT CORP LU N 2 2030-06-15 Fixed 7.5 N N N N N N BANC OF AMERICA FUNDING CORP 2005-B N/A 05946XRT2 45859.160000 PA USD 40899.830000 0.0031981 Long ABS-MBS CORP US N 2 2035-04-20 Floating 4.73173 N N N N N N OBX 2023-NQM9 TRUST N/A 673921AA0 5258261.750000 PA USD 5396166.500000 0.42194 Long ABS-MBS CORP US N 2 2063-10-25 Fixed 7.159 N N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAA2 70761.740000 PA USD 23454.970000 0.001834 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5 N N N N N N IMPAC SECURED ASSETS CORP 2006-3 N/A 45255RAC1 16955.650000 PA USD 16554.310000 0.0012944 Long ABS-MBS CORP US N 3 2036-11-25 Floating 5.77043 N N N N N N MORGAN STANLEY REREMIC TRUST 2009-R3 N/A 61758NAD7 5535688.280000 PA USD 3629341.720000 0.283787 Long ABS-MBS CORP US N 2 2035-10-26 Fixed 5.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 1400000.000000 PA USD 168000.000000 0.0131363 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N JP MORGAN MORTGAGE TRUST 2021-LTV6 N/A 46654FAD0 9540635.590000 PA USD 8193522.650000 0.640672 Long ABS-MBS CORP US N 2 2052-04-25 Fixed 3 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-4 N/A 17307GWE4 171262.570000 PA USD 165239.030000 0.0129204 Long ABS-MBS CORP US N 3 2035-08-25 Floating 5.89119 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NZ2 1063.390000 PA USD 1041.920000 0.0000815 Long ABS-MBS CORP US N 3 2035-04-25 Floating 4.79365 N N N N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAE8 500000.000000 PA USD 416668.800000 0.0325804 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.81043 N N N N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KAZ9 2000000.000000 PA USD 1885240.600000 0.147412 Long DBT CORP US N 2 2026-10-05 Fixed 3.244 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5W4 105628.420000 PA USD 95604.620000 0.0074756 Long ABS-MBS CORP US N 2 2045-11-25 Floating 6.29043 N N N N N N TESCO PROPERTY FINANCE 3 PLC 213800HCQGDQGFP75D78 989XYDII0 180091.060000 PA 232186.200000 0.0181552 Long DBT CORP GB N 2 2040-04-13 Fixed 5.744 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 35787.780000 PA USD 32227.690000 0.00252 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.63546 N N N N N N FHLMC PASS THRU POOLS N/A 31295N5H7 2582.850000 PA USD 2557.600000 0.0002 Long ABS-MBS USGSE US N 2 2032-10-01 Floating 6.375 N N N N N N PARK PLACE SEC INC 2005-WHQ4 N/A 70069FMT1 243509.210000 PA USD 234996.230000 0.0183749 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.20543 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 3100000.000000 PA USD 2900072.320000 0.226764 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-14 N/A 41161PWU3 15291.610000 PA USD 14506.190000 0.0011343 Long ABS-MBS CORP US N 2 2035-12-19 Floating 5.92719 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF11 N/A 32028PAF2 111835.930000 PA USD 102426.790000 0.008009 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.95043 N N N N N N GSAMP TRUST 2006-FM2 N/A 36245DAD2 2743925.310000 PA USD 977715.470000 0.07645 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.77043 N N N N N N N/A N/A 000000000 1.000000 NC 544.220000 0.0000426 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 27834.000000 USD 36202292.000000 KRW 2024-06-20 544.220000 N N N FNMA PASS THRU POOLS N/A 31406A3K6 19267.620000 PA USD 19433.120000 0.0015195 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 5.921 N N N N N N N/A N/A 000000000 1.000000 NC USD 207885.620000 0.0162551 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-03 0.000000 USD -34832.910000 USD 3800000.000000 USD 242718.530000 N N N FNMA PASS THRU POOLS N/A 3140XDRC2 48300476.200000 PA USD 42829653.690000 3.34896 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-8 N/A 007036QH2 63356.470000 PA USD 44381.060000 0.0034703 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.5155 N N N N N N N/A N/A 000000000 -81.000000 NC USD -875939.670000 -0.0684919 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-03-19 -10779328.130000 USD -875939.670000 N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 78153.110000 PA USD 66587.970000 0.0052067 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.85043 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAA5 8101.800000 PA USD 5189.810000 0.0004058 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.57737 N N N N N N FREMONT HOME LOAN TRUST 2006-B N/A 35729QAD0 181180.850000 PA USD 58297.480000 0.0045584 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.79043 N N N N N N CARRINGTON MORTGAGE LOAN TRUST 2006-NC5 N/A 144539AD5 1200000.000000 PA USD 848854.560000 0.066374 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.69043 N N N N N N N/A N/A 000000000 1.000000 NC -493961.100000 -0.038624 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2032-06-01 0.000000 CAD -496866.400000 CAD 18100000.000000 CAD 2905.300000 N N N N/A N/A 000000000 1.000000 NC 47602.880000 0.0037222 N/A DCR ES N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 TELEFONICA EMISIONES SAU TELEFONICA EMISIONES SAU CO GTD SR UNSEC Y Single Leg Swap 2028-06-20 28673.600000 EUR 0.000000 EUR 2600000.000000 EUR 18929.280000 N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAB1 452973.010000 PA USD 235681.810000 0.0184285 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.64043 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBK4 300000.000000 PA USD 291695.170000 0.0228084 Long DBT CORP US N 2 2027-04-15 Fixed 4.2 N N N N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAP4 317616.280000 PA USD 182018.110000 0.0142324 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.58043 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-3 N/A 41161QAM3 121440.520000 PA USD 53146.290000 0.0041556 Long ABS-MBS CORP US N 2 2036-06-19 Floating 4.08208 N N N N N N FHLMC PASS THRU POOLS N/A 31293PG41 718.050000 PA USD 742.050000 0.000058 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 7 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR3 N/A 86363NAC3 723409.400000 PA USD 600244.390000 0.0469346 Long ABS-MBS CORP US N 2 2047-09-25 Floating 5.89043 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AR4 N/A 17311WAF4 34352.040000 PA USD 29556.470000 0.0023111 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.84041 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-13 N/A 23242EAG4 560909.420000 PA USD 555221.690000 0.0434142 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.77043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-11CB N/A 12668BWF6 1239670.760000 PA USD 620795.750000 0.0485416 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY7C N/A 02150VAA3 321539.610000 PA USD 281206.970000 0.0219883 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.75043 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-5 N/A 02660KAA0 472985.820000 PA USD 133265.500000 0.0104204 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.9318 N N N N N N N/A N/A 000000000 1.000000 NC -82.360000 -0.0000064 N/A DFE IN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2390080.430000 INR 28563.000000 USD 2024-03-20 -82.360000 N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355BR3 225178.150000 PA USD 174172.840000 0.013619 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.7118 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA1 N/A 32051GV44 48383.640000 PA USD 40499.650000 0.0031668 Long ABS-MBS CORP US N 2 2036-04-25 Floating 6.14293 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-WMC1 N/A 61744CXM3 113914.430000 PA USD 110091.880000 0.0086084 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.09043 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 U6S771NR6 8000000.000000 PA USD 4862831.840000 0.380237 Long DBT CORP US Y 2 2032-04-02 Variable 0 N N N N N N FNMA PASS THRU POOLS N/A 31378KEP5 8940.910000 PA USD 8910.320000 0.0006967 Long ABS-MBS USGSE US N 2 2027-09-01 Floating 6.22 N N N N N N AEGIS ASSET BACKED SECURITIES TRUST 2005-2 N/A 00764MFD4 117855.450000 PA USD 110057.050000 0.0086056 Long ABS-MBS CORP US N 2 2035-06-25 Floating 6.19043 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAD7 380194.290000 PA USD 106369.470000 0.0083173 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.65043 N N N N N N BGC GROUP INC 2549001IGRCG4F0RLD36 088929AC8 4300000.000000 PA USD 4493128.740000 0.351329 Long DBT CORP US N 2 2028-05-25 Fixed 8 N N N N N N GNMA PASS THRU POOLS N/A 36225CD52 998.860000 PA USD 977.620000 0.0000764 Long ABS-MBS USGSE US N 2 2027-10-20 Floating 2.75 N N N N N N VENDEE MORTGAGE TRUST-1994-3A N/A 911760ET9 22231.460000 PA USD 22227.880000 0.0017381 Long ABS-MBS CORP US N 2 2024-09-15 Fixed 6.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19 N/A 12668RAA6 774351.960000 PA USD 596886.520000 0.046672 Long ABS-MBS CORP US N 2 2047-02-20 Floating 5.6524 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAC0 316385.830000 PA USD 135544.660000 0.0105986 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.65043 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122ND82 13490000.000000 PA USD 12503102.630000 0.977649 Long DBT MUN US N 2 2050-06-01 Fixed 3.85 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1MBMC4 900000.000000 PA 1007719.260000 0.0787961 Long DBT CORP DE N 2 2031-05-19 Floating 5.625 N N N N N N ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST N/A 01166VAA7 2676923.080000 PA USD 2605099.090000 0.203699 Long DBT CORP US N 2 2029-02-15 Fixed 4.8 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE4 N/A 61748BAC8 151294.080000 PA USD 78872.690000 0.0061673 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.77043 N N N N N N SPECIALTY UNDERWRITING & RESID 2005-BC2 N/A 84751PFW4 71231.920000 PA USD 70134.780000 0.005484 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.44543 N N N N N N BPCRE HOLDER LLC 2022-FL2 N/A 05602FAA5 1500000.000000 PA USD 1500824.810000 0.117353 Long ABS-CBDO CORP BM N 2 2037-01-16 Floating 7.75825 N N N N N N FANNIEMAE GRANTOR TRUST 2002-18 N/A 31392GFS9 5824.000000 PA USD 5638.310000 0.0004409 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 4.65109 N N N N N N JP MORGAN ALTERNATIVE LOAN TRUST 2006-A5 N/A 466284AA4 2850140.770000 PA USD 2526826.220000 0.197579 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.79043 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4C3 5539.050000 PA USD 5132.550000 0.0004013 Long ABS-MBS CORP US N 3 2035-01-25 Floating 4.89219 N N N N N N STRUCTURED ASSET SEC CORP 2007-WF2 N/A 86364LAA0 95717.500000 PA USD 95103.630000 0.0074364 Long ABS-MBS CORP US N 2 2037-08-25 Floating 6.47043 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1 N/A 81375WCT1 17804.370000 PA USD 15572.330000 0.0012176 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.14543 N N N N N N KKR CLO 9 LTD N/A 48250LAW9 10889505.880000 PA USD 10874045.610000 0.850268 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 6.60548 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAA8 2635188.220000 PA USD 2339125.610000 0.182902 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.67043 N N N N N N FHLMC PASS THRU POOLS N/A 31292G7G5 47.470000 PA USD 49.060000 0.0000038 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 7 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-17 N/A 12667GRV7 70136.650000 PA USD 61052.000000 0.0047738 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.99043 N N N N N N PARK PLACE SECURITIES INC 2005-WCW2 N/A 70069FLJ4 950000.000000 PA USD 854537.830000 0.0668184 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.29543 N N N N N N CARRINGTON MORTGAGE LN TR 2005-OPT2 N/A 144531CN8 243984.850000 PA USD 234924.790000 0.0183693 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.52043 N N N N N N VB-S1 ISSUER LLC - VBTEL 2022-1A N/A 91823AAW1 1400000.000000 PA USD 1157123.520000 0.0904783 Long ABS-O CORP US N 2 2057-02-15 Fixed 3.706 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AD4 183858.160000 PA USD 85733.480000 0.0067037 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.61043 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1 N/A 02150JAU6 216700.250000 PA USD 101067.000000 0.0079027 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 N N N N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2007-BC2 N/A 84752EAD5 113794.040000 PA USD 78688.590000 0.0061529 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.74043 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAE2 668054.630000 PA USD 348583.620000 0.0272566 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.95043 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAE8 890561.210000 PA USD 234556.190000 0.0183405 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.81043 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 N/A 85573HAA8 1357914.520000 PA USD 1231374.950000 0.0962842 Long ABS-MBS CORP US N 2 2065-05-25 Variable 0.943 N N N N N N STRUCTURED ASSET INVST LN TR 2005-4 N/A 86358ESN7 358275.320000 PA USD 349271.500000 0.0273104 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.37043 N N N N N N N/A N/A 000000000 -6300000.000000 NC USD -18307.800000 -0.0014315 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.68500 01/24/24-10Y LCH 2034-01-24 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-01-22 XXXX 7522.200000 N N N THORNBURG MORTGAGE SECURITIES TR 2003-4 N/A 885220DW0 88637.980000 PA USD 83440.980000 0.0065245 Long ABS-MBS CORP US N 2 2043-09-25 Floating 6.11043 N N N N N N ASSET BACKED FUNDING CERT 2006-OPT3 N/A 00075VAA9 8562115.470000 PA USD 5485552.170000 0.428929 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.75043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAA8 11360755.670000 PA USD 10163779.640000 0.794731 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.67043 N N N N N N ASSET BACKED FUNDING CERT 2007-WMC1 N/A 04545EAC7 140933.310000 PA USD 108045.030000 0.0084483 Long ABS-MBS CORP US N 2 2037-06-25 Floating 6.47043 N N N N N N FNMA PASS THRU POOLS N/A 31403Q4G2 1.060000 PA USD 1.070000 0.0000001 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5 N N N N N N SUNTRUST ALTERNATIVE LN TRUST 2005-1F N/A 86789MAT4 181192.650000 PA USD 161860.240000 0.0126563 Long ABS-MBS CORP US N 3 2035-12-25 Fixed 6 N N N N N N AEGIS ASSET BACKED SECURITIES TR 2005-5 N/A 00764MHE0 180337.730000 PA USD 164109.480000 0.0128321 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.11543 N N N N N N METAL CAYMAN 2017-1 LLC N/A 59111RAA0 2814243.710000 PA USD 1744831.100000 0.136433 Long ABS-O CORP KY N 2 2042-10-15 Fixed 4.581 N N N N N N UMBS PASS THRU POOLS N/A 01F030611 8500000.000000 PA USD 7520175.850000 0.588021 Long ABS-MBS USGSE US N 2 2054-01-16 Fixed 3 N N N N N N ARGENT SECURITIES INC 2005-W5 N/A 040104QN4 71003.360000 PA USD 65245.000000 0.0051017 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.93043 N N N N N N MELLON RES FUND CORP 1999-TBC3 N/A 585525DF2 14522.980000 PA USD 14639.530000 0.0011447 Long ABS-MBS CORP US N 2 2029-10-20 Floating 6.02011 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-4 N/A 1266715K8 26514.260000 PA USD 26414.600000 0.0020654 Long ABS-MBS CORP US N 2 2034-07-25 Floating 6.19043 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAF0 209955.700000 PA USD 89476.930000 0.0069964 Long ABS-MBS CORP US N 2 2037-09-25 Variable 7.238 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 9061.760000 PA USD 7730.440000 0.0006045 Long ABS-MBS CORP US N 2 2036-02-20 Floating 7.8838 N N N N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAF4 125149.460000 PA USD 36911.710000 0.0028862 Long ABS-MBS CORP US N 2 2036-09-25 Variable 6.581 N N N N N N GSAMP TRUST 2007-FM2 N/A 3622MHAA4 37607033.960000 PA USD 22084681.800000 1.72686 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.61043 N N N N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAF0 50665.080000 PA USD 46205.980000 0.003613 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.48452 N N N N N N CARLYLE FINANCE SUBSIDIARY LLC N/A 14314DAA1 4000000.000000 PA USD 3744690.240000 0.292807 Long DBT CORP US N 2 2029-09-19 Fixed 3.5 N N N N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAK2 2620617.770000 PA USD 2289029.960000 0.178985 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N SYSTEM ENERGY RESOURCES INC N/A 871911AU7 1900000.000000 PA USD 1942406.920000 0.151882 Long DBT CORP US N 2 2028-04-15 Fixed 6 N N N N N N RESIDENTIAL ASSET SEC TRUST 2007-A1 N/A 761136AA8 97303.710000 PA USD 32382.980000 0.0025321 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N TURKISH AIRLINES 2015-1 CLASS A PASS THROUGH TRUST N/A 10010YAA0 2666527.410000 PA USD 2525769.160000 0.197496 Long DBT CORP TR N 2 2028-09-15 Fixed 4.2 N N N N N N N/A N/A 000000000 1.000000 NC -242.120000 -0.0000189 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 208000.000000 CAD 156750.860000 USD 2024-01-09 -242.120000 N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1 N/A 25151WAA1 187308.870000 PA USD 126832.620000 0.0099174 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.77043 N N N N N N ACE SECURITIES CORP 2006-NC3 N/A 00442EAF2 291606.220000 PA USD 76772.390000 0.006003 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.69043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB N/A 02147QAR3 438866.140000 PA USD 259286.020000 0.0202742 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX9 N/A 74924VAE9 222870.790000 PA USD 204873.590000 0.0160196 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.73043 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630CF3 19222.880000 PA USD 17762.150000 0.0013889 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.84657 N N N N N N MORGAN STANLEY MORTGAGE LN TR 2007-5AX N/A 61751GAD9 99358.320000 PA USD 21332.600000 0.001668 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.93043 N N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAC2 145598.980000 PA USD 128472.930000 0.0100456 Long ABS-MBS CORP US N 2 2046-11-25 Floating 6.5118 N N N N N N FHLMC PASS THRU POOLS N/A 31295N4W5 13659.560000 PA USD 13209.430000 0.0010329 Long ABS-MBS USGSE US N 2 2032-08-01 Floating 2.955 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2008-2R N/A 021482AC8 46194.030000 PA USD 22346.320000 0.0017473 Long ABS-MBS CORP US N 2 2037-08-25 Variable 4.08022 N N N N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAU7 73432.250000 PA USD 55032.100000 0.0043031 Long ABS-MBS CORP US N 2 2036-10-20 Floating 5.8524 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-14 N/A 41161PWV1 72623.050000 PA USD 37677.470000 0.0029461 Long ABS-MBS CORP US N 2 2035-12-19 Variable 4.67218 N N N N N N RAAC SERIES 2007-SP3 N/A 74978FAH2 465751.550000 PA USD 446387.930000 0.0349042 Long ABS-MBS CORP US N 2 2047-09-25 Floating 6.97043 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JP3 3200000.000000 PA USD 3070650.460000 0.240102 Long DBT CORP US N 2 2026-01-01 Fixed 3.15 N N N N N N N/A N/A 000000000 1.000000 NC -17573.760000 -0.0013741 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 870941.000000 AUD 576044.730000 USD 2024-01-09 -17573.760000 N N N UNIVERSITY OF VIRGINIA N/A 915217XA6 5600000.000000 PA USD 3711183.840000 0.290187 Long DBT MUN US N 2 2099-12-31 Fixed 3.227 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE2 N/A 07389YAD3 11883999.990000 PA USD 11111504.340000 0.868836 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.70043 N N N N N N MASTR REPERFORMING LOAN TRUST 2005-2 N/A 57643QAG0 655933.090000 PA USD 458435.770000 0.0358462 Long ABS-MBS CORP US N 2 2035-05-25 Fixed 7 N N N N N N ACE SECURITIES CORP 2005-HE7 N/A 004421UC5 31232.090000 PA USD 31721.380000 0.0024804 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.13043 N N N N N N N/A N/A 000000000 -1900000.000000 NC USD -7517.350000 -0.0005878 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.28800 01/23/24-10Y LCH 2034-01-23 0.000000 USD 0.000000 USD N/A USD N/A 3.290000 USD 2024-01-19 XXXX 415.150000 N N N COUNTRYWIDE HOME LOANS 2007-2 N/A 12544CAR2 78784.970000 PA USD 34301.160000 0.0026821 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2006-HYB3 N/A 1266943Y2 26153.700000 PA USD 24065.540000 0.0018817 Long ABS-MBS CORP US N 2 2036-05-20 Floating 4.0385 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPH004 1500000.000000 PA USD 180000.000000 0.0140746 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N FIRST HORIZON MTGE PT TR 2007-AR3 N/A 32056JAE4 15089.080000 PA USD 11670.560000 0.0009125 Long ABS-MBS CORP US N 2 2037-11-25 Floating 5.67289 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR9 N/A 45661EGE8 3547304.240000 PA USD 2468432.450000 0.193013 Long ABS-MBS CORP US N 2 2036-06-25 Variable 3.40315 N N N N N N BSPRT 2022-FL9 ISSUER LTD N/A 055984AA6 7000000.000000 PA USD 6948900.000000 0.543352 Long ABS-CBDO CORP US N 2 2039-07-15 Floating 7.65781 N N N N N N AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST N/A 023770AA8 4544573.610000 PA USD 4168743.730000 0.325964 Long DBT CORP US N 2 2028-11-01 Fixed 3.375 N N N N N N ARES XXXVII CLO LTD 2015-4A N/A 04015NAG9 10035461.730000 PA USD 10045345.460000 0.78547 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.82548 N N N N N N GNMA PASS THRU POOLS N/A 36202K2M6 785.040000 PA USD 776.160000 0.0000607 Long ABS-MBS USGSE US N 2 2026-06-20 Floating 3.875 N N N N N N N/A N/A 000000000 1.000000 NC -2169.870000 -0.0001697 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 477047.000000 GBP 605918.190000 USD 2024-01-09 -2169.870000 N N N GREEN TREE FINANCIAL CORP 1999-3 N/A 393505X80 256968.370000 PA USD 228715.880000 0.0178839 Long ABS-O CORP US N 2 2031-02-01 Fixed 7.06 N N N N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAD0 467964.570000 PA USD 452514.350000 0.0353832 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.70043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB N/A 12668BLG6 143928.310000 PA USD 65107.960000 0.005091 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-2NU N/A 46592FAA1 2940000.000000 PA USD 2330175.500000 0.182202 Long ABS-MBS CORP US N 2 2040-01-05 Fixed 1.97387 N N N N N N COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63 N/A 12668AXF7 47933.590000 PA USD 42254.740000 0.003304 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.72671 N N N N N N TRUSTAGE FINANCIAL GROUP INC 549300X7YNHNZXTI6F10 89787EAA9 5300000.000000 PA USD 4625759.180000 0.3617 Long DBT CORP US N 2 2032-04-15 Fixed 4.625 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MM25 17983.200000 PA USD 15929.040000 0.0012455 Long ABS-MBS CORP US N 3 2034-05-25 Floating 3.64756 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1 N/A 59020UC29 48724.910000 PA USD 47993.750000 0.0037527 Long ABS-MBS CORP US N 2 2036-05-25 Floating 6.19043 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 ACI1S61G3 200000.000000 PA 256523.340000 0.0200582 Long DBT CORP GB N 2 2027-10-15 Fixed 5.75 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW95 9902.190000 PA USD 9738.440000 0.0007615 Long ABS-MBS CORP US N 2 2035-11-25 Floating 7.86 N N N N N N N/A N/A 000000000 -3000000.000000 NC USD -9401.400000 -0.0007351 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17000 01/31/24-10Y LCH 2034-01-31 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2024-01-29 XXXX 3573.600000 N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB64 237352.830000 PA USD 217787.950000 0.0170294 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.45043 N N N N N N BEAR STEARNS MTGE SEC INC 1997-6 N/A 073914VW0 138.660000 PA USD 134.250000 0.0000105 Long ABS-MBS CORP US N 3 2031-03-25 Floating 7.49747 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TE6 9591.290000 PA USD 8662.670000 0.0006774 Long ABS-MBS CORP US N 3 2036-01-25 Floating 3.8743 N N N N N N GALAXY XV CLO LTD 2013-15A N/A 36318WAK6 2784981.890000 PA USD 2781949.160000 0.217528 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.62548 N N N N N N MERRILL LYNCH MTGE INV TRUST 2007-SD1 N/A 590232AA2 804505.080000 PA USD 474851.000000 0.0371298 Long ABS-MBS CORP US N 2 2047-02-25 Floating 6.37043 N N N N N N BANC OF AMERICA FUNDING CORP 2007-E N/A 05954DAR7 76267.120000 PA USD 63762.280000 0.0049857 Long ABS-MBS CORP US N 2 2047-09-20 Floating 4.42303 N N N N N N N/A N/A 000000000 1.000000 NC 1368276.020000 0.106989 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-12-20 0.000000 AUD -2452835.630000 AUD 202400000.000000 AUD 3821111.650000 N N N CS FIRST BOSTON MTGE SEC CORP 2004-AR8 N/A 22541SXR4 20695.020000 PA USD 28465.800000 0.0022258 Long ABS-MBS CORP US N 2 2034-09-25 Floating 6.62043 N N N N N N GNMA PASS THRU POOLS N/A 36225CDW3 787.090000 PA USD 774.900000 0.0000606 Long ABS-MBS USGSE US N 2 2027-09-20 Floating 4 N N N N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 1009111.350000 PA USD 962627.240000 0.0752702 Long ABS-MBS CORP US N 2 2036-12-25 Floating 6.07043 N N N N N N N/A N/A 000000000 1.000000 NC -3924.590000 -0.0003069 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1790000.000000 ILS 491611.430000 USD 2024-03-20 -3924.590000 N N N N/A N/A 000000000 1.000000 NC USD 33493.470000 0.0026189 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-12-20 23314.680000 USD 0.000000 USD 2100000.000000 USD 10178.790000 N N N RESIDENTIAL ASSET MTGE PROD 2006-RS1 N/A 76112BT91 387788.260000 PA USD 358181.560000 0.0280071 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.11043 N N N N N N N/A N/A 000000000 -6200000.000000 NC USD -17627.220000 -0.0013783 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.21500 01/24/24-10Y LCH 2034-01-24 0.000000 USD 0.000000 USD N/A USD N/A 3.210000 USD 2024-01-22 XXXX 7482.780000 N N N POPULAR ABS MTGE PASS THRU TRUST 2006-D N/A 73316QAC2 79.820000 PA USD 77.690000 0.0000061 Long ABS-MBS CORP US N 3 2036-11-25 Floating 5.73043 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JL2 1300000.000000 PA USD 1258802.140000 0.0984288 Long DBT CORP US N 2 2025-07-01 Fixed 3.45 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-2 N/A 126670UW6 37434.050000 PA USD 37120.820000 0.0029026 Long ABS-MBS CORP US N 2 2036-06-25 Floating 6.07043 N N N N N N INTOWN 2022-STAY MORTGAGE TRUST N/A 46117NAA0 4500000.000000 PA USD 4522632.750000 0.353636 Long ABS-MBS CORP US N 2 2039-08-15 Floating 7.8506 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRY7 225289.810000 PA USD 189233.870000 0.0147967 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.90734 N N N N N N FHLMC PASS THRU POOLS N/A 31295KQ31 1036.650000 PA USD 1029.810000 0.0000805 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 6.125 N N N N N N OBX 2023-NQM1 TRUST N/A 670855AA3 3090528.090000 PA USD 3109257.930000 0.243121 Long ABS-MBS CORP US N 2 2062-11-25 Variable 6.12 N N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FM26 1932019.820000 PA USD 1869647.070000 0.146192 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.92771 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAD8 316385.830000 PA USD 135615.720000 0.0106041 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.72043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-15CB N/A 02151CAE6 13137.540000 PA USD 7770.340000 0.0006076 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75 N N N N N N FLEX INTERMEDIATE HOLDCO LLC 549300290TQIGM30A243 33939HAA7 2800000.000000 PA USD 2293952.470000 0.17937 Long DBT CORP US N 2 2031-06-30 Fixed 3.363 N N N N N N GNMA PASS THRU POOLS N/A 36202KUK9 149.940000 PA USD 148.130000 0.0000116 Long ABS-MBS USGSE US N 2 2025-08-20 Floating 4 N N N N N N GS MORTGAGE SECURITIES CORP II 2022-GTWY N/A 36266DAA2 2600000.000000 PA USD 2621500.960000 0.204982 Long ABS-MBS CORP US N 2 2039-08-15 Floating 8.762 N N N N N N N/A N/A 000000000 -10700000.000000 NC USD -14881.560000 -0.0011636 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 01/18/24-10Y LCH 2034-01-18 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2024-01-16 XXXX 30700.440000 N N N MORGAN STANLEY DEAN WITTER 2003-HYB1 N/A 61746WB90 15661.000000 PA USD 13283.960000 0.0010387 Long ABS-MBS CORP US N 3 2033-03-25 Floating 6.21244 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AH0 9000000.000000 PA USD 8088423.390000 0.632454 Long DBT CORP US N 2 2027-01-15 Fixed 2.625 N N N N N N LEHMAN MORTGAGE TRUST 2005-2 N/A 52520MCF8 171650.470000 PA USD 31200.480000 0.0024396 Long ABS-MBS CORP US N 2 2035-12-25 Variable 4.50513 N N N N N N ACE SECURITIES CORP 2006-SD1 N/A 004421XW8 66169.690000 PA USD 60582.880000 0.0047371 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.40043 N N N N N N SHACKLETON CLO LTD 2017-10A N/A 81883DAS2 1595789.860000 PA USD 1592874.210000 0.124551 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 6.56743 N N N N N N N/A N/A 000000000 1.000000 NC -10067.180000 -0.0007872 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2035507.960000 NOK 190311.420000 USD 2024-01-09 -10067.180000 N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A7 N/A 466286AV3 3828.230000 PA USD 3567.120000 0.0002789 Long ABS-MBS CORP US N 3 2036-12-25 Floating 4.5312 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-AF1 N/A 59024KAH6 123977.740000 PA USD 96196.720000 0.0075219 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-15 N/A 12666UAD5 7459127.580000 PA USD 7247500.940000 0.5667 Long ABS-MBS CORP US N 2 2046-10-25 Variable 5.961 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC1 N/A 61744CYC4 10000000.000000 PA USD 9173237.000000 0.717278 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.07043 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-17 N/A 126670RD2 32969.600000 PA USD 32569.760000 0.0025467 Long ABS-MBS CORP US N 2 2036-05-25 Floating 6.16043 N N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE3 N/A 93364EAD6 1020647.020000 PA USD 879707.300000 0.0687865 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.71043 N N N N N N BANC OF AMERICA FUNDING TRUST 2015-R2 N/A 05990TAB3 6469254.070000 PA USD 6037605.380000 0.472095 Long ABS-MBS CORP US N 2 2036-08-27 Floating 4.39134 N N N N N N PARK PLACE SECURITIES INC 2005-WCH1 N/A 70069FFL6 54547.810000 PA USD 53684.580000 0.0041977 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.71543 N N N N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AB2 377789.100000 PA USD 319148.980000 0.024955 Long ABS-MBS CORP US N 2 2037-04-25 Variable 5.8307 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-1 N/A 59020U4S1 17911.890000 PA USD 17525.840000 0.0013704 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.90323 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC1 N/A 57643LNG7 122422.280000 PA USD 120261.780000 0.0094036 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.04043 N N N N N N DEUTSCHE MORTGAGE AND ASSET RECEIVING CORP 2014-RS1 N/A 25160HAM7 46198.950000 PA USD 45958.600000 0.0035936 Long ABS-MBS CORP US N 2 2036-11-27 Floating 4.0057 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDZD4 78.040000 PA USD 77.440000 0.0000061 Long ABS-MBS USGSE US N 2 2029-02-01 Floating 5.15 N N N N N N STRATTON MORTGAGE FUNDING 21-2A N/A ACI1W61K9 10055564.150000 PA 12815467.740000 1.00207 Long ABS-MBS CORP GB N 2 2060-07-20 Floating 6.116 N N N N N N WHITEHORSE XII LTD 12A N/A 96525YAC3 11000000.000000 PA USD 11016483.170000 0.861406 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 6.90548 N N N N N N CSMC SERIES 2011-6R N/A 12645QCY2 153754.010000 PA USD 142322.460000 0.0111285 Long ABS-MBS CORP US N 2 2037-04-28 Floating 3.91324 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 5956141.290000 PA USD 5894528.580000 0.460908 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.97043 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWHS5 24156424.250000 PA USD 23903821.970000 1.8691 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GZQ7 44308.130000 PA USD 35478.840000 0.0027742 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.93043 N N N N N N ARROYO MORTGAGE TRUST 2022-2 N/A 04285EAM9 2357886.220000 PA USD 2335947.270000 0.182654 Long ABS-MBS CORP US N 2 2057-07-25 Fixed 4.95 N N N N N N N/A N/A 000000000 1.000000 NC USD 43889.540000 0.0034318 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 FORD MOTOR CREDIT COMPANY LLC FORD MOTOR CREDIT CO LLC Y Single Leg Swap 2024-12-20 42772.700000 USD 0.000000 USD 1000000.000000 USD 1116.840000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1 N/A 64831HAM5 12646818.590000 PA USD 12847240.310000 1.00456 Long ABS-MBS CORP US N 2 2063-10-25 Fixed 6.864 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS3 N/A 52474XAA3 1768950.940000 PA USD 1707362.260000 0.133503 Long ABS-MBS CORP US N 2 2061-07-25 Fixed 1.75 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2D4 1600000.000000 PA USD 1556385.940000 0.121698 Long DBT CORP US N 2 2029-01-24 Fixed 4.15 N N N N N N N/A N/A 000000000 -5600000.000000 NC USD -202.720000 -0.0000159 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.97500 01/10/24-10Y LCH 2034-01-10 0.000000 USD 0.000000 USD N/A USD N/A 3.980000 USD 2024-01-08 XXXX 26117.280000 N N N AMERIQUEST MORTGAGE SEC 2005-R1 N/A 03072SYB5 177234.310000 PA USD 173185.300000 0.0135418 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.58043 N N N N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAD1 120173.670000 PA USD 69248.000000 0.0054147 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.69043 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 2684.700000 PA USD 2613.980000 0.0002044 Long ABS-MBS CORP US N 2 2045-12-25 Floating 6.01043 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GKG5 157286.170000 PA USD 133854.090000 0.0104664 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.25043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-NC5 N/A 61746RFV8 62941.010000 PA USD 59642.270000 0.0046636 Long ABS-MBS CORP US N 2 2034-05-25 Floating 6.37043 N N N N N N MAN GLG EURO 6A N/A ACI22ZH29 8879985.800000 PA 9683923.130000 0.75721 Long ABS-CBDO CORP IE N 2 2032-10-15 Floating 4.775 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAC9 150991.000000 PA USD 78679.460000 0.0061521 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.70043 N N N N N N CITY OF NEWPORT BEACH CA N/A 651779BZ2 3500000.000000 PA USD 4140119.200000 0.323726 Long DBT MUN US N 2 2040-07-01 Fixed 7.168 N N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA2 N/A 76110HT90 145968.510000 PA USD 126923.820000 0.0099245 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.12892 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE7 N/A 61756YAD5 400000.000000 PA USD 337035.480000 0.0263536 Long ABS-MBS CORP US N 2 2037-07-25 Floating 6.72043 N N N N N N FHLMC PASS THRU POOLS N/A 3132XUKS3 7399.640000 PA USD 7126.470000 0.0005572 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR9 N/A 45661EGK4 707936.060000 PA USD 588920.610000 0.0460492 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.35472 N N N N N N LEHMAN XS TRUST 2006-12N N/A 525226AG1 26946.920000 PA USD 26533.920000 0.0020748 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.87043 N N N N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAC3 200289.440000 PA USD 115129.050000 0.0090022 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.63043 N N N N N N N/A N/A 000000000 1.000000 NC -31682.800000 -0.0024774 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 1640500.000000 AUD 1086453.940000 USD 2024-01-09 -31682.800000 N N N COUNTRYWIDE HOME LOANS 2006-3 N/A 126694YN2 7605.510000 PA USD 1607.970000 0.0001257 Long ABS-MBS CORP US N 3 2036-03-25 Floating 6.15043 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-6 N/A 41161PPB3 24093.010000 PA USD 20531.000000 0.0016054 Long ABS-MBS CORP US N 2 2045-07-19 Floating 6.20812 N N N N N N AAMES MORTGAGE INVESTMENT TRUST 2005-4 N/A 00252FCV1 87522.420000 PA USD 85977.470000 0.0067228 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.25043 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAC5 222104.490000 PA USD 162649.760000 0.012718 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.42043 N N N N N N GNMA PASS THRU POOLS N/A 36225CNY8 2384.050000 PA USD 2373.210000 0.0001856 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 3.875 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-EMX4 N/A 76110W6B7 46916.160000 PA USD 46606.520000 0.0036443 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.16043 N N N N N N EUROSAIL PLC 2007-3X N/A ACI01JMT5 763638.770000 PA 969478.770000 0.0758059 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 6.26451 N N N N N N CARLYLE EURO CLO 2017-2 DAC 17-2A N/A ACI1VWGV3 881295.010000 PA 964062.820000 0.0753825 Long ABS-CBDO CORP IE N 2 2030-08-15 Floating 4.632 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3 N/A 161927AC2 3953113.830000 PA USD 3480791.050000 0.272172 Long ABS-MBS CORP US N 2 2063-09-25 Variable 3.25 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AD5 329123.360000 PA USD 255464.010000 0.0199754 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.7818 N N N N N N CLNC 2019-FL1 LTD N/A 12565DAA1 9052.160000 PA USD 9039.210000 0.0007068 Long ABS-CBDO CORP KY N 2 2035-08-20 Floating 6.72023 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAD8 1389478.290000 PA USD 1199788.660000 0.0938144 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.65043 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 L26915AA3 16277.000000 PA USD 15088.780000 0.0011798 Long DBT CORP LU N 2 2030-06-15 Fixed 7.5 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC5 N/A 76112BH60 32443.960000 PA USD 31901.790000 0.0024945 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.16043 N N N N N N BEAR STEARNS ASSETBK SEC 2005-AQ2 N/A 0738792V9 3324981.460000 PA USD 3307163.550000 0.258595 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.20543 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4 N/A 87276WAA1 9242533.990000 PA USD 9024905.400000 0.70568 Long ABS-CBDO CORP KY N 2 2038-03-15 Floating 6.67629 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTJ7 5808.660000 PA USD 5574.660000 0.0004359 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.32232 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAE2 2096767.940000 PA USD 905336.590000 0.0707905 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.61043 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NN7 5000000.000000 PA USD 4498745.600000 0.351768 Long DBT CORP US Y 2 2033-03-17 Floating 3.785 N N N N N N AMERICAN AIRLINES 2013-1 CLASS A PASS THROUGH TRUST N/A 023772AB2 898194.680000 PA USD 861168.760000 0.0673369 Long DBT CORP US N 2 2027-01-15 Fixed 4 N N N N N N ACE SECURITIES CORP 2004-HE4 N/A 004421JH7 101022.920000 PA USD 91491.390000 0.0071539 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.37043 N N N N N N N/A N/A 000000000 -3100000.000000 NC USD -563.580000 -0.0000441 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.05000 01/17/24-10Y LCH 2034-01-17 0.000000 USD 0.000000 USD N/A USD N/A 4.050000 USD 2024-01-12 XXXX 13618.920000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QS4 N/A 749228AH5 65454.480000 PA USD 54480.900000 0.00426 Long ABS-MBS CORP US N 3 2036-04-25 Floating 8 N N N N N N N/A N/A 000000000 1.000000 NC USD 201003.580000 0.015717 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-17 0.000000 USD -66385.940000 USD 2000000.000000 USD 267389.520000 N N N N/A N/A 000000000 -6300000.000000 NC USD -79108.470000 -0.0061857 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.54500 01/18/24-10Y LCH 2034-01-18 0.000000 USD 0.000000 USD N/A USD N/A 3.540000 USD 2024-01-16 XXXX -50837.220000 N N N DOCTORS CO/THE MKYKR1GWDRIJRLI1S211 256141AB8 2000000.000000 PA USD 1595154.580000 0.124729 Long DBT CORP US N 2 2032-01-18 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -21148.250000 -0.0016536 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 13060394.520000 MXN 744549.420000 USD 2024-01-31 -21148.250000 N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAQ2 29203.710000 PA USD 27209.470000 0.0021276 Long ABS-MBS CORP US N 2 2034-03-19 Floating 6.17023 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAD5 580237.060000 PA USD 302617.240000 0.0236624 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.58043 N N N N N N GNMA PASS THRU POOLS N/A 36202KSD8 98.280000 PA USD 97.390000 0.0000076 Long ABS-MBS USGSE US N 2 2025-04-20 Floating 3.875 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC2 N/A 07387UGW5 182824.480000 PA USD 61881.810000 0.0048387 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.51859 N N N N N N BCAP LLC TRUST 2007-AA5 N/A 05531AAA2 51127.170000 PA USD 44171.410000 0.0034539 Long ABS-MBS CORP US N 2 2047-09-25 Floating 6.77043 N N N N N N MACH 1 CAYMAN LTD 2019-1 N/A 55446MAA5 1413404.710000 PA USD 1223009.340000 0.0956301 Long ABS-O CORP KY N 2 2039-10-15 Fixed 3.474 N N N N N N WASHINGTON MUTUAL 2004-AR12 N/A 92922FZF8 412563.000000 PA USD 389871.950000 0.0304851 Long ABS-MBS CORP US N 2 2044-10-25 Floating 6.25043 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BS8 4362477.790000 PA USD 4590079.600000 0.35891 Long DBT CORP US N 2 2032-01-10 Fixed 7.507 N N N N N N BEAR STEARNS ALT-A TRUST 2006-3 N/A 07386HQ87 293438.500000 PA USD 143743.640000 0.0112397 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.97071 N N N N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAD4 204716.750000 PA USD 57308.060000 0.0044811 Long ABS-MBS CORP US N 2 2037-04-25 Floating 6.19043 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 3400000.000000 PA USD 3299506.810000 0.257997 Long DBT CORP GB N 2 2029-06-19 Floating 4.583 N N N N N N FANNIE MAE GRANTOR TRUST 2002-T6 N/A 31392CYH1 4627.770000 PA USD 4409.470000 0.0003448 Long ABS-MBS USGSE US N 2 2041-03-25 Floating 4.99482 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC4 N/A 61748LAD4 353430.390000 PA USD 292234.910000 0.0228506 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.77043 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF16 N/A 320275AD2 212402.560000 PA USD 86770.310000 0.0067848 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.75043 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-1 N/A 759950GV4 9549921.130000 PA USD 4555894.920000 0.356237 Long ABS-MBS CORP US N 2 2036-05-25 Variable 5.608 N N N N N N N/A N/A 000000000 1.000000 NC USD 514673.690000 0.0402436 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-04 0.000000 USD -244122.810000 USD 12000000.000000 USD 758796.500000 N N N MASTR ASSET BACKED SEC TR 2005-NC1 N/A 57643LGG5 11280.720000 PA USD 11056.430000 0.0008645 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.22043 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-8 N/A 86361JAB6 1633087.550000 PA USD 1134139.950000 0.0886812 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.21223 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR7 N/A 45670CAC1 50823.090000 PA USD 43464.220000 0.0033986 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.08756 N N N N N N N/A N/A 000000000 -3100000.000000 NC USD -48839.260000 -0.0038189 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.60000 01/17/24-10Y LCH 2034-01-17 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2024-01-12 XXXX -34656.760000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1 N/A 07389QAN8 32529.250000 PA USD 15291.010000 0.0011956 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 4.8117 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 1300000.000000 PA USD 1239305.590000 0.0969044 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 38635.570000 PA USD 37580.560000 0.0029385 Long ABS-MBS CORP US N 2 2035-10-25 Floating 7.78 N N N N N N FIRST NLC TRUST 2005-1 N/A 32113JAA3 647922.420000 PA USD 571190.910000 0.0446628 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.93043 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 6194.910000 PA USD 5764.150000 0.0004507 Long ABS-MBS CORP US N 2 2032-03-25 Floating 6.05027 N N N N N N COUNTRYWIDE HOME LOANS 2007-HY6 N/A 17025MAA4 71863.530000 PA USD 63785.530000 0.0049875 Long ABS-MBS CORP US N 2 2037-11-25 Floating 4.29441 N N N N N N NOVASTAR MORTGAGE FUNDING TRUST SERIES 2006-2 N/A 66988VAD0 79841.740000 PA USD 56764.590000 0.0044386 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.77043 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HZG9 2035893.260000 PA USD 1834141.940000 0.143416 Long ABS-MBS CORP US N 2 2036-01-25 Variable 4.67138 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAD9 231392.840000 PA USD 89246.810000 0.0069784 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.77043 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-3 N/A 885220FS7 12473.160000 PA USD 11400.520000 0.0008914 Long ABS-MBS CORP US N 2 2034-09-25 Floating 6.21043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TRUST 9CB N/A 12667GEP4 1148821.790000 PA USD 967155.840000 0.0756243 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.5 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAE7 138835.710000 PA USD 53548.090000 0.0041871 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.95043 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2U6 7000000.000000 PA USD 6116271.350000 0.478246 Long DBT CORP US N 2 2033-03-02 Floating 3.35 N N N N N N BCAP LLC TRUST 2008-IND1 N/A 05531CAA8 9152356.850000 PA USD 7092370.910000 0.55457 Long ABS-MBS CORP US N 2 2047-10-25 Floating 7.87043 N N N N N N GNMA PASS THRU POOLS N/A 36225CU38 1711.190000 PA USD 1689.540000 0.0001321 Long ABS-MBS USGSE US N 2 2032-05-20 Floating 3.875 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2005-6 N/A 07387ADM4 4450.140000 PA USD 3971.910000 0.0003106 Long ABS-MBS CORP US N 3 2035-08-25 Floating 5.47832 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-2 N/A 07401EAC3 291301.920000 PA USD 237826.900000 0.0185963 Long ABS-MBS CORP US N 2 2046-12-25 Floating 8.06497 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-11 N/A 12666TAG1 428248.690000 PA USD 424250.470000 0.0331732 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.77043 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS6 N/A 74922EAG4 2471483.590000 PA USD 1902436.600000 0.148756 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A12 N/A 76113XAA9 82796.030000 PA USD 31101.290000 0.0024319 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6.25 N N N N N N OCTANE RECEIVABLES TRUST 2023-3A N/A 67571CAB7 3800000.000000 PA USD 3842022.680000 0.300417 Long ABS-O CORP US N 2 2029-03-20 Fixed 6.44 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11 N/A 02151WAA0 1272075.310000 PA USD 1034809.860000 0.0809143 Long ABS-MBS CORP US N 2 2047-11-25 Floating 6.3918 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS14 N/A 761118JJ8 573067.070000 PA USD 478097.480000 0.0373836 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 6 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-3AR N/A 61745M4N0 1099324.930000 PA USD 961271.270000 0.0751642 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.35717 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-36 N/A 12667GWF6 76099.610000 PA USD 67210.220000 0.0052553 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.09043 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 86181.680000 PA USD 80786.460000 0.0063169 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.21043 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HH3 3000000.000000 PA USD 2511564.960000 0.196385 Long DBT CORP US N 2 2044-02-15 Fixed 4.75 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAR0 83971.100000 PA USD 75601.440000 0.0059115 Long ABS-MBS CORP US N 3 2034-03-19 Floating 6.17023 N N N N N N IPALCO ENTERPRISES INC 5493000YFVK2DZX0JV43 462613AP5 2600000.000000 PA USD 2407217.540000 0.188226 Long DBT CORP US N 2 2030-05-01 Fixed 4.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KUY9 657.900000 PA USD 653.000000 0.0000511 Long ABS-MBS USGSE US N 2 2025-09-20 Floating 3.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CKD7 2626.900000 PA USD 2596.280000 0.000203 Long ABS-MBS USGSE US N 2 2029-06-20 Floating 3.875 N N N N N N CHASEFLEX TRUST 2007-M1 N/A 16165YAT9 21730.660000 PA USD 17018.120000 0.0013307 Long ABS-MBS CORP US N 2 2037-08-25 Variable 6.35 N N N N N N FREMONT HOME LOAN OWNER TRUST 1999-3 N/A 35729BAF8 5031.940000 PA USD 4660.500000 0.0003644 Long ABS-MBS CORP US N 3 2029-12-25 Floating 6.26043 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZY2 94944.330000 PA USD 45022.170000 0.0035204 Long ABS-MBS CORP US N 3 2036-01-25 Fixed 6 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR7 N/A 45660LLP2 18321.500000 PA USD 16486.960000 0.0012892 Long ABS-MBS CORP US N 3 2035-06-25 Floating 4.39187 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA11 N/A 32051GH65 129260.660000 PA USD 67910.840000 0.0053101 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.02907 N N N N N N FNMA PASS THRU POOLS N/A 31400JND7 13238.750000 PA USD 13252.030000 0.0010362 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 5.088 N N N N N N BCAP LLC TRUST 2010-RR11 N/A 05533JBE2 220554.580000 PA USD 180766.270000 0.0141346 Long ABS-MBS CORP US N 2 2037-03-27 Floating 4.50162 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-NC2 N/A 46629FAE0 141387.250000 PA USD 137439.700000 0.0107467 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.87543 N N N N N N AEGIS ASSET BACKED SEC TR 2005-1 N/A 00764MEN3 116903.020000 PA USD 111881.500000 0.0087483 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.17043 N N N N N N BALLYROCK CLO 16 LTD 2021-16A N/A 05876KAA3 6500000.000000 PA USD 6493825.000000 0.507768 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 6.80743 N N N N N N NYO COMMERCIAL MORTGAGE TRUST 2021-1290 N/A 62955HAA5 1200000.000000 PA USD 1110441.600000 0.0868282 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.57148 N N N N N N N/A N/A 000000000 1.000000 NC 4994.060000 0.0003905 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 201977.910000 USD 264035623.000000 KRW 2024-06-20 4994.060000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 179428.920000 PA USD 166484.020000 0.0130178 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.85043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AGN9 607873.660000 PA USD 565055.100000 0.0441831 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.93043 N N N N N N N/A N/A 000000000 1.000000 NC USD 562.010000 0.0000439 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2028-12-20 0.000000 USD -1055.290000 USD 100000.000000 USD 1617.300000 N N N CHASE MORTGAGE FINANCE CORP 2007-S3 N/A 16163HAM3 95519.630000 PA USD 43677.330000 0.0034152 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DH55 15400.780000 PA USD 13703.620000 0.0010715 Long ABS-MBS CORP US N 3 2035-04-25 Floating 4.01707 N N N N N N BOWDOIN COLLEGE 549300SIUVRUY51G1940 102291AA9 6600000.000000 PA USD 5501368.360000 0.430166 Long DBT CORP US N 2 2112-07-01 Fixed 4.693 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 39816.100000 PA USD 37684.690000 0.0029467 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.48795 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDE0 240731.680000 PA USD 217115.420000 0.0169768 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.0118 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-3 N/A 66987XGY5 1478565.110000 PA USD 1459636.080000 0.114133 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.17543 N N N N N N INDYMAC INDA MTGE LOAN TRUST 2006-AR1 N/A 45662BAD1 1360340.780000 PA USD 1079274.380000 0.0843911 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.67097 N N N N N N SECURITIZED ASSET BACKED REC 2006-HE1 N/A 81376YAD3 182965.460000 PA USD 63344.030000 0.004953 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.79043 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR11 N/A 45660LQJ1 495071.980000 PA USD 369558.210000 0.0288967 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.67376 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-18R N/A 22944JDG3 105559.880000 PA USD 102644.800000 0.0080261 Long ABS-MBS CORP US N 2 2038-04-26 Floating 3.5 N N N N N N BANC OF AMERICA FUNDING CORP 2007-C N/A 059522AG7 27534.350000 PA USD 25023.600000 0.0019567 Long ABS-MBS CORP US N 2 2047-05-20 Floating 6.0724 N N N N N N GNMA PASS THRU POOLS N/A 36202KSQ9 359.590000 PA USD 355.420000 0.0000278 Long ABS-MBS USGSE US N 2 2025-05-20 Floating 3.875 N N N N N N LEHMAN XS TRUST 2006-4N N/A 525221KM8 2752.620000 PA USD 3938.670000 0.000308 Long ABS-MBS CORP US N 2 2046-04-25 Floating 5.93043 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630BK3 34987.470000 PA USD 33085.540000 0.002587 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.11383 N N N N N N N/A N/A 000000000 1.000000 NC -68.820000 -0.0000054 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2908095.570000 INR 34785.000000 USD 2024-03-20 -68.820000 N N N N/A N/A 000000000 1.000000 NC -14250.610000 -0.0011143 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 769559.000000 AUD 510267.640000 USD 2024-01-09 -14250.610000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2008-2R N/A 021482AE4 49228.800000 PA USD 24403.270000 0.0019082 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6 N N N N N N PARK PLACE SECURITIES INC-2005-WCW1 N/A 70069FKG1 164054.780000 PA USD 160348.620000 0.0125381 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.20543 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAC9 271449.440000 PA USD 75209.820000 0.0058808 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.58043 N N N N N N LEHMAN XS TRUST SERIES 2007-2N N/A 52524LAG6 851092.460000 PA USD 644796.580000 0.0504182 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.64043 N N N N N N FANNIE MAE-1997-42 N/A 31359PX84 3165.550000 PA USD 3183.010000 0.0002489 Long ABS-MBS USGSE US N 2 2027-07-18 Fixed 6.5 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-4 N/A 88522YAB5 9709.200000 PA USD 9472.280000 0.0007407 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.82572 N N N N N N GNMA PASS THRU POOLS N/A 36225CUM6 2596.880000 PA USD 2513.500000 0.0001965 Long ABS-MBS USGSE US N 2 2032-03-20 Floating 3.625 N N N N N N GNMA PASS THRU POOLS N/A 36202KLA1 43.610000 PA USD 43.520000 0.0000034 Long ABS-MBS USGSE US N 2 2024-05-20 Floating 3.875 N N N N N N LAVENDER TRUST SERIES 2010-RR2A N/A 519440AD3 215459.260000 PA USD 107715.130000 0.0084225 Long ABS-MBS CORP US N 2 2036-10-26 Fixed 6.25 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAE6 192609.170000 PA USD 165032.160000 0.0129043 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.79043 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6 N/A 07387YAE3 4586313.650000 PA USD 3991358.240000 0.312094 Long ABS-MBS CORP US N 2 2037-08-25 Floating 6.52043 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-A N/A 59020UAR6 10850.700000 PA USD 10134.020000 0.0007924 Long ABS-MBS CORP US N 2 2029-04-25 Floating 5.93043 N N N N N N COUNTRYWIDE HOME LOANS 2005-7 N/A 12669GNP2 141470.950000 PA USD 120094.590000 0.0093905 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.09043 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAC6 9612439.390000 PA USD 5147278.660000 0.402478 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.64043 N N N N N N N/A N/A 000000000 1.000000 NC -17897.770000 -0.0013995 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 1745759.000000 GBP 2207407.510000 USD 2024-01-09 -17897.770000 N N N MORGAN STANLEY MORTGAGE TRUST-2006-16AX N/A 617487AF0 220144.670000 PA USD 78305.750000 0.0061229 Long ABS-MBS CORP US N 2 2036-11-25 Floating 7.04937 N N N N N N HOME EQUITY ASSET TRUST 2005-1 N/A 437084HU3 50855.260000 PA USD 50137.730000 0.0039204 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.56543 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-D N/A 43709LAC1 201175.310000 PA USD 176004.780000 0.0137622 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.63043 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797GY7 347000.000000 PA USD 342696.330000 0.0267963 Long DBT UST US N 2 2024-03-28 None 0 N N N N N N AEGIS ASSET BACKED SEC TR 2004-6 N/A 00764MDY0 39649.140000 PA USD 37118.110000 0.0029024 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.47043 N N N N N N BEAR STEARNS ALT-A TRUST 2005-5 N/A 07386HUM1 319109.900000 PA USD 223773.330000 0.0174974 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.23783 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAD2 106499.210000 PA USD 50475.320000 0.0039468 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.67043 N N N N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3 N/A 84751XAC6 7804778.750000 PA USD 5365237.500000 0.419521 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.77043 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DH71 14811.620000 PA USD 13300.400000 0.00104 Long ABS-MBS CORP US N 3 2035-04-25 Floating 4.1488 N N N N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QO4 N/A 74923LAA0 58244.540000 PA USD 51089.750000 0.0039948 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.87043 N N N N N N GNMA PASS THRU POOLS N/A 36225CFM3 261.640000 PA USD 255.710000 0.00002 Long ABS-MBS USGSE US N 2 2028-02-20 Floating 3.625 N N N N N N TRESTLES CLO V LTD 2021-5A N/A 89532UAA1 4500000.000000 PA USD 4496581.670000 0.351599 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 6.84743 N N N N N N WELLS FARGO MTGE BACKED SEC 2007-7 N/A 94985JAA8 25786.090000 PA USD 23358.310000 0.0018264 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACY9 4095266.090000 PA USD 3533937.390000 0.276327 Long ABS-MBS CORP US N 2 2035-11-20 Floating 6.3018 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB N/A 12667GLD3 23141.070000 PA USD 21619.690000 0.0016905 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.75632 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2 N/A 16159RAC9 6452907.960000 PA USD 5704410.640000 0.446042 Long ABS-MBS CORP US N 2 2063-03-25 Fixed 3.25 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 843800.470000 PA USD 442473.360000 0.0345981 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.97043 N N N N N N N/A N/A 000000000 1.000000 NC -74.580000 -0.0000058 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2441830.070000 INR 29191.000000 USD 2024-03-20 -74.580000 N N N JP MORGAN MORTGAGE ACQI CORP 2006-CW2 N/A 46629BAE9 87509.210000 PA USD 50199.310000 0.0039252 Long ABS-MBS CORP US N 2 2036-08-25 Variable 6.337 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS10 N/A 75405WAF9 9536.970000 PA USD 9511.270000 0.0007437 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.13043 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-4 N/A 68389FJJ4 1700725.650000 PA USD 1604671.220000 0.125473 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.16043 N N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 116771.500000 PA USD 97334.550000 0.0076108 Long ABS-MBS CORP US N 2 2037-07-25 Floating 6.07043 N N N N N N FHLMC PASS THRU POOLS N/A 31295N2Y3 35525.300000 PA USD 35119.020000 0.002746 Long ABS-MBS USGSE US N 2 2032-10-01 Floating 6.625 N N N N N N GNMA PASS THRU POOLS N/A 36202K5G6 614.010000 PA USD 607.730000 0.0000475 Long ABS-MBS USGSE US N 2 2026-08-20 Floating 3.625 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAF1 750404.390000 PA USD 186017.970000 0.0145452 Long ABS-MBS CORP US N 2 2037-03-25 Floating 6.07043 N N N N N N N/A N/A 000000000 1.000000 NC 15442.270000 0.0012075 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1329320.790000 USD 1973000.000000 AUD 2024-01-09 15442.270000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A 12668AVL6 480429.390000 PA USD 422182.950000 0.0330115 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.99043 N N N N N N FIRST FRANKLIN MTG LN ASSET CERT2004-FF8 N/A 32027NNS6 271358.060000 PA USD 271502.400000 0.0212294 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.89543 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAN1 685158.960000 PA USD 238516.440000 0.0186502 Long ABS-MBS CORP US N 2 2046-05-25 Floating 5.91043 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-SD1 N/A 12669TAA1 53354.940000 PA USD 40795.020000 0.0031899 Long ABS-MBS CORP US N 2 2047-03-25 Floating 6.37043 N N N N N N LEHMAN MORTGAGE TRUST 2006-3 2006-3 N/A 52520CAG0 55182.810000 PA USD 28414.190000 0.0022218 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR19 N/A 45660LXA2 475446.120000 PA USD 381949.930000 0.0298656 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.49354 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAA9 6658951.210000 PA USD 3501564.880000 0.273796 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.61043 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH2 N/A 46630MAX0 174530.810000 PA USD 169968.820000 0.0132903 Long ABS-MBS CORP US N 3 2037-01-25 Floating 5.75043 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 561.000000 NS USD 13931.310000 0.0010893 Long EC CORP LU N 3 N N N MERRILL LYNCH MTGE INVESTORS 2006-AF2 N/A 59023NAQ1 1162713.040000 PA USD 493501.110000 0.0385881 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.25 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-15 N/A 126673UR1 61343.950000 PA USD 59864.880000 0.004681 Long ABS-MBS CORP US N 2 2035-04-25 Floating 6.82043 N N N N N N RUTGERS THE STATE UNIVERSITY 549300BOYDHNW8J60112 783186TP4 5800000.000000 PA USD 4307614.760000 0.336823 Long DBT MUN US N 2 2119-05-01 Fixed 3.915 N N N N N N EUROSAIL PLC 2007-3A N/A 29880YAJ8 422735.250000 PA 535768.160000 0.041893 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 6.26451 N N N N N N TEXAS ELECTRIC MARKET STABILIZATION FUNDING N LLC N/A 88240TAD3 7700000.000000 PA USD 7736093.750000 0.604904 Long DBT CORP US N 2 2052-02-01 Fixed 5.167 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MC67 25392.440000 PA USD 22900.630000 0.0017907 Long ABS-MBS CORP US N 3 2034-02-25 Floating 4.49564 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR23 N/A 45660LF95 79140.490000 PA USD 73223.040000 0.0057255 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.75055 N N N N N N INVITATION HOMES OPERATING PARTNERSHIP LP 549300147YMUQB3GW319 46188BAD4 1101000.000000 PA USD 1012672.870000 0.0791834 Long DBT CORP US N 2 2032-04-15 Fixed 4.15 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAD2 421988.180000 PA USD 415803.180000 0.0325127 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.61043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-19 N/A 02151AAB6 335581.890000 PA USD 176369.930000 0.0137908 Long ABS-MBS CORP US N 2 2037-08-25 Floating 6 N N N N N N N/A N/A 000000000 -6500000.000000 NC USD -116597.650000 -0.0091171 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67000 01/08/24-10Y LCH 2034-01-08 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2024-01-04 XXXX -86047.650000 N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JQ1 1500000.000000 PA USD 1270942.940000 0.0993782 Long DBT CORP US N 2 2040-07-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1456.940000 0.0001139 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2027-06-20 0.000000 USD -338.330000 USD 100000.000000 USD 1795.270000 N N N REGENTS OF THE UNIVERSITY OF CALIFORNIA MEDICAL CENTER POOLED REVENUE N/A 913366KD1 4800000.000000 PA USD 3350414.400000 0.261977 Long DBT MUN US N 2 2120-05-15 Fixed 3.706 N N N N N N SECURITIZED ASSET BACKED REC 2006-HE1 N/A 81376YAC5 187119.560000 PA USD 64706.220000 0.0050595 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.65043 N N N N N N FREMONT HOME LOAN TRUST 2006-1 N/A 35729PPB0 2794256.060000 PA USD 2558732.690000 0.200074 Long ABS-MBS CORP US N 2 2036-04-25 Floating 6.01043 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAD0 195507.860000 PA USD 52096.510000 0.0040736 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.69043 N N N N N N N/A N/A 000000000 1.000000 NC -72709.490000 -0.0056853 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 8135654.000000 GBP 10297744.730000 USD 2024-01-09 -72709.490000 N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7 N/A 232422AA3 3076570.120000 PA USD 2848982.690000 0.222769 Long ABS-MBS CORP US N 2 2046-04-25 Floating 5.73043 N N N N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1 N/A 004421WQ2 19440.450000 PA USD 19103.760000 0.0014938 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.07043 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A7 N/A 46629DBA2 7611.390000 PA USD 6479.070000 0.0005066 Long ABS-MBS CORP US N 3 2037-01-25 Floating 5.09921 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-3 N/A 68389FHU1 349955.780000 PA USD 334644.650000 0.0261667 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.23543 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-12 N/A 126673NX6 109948.240000 PA USD 108076.340000 0.0084508 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.97043 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 294860.350000 PA USD 218238.090000 0.0170646 Long ABS-MBS CORP US N 2 2036-01-26 Floating 4.80537 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-D N/A 43709LAQ0 242532.130000 PA USD 221615.670000 0.0173287 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.61043 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-2 N/A 02660XAD6 330054.470000 PA USD 296170.810000 0.0231583 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.85043 N N N N N N CASCADE FUNDING MORTGAGE TRUST 2019-RM3 N/A 147271AA8 645458.200000 PA USD 630565.160000 0.0493054 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 2.8 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341SF7 25268.850000 PA USD 22266.410000 0.0017411 Long ABS-MBS CORP US N 3 2035-09-25 Floating 5.47808 N N N N N N N/A N/A 000000000 1.000000 NC -193186.420000 -0.0151057 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 38007000.000000 EUR 41774322.250000 USD 2024-01-09 -193186.420000 N N N COUNTRYWIDE HOME LOANS 2004-7 N/A 12669FXJ7 358866.430000 PA USD 329492.650000 0.0257638 Long ABS-MBS CORP US N 3 2034-06-25 Floating 11.1369 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAE8 135916.110000 PA USD 67408.970000 0.0052709 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.70043 N N N N N N BANC OF AMERICA FUND CORP 2006-3 N/A 058931BH8 6072.670000 PA USD 5199.540000 0.0004066 Long ABS-MBS CORP US N 3 2036-03-25 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWER0 72187662.470000 PA USD 68305362.340000 5.34097 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4 N N N N N N FARM CREDIT BANK OF TEXAS V1EBJIOLRNYDHDF63Z33 30767EAD1 1700000.000000 NS USD 1612875.000000 0.126115 Long EP USGSE US N 2 N N N TBW MTGE BACKED P/T CERT 2007-2 N/A 872227AA1 2797276.710000 PA USD 860611.830000 0.0672934 Long ABS-MBS CORP US N 2 2037-07-25 Variable 5.9646 N N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 598862.560000 PA USD 490692.890000 0.0383685 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.3709 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-1 N/A 863579Q43 152849.610000 PA USD 122006.550000 0.00954 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.66871 N N N N N N GSAMP TRUST 2006-FM1 N/A 362334PK4 233948.640000 PA USD 148121.420000 0.011582 Long ABS-MBS CORP US N 2 2036-04-25 Floating 6.01043 N N N N N N N/A N/A 000000000 1.000000 NC USD 43889.350000 0.0034318 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2024-12-20 34701.760000 USD 0.000000 USD 7800000.000000 USD 9187.590000 N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-9 N/A 863579QX9 207225.070000 PA USD 145082.770000 0.0113444 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.4118 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAP6 5250000.000000 PA USD 5487198.620000 0.429058 Long DBT CORP US N 2 2028-10-25 Fixed 6.75 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-IM3 N/A 126670JD1 956256.610000 PA USD 940050.070000 0.0735048 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.97043 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A5CB N/A 76112FAF8 166020.570000 PA USD 70476.410000 0.0055107 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAL7 31847.970000 PA USD 28029.770000 0.0021917 Long ABS-MBS CORP US N 2 2046-09-20 Floating 4.50337 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AB0 4060299.810000 PA USD 2129219.190000 0.166489 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.75043 N N N N N N UMBS PASS THRU POOLS N/A 01F050619 108000000.000000 PA USD 106860938.040000 8.35572 Long ABS-MBS USGSE US N 2 2054-01-16 Fixed 5 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAF3 302065.480000 PA USD 211608.740000 0.0165462 Long ABS-MBS CORP US N 2 2046-07-25 Floating 5.85043 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-11 N/A 007036VE3 79375.020000 PA USD 51098.230000 0.0039955 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.61052 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC8 N/A 232434AA8 3598520.660000 PA USD 2983624.880000 0.233297 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.82043 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 ACI066P57 100000.000000 PA 121423.040000 0.0094944 Long DBT CORP GB N 2 2026-06-18 Fixed 3.375 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AR1 N/A 17310UAC6 1412191.640000 PA USD 1194169.730000 0.0933751 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.91043 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2005-3 N/A 004375DW8 10800.840000 PA USD 10739.620000 0.0008398 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.19043 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A1 N/A 59023MAT7 105307.740000 PA USD 30860.680000 0.0024131 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.79043 N N N N N N FNMA PASS THRU POOLS N/A 31385WXE4 8074.100000 PA USD 8009.480000 0.0006263 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 6.335 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GJ0 103329.310000 PA USD 96474.210000 0.0075436 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.5 N N N N N N MERX AVIATION FINANCE LLC 2018-1A N/A 56564RAA8 1748483.840000 PA USD 1569538.230000 0.122726 Long ABS-O CORP BM N 2 2043-05-15 Fixed 4.212 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2017-B N/A 83189DAD2 500000.000000 PA USD 463426.200000 0.0362364 Long ABS-O CORP US N 2 2041-12-16 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397C43 4500000.000000 PA USD 4611706.380000 0.360601 Long DBT CORP US N 2 2026-03-06 Fixed 6.95 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05578QAC7 14300000.000000 PA USD 14149351.930000 1.10637 Long DBT CORP FR N 2 2024-07-11 Fixed 4.625 N N N N N N MORGAN STANLEY DEAN WITT CAP I 2003-NC2 N/A 61746WA75 250345.060000 PA USD 252341.360000 0.0197312 Long ABS-MBS CORP US N 2 2033-02-25 Floating 6.82043 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XCD0 1100000.000000 PA USD 1138896.110000 0.0890531 Long DBT CORP US N 2 2033-07-15 Fixed 5.55 N N N N N N BDS 2022-FL12 LLC N/A 07336CAA1 3199969.750000 PA USD 3215419.200000 0.251422 Long ABS-MBS CORP US N 2 2038-08-19 Floating 7.49225 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR3 N/A 23332UDX9 3190.580000 PA USD 569.150000 0.0000445 Long ABS-MBS CORP US N 3 2045-07-19 Floating 6.11023 N N N N N N COUNTRYWIDE HOME LOANS 2007-10 N/A 12545CAB6 227163.670000 PA USD 101385.550000 0.0079276 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-16 N/A 12667GME0 67434.000000 PA USD 58763.510000 0.0045949 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.97043 N N N N N N N/A N/A 000000000 1.000000 NC USD 1699.070000 0.0001329 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2024-12-20 0.000000 USD -1762.000000 USD 200000.000000 USD 3461.070000 N N N CI FINANCIAL CORP 549300M9W7JJQSVCEM78 125491AP5 5000000.000000 PA USD 2940409.650000 0.229918 Long DBT CORP CA N 2 2051-06-15 Fixed 4.1 N N N N N N N/A N/A 000000000 -3100000.000000 NC USD -563.580000 -0.0000441 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.05000 01/17/24-10Y LCH 2034-01-17 0.000000 USD 0.000000 USD N/A USD N/A 4.050000 USD 2024-01-12 XXXX 13618.920000 N N N NEWCASTLE MTGE SECURITIES TRUST 2007-1 N/A 65106FAE2 4292000.000000 PA USD 3865551.170000 0.302257 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.81043 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2011-2 N/A 17318DAL6 14187.500000 PA USD 13563.300000 0.0010605 Long ABS-MBS CORP US N 3 2037-09-25 Floating 3.82572 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2004-11 N/A 41161PKF9 18022.640000 PA USD 16936.170000 0.0013243 Long ABS-MBS CORP US N 3 2035-01-19 Floating 6.15023 N N N N N N FREDDIE MAC 2396 N/A 31339LJW1 1930.740000 PA USD 1931.980000 0.0001511 Long ABS-MBS USGSE US N 2 2031-12-15 Floating 5.90292 N N N N N N MIDOCEAN CREDIT CLO VIII 2018-8A N/A 59801MAL2 3458342.550000 PA USD 3453460.200000 0.270035 Long ABS-CBDO CORP KY N 2 2031-02-20 Floating 6.67871 N N N N N N WMALT MTGE PASS-THRU CERT 2005-3 N/A 9393365A7 201483.130000 PA USD 162342.290000 0.0126939 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.5 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 1552490.700000 PA USD 1499006.310000 0.117211 Long ABS-MBS CORP US N 2 2051-07-25 Variable 1.7436 N N N N N N COMMUNITY PROGRAM LOAN TRUST-1987-A N/A 204012AE8 6296.320000 PA USD 6223.690000 0.0004866 Long ABS-MBS CORP US N 2 2029-04-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 204650.270000 0.0160021 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-16 0.000000 USD -63021.380000 USD 2000000.000000 USD 267671.650000 N N N WAVE TRUST 2019-1 N/A 94354KAA8 1771569.750000 PA USD 1488154.020000 0.116362 Long ABS-O CORP US N 2 2044-09-15 Fixed 3.597 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 303901BB7 4000000.000000 PA USD 3944497.720000 0.30843 Long DBT CORP CA N 2 2028-04-17 Fixed 4.85 N N N N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAB2 64152.510000 PA USD 60414.430000 0.004724 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.71043 N N N N N N BRUEGEL 2021 DAC 2021-1A N/A ACI1YPP29 5426159.410000 PA 5738620.710000 0.448717 Long ABS-MBS CORP IE N 2 2031-05-22 Floating 4.762 N N N N N N N/A N/A 000000000 1.000000 NC USD 73513.470000 0.0057482 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC SR UNSEC SMR Y Single Leg Swap 2026-12-20 51638.370000 USD 0.000000 USD 7000000.000000 USD 21875.100000 N N N STRUCTURED ASSET MTG INV INC 2003-AR2 N/A 86358HTY5 108383.290000 PA USD 102132.950000 0.007986 Long ABS-MBS CORP US N 3 2033-12-19 Floating 6.21023 N N N N N N INVESCO EURO CLO I DAC 1A N/A ACI1VT7W8 900000.000000 PA 977906.650000 0.0764649 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 4.615 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-4 N/A 75970HAD2 7350427.070000 PA USD 2589020.350000 0.202442 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.545 N N N N N N PARK PLACE SECURITIES INC 2005-WCW2 N/A 70069FLH8 72046.570000 PA USD 71021.590000 0.0055534 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.26543 N N N N N N SUNTRUST ADJR MRTG LN TR 2007-1 N/A 78473NAF0 81828.560000 PA USD 71233.130000 0.0055699 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.06817 N N N N N N CSMC 2021-NQM7 N/A 12662QAA4 8924471.920000 PA USD 7446473.170000 0.582258 Long ABS-MBS CORP US N 2 2066-10-25 Variable 1.756 N N N N N N N/A N/A 000000000 1.000000 NC USD 4843.930000 0.0003788 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2026-12-20 716.020000 USD 0.000000 USD 300000.000000 USD 4127.910000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-36 N/A 12667GZX4 109905.080000 PA USD 102259.680000 0.0079959 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.1375 N N N N N N FREMONT HOME LOAN TRUST 2006-2 N/A 35729PPY0 300000.000000 PA USD 255473.880000 0.0199761 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.01043 N N N N N N FHLMC PASS THRU POOLS N/A 31337NN38 13984.270000 PA USD 13794.200000 0.0010786 Long ABS-MBS USGSE US N 2 2032-01-01 Floating 6.375 N N N N N N AMERICAN AGCREDIT CORPORATION N/A 02369GAA3 6000000.000000 NS USD 5509751.400000 0.430821 Long EP CORP US N 2 N N N LEHMAN XS TRUST 2005-9N N/A 525221GM3 3932651.810000 PA USD 3479194.250000 0.272047 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.74043 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-22 N/A 12666BAA3 6861246.200000 PA USD 6005532.840000 0.469587 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.61043 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAC1 173801.650000 PA USD 111361.480000 0.0087076 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.67737 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-D N/A 59020UGF6 10308.200000 PA USD 9628.830000 0.0007529 Long ABS-MBS CORP US N 3 2029-09-25 Floating 6.13043 N N N N N N STRUCTURED ASSET INVEST LN TR 2004-BNC2 N/A 86358ENJ1 1138113.460000 PA USD 1097272.370000 0.0857984 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.74543 N N N N N N MORGAN STANLEY ABS CAPITAL-2006-HE6 N/A 61750FAE0 325483.680000 PA USD 115393.310000 0.0090229 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.77043 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-S8 N/A 74957XAQ8 97389.970000 PA USD 70447.740000 0.0055085 Long ABS-MBS CORP US N 3 2036-09-25 Fixed 6 N N N N N N VERTICAL BRIDGE HOLDINGS LLC 2020-2A N/A 92535VAF9 7000000.000000 PA USD 6567176.700000 0.513504 Long ABS-O CORP US N 2 2050-09-15 Fixed 2.636 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAJ2 67260.130000 PA USD 57361.960000 0.0044853 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.06313 N N N N N N LEHMAN ABS MTGE LN TR 2007-1 N/A 52521MAC6 123416.580000 PA USD 79335.930000 0.0062035 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.67043 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 6000000.000000 PA USD 5890743.000000 0.460612 Long DBT CORP GB N 2 2025-09-27 Floating 7.5 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2 N/A 24381WAA6 3158146.230000 PA USD 2711158.320000 0.211992 Long ABS-MBS CORP US N 2 2066-04-25 Variable 0.899 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC4 N/A 61744CRF5 164951.190000 PA USD 156377.520000 0.0122275 Long ABS-MBS CORP US N 2 2035-04-25 Floating 6.52043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-5 N/A 12668KAD5 561819.460000 PA USD 541132.370000 0.0423125 Long ABS-MBS CORP US N 2 2047-09-25 Floating 5.91043 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11 N/A 02151WAT9 457947.110000 PA USD 372377.910000 0.0291171 Long ABS-MBS CORP US N 2 2047-11-25 Floating 6.2618 N N N N N N GNMA PASS THRU POOLS N/A 36225CVD5 2823.020000 PA USD 2807.070000 0.0002195 Long ABS-MBS USGSE US N 2 2032-06-20 Floating 3.875 N N N N N N PENNSYLVANIA ECONOMIC DEVELOPMENT FINANCING AUTHORITY N/A 70869PFT9 600000.000000 PA USD 661722.840000 0.0517417 Long DBT MUN US N 2 2039-06-15 Fixed 6.532 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A12 N/A 76113XAC5 121172.320000 PA USD 43718.330000 0.0034184 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6 N N N N N N PARK PLACE SEC INC 2005-WHQ1 N/A 70069FGE1 222274.070000 PA USD 215636.500000 0.0168612 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.59543 N N N N N N STRUCTURED ASSET INVEST LN TR 2006-BNC3 N/A 86361KAC1 32527.730000 PA USD 31666.620000 0.0024761 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.62043 N N N N N N FREDDIE MAC-2177 N/A 3133TLPF9 3454.100000 PA USD 3456.490000 0.0002703 Long ABS-MBS USGSE US N 2 2029-08-15 Floating 5.90292 N N N N N N GREENPOINT MTGE FUNDING TR 2006-AR7 N/A 39538CAF9 188801.760000 PA USD 175303.680000 0.0137074 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.67043 N N N N N N NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A N/A 63939XAD3 500000.000000 PA USD 481754.350000 0.0376696 Long ABS-O CORP US N 2 2058-12-16 Fixed 3.91 N N N N N N COUNTRYWIDE HOME LOANS 2005-31 N/A 126694UT3 23713.470000 PA USD 21737.010000 0.0016997 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.00757 N N N N N N ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-HE1 N/A 04544RAD7 6300000.000000 PA USD 5581355.220000 0.43642 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.91043 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAF6 23139.100000 PA USD 20273.290000 0.0015852 Long ABS-MBS CORP US N 2 2038-01-19 Floating 5.85023 N N N N N N N/A N/A 000000000 1.000000 NC USD -99734.610000 -0.0077985 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-26 0.000000 USD 0.000000 USD 3200000.000000 USD -99734.610000 N N N AIR CANADA 4B4HI3CGXMBDC0G6BM51 008911BJ7 900000.000000 PA 629555.110000 0.0492265 Long DBT CORP CA N 2 2029-08-15 Fixed 4.625 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA11 N/A 74922XAA5 179453.790000 PA USD 177329.000000 0.0138658 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.81043 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2009-7 N/A 17315MAK1 108790.540000 PA USD 58464.660000 0.0045715 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.5 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX9 N/A 74924VAC3 267804.140000 PA USD 250221.000000 0.0195654 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.81043 N N N N N N INDYMAC INDB MTGE LOAN TRUST 2005-1 N/A 45660LYW3 122956.810000 PA USD 73999.550000 0.0057862 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.07043 N N N N N N MASTR ADJ RATE MTGE TRUST 2007-HF1 N/A 57645RAA9 87042.160000 PA USD 36793.040000 0.0028769 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.95043 N N N N N N CONSTELLATION INSURANCE INC 549300K609B872PZT291 67740QAH9 6300000.000000 PA USD 5977807.790000 0.46742 Long DBT CORP US N 2 2030-01-24 Variable 6.8 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2005-FF10 N/A 32027NWP2 98930.400000 PA USD 91396.500000 0.0071465 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.19043 N N N N N N INDYMAC IMSC MTGE LN TRUST 2007-HOA1 N/A 45670LAA5 183293.350000 PA USD 124950.010000 0.0097702 Long ABS-MBS CORP US N 2 2047-07-25 Floating 5.83043 N N N N N N GNMA PASS THRU POOLS N/A 36225CBP0 1861.380000 PA USD 1830.060000 0.0001431 Long ABS-MBS USGSE US N 2 2027-02-20 Floating 3.625 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2005-9 N/A 07387AEG6 148943.090000 PA USD 139954.210000 0.0109434 Long ABS-MBS CORP US N 2 2035-10-25 Floating 7.67 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-3 N/A 07387AAV7 859.280000 PA USD 785.540000 0.0000614 Long ABS-MBS CORP US N 3 2035-06-25 Floating 4.64701 N N N N N N BANK OF AMERICA MTGE SECS-2007-2 N/A 05952FAG8 68069.910000 PA USD 48368.780000 0.0037821 Long ABS-MBS CORP US N 3 2037-05-25 Fixed 5.5 N N N N N N MORGAN STANLEY MTGE LN TR 2007-13 N/A 61756HBN9 66933.950000 PA USD 36564.160000 0.002859 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 6 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAE3 169980.410000 PA USD 88809.600000 0.0069442 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.62043 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3 N/A 17307GWT1 384813.340000 PA USD 379805.380000 0.0296979 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.20543 N N N N N N FNMA PASS THRU POOLS N/A 31390YDG0 1125.280000 PA USD 1116.550000 0.0000873 Long ABS-MBS USGSE US N 2 2032-09-01 Floating 5.965 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-E N/A 59020UJP1 21854.790000 PA USD 19716.700000 0.0015417 Long ABS-MBS CORP US N 2 2029-11-25 Floating 6.13043 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1 N/A 78485WAA7 2785625.520000 PA USD 2756435.760000 0.215532 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 6.55629 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8 N/A 23245LAD2 375513.650000 PA USD 165301.000000 0.0129253 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36225CF50 729.560000 PA USD 716.750000 0.000056 Long ABS-MBS USGSE US N 2 2028-04-20 Floating 3.875 N N N N N N MAGNETITE CLO LTD 2023-39A N/A 559924AA3 11500000.000000 PA USD 11515477.160000 0.900424 Long ABS-CBDO CORP KY N 2 2033-10-25 Floating 6.93481 N N N N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AA2 76802.540000 PA USD 71593.380000 0.0055981 Long ABS-MBS CORP US N 2 2036-02-20 Floating 5.48991 N N N N N N COUNTRYWIDE HOME LOANS 2006-HYB3 N/A 1266944F2 82428.970000 PA USD 76892.960000 0.0060125 Long ABS-MBS CORP US N 2 2036-05-20 Floating 3.67316 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 586805.910000 PA USD 535792.640000 0.041895 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.79043 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2006-2 N/A 00437NAD4 2192144.870000 PA USD 2162669.510000 0.169104 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.73043 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWL4 4500000.000000 PA USD 4301593.520000 0.336352 Long DBT CORP US N 2 2028-06-05 Floating 3.691 N N N N N N JP MORGAN MORTGAGE TRUST-2004-A4 N/A 466247EA7 66111.010000 PA USD 61675.480000 0.0048226 Long ABS-MBS CORP US N 3 2034-09-25 Floating 5.48704 N N N N N N BX TRUST 2018-GW 2018-GW N/A 12433UAA3 4000000.000000 PA USD 3964478.400000 0.309992 Long ABS-MBS CORP US N 2 2035-05-15 Floating 6.45901 N N N N N N CIM TRUST 2023-R2 N/A 17181KAA8 17760010.530000 PA USD 17950751.270000 1.40361 Long ABS-MBS CORP US N 2 2064-08-25 Variable 5.5 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NV1 1195.480000 PA USD 1154.350000 0.0000903 Long ABS-MBS CORP US N 3 2035-04-25 Floating 6.14401 N N N N N N RENAISSANCE HOME EQUITY LOAN TRUST 2006-2 N/A 759676AH2 9184317.760000 PA USD 3979760.510000 0.311187 Long ABS-MBS CORP US N 2 2036-08-25 Variable 6.254 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 78052.360000 PA USD 47132.810000 0.0036854 Long ABS-MBS CORP US N 2 2036-01-19 Floating 5.97023 N N N N N N NLT 2021-INV2 TRUST N/A 62917JAA8 3817035.460000 PA USD 3153933.950000 0.246614 Long ABS-MBS CORP US N 2 2056-08-25 Variable 1.162 N N N N N N N/A N/A 000000000 1.000000 NC 40083.080000 0.0031342 N/A DFE AU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1018415.160000 USD 1553000.000000 AUD 2024-01-09 40083.080000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17308CC53 15000000.000000 PA USD 13367186.400000 1.04521 Long DBT CORP US N 2 2030-11-05 Floating 2.976 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 6492885.310000 PA USD 63156295.410000 4.93835 Long STIV RF US N 1 N N N ASSET BACKED SEC CORP HM EQ 2005-HE5 N/A 04541GSL7 77804.140000 PA USD 75542.920000 0.0059069 Long ABS-MBS CORP US N 2 2035-06-25 Floating 6.37043 N N N N N N MORGAN STANLEY HOME EQUITY LN 2006-3 N/A 61749GAC6 78740.280000 PA USD 56460.450000 0.0044148 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.79043 N N N N N N GNMA PASS THRU POOLS N/A 36202KS89 518.500000 PA USD 514.780000 0.0000403 Long ABS-MBS USGSE US N 2 2025-06-20 Floating 4 N N N N N N WELLS FARGO ALTERNATIVE LOAN 2007-PA4 N/A 94984UAE6 21361.830000 PA USD 19244.720000 0.0015048 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.33196 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH7 N/A 75115LAA5 134704.620000 PA USD 122515.910000 0.0095798 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.97043 N N N N N N BEAR STEARNS ABS SEC INC 2004-HE2 N/A 07384YQY5 1706425.210000 PA USD 1696882.370000 0.132683 Long ABS-MBS CORP US N 2 2034-03-25 Floating 6.37043 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-4 N/A 02660LAB6 348094.750000 PA USD 184830.620000 0.0144524 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.68043 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBC6 1500000.000000 PA USD 1373283.210000 0.10738 Long DBT CORP US N 2 2032-03-15 Fixed 4.279 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AE8 923417.620000 PA USD 525759.270000 0.0411104 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.62043 N N N N N N AGL CLO 6 LTD 2020-6A N/A 00119VAN9 4300000.000000 PA USD 4299119.320000 0.336159 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 6.87743 N N N N N N PEOPLE'S FINANCE REALTY MTGE SEC 2006-1 N/A 71103XAS3 348088.800000 PA USD 89351.990000 0.0069867 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.61043 N N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-4A N/A 16678RCC9 543371.670000 PA USD 500377.550000 0.0391258 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.70043 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 215841.730000 PA USD 190706.870000 0.0149118 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.52308 N N N N N N STRUCTURED ASSET INVST LN TR 20060BNC1 N/A 86358EC87 95206.340000 PA USD 92569.820000 0.0072383 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.85043 N N N N N N MASTR ASSET BACKED SEC TR 2006-HE2 N/A 57644UAF2 124813.950000 PA USD 45608.650000 0.0035663 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.95043 N N N N N N GNMA PASS THRU POOLS N/A 36225CBL9 2512.360000 PA USD 2466.740000 0.0001929 Long ABS-MBS USGSE US N 2 2027-02-20 Floating 3.625 N N N N N N COUNTRYWIDE HOME LOANS 2005-R1 N/A 12669GXE6 30810.550000 PA USD 29561.880000 0.0023115 Long ABS-MBS CORP US N 3 2035-03-25 Fixed 6 N N N N N N GCT COMMERCIAL MORTGAGE TRUST 2021-GCT N/A 36167RAA1 5120000.000000 PA USD 3850748.420000 0.3011 Long ABS-MBS CORP US N 2 2038-02-15 Floating 6.27648 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 65210.480000 PA USD 61287.430000 0.0047922 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.83576 N N N N N N MORGAN STANLEY RE-REMIC TRUST 2010-R4 N/A 61759FAU5 97051.290000 PA USD 84569.770000 0.0066127 Long ABS-MBS CORP US N 2 2037-02-26 Floating 2.278 N N N N N N LEHMAN XS TRUST 2007-9 N/A 52524MAT6 1571.230000 PA USD 7914.540000 0.0006189 Long ABS-MBS CORP US N 3 2037-04-25 Floating 5.62043 N N N N N N EMCM MORTGAGE LOAN TRUST 2001-A N/A 268668AA8 6150.920000 PA USD 6064.090000 0.0004742 Long ABS-MBS CORP US N 2 2040-05-25 Floating 6.21043 N N N N N N ALT-2 STRUCTURED TRUST N/A 937CJTII1 8312233.560000 PA USD 7481010.200000 0.584959 Long LON CORP US N 3 2031-05-13 Fixed 2.95 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC N/A 465981AA6 3200000.000000 PA USD 3285482.880000 0.2569 Long ABS-MBS CORP US N 2 2040-10-05 Fixed 7.23547 N N N N N N CENDANT MORTGAGE CORP 2003-A N/A 151314FP1 8108.360000 PA USD 7615.920000 0.0005955 Long ABS-MBS CORP US N 3 2043-07-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -80.370000 -0.0000063 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2509229.380000 INR 29993.000000 USD 2024-03-20 -80.370000 N N N WELLS FARGO HOME EQUITY TRUST 2006-1 N/A 9497EUAK3 80768.120000 PA USD 80525.860000 0.0062965 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.96543 N N N N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5 N/A 69121PBU6 121693.050000 PA USD 115516.960000 0.0090326 Long ABS-MBS CORP US N 2 2036-10-25 Floating 6.37043 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 1600000.000000 PA USD 1377140.340000 0.107682 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J3 N/A 17025QAK3 49103.550000 PA USD 21214.980000 0.0016589 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2006-21 N/A 12543PAB9 78504.910000 PA USD 37323.350000 0.0029184 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAC1 140226.120000 PA USD 54084.360000 0.004229 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.69043 N N N N N N N/A N/A 000000000 -3200000.000000 NC USD -8611.840000 -0.0006734 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.20500 01/24/24-10Y LCH 2034-01-24 0.000000 USD 0.000000 USD N/A USD N/A 3.210000 USD 2024-01-22 XXXX 4508.160000 N N N STRUCTURED ASSET INVEST LN TRUST-2005-11 N/A 86358EZP4 76903.480000 PA USD 74764.210000 0.005846 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.07043 N N N N N N N/A N/A 000000000 -6200000.000000 NC USD -20053.900000 -0.0015681 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.66500 01/24/24-10Y LCH 2034-01-24 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2024-01-22 XXXX 5056.100000 N N N GSAMP TRUST 2004-WF N/A 36242DKL6 12172.030000 PA USD 11854.900000 0.000927 Long ABS-MBS CORP US N 3 2034-10-25 Floating 7.12043 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH5 N/A 46631KAE5 13570.340000 PA USD 13547.090000 0.0010593 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.73043 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2A0 600000.000000 PA USD 571916.650000 0.0447196 Long DBT CORP US N 2 2028-05-22 Floating 3.584 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-3 N/A 07384YLS3 628635.870000 PA USD 631094.840000 0.0493469 Long ABS-MBS CORP US N 2 2043-06-25 Floating 6.65043 N N N N N N WAMU MTGE P/T CERT 2007-HY2 N/A 92926UAA9 628983.730000 PA USD 557156.870000 0.0435655 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.91844 N N N N N N GNMA PASS THRU POOLS N/A 36225CFL5 1653.330000 PA USD 1608.540000 0.0001258 Long ABS-MBS USGSE US N 2 2028-02-20 Floating 3.625 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAD7 209460.120000 PA USD 95184.690000 0.0074427 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.62043 N N N N N N GS MORTGAGE SECURITIES TRUST 2016-GS3 N/A 36251PBD5 5000000.000000 PA USD 4309569.000000 0.336976 Long ABS-MBS CORP US N 2 2049-10-10 Fixed 3.60172 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE2 N/A 784208AD2 27727532.990000 PA USD 6030658.020000 0.471552 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.79043 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 62.000000 NS USD 1539.650000 0.0001204 Long EC CORP LU N 3 N N N APOLLO AVIATION SECURITIZATION EQUITY TRUST 2018-1A N/A 000367AA0 1227445.010000 PA USD 828532.260000 0.064785 Long ABS-O CORP US N 2 2038-01-16 Fixed 3.844 N N N N N N LUMINENT MORTGAGE TRUST 2006-6 N/A 55027YAD0 100743.710000 PA USD 88385.660000 0.0069111 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.87043 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL1 N/A 542514LL6 310897.590000 PA USD 299961.890000 0.0234548 Long ABS-MBS CORP US N 2 2035-06-25 Floating 6.52043 N N N N N N PARK PLACE SECURITIES INC 2004-WWF1 N/A 70069FDN4 4078898.880000 PA USD 4022012.110000 0.314491 Long ABS-MBS CORP US N 2 2034-12-25 Floating 7.27043 N N N N N N GNMA PASS THRU POOLS N/A 36202KWG6 371.990000 PA USD 365.090000 0.0000285 Long ABS-MBS USGSE US N 2 2025-11-20 Floating 2.75 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAB8 70567.290000 PA USD 30437.470000 0.00238 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.54043 N N N N N N WAMU MTGE P/T CERT 2007-OA5 N/A 93364BAB6 32142.930000 PA USD 22660.070000 0.0017718 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.7618 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OC10 N/A 23245FAC7 27130.920000 PA USD 31589.210000 0.00247 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.83043 N N N N N N WASHINGTON MUTUAL MTGE 2003-AR8 N/A 92922FAS7 92242.410000 PA USD 85726.940000 0.0067032 Long ABS-MBS CORP US N 3 2033-08-25 Floating 5.58354 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAD0 453053.710000 PA USD 224699.600000 0.0175698 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.62043 N N N N N N BEAR STEARNS ALT-A TRUST 2006-R1 N/A 073866BN4 225376.530000 PA USD 154833.090000 0.0121068 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.17038 N N N N N N ODEBRECHT OIL & GAS FINANCE LIMITED N/A 67576JAB7 46000.000000 PA USD 1581.250000 0.0001236 Long DBT CORP KY N 2 2024-02-05 None 0 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2005-10 N/A 17307GT57 64353.310000 PA USD 41296.160000 0.003229 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.93722 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 4700000.000000 PA USD 4667057.700000 0.364929 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-6 N/A 17312VAE8 75963.290000 PA USD 67726.310000 0.0052957 Long ABS-MBS CORP US N 2 2046-10-25 Floating 3.77186 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 8150.910000 PA USD 7512.750000 0.0005874 Long ABS-MBS CORP US N 2 2042-11-25 Floating 6.2118 N N N N N N WELLS FARGO HOME EQUITY ABS SER 2004-1 N/A 86359BMW8 89624.750000 PA USD 86966.070000 0.0068001 Long ABS-MBS CORP US N 2 2034-04-25 Floating 6.07043 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-3 N/A 073881AA2 87996.040000 PA USD 78933.280000 0.006172 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.87743 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2005-SA1 N/A 76111XTC7 760133.460000 PA USD 452665.100000 0.035395 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.54917 N N N N N N AMERICAN AIRLINES 2019-1 CLASS A PASS THROUGH TRUST N/A 02378MAA9 486085.140000 PA USD 414565.440000 0.0324159 Long DBT CORP US N 2 2033-08-15 Fixed 3.5 N N N N N N WACHOVIA MORTGAGE LN TRUST LLC 2005-B N/A 92977YBR1 9875.790000 PA USD 9366.980000 0.0007324 Long ABS-MBS CORP US N 2 2035-10-20 Floating 6.1823 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8 N/A 02147CAF0 32215.560000 PA USD 31769.270000 0.0024841 Long ABS-MBS CORP US N 2 2046-07-25 Floating 5.85043 N N N N N N N/A N/A 000000000 1.000000 NC USD 107676.640000 0.0084195 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 LENNAR CORPORATION LENNAR CORP SR UNSEC Y Single Leg Swap 2025-12-20 108140.460000 USD 0.000000 USD 1200000.000000 USD -463.820000 N N N GNMA PASS THRU POOLS N/A 36225CFJ0 3688.300000 PA USD 3592.600000 0.0002809 Long ABS-MBS USGSE US N 2 2028-02-20 Floating 3.625 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB N/A 02149HAN0 82836.740000 PA USD 45613.720000 0.0035666 Long ABS-MBS CORP US N 2 2037-03-25 Floating 6.45729 N N N N N N BLUE OWL CAPITAL CORPORATION 2549000BD79OOCPF2L94 69121KAG9 9700000.000000 PA USD 8524236.520000 0.666531 Long DBT CORP US N 2 2028-06-11 Fixed 2.875 N N N N N N N/A N/A 000000000 -6300000.000000 NC USD -19976.040000 -0.001562 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.23500 01/24/24-10Y LCH 2034-01-24 0.000000 USD 0.000000 USD N/A USD N/A 3.230000 USD 2024-01-22 XXXX 5853.960000 N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GKH3 185597.680000 PA USD 158019.570000 0.0123559 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.21043 N N N N N N SLM STUDENT LOAN TRUST 2010-C N/A 78445QAE1 1783261.780000 PA USD 1877485.770000 0.146805 Long ABS-O CORP US N 2 2041-10-15 Floating 10.2263 N N N N N N GNMA PASS THRU POOLS N/A 36225CKN5 2659.620000 PA USD 2601.340000 0.0002034 Long ABS-MBS USGSE US N 2 2029-07-20 Floating 3.625 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 34341.740000 PA USD 31145.620000 0.0024354 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.76451 N N N N N N RAAC SERIES 2005-SP2 N/A 76112BF54 23648.790000 PA USD 19905.790000 0.0015565 Long ABS-MBS CORP US N 2 2044-06-25 Floating 6.07043 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR15 N/A 45660LVM8 49686.360000 PA USD 40474.490000 0.0031648 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.76699 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBU3 3600000.000000 PA USD 3701521.660000 0.289431 Long DBT CORP US N 2 2030-01-03 Floating 6.848 N N N N N N ARGENT SECURITIES INC. 2006-W2 N/A 040104RV5 275571.480000 PA USD 147473.510000 0.0115313 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.85043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1 N/A 02146VAC6 54879.250000 PA USD 41544.770000 0.0032485 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6.25 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AC5 1399669.570000 PA USD 971260.250000 0.0759452 Long ABS-MBS CORP US N 2 2037-06-27 Floating 5.95737 N N N N N N N/A N/A 000000000 -3100000.000000 NC USD -57296.060000 -0.0044801 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.68400 01/03/24-10Y LCH 2034-01-03 0.000000 USD 0.000000 USD N/A USD N/A 3.680000 USD 2023-12-29 XXXX -43113.560000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QA4 N/A 74923YAB0 51558.020000 PA USD 45368.920000 0.0035475 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.89043 N N N N N N AMORTIZING RESIDENTIAL COLLATERAL TRUST 2004-1 N/A 031733AE8 81177.070000 PA USD 79941.980000 0.0062509 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.47043 N N N N N N BANK OF AMERICA MTGE SECURITIES 2005-D N/A 05949A4R8 199203.090000 PA USD 176091.830000 0.0137691 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.39738 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-1 N/A 126671Z41 137.960000 PA USD 139.750000 0.0000109 Long ABS-MBS CORP US N 3 2034-02-25 Floating 6.44543 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QA2 N/A 761118TR9 92374.740000 PA USD 78541.830000 0.0061414 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.36524 N N N N N N SABRA HEALTH CARE LP 549300OVKLRFSIQG0H81 78572XAG6 4600000.000000 PA USD 4143579.630000 0.323997 Long DBT CORP US N 2 2029-10-15 Fixed 3.9 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WX3 83633.590000 PA USD 45341.330000 0.0035454 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.71453 N N N N N N SYMPHONY CLO 30 LTD 2023-39A N/A 87169TAA8 12500000.000000 PA USD 12515398.750000 0.97861 Long ABS-CBDO CORP BM N 2 2034-04-25 Floating 7.00193 N N N N N N CARRINGTON MTGE LOAN TRUST 2007-FRE1 N/A 144527AC2 3680208.450000 PA USD 3392178.780000 0.265243 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.73043 N N N N N N LEHMAN ABS MTGE LN TR 2007-1 N/A 52521MAB8 153225.890000 PA USD 97931.390000 0.0076575 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.56043 N N N N N N N/A N/A 000000000 1.000000 NC -11388.290000 -0.0008905 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1818740.000000 GBP 2306945.290000 USD 2024-01-09 -11388.290000 N N N INDYMAC INDX MORTGAGE LOAN TR 2004-AR4 N/A 45660LEG0 26094.460000 PA USD 24845.300000 0.0019427 Long ABS-MBS CORP US N 3 2035-03-25 Floating 6.03043 N N N N N N CSMC TRUST 2017 N/A 12652FAA0 1200000.000000 PA USD 990600.120000 0.0774575 Long ABS-MBS CORP US N 2 2032-11-10 Fixed 3.43134 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG907 1000000.000000 PA USD 120000.000000 0.0093831 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N TESCO PROPERTY FIN 4 PLC 213800UCE6O94DGHWT77 B3LSHBII8 640125.150000 PA 835171.220000 0.0653041 Long DBT CORP GB N 2 2040-10-13 Fixed 5.8006 N N N N N N N/A N/A 000000000 -5600000.000000 NC USD -36532.160000 -0.0028565 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.47500 01/10/24-10Y LCH 2034-01-10 0.000000 USD 0.000000 USD N/A USD N/A 3.480000 USD 2024-01-08 XXXX -10212.160000 N N N COMM MORTGAGE TRUST 2020-CBM N/A 20049AAA6 450000.000000 PA USD 429092.240000 0.0335518 Long ABS-MBS CORP US N 2 2037-02-10 Variable 2.24024 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A4 N/A 46631JAN8 62121.730000 PA USD 47368.090000 0.0037038 Long ABS-MBS CORP US N 3 2037-06-25 Floating 4.35418 N N N N N N COMM MORTGAGE TRUST 2016-787S N/A 12635WAA5 1667000.000000 PA USD 1556903.650000 0.121738 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 3.545 N N N N N N LIBERTY MUTUAL GROUP INC QUR0DG15Z6FFGYCHH861 53079EBL7 4000000.000000 PA USD 2635558.400000 0.206081 Long DBT CORP US N 2 2061-02-01 Fixed 4.3 N N N N N N GNMA PASS THRU POOLS N/A 36225CB54 441.110000 PA USD 435.770000 0.0000341 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 3.875 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-SHL1 N/A 17312WAA4 87757.630000 PA USD 84963.630000 0.0066435 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.87043 N N N N N N PRPM-2022-1 N/A 693582AA6 2280165.770000 PA USD 2206080.450000 0.172499 Long ABS-MBS CORP US N 2 2027-02-25 Fixed 3.72 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-OPT4 N/A 17307GUX4 1000000.000000 PA USD 818633.800000 0.064011 Long ABS-MBS CORP US N 2 2035-07-25 Floating 7.15043 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-1 N/A 126673XC1 239266.740000 PA USD 237603.980000 0.0185788 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.56543 N N N N N N BANK OF AMERICA MTGE SEC 2005-F N/A 05949CCA2 5951.070000 PA USD 5528.890000 0.0004323 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.2174 N N N N N N GSAMP TRUST 2007-FM2 N/A 3622MHAC0 2079902.830000 PA USD 1199258.870000 0.093773 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.56043 N N N N N N CSMC TRUST 2021-RPL4 N/A 12662GAC2 3215301.070000 PA USD 3133371.340000 0.245006 Long ABS-MBS CORP US N 2 2060-12-27 Fixed 1.79561 N N N N N N TOWD POINT MORTGAGE TRUST 2019-3 N/A 89177LAM5 6168913.840000 PA USD 5963798.690000 0.466324 Long ABS-MBS CORP US N 2 2059-02-25 Variable 3.75 N N N N N N GREENPOINT MTGE FUNDING TR 2007-AR2 N/A 39539LAH4 1611864.040000 PA USD 1513364.480000 0.118334 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.87043 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL3 N/A 542514PR9 24169.110000 PA USD 24061.460000 0.0018814 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.11543 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2004-R1 N/A 62951MAB6 276662.390000 PA USD 248772.000000 0.0194521 Long ABS-MBS CORP US N 2 2034-03-25 Fixed 7.5 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO3 N/A 761118KU1 55488.400000 PA USD 44915.810000 0.0035121 Long ABS-MBS CORP US N 3 2045-10-25 Floating 6.27043 N N N N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAG1 4196949.310000 PA USD 3665907.220000 0.286646 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAE6 96984.860000 PA USD 46293.230000 0.0036198 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.80043 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAR2 243000.000000 PA USD 215507.250000 0.016851 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-10 N/A 23246BAK7 156226.220000 PA USD 149502.010000 0.0116899 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.72043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2 N/A 12668AKQ7 71466.110000 PA USD 43568.670000 0.0034067 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1038164.770000 0.0811767 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SR UNSEC Y Single Leg Swap 2028-06-20 898449.440000 USD 0.000000 USD 7000000.000000 USD 139715.330000 N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAA2 145302.840000 PA USD 34122.280000 0.0026681 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.532 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2003-B N/A 64352VES6 833162.130000 PA USD 812907.290000 0.0635632 Long ABS-MBS CORP US N 2 2033-10-25 Floating 6.44543 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAA3 42408.730000 PA USD 40407.450000 0.0031596 Long ABS-MBS CORP US N 3 2035-07-25 Floating 5.66894 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB6 N/A 126694BS6 2037.170000 PA USD 1881.050000 0.0001471 Long ABS-MBS CORP US N 3 2035-10-20 Floating 3.70059 N N N N N N N/A N/A 000000000 1.000000 NC USD 5448.650000 0.000426 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 SOUTHWEST AIRLINES CO SOUTHWEST AIRLINES CO SR UNSEC Y Single Leg Swap 2026-12-20 1441.990000 USD 0.000000 USD 500000.000000 USD 4006.660000 N N N N/A N/A 000000000 1.000000 NC 31.480000 0.0000025 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 936.220000 USD 16505.980000 MXN 2024-01-31 31.480000 N N N N/A N/A 000000000 1.000000 NC USD 3442.560000 0.0002692 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-06-20 3278.670000 USD 0.000000 USD 200000.000000 USD 163.890000 N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN41 18606.380000 PA USD 16918.250000 0.0013229 Long ABS-MBS CORP US N 2 2034-08-25 Floating 6.08352 N N N N N N FLEX INTERMEDIATE HOLDCO LLC 549300290TQIGM30A243 33939HAB5 2800000.000000 PA USD 2048126.980000 0.160148 Long DBT CORP US N 2 2039-12-30 Fixed 4.317 N N N N N N LCM XV LP 15A N/A 50184NAR3 7509084.250000 PA USD 7496786.620000 0.586192 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.67743 N N N N N N N/A N/A 000000000 1.000000 NC USD 1686.020000 0.0001318 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2028-12-20 0.000000 USD -3165.880000 USD 300000.000000 USD 4851.900000 N N N FNMA PASS THRU POOLS N/A 31391GYZ3 4472.900000 PA USD 4443.460000 0.0003474 Long ABS-MBS USGSE US N 2 2032-11-01 Floating 5.973 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR6 N/A 86359LEW5 59286.670000 PA USD 54436.010000 0.0042565 Long ABS-MBS CORP US N 2 2035-02-19 Floating 6.17023 N N N N N N FNMA PASS THRU POOLS N/A 31371PB66 785.620000 PA USD 805.370000 0.000063 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 6.5 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 1418.000000 NS USD 35213.190000 0.0027534 Long EC CORP LU Y 3 N N N N/A N/A 000000000 1.000000 NC -58.890000 -0.0000046 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2488329.930000 INR 29764.000000 USD 2024-03-20 -58.890000 N N N COUNTRYWIDE ASSET-BACKED CERT 2006-17 N/A 12666VAC5 51910.290000 PA USD 50569.300000 0.0039541 Long ABS-MBS CORP US N 2 2047-03-25 Floating 5.77043 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBS0 3100000.000000 PA USD 3276978.230000 0.256235 Long DBT CORP FR N 2 2034-01-10 Floating 6.691 N N N N N N LEHMAN XS TRUST 2006-16N N/A 52522DAM3 8266249.160000 PA USD 7120821.470000 0.556795 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.85043 N N N N N N RAAC SERIES 2007-RP4 N/A 74919LAD0 303892.070000 PA USD 284668.370000 0.0222589 Long ABS-MBS CORP US N 2 2046-11-25 Floating 6.17043 N N N N N N GNMA PASS THRU POOLS N/A 36202KXJ9 423.470000 PA USD 415.460000 0.0000325 Long ABS-MBS USGSE US N 2 2026-01-20 Floating 3.625 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AE2 1103148.990000 PA USD 514477.360000 0.0402283 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.69043 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAS0 11087063.960000 PA USD 9570169.570000 0.748315 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.64043 N N N N N N TESCO PROPERTY FINANCE 3 PLC 213800HCQGDQGFP75D78 G8765XAA6 405204.910000 PA 522418.990000 0.0408492 Long DBT CORP GB N 2 2040-04-13 Fixed 5.744 N N N N N N GNMA PASS THRU POOLS N/A 21H022614 350900000.000000 PA USD 307010964.940000 24.0059 Long ABS-MBS USGSE US N 2 2054-01-22 Fixed 2.5 N N N N N N RESIDENTIAL ASSET SEC CORP 2004-KS11 N/A 76110WJ31 3669.830000 PA USD 3649.870000 0.0002854 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.31043 N N N N N N VIBRANT CLO VII LTD N/A 92558BAJ7 8230667.400000 PA USD 8214615.870000 0.642321 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 6.71743 N N N N N N N/A N/A 000000000 1.000000 NC USD 185380.510000 0.0144954 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-12 0.000000 USD -80040.640000 USD 2000000.000000 USD 265421.150000 N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAG1 512509.650000 PA USD 186053.710000 0.014548 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.812 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2006-6 N/A 059487AE8 69009.750000 PA USD 58347.640000 0.0045623 Long ABS-MBS CORP US N 2 2046-07-25 Fixed 6 N N N N N N FIRST NLC TRUST 2007-1 N/A 32115BAA8 42529.980000 PA USD 21131.930000 0.0016524 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.54043 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS11 N/A 76110W7E0 41119.680000 PA USD 40903.970000 0.0031984 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.10043 N N N N N N FIRST FRANKLIN MTG LOAN 2004-FF11 N/A 32027NNA5 66015.340000 PA USD 65780.330000 0.0051435 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.67043 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL1 LLC N/A 741389AA8 1237590.860000 PA USD 1243823.240000 0.0972576 Long ABS-MBS CORP US N 2 2060-09-27 Fixed 2.2395 N N N N N N VERUS SECURITIZATION TRUST 2021-8 N/A 92538GAA0 3734147.680000 PA USD 3245568.060000 0.253779 Long ABS-MBS CORP US N 2 2066-11-25 Variable 1.824 N N N N N N COUNTRYWIDE HOME LOANS 2004-29 N/A 12669GHY0 6387.580000 PA USD 5741.220000 0.0004489 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.01043 N N N N N N RESIDENTIAL ASSET SEC CORP 2007-KS3 N/A 74924YAD5 1162313.660000 PA USD 1099116.570000 0.0859426 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.81043 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR4 N/A 86364MAD2 34514.340000 PA USD 30962.280000 0.002421 Long ABS-MBS CORP US N 2 2047-09-25 Floating 5.83043 N N N N N N N/A N/A 000000000 1.000000 NC USD 1699.070000 0.0001329 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2024-12-20 0.000000 USD -1664.680000 USD 200000.000000 USD 3363.750000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB N/A 12668BFL2 45146.830000 PA USD 26481.240000 0.0020706 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.5 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 3100000.000000 PA USD 3046152.970000 0.238186 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N N/A N/A 000000000 -3000000.000000 NC USD -15342.000000 -0.0011996 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62000 01/31/24-10Y LCH 2034-01-31 0.000000 USD 0.000000 USD N/A USD N/A 3.620000 USD 2024-01-29 XXXX -2367.000000 N N N EUROSAIL PLC 2007-3X N/A B23DWGII5 276072.320000 PA 349889.820000 0.0273587 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 6.26451 N N N N N N ACE SECURITIES CORP 2006-NC1 N/A 004421UU5 1852087.840000 PA USD 1709322.610000 0.133656 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.08543 N N N N N N N/A N/A 000000000 -1900000.000000 NC USD -3828.880000 -0.0002994 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.73800 01/23/24-10Y LCH 2034-01-23 0.000000 USD 0.000000 USD N/A USD N/A 3.740000 USD 2024-01-19 XXXX 4103.620000 N N N LEHMAN MORTGAGE TRUST 2005-3 N/A 52520MEK5 44591.220000 PA USD 41093.180000 0.0032132 Long ABS-MBS CORP US N 2 2036-01-25 Variable 5.03198 N N N N N N N/A N/A 000000000 -6500000.000000 NC USD -1.300000 -0.0000001 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.12000 01/08/24-10Y LCH 2034-01-08 0.000000 USD 0.000000 USD N/A USD N/A 4.120000 USD 2024-01-04 XXXX 30548.700000 N N N SEC ASSET BACKED REC LLC 2006-NC1 N/A 81375HAC3 105306.780000 PA USD 94306.090000 0.007374 Long ABS-MBS CORP US N 2 2036-03-25 Floating 6.01043 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5 N/A 81375WFU5 107814.190000 PA USD 86123.420000 0.0067342 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.13043 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAR2 21027.620000 PA USD 20185.350000 0.0015783 Long ABS-MBS CORP US N 2 2036-06-25 Floating 6.78983 N N N N N N GNMA PASS THRU POOLS N/A 36225CG75 6208.210000 PA USD 6050.640000 0.0004731 Long ABS-MBS USGSE US N 2 2028-08-20 Floating 3.625 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB N/A 02150EAN3 58420.420000 PA USD 32610.000000 0.0025499 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N ARGENT SECURITIES INC 2005-W5 N/A 040104QP9 2880315.150000 PA USD 2554493.040000 0.199742 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.11043 N N N N N N STRUCTURED ASSET SECURITIES CO-2006-BC2 N/A 86361GAC0 42930.120000 PA USD 40684.990000 0.0031813 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.62043 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC6 N/A 86358ECL8 19719.560000 PA USD 19743.800000 0.0015438 Long ABS-MBS CORP US N 2 2033-07-25 Floating 6.59543 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W43B2 10047846.720000 PA 10931009.630000 0.854723 Long ABS-CBDO CORP IE N 2 2033-04-15 Floating 4.625 N N N N N N BANC OF AMERICA MORTGAGE SECURITIES 2005 N/A 05949CGX8 152445.300000 PA USD 129037.150000 0.0100897 Long ABS-MBS CORP US N 3 2035-09-25 Fixed 5.5 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 ACI12HZ39 100000.000000 PA 102131.950000 0.0079859 Long DBT CORP GB N 2 2028-05-09 Fixed 1.625 N N N N N N N/A N/A 000000000 -4000000.000000 NC USD -29682.800000 -0.002321 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.49400 01/10/24-10Y LCH 2034-01-10 0.000000 USD 0.000000 USD N/A USD N/A 3.490000 USD 2024-01-08 XXXX -11332.800000 N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA N/A 63942TAC9 2200000.000000 PA USD 2312733.940000 0.180838 Long ABS-O CORP US N 2 2072-03-15 Fixed 7.23 N N N N N N STRUCTURED ASSET SEC CORP 2006-EQ1A N/A 86360RAA1 856567.260000 PA USD 851101.250000 0.0665497 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.60543 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 29680.570000 PA USD 26996.260000 0.0021109 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.43043 N N N N N N BACARDI LIMITED 549300R32WTQNHNN5055 067316AF6 1000000.000000 PA USD 980706.660000 0.0766839 Long DBT CORP BM N 2 2028-05-15 Fixed 4.7 N N N N N N N/A N/A 000000000 1.000000 NC USD 926.790000 0.0000725 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2028-06-20 0.000000 USD -1933.970000 USD 100000.000000 USD 2860.760000 N N N COUNTRYWIDE ASSET-BACKED CERT 2006-14 N/A 23243LAA0 5652844.980000 PA USD 5304698.130000 0.414787 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.75043 N N N N N N READY CAPITAL MORTGAGE FINANCING 2022-FL10 LLC N/A 755931AA0 4771344.530000 PA USD 4811635.190000 0.376234 Long ABS-MBS CORP US N 2 2039-10-25 Floating 7.90795 N N N N N N RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2006-RS5 N/A 75156YAD1 71104.850000 PA USD 68350.280000 0.0053445 Long ABS-MBS CORP US N 2 2036-09-25 Floating 6.03043 N N N N N N FREDDIE MAC-1671 N/A 3133T37B8 2135.450000 PA USD 2134.850000 0.0001669 Long ABS-MBS USGSE US N 2 2024-02-15 Floating 6.10292 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-15 N/A 126670MH8 781724.040000 PA USD 760872.250000 0.0594945 Long ABS-MBS CORP US N 2 2036-03-25 Floating 6.14543 N N N N N N GSAMP TRUST 2006-FM3 N/A 36245TAD7 393489.280000 PA USD 186980.600000 0.0146205 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.67043 N N N N N N MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY R6ZXK5P01NP6HXSY1S07 575767AM0 4500000.000000 PA USD 4114372.050000 0.321713 Long DBT CORP US N 2 2069-02-15 Floating 5.077 N N N N N N COUNTRYWIDE HOME LOANS 2005-29 N/A 126694TD0 59153.440000 PA USD 29373.070000 0.0022968 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.75 N N N N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAA0 8955998.050000 PA USD 7123805.940000 0.557028 Long ABS-MBS CORP US N 2 2047-07-25 Floating 5.8218 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB1 N/A 81375WHH2 42073.130000 PA USD 34608.410000 0.0027061 Long ABS-MBS CORP US N 2 2036-01-25 Variable 5.736 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-EMX5 N/A 76110W7R1 95783.650000 PA USD 85405.410000 0.0066781 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.13043 N N N N N N RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2006-RS3 N/A 75156VAD7 612453.580000 PA USD 533678.210000 0.0417296 Long ABS-MBS CORP US N 2 2036-05-25 Floating 6.07043 N N N N N N N/A N/A 000000000 2970000.000000 PA USD 2970000.000000 0.232232 Long RA US N 2 Repurchase N 2.600000 2024-01-02 3262300.000000 USD 3029428.670000 USD UST N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2E1 36166.180000 PA USD 34390.170000 0.0026891 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.69511 N N N N N N SECURITIZED ASSET BACKED REC 2006-HE1 N/A 81376YAE1 627310.140000 PA USD 217292.450000 0.0169906 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.95043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AE1 74687.180000 PA USD 74206.690000 0.0058024 Long ABS-MBS CORP US N 2 2047-08-25 Floating 6.27043 N N N N N N NOMURA RESECURITIZATION TRUST 2010-5RA N/A 65539GBU0 4330199.780000 PA USD 1876665.720000 0.146741 Long ABS-MBS CORP US N 2 2037-10-26 Fixed 6.5 N N N N N N N/A N/A 000000000 -3200000.000000 NC USD -10915.520000 -0.0008535 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65500 01/24/24-10Y LCH 2034-01-24 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2024-01-22 XXXX 2204.480000 N N N CITIGROUP MORTGAGE LOAN TR 2006-WF2 N/A 17309BAD9 125945.040000 PA USD 48249.950000 0.0037728 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.851 N N N N N N FNMA PASS THRU POOLS N/A 31391JMS6 548.180000 PA USD 544.970000 0.0000426 Long ABS-MBS USGSE US N 2 2032-10-01 Floating 6.123 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2006-AR1 N/A 65535VSE9 245349.000000 PA USD 202708.450000 0.0158503 Long ABS-MBS CORP US N 2 2036-02-25 Floating 7.34083 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF5 N/A 32027EAE1 115692.900000 PA USD 111374.640000 0.0087087 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.79043 N N N N N N BEAR STEARNS MTGE FUND TR 2006-AR5 N/A 07401NAP4 47988.750000 PA USD 43613.810000 0.0034103 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.85043 N N N N N N POPULAR ABS MTGE PASS THRU TRUST 2006-A N/A 73316PJW1 30729.450000 PA USD 30413.290000 0.0023781 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.05543 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAD1 2711107.480000 PA USD 2544982.740000 0.198998 Long ABS-MBS CORP US N 2 2036-12-19 Floating 5.95023 N N N N N N N/A N/A 000000000 1.000000 NC 68535.810000 0.005359 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3198125.820000 USD 4328000.000000 CAD 2024-01-09 68535.810000 N N N ACE SECURITIES CORP 2006-CW1 N/A 00441QAD1 99626.300000 PA USD 77390.890000 0.0060514 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.75043 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-10 N/A 07387AET8 23175.230000 PA USD 22161.830000 0.0017329 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.56599 N N N N N N FHLMC PASS THRU POOLS N/A 31292HA95 3918.510000 PA USD 4049.470000 0.0003166 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 7 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 26269.390000 PA USD 25802.480000 0.0020176 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.82033 N N N N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAC6 751566.240000 PA USD 241548.960000 0.0188873 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.62043 N N N N N N GNMA PASS THRU POOLS N/A 36225CFW1 4774.250000 PA USD 4667.000000 0.0003649 Long ABS-MBS USGSE US N 2 2028-03-20 Floating 3.625 N N N N N N AMERIQUEST MTGE SECURITIES INC 2005-R9 N/A 03072SQ32 49790.820000 PA USD 48430.880000 0.0037869 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.94043 N N N N N N ACE SECURITIES CORP 2004-FM2 N/A 004421GJ6 328069.010000 PA USD 305199.680000 0.0238643 Long ABS-MBS CORP US N 2 2034-06-25 Floating 6.44543 N N N N N N CHARLES SCHWAB CORP/THE 549300VSGCJ7E698NM85 808513AR6 4200000.000000 NS USD 3546774.000000 0.277331 Long EP CORP US N 2 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 23555.320000 PA USD 18891.640000 0.0014772 Long ABS-MBS CORP US N 2 2046-07-20 Floating 5.6824 N N N N N N FREMONT HOME LOAN TRUST 2006-3 N/A 35729MAD9 687840.360000 PA USD 230987.800000 0.0180615 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.81043 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2020-CNP N/A 61770YAA3 5000000.000000 PA USD 3862399.000000 0.302011 Long ABS-MBS CORP US N 2 2042-04-05 Variable 2.4276 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAA5 579397.420000 PA USD 525504.770000 0.0410905 Long ABS-MBS CORP US N 2 2046-08-25 Floating 6.0118 N N N N N N FHLMC PASS THRU POOLS N/A 3131YAP20 12294.340000 PA USD 11749.330000 0.0009187 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BC5 31213.460000 PA USD 30555.540000 0.0023892 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.37043 N N N N N N RAAC SERIES 2006-SP1 N/A 76112B3F5 986144.510000 PA USD 958912.720000 0.0749798 Long ABS-MBS CORP US N 2 2045-09-25 Floating 6.07043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE1 N/A 617451DR7 473633.900000 PA USD 454374.760000 0.0355287 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.05043 N N N N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBN4 5900000.000000 PA USD 5830732.640000 0.455919 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.88743 N N N N N N TESCO PROPERTY FINANCE 5 PLC 213800BN1HYPUZMXAF92 ACI01EQ39 93980.530000 PA 120873.710000 0.0094514 Long DBT CORP GB N 2 2041-10-13 Fixed 5.6611 N N N N N N FREMONT HOME LOAN TRUST 2006-2 N/A 35729PPX2 28389.440000 PA USD 26904.700000 0.0021037 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.81043 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAG4 24830.370000 PA USD 36131.670000 0.0028252 Long ABS-MBS CORP US N 3 2038-01-19 Floating 5.97023 N N N N N N FREDDIE MAC 2246 N/A 3133TPLV9 11247.140000 PA USD 11813.640000 0.0009237 Long ABS-MBS USGSE US N 2 2030-08-15 Fixed 7.5 N N N N N N BEAR STEARNS ALT-A TRUST 2006-1 N/A 07386HB83 173409.410000 PA USD 120445.490000 0.0094179 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 4.32533 N N N N N N ANTARES HOLDINGS LP 5493008EAIGV4283RM42 03666HAF8 7550000.000000 PA USD 7823094.830000 0.611707 Long DBT CORP US N 2 2028-08-11 Fixed 7.95 N N N N N N BEAR STEARNS ALT-A TRUST 2004-5 N/A 07386HJN2 852216.480000 PA USD 738176.360000 0.0577198 Long ABS-MBS CORP US N 2 2034-06-25 Fixed 5.12972 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRUST 2006-2 N/A 83611MNJ3 99158.860000 PA USD 98374.710000 0.0076922 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.99543 N N N N N N N/A N/A 000000000 -3100000.000000 NC USD -48839.260000 -0.0038189 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.60000 01/17/24-10Y LCH 2034-01-17 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2024-01-12 XXXX -34656.760000 N N N CITIGROUP MTGE LOAN TR INC 2007-AR8 N/A 17313FAR3 374792.920000 PA USD 327384.390000 0.025599 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.50392 N N N N N N N/A N/A 000000000 1.000000 NC USD 4936.440000 0.000386 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2024-12-20 5068.920000 USD 0.000000 USD 600000.000000 USD -132.480000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-7 N/A 12669VAD0 64676.790000 PA USD 63491.110000 0.0049645 Long ABS-MBS CORP US N 2 2047-10-25 Floating 5.70043 N N N N N N UMBS PASS THRU POOLS N/A 01F042624 140000000.000000 PA USD 135805469.800000 10.619 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 4.5 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR4 N/A 86360QAB1 2001011.890000 PA USD 1934823.420000 0.151289 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.85043 N N N N N N ELMWOOD CLO VII LTD 2020-4A N/A 29002QAJ8 4800000.000000 PA USD 4808370.340000 0.375978 Long ABS-CBDO CORP KY N 2 2034-01-17 Floating 7.05371 N N N N N N MASTR ASSET BACKED SEC TRUST 2006-WMC1 N/A 57643LRK4 292151.050000 PA USD 112017.320000 0.0087589 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.83043 N N N N N N FHLMC PASS THRU POOLS N/A 31336R5J5 303.540000 PA USD 301.350000 0.0000236 Long ABS-MBS USGSE US N 2 2032-07-01 Floating 6.143 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH3 N/A 46630XAF5 104641.430000 PA USD 101988.630000 0.0079747 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.73043 N N N N N N VASA TRUST 2021-VASA N/A 92230AAA4 1000000.000000 PA USD 905516.500000 0.0708046 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.37648 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2006-1 N/A 68389FKR4 300000.000000 PA USD 273167.040000 0.0213596 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.01043 N N N N N N N/A N/A 000000000 138.000000 NC -26239.840000 -0.0020518 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Long N/A CANADA GOVT 2024-03-19 12932976.110000 CAD -26239.840000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-10CB N/A 12667GAW3 143275.550000 PA USD 106800.580000 0.008351 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.5 N N N N N N PARK PLACE SECURITIES INC 2005-WCW3 N/A 70069FLX3 154215.890000 PA USD 150060.760000 0.0117336 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.20543 N N N N N N GNMA PASS THRU POOLS N/A 36225CA89 369.540000 PA USD 360.340000 0.0000282 Long ABS-MBS USGSE US N 2 2027-01-20 Floating 3.625 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 200000.000000 PA USD 191476.600000 0.014972 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3 N/A 073888AN9 17741.420000 PA USD 17090.660000 0.0013364 Long ABS-MBS CORP US N 3 2036-07-25 Floating 4.72433 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC5 N/A 61744CRV0 183217.130000 PA USD 179172.630000 0.01401 Long ABS-MBS CORP US N 2 2035-06-25 Floating 6.46043 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAL4 4999965.300000 PA USD 4992138.750000 0.390348 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.74548 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAA8 284053.610000 PA USD 94599.880000 0.007397 Long ABS-MBS CORP US N 2 2046-09-25 Variable 6.465 N N N N N N FHLMC PASS THRU POOLS N/A 3128HD3Z0 7917.610000 PA USD 7850.290000 0.0006138 Long ABS-MBS USGSE US N 2 2033-02-01 Floating 5.341 N N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 228013.090000 PA USD 219719.070000 0.0171804 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.89043 N N N N N N PACIFIC NATIONAL FINANCE PTY LTD 213800SSTRDXLWWVF948 BYVTPZII5 1700000.000000 PA USD 1594213.320000 0.124656 Long DBT CORP AU N 2 2028-03-22 Fixed 4.75 N N N N N N BCAP LLC TRUST 2010-RR1 N/A 05532TAD4 50050.700000 PA USD 39954.560000 0.0031241 Long ABS-MBS CORP US N 2 2037-03-26 Floating 3.84041 N N N N N N N/A N/A 000000000 1.000000 NC USD 6838.360000 0.0005347 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2024-06-20 7575.390000 USD 0.000000 USD 1550000.000000 USD -737.030000 N N N MLCC MORTGAGE INVESTORS INC 2004-C N/A 59020UDW2 9173.560000 PA USD 8774.630000 0.0006861 Long ABS-MBS CORP US N 3 2029-07-25 Floating 6.642 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF5 N/A 32027EAF8 400000.000000 PA USD 362046.320000 0.0283093 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.95043 N N N N N N SPECIALTY UNDERWRNG & RES FIN 2006-BC5 N/A 84751NAE4 626049.910000 PA USD 342952.900000 0.0268163 Long ABS-MBS CORP US N 2 2037-11-25 Floating 5.77043 N N N N N N MAGNETITE XVIII LTD 2016-18A N/A 55953TAS6 2820071.760000 PA USD 2821354.750000 0.220609 Long ABS-CBDO CORP KY N 2 2028-11-15 Floating 6.52133 N N N N N N BENCHMARK MORTGAGE TRUST 2019-B13 N/A 08162DAE8 4565217.000000 PA USD 4086852.110000 0.319561 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 2.952 N N N N N N NEWCASTLE MTGE SECURITIES TRUST 2007-1 N/A 65106FAD4 1299340.180000 PA USD 1269508.630000 0.099266 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.70043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB N/A 02147QAD4 45100.880000 PA USD 26800.960000 0.0020956 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6 N N N N N N PURPLE FINANCE CLO 1 DAC 1A N/A ACI1RL3V6 650702.520000 PA 716971.750000 0.0560618 Long ABS-CBDO CORP IE N 2 2031-01-25 Floating 4.756 N N N N N N RESIDENTIAL ASSET SEC TRUST 2007-A2 N/A 761120AL8 1136877.140000 PA USD 308126.900000 0.0240932 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6.5 N N N N N N ACE SECURITIES CORP 2006-OP2 N/A 00441YAA0 259298.110000 PA USD 246709.240000 0.0192908 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.78043 N N N N N N TENNESSEE GAS PIPELINE COMPANY LLC N/A 880451AZ2 3800000.000000 PA USD 3348718.190000 0.261844 Long DBT CORP US N 2 2030-03-01 Fixed 2.9 N N N N N N CHL MORTGAGE PASS-THROUGH TRUST 2006-16 N/A 170257AC3 550571.480000 PA USD 189123.780000 0.0147881 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPHII6 1600000.000000 PA USD 192000.000000 0.015013 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 -6300000.000000 NC USD -1671.390000 -0.0001307 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.99500 01/18/24-10Y LCH 2034-01-18 0.000000 USD 0.000000 USD N/A USD N/A 4.000000 USD 2024-01-16 XXXX 26599.860000 N N N GNMA PASS THRU POOLS N/A 36225CMM5 9258.800000 PA USD 9060.570000 0.0007085 Long ABS-MBS USGSE US N 2 2030-01-20 Floating 3.625 N N N N N N BEAR STEARNS ALT-A TRUST 2006-1 N/A 07386HC25 17080.470000 PA USD 14177.770000 0.0011086 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.56403 N N N N N N BCAP LLC TRUST 2007-AA3 N/A 05530VAP4 26933.630000 PA USD 24911.810000 0.0019479 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.77043 N N N N N N MDPKE 14A N/A ACI2289F9 5700000.000000 PA 6207141.540000 0.485352 Long ABS-CBDO CORP IE N 2 2032-07-15 Floating 4.765 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD2 N/A 07388EAD8 600000.000000 PA USD 589950.360000 0.0461297 Long ABS-MBS CORP US N 2 2036-06-25 Floating 6.67043 N N N N N N PARK PLACE SECURITIES INC 2004-WCW2 N/A 70069FAZ0 232857.730000 PA USD 228466.570000 0.0178644 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.52043 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3 N/A 83611MPJ1 5835846.180000 PA USD 5678755.710000 0.444036 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.97043 N N N N N N APIDOS CDO 2013-12A N/A 03764DAH4 4874897.640000 PA USD 4873539.640000 0.381074 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.73548 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAV7 95726.450000 PA USD 93899.760000 0.0073423 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.04447 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 592777.050000 PA USD 504142.420000 0.0394201 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.83043 N N N N N N MORGAN STANLEY REREMIC TRUST 2010-R5 N/A 61759HAZ0 52002.630000 PA USD 50152.700000 0.0039216 Long ABS-MBS CORP US N 2 2037-03-26 Floating 3.10855 N N N N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 157.000000 NS USD 3898.780000 0.0003049 Long EC CORP LU Y 3 N N N MF1 2022-FL8 LTD N/A 55284JAA7 2300000.000000 PA USD 2263048.480000 0.176953 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 6.70575 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-8 N/A 045427AD3 3431798.240000 PA USD 3210313.410000 0.251022 Long ABS-MBS CORP US N 2 2046-01-25 Floating 5.97043 N N N N N N NYMT LOAN TRUST 2022-SP1 N/A 62956BAA7 4063808.530000 PA USD 3982179.210000 0.311376 Long ABS-MBS CORP US N 2 2062-07-25 Variable 5.25 N N N N N N BEAR STEARNS ALT-A TRUST 2006-2 N/A 07386HH46 63436.580000 PA USD 55980.610000 0.0043773 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.91043 N N N N N N GSC CAPITAL CORP MORTGAGE TRUST 2006-2 N/A 362480AD7 59352.920000 PA USD 55530.040000 0.004342 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.83043 N N N N N N FREDDIE MAC 2105 N/A 3133TH4W4 50381.500000 PA USD 50918.030000 0.0039814 Long ABS-MBS USGSE US N 2 2028-12-15 Fixed 6 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAM4 77685.860000 PA USD 73676.830000 0.005761 Long ABS-MBS CORP US N 2 2046-09-25 Floating 6.27043 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YH0 39136.000000 PA USD 32115.180000 0.0025112 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.8793 N N N N N N FREDDIE MAC 2248 N/A 3133TPV48 1027.720000 PA USD 1027.100000 0.0000803 Long ABS-MBS USGSE US N 2 2030-09-15 Floating 5.95292 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAL5 4600000.000000 PA USD 4446112.660000 0.347652 Long DBT CORP KY N 2 2026-04-15 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC -170.950000 -0.0000134 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5860041.620000 INR 70062.250000 USD 2024-03-20 -170.950000 N N N N/A N/A 000000000 -7200000.000000 NC USD -327.600000 -0.0000256 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.95500 01/10/24-10Y LCH 2034-01-10 0.000000 USD 0.000000 USD N/A USD N/A 3.960000 USD 2024-01-08 XXXX 34592.400000 N N N APOLLO AVIATION SECURITIZATION EQUITY TRUST 2017-1A N/A 000366AA2 119831.220000 PA USD 109602.770000 0.0085701 Long ABS-O CORP US N 2 2042-05-16 Fixed 3.967 N N N N N N MUNDYS SPA 8156008DEC771409C487 ACI1VSC04 400000.000000 PA 406755.290000 0.0318052 Long DBT CORP IT N 2 2028-02-12 Fixed 1.875 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAF1 196350.590000 PA USD 111371.430000 0.0087084 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.69043 N N N N N N BCAP LLC TRUST 2009-RR14 N/A 05532LAD1 15357.970000 PA USD 13132.290000 0.0010268 Long ABS-MBS CORP US N 2 2036-07-26 Floating 3.58561 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAF8 46942.140000 PA USD 27544.460000 0.0021538 Long ABS-MBS CORP US N 3 2046-05-25 Floating 5.99043 N N N N N N OBX 2023-NQM8 TRUST N/A 67118CAA9 2144567.640000 PA USD 2190993.670000 0.171319 Long ABS-MBS CORP US N 2 2063-09-25 Fixed 7.045 N N N N N N MARVELL TECHNOLOGY INC N/A 573874AN4 6650000.000000 PA USD 6640064.970000 0.519203 Long DBT CORP US N 2 2028-06-22 Fixed 4.875 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2005-AR6 N/A 36185MBJ0 81511.670000 PA USD 66420.100000 0.0051936 Long ABS-MBS CORP US N 3 2035-11-19 Floating 3.64424 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HDC6 5000000.000000 PA USD 5499150.800000 0.429992 Long DBT CORP US N 2 2031-10-30 Floating 7.624 N N N N N N N/A N/A 000000000 1.000000 NC 399.420000 0.0000312 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 235000.000000 CAD 177771.300000 USD 2024-01-09 399.420000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-27CB N/A 12667FWU5 42646.160000 PA USD 38235.030000 0.0029897 Long ABS-MBS CORP US N 2 2034-12-25 Fixed 6 N N N N N N MACKAY SHIELDS EURO CLO 1 DAC 1A N/A ACI1RS713 1900000.000000 PA 2075056.320000 0.162254 Long ABS-CBDO CORP IE N 2 2032-10-20 Floating 4.923 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-7 N/A 86359BRV5 193493.210000 PA USD 177022.240000 0.0138418 Long ABS-MBS CORP US N 2 2034-06-25 Floating 6.20543 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR14 N/A 94984MAM6 139641.730000 PA USD 123407.530000 0.0096495 Long ABS-MBS CORP US N 2 2036-10-25 Floating 6.37589 N N N N N N STRUCTURED ASSET SECURITIES CO 2006-BC4 N/A 86359RAD8 46610.630000 PA USD 43666.930000 0.0034144 Long ABS-MBS CORP US N 3 2036-12-25 Floating 5.81043 N N N N N N MASTR REPERFORMING LOAN TR 2006-1 N/A 57643QBP9 646818.620000 PA USD 484565.200000 0.0378894 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 8 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1 N/A 07387AAB1 23532.540000 PA USD 21228.330000 0.0016599 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.32943 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAF5 593707.470000 PA USD 157283.560000 0.0122984 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.91043 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2004-11AR N/A 61748HGR6 14132.150000 PA USD 13004.440000 0.0010168 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.79043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-6 N/A 02150AAA9 95629.880000 PA USD 53300.560000 0.0041677 Long ABS-MBS CORP US N 2 2047-04-25 Fixed 5.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CF43 1325.610000 PA USD 1319.590000 0.0001032 Long ABS-MBS USGSE US N 2 2028-04-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CD29 695.970000 PA USD 682.850000 0.0000534 Long ABS-MBS USGSE US N 2 2027-10-20 Floating 2.75 N N N N N N STRUCTURED ASSET INVST LN TR 2004-8 N/A 86358EMA1 300978.910000 PA USD 274572.700000 0.0214695 Long ABS-MBS CORP US N 3 2034-09-25 Floating 6.40043 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL37 23922.820000 PA USD 22957.280000 0.0017951 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.59825 N N N N N N SG MORTGAGE SECURITIES TRUST 2005-OPT1 N/A 81879MAE9 495574.250000 PA USD 467433.310000 0.0365498 Long ABS-MBS CORP US N 3 2035-10-25 Floating 6.14543 N N N N N N GSAMP TRUST 2006-NC2 N/A 362463AE1 188266.170000 PA USD 99290.920000 0.0077638 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.95043 N N N N N N LEHMAN XS TRUST 2006-16N N/A 52522DAN1 8312.680000 PA USD 9478.570000 0.0007412 Long ABS-MBS CORP US N 3 2046-11-25 Floating 5.95043 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2005-FF1 N/A 32027NQN4 886339.830000 PA USD 863367.940000 0.0675089 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.65543 N N N N N N LUMINENT MORTGAGE TRUST 2006-7 N/A 55028BAG2 375064.370000 PA USD 323128.940000 0.0252663 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.81043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAX6 112357.900000 PA USD 52612.170000 0.0041139 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 N N N N N N N/A N/A 000000000 -4000000.000000 NC USD -116.000000 -0.0000091 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.99400 01/10/24-10Y LCH 2034-01-10 0.000000 USD 0.000000 USD N/A USD N/A 3.990000 USD 2024-01-08 XXXX 18234.000000 N N N STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN 2006-9 N/A 86361PAA4 82205.950000 PA USD 44751.770000 0.0034993 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.4706 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAE4 49087.650000 PA USD 27843.130000 0.0021771 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.61043 N N N N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J3 N/A 17025QAJ6 111984.800000 PA USD 48382.550000 0.0037832 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138WGFP4 75941.030000 PA USD 69364.430000 0.0054238 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB N/A 02148FBX2 6580059.850000 PA USD 5541854.720000 0.433331 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N GSR MORTGAGE LOAN TRUST 2004-11 N/A 36242DFP3 22811.820000 PA USD 22680.730000 0.0017735 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.976 N N N N N N N/A N/A 000000000 -1746.000000 NC USD -5732163.050000 -0.448212 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-03-19 -205632422.750000 USD -5732163.050000 N N N GNMA PASS THRU POOLS N/A 36202KVA0 560.120000 PA USD 549.490000 0.000043 Long ABS-MBS USGSE US N 2 2025-10-20 Floating 2.75 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAC5 1554776.140000 PA USD 733642.270000 0.0573653 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.59043 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-6 N/A 86364CAF9 3301.880000 PA USD 2003.170000 0.0001566 Long ABS-MBS CORP US N 3 2037-07-25 Floating 4.59589 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 1201771.140000 PA USD 1090371.040000 0.0852588 Long ABS-MBS CORP US N 2 2035-05-19 Floating 5.91023 N N N N N N GNMA PASS THRU POOLS N/A 36225CB62 645.290000 PA USD 635.060000 0.0000497 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 3.875 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-14 N/A 12667GCH4 767328.770000 PA USD 701070.240000 0.0548184 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.91043 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR3 N/A 86363NAY5 328894.380000 PA USD 293996.680000 0.0229883 Long ABS-MBS CORP US N 2 2047-09-25 Floating 5.66043 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797GN1 423000.000000 PA USD 420292.990000 0.0328637 Long DBT UST US N 2 2024-02-15 None 0 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 4740776.680000 PA USD 3787694.250000 0.296169 Long ABS-MBS CORP US N 2 2036-12-19 Floating 5.88023 N N N N N N BEAR STEARNS ASSETBACKED SEC 2006-3 N/A 07388GAD3 52694.850000 PA USD 52332.190000 0.004092 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6.14543 N N N N N N COUNTRYWIDE HOME LOANS 2006-21 N/A 12543PAN3 128078.280000 PA USD 60894.140000 0.0047615 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N MASTR ASSET BACKED SECUR TR 2005-NC2 N/A 57643LMN3 7635573.820000 PA USD 4383331.720000 0.342743 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.97043 N N N N N N MASTR ASSET BACKED SEC TR 2006-HE5 N/A 576455AD1 3586447.710000 PA USD 2121573.900000 0.165891 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.91043 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-OA4 N/A 25151XAA9 178092.610000 PA USD 157467.900000 0.0123128 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.85043 N N N N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAU0 71471.130000 PA USD 63975.570000 0.0050024 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6.5 N N N N N N FREDDIE MAC 2466 N/A 31392MP22 1449.710000 PA USD 1453.460000 0.0001136 Long ABS-MBS USGSE US N 2 2032-03-15 Floating 6.00292 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XS93 67650.860000 PA USD 64571.100000 0.005049 Long ABS-MBS CORP US N 3 2034-02-25 Floating 4.16735 N N N N N N BCAP LLC TRUST 2007-AA3 N/A 05530VAN9 173636.970000 PA USD 163824.310000 0.0128098 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.91043 N N N N N N MASTR ASSET BACKED SECUR TR 2005-FRE1 N/A 57643LMA1 186701.640000 PA USD 174722.690000 0.013662 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.22043 N N N N N N DBGS 2021-W52 MORTGAGE TRUST N/A 23308LAA2 1000000.000000 PA USD 948585.000000 0.0741722 Long ABS-MBS CORP US N 2 2036-10-15 Floating 6.87128 N N N N N N GNMA PASS THRU POOLS N/A 36202K6Y6 492.200000 PA USD 482.480000 0.0000377 Long ABS-MBS USGSE US N 2 2026-10-20 Floating 2.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CC87 529.250000 PA USD 521.480000 0.0000408 Long ABS-MBS USGSE US N 2 2027-07-20 Floating 3.625 N N N N N N HSI ASSET SECURI CORP TRUS 2005-I1 N/A 40430HCN6 2513234.100000 PA USD 2303347.130000 0.180104 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.25043 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X40 89894.200000 PA USD 84584.840000 0.0066139 Long ABS-MBS CORP US N 2 2045-01-25 Floating 6.11043 N N N N N N BETONY CLO 2 LTD 2018-1A N/A 08763QAA0 5629530.740000 PA USD 5632578.230000 0.440425 Long ABS-CBDO CORP KY N 2 2031-04-30 Floating 6.73159 N N N N N N FIRST FRANKLIN MTG LN ASST BKD 2005-FF2 N/A 36242DN66 43475.470000 PA USD 42713.440000 0.0033399 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.41543 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10 N/A 12668BUK7 12426.420000 PA USD 9694.520000 0.000758 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.87922 N N N N N N GNMA PASS THRU POOLS N/A 36202KKX2 168.600000 PA USD 167.940000 0.0000131 Long ABS-MBS USGSE US N 2 2024-04-20 Floating 3.875 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAF5 444250.430000 PA USD 349455.610000 0.0273248 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.87043 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2018-1A N/A 26828HAA5 4683745.180000 PA USD 4627810.020000 0.36186 Long ABS-O CORP US N 2 2068-02-27 Floating 6.20191 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 054989AA6 1800000.000000 PA USD 1891401.320000 0.147893 Long DBT CORP US N 2 2030-08-02 Fixed 6.343 N N N N N N 2024-02-21 PIMCO Managed Accounts Trust /s/ Bijal Parikh Bijal Parikh Treasurer