0001752724-21-152676.txt : 20210722 0001752724-21-152676.hdr.sgml : 20210722 20210722100653 ACCESSION NUMBER: 0001752724-21-152676 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20210531 FILED AS OF DATE: 20210722 PERIOD START: 20210531 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Fidelity Rutland Square Trust II CENTRAL INDEX KEY: 0001364924 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0228 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-21991 FILM NUMBER: 211106421 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 0001364924 S000062265 Strategic Advisers Fidelity Core Income Fund C000201710 Strategic Advisers Fidelity Core Income Fund FIWGX NPORT-P 1 primary_doc.xml NPORT-P false 0001364924 XXXXXXXX S000062265 C000201710 Fidelity Rutland Square Trust II 811-21991 0001364924 1KZ3JN58GDRI3EZKKG06 245 Summer Street Boston 02210 1-800-FIDELITY Strategic Advisers Fidelity Core Income Fund S000062265 5493002W9RRD825B2880 2021-05-31 2021-05-31 N 40446477154.95 4581547663.10 35864929491.85 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 3136071964.09000000 0.00000000 0.00000000 0.00000000 USD N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31396NCS3 75371.25020000 PA USD 69372.84000000 0.000193428067 Long ABS-CBDO USGSE US N 2 2036-04-15 Fixed 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417N3E9 2747.65930000 PA USD 3066.98000000 0.000008551473 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617LNSQ8 2447362.84000000 PA USD 2591740.61000000 0.007226392597 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31369DY70 18.59600000 PA USD 19.46000000 0.000000054259 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H7BZ9 196933.04200000 PA USD 212146.71000000 0.000591515759 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q75R4 511655.22500000 PA USD 545824.94000000 0.001521890458 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N CITIZENS FINANCIAL GRP INC 2138004JDDA4ZQUPFW65 174610AV7 7305000.00000000 PA USD 7227285.98000000 0.020151401612 Long DBT CORP US N 2 2032-09-30 Fixed 0.02638000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193VFQ0 81620.65660000 PA USD 88298.76000000 0.000246198058 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J2VZ3 1603800.47400000 PA USD 1694829.46000000 0.004725589828 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0YY8 49642.56270000 PA USD 56499.84000000 0.000157535065 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297F4N9 10774.98730000 PA USD 12325.85000000 0.000034367417 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410KCG7 103347.13030000 PA USD 122968.25000000 0.000342864887 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201BC95 1892.28150000 PA USD 2132.48000000 0.000005945864 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NXNF0 9917.39160000 PA USD 10554.18000000 0.000029427577 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N CHARLES RIVER LABS INTL INC 549300BSQ0R4UZ5KX287 159864AG2 180000.00000000 PA USD 179325.00000000 0.000500000982 Long DBT CORP US N 2 2029-03-15 Fixed 0.03750000 N N N N N N HILCORP ENERGY I LP/FIN CO N/A 431318AS3 185000.00000000 PA USD 194250.00000000 0.000541615452 Long DBT CORP US N 2 2028-11-01 Fixed 0.06250000 N N N N N N GENERAL MTRS FINL CO INC 5493008B6JBRUJ90QL97 37045XCW4 11203000.00000000 PA USD 12112106.42000000 0.033771449133 Long DBT CORP US N 2 2023-03-20 Fixed 0.05200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374R3J0 983.53830000 PA USD 1083.65000000 0.000003021475 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07500000 N N N N N N RETAIL PROPERTIES OF AMERICA INC. 549300OVTYLM7DH6CM14 76131VAA1 10791000.00000000 PA USD 11510952.32000000 0.032095287745 Long DBT CORP US N 2 2025-03-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407EJ61 21836.40050000 PA USD 25764.87000000 0.000071838618 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.06000000 N N N N N N BAYVIEW COML ASSET TR N/A 07324SDG4 9235.99240000 PA USD 8541.74000000 0.000023816413 Long ABS-MBS CORP US N 2 2036-04-25 Variable 0.00661630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200MUB7 2670.36740000 PA USD 3054.70000000 0.000008517234 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307TN31 17710.46940000 PA USD 18919.87000000 0.000052753121 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WX2U0 8639.12200000 PA USD 9204.63000000 0.000025664709 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2X49 1966586.68300000 PA USD 2118059.88000000 0.005905657448 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202F3M6 54921.99000000 PA USD 59604.44000000 0.000166191432 Long ABS-MBS USGA US N 2 2042-02-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FWL2 609.49460000 PA USD 691.57000000 0.000001928262 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.07500000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WAU7 84000.00000000 PA USD 88743.63000000 0.000247438462 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 0.04247500 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QVQC8 104938.28530000 PA USD 114139.59000000 0.000318248471 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MMMW9 23526.06800000 PA USD 25066.06000000 0.000069890169 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384VP48 1353.32920000 PA USD 1570.07000000 0.000004377730 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NXXN2 408940.11210000 PA USD 435708.88000000 0.001214860550 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224DFX8 17.16430000 PA USD 17.66000000 0.000000049240 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EEAV1 92348.96220000 PA USD 101272.46000000 0.000282371836 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 92769XAR6 585000.00000000 PA USD 583537.50000000 0.001627042094 Long DBT CORP GB N 2 2030-08-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GFF28 19839.60650000 PA USD 22627.54000000 0.000063090992 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36294Q4H1 2510.01970000 PA USD 2959.11000000 0.000008250706 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 0.06500000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 251525AP6 29219000.00000000 PA USD 31709132.59000000 0.088412644439 Long DBT CORP DE N 2 2025-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M0SE1 8409.27530000 PA USD 9098.98000000 0.000025370132 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31395BTU7 111896.37640000 PA USD 102486.75000000 0.000285757567 Long ABS-CBDO USGSE US N 2 2036-03-25 Fixed 0.00000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QP6Q2 61704.49760000 PA USD 66387.84000000 0.000185105173 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q7VR5 180091.37940000 PA USD 196902.66000000 0.000549011702 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMTG7 136153.09650000 PA USD 150591.82000000 0.000419886006 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W0GN3 156341.54770000 PA USD 166575.49000000 0.000464452300 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390ETV4 848.02600000 PA USD 1001.21000000 0.000002791612 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176QVE1 4509.42020000 PA USD 4996.60000000 0.000013931715 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M5BG6 9121.22330000 PA USD 9995.11000000 0.000027868756 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J6CW5 692613.27800000 PA USD 731731.38000000 0.002040242070 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.03000000 N N N N N N EQM MIDSTREAM PARTNERS LP 549300NELT611CL6XM83 26885BAE0 265000.00000000 PA USD 281350.50000000 0.000784472474 Long DBT CORP US N 2 2048-07-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205NWJ1 470.37860000 PA USD 519.29000000 0.000001447904 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.08000000 N N N N N N NUANCE COMMUNICATIONS INC AEMSOT3SS15TNMJCE605 67020YAQ3 1382000.00000000 PA USD 1453864.00000000 0.004053720502 Long DBT CORP US N 2 2026-12-15 Fixed 0.05625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213BQD7 179.46310000 PA USD 209.23000000 0.000000583383 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RYC1 99702.78290000 PA USD 109913.46000000 0.000306465010 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SYT8 6064452.18600000 PA USD 6531556.91000000 0.018211542592 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208NNG4 85.96330000 PA USD 95.44000000 0.000000266109 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300LCZ6 22133.24120000 PA USD 23345.78000000 0.000065093617 Long ABS-MBS USGSE US N 2 2037-06-01 Variable 0.02269000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAA6 5768000.00000000 PA USD 5994411.30000000 0.016713852180 Long ABS-MBS CORP US N 2 2032-11-05 Fixed 0.03112000 N N N N N N OLIN CORP 549300GKK294V7W57P06 680665AK2 1715000.00000000 PA USD 1817900.00000000 0.005068739924 Long DBT CORP US N 2 2030-02-01 Fixed 0.05000000 N N N N N N NATWEST GROUP PLC (UNGTD) 2138005O9XJIJN4JPN90 780097BA8 19815000.00000000 PA USD 22785308.13000000 0.063530887841 Long DBT CORP GB N 2 2026-04-05 Fixed 0.04800000 N N N N N N VALVOLINE INC 549300CMHPBEY6VPOT75 92047WAD3 165000.00000000 PA USD 168300.00000000 0.000469260646 Long DBT CORP US N 2 2030-02-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140K4F88 828542.59500000 PA USD 873129.79000000 0.002434494650 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206FRB0 19.59550000 PA USD 21.24000000 0.000000059222 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 313987P94 387.34000000 PA USD 411.03000000 0.000001146049 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AC7F5 12107.10740000 PA USD 13676.11000000 0.000038132265 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208WDV2 312.76640000 PA USD 354.46000000 0.000000988319 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378GGJ6 333.18970000 PA USD 355.34000000 0.000000990772 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389HXZ6 3314.41000000 PA USD 3707.20000000 0.000010336560 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJ4A5 477139.69800000 PA USD 503662.51000000 0.001404331521 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 0.03500000 N N N N N N BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA N/A 09228YAB8 5961666.66000000 PA USD 6014731.45000000 0.016770509618 Long ABS-CBDO CORP KY N 2 2041-12-16 Variable 0.04213000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379JDE3 1432.87550000 PA USD 1627.95000000 0.000004539113 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FX84 2171484.18470000 PA USD 2382847.55000000 0.006643948792 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GKNL6 139157.14540000 PA USD 152706.95000000 0.000425783494 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J9PW2 19764.69850000 PA USD 21670.67000000 0.000060423010 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KRY6 116.09930000 PA USD 129.85000000 0.000000362052 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HNMM8 26244.04920000 PA USD 28784.07000000 0.000080256870 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UHAK1 8879.43550000 PA USD 9365.82000000 0.000026114145 Long ABS-MBS USGSE US N 2 2041-09-01 Variable 0.02481000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AF4 4502000.00000000 PA USD 4752761.40000000 0.013251835337 Long DBT CORP US N 2 2023-03-15 Variable 0.04750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312941ZQ3 12647.45520000 PA USD 14097.38000000 0.000039306866 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N Fidelity Salem Street Trust S4W85DGKOEJ24DPRB829 31635T849 1018732462.95400000 NS USD 10717065510.28000000 29.88174147314 Long EC RF US N 1 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WE3W7 14791.77530000 PA USD 15898.64000000 0.000044329210 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378R3Y3 3077.59600000 PA USD 3542.67000000 0.000009877811 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213WBX3 46.85070000 PA USD 54.35000000 0.000000151540 Long ABS-MBS USGA US N 2 2031-10-15 Fixed 0.07000000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 12300000.00000000 NC USD 242545.67000000 0.000676275329 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2029-06-10 0.00000000 USD 0.00000000 USD 12300000.00000000 USD 1.00000000 2.31300000 USD 2024-06-06 XXXX -115322.83000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EAL3 382.65940000 PA USD 439.56000000 0.000001225598 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABD6 10840000.00000000 PA USD 11916520.40000000 0.033226108537 Long DBT CORP US N 2 2027-04-15 Fixed 0.03750000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739GCR8 5246000.00000000 PA USD 5314498.49000000 0.014818092675 Long DBT CORP GB N 2 2022-05-12 Fixed 0.01700000 N N N N N N RETL 2019-RVP N/A 74952PAJ6 7791489.00000000 PA USD 7771792.89000000 0.021669617088 Long ABS-MBS CORP US N 2 2036-03-15 Variable 0.02201000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384SE21 82.07010000 PA USD 96.19000000 0.000000268200 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.07500000 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 26439XAC7 15000.00000000 PA USD 19533.30000000 0.000054463511 Long DBT CORP US N 2 2030-08-16 Fixed 0.08125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A6RH5 30402.58120000 PA USD 33553.04000000 0.000093553899 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RUT8 368443.33580000 PA USD 406176.06000000 0.001132515986 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N BENCHMARK 2019-B13 MTG TR N/A 08162DAE8 12263000.00000000 PA USD 13117439.24000000 0.036574557446 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 0.02952000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FMA1 1621170.77720000 PA USD 1787441.78000000 0.004983815123 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RPS2 8401.39260000 PA USD 8796.47000000 0.000024526661 Long ABS-MBS USGSE US N 2 2035-01-01 Variable 0.02017000 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 5986000.00000000 PA USD 6220817.25000000 0.017345126111 Long DBT CORP US N 2 2022-07-23 Fixed 0.04464000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410KPS7 17961.48500000 PA USD 21427.74000000 0.000059745663 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 0.06000000 N N N N N N DRYDEN 70 CLO LTD N/A 26252EAA7 2909000.00000000 PA USD 2921499.97000000 0.008145840550 Long ABS-CBDO CORP KY N 2 2032-01-16 Variable 0.01353630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31415TSC5 267.42000000 PA USD 277.96000000 0.000000775018 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 0.05000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CS2 3191000.00000000 PA USD 2991562.50000000 0.008341191638 Long DBT CORP US N 2 2029-08-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411JA30 1498.15440000 PA USD 1537.73000000 0.000004287558 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407VUQ6 8766.32130000 PA USD 10377.57000000 0.000028935146 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MA5J3 54835.43720000 PA USD 59315.74000000 0.000165386467 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9U82 3321101.47200000 PA USD 3635013.64000000 0.010135287289 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206JHG2 67.18710000 PA USD 73.56000000 0.000000205102 Long ABS-MBS USGA US N 2 2025-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7QC6 8561869.99200000 PA USD 9008607.82000000 0.025118152879 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 0.03000000 N N N N N N NEW FORTRESS ENERGY INC N/A 644393AB6 650000.00000000 PA USD 654062.50000000 0.001823682659 Long DBT CORP US N 2 2026-09-30 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210RTT7 176.19370000 PA USD 205.11000000 0.000000571895 Long ABS-MBS USGA US N 2 2029-11-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WDLR0 14415.77830000 PA USD 15593.61000000 0.000043478713 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193GKX2 28631.27980000 PA USD 30973.86000000 0.000086362528 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAS3 1957000.00000000 PA USD 1957000.00000000 0.005456583988 Long DBT CORP US N 2 2021-06-01 Fixed 0.03375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GYHM4 100086.25640000 PA USD 106239.46000000 0.000296221020 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.03000000 N N N N N N SPRINT CAPITAL CORP 549300L17W0GQBR1PO80 852060AD4 5880000.00000000 PA USD 7356232.80000000 0.020510936182 Long DBT CORP US N 2 2028-11-15 Fixed 0.06875000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335BC20 2686096.57540000 PA USD 2842870.06000000 0.007926601558 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H6QY8 331535.03740000 PA USD 354971.41000000 0.000989745177 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M8UM3 62748.69890000 PA USD 67369.70000000 0.000187842834 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03400000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AUF3 76086.72590000 PA USD 80098.19000000 0.000223332908 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASEM7 7158.57360000 PA USD 8191.42000000 0.000022839637 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DBU4 93931.35550000 PA USD 101731.78000000 0.000283652530 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312943UM3 4631.15350000 PA USD 5162.08000000 0.000014393113 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N BX TRUST 2019 N/A 056054AA7 14500844.61100000 PA USD 14516862.24000000 0.040476483421 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.01021000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224VAN5 425.02790000 PA USD 441.49000000 0.000001230979 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N BX COML MTG TR 2020-FOX N/A 12433AAA7 8774897.38000000 PA USD 8791623.21000000 0.024513147898 Long ABS-MBS CORP US N 2 2032-11-15 Variable 0.01101000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31396HLM9 39768.28440000 PA USD 7919.08000000 0.000022080288 Long ABS-CBDO USGSE US N 2 2036-02-15 Variable 0.06499120 N N N N N N STARBUCKS CORP OQSJ1DU9TAOC51A47K68 855244AY5 5502000.00000000 PA USD 5558042.66000000 0.015497152061 Long DBT CORP US N 2 2022-05-07 Fixed 0.01300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MJMP1 60544.55650000 PA USD 65434.56000000 0.000182447201 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A5SK9 17445.30570000 PA USD 19255.33000000 0.000053688464 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375DCY7 571.29500000 PA USD 624.42000000 0.000001741032 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 0.07500000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PAN8 3799000.00000000 PA USD 4299939.18000000 0.011989258701 Long DBT CORP US N 2 2024-11-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HHR7 33.91770000 PA USD 35.72000000 0.000000099595 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 0.07000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFX2 6078000.00000000 PA USD 6741108.16000000 0.018795821588 Long DBT CORP US N 2 2026-04-19 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384VV58 64.63590000 PA USD 73.93000000 0.000000206134 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WSXF0 110668.34380000 PA USD 117601.32000000 0.000327900602 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ETY7 308432.08610000 PA USD 328621.71000000 0.000916275912 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203M5D8 14.70280000 PA USD 15.27000000 0.000000042576 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FA6N5 25549.99670000 PA USD 4241.19000000 0.000011825451 Long ABS-CBDO USGSE US N 2 2034-05-25 Fixed 0.05500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F012460 35500000.00000000 PA USD 35938204.90000000 0.100204309360 Long ABS-MBS USGA US N 2 2036-06-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375MW41 74.46980000 PA USD 82.63000000 0.000000230392 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213PNP2 2678.17710000 PA USD 3126.26000000 0.000008716760 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 0.07000000 N N N N N N FLATIRON CLO LT N/A 33883PAC1 7180000.00000000 PA USD 7180000.00000000 0.020019556992 Long ABS-CBDO CORP KY N 2 2034-07-19 Variable 0.01110000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230SPQ1 8515.49520000 PA USD 9387.58000000 0.000026174817 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31359E3G4 21633.54870000 PA USD 22860.35000000 0.000063740122 Long ABS-CBDO USGSE US N 2 2023-11-25 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176RDC3 14623.66570000 PA USD 16203.55000000 0.000045179372 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAL6 10742000.00000000 PA USD 10698191.44000000 0.029829116051 Long DBT CORP US N 2 2024-02-15 Fixed 0.00700000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RYX6 565.57220000 PA USD 642.93000000 0.000001792642 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W26A8 175498.75530000 PA USD 189782.97000000 0.000529160304 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N CSMC 2019-ICE4 N/A 12653VAE6 1603000.00000000 PA USD 1604930.01000000 0.004474928663 Long ABS-MBS CORP US N 2 2036-05-15 Variable 0.01531000 N N N N N N DUKE REALTY LP 2549009GZDBNY1KE9O81 26441YAX5 1544000.00000000 PA USD 1617391.63000000 0.004509674640 Long DBT CORP US N 2 2023-04-15 Fixed 0.03625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411XZ65 5267.10660000 PA USD 6256.23000000 0.000017443865 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 0.06000000 N N N N N N CANADIAN NATL RESOURCES LTD 549300T15RIMIKZC5Q38 136385AR2 2648000.00000000 PA USD 2665127.40000000 0.007431012517 Long DBT CORP CA N 2 2021-11-15 Fixed 0.03450000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X1FU5 7773.87120000 PA USD 8285.17000000 0.000023101035 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N HESS MIDSTREAM PARTNERS LP N/A 428102AC1 1503000.00000000 PA USD 1558099.98000000 0.004344355341 Long DBT CORP US N 2 2026-02-15 Fixed 0.05625000 N N N N N N CNH EQUIP TR 2019-C N/A 12597CAB3 692892.15000000 PA USD 693981.17000000 0.001934985457 Long ABS-CBDO CORP US N 2 2023-03-15 Fixed 0.01990000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QRZ6 1369416.10290000 PA USD 1497574.14000000 0.004175594825 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223QA49 3.80830000 PA USD 3.83000000 0.000000010678 Long ABS-MBS USGA US N 2 2022-05-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MFUA4 6686124.46690000 PA USD 7209559.76000000 0.020101976672 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DLV9 61982.88460000 PA USD 73444.49000000 0.000204780801 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVK38 35796024.74600000 PA USD 38136243.56000000 0.106332966773 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03500000 N N N N N N RATTLER MIDSTREAM PARTNERS 549300I45NRVEEN9M219 75419TAA1 1110000.00000000 PA USD 1154400.00000000 0.003218743257 Long DBT CORP US N 2 2025-07-15 Fixed 0.05625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230MGS0 9112.45510000 PA USD 10368.34000000 0.000028909411 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04V7 84972.25450000 PA USD 96683.18000000 0.000269575826 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M8AR5 43279.23130000 PA USD 48242.52000000 0.000134511682 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LWX0 356946.20960000 PA USD 419726.41000000 0.001170297602 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HLHW6 220474.54500000 PA USD 238655.34000000 0.000665428158 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCC4 22490000.00000000 PA USD 19874413.00000000 0.055414616121 Long DBT CORP MX N 2 2047-09-21 Fixed 0.06750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177RCF6 83455.26000000 PA USD 90203.15000000 0.000251507952 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLK9 14415421.62700000 PA USD 14970343.28000000 0.041740897004 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BPJ5 326098.19540000 PA USD 328840.29000000 0.000916885365 Long ABS-CBDO USGA US N 2 2062-01-20 Variable 0.00810380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YUAV3 7539.11680000 PA USD 8206.35000000 0.000022881266 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M9CJ9 936729.45750000 PA USD 1027939.27000000 0.002866140501 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CZ31 426047.19000000 PA USD 449444.21000000 0.001253157935 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293J4H9 36.84010000 PA USD 40.75000000 0.000000113620 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DRX1 12305.88330000 PA USD 14341.14000000 0.000039986527 Long ABS-MBS USGA US N 2 2032-02-20 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M1RH4 197.52000000 PA USD 198.97000000 0.000000554775 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVN81 9003.58660000 PA USD 10283.86000000 0.000028673860 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NXYW1 65943.17170000 PA USD 70177.31000000 0.000195671122 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HDFH2 70187.14330000 PA USD 75148.71000000 0.000209532574 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241L7B6 13055.74800000 PA USD 14449.07000000 0.000040287462 Long ABS-MBS USGA US N 2 2041-06-20 Fixed 0.04500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NHTD5 23436.60440000 PA USD 24910.41000000 0.000069456180 Long ABS-MBS USGSE US N 2 2036-12-01 Variable 0.02575000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213D3E6 279.03170000 PA USD 303.70000000 0.000000846788 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EDEA5 218725.94350000 PA USD 239860.99000000 0.000668789799 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177ULL6 13447.70000000 PA USD 14820.69000000 0.000041323627 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KLM1 15.47020000 PA USD 15.71000000 0.000000043803 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 0.06500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BLS9 716482.97050000 PA USD 719048.19000000 0.002004878303 Long ABS-CBDO USGA US N 2 2061-02-20 Variable 0.00600380 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J4MR7 684392.51950000 PA USD 732218.21000000 0.002041599468 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 064159KJ4 13095000.00000000 PA USD 13209581.25000000 0.036831471404 Long EP CORP CA N 2 N N N TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP N/A 87470LAD3 125000.00000000 PA USD 125937.50000000 0.000351143866 Long DBT CORP US N 2 2028-01-15 Fixed 0.05500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBC9 560000.00000000 PA USD 612994.88000000 0.001709176314 Long DBT CORP US N 2 2027-05-15 Fixed 0.03875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FBH8 90431.42400000 PA USD 100836.39000000 0.000281155968 Long ABS-MBS USGA US N 2 2039-09-20 Fixed 0.04500000 N N N N N N WELLS FARGO COML MTG TR 2018-C46 N/A 95001QAV3 24942025.23400000 PA USD 1141416.91000000 0.003182543298 Long ABS-MBS CORP US N 2 2051-08-15 Variable 0.00937402 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UPA4 12466848.61100000 PA USD 13255668.51000000 0.036959973706 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945RC4 29768.59010000 PA USD 33182.47000000 0.000092520661 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F83Q4 11600000.00000000 PA USD 11507993.44000000 0.032087037680 Long ABS-MBS USGSE US N 2 2030-10-25 Fixed 0.01547000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JAPS1 348850.54900000 PA USD 368226.23000000 0.001026702785 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.03000000 N N N N N N ARES XXXIV CLO LTD 549300VDFIIXSFET0S73 04015GAP4 20753000.00000000 PA USD 20843109.53000000 0.058115573696 Long ABS-CBDO CORP KY N 2 2033-04-17 Variable 0.01439750 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378Y2R9 1118995.14420000 PA USD 1187428.30000000 0.003310834056 Long ABS-CBDO USGA US N 2 2044-02-20 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WBY3 97996800.82500000 PA USD 101630385.00000000 0.283369816809 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 0.02500000 N N N N N N REGENCY ENERGY PARTNERS LP / REGENCY ENERGY FIN CORP N/A 75886AAL2 2000000.00000000 PA USD 2053096.82000000 0.005724524902 Long DBT CORP US N 2 2022-03-01 Fixed 0.05875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411KKH5 6498.31410000 PA USD 6848.87000000 0.000019096287 Long ABS-MBS USGSE US N 2 2037-03-01 Variable 0.01940000 N N N N N N BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA N/A 09228YAA0 950124.99310000 PA USD 955117.04000000 0.002663094709 Long ABS-CBDO CORP KY N 2 2041-12-16 Variable 0.02487000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TJR70 20961.66710000 PA USD 23421.51000000 0.000065304770 Long ABS-CBDO USGSE US N 2 2029-03-15 Fixed 0.06000000 N N N N N N BAYVIEW COML ASSET TR 06 2 N/A 07324YAE9 10341.39000000 PA USD 9128.78000000 0.000025453221 Long ABS-MBS CORP US N 2 2036-07-25 Variable 0.00586630 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292J4E7 8973.61060000 PA USD 10675.44000000 0.000029765679 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213JV85 111.07890000 PA USD 128.57000000 0.000000358483 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TSTH6 12420.77970000 PA USD 13933.92000000 0.000038851101 Long ABS-CBDO USGSE US N 2 2031-04-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LA48 46701.20390000 PA USD 53381.50000000 0.000148840387 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.05000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38374GZM7 52101.89330000 PA USD 9920.38000000 0.000027660391 Long ABS-CBDO USGA US N 2 2034-05-16 Variable 0.06399120 N N N N N N MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC N/A 55820BAA5 9770000.00000000 PA USD 9779437.82000000 0.027267411252 Long ABS-CBDO CORP KY N 2 2031-07-15 Variable 0.01833750 N N N N N N BX TR 2018-IND N/A 12433WAA9 11493874.40800000 PA USD 11220232.84000000 0.031284692313 Long ABS-MBS CORP US N 2 2037-09-15 Variable 0.01188627 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293SCX5 274.49380000 PA USD 311.11000000 0.000000867449 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F2CQ1 23656.57530000 PA USD 25676.33000000 0.000071591748 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WVB91 29785.23330000 PA USD 31930.41000000 0.000089029618 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BJK9 315526.20060000 PA USD 316350.64000000 0.000882061234 Long ABS-CBDO USGA US N 2 2060-12-20 Variable 0.00490380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MRB75 104864.91230000 PA USD 114965.03000000 0.000320549995 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04000000 N N N N N N AIMCO CLO 12 LTD N/A 00140LAB0 9320000.00000000 PA USD 9312320.32000000 0.025964975958 Long ABS-CBDO CORP KY N 2 2032-01-17 Variable 0.01435600 N N N N N N CSMC SER 2015-1R N/A 12649MBC6 85535.20840000 PA USD 83899.78000000 0.000233932650 Long ABS-CBDO CORP US N 2 2037-05-27 Variable 0.00399440 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BNA6 1134800.92240000 PA USD 1141728.66000000 0.003183412531 Long ABS-CBDO USGA US N 2 2061-09-20 Variable 0.00660380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A55Q8 6679.26360000 PA USD 7541.83000000 0.000021028425 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.04500000 N N N N N N MGM GROWTH PPTYS OPER PARTNERSHIP LP / MGP FIN CO-ISSUER INC N/A 55303XAB1 1508000.00000000 PA USD 1594725.08000000 0.004446474878 Long DBT CORP US N 2 2026-09-01 Fixed 0.04500000 N N N N N N SIGNATURE AVIATION US HOLDINGS INC 213800CSNQ87U1MC8N11 05545MAA0 641000.00000000 PA USD 658226.88000000 0.001835293946 Long DBT CORP US N 2 2026-05-01 Fixed 0.05375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FKJ0 21750.44970000 PA USD 23951.94000000 0.000066783736 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04000000 N N N N N N PRIME SEC SVCS BORROWER LLC / PRIME FIN INC N/A 74166MAF3 1230000.00000000 PA USD 1180492.50000000 0.003291495387 Long DBT CORP US N 2 2027-08-31 Fixed 0.03375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A4T4 585.25000000 PA USD 664.88000000 0.000001853844 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180B4B4 43128.82000000 PA USD 46616.06000000 0.000129976722 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 0.03500000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WBE2 1370000.00000000 PA USD 1441779.10000000 0.004020024911 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 0.05350300 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176DQK2 24358.92000000 PA USD 26810.83000000 0.000074755005 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TK2P4 140231.29590000 PA USD 156541.09000000 0.000436473993 Long ABS-CBDO USGSE US N 2 2029-03-15 Fixed 0.06000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAS9 1376000.00000000 PA USD 1595082.72000000 0.004447472064 Long DBT CORP US N 2 2029-02-15 Fixed 0.04800000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 22100000.00000000 NC USD 20007.57000000 0.000055785889 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2031-10-18 0.00000000 USD 0.00000000 USD 22100000.00000000 USD 1.00000000 0.86500000 USD 2021-10-14 XXXX -496027.43000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DU68 464869.12820000 PA USD 497187.48000000 0.001386277589 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GRCZ2 37926.98140000 PA USD 41619.95000000 0.000116046373 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TDW6 1035.84400000 PA USD 1177.96000000 0.000003284434 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AWQD2 438085.02290000 PA USD 87141.55000000 0.000242971480 Long ABS-CBDO USGSE US N 2 2047-05-25 Fixed 0.05500000 N N N N N N GB 2020-FLIX A N/A 368306AA4 6300000.00000000 PA USD 6323468.76000000 0.017631343068 Long ABS-MBS CORP TC N 2 2037-08-15 Variable 0.01221000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WRB41 7957.62980000 PA USD 8478.53000000 0.000023640169 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194GLR3 53091.97190000 PA USD 57948.49000000 0.000161574247 Long ABS-MBS USGA US N 2 2046-07-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204DT82 639590.96260000 PA USD 727340.03000000 0.002027997936 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208UWE3 74.39940000 PA USD 84.20000000 0.000000234769 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385HX98 874.94540000 PA USD 1026.54000000 0.000002862239 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.07500000 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAJ4 2264000.00000000 PA USD 2821569.41000000 0.007867210252 Long DBT CORP US N 2 2039-01-25 Fixed 0.05476000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384GGC3 126.72070000 PA USD 148.04000000 0.000000412770 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208JKR2 173.25560000 PA USD 188.16000000 0.000000524635 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296QY29 14197.45920000 PA USD 16026.52000000 0.000044685770 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AABN7 17323.22750000 PA USD 19954.33000000 0.000055637443 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JMMH9 23121.05720000 PA USD 25343.46000000 0.000070663627 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KPY5 168814.07360000 PA USD 186442.87000000 0.000519847306 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAA9 325000.00000000 PA USD 354250.00000000 0.000987733713 Long DBT CORP FR N 2 2027-02-01 Fixed 0.08125000 N N N N N N CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1 N/A 14855MAA6 8502132.39990000 PA USD 8522060.55000000 0.023761542740 Long ABS-CBDO CORP US N 2 2039-04-15 Fixed 0.03967000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QAPP9 178511.08300000 PA USD 190572.27000000 0.000531361061 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030660 49975000.00000000 PA USD 52192645.62000000 0.145525577101 Long ABS-MBS USGA US N 2 2051-06-01 Fixed 0.03000000 N N N N N N SILVERSTONE MASTER ISSUER PLC 549300P6OXWKM20QS303 82846GAV2 8890000.13500000 PA USD 8901192.65000000 0.024818653699 Long ABS-CBDO CORP GB N 2 2070-01-21 Variable 0.00756000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BR3 2240000.00000000 PA USD 2244816.00000000 0.006259083823 Long DBT CORP US N 2 2028-07-01 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178YCJ2 358368.13390000 PA USD 391458.38000000 0.001091479575 Long ABS-MBS USGA US N 2 2042-10-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179KP24 31643.52250000 PA USD 34874.29000000 0.000097237860 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 0.04000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599EF8 365000.00000000 PA USD 404839.75000000 0.001128790034 Long DBT CORP US N 2 2031-01-01 Fixed 0.06125000 N N N N N N VOYA 2020 N/A 92918EAA5 12409000.00000000 PA USD 12425615.65000000 0.034645587837 Long ABS-CBDO CORP KY N 2 2031-07-16 Variable 0.01883630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9SW2 15203.78420000 PA USD 17167.21000000 0.000047866286 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31398SE82 102980.71450000 PA USD 112977.64000000 0.000315008677 Long ABS-CBDO USGSE US N 2 2040-12-25 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XSTK3 110783.58370000 PA USD 122431.98000000 0.000341369638 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 0.04500000 N N N N N N OPEN TEXT CORPORATION 549300UQROQS42RKHM85 683715AC0 420000.00000000 PA USD 419886.60000000 0.001170744250 Long DBT CORP CA N 2 2028-02-15 Fixed 0.03875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209TVT3 220.62000000 PA USD 250.54000000 0.000000698565 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBE0 2879000.00000000 PA USD 2852812.44000000 0.007954323291 Long DBT CORP US N 2 2028-02-15 Fixed 0.01950000 N N N N N N DARLING INGREDIENTS INC L1N0SPPKS7EXZYUMZ898 237266AH4 615000.00000000 PA USD 642675.00000000 0.001791931586 Long DBT CORP US N 2 2027-04-15 Fixed 0.05250000 N N N N N N STERICYCLE INC B8PTJH2P0AXSWSMP2136 858912AG3 450000.00000000 PA USD 448875.00000000 0.001251570841 Long DBT CORP US N 2 2029-01-15 Fixed 0.03875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ABXF1 6032.36320000 PA USD 6879.16000000 0.000019180743 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31387WL54 239.69200000 PA USD 283.90000000 0.000000791581 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9GM6 371218.97640000 PA USD 395634.57000000 0.001103123791 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412D2G2 3111.52770000 PA USD 3796.87000000 0.000010586581 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WM7H1 863192.98630000 PA USD 946033.27000000 0.002637766986 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBF2 525000.00000000 PA USD 583772.21000000 0.001627696522 Long DBT CORP US N 2 2031-03-01 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J62X1 105454.73130000 PA USD 112404.61000000 0.000313410932 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378KST2 262.03570000 PA USD 271.46000000 0.000000756895 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384DXC1 114.56170000 PA USD 134.28000000 0.000000374404 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07500000 N N N N N N TEVA PHARMACEUTICAL FIN NETH III B V 5493004T21MOAFINJP35 88167AAC5 748000.00000000 PA USD 746130.00000000 0.002080388866 Long DBT CORP NL N 2 2021-07-21 Fixed 0.02200000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193XHD3 19333.15880000 PA USD 20914.97000000 0.000058315937 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EWG2 313029.66020000 PA USD 333520.24000000 0.000929934185 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XV6D7 24757.43140000 PA USD 27830.47000000 0.000077598005 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407BU49 2563.76820000 PA USD 3038.09000000 0.000008470921 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200NVW8 3297.91500000 PA USD 3858.54000000 0.000010758532 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131XV5X9 7423.92600000 PA USD 7919.14000000 0.000022080456 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E67L0 193269.99640000 PA USD 210133.38000000 0.000585902113 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N CEDAR FUNDING LTD 549300ZKTUZSV15HAV29 15033XAA4 6412000.00000000 PA USD 6442771.19000000 0.017963986772 Long ABS-CBDO CORP KY N 2 2032-10-20 Variable 0.01528250 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128LUB39 9386.17020000 PA USD 9930.17000000 0.000027687688 Long ABS-MBS USGSE US N 2 2036-04-01 Variable 0.02114000 N N N N N N WESTPAC BANKING CORPORATION EN5TNI6CI43VEPAMHL14 961214EF6 5171000.00000000 PA USD 5618084.66000000 0.015664563515 Long DBT CORP AU N 2 2034-07-24 Variable 0.04110000 N N N N N N COMCAST CORP NEW 51M0QTTNCGUN7KFCFZ59 20030NDH1 1000000.00000000 PA USD 1097421.24000000 0.003059872849 Long DBT CORP US N 2 2040-04-01 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410G5Q2 5647.52450000 PA USD 5761.78000000 0.000016065220 Long ABS-MBS USGSE US N 2 2023-03-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180XDA8 19358.83120000 PA USD 20905.97000000 0.000058290843 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TNS0 2613794.28800000 PA USD 2801231.83000000 0.007810504215 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946FC5 58105.31980000 PA USD 64135.26000000 0.000178824441 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417LTE5 85.19010000 PA USD 86.14000000 0.000000240178 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FLH7 230925.52260000 PA USD 247848.46000000 0.000691060775 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QDE59 17107429.62000000 PA USD 18253919.94000000 0.050896293952 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410EM88 10320.58110000 PA USD 10860.55000000 0.000030281810 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 0.02553000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4H25 20824.28400000 PA USD 21980.71000000 0.000061287475 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213JU86 926.07750000 PA USD 1081.65000000 0.000003015898 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 0.07000000 N N N N N N ILLINOIS ST N/A 452152GR6 295000.00000000 PA USD 296098.20000000 0.000825592589 Long DBT MUN US N 2 2021-07-01 Fixed 0.06200000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202E6Z7 13069.72260000 PA USD 14398.40000000 0.000040146182 Long ABS-MBS USGA US N 2 2039-07-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JNVR5 24453.50270000 PA USD 26804.94000000 0.000074738582 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241K3M8 3963.00530000 PA USD 4598.82000000 0.000012822609 Long ABS-MBS USGA US N 2 2039-03-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M4QA6 32137.16590000 PA USD 35217.42000000 0.000098194588 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPBX0 2401000.00000000 PA USD 2512046.25000000 0.007004185664 Long DBT CORP US N 2 2028-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FP5W5 108116.43350000 PA USD 117380.98000000 0.000327286242 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MAF45 19670.99830000 PA USD 21278.21000000 0.000059328737 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W0FW4 24498.18660000 PA USD 26071.19000000 0.000072692712 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390FKW8 2477.67650000 PA USD 2854.71000000 0.000007959614 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020463 27100000.00000000 PA USD 27999804.01000000 0.078070149326 Long ABS-MBS USGA US N 2 2036-06-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409JKT6 24507.86760000 PA USD 25772.75000000 0.000071860590 Long ABS-MBS USGSE US N 2 2036-05-01 Variable 0.02383000 N N N N N N ZIGGO BV 213800TQASLF9JXH5J59 98955DAA8 550000.00000000 PA USD 563612.50000000 0.001571486429 Long DBT CORP NL N 2 2030-01-15 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FXT4 59.17440000 PA USD 66.72000000 0.000000186031 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKNL5 161342.72400000 PA USD 175748.39000000 0.000490028538 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DMJJ5 2536421.66300000 PA USD 2673521.85000000 0.007454418251 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQDM1 416453.79930000 PA USD 472800.54000000 0.001318280968 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M9UR1 3667.52590000 PA USD 4088.12000000 0.000011398656 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JQKD4 1371489.94600000 PA USD 1445723.90000000 0.004031023957 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J7EX6 45246.66730000 PA USD 49609.94000000 0.000138324376 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGX66 607942.47870000 PA USD 649827.53000000 0.001811874550 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GSS67 28512.35250000 PA USD 31279.70000000 0.000087215283 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M9LV2 103263.95870000 PA USD 110488.97000000 0.000308069670 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208FAU4 315.79950000 PA USD 341.61000000 0.000000952490 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TZ93 239.88020000 PA USD 275.00000000 0.000000766765 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07000000 N N N N N N WELLS FARGO COML MTG TR 2017 N/A 95001GAG8 1447615.81130000 PA USD 69973.55000000 0.000195102990 Long ABS-MBS CORP US N 2 2050-12-15 Variable 0.00879752 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EPH80 110364.07000000 PA USD 120338.55000000 0.000335532654 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137BGB32 611708.99050000 PA USD 50926.67000000 0.000141995734 Long ABS-CBDO USGSE US N 2 2034-02-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KE72 296.56600000 PA USD 344.50000000 0.000000960548 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132LQWA1 375035.84400000 PA USD 409296.94000000 0.001141217746 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378MRQ5 293.96580000 PA USD 333.58000000 0.000000930100 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N BX TRUST 2019 N/A 056054AG4 7474787.73000000 PA USD 7479284.56000000 0.020854033915 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.01551000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HRE6 4814.25530000 PA USD 5621.28000000 0.000015673472 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MQ4U4 8631.43380000 PA USD 9185.65000000 0.000025611788 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCVQ6 9449649.55500000 PA USD 9960427.68000000 0.027772054263 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N BCAP LLC 2010-RR2 TR N/A 05532VBE6 1590.48000000 PA USD 1589.05000000 0.000004430651 Long ABS-CBDO CORP US N 2 2036-12-26 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204J2Z8 91.87790000 PA USD 97.58000000 0.000000272076 Long ABS-MBS USGA US N 2 2024-03-15 Fixed 0.07000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CAV3 428909000.00000000 PA USD 402504289.69000000 1.122278212707 Long DBT UST US N 2 2030-11-15 Fixed 0.00875000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BD8 410000.00000000 PA USD 397249.00000000 0.001107625208 Long DBT CORP US N 2 2030-12-01 Fixed 0.04625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208F2P4 254.84160000 PA USD 287.35000000 0.000000801200 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X02V9 18845.07310000 PA USD 20648.37000000 0.000057572593 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N BAYVIEW COML ASSET TR 06 2 N/A 07324YAG4 9766.85000000 PA USD 7961.97000000 0.000022199876 Long ABS-MBS CORP US N 2 2036-07-25 Variable 0.00721630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213VWM6 777.90410000 PA USD 909.97000000 0.000002537213 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NXJ57 87503.70790000 PA USD 93122.22000000 0.000259647018 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31397R3R5 56145.01380000 PA USD 62704.38000000 0.000174834806 Long ABS-CBDO USGSE US N 2 2037-12-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203MU24 205.27570000 PA USD 231.46000000 0.000000645365 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N ARAMARK SERVICES INC 42YMHYH0XMHJEXDUB065 038522AN8 843000.00000000 PA USD 863021.25000000 0.002406309623 Long DBT CORP US N 2 2026-06-01 Fixed 0.04750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203KPJ7 82.70560000 PA USD 86.65000000 0.000000241600 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N WELLS FARGO MTG BACKED SECS 2003-I TR N/A 949802AA0 11986.93000000 PA USD 11929.01000000 0.000033260932 Long ABS-CBDO CORP US N 2 2033-09-25 Variable 0.02697998 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQWF5 6298.03140000 PA USD 6710.29000000 0.000018709893 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209TPS2 706.51620000 PA USD 801.53000000 0.000002234857 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N SYNCHRONY BANK 549300UATVPGSLE43Z27 87166FAA1 3984000.00000000 PA USD 4084424.57000000 0.011388352431 Long DBT CORP US N 2 2022-06-15 Fixed 0.03000000 N N N N N N BX 2020-BXLP N/A 05607QAN8 5287919.49000000 PA USD 5287917.90000000 0.014743979633 Long ABS-MBS CORP US N 2 2036-12-15 Variable 0.01221000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307YFH8 165484.44500000 PA USD 175504.99000000 0.000489349881 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945R42 286237.99270000 PA USD 316110.71000000 0.000881392252 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N BFLD TR 2020 -OBRK N/A 05553JAA6 6075000.00000000 PA USD 6158232.36000000 0.017170624471 Long ABS-MBS CORP US N 2 2028-11-15 Variable 0.02151000 N N N N N N TTM TECHNOLOGIES INC 549300SC4BDOIS008048 87305RAK5 315000.00000000 PA USD 311456.25000000 0.000868414505 Long DBT CORP US N 2 2029-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378D7H7 643.36760000 PA USD 736.07000000 0.000002052339 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N HOWMET AEROSPACE INC 549300HO5WFZUT5N2T22 013817AK7 25000.00000000 PA USD 29000.00000000 0.000080858934 Long DBT CORP US N 2 2037-02-01 Fixed 0.05950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410YWC4 1307.65970000 PA USD 1562.77000000 0.000004357376 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.06500000 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021 N/A 05608KAA8 13800000.00000000 PA USD 13787566.20000000 0.038443031661 Long ABS-MBS CORP US N 2 2038-05-15 Variable 0.00762330 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HJZ4 15380000.00000000 PA USD 17452028.21000000 0.048660428048 Long DBT CORP US N 2 2026-12-15 Fixed 0.04125000 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311VAH0 1740000.00000000 PA USD 1875546.00000000 0.005229470757 Long DBT CORP US N 2 2029-05-15 Fixed 0.05125000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAD9 2100000.00000000 PA USD 2530495.84000000 0.007055627533 Long DBT CORP US N 2 2041-02-15 Fixed 0.05600000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177Q2N2 12149.55450000 PA USD 13390.01000000 0.000037334549 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N XPO LOGISTICS INC 54930096DB9LCLPN7H13 983793AH3 1705000.00000000 PA USD 1823190.60000000 0.005083491382 Long DBT CORP US N 2 2025-05-01 Fixed 0.06250000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396WYX8 38638.82500000 PA USD 79700.19000000 0.000222223188 Long ABS-CBDO USGSE US N 2 2037-07-25 Variable 0.39050220 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BB5 882000.00000000 PA USD 961591.89000000 0.002681148140 Long DBT CORP US N 2 2024-04-01 Fixed 0.04950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NYW43 43330.23030000 PA USD 45114.68000000 0.000125790516 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NAF2 3854000.00000000 PA USD 4122788.60000000 0.011495320521 Long DBT CORP CA N 2 2023-10-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392B2Z8 3101.71650000 PA USD 3148.47000000 0.000008778687 Long ABS-CBDO USGSE US N 2 2032-01-25 Variable 0.00841630 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DS36 39058.47980000 PA USD 44656.10000000 0.000124511885 Long ABS-MBS USGA US N 2 2032-05-20 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177TMR5 35278.81650000 PA USD 39696.56000000 0.000110683502 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204DFH7 101.50240000 PA USD 108.07000000 0.000000301325 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7DA8 14512.77130000 PA USD 16154.82000000 0.000045043501 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H0H92 23200000.00000000 PA USD 23214462.88000000 0.064727473910 Long ABS-MBS USGSE US N 2 2031-04-25 Variable 0.00240000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8LK7 2084407.56860000 PA USD 2229309.54000000 0.006215848104 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGYW8 232684.52860000 PA USD 252550.67000000 0.000704171661 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210BTU9 1510.92000000 PA USD 1763.25000000 0.000004916362 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07500000 N N N N N N ENDEAVOR ENERGY RES L P / EER FIN INC N/A 29260FAF7 110000.00000000 PA USD 116616.50000000 0.000325154689 Long DBT CORP US N 2 2025-07-15 Fixed 0.06625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AKT97 5577.20490000 PA USD 6377.99000000 0.000017783361 Long ABS-MBS USGA US N 2 2040-01-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A7CA4 3756.51000000 PA USD 4185.53000000 0.000011670258 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.04500000 N N N N N N TRAPEZA CDO XII LTD / TRAPEZA CDO XII INC 5493000R4ICCD2N68609 89413GAG3 778000.00000000 PA USD 524936.05000000 0.001463647238 Long ABS-CBDO CORP KY N 2 2042-04-06 Variable 0.00754250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5V91 12050303.59200000 PA USD 12735545.31000000 0.035509745844 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 02005NBK5 17631000.00000000 PA USD 18435502.53000000 0.051402589636 Long DBT CORP US N 2 2023-06-05 Fixed 0.03050000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UGMY0 16312.64390000 PA USD 17274.03000000 0.000048164126 Long ABS-MBS USGSE US N 2 2041-05-01 Variable 0.02466000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416TBZ1 1622.12950000 PA USD 1809.60000000 0.000005045597 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379CJP7 132.40400000 PA USD 142.03000000 0.000000396013 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SLU9 16774.28400000 PA USD 18559.20000000 0.000051747487 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412LUZ1 10357.50910000 PA USD 11603.16000000 0.000032352384 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.06500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174824M3 9955000.00000000 PA USD 10571324.90000000 0.029475381799 Long DBT CORP US N 2 2022-11-01 Fixed 0.04875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FW57 149387.49050000 PA USD 173829.67000000 0.000484678688 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AFH42 20861.04110000 PA USD 23856.66000000 0.000066518073 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.05000000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAB8 665000.00000000 PA USD 689937.50000000 0.001923710738 Long DBT CORP US N 2 2027-02-15 Fixed 0.05625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GM29 547012.45800000 PA USD 591534.95000000 0.001649340897 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LU87 8442.05970000 PA USD 9318.23000000 0.000025981453 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128E37H1 2332.00800000 PA USD 2571.10000000 0.000007168841 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARHT1 5459.49530000 PA USD 6022.16000000 0.000016791222 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297EUH6 4836.99980000 PA USD 5696.71000000 0.000015883789 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N NATIONSTAR HECM LOAN TRUST 2020-1 N/A 63862XAA0 12898322.66930000 PA USD 12883438.00000000 0.035922106030 Long ABS-CBDO CORP US N 2 2030-09-25 Fixed 0.01268600 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M7NN2 7299.65480000 PA USD 8165.53000000 0.000022767450 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04500000 N N N N N N MGM RESORTS INTERNATIONAL 54930066VBP7DZEGGJ87 552953CE9 820000.00000000 PA USD 900975.00000000 0.002512133755 Long DBT CORP US N 2 2025-06-15 Fixed 0.05750000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396VYS1 32909.01960000 PA USD 7292.94000000 0.000020334460 Long ABS-CBDO USGSE US N 2 2037-05-25 Variable 0.06348370 N N N N N N TELECOM ITALIA CAP 549300777DJZOR5C4L39 87927VAR9 1635000.00000000 PA USD 2025871.28000000 0.005648613586 Long DBT CORP LU N 2 2036-07-18 Fixed 0.07200000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177PB53 15774.70210000 PA USD 17390.21000000 0.000048488064 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YGB9 71.34050000 PA USD 79.50000000 0.000000221665 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJ4Q0 390838.61000000 PA USD 412332.15000000 0.001149680637 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GHR0 41056.52590000 PA USD 43744.04000000 0.000121968844 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NWSW0 20453.72390000 PA USD 21767.04000000 0.000060691712 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KAG6 124.08240000 PA USD 146.44000000 0.000000408309 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H040665 61400000.00000000 PA USD 65165993.56000000 0.181698373545 Long ABS-MBS USGA US N 2 2051-06-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AVK3 159.97490000 PA USD 179.51000000 0.000000500516 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4RB8 34928.90760000 PA USD 39990.33000000 0.000111502603 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.05000000 N N N N N N GALLAGHER (ARTHUR J.) and CO 54930049QLLMPART6V29 363576AA7 10862000.00000000 PA USD 10833651.81000000 0.030206811956 Long DBT CORP US N 2 2031-05-20 Fixed 0.02500000 N N N N N N GM FINL AUTOMOBILE LEASING TR 2020-1 N/A 36259KAB3 1410026.70000000 PA USD 1412180.80000000 0.003937497772 Long ABS-CBDO CORP US N 2 2022-04-20 Fixed 0.01670000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210TSU1 131.75950000 PA USD 146.30000000 0.000000407919 Long ABS-MBS USGA US N 2 2029-06-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E4JQ1 97608.33370000 PA USD 106124.95000000 0.000295901738 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945WW4 10644.23180000 PA USD 12144.15000000 0.000033860794 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HPYW8 174851.51990000 PA USD 191774.45000000 0.000534713026 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N RETAIL OPPORTUNITY INVESTMENTS PARTNERSHIP LP 549300KH0PNTJK9NTE57 76132FAA5 494000.00000000 PA USD 534099.48000000 0.001489197072 Long DBT CORP US N 2 2023-12-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209ECT7 78.71630000 PA USD 89.30000000 0.000000248989 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224UDA2 55.39250000 PA USD 57.66000000 0.000000160769 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176Q6C3 11367.55070000 PA USD 12531.72000000 0.000034941432 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVKW4 21982919.14600000 PA USD 23232980.04000000 0.064779104181 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373UM53 46.24130000 PA USD 50.85000000 0.000000141781 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N ADVANCED DRAIN SYS INC DEL 6QQTOZ5MF5DHM7K92I60 00790RAA2 965000.00000000 PA USD 1005723.00000000 0.002804196228 Long DBT CORP US N 2 2027-09-30 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403MPC7 1877.64680000 PA USD 2079.42000000 0.000005797920 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383DXP3 2481.61730000 PA USD 2868.19000000 0.000007997199 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312938BB8 2628.96000000 PA USD 2919.22000000 0.000008139483 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207LWE4 323.62960000 PA USD 357.28000000 0.000000996182 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384LWH3 187.95280000 PA USD 212.98000000 0.000000593839 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378KRN6 543.98700000 PA USD 622.59000000 0.000001735929 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203KB45 260.60450000 PA USD 273.03000000 0.000000761272 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XCSA4 85534.04340000 PA USD 92906.96000000 0.000259046821 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XJN1 10930.40100000 PA USD 11899.83000000 0.000033179571 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.03500000 N N N N N N ILLINOIS ST N/A 452152GS4 1385000.00000000 PA USD 1752694.92000000 0.004886932568 Long DBT MUN US N 2 2035-07-01 Fixed 0.07350000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31346YWP4 9666660.92100000 PA USD 10140835.77000000 0.028275075160 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389DG43 1808.06210000 PA USD 2089.88000000 0.000005827085 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030660 -47275000.00000000 PA USD -49372832.85000000 -0.13766326478 Short ABS-MBS USGA US N 2 2051-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213FZA4 330.83630000 PA USD 386.41000000 0.000001077403 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N CASTLELAKE AIRCRAFT SECURITIZATION N/A 14856CAA7 5330671.36000000 PA USD 5325327.36000000 0.014848286154 Long ABS-CBDO CORP US N 2 2043-06-15 Fixed 0.04125000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A8ZB8 2635034.14800000 PA USD 2775075.15000000 0.007737573137 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378LJ94 90.86550000 PA USD 102.73000000 0.000000286435 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200RLL4 1057.69930000 PA USD 1235.38000000 0.000003444534 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407XFG1 3284.66440000 PA USD 3897.05000000 0.000010865907 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H020675 192400000.00000000 PA USD 195379929.68000000 0.544765966218 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ALQG2 10805.97400000 PA USD 12371.83000000 0.000034495620 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.05000000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109AX2 1828000.00000000 PA USD 1954224.95000000 0.005448846485 Long DBT CORP US N 2 2031-01-15 Fixed 0.03250000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 02005NBA7 3595000.00000000 PA USD 4046124.51000000 0.011281562705 Long DBT CORP US N 2 2025-03-30 Fixed 0.04625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HGY3 198.71960000 PA USD 207.54000000 0.000000578671 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 0.07000000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RMG4 39772000.00000000 PA USD 39165436.83000000 0.109202603727 Long DBT CORP US N 2 2057-12-01 Fixed 0.03800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4V45 33436592.20800000 PA USD 36477917.76000000 0.101709157878 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.04500000 N N N N N N BWX TECHNOLOGIES INC 549300NP85N265KWMS58 05605HAA8 1748000.00000000 PA USD 1801488.80000000 0.005022981574 Long DBT CORP US N 2 2026-07-15 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CG81 1514621.06630000 PA USD 1599093.60000000 0.004458655356 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212VD22 159.12570000 PA USD 186.02000000 0.000000518668 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 0.07000000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AC1 395000.00000000 PA USD 415737.50000000 0.001159175567 Long DBT CORP US N 2 2028-07-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202E5W5 13940.96140000 PA USD 15393.60000000 0.000042921037 Long ABS-MBS USGA US N 2 2039-06-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQB76 398527.08480000 PA USD 431213.12000000 0.001202325296 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N RMF BUYOUT ISSUANCE TRUST 2020-2 N/A 76971EAA2 5499226.58000000 PA USD 5440208.88000000 0.015168603304 Long ABS-CBDO CORP US N 2 2050-10-25 Fixed 0.01718800 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H1GF1 18464.81570000 PA USD 20002.36000000 0.000055771362 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379FBG8 1496.93280000 PA USD 1683.52000000 0.000004694056 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JBB3 1530000.00000000 PA USD 1840170.87000000 0.005130836435 Long DBT CORP US N 2 2041-09-01 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FTL0 1537307.49150000 PA USD 1701850.28000000 0.004745165553 Long ABS-MBS USGA US N 2 2041-05-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QPGW8 34826.42110000 PA USD 37923.64000000 0.000105740177 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EDT3 5405.65660000 PA USD 6023.03000000 0.000016793647 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N BX TRUST 2019 N/A 05608BAG5 4437000.00000000 PA USD 4423213.80000000 0.012332977821 Long ABS-MBS CORP US N 2 2034-04-15 Variable 0.01401000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383SFA3 23.37550000 PA USD 26.96000000 0.000000075170 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128JPDH0 14334.48450000 PA USD 15125.72000000 0.000042174124 Long ABS-MBS USGSE US N 2 2038-04-01 Variable 0.02320000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176YEQ6 22780.51070000 PA USD 25241.63000000 0.000070379700 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBC1 2890000.00000000 PA USD 3128425.00000000 0.008722797017 Long DBT CORP US N 2 2029-07-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GSLX5 89373.52770000 PA USD 98047.94000000 0.000273381103 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31393P4T8 3007.38000000 PA USD 3108.22000000 0.000008666460 Long ABS-CBDO USGSE US N 2 2023-04-15 Fixed 0.05500000 N N N N N N CD 2017-CD6 MTG TR N/A 125039AD9 17655000.00000000 PA USD 19142359.60000000 0.053373476181 Long ABS-MBS CORP US N 2 2050-11-13 Fixed 0.03332000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KRC7 295.70000000 PA USD 349.75000000 0.000000975186 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200NN49 10339.23440000 PA USD 12137.94000000 0.000033843479 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945QT8 26488.55600000 PA USD 29526.28000000 0.000082326329 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207LGW2 1374.93180000 PA USD 1643.47000000 0.000004582387 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 0.08500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828ZX1 455500000.00000000 PA USD 455660135.58000000 1.270489422497 Long DBT UST US N 2 2022-06-30 Fixed 0.00125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AWT1 165519.23930000 PA USD 175074.50000000 0.000488149572 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.03000000 N N N N N N RETAIL PROPERTIES OF AMERICA INC. 549300OVTYLM7DH6CM14 76131VAB9 17486000.00000000 PA USD 19042259.42000000 0.053094372942 Long DBT CORP US N 2 2030-09-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374NA93 125.48970000 PA USD 136.46000000 0.000000380483 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761J3R8 14775000.00000000 PA USD 16085432.43000000 0.044850032212 Long DBT CORP US N 2 2026-07-27 Fixed 0.03125000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UGVQ7 17354.10310000 PA USD 18375.87000000 0.000051236319 Long ABS-MBS USGSE US N 2 2041-06-01 Variable 0.02761000 N N N N N N HORIZON AIRCRAFT FINANCE LTD N/A 44040HAA0 4598700.90900000 PA USD 4615391.43000000 0.012868815010 Long ABS-CBDO CORP US N 2 2039-07-15 Fixed 0.03721000 N N N N N N VORNADO REALTY L P 549300BMOJ05INE4YK86 929043AK3 3558000.00000000 PA USD 3588729.66000000 0.010006236484 Long DBT CORP US N 2 2026-06-01 Fixed 0.02150000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38141GFD1 59592000.00000000 PA USD 84991757.52000000 0.236977344509 Long DBT CORP US N 2 2037-10-01 Fixed 0.06750000 N N N N N N BX 2020-BXLP N/A 05607QAK4 6442324.44000000 PA USD 6442323.15000000 0.017962737530 Long ABS-MBS CORP US N 2 2036-12-15 Variable 0.01101000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HBKW7 192697.81000000 PA USD 206846.34000000 0.000576737060 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38376XNT6 928783.08230000 PA USD 933978.42000000 0.002604155182 Long ABS-CBDO USGA US N 2 2060-03-20 Variable 0.00661000 N N N N N N TOLEDO HOSPITAL/THE 5493009DCR7NWV6K4T34 889184AC1 2395000.00000000 PA USD 2771475.32000000 0.007727535950 Long DBT CORP US N 2 2028-11-15 Fixed 0.05325000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386SBG1 2587.33200000 PA USD 3071.35000000 0.000008563658 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378FH99 289.81990000 PA USD 332.07000000 0.000000925890 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176RCJ9 15159.17990000 PA USD 16796.92000000 0.000046833829 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209LMH6 337.49900000 PA USD 392.11000000 0.000001093296 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4XF8 7568233.00500000 PA USD 8148765.67000000 0.022720707346 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31400HM26 7817.68430000 PA USD 8659.89000000 0.000024145844 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SW47 50606.87700000 PA USD 54747.47000000 0.000152649038 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206CWA3 52.18000000 PA USD 57.42000000 0.000000160100 Long ABS-MBS USGA US N 2 2025-06-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292LYR0 1286990.41280000 PA USD 1370199.36000000 0.003820443478 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31296RNQ7 13472.98230000 PA USD 15351.52000000 0.000042803708 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A7HT2 99382.74420000 PA USD 5814.59000000 0.000016212467 Long ABS-CBDO USGSE US N 2 2027-07-25 Fixed 0.04500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38380GF25 198682.53940000 PA USD 207133.22000000 0.000577536950 Long ABS-CBDO USGA US N 2 2046-11-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36217W2E1 285.08320000 PA USD 296.13000000 0.000000825681 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07500000 N N N N N N RMF BUYOUT ISSUANCE TRUST 2020 N/A 74968QAA5 2713353.39000000 PA USD 2722950.52000000 0.007592237203 Long ABS-CBDO CORP US N 2 2030-02-25 Fixed 0.02158200 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206YFN6 314.26420000 PA USD 345.79000000 0.000000964145 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 0.07500000 N N N N N N BOOZ ALLEN AND HAMILTON INC 549300D7XCH2480XU542 09951LAA1 765000.00000000 PA USD 765510.64000000 0.002134426725 Long DBT CORP US N 2 2028-09-01 Fixed 0.03875000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287SCS4 354.62000000 PA USD 414.79000000 0.000001156533 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307VFK7 78085.24700000 PA USD 81720.91000000 0.000227857439 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617M76Y9 216140.48100000 PA USD 235986.24000000 0.000657986069 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QDA53 17090012.92400000 PA USD 17960890.93000000 0.050079258998 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209BU22 208.16350000 PA USD 234.66000000 0.000000654288 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378D6Z8 85.37810000 PA USD 91.58000000 0.000000255346 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3129455M6 34563.42860000 PA USD 38527.18000000 0.000107422991 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MTH34 13889.46990000 PA USD 14798.66000000 0.000041262202 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LXCY3 18305.94780000 PA USD 19807.35000000 0.000055227628 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335ANJ3 88340.63390000 PA USD 94962.83000000 0.000264779079 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FYUP9 29600000.00000000 PA USD 29626663.68000000 0.082606223125 Long ABS-MBS USGSE US N 2 2031-02-25 Variable 0.00260000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407HAK2 560.98580000 PA USD 662.50000000 0.000001847208 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P77E7 8438902.29800000 PA USD 9039165.64000000 0.025203355389 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176XCT4 146595.68480000 PA USD 158861.18000000 0.000442942959 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223S5C3 27.20300000 PA USD 27.50000000 0.000000076676 Long ABS-MBS USGA US N 2 2021-12-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HJN72 506254.98200000 PA USD 558179.28000000 0.001556337313 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292GXH4 584.73000000 PA USD 657.56000000 0.000001833434 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MSC80 163344.20410000 PA USD 174036.54000000 0.000485255491 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 N/A 35563PJF7 6690849.17300000 PA USD 7158718.18000000 0.019960218189 Long ABS-CBDO CORP US N 2 2058-07-25 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209DRE6 10.87000000 PA USD 11.15000000 0.000000031088 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138APXW3 19114.43680000 PA USD 20967.40000000 0.000058462125 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31397SVY7 134897.72790000 PA USD 155140.20000000 0.000432567977 Long ABS-CBDO USGSE US N 2 2032-11-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XDC1 32354.04150000 PA USD 36049.13000000 0.000100513595 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615UT1 336.50530000 PA USD 358.48000000 0.000000999527 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208GRR1 613.34060000 PA USD 689.82000000 0.000001923383 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407HF84 2929.29360000 PA USD 3494.69000000 0.000009744031 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207KDA5 17.17000000 PA USD 17.43000000 0.000000048599 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEGD8 3427979.50900000 PA USD 3613791.77000000 0.010076115640 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JNMC8 109660.63570000 PA USD 120205.56000000 0.000335161846 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N LIFE 2021-BMR MTG TR N/A 53218CAJ9 2476000.00000000 PA USD 2482201.39000000 0.006920971057 Long ABS-MBS CORP US N 2 2038-03-15 Variable 0.01851000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QJT9 173787.42000000 PA USD 190323.01000000 0.000530666064 Long ABS-MBS USGA US N 2 2044-07-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224BYV5 37.16000000 PA USD 37.85000000 0.000000105534 Long ABS-MBS USGA US N 2 2022-01-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LG34 235918.34700000 PA USD 269995.05000000 0.000752810764 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N SAPPHIRE AVIATION FINANCE N/A 80307AAA7 20739802.69770000 PA USD 20709812.94000000 0.057743910927 Long ABS-CBDO CORP US N 2 2040-03-15 Fixed 0.03228000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292GSM9 327.47000000 PA USD 369.88000000 0.000001031313 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YNXH5 49514.89310000 PA USD 53220.07000000 0.000148390281 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022663 -68950000.00000000 PA USD -71414121.31000000 -0.19911964786 Short ABS-MBS USGA US N 2 2051-06-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208VZT5 145.96000000 PA USD 163.05000000 0.000000454622 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EU3E7 1121885.69980000 PA USD 1219423.00000000 0.003400042931 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVVB0 2733177.33630000 PA USD 2891589.29000000 0.008062442422 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E5R91 13778.63110000 PA USD 15114.34000000 0.000042142394 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2019-BROOK N/A 46591JAA4 6400000.00000000 PA USD 6409208.32000000 0.017870405465 Long ABS-MBS CORP US N 2 2029-09-15 Variable 0.01101000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946Q25 352388.93570000 PA USD 392801.08000000 0.001095223343 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207V3U8 415.67860000 PA USD 470.11000000 0.000001310779 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YPD5 560.30930000 PA USD 636.95000000 0.000001775968 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC N/A 46590XAB2 23280000.00000000 PA USD 25608232.80000000 0.071401876883 Long DBT CORP US N 2 2030-01-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AASL3 261929.99130000 PA USD 295874.39000000 0.000824968553 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402XY26 18232.30980000 PA USD 20177.63000000 0.000056260057 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205PZA2 278.03940000 PA USD 308.27000000 0.000000859530 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N VERTICAL US NEWCO INC 549300C2AFWPAYWS5574 92537RAA7 1065000.00000000 PA USD 1107600.00000000 0.003088253666 Long DBT CORP US N 2 2027-07-15 Fixed 0.05250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9PH8 29781.52260000 PA USD 34057.61000000 0.000094960761 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EKF26 69344.82430000 PA USD 73797.38000000 0.000205764743 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292LBA2 10584.66100000 PA USD 11690.15000000 0.000032594933 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N BRANDYWINE OPER PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AN3 3961000.00000000 PA USD 4306341.17000000 0.012007108980 Long DBT CORP US N 2 2024-10-01 Fixed 0.04100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GXQ5 506.25400000 PA USD 539.34000000 0.000001503808 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203P2D4 54.52240000 PA USD 57.36000000 0.000000159933 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177L3E2 7385.07070000 PA USD 8141.38000000 0.000022700114 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617M76X1 121683.62500000 PA USD 132133.97000000 0.000368421106 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N BAYVIEW COML ASSET TR N/A 07324SDH2 9768.81410000 PA USD 8857.07000000 0.000024695629 Long ABS-MBS CORP US N 2 2036-04-25 Variable 0.00691630 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A5F67 296270.62100000 PA USD 316125.82000000 0.000881434383 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C6NA9 11203.34580000 PA USD 12374.82000000 0.000034503957 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409XCP2 360.60670000 PA USD 363.75000000 0.000001014221 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31298ET39 45.14150000 PA USD 49.03000000 0.000000136707 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 0.07500000 N N N N N N SERVICE PPTYS TR 529900IS770AG1K9QG27 44106MAY8 415000.00000000 PA USD 373500.00000000 0.001041407317 Long DBT CORP US N 2 2030-02-15 Fixed 0.04375000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MMEG4 4.06000000 PA USD 4.06000000 0.000000011320 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 0.06500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MK74 14909264.24020000 PA USD 16171054.65000000 0.045088767436 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q85U5 948549.24800000 PA USD 1025457.24000000 0.002859220008 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A1CA7 3293.03820000 PA USD 3669.13000000 0.000010230411 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H030674 172125000.00000000 PA USD 179524498.84000000 0.500557233441 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJXB9 621463.07600000 PA USD 656122.94000000 0.001829427658 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QAQ86 9536523.64700000 PA USD 10057255.98000000 0.028042034718 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFGQ4 41748.29110000 PA USD 45159.32000000 0.000125914983 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N MATTEL INC 549300VELLG24KHTJ564 577081AU6 531000.00000000 PA USD 646492.50000000 0.001802575689 Long DBT CORP US N 2 2040-10-01 Fixed 0.06200000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378WVW0 29419.75940000 PA USD 30613.77000000 0.000085358511 Long ABS-CBDO USGA US N 2 2039-04-20 Variable 0.08534330 N N N N N N CENT CLO 20 LTD / CENT CLO 20 N/A 197363AA2 10867000.00000000 PA USD 10924269.09000000 0.030459474603 Long ABS-CBDO CORP KY N 2 2031-07-20 Variable 0.01888250 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287NDD7 3964.71920000 PA USD 4592.91000000 0.000012806131 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GSQC6 37030.03870000 PA USD 40624.10000000 0.000113269705 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203STN7 7.25520000 PA USD 7.62000000 0.000000021246 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417G5U6 1311728.08210000 PA USD 1394313.04000000 0.003887678185 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N CIT GROUP INC NEW N8O96ZZJQRFYQUJY7K79 125581GY8 2520000.00000000 PA USD 2742075.00000000 0.007645560827 Long DBT CORP US N 2 2024-02-16 Fixed 0.04750000 N N N N N N ALEXANDRIA REAL EST EQUITS INC MGCJBT4MKTQBVLNUIS88 015271AU3 7224000.00000000 PA USD 8666844.10000000 0.024165233900 Long DBT CORP US N 2 2030-12-15 Fixed 0.04900000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31395EWW3 56.07460000 PA USD 63.49000000 0.000000177025 Long ABS-CBDO USGSE US N 2 2024-08-15 Variable 0.46144280 N N N N N N BRAZOS HIGHER ED AUTH INC N/A 10620NCK2 449592.40000000 PA USD 450904.40000000 0.001257229294 Long ABS-CBDO CORP US N 2 2029-07-25 Variable 0.01025750 N N N N N N CBRE SERVICES INC 549300CTE3HOMEUMM603 12505BAE0 10225000.00000000 PA USD 10152743.30000000 0.028308276201 Long DBT CORP US N 2 2031-04-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GFTA5 12590.95840000 PA USD 14361.27000000 0.000040042655 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128E3WC4 4986.86160000 PA USD 5520.94000000 0.000015393700 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223YTN0 85.53630000 PA USD 89.62000000 0.000000249881 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405WSY2 2052.41920000 PA USD 2144.88000000 0.000005980438 Long ABS-MBS USGSE US N 2 2034-07-01 Variable 0.02423000 N N N N N N ROCKLAND PARK CLO LTD N/A 773663AA7 12190000.00000000 PA USD 12191231.19000000 0.033992067913 Long ABS-CBDO CORP KY N 2 2034-04-20 Variable 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418B6M3 1270413.30800000 PA USD 1330784.36000000 0.003710545033 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396LMA5 79788.06920000 PA USD 16218.46000000 0.000045220944 Long ABS-CBDO USGSE US N 2 2036-11-25 Variable 0.06588370 N N N N N N MORGAN STANLEY CAP I TR 2019-MEAD N/A 61771LAA0 16247000.00000000 PA USD 17103190.90000000 0.047687786208 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 0.03170000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XVLQ4 619343.28220000 PA USD 654544.96000000 0.001825027873 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945DS4 97771.43480000 PA USD 107958.36000000 0.000301013724 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287PHP1 24279.20000000 PA USD 28750.35000000 0.000080162851 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207RLC7 179.38170000 PA USD 189.87000000 0.000000529402 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208T4W7 66.50240000 PA USD 74.97000000 0.000000209034 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9NZ9 51725.73330000 PA USD 54982.33000000 0.000153303884 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EP7H1 521945.47510000 PA USD 556111.45000000 0.001550571708 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JP6T4 28379.37390000 PA USD 31107.21000000 0.000086734340 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311VAJ6 620000.00000000 PA USD 682000.00000000 0.001901579090 Long DBT CORP US N 2 2027-07-15 Fixed 0.05625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207YQ29 66.33300000 PA USD 73.04000000 0.000000203652 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31397CDM8 564473.18080000 PA USD 643480.80000000 0.001794178349 Long ABS-CBDO USGSE US N 2 2036-11-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419D6N6 151358.83780000 PA USD 166927.35000000 0.000465433370 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A6MW7 5953.95210000 PA USD 6570.98000000 0.000018321463 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N BX TR 2018-IND N/A 12433WAG6 2186803.29700000 PA USD 1765493.12000000 0.004922617010 Long ABS-MBS CORP US N 2 2037-09-15 Variable 0.02726000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GM80 21722.82360000 PA USD 24007.11000000 0.000066937563 Long ABS-MBS USGA US N 2 2040-01-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JAUL0 1308814.45200000 PA USD 1381916.97000000 0.003853114977 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.03000000 N N N N N N AIMCO 2019 N/A 00901AAA5 11898000.00000000 PA USD 11899118.41000000 0.033177587628 Long ABS-CBDO CORP US N 2 2032-07-22 Variable 0.01503750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NNJ0 11955.16170000 PA USD 13442.47000000 0.000037480820 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.06500000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RMF6 2825000.00000000 PA USD 2728492.60000000 0.007607689848 Long DBT CORP US N 2 2033-12-01 Fixed 0.02550000 N N N N N N OLIN CORP 549300GKK294V7W57P06 680665AJ5 975000.00000000 PA USD 1018017.00000000 0.002838474839 Long DBT CORP US N 2 2027-09-15 Fixed 0.05125000 N N N N N N NATWEST GROUP PLC (UNGTD) 2138005O9XJIJN4JPN90 780099CH8 35958000.00000000 PA USD 40250318.69000000 0.112227513786 Long DBT CORP GB N 2 2024-05-28 Fixed 0.05125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFFL6 59490.27540000 PA USD 64350.90000000 0.000179425697 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAU1 11060000.00000000 PA USD 11444355.02000000 0.031909598546 Long DBT CORP US N 2 2030-01-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140K4E48 3418372.20800000 PA USD 3586052.25000000 0.009998771225 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03000000 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NAL9 1461000.00000000 PA USD 1645429.54000000 0.004587851038 Long DBT CORP CA N 2 2026-12-01 Fixed 0.04250000 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAC3 3423000.00000000 PA USD 3728371.20000000 0.010395590491 Long DBT CORP US N 2 2025-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DRS2 337607.18360000 PA USD 362194.61000000 0.001009885186 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E0EH4 467382.54920000 PA USD 508163.08000000 0.001416880186 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MN3F5 50153.85510000 PA USD 54251.66000000 0.000151266601 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378D4Q0 189.85330000 PA USD 214.88000000 0.000000599136 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137AQ6B9 296037.47030000 PA USD 15495.64000000 0.000043205549 Long ABS-CBDO USGSE US N 2 2031-05-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407BNL9 1350.77860000 PA USD 1495.46000000 0.000004169700 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386STX5 205.07340000 PA USD 228.17000000 0.000000636192 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BCN6 614.60000000 PA USD 689.44000000 0.000001922323 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293TDU8 179.32830000 PA USD 202.07000000 0.000000563419 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384V2T8 43.91000000 PA USD 51.65000000 0.000000144012 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 0.07500000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38141GWQ3 35921000.00000000 PA USD 38739737.39000000 0.108015651888 Long DBT CORP US N 2 2025-09-29 Variable 0.03272000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EHB0 40366.58030000 PA USD 43172.92000000 0.000120376425 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209AKN9 312.99000000 PA USD 347.02000000 0.000000967574 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208DMD4 396.05600000 PA USD 448.79000000 0.000001251333 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J85G1 419483.26150000 PA USD 453812.56000000 0.001265337939 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AABH0 24530.06950000 PA USD 28255.77000000 0.000078783843 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176TLV8 28206.54990000 PA USD 31095.22000000 0.000086700909 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAN1 2954000.00000000 PA USD 3142760.60000000 0.008762768098 Long DBT CORP US N 2 2028-08-09 Variable 0.04682000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418MXR8 177033.15990000 PA USD 207421.52000000 0.000578340799 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206QP93 1762.17160000 PA USD 1953.78000000 0.000005447605 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296X6L3 20929.91940000 PA USD 23891.92000000 0.000066616386 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BLW0 341281.89590000 PA USD 342931.99000000 0.000956176395 Long ABS-CBDO USGA US N 2 2061-04-20 Variable 0.00610380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224QU95 29.39000000 PA USD 30.33000000 0.000000084567 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209GSB4 656.08050000 PA USD 767.17000000 0.000002139053 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M4JQ7 2321.23840000 PA USD 2583.60000000 0.000007203694 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177PAH8 15362.12000000 PA USD 16384.91000000 0.000045685047 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180HJ33 10938.38640000 PA USD 12041.51000000 0.000033574609 Long ABS-MBS USGA US N 2 2043-08-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194GME1 7659.15010000 PA USD 8359.76000000 0.000023309009 Long ABS-MBS USGA US N 2 2046-07-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206HFA1 220.66380000 PA USD 243.55000000 0.000000679075 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EFA2 3838.26530000 PA USD 4231.35000000 0.000011798015 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N NATWEST GROUP PLC (UNGTD) 2138005O9XJIJN4JPN90 780097AY7 19857000.00000000 PA USD 21910567.06000000 0.061091900557 Long DBT CORP GB N 2 2023-06-10 Fixed 0.06100000 N N N N N N AIMCO CLO 11 LTD 549300VLRW0CEQ83RF89 00140NAA8 8424000.00000000 PA USD 8437731.12000000 0.023526412123 Long ABS-CBDO CORP KY N 2 2031-10-15 Variable 0.01563750 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BX0 18800000.00000000 PA USD 21249358.75000000 0.059248293670 Long DBT CORP US N 2 2040-05-01 Fixed 0.04250000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AE7 255000.00000000 PA USD 255969.00000000 0.000713702783 Long DBT CORP US N 2 2030-10-01 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200RBH4 326.04290000 PA USD 380.64000000 0.000001061315 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38382DRU5 13849200.23700000 PA USD 13909926.21000000 0.038784200630 Long ABS-CBDO USGA US N 2 2050-03-20 Variable 0.00499250 N N N N N N DISCOVERY COMMUNICATIONS LLC L2Z2MO2EQURH3BREWI15 25470DBH1 17335000.00000000 PA USD 19252267.47000000 0.053679925606 Long DBT CORP US N 2 2050-05-15 Fixed 0.04650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378B3E2 257.17740000 PA USD 289.57000000 0.000000807390 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312943WK5 177081.70000000 PA USD 195578.79000000 0.000545320436 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GN45 112.41570000 PA USD 127.24000000 0.000000354775 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XCR72 5534272.07570000 PA USD 5909787.38000000 0.016477900455 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241L4R4 52862.26400000 PA USD 57285.19000000 0.000159724808 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N WELLS FARGO and CO PBLD0EJDB5FWOLXP3B76 95000U2L6 19300000.00000000 PA USD 22474219.47000000 0.062663498265 Long DBT CORP US N 2 2031-04-04 Variable 0.04478000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CX1 562000.00000000 PA USD 480510.00000000 0.001339776786 Long DBT CORP US N 2 2039-08-15 Fixed 0.04300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NXC21 20743.80180000 PA USD 22043.33000000 0.000061462075 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380T6K7 1578824.68730000 PA USD 1669266.08000000 0.004654313011 Long ABS-CBDO USGA US N 2 2045-11-16 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RVA9 64.15900000 PA USD 67.40000000 0.000000187927 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417CH65 30326.39300000 PA USD 32235.71000000 0.000089880868 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03000000 N N N N N N ILLINOIS ST N/A 452151LE1 3343363.63000000 PA USD 3459238.60000000 0.009645184443 Long DBT MUN US N 2 2023-06-01 Fixed 0.04950000 N N N N N N CIT GROUP INC NEW N8O96ZZJQRFYQUJY7K79 125581GX0 4920000.00000000 PA USD 5953200.00000000 0.016598945221 Long DBT CORP US N 2 2028-03-09 Fixed 0.06125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMGV8 4158.77000000 PA USD 4506.73000000 0.000012565840 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UGPP6 4726.34670000 PA USD 4996.37000000 0.000013931074 Long ABS-MBS USGSE US N 2 2041-04-01 Variable 0.02178000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L6BT7 119125.30680000 PA USD 130543.12000000 0.000363985436 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207WBB9 433.55520000 PA USD 488.75000000 0.000001362751 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A74T2 45278.96910000 PA USD 49957.53000000 0.000139293540 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131Y0F23 779892.20400000 PA USD 842211.60000000 0.002348287343 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209D6A7 3096.02000000 PA USD 3501.42000000 0.000009762796 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419G4G6 6200.38900000 PA USD 6844.94000000 0.000019085329 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GFCG0 9141.27070000 PA USD 10426.55000000 0.000029071714 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N NIELSEN FINANCE LLC/ NIELSEN FINANCE CO N/A 65409QBD3 495000.00000000 PA USD 523462.50000000 0.001459538628 Long DBT CORP US N 2 2028-10-01 Fixed 0.05625000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAJ7 3745000.00000000 PA USD 3749599.76000000 0.010454780793 Long DBT CORP US N 2 2022-07-22 Variable 0.01113750 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128FGB29 55.45220000 PA USD 63.00000000 0.000000175659 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E0AY1 150925.48280000 PA USD 164094.18000000 0.000457533814 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMD74 594641.35800000 PA USD 680808.70000000 0.001898257461 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N COMM 14-CCRE18 MTG TR N/A 12632QAX1 2137000.00000000 PA USD 2322542.46000000 0.006475803780 Long ABS-MBS CORP US N 2 2047-07-15 Fixed 0.03828000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31397U4B2 29572.67900000 PA USD 1478.91000000 0.000004123554 Long ABS-CBDO USGSE US N 2 2026-07-25 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KAN8 2615.44310000 PA USD 2945.40000000 0.000008212479 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MFV62 123357.51000000 PA USD 130248.91000000 0.000363165108 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03000000 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAK9 1948000.00000000 PA USD 2322317.78000000 0.006475177319 Long DBT CORP US N 2 2026-06-15 Fixed 0.06020000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DL70 158198.90110000 PA USD 169593.70000000 0.000472867791 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201T7E1 128.83030000 PA USD 145.23000000 0.000000404935 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DJB8 26274.31750000 PA USD 28431.61000000 0.000079274127 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 0.03500000 N N N N N N MELCO RESORTS FIN LTD 529900NRV6LBR3T6B421 58547DAD1 260000.00000000 PA USD 277420.00000000 0.000773513300 Long DBT CORP KY N 2 2029-12-04 Fixed 0.05375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A83J0 28409.55020000 PA USD 32146.37000000 0.000089631766 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LUFX8 7501.25620000 PA USD 8201.41000000 0.000022867492 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.03650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HJLU3 39357.97290000 PA USD 42521.49000000 0.000118560082 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206PGB0 81.06830000 PA USD 91.64000000 0.000000255514 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297S4C6 37800.34580000 PA USD 43321.90000000 0.000120791817 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128LCNB8 2697.17000000 PA USD 3087.81000000 0.000008609552 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.05000000 N N N N N N CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1 N/A 14856GAA8 3309879.75000000 PA USD 3380541.71000000 0.009425758694 Long ABS-CBDO CORP US N 2 2046-01-15 Fixed 0.03474000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FSS7 453.71490000 PA USD 526.74000000 0.000001468677 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38379WN73 494801.30000000 PA USD 525847.90000000 0.001466189694 Long ABS-CBDO USGA US N 2 2046-02-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206RXC5 220.33970000 PA USD 243.56000000 0.000000679103 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137AJAX2 1564.53000000 PA USD 6.75000000 0.000000018820 Long ABS-CBDO USGSE US N 2 2021-11-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AQL5 67754.53280000 PA USD 71175.25000000 0.000198453617 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176KEJ2 17905.99820000 PA USD 19840.49000000 0.000055320030 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241L6P6 32435.57500000 PA USD 35907.26000000 0.000100118027 Long ABS-MBS USGA US N 2 2041-05-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178QFJ6 11159.96100000 PA USD 12076.27000000 0.000033671528 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 0.03500000 N N N N N N LONDON CLEARING HOUSE N/A N/A 1370000.00000000 NC USD 11984.68000000 0.000033416153 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2031-09-15 0.00000000 USD 0.00000000 USD 1277569.47000000 USD 11984.68000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RW91 98.67910000 PA USD 111.83000000 0.000000311808 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208T5S5 634.53960000 PA USD 722.05000000 0.000002013248 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208N3B7 127.28050000 PA USD 135.25000000 0.000000377109 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416CAH9 10569.86390000 PA USD 11152.80000000 0.000031096673 Long ABS-MBS USGSE US N 2 2036-05-01 Variable 0.02408000 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 92769XAP0 415000.00000000 PA USD 444050.00000000 0.001238117588 Long DBT CORP GB N 2 2029-05-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AENH9 5073.26570000 PA USD 5970.70000000 0.000016647739 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQAZ5 40156.98440000 PA USD 43179.79000000 0.000120395580 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GJSE0 4800.81080000 PA USD 5351.37000000 0.000014920899 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AQ0 564000.00000000 PA USD 592200.00000000 0.001651195216 Long DBT CORP US N 2 2027-04-15 Fixed 0.05500000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAM5 8239000.00000000 PA USD 9102618.24000000 0.025380276411 Long DBT CORP US N 2 2027-12-01 Fixed 0.03950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206JB78 104.73860000 PA USD 120.07000000 0.000000334783 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.08000000 N N N N N N SWISS RE FINANCE LUXEMBOURG 549300CLQZ6TM98LW631 87089NAA8 3000000.00000000 PA USD 3385350.00000000 0.009439165357 Long DBT CORP LU N 2 2049-04-02 Variable 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373YB40 199.42730000 PA USD 219.95000000 0.000000613273 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAH0 1033000.00000000 PA USD 1078807.55000000 0.003007973430 Long DBT CORP US N 2 2023-06-15 Fixed 0.03125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295CKW0 12714.17110000 PA USD 13730.27000000 0.000038283276 Long ABS-MBS USGA US N 2 2043-09-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GFJL2 32824.77530000 PA USD 37438.71000000 0.000104388076 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213GWG2 1022.11820000 PA USD 1194.51000000 0.000003330579 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7VJ5 52515891.23700000 PA USD 55481474.12000000 0.154695617434 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JBHW6 82356.24470000 PA USD 90275.59000000 0.000251709933 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.04000000 N N N N N N TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN N/A 87612BBJ0 881000.00000000 PA USD 922847.50000000 0.002573119515 Long DBT CORP US N 2 2026-04-15 Fixed 0.05875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388HBC2 194.47210000 PA USD 228.45000000 0.000000636973 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HJL33 276942.62600000 PA USD 292410.98000000 0.000815311738 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N VIATRIS INC 254900ZZTSW7NL773X71 91533BAF7 6783000.00000000 PA USD 6872802.38000000 0.019163016566 Long DBT CORP US N 2 2050-06-22 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HSW6 536.77440000 PA USD 626.78000000 0.000001747612 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390DNW0 344.55510000 PA USD 411.46000000 0.000001147248 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AVG0 143333.22280000 PA USD 151607.71000000 0.000422718550 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132AD5L8 15516362.72700000 PA USD 16411970.29000000 0.045760497852 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A4WY1 135979.87810000 PA USD 12365.74000000 0.000034478640 Long ABS-CBDO USGSE US N 2 2030-12-25 Variable 0.06558370 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5B73 34673.29510000 PA USD 39697.68000000 0.000110686624 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211HTJ0 151.42410000 PA USD 174.40000000 0.000000486268 Long ABS-MBS USGA US N 2 2029-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YPCP5 29520.06690000 PA USD 31747.49000000 0.000088519594 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBV6 8300000.00000000 PA USD 8641522.01000000 0.024094629858 Long DBT CORP US N 2 2030-04-01 Fixed 0.02950000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HUA1 1392.75630000 PA USD 1619.40000000 0.000004515274 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31396JPR0 75494.71010000 PA USD 69050.47000000 0.000192529222 Long ABS-CBDO USGSE US N 2 2036-03-15 Fixed 0.00000000 N N N N N N ARES CLO LTD N/A 04018AAC3 11060000.00000000 PA USD 11077187.24000000 0.030885846973 Long ABS-CBDO CORP KY N 2 2033-01-15 Variable 0.01455750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615LE4 9.12470000 PA USD 9.57000000 0.000000026683 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307RD44 27512.67460000 PA USD 29314.06000000 0.000081734609 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208SRN4 862.00530000 PA USD 980.89000000 0.000002734955 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31387XHN8 220.79090000 PA USD 254.95000000 0.000000710861 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31296KYZ0 8916.52000000 PA USD 9926.07000000 0.000027676256 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176YET0 9296.69520000 PA USD 10301.07000000 0.000028721846 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QDA61 15657876.28600000 PA USD 16426416.53000000 0.045800777424 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GNL0 424927.39550000 PA USD 469576.56000000 0.001309291741 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04000000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3133TDZM1 39556.30440000 PA USD 44010.65000000 0.000122712216 Long ABS-CBDO USGSE US N 2 2028-05-15 Fixed 0.06000000 N N N N N N MORGAN STANLEY CAP I TR 2019-MEAD N/A 61771LAG7 1712000.00000000 PA USD 1728171.21000000 0.004818554600 Long ABS-MBS CORP US N 2 2036-11-10 Variable 0.03177097 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3133T4DV5 5838.64410000 PA USD 5869.50000000 0.000016365569 Long ABS-CBDO USGSE US N 2 2024-02-15 Variable 0.01014630 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CX1 6070000.00000000 PA USD 7891249.90000000 0.022002691798 Long DBT CORP US N 2 2060-05-01 Fixed 0.05930000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31356DBU9 973.84000000 PA USD 1029.91000000 0.000002871635 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 0.06000000 N N N N N N TWITTER INC 549300I8RX485XMK6836 90184LAG7 510000.00000000 PA USD 538050.00000000 0.001500212066 Long DBT CORP US N 2 2027-12-15 Fixed 0.03875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375V2Q5 3.65670000 PA USD 3.67000000 0.000000010232 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225ARU6 118.09590000 PA USD 130.21000000 0.000000363056 Long ABS-MBS USGA US N 2 2027-01-15 Fixed 0.07000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GGC7 6909000.00000000 PA USD 7769589.32000000 0.021663473008 Long DBT CORP US N 2 2027-11-25 Fixed 0.04183000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376JRX9 128.17120000 PA USD 145.09000000 0.000000404545 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQY80 4461.69080000 PA USD 5078.00000000 0.000014158678 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M86F8 106659.24450000 PA USD 116544.74000000 0.000324954605 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 0.04000000 N N N N N N MEREDITH CORP 549300YC8BC386CCTS24 589433AC5 615000.00000000 PA USD 662508.75000000 0.001847232824 Long DBT CORP US N 2 2025-07-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A3UW2 22756.04970000 PA USD 26039.16000000 0.000072603404 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384LXP4 1162.93630000 PA USD 1338.50000000 0.000003732058 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394FCS2 59175.88110000 PA USD 66977.62000000 0.000186749621 Long ABS-CBDO USGSE US N 2 2035-09-25 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620APKN4 10031.82550000 PA USD 11485.50000000 0.000032024320 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179T7K5 14997484.49900000 PA USD 15988606.76000000 0.044580059089 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194PRG1 27568.85400000 PA USD 29824.50000000 0.000083157838 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N SBA COMMUNICATIONS CORP 5299001HX8ZN8Y8QIT49 78410GAD6 515000.00000000 PA USD 526587.50000000 0.001468251875 Long DBT CORP US N 2 2027-02-15 Fixed 0.03875000 N N N N N N PBF HLDG CO LLC / PBF FIN CORP N/A 69318FAK4 1500000.00000000 PA USD 1537500.00000000 0.004286917670 Long DBT CORP US N 2 2025-05-15 Fixed 0.09250000 N N N N N N WEC ENERGY GROUP INC 549300IGLYTZUK3PVP70 976657AH9 1843000.00000000 PA USD 1709312.41000000 0.004765971756 Long DBT CORP US N 2 2067-05-15 Variable 0.02268380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208DUH6 547.31860000 PA USD 621.55000000 0.000001733030 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128K74S4 17713.92870000 PA USD 20028.35000000 0.000055843829 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297R6J1 523.12410000 PA USD 598.01000000 0.000001667394 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A83N1 3724.62870000 PA USD 4252.47000000 0.000011856903 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411VFZ7 256.61330000 PA USD 261.08000000 0.000000727953 Long ABS-MBS USGSE US N 2 2022-04-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RU69 188.05660000 PA USD 213.78000000 0.000000596069 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N LONDON CLEARING HOUSE N/A N/A 14550000.00000000 NC USD 104201.01000000 0.000290537334 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2028-09-15 0.00000000 USD 0.00000000 USD 13884222.10000000 USD 104201.01000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210QZT2 60.14290000 PA USD 66.48000000 0.000000185362 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224JLH3 36.48600000 PA USD 37.62000000 0.000000104893 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297RYJ0 1369.60400000 PA USD 1569.03000000 0.000004374830 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213S3Q6 979.44000000 PA USD 1144.63000000 0.000003191502 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAD4 1863000.00000000 PA USD 1913061.21000000 0.005334072134 Long DBT CORP US N 2 2023-01-15 Fixed 0.02250000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380WJ75 1063323.17560000 PA USD 1063263.74000000 0.002964633571 Long ABS-CBDO USGA US N 2 2048-05-20 Variable 0.00399250 N N N N N N CFMT 2020-HB2 N/A 12529EAA4 13008853.97760000 PA USD 13150845.62000000 0.036667702422 Long ABS-CBDO CORP US N 2 2030-04-25 Fixed 0.03404700 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAT4 10324000.00000000 PA USD 11257826.04000000 0.031389511145 Long DBT CORP IT N 2 2024-06-26 Fixed 0.05017000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AX6L7 16170.27020000 PA USD 18513.45000000 0.000051619925 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296QVF3 4174.56400000 PA USD 4770.17000000 0.000013300374 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.05000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A -96100000.00000000 NC USD -5501741.34000000 -0.01534017051 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Written GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-11-28 0.00000000 USD 0.00000000 USD -96100000.00000000 USD 1.00000000 1.27000000 USD 2025-11-25 XXXX -3101643.84000000 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H020667 279000000.00000000 PA USD 283811634.00000000 0.791334705020 Long ABS-MBS USGA US N 2 2051-06-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401H5M0 10548.84000000 PA USD 11953.72000000 0.000033329829 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N LAMB WESTON HOLDINGS INC 5493005SMYID1D2OY946 513272AC8 825000.00000000 PA USD 906468.75000000 0.002527451643 Long DBT CORP US N 2 2028-05-15 Fixed 0.04875000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2L7 13752000.00000000 PA USD 14224862.38000000 0.039662317984 Long DBT CORP FR N 2 2026-06-09 Variable 0.02219000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MX47 315193.12220000 PA USD 341769.83000000 0.000952936015 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FHXU6 160900.66200000 PA USD 172287.14000000 0.000480377746 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JPXP2 14673.45910000 PA USD 16083.88000000 0.000044845703 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAB8 5000000.00000000 PA USD 5410840.20000000 0.015086716401 Long DBT CORP US N 2 2026-06-01 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205BXS6 162.26930000 PA USD 175.23000000 0.000000488583 Long ABS-MBS USGA US N 2 2024-11-15 Fixed 0.08000000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AK4 1874000.00000000 PA USD 2056487.95000000 0.005733980183 Long DBT CORP US N 2 2024-11-06 Fixed 0.03950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FU30 10167.12380000 PA USD 10886.67000000 0.000030354639 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6T35 2515029.60700000 PA USD 2650973.50000000 0.007391548059 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390XJE1 6583.06260000 PA USD 7872.61000000 0.000021950719 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392DPW6 5784.50490000 PA USD 5911.59000000 0.000016482926 Long ABS-CBDO USGSE US N 2 2032-03-18 Variable 0.01097500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RF41 213.90600000 PA USD 242.92000000 0.000000677319 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397B36 830000.00000000 PA USD 846550.20000000 0.002360384397 Long DBT CORP US N 2 2030-11-13 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TV69 886537.13200000 PA USD 946786.99000000 0.002639868538 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.04000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AH3 6630000.00000000 PA USD 7649747.31000000 0.021329324826 Long DBT CORP US N 2 2028-10-15 Fixed 0.04375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ATUM0 7268.82490000 PA USD 7973.47000000 0.000022231941 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAJ5 1622000.00000000 PA USD 1959819.44000000 0.005464445261 Long DBT CORP US N 2 2042-08-15 Fixed 0.05750000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BNE8 515261.64080000 PA USD 518837.71000000 0.001446643607 Long ABS-CBDO USGA US N 2 2061-10-20 Variable 0.00710380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJH92 747644.52630000 PA USD 789341.71000000 0.002200873447 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FDT6 53.18800000 PA USD 58.49000000 0.000000163084 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335ASE9 982089.44130000 PA USD 1094715.95000000 0.003052329854 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418A4V7 33451.71750000 PA USD 35382.85000000 0.000098655847 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HMA9 759.51000000 PA USD 899.55000000 0.000002508160 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07500000 N N N N N N WFRBS COML MTG TR 2013-C16 N/A 92938EAW3 8828629.00000000 PA USD 9544471.90000000 0.026612270078 Long ABS-MBS CORP US N 2 2046-09-15 Variable 0.04668000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YF5T7 50715.72480000 PA USD 54542.46000000 0.000152077421 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MEZ46 334173.27100000 PA USD 351272.78000000 0.000979432512 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M5FL1 23399.12870000 PA USD 25641.87000000 0.000071495665 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403CXV8 3393.37980000 PA USD 3978.93000000 0.000011094208 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375VUR2 15.67760000 PA USD 17.32000000 0.000000048292 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q7RH2 1193408.38700000 PA USD 1262292.16000000 0.003519572400 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BJP2 101769.94920000 PA USD 107645.03000000 0.000300140085 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.03000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 22100000.00000000 NC USD 1645030.74000000 0.004586739088 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2031-10-18 0.00000000 USD 0.00000000 USD 22100000.00000000 USD 1.00000000 0.86500000 USD 2021-10-14 XXXX 1128995.74000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XMK2 54576.93660000 PA USD 59042.36000000 0.000164624218 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5A74 8774.47000000 PA USD 9986.51000000 0.000027844778 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208TWP1 300.94630000 PA USD 343.04000000 0.000000956477 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410GER0 23612.13160000 PA USD 27574.34000000 0.000076883853 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FPB99 1364998.91780000 PA USD 1495405.59000000 0.004169548389 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HBZ76 419126.97200000 PA USD 441812.85000000 0.001231879878 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224JPZ9 546.83680000 PA USD 561.69000000 0.000001566126 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205FDF7 1.03520000 PA USD 1.04000000 0.000000002899 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C2VQ4 16924.09510000 PA USD 18659.30000000 0.000052026590 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419K7H2 7168.18800000 PA USD 7894.51000000 0.000022011781 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128HD5G0 40613.50160000 PA USD 42652.37000000 0.000118925007 Long ABS-MBS USGSE US N 2 2033-06-01 Variable 0.02653000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DJU4 457.57370000 PA USD 544.25000000 0.000001517499 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HNN47 8943.21770000 PA USD 9677.90000000 0.000026984299 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BH9 95000.00000000 PA USD 101327.00000000 0.000282523906 Long DBT CORP US N 2 2027-03-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223MB70 19.32630000 PA USD 19.93000000 0.000000055569 Long ABS-MBS USGA US N 2 2022-06-15 Fixed 0.08000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31336SRL4 12726.81000000 PA USD 13447.01000000 0.000037493479 Long ABS-MBS USGSE US N 2 2033-06-01 Variable 0.02851000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206V2E6 879.92100000 PA USD 1008.94000000 0.000002813165 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945NL8 23631.43620000 PA USD 26341.50000000 0.000073446401 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N EATON VANCE CLO 2020-2 LTD N/A 27829PAA4 9400000.00000000 PA USD 9415134.00000000 0.026251645084 Long ABS-CBDO CORP KY N 2 2032-10-15 Variable 0.01553750 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176KD87 10620.02100000 PA USD 11707.63000000 0.000032643672 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2YK2 115444.81500000 PA USD 125178.98000000 0.000349028930 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379EAY3 278.12370000 PA USD 314.03000000 0.000000875590 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31377KJ89 66.17570000 PA USD 73.25000000 0.000000204238 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200QK29 844.76190000 PA USD 989.45000000 0.000002758823 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAE1 720000.00000000 PA USD 712800.00000000 0.001987456855 Long DBT CORP FR N 2 2029-01-15 Fixed 0.05125000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396LZK9 64601.56200000 PA USD 15751.00000000 0.000043917554 Long ABS-CBDO USGSE US N 2 2036-12-25 Variable 0.06548370 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A3TM6 6404.57180000 PA USD 7328.59000000 0.000020433861 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GK4R4 17706.66000000 PA USD 19430.77000000 0.000054177633 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N VOYA CLO 2020-3 LTD / VOYA CLO 2020-3 LLC N/A 92918NAC1 11800000.00000000 PA USD 11862245.00000000 0.033074775743 Long ABS-CBDO CORP KY N 2 2031-10-20 Variable 0.01488250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210LDF7 155.99110000 PA USD 178.86000000 0.000000498704 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375AL98 78.52430000 PA USD 87.31000000 0.000000243441 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 0.07500000 N N N N N N Fidelity Salem Street Trust S4W85DGKOEJ24DPRB829 316146596 66212959.58000000 NS USD 826337735.56000000 2.304027213402 Long EC RF US N 1 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M8TQ9 24246.74500000 PA USD 26494.95000000 0.000073874256 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36183SUX7 114199.82590000 PA USD 120732.46000000 0.000336630969 Long ABS-MBS USGA US N 2 2045-04-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312940EJ4 81810.09950000 PA USD 93338.30000000 0.000260249500 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412LJA9 691.76410000 PA USD 776.73000000 0.000002165708 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 0.06500000 N N N N N N BAYVIEW COML ASST TR 2007 2 N/A 07325XAB6 144432.37000000 PA USD 113994.43000000 0.000317843730 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.00411630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207MLF1 274.04150000 PA USD 311.28000000 0.000000867923 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M54H2 15610.09710000 PA USD 17081.28000000 0.000047626693 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 0.04000000 N N N N N N VIATRIS INC 254900ZZTSW7NL773X71 91533BAB6 1773000.00000000 PA USD 1800215.04000000 0.005019430026 Long DBT CORP US N 2 2025-06-22 Fixed 0.01650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385JAN8 311.58200000 PA USD 364.21000000 0.000001015504 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.07000000 N N N N N N HASBRO INC 549300NUB6D2R1ITYR45 418056AX5 6474000.00000000 PA USD 6908601.82000000 0.019262833965 Long DBT CORP US N 2 2024-11-19 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335GEJ0 27.62000000 PA USD 29.41000000 0.000000082002 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207WEN0 56.86480000 PA USD 63.59000000 0.000000177304 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N ROCKIES EXPRESS PIPELINE LLC W2ZGZGZKY5GGNY6F3V51 77340RAT4 735000.00000000 PA USD 733162.50000000 0.002044232375 Long DBT CORP US N 2 2030-05-15 Fixed 0.04800000 N N N N N N LIFE 2021-BMR MTG TR N/A 53218CAA8 13421000.00000000 PA USD 13429423.02000000 0.037444442831 Long ABS-MBS CORP US N 2 2038-03-15 Variable 0.00801000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BA4 875000.00000000 PA USD 913325.00000000 0.002546568508 Long DBT CORP US N 2 2030-01-15 Fixed 0.05750000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TJA60 23891.83090000 PA USD 26581.01000000 0.000074114212 Long ABS-CBDO USGSE US N 2 2029-02-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128KMYZ2 886.61170000 PA USD 1063.42000000 0.000002965069 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31377AXW2 337.86460000 PA USD 383.35000000 0.000001068871 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBRH3 2028950.18700000 PA USD 2196630.75000000 0.006124731823 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKVJ1 30986.60950000 PA USD 33753.28000000 0.000094112216 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N GS MORTGAGE SECURITIES TRUST 2018-3PCK N/A 36255YAA9 20024999.99600000 PA USD 19671462.63000000 0.054848741956 Long ABS-MBS CORP US N 2 2031-09-15 Variable 0.01551000 N N N N N N GEO GROUP INC NEW 5493003VOR6NTY465495 36162JAB2 305000.00000000 PA USD 183355.33000000 0.000511238506 Long DBT CORP US N 2 2026-04-15 Fixed 0.06000000 N N N N N N MATCH GROUP HOLDINGS II LLC N/A 57665RAL0 170000.00000000 PA USD 169090.50000000 0.000471464749 Long DBT CORP US N 2 2030-08-01 Fixed 0.04125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AKWL9 11018.37100000 PA USD 11600.98000000 0.000032346306 Long ABS-MBS USGSE US N 2 2041-07-01 Variable 0.02702000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376LFF6 270.88140000 PA USD 303.38000000 0.000000845895 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJAU4 1165.40000000 PA USD 1409.55000000 0.000003930162 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HNCD9 24568.47060000 PA USD 26945.36000000 0.000075130107 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416WDJ8 4253.21000000 PA USD 4485.18000000 0.000012505754 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296YEC2 7070.91500000 PA USD 8047.64000000 0.000022438744 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F8ZV8 23694000.00000000 PA USD 23642880.20000000 0.065922003848 Long ABS-MBS USGSE US N 2 2030-12-25 Fixed 0.01621000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A5FT7 267190.85900000 PA USD 285264.21000000 0.000795384834 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132Y2T97 2353019.92200000 PA USD 2482714.62000000 0.006922402065 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176M6R9 18696.61000000 PA USD 20597.08000000 0.000057429584 Long ABS-MBS USGA US N 2 2041-05-15 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31339WJT4 3785.68390000 PA USD 3872.00000000 0.000010796061 Long ABS-CBDO USGSE US N 2 2032-03-15 Variable 0.01100880 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210UYW7 173.69440000 PA USD 196.85000000 0.000000548864 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCKB1 40566718.76800000 PA USD 42873549.29000000 0.119541708006 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ALTL8 5244.25000000 PA USD 5967.02000000 0.000016637478 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N CF INDUSTRIES INC 5FVKT86LAD2F40NPC183 12527GAF0 1617000.00000000 PA USD 1907574.90000000 0.005318774990 Long DBT CORP US N 2 2034-03-15 Fixed 0.05150000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828ZA1 199000000.00000000 PA USD 200601329.12000000 0.559324476479 Long DBT UST US N 2 2022-02-28 Fixed 0.01125000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RGA1 3248740.64200000 PA USD 3547700.80000000 0.009891838211 Long ABS-MBS USGA US N 2 2045-06-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31339WBA3 3566.27800000 PA USD 3639.56000000 0.000010147963 Long ABS-CBDO USGSE US N 2 2032-03-15 Variable 0.01000880 N N N N N N TOWD PT MTG TR 2019-1 N/A 89177BAA3 1014019.21160000 PA USD 1074057.67000000 0.002994729629 Long ABS-CBDO CORP US N 2 2058-03-25 Variable 0.03739505 N N N N N N FRONTIER COMMUNICATIONS CORP 549300ZCZ76HYCS0H445 35906ABE7 235000.00000000 PA USD 249687.50000000 0.000696188459 Long DBT CORP US N 2 2027-10-15 Fixed 0.05875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416BZZ4 1046.56470000 PA USD 1083.28000000 0.000003020443 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HQ54 226331.24470000 PA USD 249655.56000000 0.000696099402 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GPNV6 122205.81100000 PA USD 132152.40000000 0.000368472493 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209LMT0 82.31810000 PA USD 93.67000000 0.000000261174 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207H3D7 83.21610000 PA USD 95.59000000 0.000000266527 Long ABS-MBS USGA US N 2 2029-02-15 Fixed 0.07000000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAQ6 2154000.00000000 PA USD 2205859.47000000 0.006150463701 Long DBT CORP US N 2 2022-07-25 Fixed 0.02850000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205SQA6 121.20970000 PA USD 136.84000000 0.000000381542 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N NATWEST GROUP PLC (UNGTD) 2138005O9XJIJN4JPN90 780099CE5 21905000.00000000 PA USD 23683446.80000000 0.066035113230 Long DBT CORP GB N 2 2022-12-15 Fixed 0.06125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F8LU9 10362.09000000 PA USD 11425.71000000 0.000031857611 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31296MKP3 214.56610000 PA USD 243.76000000 0.000000679661 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209N3S9 396.52560000 PA USD 451.21000000 0.000001258081 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AWDW7 78134.25410000 PA USD 84671.66000000 0.000236084836 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207AAY8 180.92890000 PA USD 189.70000000 0.000000528928 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N VEREIT OPER PARTNERSHIP LP 5493005TQOUJE1LCS698 92340LAG4 1698000.00000000 PA USD 1729713.83000000 0.004822855793 Long DBT CORP US N 2 2032-12-15 Fixed 0.02850000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FBN1 132.61160000 PA USD 144.67000000 0.000000403374 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AASH2 190785.06720000 PA USD 215423.18000000 0.000600651341 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N REGIONS BANK OF ALABAMA EQTWLK1G7ODGC2MGLV11 75913MAA7 4251000.00000000 PA USD 5869276.38000000 0.016364946099 Long DBT CORP US N 2 2037-06-26 Fixed 0.06450000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAW0 18263000.00000000 PA USD 20200356.21000000 0.056323423735 Long DBT CORP US N 2 2023-10-02 Fixed 0.05400000 N N N N N N FIVE CORNERS FND TR II N/A 33834DAA2 15870000.00000000 PA USD 16475178.65000000 0.045936737875 Long DBT CORP US N 2 2030-05-15 Fixed 0.02850000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FRU8 64.69340000 PA USD 72.56000000 0.000000202314 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07500000 N N N N N N IQVIA INC 549300PLWY28YB00C717 46266TAA6 630000.00000000 PA USD 659673.00000000 0.001839326075 Long DBT CORP US N 2 2027-05-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQTW2 1983949.36970000 PA USD 2128950.48000000 0.005936023045 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VC2 4675651.23410000 PA USD 4954338.75000000 0.013813881193 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WDBQ6 891805.91610000 PA USD 955870.67000000 0.002665196010 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N CHENIERE ENERGY PARTNERS LP 5493005UEC8AZ34LDV29 16411QAD3 1835000.00000000 PA USD 1910693.75000000 0.005327471089 Long DBT CORP US N 2 2026-10-01 Fixed 0.05625000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QNFQ7 116614.03350000 PA USD 125464.99000000 0.000349826395 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N MOOG INC 549300WM2I4U7OBAHG07 615394AM5 980000.00000000 PA USD 1004500.00000000 0.002800786211 Long DBT CORP US N 2 2027-12-15 Fixed 0.04250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179T4P7 11485359.02000000 PA USD 12246174.47000000 0.034145262917 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LBW1 7.03110000 PA USD 7.25000000 0.000000020214 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AP3X4 7318.49210000 PA USD 7741.00000000 0.000021583759 Long ABS-MBS USGSE US N 2 2041-09-01 Variable 0.02321000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448ES3 5700000.00000000 PA USD 6075113.75000000 0.016938869910 Long DBT CORP US N 2 2030-03-19 Fixed 0.02750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291BZC4 625.86280000 PA USD 705.97000000 0.000001968413 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418A6M5 77249.37690000 PA USD 81708.91000000 0.000227823980 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.03000000 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAJ2 9134000.00000000 PA USD 10056317.25000000 0.028039417315 Long DBT CORP US N 2 2030-07-01 Fixed 0.04050000 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 N/A 35563PGG8 10174884.50080000 PA USD 10813570.14000000 0.030150819458 Long ABS-CBDO CORP US N 2 2057-08-25 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TJY2 77634.87800000 PA USD 83250.67000000 0.000232122776 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FWJ7 148088.44580000 PA USD 169271.51000000 0.000471969448 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312943MK6 75547.96140000 PA USD 84208.89000000 0.000234794522 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A94B7 28253.66320000 PA USD 30992.05000000 0.000086413246 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390RTR4 1292.08000000 PA USD 1540.33000000 0.000004294808 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208WFY4 545.29410000 PA USD 617.99000000 0.000001723103 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 969457BX7 15742000.00000000 PA USD 16870538.79000000 0.047039096490 Long DBT CORP US N 2 2030-11-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31365DFB6 8.69000000 PA USD 8.95000000 0.000000024954 Long ABS-MBS USGSE US N 2 2022-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615SA5 24.96230000 PA USD 26.34000000 0.000000073442 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 0.07000000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2017-C33 N/A 61767CAU2 13400000.00000000 PA USD 14607061.28000000 0.040727979915 Long ABS-MBS CORP US N 2 2050-05-15 Fixed 0.03337000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230UD63 5766.81220000 PA USD 6364.89000000 0.000017746835 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 0.04000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBU8 8253000.00000000 PA USD 8770625.44000000 0.024454601094 Long DBT CORP US N 2 2027-04-01 Fixed 0.02800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCEA0 2417874.92200000 PA USD 2615241.22000000 0.007291917918 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297AV35 4329.50160000 PA USD 4886.55000000 0.000013624869 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SW54 64861.83510000 PA USD 70168.75000000 0.000195647254 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MER4 63739.01390000 PA USD 75403.77000000 0.000210243742 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAH0 5019000.00000000 PA USD 6280183.15000000 0.017510652436 Long DBT CORP US N 2 2047-04-01 Fixed 0.05800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NYAN5 62045.76220000 PA USD 65932.71000000 0.000183836162 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ERJ76 27165.14500000 PA USD 29036.61000000 0.000080961012 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176HTG9 40035.66750000 PA USD 43360.39000000 0.000120899136 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L7Q44 2145712.75320000 PA USD 2280334.34000000 0.006358117448 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31346YNJ8 39607.19100000 PA USD 41339.61000000 0.000115264718 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DMA6 1976.59980000 PA USD 2272.20000000 0.000006335436 Long ABS-MBS USGA US N 2 2031-03-20 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200WFG1 78.60290000 PA USD 92.17000000 0.000000256992 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N METHANEX CORP 549300TSJHRXT9QXRD13 59151KAM0 765000.00000000 PA USD 799425.00000000 0.002228988070 Long DBT CORP CA N 2 2027-10-15 Fixed 0.05125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213XAB0 442.38440000 PA USD 517.00000000 0.000001441519 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132Y25W2 4715733.29400000 PA USD 4975656.97000000 0.013873321488 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBJW9 370347.72500000 PA USD 390509.08000000 0.001088832699 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 0.03500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFL8 38178000.00000000 PA USD 43487801.20000000 0.121254389221 Long DBT CORP US N 2 2026-10-22 Fixed 0.04250000 N N N N N N CASCADE FUNDING MORTGAGE TRUST 2020-HB5 N/A 12526PAA2 9501899.77000000 PA USD 9497474.74000000 0.026481230758 Long ABS-CBDO CORP US N 2 2031-02-25 Fixed 0.00800600 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E8KS6 31468.29160000 PA USD 34088.56000000 0.000095047057 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418VG55 5970.13400000 PA USD 6651.97000000 0.000018547283 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TJWJ8 17107.02950000 PA USD 19052.80000000 0.000053123762 Long ABS-CBDO USGSE US N 2 2029-03-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293KN36 85.42360000 PA USD 97.39000000 0.000000271546 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP N/A 87470LAG6 545000.00000000 PA USD 557668.53000000 0.001554913219 Long DBT CORP US N 2 2027-03-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FYV8 20152.15980000 PA USD 23062.99000000 0.000064305131 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKPB5 89442.26270000 PA USD 97533.03000000 0.000271945411 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307RAA3 909511.73800000 PA USD 954061.53000000 0.002660151695 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416NHS4 22121.60550000 PA USD 24408.84000000 0.000068057682 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JPX49 204706.65860000 PA USD 224391.17000000 0.000625656241 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N GS MTG SECS TR 2015-GC30 N/A 36250GAT2 2577000.00000000 PA USD 2778646.90000000 0.007747532030 Long ABS-MBS CORP US N 2 2050-05-10 Fixed 0.03777000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JC6 1766000.00000000 PA USD 2001851.95000000 0.005581641950 Long DBT CORP US N 2 2026-11-20 Fixed 0.04300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YEHA8 107352.90840000 PA USD 116853.96000000 0.000325816784 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFH7 8311000.00000000 PA USD 9188568.46000000 0.025619926179 Long DBT CORP US N 2 2024-08-26 Fixed 0.04200000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132LQV61 872455.48900000 PA USD 947284.51000000 0.002641255743 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 0.04000000 N N N N N N MACK-CALI REALTY LP 549300MJC9VNA6VSEE11 55448QAQ9 678000.00000000 PA USD 694772.64000000 0.001937192265 Long DBT CORP US N 2 2022-04-18 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W46Z9 8978.81010000 PA USD 9566.55000000 0.000026673829 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N QUICKEN LOANS LLC 549300FGXN1K3HLB1R50 74840LAB8 722000.00000000 PA USD 754937.64000000 0.002104946672 Long DBT CORP US N 2 2028-01-15 Fixed 0.05250000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BD1 2013000.00000000 PA USD 2201060.86000000 0.006137084029 Long DBT CORP US N 2 2025-01-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389FXP2 1338.32420000 PA USD 1575.57000000 0.000004393065 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178MPX3 11525.25270000 PA USD 12408.34000000 0.000034597419 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374N3D2 12.78120000 PA USD 13.46000000 0.000000037529 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ELB36 9894.59710000 PA USD 10749.41000000 0.000029971925 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03500000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A -377.00000000 NC USD -83044.21000000 -0.00023154711 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UST NOTES 0% 06/30/2040 2021-09-21 -49657393.29000000 USD -83044.21000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L9NK7 530295.57790000 PA USD 569336.20000000 0.001587445474 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213BRH7 485.80210000 PA USD 569.36000000 0.000001587511 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KHWS1 6844764.02000000 PA USD 7219019.29000000 0.020128352104 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVK79 16500760.47800000 PA USD 17454547.34000000 0.048667451985 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378WVT7 14080.82860000 PA USD 14331.59000000 0.000039959900 Long ABS-CBDO USGA US N 2 2039-08-20 Variable 0.08667670 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EPYQ1 372908.17720000 PA USD 413528.47000000 0.001153016263 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DE2 100000.00000000 PA USD 121554.00000000 0.000338921619 Long DBT CORP US N 2 2031-09-15 Fixed 0.07875000 N N N N N N COMM 2014-UBS6 MTG TR N/A 12592PBG7 959722.67640000 PA USD 23519.54000000 0.000065578101 Long ABS-MBS CORP US N 2 2047-12-10 Variable 0.00884977 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205W3C8 178.68090000 PA USD 191.67000000 0.000000534421 Long ABS-MBS USGA US N 2 2024-07-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292GK47 50.54000000 PA USD 53.63000000 0.000000149533 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M1RJ0 5.85000000 PA USD 5.87000000 0.000000016366 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 0.06500000 N N N N N N BWX TECHNOLOGIES INC 549300NP85N265KWMS58 05605HAB6 480000.00000000 PA USD 482400.00000000 0.001345046558 Long DBT CORP US N 2 2028-06-30 Fixed 0.04125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291H3Y8 282.15810000 PA USD 329.27000000 0.000000918083 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RYD0 48.48000000 PA USD 53.67000000 0.000000149644 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207MK62 183.81200000 PA USD 208.78000000 0.000000582128 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211KNK6 1216.23360000 PA USD 1403.22000000 0.000003912512 Long ABS-MBS USGA US N 2 2030-01-15 Fixed 0.07000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBQ9 17320000.00000000 PA USD 17538935.54000000 0.048902746467 Long DBT CORP IT N 2 2032-06-01 Fixed 0.04198000 N N N N N N TOLL BROTHERS FINANCE CORP N/A 88947EAS9 15464000.00000000 PA USD 17480969.52000000 0.048741123341 Long DBT CORP US N 2 2027-03-15 Fixed 0.04875000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AQCV0 1007877.98420000 PA USD 1069295.85000000 0.002981452536 Long ABS-CBDO USGSE US N 2 2045-10-25 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FY59 580659.19710000 PA USD 630164.05000000 0.001757048065 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296Q6R5 7409.35550000 PA USD 8371.73000000 0.000023342385 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137B6MF5 280199.55920000 PA USD 12298.35000000 0.000034290740 Long ABS-CBDO USGSE US N 2 2028-12-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206ERU1 627.96000000 PA USD 694.35000000 0.000001936013 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LYFN2 39888.87510000 PA USD 43147.98000000 0.000120306886 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CV27 714549.75900000 PA USD 754230.64000000 0.002102975387 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E5GU6 37425.46050000 PA USD 41053.50000000 0.000114466975 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7ZG7 46913107.18000000 PA USD 48885423.34000000 0.136304250510 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209W5W8 648.32770000 PA USD 747.88000000 0.000002085268 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QRQ94 43576.04410000 PA USD 46665.76000000 0.000130115298 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L7LH0 220866.09750000 PA USD 236309.72000000 0.000658888009 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307YGE4 20283.39660000 PA USD 21391.18000000 0.000059643725 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.03000000 N N N N N N LONDON CLEARING HOUSE N/A N/A 3303000.00000000 NC USD 22744.27000000 0.000063416463 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2051-09-15 0.00000000 USD 0.00000000 USD 2677513.06000000 USD 22744.27000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVHG5 1439836.21850000 PA USD 1564566.35000000 0.004362385127 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FJQ0 6919.63120000 PA USD 7660.26000000 0.000021358636 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 0.04500000 N N N N N N PINE STREET TRUST II N/A 72284LAA7 7700000.00000000 PA USD 9689149.86000000 0.027015666829 Long DBT CORP US N 2 2049-02-15 Fixed 0.05568000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31356N2D5 33.13880000 PA USD 35.19000000 0.000000098118 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 0.08500000 N N N N N N AUTOZONE INC GA3JGKJ41LJKXDN23E90 053332AZ5 19121000.00000000 PA USD 21424644.35000000 0.059737031840 Long DBT CORP US N 2 2030-04-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283G6U6 173.50490000 PA USD 195.12000000 0.000000544041 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KZ35 4384.38010000 PA USD 5012.33000000 0.000013975574 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GEQJ2 11536.79140000 PA USD 12859.84000000 0.000035856309 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMRZ7 4317.26110000 PA USD 4687.23000000 0.000013069118 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H7A80 311632.27660000 PA USD 335706.80000000 0.000936030837 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N BX TRUST 2019 N/A 05608BAL4 3079000.00000000 PA USD 3049962.87000000 0.008504025835 Long ABS-MBS CORP US N 2 2034-04-15 Variable 0.02001000 N N N N N N WILLIAM (CARTER) CO TGI2A0HXEYNQPU7TYV27 96926JAC1 446000.00000000 PA USD 467185.00000000 0.001302623500 Long DBT CORP US N 2 2027-03-15 Fixed 0.05625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVS99 1193565.55600000 PA USD 1310389.37000000 0.003653678924 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XYUS4 2357069.64490000 PA USD 2547539.73000000 0.007103149974 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407MSE6 2412.00820000 PA USD 2518.69000000 0.000007022710 Long ABS-MBS USGSE US N 2 2035-07-01 Variable 0.01815000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203CU67 48.08180000 PA USD 50.48000000 0.000000140750 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ARFF6 24998.60880000 PA USD 27421.99000000 0.000076459065 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617GGUG8 1417024.29100000 PA USD 1534734.80000000 0.004279207631 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418APE2 70386.26730000 PA USD 73939.80000000 0.000206161844 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YJM2 95.83720000 PA USD 110.21000000 0.000000307291 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383XLP2 37.35360000 PA USD 43.74000000 0.000000121957 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411BQA4 3449.61210000 PA USD 3983.05000000 0.000011105695 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.06500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BWC2 7189.01170000 PA USD 7261.35000000 0.000020246380 Long ABS-CBDO USGA US N 2 2061-05-20 Variable 0.00760380 N N N N N N UBS-BARCLAYS COML MTG TR 2012- C4 N/A 90270RAA2 4200000.00000000 PA USD 4333602.84000000 0.012083121036 Long ABS-MBS CORP US N 2 2045-12-10 Fixed 0.03316500 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QR29 36319.72400000 PA USD 40025.54000000 0.000111600777 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HWZ4 8999.71780000 PA USD 10459.58000000 0.000029163810 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YWFD4 191002.68170000 PA USD 207668.24000000 0.000579028713 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TZ57 1959553.75900000 PA USD 2089971.27000000 0.005827339687 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y4E88 5076.32890000 PA USD 5704.85000000 0.000015906486 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 0.05000000 N N N N N N CSMC SER 2014-3R N/A 12648GAY3 939421.38030000 PA USD 891652.93000000 0.002486141594 Long ABS-CBDO CORP US N 2 2037-05-27 Variable 0.00399450 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AGQP3 9012.07540000 PA USD 10317.98000000 0.000028768995 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 958254AE4 1395000.00000000 PA USD 1447312.50000000 0.004035453353 Long DBT CORP US N 2 2025-06-01 Fixed 0.03950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5AS8 26696.17870000 PA USD 30564.63000000 0.000085221497 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945X52 13863.05080000 PA USD 15452.87000000 0.000043086296 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31288AFU4 4862.36990000 PA USD 5602.64000000 0.000015621500 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.06000000 N N N N N N SLM STUDENT LN TR GX18J72G8XB30P3MQA62 78442GJG2 856928.63350000 PA USD 857034.89000000 0.002389618220 Long ABS-CBDO CORP US N 2 2027-12-15 Variable 0.00653880 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EDD8 255484.89900000 PA USD 282732.57000000 0.000788326016 Long ABS-MBS USGA US N 2 2035-04-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EFBS4 34676.98130000 PA USD 38027.75000000 0.000106030460 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JBRJ4 90933.43000000 PA USD 99677.55000000 0.000277924845 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAG5 1974000.00000000 PA USD 2226920.74000000 0.006209187558 Long DBT CORP US N 2 2024-12-01 Fixed 0.04875000 N N N N N N MILLICOM INTL CELLULAR SA 549300CTHC1CP86P2G96 600814AR8 200000.00000000 PA USD 208610.00000000 0.000581654566 Long DBT CORP LU N 2 2031-04-27 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201T6Z5 396.72290000 PA USD 464.92000000 0.000001296308 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6HD6 11929742.54600000 PA USD 12833647.21000000 0.035783277401 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209M4L5 401.82590000 PA USD 460.32000000 0.000001283482 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31334WND9 362888.84600000 PA USD 390128.73000000 0.001087772192 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31358Q2R5 819.74080000 PA USD 847.82000000 0.000002363924 Long ABS-CBDO USGSE US N 2 2022-10-25 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204NUL9 52.94270000 PA USD 57.71000000 0.000000160909 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946QN9 149451.30530000 PA USD 166590.46000000 0.000464494040 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ABDB9 20492.09120000 PA USD 22625.26000000 0.000063084635 Long ABS-MBS USGA US N 2 2040-01-15 Fixed 0.04000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404121AF2 138000.00000000 PA USD 148789.65000000 0.000414861125 Long DBT CORP US N 2 2023-05-01 Fixed 0.04750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203AGE0 212.67060000 PA USD 222.34000000 0.000000619937 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FPF7 1028899.39340000 PA USD 1134474.35000000 0.003163185780 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MMME0 2345.22880000 PA USD 2488.28000000 0.000006937919 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31393UNH2 116524.29280000 PA USD 30662.76000000 0.000085495107 Long ABS-CBDO USGSE US N 2 2033-12-25 Variable 0.08008370 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224TTW0 11.75950000 PA USD 12.08000000 0.000000033681 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312941SD0 42534.04120000 PA USD 47413.53000000 0.000132200259 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408FG86 23637.26360000 PA USD 24897.34000000 0.000069419737 Long ABS-MBS USGSE US N 2 2034-07-01 Variable 0.02697000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DZZ9 24533.02610000 PA USD 25543.36000000 0.000071220996 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LSCP3 33979.27800000 PA USD 36766.16000000 0.000102512846 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828ZS2 520000000.00000000 PA USD 503018750.00000000 1.402536564624 Long DBT UST US N 2 2027-05-31 Fixed 0.00500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206MZZ3 210.28390000 PA USD 225.98000000 0.000000630086 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213PKC4 654.27740000 PA USD 766.82000000 0.000002138077 Long ABS-MBS USGA US N 2 2031-04-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133THQB6 2053.57000000 PA USD 2289.41000000 0.000006383422 Long ABS-CBDO USGSE US N 2 2029-01-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04W5 2961.05870000 PA USD 3369.15000000 0.000009393995 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383SCJ7 566.27480000 PA USD 660.37000000 0.000001841269 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YPA36 92195.62050000 PA USD 100355.21000000 0.000279814323 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31396JG74 21160.67700000 PA USD 19554.72000000 0.000054523235 Long ABS-CBDO USGSE US N 2 2036-03-15 Fixed 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E5RF7 22265.62960000 PA USD 24424.07000000 0.000068100147 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128LXK41 19911.15000000 PA USD 22944.85000000 0.000063975728 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.07500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RCQ7 57707.33670000 PA USD 58795.33000000 0.000163935440 Long ABS-CBDO USGA US N 2 2064-08-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379AM36 306.67290000 PA USD 350.86000000 0.000000978281 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N DBUBS 2011 LC3 N/A 23305YAK5 386024.07000000 PA USD 385883.17000000 0.001075934556 Long ABS-MBS CORP US N 2 2044-08-10 Variable 0.05426635 N N N N N N HORIZON 2018 N/A 440405AE8 3229754.03580000 PA USD 3277898.04000000 0.009139563597 Long ABS-CBDO CORP US N 2 2038-12-15 Fixed 0.04458000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHD4 5193000.00000000 PA USD 5673459.94000000 0.015818963038 Long DBT CORP US N 2 2028-12-20 Variable 0.03419000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HJS3 50.49560000 PA USD 55.78000000 0.000000155527 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FA24 16916.95850000 PA USD 18697.22000000 0.000052132320 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224TXL9 2.26170000 PA USD 2.27000000 0.000000006329 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07000000 N N N N N N KAISER ALUMINUM CORP N/A 483007AJ9 1005000.00000000 PA USD 1026708.00000000 0.002862707426 Long DBT CORP US N 2 2028-03-01 Fixed 0.04625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARQ38 8737.27400000 PA USD 10003.36000000 0.000027891759 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378XP75 259.84630000 PA USD 298.31000000 0.000000831759 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PQQ2 139420.40350000 PA USD 153698.61000000 0.000428548479 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CW3 6978000.00000000 PA USD 6960555.00000000 0.019407691855 Long DBT CORP US N 2 2024-08-15 Fixed 0.02900000 N N N N N N MELCO RESORTS FIN LTD 529900NRV6LBR3T6B421 58547DAA7 750000.00000000 PA USD 769222.50000000 0.002144776278 Long DBT CORP KY N 2 2025-06-06 Fixed 0.04875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207JSJ3 155.81300000 PA USD 175.84000000 0.000000490283 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQ6D9 166390.14800000 PA USD 181499.70000000 0.000506064566 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390G3N5 470.40990000 PA USD 558.43000000 0.000001557036 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295T7A6 4042.15690000 PA USD 4778.02000000 0.000013322262 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3129462H8 5829.26630000 PA USD 6497.54000000 0.000018116695 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296XZ64 28614.47030000 PA USD 32702.33000000 0.000091181916 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N AASET 2018-1 TR N/A 000367AA0 8439800.23000000 PA USD 8086362.50000000 0.022546712386 Long ABS-CBDO CORP US N 2 2038-01-16 Fixed 0.03844000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292GQ41 132.21720000 PA USD 148.91000000 0.000000415196 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQL83 460318.77330000 PA USD 522232.75000000 0.001456109791 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209MUU6 1127.23130000 PA USD 1298.99000000 0.000003621894 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209T5D7 58.02000000 PA USD 60.11000000 0.000000167601 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375ESP7 28.86000000 PA USD 31.60000000 0.000000088108 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 0.07500000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBF7 19432000.00000000 PA USD 18501781.22000000 0.051587390473 Long DBT CORP US N 2 2033-02-15 Fixed 0.02600000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335CAW4 3962696.19700000 PA USD 4304296.06000000 0.012001406725 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417AJS9 620847.51280000 PA USD 681032.78000000 0.001898882249 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GSBR2 37885.45460000 PA USD 41268.10000000 0.000115065331 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390J6F3 769.93770000 PA USD 913.72000000 0.000002547669 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BBV3 357539.76030000 PA USD 358032.06000000 0.000998279001 Long ABS-CBDO USGA US N 2 2060-05-20 Variable 0.00441000 N N N N N N CF HIPPOLYTA ISSUER LLC N/A 12530MAB1 10924506.29000000 PA USD 11027325.56000000 0.030746820685 Long ABS-MBS CORP US N 2 2060-07-15 Fixed 0.01990000 N N N N N N BENCHMARK 2018-B2 MTG TR N/A 08161CAF8 1800000.00000000 PA USD 1968272.28000000 0.005488013800 Long ABS-MBS CORP US N 2 2051-02-15 Fixed 0.03780200 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GEHF0 12344.22130000 PA USD 13631.89000000 0.000038008969 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617GM3Q3 661406.63820000 PA USD 718137.73000000 0.002002339723 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374F5Z8 77.83160000 PA USD 85.84000000 0.000000239342 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GD2M3 15338.66900000 PA USD 17097.72000000 0.000047672532 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213E2H8 816.73500000 PA USD 954.77000000 0.000002662127 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LTY2 258190.28620000 PA USD 284864.52000000 0.000794270402 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N HOLOGIC INC 549300DYP6F5ZJL0LB74 436440AM3 65000.00000000 PA USD 67569.45000000 0.000188399784 Long DBT CORP US N 2 2028-02-01 Fixed 0.04625000 N N N N N N VIATRIS INC 254900ZZTSW7NL773X71 91533BAE0 3928000.00000000 PA USD 4056406.71000000 0.011310231938 Long DBT CORP US N 2 2040-06-22 Fixed 0.03850000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128PJN78 378.46950000 PA USD 392.99000000 0.000001095750 Long ABS-MBS USGSE US N 2 2023-01-01 Fixed 0.06000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CW3 6070000.00000000 PA USD 7806893.47000000 0.021767485899 Long DBT CORP US N 2 2050-05-01 Fixed 0.05805000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BL48 264.58660000 PA USD 311.05000000 0.000000867281 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390KCN6 185.06000000 PA USD 220.29000000 0.000000614221 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TBK4 339.17140000 PA USD 371.22000000 0.000001035050 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M74W3 2499.24300000 PA USD 2785.86000000 0.000007767643 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WBPY5 54246.39450000 PA USD 57814.26000000 0.000161199982 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.03000000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JBA5 12819000.00000000 PA USD 12852525.02000000 0.035835913250 Long DBT CORP US N 2 2021-09-01 Fixed 0.04000000 N N N N N N DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO N/A 25277LAA4 475000.00000000 PA USD 351495.25000000 0.000980052811 Long DBT CORP US N 2 2026-08-15 Fixed 0.05375000 N N N N N N MGM GROWTH PPTYS OPER PARTNERSHIP LP / MGP FIN CO-ISSUER INC N/A 55303XAK1 150000.00000000 PA USD 159000.00000000 0.000443330022 Long DBT CORP US N 2 2025-06-15 Fixed 0.04625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YXUM5 35818.19130000 PA USD 38140.42000000 0.000106344611 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03000000 N N N N N N PROVIDENT FDG MTG TR 2020-1 N/A 743874AE9 1858477.14000000 PA USD 1865932.42000000 0.005202665797 Long ABS-CBDO CORP US N 2 2050-02-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BDR4 44501.53410000 PA USD 47070.56000000 0.000131243977 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 0.03000000 N N N N N N BERKSHIRE HATHAWAY ENERGY COMPANY 549300JD0S5IZJE9LY15 084659AV3 1758000.00000000 PA USD 1967539.64000000 0.005485971024 Long DBT CORP US N 2 2030-07-15 Fixed 0.03700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383VKS1 265.32650000 PA USD 311.14000000 0.000000867532 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374CQS8 215061.54540000 PA USD 244864.88000000 0.000682741841 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 0.05000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CC4 185000.00000000 PA USD 191991.15000000 0.000535317238 Long DBT CORP US N 2 2027-01-15 Fixed 0.06625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0ZB7 99939.95190000 PA USD 113744.97000000 0.000317148176 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N ILLINOIS ST N/A 452152FA4 2710000.00000000 PA USD 3325297.64000000 0.009271725016 Long DBT MUN US N 2 2035-04-01 Fixed 0.06725000 N N N N N N WELLS FARGO and CO PBLD0EJDB5FWOLXP3B76 94974BGL8 25328000.00000000 PA USD 28956745.09000000 0.080738329895 Long DBT CORP US N 2 2027-07-22 Fixed 0.04300000 N N N N N N AASET 2019-2 TR N/A 00038RAB2 1488945.30000000 PA USD 1223536.04000000 0.003411511070 Long ABS-CBDO CORP US N 2 2039-10-16 Fixed 0.04458000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YDME6 53063.42000000 PA USD 57842.60000000 0.000161279001 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04000000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAQ9 12980000.00000000 PA USD 14561298.62000000 0.040600382675 Long DBT CORP US N 2 2025-03-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194A5E3 23460.05900000 PA USD 25219.71000000 0.000070318582 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DRQ2 6875.77570000 PA USD 7371.03000000 0.000020552194 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5YQ0 2425245.22000000 PA USD 2548073.70000000 0.007104638810 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213EZR0 25334.39510000 PA USD 27960.59000000 0.000077960811 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335ATG3 2883792.12730000 PA USD 3145663.52000000 0.008770862133 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W1SW8 7560.60560000 PA USD 8034.25000000 0.000022401410 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3129366F9 2637.06000000 PA USD 2949.34000000 0.000008223465 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128KDFJ9 3114.88890000 PA USD 3564.32000000 0.000009938176 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.05000000 N N N N N N BRAZOS HIGHER ED AUTH INC N/A 10620NCD8 312971.24670000 PA USD 313350.41000000 0.000873695876 Long ABS-CBDO CORP US N 2 2029-05-25 Variable 0.01047000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YVZJ1 255981.39770000 PA USD 278636.52000000 0.000776905249 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203GN66 16.31560000 PA USD 17.09000000 0.000000047651 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L7CX5 334757.16250000 PA USD 358687.45000000 0.001000106385 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133G7XF5 2529803.20200000 PA USD 2653974.29000000 0.007399914979 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N VORNADO REALTY L P 549300BMOJ05INE4YK86 929043AL1 12870000.00000000 PA USD 12970106.72000000 0.036163759147 Long DBT CORP US N 2 2031-06-01 Fixed 0.03400000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GEX96 14215.94830000 PA USD 16214.73000000 0.000045210544 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N BAYVIEW COML ASSET TR 2007 3 N/A 07325YAG3 33265.76910000 PA USD 31665.82000000 0.000088291878 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.00691630 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HRW7 99.40900000 PA USD 117.00000000 0.000000326223 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617M76V5 315476.10500000 PA USD 337837.46000000 0.000941971627 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N DB MASTER FIN LLC 549300F17UZJL70BPB08 233046AL5 987412.50000000 PA USD 1084208.55000000 0.003023032710 Long ABS-CBDO CORP US N 2 2049-05-20 Fixed 0.04352000 N N N N N N MORGAN STANLEY CAP I TR 2018-BOP N/A 61768FAA8 205211.29000000 PA USD 204823.71000000 0.000571097484 Long ABS-MBS CORP US N 2 2033-08-15 Variable 0.00951000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 03523TBV9 13389000.00000000 PA USD 17501854.71000000 0.048799356245 Long DBT CORP US N 2 2049-01-23 Fixed 0.05550000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31339DTC2 2750.15350000 PA USD 2796.40000000 0.000007797031 Long ABS-CBDO USGSE US N 2 2032-01-15 Variable 0.00900880 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RBA9 12537000.00000000 PA USD 16038932.25000000 0.044720378590 Long DBT CORP US N 2 2041-08-15 Fixed 0.05550000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ALSX3 2600.09000000 PA USD 2958.44000000 0.000008248838 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380EJF2 398.73190000 PA USD 442.36000000 0.000001233405 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E7AT1 6291.25060000 PA USD 6901.13000000 0.000019242000 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416QTV7 3035.86690000 PA USD 3174.23000000 0.000008850512 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 0.04500000 N N N N N N BAYVIEW COML ASST TR 2007 2 N/A 07325XAE0 33328.21140000 PA USD 35263.52000000 0.000098323126 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.00581630 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QGE5 37938.79800000 PA USD 41904.66000000 0.000116840212 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X3BQ0 1763187.57200000 PA USD 1881504.51000000 0.005246084508 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N BRISTOL PARK CLO LTD 2016 549300XRS6MFERKEPO61 11014PAJ4 10597000.00000000 PA USD 10594509.71000000 0.029540026594 Long ABS-CBDO CORP US N 2 2029-04-15 Variable 0.01173750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YUWB3 165904.03360000 PA USD 180587.04000000 0.000503519852 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DJ1 160000.00000000 PA USD 168800.00000000 0.000470654766 Long DBT CORP US N 2 2040-03-15 Fixed 0.06200000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F82N2 8000000.00000000 PA USD 7913936.00000000 0.022065946070 Long ABS-MBS USGSE US N 2 2030-11-25 Fixed 0.01521000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203ASV9 56.97980000 PA USD 58.93000000 0.000000164310 Long ABS-MBS USGA US N 2 2023-01-15 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31397CDA4 174002.76120000 PA USD 40773.04000000 0.000113684985 Long ABS-CBDO USGSE US N 2 2036-11-15 Variable 0.06559120 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FQ66 142192.53840000 PA USD 156799.25000000 0.000437193805 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.04000000 N N N N N N ZIGGO BOND CO 213800JYI4P7V5QDOG59 98953GAD7 540000.00000000 PA USD 548100.00000000 0.001528233870 Long DBT CORP NL N 2 2030-02-28 Fixed 0.05125000 N N N N N N BX TRUST 2019 N/A 056054AF6 5277037.13000000 PA USD 5280346.89000000 0.014722869847 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.01351000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGBW3 271776.79100000 PA USD 295150.41000000 0.000822949924 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179N2J6 4963.38000000 PA USD 5358.62000000 0.000014941113 Long ABS-MBS USGA US N 2 2044-02-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HNH36 501211.90000000 PA USD 542386.26000000 0.001512302596 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GGB87 25719.86470000 PA USD 28669.43000000 0.000079937226 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205DKQ0 688.82600000 PA USD 787.91000000 0.000002196881 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WEKJ7 23084.01190000 PA USD 24811.38000000 0.000069180060 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312935RE1 113960.29240000 PA USD 127268.66000000 0.000354855458 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAQ7 2924000.00000000 PA USD 2971824.56000000 0.008286157541 Long DBT CORP US N 2 2022-02-01 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9FD8 3847.39930000 PA USD 4401.82000000 0.000012273326 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207TTL5 521.20080000 PA USD 586.94000000 0.000001636529 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UGXF9 4453.80690000 PA USD 4717.65000000 0.000013153936 Long ABS-MBS USGSE US N 2 2041-06-01 Variable 0.02910000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X93D5 8975159.89300000 PA USD 9485533.26000000 0.026447935056 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.03000000 N N N N N N TANGER PROPERTIES LP PQPGJDNFN35EXH363L31 875484AJ6 2628000.00000000 PA USD 2743837.82000000 0.007650475991 Long DBT CORP US N 2 2026-09-01 Fixed 0.03125000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31339U3D0 526960.61000000 PA USD 546109.73000000 0.001522684521 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176Q5Y6 10711.28830000 PA USD 11607.49000000 0.000032364457 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AXL66 15588.76750000 PA USD 17099.95000000 0.000047678749 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389KSV4 76.37790000 PA USD 90.78000000 0.000000253116 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224FRD4 38.01000000 PA USD 39.13000000 0.000000109103 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378P2C6 80.34600000 PA USD 92.02000000 0.000000256573 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FV86 17108.01000000 PA USD 18773.23000000 0.000052344254 Long ABS-MBS USGA US N 2 2041-08-20 Fixed 0.04000000 N N N N N N DEUTSCHE BANK AG NEW YORK BNCH 7LTWFZYICNSX8D621K86 251526BL2 7369000.00000000 PA USD 7653132.21000000 0.021338762736 Long DBT CORP US N 2 2022-11-16 Fixed 0.03300000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TZ73 8502038.52800000 PA USD 9267582.48000000 0.025840236161 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GDGH9 50166.47260000 PA USD 55919.59000000 0.000155917189 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021 N/A 95003EAA4 15435000.00000000 PA USD 15464338.85000000 0.043118274785 Long ABS-MBS CORP US N 2 2031-05-15 Variable 0.01300000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQFK3 161028.06160000 PA USD 176821.52000000 0.000493020682 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385J4V7 809.56080000 PA USD 877.33000000 0.000002446205 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617GSS91 655928.24190000 PA USD 712189.44000000 0.001985754468 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.04000000 N N N N N N STATE STREET CORP 549300ZFEEJ2IP5VME73 857477BL6 1216000.00000000 PA USD 1242071.04000000 0.003463191082 Long DBT CORP US N 2 2023-03-30 Variable 0.02825000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204LEF4 26.27140000 PA USD 27.64000000 0.000000077066 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.07500000 N N N N N N TOLL BROTHERS FINANCE CORP N/A 88947EAT7 14431000.00000000 PA USD 15699340.59000000 0.043773515834 Long DBT CORP US N 2 2028-02-15 Fixed 0.04350000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YJ5N2 93129.88020000 PA USD 100156.96000000 0.000279261555 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293HR88 214.92650000 PA USD 244.99000000 0.000000683090 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.06000000 N N N N N N CSMC SER 2014-3R N/A 12648GAJ6 538288.37570000 PA USD 53.83000000 0.000000150090 Long ABS-CBDO CORP US N 3 2037-05-27 Variable 0.00000000 N N N N N N MADISON PK FDG L LTD / MADISON PK FDG L LLC N/A 55821FAA5 9810000.00000000 PA USD 9807439.59000000 0.027345486883 Long ABS-CBDO CORP KY N 2 2034-04-19 Variable 0.01335800 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GN6Y4 29020.85830000 PA USD 31657.36000000 0.000088268290 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ETWB8 273486.17560000 PA USD 303920.05000000 0.000847401777 Long ABS-MBS USGSE US N 2 2039-02-01 Variable 0.06594000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E0LM9 137586.32020000 PA USD 149042.73000000 0.000415566772 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MNLF5 24537.06830000 PA USD 26112.57000000 0.000072808089 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFM6 26856000.00000000 PA USD 29626950.25000000 0.082607022151 Long DBT CORP US N 2 2025-01-22 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M17E2 100711.28040000 PA USD 108971.33000000 0.000303838126 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N HESS MIDSTREAM PARTNERS LP N/A 428104AA1 780000.00000000 PA USD 818376.00000000 0.002281827990 Long DBT CORP US N 2 2028-06-15 Fixed 0.05125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203N6C7 76.13290000 PA USD 80.59000000 0.000000224704 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AS2S7 66303.85670000 PA USD 73467.07000000 0.000204843759 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359VSD6 53161.99830000 PA USD 58887.10000000 0.000164191316 Long ABS-CBDO USGSE US N 2 2029-04-25 Fixed 0.06000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128HD4K2 307.29660000 PA USD 322.98000000 0.000000900545 Long ABS-MBS USGSE US N 2 2033-03-01 Variable 0.02567000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GJC31 228656.12630000 PA USD 254878.53000000 0.000710662292 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CDJ0 142495.73620000 PA USD 150442.92000000 0.000419470837 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JBHZ9 34390.22130000 PA USD 37695.83000000 0.000105104988 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128K6NK2 10481.64000000 PA USD 12048.32000000 0.000033593597 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.06000000 N N N N N N PLANET FITNESS MASTER ISSUER LLC 18-1A N/A 72703PAC7 7121850.00000000 PA USD 7119927.10000000 0.019852059381 Long ABS-CBDO CORP US N 2 2049-12-05 Fixed 0.03858000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224BHA0 5.40310000 PA USD 5.56000000 0.000000015502 Long ABS-MBS USGA US N 2 2022-06-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JPBN1 106690.70930000 PA USD 116945.87000000 0.000326073051 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411HT42 1376.73230000 PA USD 1644.33000000 0.000004584785 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TRH4 906.39340000 PA USD 1020.71000000 0.000002845983 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.07500000 N N N N N N MADISON PARK FUNDING 2015 N/A 55819QAY3 2736642.61000000 PA USD 2736637.14000000 0.007630398773 Long ABS-CBDO CORP KY N 2 2028-01-22 Variable 0.01103750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FA69 42.86040000 PA USD 46.45000000 0.000000129513 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N SITE CENTERS CORP W2AVA6SODOQ1LCYJQR54 23317HAE2 2753000.00000000 PA USD 2980703.33000000 0.008310913675 Long DBT CORP US N 2 2026-02-01 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KHUZ7 15265937.50400000 PA USD 16033853.85000000 0.044706218796 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03000000 N N N N N N FORD CR FLOORPLN MAST OWN TR A 5493001DTG5N7T8BG747 34528QGW8 8253000.00000000 PA USD 8854280.57000000 0.024687851601 Long ABS-CBDO CORP US N 2 2026-04-15 Fixed 0.03060000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A 1314.00000000 NC USD 1126373.94000000 0.003140599900 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2021-09-21 204555688.56000000 USD 1126373.94000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375NPP0 2752.36270000 PA USD 3046.60000000 0.000008494649 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07500000 N N N N N N MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST SERIES 2016-5 N/A 61916BAW0 5443000.00000000 PA USD 5469436.65000000 0.015250097316 Long ABS-CBDO CORP US N 2 2023-01-23 Variable 0.01345130 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287P6S7 873.67000000 PA USD 1022.35000000 0.000002850556 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E0BL2 203816.47860000 PA USD 227030.26000000 0.000633014655 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WPNK9 707571.48310000 PA USD 775476.84000000 0.002162214873 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241L3J3 396000.13930000 PA USD 453065.30000000 0.001263254400 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307U5S3 78318.77450000 PA USD 82718.55000000 0.000230639098 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362165L34 28.59860000 PA USD 30.03000000 0.000000083730 Long ABS-MBS USGA US N 2 2023-05-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407G6Q6 3188.49760000 PA USD 3798.87000000 0.000010592158 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204CFX4 166.04970000 PA USD 176.45000000 0.000000491984 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5M30 1180125.29690000 PA USD 1280144.46000000 0.003569348882 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XWUS8 72016.34840000 PA USD 77880.86000000 0.000217150461 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N NYT MORTGAGE TRUST 2019 N/A 62954PAA8 20822000.00000000 PA USD 20856585.34000000 0.058153147477 Long ABS-MBS CORP US N 2 2035-12-15 Variable 0.01301000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XXNS4 694231.39310000 PA USD 733038.65000000 0.002043887051 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RWU4 413.54740000 PA USD 461.42000000 0.000001286549 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XPH6 56188.15390000 PA USD 60785.40000000 0.000169484231 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N GS MTG SECS TR 2019-GC39 N/A 36260JAD9 130000.00000000 PA USD 144543.79000000 0.000403022652 Long ABS-MBS CORP US N 2 2052-05-10 Fixed 0.03567000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C40 N/A 95000YAW5 1000000.00000000 PA USD 1086977.90000000 0.003030754320 Long ABS-MBS CORP US N 2 2050-10-15 Fixed 0.03395000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411JDH6 3433.57090000 PA USD 3564.17000000 0.000009937758 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A9KH6 12456.79980000 PA USD 13760.45000000 0.000038367425 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9BS9 1160795.33150000 PA USD 1293367.44000000 0.003606217712 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417CEQ4 141043.07890000 PA USD 150584.14000000 0.000419864592 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176ND57 28575.08000000 PA USD 31559.22000000 0.000087994652 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31356N5T7 67.28090000 PA USD 74.05000000 0.000000206469 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 0.08500000 N N N N N N DUKE REALTY LP 2549009GZDBNY1KE9O81 26441YAZ0 589000.00000000 PA USD 639468.00000000 0.001782989703 Long DBT CORP US N 2 2026-06-30 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MNSW1 16142.16160000 PA USD 17178.63000000 0.000047898128 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N PUGET ENERGY INC SYBSJ96YIDMIUY7WDR33 745310AD4 3185000.00000000 PA USD 3229194.33000000 0.009003766006 Long DBT CORP US N 2 2021-09-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FV82 70862.22300000 PA USD 80066.26000000 0.000223243879 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.04500000 N N N N N N JAZZ SECURITIES DAC 6354009DV8VV7K6KOO02 47216FAA5 225000.00000000 PA USD 231408.00000000 0.000645220841 Long DBT CORP IE N 2 2029-01-15 Fixed 0.04375000 N N N N N N HASBRO INC 549300NUB6D2R1ITYR45 418056AW7 2845000.00000000 PA USD 2930703.06000000 0.008171500966 Long DBT CORP US N 2 2022-11-19 Fixed 0.02600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X3EE8 9854.23130000 PA USD 10266.21000000 0.000028624648 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QAWW6 527117.52300000 PA USD 581511.04000000 0.001621391839 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QAW22 470441.60000000 PA USD 521485.92000000 0.001454027450 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04000000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCJB3 14518.10660000 PA USD 2687.33000000 0.000007492918 Long ABS-CBDO USGSE US N 2 2034-04-25 Variable 0.05500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BYS5 5753.17300000 PA USD 5759.15000000 0.000016057887 Long ABS-CBDO USGA US N 2 2060-07-20 Variable 0.00640380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211QX97 623.03500000 PA USD 729.28000000 0.000002033407 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P75Z2 541123.08870000 PA USD 580458.95000000 0.001618458360 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8CV5 60413.40230000 PA USD 65694.20000000 0.000183171139 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVDB0 34737.41730000 PA USD 37724.94000000 0.000105186154 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 02005NBF6 1188000.00000000 PA USD 1366376.36000000 0.003809784040 Long DBT CORP US N 2 2025-11-20 Fixed 0.05750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HPQ7 65905.71540000 PA USD 71893.16000000 0.000200455322 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297APH1 873.52270000 PA USD 993.53000000 0.000002770199 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403R2C1 289.32420000 PA USD 324.13000000 0.000000903751 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209BS74 334.28170000 PA USD 379.24000000 0.000001057411 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XJ5X1 105703.29810000 PA USD 115785.07000000 0.000322836463 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378FB38 49.41850000 PA USD 56.28000000 0.000000156922 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296JR31 39040.72540000 PA USD 44076.44000000 0.000122895654 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.04500000 N N N N N N ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC N/A 013092AE1 330000.00000000 PA USD 343926.00000000 0.000958947932 Long DBT CORP US N 2 2030-02-15 Fixed 0.04875000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137A7WV8 633690.33000000 PA USD 708131.71000000 0.001974440546 Long ABS-CBDO USGSE US N 2 2041-03-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GMT4 698.82530000 PA USD 802.17000000 0.000002236641 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407NH97 4419.68220000 PA USD 5266.74000000 0.000014684930 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292LH99 546013.55850000 PA USD 603441.24000000 0.001682538481 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A3TX5 7079.91490000 PA USD 7818.99000000 0.000021801213 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N Fidelity Salem Street Trust S4W85DGKOEJ24DPRB829 31635T401 2361635.27800000 NS USD 25293113.83000000 0.070523249838 Long EC RF US N 1 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8UV5 156936.30900000 PA USD 167220.77000000 0.000466251495 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407XKE0 3585.04470000 PA USD 4249.96000000 0.000011849904 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CWZ3 2389762.31500000 PA USD 2522493.30000000 0.007033314538 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AAXE6 5508.45160000 PA USD 6137.56000000 0.000017112984 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HMV50 240783.82400000 PA USD 262695.87000000 0.000732458905 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 0.04000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBG5 9284000.00000000 PA USD 9021175.16000000 0.025153193629 Long DBT CORP US N 2 2051-02-15 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BXM5 259.36610000 PA USD 302.60000000 0.000000843721 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N MAGNETITE XVI LTD / MAGNETITE XVI LLC 549300Z3WHVYABE20I45 55953RAL5 8423209.62400000 PA USD 8394191.67000000 0.023405013724 Long ABS-CBDO CORP KY N 2 2028-01-18 Variable 0.00989750 N N N N N N CORPOARATE OFFICE PPTYS LP H0TWO5VRNEP6CQAWPX27 22003BAL0 2969000.00000000 PA USD 3049323.89000000 0.008502244206 Long DBT CORP US N 2 2026-03-15 Fixed 0.02250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371HTB4 117.86930000 PA USD 136.52000000 0.000000380650 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASAU3 11379.84550000 PA USD 13021.75000000 0.000036307752 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C02Z0 32824.01000000 PA USD 37347.83000000 0.000104134681 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9CU3 4760.54040000 PA USD 5416.64000000 0.000015102887 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31339U6U9 3733769.18700000 PA USD 3916920.27000000 0.010921310387 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GPNU8 1103589.67800000 PA USD 1196861.88000000 0.003337137133 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WFLC8 14666.85600000 PA USD 15709.37000000 0.000043801480 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M4KU5 16096.98000000 PA USD 17271.40000000 0.000048156793 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3139644Z8 302.25420000 PA USD 313.36000000 0.000000873722 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 0.08500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NVN5 91962.63100000 PA USD 99285.73000000 0.000276832357 Long ABS-MBS USGA US N 2 2043-12-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291H4R2 540.02500000 PA USD 637.58000000 0.000001777725 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307VJ80 200809.59700000 PA USD 212768.37000000 0.000593249096 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409A5J4 1782.01000000 PA USD 1872.81000000 0.000005221842 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 0.01910000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 035240AP5 5641000.00000000 PA USD 6587825.77000000 0.018368433629 Long DBT CORP US N 2 2058-04-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31400PHL2 1424.03440000 PA USD 1695.56000000 0.000004727626 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M8VX8 115911.33530000 PA USD 125381.82000000 0.000349594497 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AC1 5738000.00000000 PA USD 7642327.44000000 0.021308636454 Long DBT CORP US N 2 2031-11-15 Fixed 0.07375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0W53 11818.47000000 PA USD 13450.99000000 0.000037504576 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335CAG9 2779105.76340000 PA USD 3049708.68000000 0.008503317093 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140K5JZ1 1151008.83600000 PA USD 1209662.29000000 0.003372827737 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AWS5 797.45050000 PA USD 833.72000000 0.000002324610 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385JJC3 7971.62700000 PA USD 9285.62000000 0.000025890529 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.06500000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 035240AU4 18803000.00000000 PA USD 21617463.88000000 0.060274658799 Long DBT CORP US N 2 2060-06-01 Fixed 0.04600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417F2P2 147745.95170000 PA USD 157417.24000000 0.000438916909 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAQ6 3643000.00000000 PA USD 3877588.98000000 0.010811645345 Long DBT CORP US N 2 2030-05-15 Fixed 0.03750000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31395RA81 231177.79350000 PA USD 267228.56000000 0.000745097129 Long ABS-CBDO USGSE US N 2 2035-03-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386L4T6 15444.58110000 PA USD 17670.61000000 0.000049269886 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36220UZ20 62.50840000 PA USD 64.79000000 0.000000180650 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417JPV6 21336.53050000 PA USD 23857.43000000 0.000066520219 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N CCUBS COML MTG TR 2017-C1 N/A 12508GAS5 1400000.00000000 PA USD 1526942.06000000 0.004257479609 Long ABS-MBS CORP US N 2 2050-11-15 Fixed 0.03462000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CWA79 4390879.66700000 PA USD 4645732.91000000 0.012953414312 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209WHQ8 185.60990000 PA USD 209.01000000 0.000000582769 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FGT3 285.26200000 PA USD 312.23000000 0.000000870571 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31396HSG5 131374.81400000 PA USD 119834.39000000 0.000334126935 Long ABS-CBDO USGSE US N 2 2036-02-15 Fixed 0.00000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 4600000.00000000 NC USD 98032.03000000 0.000273336742 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-10-17 0.00000000 USD 0.00000000 USD 4600000.00000000 USD 1.00000000 1.78000000 USD 2024-10-15 XXXX -33872.97000000 N N N LONDON CLEARING HOUSE N/A N/A -15486000.00000000 NC USD -18357.10000000 -0.00005118398 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2031-09-15 0.00000000 USD 0.00000000 USD -14558311.17000000 USD -18357.10000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210A3A3 3404.72560000 PA USD 4007.90000000 0.000011174983 Long ABS-MBS USGA US N 2 2035-02-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AN6B1 8618.43610000 PA USD 9808.93000000 0.000027349642 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 958254AK0 1236000.00000000 PA USD 1324139.16000000 0.003692016626 Long DBT CORP US N 2 2028-08-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413DVA2 19118.75520000 PA USD 20351.57000000 0.000056745043 Long ABS-MBS USGSE US N 2 2037-07-01 Variable 0.02806000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJZB7 231568.78650000 PA USD 250489.02000000 0.000698423288 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBY0 8300000.00000000 PA USD 8291902.77000000 0.023119807810 Long DBT CORP US N 2 2060-04-01 Fixed 0.03850000 N N N N N N WR GRACE and CO - CONN 549300GJVOEHHLSO6K25 383909AG3 305000.00000000 PA USD 321012.50000000 0.000895059615 Long DBT CORP US N 2 2027-06-15 Fixed 0.04875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179R4G1 118015.47400000 PA USD 130130.72000000 0.000362835566 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QRJD3 117845.43560000 PA USD 125538.26000000 0.000350030689 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208STE2 455.48270000 PA USD 523.88000000 0.000001460702 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WRNQ9 7603.08870000 PA USD 8221.92000000 0.000022924679 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BML3 453069.82760000 PA USD 455455.15000000 0.001269917873 Long ABS-CBDO USGA US N 2 2061-06-20 Variable 0.00640380 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJMS6 423195.31930000 PA USD 473413.28000000 0.001319989434 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FNG8 968.78940000 PA USD 1136.55000000 0.000003168973 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J92P2 136607.31950000 PA USD 149786.11000000 0.000417639493 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WH3U4 1129384.88500000 PA USD 1184465.89000000 0.003302574149 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.02500000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BF1 120000.00000000 PA USD 120900.00000000 0.000337098111 Long DBT CORP US N 2 2030-01-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376K3C8 100.62660000 PA USD 111.93000000 0.000000312087 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07500000 N N N N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 04010LAY9 42000000.00000000 PA USD 44294183.64000000 0.123502776298 Long DBT CORP US N 2 2025-07-15 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H2XK9 32996.04930000 PA USD 35349.18000000 0.000098561967 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BDQ6 4377000.00000000 PA USD 4777131.86000000 0.013319786007 Long DBT CORP US N 2 2024-04-29 Fixed 0.03875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KXY9 1330.37800000 PA USD 1538.23000000 0.000004288953 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 0.05500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QSBV7 26491.18010000 PA USD 27806.39000000 0.000077530864 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 0.01910000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36182EMJ9 100333.22610000 PA USD 108289.04000000 0.000301935739 Long ABS-MBS USGA US N 2 2044-02-15 Fixed 0.03500000 N N N N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAB2 10668000.00000000 PA USD 12121019.90000000 0.033796302046 Long DBT CORP US N 2 2029-04-01 Fixed 0.04650000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224J3E0 198.35000000 PA USD 210.37000000 0.000000586561 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AJ8 6953000.00000000 PA USD 7202010.01000000 0.020080926163 Long DBT CORP IT N 2 2022-01-14 Fixed 0.06572000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MG53 152033.74000000 PA USD 164900.55000000 0.000459782166 Long ABS-MBS USGA US N 2 2042-07-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E1D46 9488.43330000 PA USD 10408.25000000 0.000029020689 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AA4A0 162235.72010000 PA USD 166642.50000000 0.000464639140 Long ABS-CBDO USGSE US N 2 2043-01-25 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371HYA0 279.85920000 PA USD 321.86000000 0.000000897422 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DQN4 1206.62830000 PA USD 1396.23000000 0.000003893023 Long ABS-MBS USGA US N 2 2031-11-20 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HF2A6 38586.93810000 PA USD 41326.73000000 0.000115228805 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36219CTU8 272.08310000 PA USD 298.90000000 0.000000833404 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDF6 7166000.00000000 PA USD 6295331.00000000 0.017552888264 Long DBT CORP MX N 2 2060-01-28 Fixed 0.06950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BWH7 395.32720000 PA USD 459.95000000 0.000001282450 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 0.07000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHC6 10687000.00000000 PA USD 11119904.29000000 0.031004952324 Long DBT CORP US N 2 2023-12-20 Variable 0.03004000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARDQ1 38166.06790000 PA USD 43696.58000000 0.000121836514 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.05000000 N N N N N N TANGER PROPERTIES LP PQPGJDNFN35EXH363L31 875484AH0 2635000.00000000 PA USD 2826325.56000000 0.007880471535 Long DBT CORP US N 2 2024-12-01 Fixed 0.03750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GDZS4 56566.29750000 PA USD 63053.35000000 0.000175807818 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QL4P5 80419.95010000 PA USD 88634.16000000 0.000247133233 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VG3 108340.49500000 PA USD 115001.16000000 0.000320650734 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180BZJ3 26329.33830000 PA USD 28057.62000000 0.000078231354 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N ENDEAVOR ENERGY RES L P / EER FIN INC N/A 29260FAD2 45000.00000000 PA USD 46462.50000000 0.000129548560 Long DBT CORP US N 2 2026-01-30 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ECJ8 9598.57310000 PA USD 10214.89000000 0.000028481556 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373X6K2 31.48980000 PA USD 34.71000000 0.000000096779 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 0.07500000 N N N N N N GS MTG SECS TR 2014-GC18 N/A 36252RAQ2 1110098.55500000 PA USD 1150208.97000000 0.003207057664 Long ABS-MBS CORP US N 2 2047-01-10 Fixed 0.03648000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200WQR5 5915.47460000 PA USD 6978.33000000 0.000019457252 Long ABS-MBS USGA US N 2 2034-09-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206BWK3 119.60490000 PA USD 131.60000000 0.000000366932 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389DTC1 3330.38150000 PA USD 3911.92000000 0.000010907368 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MHK69 15119.74260000 PA USD 16066.94000000 0.000044798470 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CXV1 2513285.25400000 PA USD 2652876.89000000 0.007396855166 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N MADISON PK FDG XXXVII LLC N/A 55817EAA4 9585000.00000000 PA USD 9585431.33000000 0.026726474764 Long ABS-CBDO CORP KY N 2 2032-07-15 Variable 0.01483750 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201JE88 223.64910000 PA USD 261.95000000 0.000000730379 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2018-H4 N/A 61691RAE6 2991000.00000000 PA USD 3426182.13000000 0.009553015100 Long ABS-MBS CORP US N 2 2051-12-15 Fixed 0.04310000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GJMF3 106990.15170000 PA USD 117407.84000000 0.000327361134 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EHAP7 219060.72320000 PA USD 261157.36000000 0.000728169171 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.06000000 N N N N N N BAYVIEW COML ASSET TR 06 4 N/A 07325BAD0 16579.07680000 PA USD 15061.91000000 0.000041996206 Long ABS-MBS CORP US N 2 2036-12-25 Variable 0.00381630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402CJE3 2860.80130000 PA USD 3356.97000000 0.000009360035 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JUDV3 373921.53200000 PA USD 396439.16000000 0.001105367180 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312933CQ5 2571.10000000 PA USD 2878.06000000 0.000008024719 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVA77 36267.10350000 PA USD 39992.87000000 0.000111509685 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206RE44 165.58880000 PA USD 183.32000000 0.000000511139 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FJN8 1415.18380000 PA USD 1661.12000000 0.000004631599 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GVP2 607.78760000 PA USD 699.99000000 0.000001951739 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.07500000 N N N N N N BRANDYWINE OPER PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AP8 1896000.00000000 PA USD 2090648.48000000 0.005829227910 Long DBT CORP US N 2 2029-10-01 Fixed 0.04550000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JMMF3 46386.83330000 PA USD 50847.37000000 0.000141774626 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N BX TRUST 2019 N/A 05608BAJ9 2933000.00000000 PA USD 2916532.08000000 0.008131988885 Long ABS-MBS CORP US N 2 2034-04-15 Variable 0.01701000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ADSD5 21661.44920000 PA USD 24510.67000000 0.000068341609 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQYC1 49719.67410000 PA USD 56587.61000000 0.000157779788 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A5GF6 12694620.09200000 PA USD 13545376.72000000 0.037767749475 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AYM29 3557.88630000 PA USD 4048.24000000 0.000011287461 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RCN4 8305.37920000 PA USD 8306.45000000 0.000023160368 Long ABS-CBDO USGA US N 2 2063-05-20 Variable 0.00390380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224CKF3 30.04920000 PA USD 30.76000000 0.000000085766 Long ABS-MBS USGA US N 2 2022-06-15 Fixed 0.08000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392JY37 9457.53930000 PA USD 2139.52000000 0.000005965493 Long ABS-CBDO USGSE US N 2 2033-03-25 Variable 0.08008370 N N N N N N TELENET FINANCE LUXEMBOURG NOTES SARL 2138007RI9GLJPCC3E25 N/A 800000.00000000 PA USD 842400.00000000 0.002348812647 Long DBT CORP LU N 2 2028-03-01 Fixed 0.05500000 N N N N N N BX TR 2018-IND N/A 12433WAC5 4536936.29400000 PA USD 4338007.06000000 0.012095401054 Long ABS-MBS CORP US N 2 2037-09-15 Variable 0.01426000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QPWH3 61103.44020000 PA USD 65702.98000000 0.000183195620 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022667 -105150000.00000000 PA USD -108875422.44000000 -0.30357071373 Short ABS-MBS USGA US N 2 2051-06-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205GFQ9 383.74130000 PA USD 406.99000000 0.000001134785 Long ABS-MBS USGA US N 2 2024-06-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208MXA8 289.88210000 PA USD 329.27000000 0.000000918083 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NA70 5121.27150000 PA USD 5728.85000000 0.000015973403 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07000000 N N N N N N WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 958667AC1 1420000.00000000 PA USD 1565550.00000000 0.004365127778 Long DBT CORP US N 2 2030-02-01 Variable 0.05300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W7C36 205996.78270000 PA USD 218901.74000000 0.000610350398 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N CONSOLIDATED ENERGY FINANCE SA 549300PUNIS0USNSL750 20914UAD8 115000.00000000 PA USD 115686.55000000 0.000322561766 Long DBT CORP LU N 2 2025-06-15 Fixed 0.06875000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293KTW6 147.81650000 PA USD 166.59000000 0.000000464492 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q75Y9 51101.20400000 PA USD 54050.78000000 0.000150706500 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L65K3 481143.28470000 PA USD 517342.34000000 0.001442474158 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ATRX0 2567.15000000 PA USD 2860.34000000 0.000007975311 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416WYH9 15461.57560000 PA USD 16832.11000000 0.000046931947 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.03500000 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45866FAD6 2038000.00000000 PA USD 2265383.33000000 0.006316430457 Long DBT CORP US N 2 2025-12-01 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230UDD8 11193.77760000 PA USD 12153.94000000 0.000033888091 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31356A4S8 60.50000000 PA USD 64.52000000 0.000000179897 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374SBM2 9.81990000 PA USD 10.70000000 0.000000029834 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07500000 N N N N N N ANHEUSER-BUSCH INBEV FIN INC 5493000EYEKDT0FBSQ91 035242AM8 6600000.00000000 PA USD 7856587.07000000 0.021906043539 Long DBT CORP US N 2 2036-02-01 Fixed 0.04700000 N N N N N N BAE SYSTEMS PLC 8SVCSVKSGDWMW2QHOH83 05523RAD9 4094000.00000000 PA USD 4387063.87000000 0.012232183172 Long DBT CORP GB N 2 2030-04-15 Fixed 0.03400000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BM21 142.67970000 PA USD 161.02000000 0.000000448962 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5TD5 15332124.67200000 PA USD 16303476.10000000 0.045457990106 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FQYK7 99835.18800000 PA USD 104548.24000000 0.000291505494 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.02500000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BK5 11294000.00000000 PA USD 12624366.11000000 0.035199751648 Long DBT CORP US N 2 2028-01-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAR41 336797.06930000 PA USD 361157.47000000 0.001006993391 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CUH5 3929919.88920000 PA USD 4148193.53000000 0.011566155541 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 958254AF1 2820000.00000000 PA USD 3006909.60000000 0.008383983023 Long DBT CORP US N 2 2026-07-01 Fixed 0.04650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GGT1 551.32820000 PA USD 629.32000000 0.000001754694 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208NWL3 392.98210000 PA USD 439.51000000 0.000001225458 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XDNC0 2144.05000000 PA USD 2359.27000000 0.000006578208 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J4AD1 4348823.15750000 PA USD 4667670.17000000 0.013014580639 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q7LE5 307239.04600000 PA USD 334479.20000000 0.000932607995 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04500000 N N N N N N PROJECT SILVER 2019 N/A 827304AA4 6676437.98100000 PA USD 6688022.94000000 0.018647807300 Long ABS-CBDO CORP US N 2 2044-07-15 Fixed 0.03967000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946SE7 9709.76350000 PA USD 11078.01000000 0.000030888141 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.05000000 N N N N N N UBS COML MTG TR 2017-C7 N/A 90276WAT4 1216637.94000000 PA USD 61161.36000000 0.000170532497 Long ABS-MBS CORP US N 2 2050-12-15 Variable 0.01025939 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WBC6 767000.00000000 PA USD 808922.38000000 0.002255469037 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 0.04949800 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TG58 505875.96200000 PA USD 542745.62000000 0.001513304578 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASLJ6 20382.67750000 PA USD 23310.78000000 0.000064996029 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209GYN1 121.89620000 PA USD 137.56000000 0.000000383550 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 02005NBJ8 9417000.00000000 PA USD 11003745.20000000 0.030681073003 Long DBT CORP US N 2 2025-05-01 Fixed 0.05800000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2012-C6 N/A 61761DAE2 220000.00000000 PA USD 226418.87000000 0.000631309954 Long ABS-MBS CORP US N 2 2045-11-15 Fixed 0.03476000 N N N N N N HANESBRANDS INC GX5LWVWZLL5S4W1L2F20 410345AL6 615000.00000000 PA USD 658695.75000000 0.001836601268 Long DBT CORP US N 2 2026-05-15 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JFS2 56089.03990000 PA USD 61908.90000000 0.000172616817 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390UFB7 1678.50320000 PA USD 2005.64000000 0.000005592203 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.07000000 N N N N N N EQM MIDSTREAM PARTNERS LP 549300NELT611CL6XM83 26885BAC4 440000.00000000 PA USD 469761.60000000 0.001309807677 Long DBT CORP US N 2 2028-07-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224ERV7 16.16020000 PA USD 16.74000000 0.000000046675 Long ABS-MBS USGA US N 2 2022-10-15 Fixed 0.08000000 N N N N N N VOYA FINANCIAL INC 549300T065Z4KJ686G75 929089AD2 2503000.00000000 PA USD 2677560.97000000 0.007465680284 Long DBT CORP US N 2 2024-07-15 Fixed 0.03125000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307RFJ9 28217.96350000 PA USD 30065.52000000 0.000083829859 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290YT24 4698.51010000 PA USD 5383.97000000 0.000015011795 Long ABS-MBS USGA US N 2 2034-04-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J6V50 21951.45180000 PA USD 23514.76000000 0.000065564774 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H72B2 20621.88940000 PA USD 22081.27000000 0.000061567861 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04000000 N N N N N N HOLOGIC INC 549300DYP6F5ZJL0LB74 436440AP6 545000.00000000 PA USD 531375.00000000 0.001481600570 Long DBT CORP US N 2 2029-02-15 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388JTK1 59.32720000 PA USD 61.83000000 0.000000172396 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WDCX0 589954.74540000 PA USD 634178.99000000 0.001768242678 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GEKV1 25019.08250000 PA USD 27888.28000000 0.000077759193 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -60000000.00000000 NC USD -2105210.40000000 -0.00586983002 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2031-05-13 0.00000000 USD 0.00000000 USD -60000000.00000000 USD 1.00000000 2.37000000 USD 2026-05-11 XXXX -101210.40000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209EVX7 26.07030000 PA USD 28.90000000 0.000000080580 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HS89 7739.58830000 PA USD 9026.23000000 0.000025167287 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.06500000 N N N N N N BAYVIEW COML ASSET TR 06 4 N/A 07325BAF5 11238.16820000 PA USD 9389.26000000 0.000026179502 Long ABS-MBS CORP US N 2 2036-12-25 Variable 0.00431630 N N N N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 969457BU3 808000.00000000 PA USD 841947.26000000 0.002347550300 Long DBT CORP US N 2 2023-01-15 Fixed 0.03700000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ATYB7 21404.33050000 PA USD 24505.95000000 0.000068328448 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8JX2 610019.00590000 PA USD 656906.53000000 0.001831612495 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KHUL8 6159165.85500000 PA USD 6461096.79000000 0.018015082927 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JQ92 218178.45870000 PA USD 240890.20000000 0.000671659482 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374NSA1 232.03130000 PA USD 249.76000000 0.000000696390 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31365D4P7 1.20000000 PA USD 1.25000000 0.000000003485 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412P3P4 39847.41050000 PA USD 44529.47000000 0.000124158810 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416BT57 19211.57320000 PA USD 20144.55000000 0.000056167822 Long ABS-MBS USGSE US N 2 2035-05-01 Variable 0.02283000 N N N N N N C and W SENIOR FINANCING DAC 5493009O8OIWZPZRY516 12674TAA4 1246000.00000000 PA USD 1326990.00000000 0.003699965450 Long DBT CORP IE N 2 2027-09-15 Fixed 0.06875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FUC30 10110.43060000 PA USD 11107.94000000 0.000030971593 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JM6T1 14608.15960000 PA USD 16012.30000000 0.000044646121 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31296PYK2 10504.19650000 PA USD 11946.92000000 0.000033310869 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMRJ3 13887.73590000 PA USD 15359.39000000 0.000042825652 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312943FB4 57876.07910000 PA USD 64513.34000000 0.000179878619 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209MMD3 1035.29980000 PA USD 1182.68000000 0.000003297594 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07000000 N N N N N N HILTON DOMESTIC OPERATING CO INC 5493003EG7H0N1E4XV50 432833AL5 1535000.00000000 PA USD 1548032.15000000 0.004316283823 Long DBT CORP US N 2 2031-05-01 Fixed 0.04000000 N N N N N N GB 2020-FLIX A N/A 368306AJ5 1300000.00000000 PA USD 1301218.62000000 0.003628108680 Long ABS-MBS CORP TC N 2 2037-08-15 Variable 0.01451000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4XG6 5166186.84900000 PA USD 5546322.63000000 0.015464473814 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 0.03500000 N N N N N N CONSOLIDATED ENERGY FINANCE SA 549300PUNIS0USNSL750 20914UAC0 1326000.00000000 PA USD 1309634.40000000 0.003651573887 Long DBT CORP LU N 2 2022-06-15 Variable 0.03933880 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293R3X7 397.32000000 PA USD 452.52000000 0.000001261733 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVQW5 5024.12290000 PA USD 5718.12000000 0.000015943485 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379AWX9 1997.40980000 PA USD 2246.51000000 0.000006263807 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BKD3 363302.09050000 PA USD 365021.78000000 0.001017768012 Long ABS-CBDO USGA US N 2 2060-12-20 Variable 0.00610380 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XCSD8 81811.16200000 PA USD 90320.86000000 0.000251836156 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.04500000 N N N N N N CROWDSTRIKE HOLDINGS INC 549300YBY08K9KM4HX32 22788CAA3 295000.00000000 PA USD 289468.75000000 0.000807108097 Long DBT CORP US N 2 2029-02-15 Fixed 0.03000000 N N N N N N CDK GLOBAL INC 5493000L10CYRTHIJ385 12508EAJ0 1132000.00000000 PA USD 1221269.52000000 0.003405191470 Long DBT CORP US N 2 2029-05-15 Fixed 0.05250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DQM6 7549.68170000 PA USD 8617.79000000 0.000024028459 Long ABS-MBS USGA US N 2 2031-11-20 Fixed 0.06000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392ED23 8535.05600000 PA USD 8731.26000000 0.000024344840 Long ABS-CBDO USGSE US N 2 2032-10-25 Variable 0.01091630 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAF0 1077000.00000000 PA USD 1084452.84000000 0.003023713849 Long DBT CORP US N 2 2021-08-27 Variable 0.04912000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615HC3 9.20000000 PA USD 9.53000000 0.000000026571 Long ABS-MBS USGSE US N 2 2022-09-01 Fixed 0.08500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335GLB9 52.12150000 PA USD 57.19000000 0.000000159459 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223VRF5 106.56350000 PA USD 108.44000000 0.000000302356 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5S42 5778.22470000 PA USD 6806.41000000 0.000018977898 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374PBH9 47.67130000 PA USD 52.51000000 0.000000146410 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EMR9 14221.16060000 PA USD 15134.29000000 0.000042198019 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A1MG3 9463.26400000 PA USD 10423.48000000 0.000029063154 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YPL7 80.76300000 PA USD 84.26000000 0.000000234937 Long ABS-MBS USGA US N 2 2023-02-15 Fixed 0.07500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31397QAV0 909276.47710000 PA USD 1013296.16000000 0.002825312009 Long ABS-CBDO USGSE US N 2 2041-01-25 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XVAL4 18421.33460000 PA USD 20707.90000000 0.000057738577 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 0.05000000 N N N N N N CARNIVAL CORPORATION F1OF2ZSX47CR0BCWA982 143658BG6 1105000.00000000 PA USD 1303214.90000000 0.003633674786 Long DBT CORP PA N 2 2026-02-01 Fixed 0.10500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137B9ED3 91952.99280000 PA USD 5707.73000000 0.000015914516 Long ABS-CBDO USGSE US N 2 2034-03-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193YPG5 94746.22580000 PA USD 102498.25000000 0.000285789631 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QR6J4 47515.34690000 PA USD 50854.67000000 0.000141794981 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FGD2 39901.08910000 PA USD 44171.83000000 0.000123161625 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378GXD0 102.22570000 PA USD 108.70000000 0.000000303081 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WDWH3 49362.83000000 PA USD 52908.91000000 0.000147522693 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N APOLLO AVIATION SECURITIZATION EQUITY TRUST N/A 00255UAA3 4541205.34000000 PA USD 4547454.49000000 0.012679390575 Long ABS-CBDO CORP US N 2 2040-01-16 Fixed 0.03351000 N N N N N N BAYVIEW COML ASSET TR 06 4 N/A 07325BAC2 206292.63010000 PA USD 195076.87000000 0.000543920963 Long ABS-MBS CORP US N 2 2036-12-25 Variable 0.00361630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376P4J1 39.18930000 PA USD 44.31000000 0.000000123546 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.07000000 N N N N N N TEGNA INC 549300YC5EDBGX85AO10 87901JAJ4 915000.00000000 PA USD 934443.75000000 0.002605452633 Long DBT CORP US N 2 2028-03-15 Fixed 0.04625000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDC3 15264000.00000000 PA USD 15781296.96000000 0.044002029792 Long DBT CORP MX N 2 2030-01-23 Fixed 0.06840000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2013-LC11 N/A 46639YAQ0 7200000.00000000 PA USD 7487060.40000000 0.020875714816 Long ABS-MBS CORP US N 2 2046-04-15 Fixed 0.02959900 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ECK5 44659.32230000 PA USD 47526.85000000 0.000132516223 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QTZK5 91993.31620000 PA USD 100059.57000000 0.000278990008 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NWSU4 42243.12570000 PA USD 44955.51000000 0.000125346712 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374NDU3 288.81160000 PA USD 307.42000000 0.000000857160 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AAH31 2528493.92300000 PA USD 2714038.09000000 0.007567387217 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCMJ2 9752184.70600000 PA USD 10230554.72000000 0.028525233047 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.03000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DC6 5734000.00000000 PA USD 6121045.00000000 0.017066937218 Long DBT CORP US N 2 2026-03-15 Fixed 0.05550000 N N N N N N CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP N/A 226373AP3 2038000.00000000 PA USD 2088338.60000000 0.005822787412 Long DBT CORP US N 2 2025-04-01 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AZL4 19007.11570000 PA USD 22169.13000000 0.000061812835 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.06500000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAG2 999000.00000000 PA USD 1119057.04000000 0.003120198633 Long DBT CORP US N 2 2026-01-15 Fixed 0.04125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208LLS4 216.63300000 PA USD 246.26000000 0.000000686631 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JMYC7 91643.89310000 PA USD 100061.83000000 0.000278996310 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M87F4 70687.67670000 PA USD 76463.19000000 0.000213197658 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJ3B4 29170271.56300000 PA USD 31318942.10000000 0.087324700044 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378HD73 276.19610000 PA USD 312.66000000 0.000000871770 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP N/A 451102BT3 1691000.00000000 PA USD 1787589.92000000 0.004984228173 Long DBT CORP US N 2 2026-05-15 Fixed 0.06250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378YKK9 210.79520000 PA USD 239.16000000 0.000000666835 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BL20 17207.93250000 PA USD 18201.33000000 0.000050749660 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.03000000 N N N N N N AJAXM 2021-C N/A 009733AA4 2841161.72000000 PA USD 2842516.39000000 0.007925615441 Long ABS-CBDO CORP US N 2 2061-01-25 Fixed 0.02115000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AM2Z4 46058.95970000 PA USD 52704.41000000 0.000146952498 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 0.05000000 N N N N N N LUMEN TECHNOLOGIES 8M3THTGWLTYZVE6BBY25 156700BB1 2190000.00000000 PA USD 2268703.13000000 0.006325686853 Long DBT CORP US N 2 2026-12-15 Fixed 0.05125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418MY63 100648.33910000 PA USD 120100.48000000 0.000334868858 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GVN35 1024259.97200000 PA USD 1110507.37000000 0.003096360109 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295WJM0 139188.10490000 PA USD 153556.45000000 0.000428152103 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N VIPER ENERGY PARTNERS LP 5299009LINL232255G03 92763MAA3 600000.00000000 PA USD 624000.00000000 0.001739861220 Long DBT CORP US N 2 2027-11-01 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378DTK6 39.53350000 PA USD 44.03000000 0.000000122766 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HQBX9 39482.02140000 PA USD 43303.27000000 0.000120739872 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407RZ31 446.10270000 PA USD 513.67000000 0.000001432234 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223XN40 170.96220000 PA USD 175.44000000 0.000000489168 Long ABS-MBS USGA US N 2 2022-05-15 Fixed 0.08000000 N N N N N N Fidelity Salem Street Trust S4W85DGKOEJ24DPRB829 31635V786 235159427.20200000 NS USD 2356297460.56000000 6.569920794338 Long EC RF US N 1 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287NUQ9 2766.01800000 PA USD 3208.48000000 0.000008946009 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GEQM5 11829.26230000 PA USD 13040.58000000 0.000036360255 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EKL45 303184.46050000 PA USD 322651.60000000 0.000899629818 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDG2 2765000.00000000 PA USD 2820300.00000000 0.007863670833 Long DBT CORP US N 2 2028-06-15 Fixed 0.04625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178WGJ2 10175.85110000 PA USD 11214.79000000 0.000031269516 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 0.04000000 N N N N N N EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC N/A 27830BBN3 2000000.00000000 PA USD 1998824.00000000 0.005573199301 Long ABS-CBDO CORP KY N 2 2034-01-15 Variable 0.01433750 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31394KF41 269949.84400000 PA USD 306423.06000000 0.000854380767 Long ABS-CBDO USGSE US N 2 2033-10-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QLJS3 11213.66500000 PA USD 12535.13000000 0.000034950940 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297AF73 97963.77850000 PA USD 108257.30000000 0.000301847240 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JJE70 188187.58800000 PA USD 207489.14000000 0.000578529340 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F64P9 31857000.00000000 PA USD 32190705.26000000 0.089755384204 Long ABS-MBS USGSE US N 2 2027-09-25 Fixed 0.01336000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207YB66 270.76190000 PA USD 308.27000000 0.000000859530 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295R5Q7 50410.84420000 PA USD 58067.40000000 0.000161905797 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HP40 2301.87820000 PA USD 2681.16000000 0.000007475715 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EPH64 354125.24910000 PA USD 401514.36000000 0.001119518052 Long ABS-MBS USGSE US N 2 2041-08-01 Variable 0.05260000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136B4LD8 13912329.63500000 PA USD 13997203.19000000 0.039027549721 Long ABS-CBDO USGSE US N 2 2049-05-25 Variable 0.00541630 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RJD5 2303000.00000000 PA USD 3043213.24000000 0.008485206253 Long DBT CORP US N 2 2040-03-15 Fixed 0.06200000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VQT0 102011051.63100000 PA USD 106482910.10000000 0.296899817199 Long ABS-MBS USGA US N 2 2050-07-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208FUF5 184.27410000 PA USD 195.72000000 0.000000545714 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFGH4 7291.70820000 PA USD 7887.47000000 0.000021992152 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FUCZ9 14645.76330000 PA USD 15953.43000000 0.000044481977 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.04500000 N N N N N N VICI PROPERTIES LP / VICI NOTE CO INC N/A 92564RAB1 595000.00000000 PA USD 619008.25000000 0.001725943027 Long DBT CORP US N 2 2029-12-01 Fixed 0.04625000 N N N N N N GMF FLOORPLAN OWNER REVOLVING TR N/A 361886BY9 4186000.00000000 PA USD 4190347.58000000 0.011683691113 Long ABS-CBDO CORP US N 2 2023-09-15 Variable 0.00510880 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RQ36 9056.96200000 PA USD 9862.11000000 0.000027497921 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 0.04000000 N N N N N N WELLS FARGO COML MTG TR 2015-SG1 549300ZJL46M82UL2Z22 94989QAW0 4361813.76000000 PA USD 4594857.62000000 0.012811561837 Long ABS-MBS CORP US N 2 2048-09-15 Fixed 0.03556000 N N N N N N NATWEST GROUP PLC (UNGTD) 2138005O9XJIJN4JPN90 780097AZ4 43478000.00000000 PA USD 48985373.04000000 0.136582934175 Long DBT CORP GB N 2 2023-12-19 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31395MRB7 511233.63160000 PA USD 582835.33000000 0.001625084276 Long ABS-CBDO USGSE US N 2 2035-02-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295DN96 7382.20120000 PA USD 8436.82000000 0.000023523871 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EMTR2 434256.06730000 PA USD 462681.99000000 0.001290068031 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403CZT1 5311.47400000 PA USD 6276.20000000 0.000017499546 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206FAR3 390.56770000 PA USD 431.86000000 0.000001204128 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362205BH8 29.62900000 PA USD 30.55000000 0.000000085180 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132KFL34 1008265.13900000 PA USD 1057730.83000000 0.002949206494 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204XXQ3 106.47840000 PA USD 114.77000000 0.000000320006 Long ABS-MBS USGA US N 2 2024-10-15 Fixed 0.08000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BQA3 303978.55500000 PA USD 305951.74000000 0.000853066615 Long ABS-CBDO USGA US N 2 2062-03-20 Variable 0.00740380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AAGN8 7485080.13000000 PA USD 8290043.61000000 0.023114624028 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.05000000 N N N N N N CGDB COML MTG TR 2017-BIO N/A 125284AA7 4222000.00000000 PA USD 4223275.89000000 0.011775503116 Long ABS-MBS CORP US N 2 2036-11-15 Variable 0.01050880 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293MFF4 32.04000000 PA USD 36.35000000 0.000000101352 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.06000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394EWW4 446673.55800000 PA USD 504963.12000000 0.001407957933 Long ABS-CBDO USGSE US N 2 2035-08-25 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HKCY2 692180.49200000 PA USD 750303.03000000 0.002092024271 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.03500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BER9 152081.46850000 PA USD 152173.39000000 0.000424295801 Long ABS-CBDO USGA US N 2 2060-09-20 Variable 0.00410380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213JUY9 319.74900000 PA USD 373.68000000 0.000001041909 Long ABS-MBS USGA US N 2 2031-10-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XVS35 10363.06050000 PA USD 11417.07000000 0.000031833521 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178EAJ8 137447.82990000 PA USD 148561.37000000 0.000414224625 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210KZJ7 3047.40000000 PA USD 3500.58000000 0.000009760454 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295R5H7 54892.10920000 PA USD 62052.91000000 0.000173018352 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C3VQ2 5897.86970000 PA USD 6752.51000000 0.000018827612 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.05000000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 035240AT7 11500000.00000000 PA USD 13193850.76000000 0.036787611036 Long DBT CORP US N 2 2050-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F8TH0 20997.32000000 PA USD 22790.03000000 0.000063544053 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GKM1 127.70910000 PA USD 144.35000000 0.000000402482 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07500000 N N N N N N BAYVIEW COML ASSET TR 2007 1 N/A 07325MAB0 53862.68000000 PA USD 50963.58000000 0.000142098648 Long ABS-MBS CORP US N 2 2037-03-25 Variable 0.00361630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GWG8 100.85290000 PA USD 113.87000000 0.000000317496 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GSW73 74609.27410000 PA USD 80932.63000000 0.000225659526 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HBMF2 343074.64070000 PA USD 367251.73000000 0.001023985646 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAG8 5600000.00000000 PA USD 6094484.65000000 0.016992880611 Long DBT CORP US N 2 2023-06-15 Fixed 0.05450000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FEPY0 276521.51080000 PA USD 279127.53000000 0.000778274302 Long ABS-CBDO USGSE US N 2 2041-12-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5RG0 17376599.14900000 PA USD 18542638.46000000 0.051701310229 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.03000000 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAH6 19691000.00000000 PA USD 21782934.82000000 0.060736031350 Long DBT CORP US N 2 2029-05-15 Fixed 0.04125000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312941P35 68756.38120000 PA USD 76644.09000000 0.000213702051 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.04500000 N N N N N N POST APT HOMES LP 5493005D04NMMCMCB212 737415AL3 502000.00000000 PA USD 519979.93000000 0.001449828390 Long DBT CORP US N 2 2022-12-01 Fixed 0.03375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WFHL3 200899.06860000 PA USD 213547.45000000 0.000595421357 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03000000 N N N N N N CF HIPPOLYTA ISSUER LLC N/A 12530MAE5 14640000.00000000 PA USD 14780504.47000000 0.041211581005 Long ABS-MBS CORP US N 2 2061-03-15 Fixed 0.01530000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207TTJ0 219.69080000 PA USD 249.24000000 0.000000694940 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A8KR3 26711.74380000 PA USD 30169.43000000 0.000084119585 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209DSA3 615.08290000 PA USD 718.41000000 0.000002003098 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N CF HIPPOLYTA ISSUER LLC N/A 12530MAA3 27716115.80300000 PA USD 28259869.96000000 0.078795275385 Long ABS-MBS CORP US N 2 2060-07-15 Fixed 0.01690000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A9UK1 146808.98200000 PA USD 154962.97000000 0.000432073817 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300LKD6 233166.31510000 PA USD 246215.96000000 0.000686508975 Long ABS-MBS USGSE US N 2 2040-12-01 Variable 0.02179000 N N N N N N TELECOM ITALIA CAP 549300777DJZOR5C4L39 87927VAM0 286000.00000000 PA USD 316030.00000000 0.000881167213 Long DBT CORP LU N 2 2034-09-30 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201BKE5 3391.88540000 PA USD 3863.50000000 0.000010772361 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N NOVA CHEMICALS CORP 5493007M1XGU5E55ZJ25 66977WAR0 949000.00000000 PA USD 1015430.00000000 0.002831261665 Long DBT CORP CA N 2 2027-06-01 Fixed 0.05250000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31398SVQ3 106693.90270000 PA USD 5635.67000000 0.000015713595 Long ABS-CBDO USGSE US N 2 2040-02-25 Fixed 0.04500000 N N N N N N GS MTG SECS CORP TR 2018-HART N/A 36259DAA1 3300000.00000000 PA USD 3305438.07000000 0.009216351786 Long ABS-MBS CORP US N 2 2031-10-15 Variable 0.01200000 N N N N N N WF-RBS COML MTG TR 2012-C8 N/A 92936YAE1 5036000.00000000 PA USD 5175538.50000000 0.014430638992 Long ABS-MBS CORP US N 2 2045-08-15 Fixed 0.03660000 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229AY2 1185000.00000000 PA USD 1501987.50000000 0.004187900328 Long DBT CORP US N 2 2046-04-01 Variable 0.06000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAG8 2564000.00000000 PA USD 2986817.19000000 0.008327960579 Long DBT CORP US N 2 2029-04-15 Fixed 0.05250000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FAZ78 29116.99560000 PA USD 5369.23000000 0.000014970697 Long ABS-CBDO USGSE US N 2 2033-07-25 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YXHC2 183443.19930000 PA USD 199449.17000000 0.000556111981 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TUUS5 105964.72900000 PA USD 122579.55000000 0.000341781098 Long ABS-CBDO USGSE US N 2 2031-09-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A56L8 7127.48080000 PA USD 8051.16000000 0.000022448559 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AHE1 34092.21300000 PA USD 35733.58000000 0.000099633766 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.03000000 N N N N N N TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN N/A 87612BBE1 128000.00000000 PA USD 133120.00000000 0.000371170393 Long DBT CORP US N 2 2027-02-01 Fixed 0.05375000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133TGPD5 3918.02950000 PA USD 4367.21000000 0.000012176825 Long ABS-CBDO USGSE US N 2 2028-11-15 Fixed 0.06000000 N N N N N N BENCHMARK 2019-B MORTGAGE TRUST 2020 N/A 08162MAZ1 11990618.96000000 PA USD 1050660.00000000 0.002929491330 Long ABS-MBS CORP US N 2 2053-03-15 Variable 0.01419200 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BY8 21476000.00000000 PA USD 24472108.81000000 0.068234091511 Long DBT CORP US N 2 2050-05-01 Fixed 0.04350000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HC42 699117.16030000 PA USD 771522.98000000 0.002151190566 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615MN3 9.23380000 PA USD 9.70000000 0.000000027045 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J6HZ0 53032.77440000 PA USD 56527.84000000 0.000157613135 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QLJH7 100450.47900000 PA USD 110710.63000000 0.000308687711 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MGD3 1326.60000000 PA USD 1581.16000000 0.000004408652 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208VGM1 207.57290000 PA USD 225.43000000 0.000000628552 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335BP42 943770.32810000 PA USD 1018854.81000000 0.002840810854 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GDDT6 70276.64880000 PA USD 78336.01000000 0.000218419528 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FEM0 86.78770000 PA USD 95.14000000 0.000000265273 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A3C2 80.81490000 PA USD 92.69000000 0.000000258441 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.08500000 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAK1 1502000.00000000 PA USD 1918978.23000000 0.005350570200 Long DBT CORP US N 2 2049-01-25 Fixed 0.05576000 N N N N N N BX COML MTG TR 2018-BIOA N/A 056057AA0 13500000.00000000 PA USD 13514596.20000000 0.037681926024 Long ABS-MBS CORP US N 2 2037-03-15 Variable 0.00772050 N N N N N N THUNDERBOLT III AIRCRAFT LEASE LTD N/A 88607AAA7 20541059.80700000 PA USD 20427849.81000000 0.056957730293 Long ABS-CBDO CORP US N 2 2039-11-15 Fixed 0.03671000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GEKZ2 11472.97080000 PA USD 12788.25000000 0.000035656699 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180HJZ2 5981.32900000 PA USD 6601.36000000 0.000018406170 Long ABS-MBS USGA US N 2 2043-08-15 Fixed 0.04000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAA0 7180000.00000000 PA USD 7800272.45000000 0.021749024912 Long DBT CORP US N 2 2024-02-01 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419LPA5 19921.62600000 PA USD 21999.70000000 0.000061340424 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M6XR6 3955.89520000 PA USD 4373.55000000 0.000012194503 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378HZ38 139.16600000 PA USD 153.59000000 0.000000428245 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419L2D4 193508.30870000 PA USD 213399.24000000 0.000595008112 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178TSJ6 17107.58960000 PA USD 18512.23000000 0.000051616524 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 0.03500000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BW2 6002000.00000000 PA USD 6592238.06000000 0.018380736149 Long DBT CORP US N 2 2030-05-01 Fixed 0.03625000 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 N/A 35563PGL7 507434.41520000 PA USD 549448.41000000 0.001531993559 Long ABS-CBDO CORP US N 2 2057-08-25 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GJTS8 16952.96740000 PA USD 18603.69000000 0.000051871536 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292J4F4 11971.64000000 PA USD 14235.71000000 0.000039692563 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 0.06000000 N N N N N N VOLKSWAGEN GROUP AMER FIN LLC 5493002SQ1AVQBY41K40 928668BC5 10524000.00000000 PA USD 10776047.06000000 0.030046196138 Long DBT CORP US N 2 2022-05-13 Fixed 0.02900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EWZV0 154148.93770000 PA USD 167309.87000000 0.000466499927 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BDY1 84.31960000 PA USD 95.36000000 0.000000265886 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MCXY5 11117.47760000 PA USD 12025.83000000 0.000033530889 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209BUF3 292.22090000 PA USD 333.18000000 0.000000928985 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388LYN4 78.27790000 PA USD 92.83000000 0.000000258832 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205GHP9 144.27840000 PA USD 155.52000000 0.000000433626 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 0.08000000 N N N N N N BANQUE FED CRED MUTUEL PARIS VBHFXSYT7OG62HNT8T76 06675FAN7 8158000.00000000 PA USD 8220964.83000000 0.022922015870 Long DBT CORP FR N 2 2022-07-20 Variable 0.00918250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q82U8 1461705.72800000 PA USD 1542878.19000000 0.004301913350 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31329P5X7 68967.02600000 PA USD 73637.60000000 0.000205319238 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H032662 207125000.00000000 PA USD 217863271.35000000 0.607454899359 Long ABS-MBS USGA US N 2 2051-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NG66 44335.65030000 PA USD 49553.04000000 0.000138165725 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.06500000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46647PBP0 7934000.00000000 PA USD 8232860.77000000 0.022955184595 Long DBT CORP US N 2 2031-05-13 Variable 0.02956000 N N N N N N CITIGROUP COML MTG TR 2019-GC41 N/A 17328FBB0 20630223.00600000 PA USD 1377533.63000000 0.003840893177 Long ABS-MBS CORP US N 2 2056-08-10 Variable 0.01057536 N N N N N N UTAH ACQUISITION SUB INC 254900JOFV74IJ7H9933 62854AAN4 2065000.00000000 PA USD 2284322.47000000 0.006369237308 Long DBT CORP US N 2 2026-06-15 Fixed 0.03950000 N N N N N N C and W SENIOR FINANCING DAC 5493009O8OIWZPZRY516 12674TAB2 1565000.00000000 PA USD 1643250.00000000 0.004581773959 Long DBT CORP IE N 2 2026-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M73F1 66069.10270000 PA USD 75376.59000000 0.000210167958 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HMF8 3905.29210000 PA USD 4527.52000000 0.000012623808 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J6DM3 28312.06300000 PA USD 31042.28000000 0.000086553299 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AAXS2 10119.52910000 PA USD 11420.01000000 0.000031841718 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P76T5 868370.27800000 PA USD 931494.72000000 0.002597230032 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128L1YB0 54282.09430000 PA USD 64788.09000000 0.000180644688 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 0.06000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DL6 4886000.00000000 PA USD 5344257.94000000 0.014901069138 Long DBT CORP US N 2 2046-03-15 Fixed 0.06600000 N N N N N N WELLS FARGO COML MTG TR 2015-C26 N/A 94989CAX9 11250000.00000000 PA USD 12111567.75000000 0.033769947192 Long ABS-MBS CORP US N 2 2048-02-15 Fixed 0.03166000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F9Z79 9400000.00000000 PA USD 9565181.50000000 0.026670013396 Long ABS-MBS USGSE US N 2 2031-01-25 Fixed 0.01846000 N N N N N N EFF 2021-1 N/A 29374EAB2 11363000.00000000 PA USD 11371317.72000000 0.031705953088 Long ABS-CBDO CORP US N 2 2026-12-21 Fixed 0.00440000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H5XH9 161156.80660000 PA USD 174475.39000000 0.000486479110 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N LIFE 2021-BMR MTG TR N/A 53218CAC4 2940000.00000000 PA USD 2943661.48000000 0.008207632140 Long ABS-MBS CORP US N 2 2038-03-15 Variable 0.00981000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132LQZE0 307024.96500000 PA USD 335252.90000000 0.000934765256 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQD66 108830.41000000 PA USD 117668.76000000 0.000328088641 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N JP MORGAN CHASE COML MTG SE 2021 N/A 46592FAA1 24200000.00000000 PA USD 24240276.06000000 0.067587686365 Long ABS-MBS CORP US N 2 2040-01-05 Fixed 0.01973870 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36186NLZ0 113335.53510000 PA USD 124552.77000000 0.000347282907 Long ABS-MBS USGA US N 2 2045-07-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WC2Q5 2827.20000000 PA USD 3081.83000000 0.000008592879 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312940TF6 45955.57690000 PA USD 52427.78000000 0.000146181187 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388GVM0 190.57150000 PA USD 225.51000000 0.000000628775 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180KJU6 17606.11430000 PA USD 19431.19000000 0.000054178804 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JJS8 9905.10080000 PA USD 10930.16000000 0.000030475899 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASAG4 12081.60470000 PA USD 13332.70000000 0.000037174755 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N SEQUOIA MTG TR N/A 81744FCU9 1839.72000000 PA USD 1800.80000000 0.000005021061 Long ABS-CBDO CORP US N 2 2034-07-20 Variable 0.01140000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WLC43 228757.16260000 PA USD 249182.00000000 0.000694779004 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179BPF5 42557.64510000 PA USD 45351.17000000 0.000126449907 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AG2B3 11100.89920000 PA USD 11735.70000000 0.000032721938 Long ABS-MBS USGSE US N 2 2041-07-01 Variable 0.02700000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CR1 1785000.00000000 PA USD 1711368.75000000 0.004771705323 Long DBT CORP US N 2 2031-02-15 Fixed 0.03625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A55Z8 51596.72510000 PA USD 58235.76000000 0.000162375225 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEWR9 15178878.47500000 PA USD 15961389.13000000 0.044504169828 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209MS39 50.79000000 PA USD 54.50000000 0.000000151959 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N VLS COMMERCIAL MORTGAGE TRUST 2020 N/A 92858TAL0 27100000.00000000 PA USD 962106.91000000 0.002682584138 Long ABS-MBS CORP US N 2 2042-10-10 Variable 0.00429415 N N N N N N MATTEL INC 549300VELLG24KHTJ564 577081BF8 430000.00000000 PA USD 440199.60000000 0.001227381752 Long DBT CORP US N 2 2029-04-01 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179KV27 8259.18250000 PA USD 8926.99000000 0.000024890582 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128CUKL9 13311.05940000 PA USD 14836.51000000 0.000041367737 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07000000 N N N N N N PG and E CORP 8YQ2GSDWYZXO2EDN3511 69331CAJ7 1155000.00000000 PA USD 1167993.75000000 0.003256645883 Long DBT CORP US N 2 2030-07-01 Fixed 0.05250000 N N N N N N Fidelity Summer Street Trust P1TJ3M056NR1SYX5LY49 316146406 33586207.96000000 NS USD 291528285.09000000 0.812850573584 Long EC RF US N 1 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180XDB6 30747.72210000 PA USD 33233.87000000 0.000092663976 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N VIATRIS INC 254900ZZTSW7NL773X71 91533BAD2 9017000.00000000 PA USD 8992092.16000000 0.025072103270 Long DBT CORP US N 2 2030-06-22 Fixed 0.02700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MJVG1 112835.48440000 PA USD 125616.42000000 0.000350248618 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312941XC6 4278.27630000 PA USD 4768.91000000 0.000013296861 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HJ5Z0 13072.83190000 PA USD 13988.79000000 0.000039004091 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HQJ2 138654.44230000 PA USD 151251.02000000 0.000421724013 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ATYD3 2435.28880000 PA USD 2788.18000000 0.000007774112 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A56H0 30971.16370000 PA USD 34182.11000000 0.000095307896 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178UUW1 474134.25800000 PA USD 514112.69000000 0.001433469122 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 0.03500000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 023551AJ3 1709000.00000000 PA USD 2273062.00000000 0.006337840425 Long DBT CORP US N 2 2031-08-15 Fixed 0.07300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ER2J8 3502020.04060000 PA USD 3749847.84000000 0.010455472499 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NWZD4 70908.29590000 PA USD 75549.87000000 0.000210651104 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBG2 155000.00000000 PA USD 155387.50000000 0.000433257508 Long DBT CORP US N 2 2030-07-01 Fixed 0.04125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208EWS8 295.61330000 PA USD 332.04000000 0.000000925806 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128E35Z3 4906.70230000 PA USD 5466.05000000 0.000015240654 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176VT94 87757.84730000 PA USD 94697.61000000 0.000264039582 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AEQN6 16015.00220000 PA USD 18288.15000000 0.000050991735 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211CBZ4 533.00000000 PA USD 590.85000000 0.000001647431 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AABG2 33086.98960000 PA USD 36582.26000000 0.000102000088 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DYX3 2753.39000000 PA USD 2991.20000000 0.000008340180 Long ABS-MBS USGA US N 2 2033-07-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L65D9 316618.89980000 PA USD 340439.88000000 0.000949227796 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 0.03500000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAA0 3498000.00000000 PA USD 3611483.17000000 0.010069678711 Long DBT CORP US N 2 2026-09-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQGX4 108659.01930000 PA USD 118479.40000000 0.000330348899 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022675 33050000.00000000 PA USD 34142196.74000000 0.095196609121 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HPPE8 176038.26130000 PA USD 193076.05000000 0.000538342198 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBH2 3392000.00000000 PA USD 3394069.12000000 0.009463476348 Long DBT CORP US N 2 2022-09-09 Variable 0.01285380 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAZ8 4597000.00000000 PA USD 5202241.02000000 0.014505092004 Long DBT CORP US N 2 2050-04-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209MU93 575.07930000 PA USD 652.41000000 0.000001819075 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HL4Y9 211951.06500000 PA USD 233623.70000000 0.000651398743 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297KCG4 34200.09600000 PA USD 38661.57000000 0.000107797702 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F03H5 19503.61490000 PA USD 21168.79000000 0.000059023648 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N CHC COML MTG TR 2019-CHC N/A 162665AJ2 2447478.75400000 PA USD 2422904.11000000 0.006755636060 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.01851000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203RHS1 21.52730000 PA USD 21.82000000 0.000000060839 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.08000000 N N N N N N WELLS FARGO COML MTG TR 2019-C52 N/A 95002MAX7 3829000.00000000 PA USD 4072992.30000000 0.011356476529 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 0.02892000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASAF6 25922.13540000 PA USD 29662.22000000 0.000082705362 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204RAY4 33.24400000 PA USD 35.98000000 0.000000100320 Long ABS-MBS USGA US N 2 2024-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W25R2 22773.51430000 PA USD 24627.10000000 0.000068666244 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDA5 1000000.00000000 PA USD 1043770.00000000 0.002910280362 Long DBT CORP US N 2 2027-11-01 Fixed 0.05125000 N N N N N N DRYDEN 76 CLO LTD N/A 26252WAA7 10321000.00000000 PA USD 10346967.64000000 0.028849820107 Long ABS-CBDO CORP KY N 2 2032-10-20 Variable 0.01518250 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FPG5 138211.72380000 PA USD 153004.95000000 0.000426614389 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209MZ31 144.50080000 PA USD 161.80000000 0.000000451137 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JBDL4 68259.25660000 PA USD 74820.37000000 0.000208617083 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133KJJV5 18224230.43800000 PA USD 18908971.27000000 0.052722733706 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225ACL2 22.05920000 PA USD 23.69000000 0.000000066053 Long ABS-MBS USGA US N 2 2025-03-15 Fixed 0.08000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137H0H27 28100000.00000000 PA USD 28119796.45000000 0.078404716943 Long ABS-MBS USGSE US N 2 2031-03-25 Variable 0.00250000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022667 230200000.00000000 PA USD 238355893.92000000 0.664593231597 Long ABS-MBS USGA US N 2 2051-06-01 Fixed 0.02500000 N N N N N N ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP N/A 451102BX4 335000.00000000 PA USD 343375.00000000 0.000957411613 Long DBT CORP US N 2 2027-05-15 Fixed 0.05250000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CH3 484000.00000000 PA USD 508200.00000000 0.001416983128 Long DBT CORP US N 2 2029-06-15 Fixed 0.05250000 N N N N N N VOLKSWAGEN GROUP AMER FIN LLC 5493002SQ1AVQBY41K40 928668BE1 14765000.00000000 PA USD 15992757.88000000 0.044591633405 Long DBT CORP US N 2 2025-05-13 Fixed 0.03350000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402EVW5 3654.01050000 PA USD 4001.23000000 0.000011156386 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N DRYDEN SENIOR LOAN FUND 2018 N/A 26253LAA0 7000000.00000000 PA USD 7019453.00000000 0.019571913564 Long ABS-CBDO CORP US N 2 2033-04-17 Variable 0.01369750 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204DH28 19.09000000 PA USD 19.96000000 0.000000055653 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418WXH8 3718.98270000 PA USD 4099.74000000 0.000011431055 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412U7G9 17035.24070000 PA USD 19056.84000000 0.000053135027 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YTHM9 73781.79490000 PA USD 80219.48000000 0.000223671093 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410F5B7 67024.99160000 PA USD 78460.29000000 0.000218766051 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.06000000 N N N N N N BAYVIEW COML ASST TR 2007 2 N/A 07325XAD2 32054.65160000 PA USD 26480.76000000 0.000073834691 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.00501630 N N N N N N CSMC 2020-RPL4 TR N/A 126405AA7 4909188.15000000 PA USD 4983631.57000000 0.013895556580 Long ABS-CBDO CORP US N 2 2060-01-25 Fixed 0.02000000 N N N N N N BABSON CLO LTD/CAYMAN ISLANDS N/A 06762LAA6 13346000.00000000 PA USD 13367900.79000000 0.037272904141 Long ABS-CBDO CORP KY N 2 2032-10-15 Variable 0.01583750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MHMV2 66480.11260000 PA USD 70644.85000000 0.000196974735 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967HB0 7738000.00000000 PA USD 9099929.09000000 0.025372778418 Long DBT CORP US N 2 2025-09-13 Fixed 0.05500000 N N N N N N MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST SERIES 2016-5 N/A 61916BAY6 25857000.00000000 PA USD 25930433.88000000 0.072300250543 Long ABS-CBDO CORP US N 2 2023-04-23 Variable 0.01445130 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAQ1 10500000.00000000 PA USD 10768755.90000000 0.030025866640 Long ABS-MBS CORP US N 2 2032-11-05 Fixed 0.03287000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335GDZ5 24.30000000 PA USD 25.23000000 0.000000070347 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 0.06500000 N N N N N N ROYAL CARIBBEAN CRUISES LTD K2NEH8QNVW44JIWK7Z55 780153BG6 755000.00000000 PA USD 794637.50000000 0.002215639376 Long DBT CORP LR N 2 2028-04-01 Fixed 0.05500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AHQ94 292011.28200000 PA USD 14201.94000000 0.000039598404 Long ABS-CBDO USGSE US N 2 2032-04-25 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36186NJQ3 68052.17580000 PA USD 74787.55000000 0.000208525573 Long ABS-MBS USGA US N 2 2045-06-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HX75 51014.02010000 PA USD 59293.32000000 0.000165323955 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31397KMB4 146774.85160000 PA USD 147236.71000000 0.000410531156 Long ABS-CBDO USGSE US N 2 2037-05-15 Variable 0.00350880 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335ATS7 17153.07030000 PA USD 18438.90000000 0.000051412062 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384DJC7 1502.41530000 PA USD 1762.49000000 0.000004914243 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176W2N0 61668.15700000 PA USD 67983.67000000 0.000189554729 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N PLAINS ALL AM PIPELN/PAA FIN C N/A 72650RAZ5 3779000.00000000 PA USD 3863096.01000000 0.010771235479 Long DBT CORP US N 2 2022-06-01 Fixed 0.03650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418MYV8 28878.86940000 PA USD 33664.92000000 0.000093865847 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WNWV0 1122789.39930000 PA USD 1230543.05000000 0.003431048289 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WMFC0 32838.45750000 PA USD 34211.35000000 0.000095389424 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JFY9 66731.30250000 PA USD 73405.71000000 0.000204672673 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F8UP0 16006.62000000 PA USD 17363.23000000 0.000048412837 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GESV3 14099.23890000 PA USD 15716.15000000 0.000043820384 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H4B37 1311851.68800000 PA USD 1422008.14000000 0.003964898746 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MGGX7 149464.36250000 PA USD 160042.16000000 0.000446235813 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N BAYVIEW COML ASST TR 2007 2 N/A 07325XAA8 154309.67000000 PA USD 146932.88000000 0.000409684006 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.00361630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407KN96 435.42600000 PA USD 501.81000000 0.000001399166 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FUF1 990973.12190000 PA USD 1096730.37000000 0.003057946538 Long ABS-MBS USGA US N 2 2041-06-20 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FXZ35 18700000.00000000 PA USD 19441598.99000000 0.054207827160 Long ABS-MBS USGSE US N 2 2031-01-25 Fixed 0.02108000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205EWQ5 116.09860000 PA USD 125.43000000 0.000000349728 Long ABS-MBS USGA US N 2 2024-07-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JBF81 125033.62260000 PA USD 137056.81000000 0.000382147161 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N LANARK MASTER ISSUER PLC 213800KIOPB5OYXIVY33 513770BD8 9300000.00000000 PA USD 9495960.30000000 0.026477008137 Long ABS-CBDO CORP GB N 2 2069-12-22 Variable 0.02710000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NEK7 8419.26650000 PA USD 9401.39000000 0.000026213323 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.06500000 N N N N N N UPSTART SECURITIZATION TR 2021-1 N/A 91680FAA0 20254000.00000000 PA USD 20280172.22000000 0.056545969857 Long ABS-CBDO CORP US N 2 2031-06-20 Fixed 0.00910000 N N N N N N IPALCO ENTERPRISES INC 5493000YFVK2DZX0JV43 462613AM2 1963000.00000000 PA USD 2119975.83000000 0.005910999575 Long DBT CORP US N 2 2024-09-01 Fixed 0.03700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379ED20 91.96060000 PA USD 102.46000000 0.000000285682 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176WZW4 8192.31410000 PA USD 8877.76000000 0.000024753317 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31288B6V0 26766.05720000 PA USD 31004.64000000 0.000086448350 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SYD5 70191.87730000 PA USD 75934.89000000 0.000211724632 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A7FX1 8586.43530000 PA USD 9567.07000000 0.000026675278 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AABL1 15295.46100000 PA USD 16906.31000000 0.000047138835 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NA54 4201.53480000 PA USD 4656.18000000 0.000012982543 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.06500000 N N N N N N DUQUESNE LIGHT HLDGS INC 4CUJ1D8WDXK9X7QI6B93 266233AH8 2328000.00000000 PA USD 2256694.78000000 0.006292204702 Long DBT CORP US N 2 2030-10-01 Fixed 0.02532000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209LMQ6 337.54350000 PA USD 394.33000000 0.000001099486 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HYT5 19208.64400000 PA USD 21787.50000000 0.000060748760 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AZB9 1790.41490000 PA USD 1880.10000000 0.000005242168 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378XDX1 125.90600000 PA USD 132.92000000 0.000000370612 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GAT3 30028.54430000 PA USD 31994.18000000 0.000089207424 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQ7C1 12470.97000000 PA USD 14278.09000000 0.000039810729 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375MXW8 199.82230000 PA USD 218.33000000 0.000000608756 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07000000 N N N N N N MHC COML MTG TR 2021-MHC N/A 55316VAA2 34600000.00000000 PA USD 34610383.46000000 0.096502025656 Long ABS-MBS CORP US N 2 2038-04-15 Variable 0.00901842 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AVY3 77.15900000 PA USD 85.99000000 0.000000239760 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31395N6X0 57896.71280000 PA USD 53117.29000000 0.000148103706 Long ABS-CBDO USGSE US N 2 2036-04-25 Fixed 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208HMK9 118.04570000 PA USD 131.46000000 0.000000366541 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N BEECHWOOD PARK CLO LTD N/A 07355TAA0 3961000.00000000 PA USD 3973104.82000000 0.011077966348 Long ABS-CBDO CORP KY N 2 2033-01-17 Variable 0.01519750 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312940LA5 13284.32980000 PA USD 15155.24000000 0.000042256433 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.05000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CJ2 480000.00000000 PA USD 412233.60000000 0.001149405856 Long DBT CORP US N 2 2046-04-15 Fixed 0.04400000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NDT2 9995.91500000 PA USD 11065.81000000 0.000030854124 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213DZ27 1261.59090000 PA USD 1481.99000000 0.000004132142 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292G6T8 479.86000000 PA USD 556.93000000 0.000001552854 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200WJK8 1634.26270000 PA USD 1868.14000000 0.000005208821 Long ABS-MBS USGA US N 2 2034-04-15 Fixed 0.05500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137BJGM9 631759.08680000 PA USD 677087.49000000 0.001887881837 Long ABS-CBDO USGSE US N 2 2040-12-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L66G1 53424.83130000 PA USD 57335.76000000 0.000159865809 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M4WF8 60447.99180000 PA USD 66241.76000000 0.000184697867 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WMWJ6 435435.00870000 PA USD 470875.98000000 0.001312914835 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380UVE0 2116160.52920000 PA USD 2228609.91000000 0.006213897368 Long ABS-CBDO USGA US N 2 2047-04-20 Fixed 0.03000000 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BL7 41310000.00000000 PA USD 48215558.06000000 0.134436505921 Long DBT CORP US N 2 2047-05-01 Fixed 0.05375000 N N N N N N TACONIC PARK CLO LTD 2016-1A N/A 873549AJ8 7106000.00000000 PA USD 7117575.67000000 0.019845503032 Long ABS-CBDO CORP KY N 2 2029-01-20 Variable 0.01188250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CU93 233213.84070000 PA USD 252925.19000000 0.000705215913 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AUQ9 2890522.46100000 PA USD 3062570.40000000 0.008539178644 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H5CG4 1367775.27400000 PA USD 1477071.05000000 0.004118427307 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.03500000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 67054KAA7 547000.00000000 PA USD 568836.24000000 0.001586051466 Long DBT CORP FR N 2 2026-05-01 Fixed 0.07375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31359KKK2 7811.76640000 PA USD 8275.89000000 0.000023075160 Long ABS-CBDO USGSE US N 2 2025-07-25 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213EZP4 38267.58140000 PA USD 42401.87000000 0.000118226553 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZQ9 8520000.00000000 PA USD 9303073.20000000 0.025939192776 Long DBT CORP US N 2 2024-03-18 Fixed 0.05584000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419C6V0 10060.97040000 PA USD 11093.50000000 0.000030931330 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAS7 1405000.00000000 PA USD 1432945.45000000 0.003995394582 Long DBT CORP US N 2 2030-06-01 Fixed 0.04625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKU45 58116.90620000 PA USD 63305.94000000 0.000176512099 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373UQH3 3125.16250000 PA USD 3431.25000000 0.000009567145 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193PJB2 46097.03670000 PA USD 49868.64000000 0.000139045693 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378DF88 102.16040000 PA USD 112.58000000 0.000000313899 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F4HL3 62074.28420000 PA USD 67471.05000000 0.000188125422 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413AKN2 975.64530000 PA USD 1045.49000000 0.000002915076 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M8YQ1 155743.10870000 PA USD 173603.81000000 0.000484048937 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307TPN5 33632.61510000 PA USD 35929.29000000 0.000100179452 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MPDW2 179164.54130000 PA USD 186542.99000000 0.000520126465 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N CORPOARATE OFFICE PPTYS LP H0TWO5VRNEP6CQAWPX27 22003BAK2 2273000.00000000 PA USD 2570592.02000000 0.007167425271 Long DBT CORP US N 2 2025-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375NC66 114.80780000 PA USD 127.56000000 0.000000355667 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178D6X4 28270.31350000 PA USD 30126.01000000 0.000083998520 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03000000 N N N N N N DISNEY (WALT) CO 549300GZKULIZ0WOW665 254687FX9 13000000.00000000 PA USD 13416692.25000000 0.037408946399 Long DBT CORP US N 2 2031-01-13 Fixed 0.02650000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZX4 46639000.00000000 PA USD 49307683.58000000 0.137481613037 Long DBT CORP US N 2 2024-11-01 Fixed 0.04063000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HLG23 19708.50470000 PA USD 21050.48000000 0.000058693772 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FC53 146276.45160000 PA USD 161493.68000000 0.000450282998 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417E3T6 12450.96460000 PA USD 13602.01000000 0.000037925656 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DQZ7 408654.32860000 PA USD 435566.10000000 0.001214462446 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03000000 N N N N N N NEW RESIDENTIAL MTG LN TR 2019-NQM4 N/A 64830MAG8 4253289.65000000 PA USD 4455097.19000000 0.012421876337 Long ABS-CBDO CORP US N 2 2059-08-25 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31395EWX1 102.62680000 PA USD 126.90000000 0.000000353827 Long ABS-CBDO USGSE US N 2 2024-08-15 Variable 0.85138548 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FU62 775.91840000 PA USD 908.31000000 0.000002532585 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPCK7 940000.00000000 PA USD 938120.00000000 0.002615702897 Long DBT CORP US N 2 2031-02-01 Fixed 0.04250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QT50 2967186.63590000 PA USD 3244873.47000000 0.009047483198 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GCK4 19749.01660000 PA USD 22316.99000000 0.000062225104 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374N5Y4 473.66460000 PA USD 519.26000000 0.000001447821 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7DP5 1311.91280000 PA USD 1460.38000000 0.000004071888 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07000000 N N N N N N WELLS FARGO COML MTG TR 2015-C29 549300NYO16WLNMVJJ46 94989KAW3 4937617.71700000 PA USD 5197074.72000000 0.014490687124 Long ABS-MBS CORP US N 2 2048-06-15 Fixed 0.03400000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208CLK1 420.44490000 PA USD 478.70000000 0.000001334730 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JPBC5 107128.50290000 PA USD 117425.75000000 0.000327411071 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC N/A 17323AAD3 99278.53750000 PA USD 99304.84000000 0.000276885641 Long ABS-CBDO CORP US N 2 2037-06-27 Variable 0.03450000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206LCX5 830.75990000 PA USD 899.13000000 0.000002506989 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YBWB5 51882.92310000 PA USD 56474.72000000 0.000157465024 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VME7 60282615.20800000 PA USD 63349873.04000000 0.176634595237 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293L6C3 342.98120000 PA USD 390.63000000 0.000001089169 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224A2S9 16.00680000 PA USD 16.18000000 0.000000045113 Long ABS-MBS USGA US N 2 2022-05-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371J7G3 94.95850000 PA USD 111.91000000 0.000000312031 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208HR32 102.12520000 PA USD 115.86000000 0.000000323045 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292K2T3 25342.32070000 PA USD 28248.59000000 0.000078763824 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.04500000 N N N N N N NORDSTROM INC 549300S3IZB5P35KNV16 655664AT7 510000.00000000 PA USD 523387.33000000 0.001459329036 Long DBT CORP US N 2 2030-04-01 Fixed 0.04375000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JP6N7 48502.14150000 PA USD 53166.09000000 0.000148239772 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X0PV4 35161.85450000 PA USD 38012.76000000 0.000105988665 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213EZT6 136591.39000000 PA USD 150579.88000000 0.000419852714 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208GRB6 634.15860000 PA USD 714.15000000 0.000001991220 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AEA2 31327.21990000 PA USD 34354.31000000 0.000095788031 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BMB5 391540.67260000 PA USD 393464.16000000 0.001097072169 Long ABS-CBDO USGA US N 2 2061-05-20 Variable 0.00610380 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAM7 8576000.00000000 PA USD 8970962.11000000 0.025013187637 Long DBT CORP IE N 2 2024-08-14 Fixed 0.02875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KCX1 61838.56170000 PA USD 68305.19000000 0.000190451203 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RLZ0 3519.37410000 PA USD 4156.44000000 0.000011589148 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H032670 39450000.00000000 PA USD 41510670.75000000 0.115741676724 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283G6V4 44.76520000 PA USD 50.72000000 0.000000141419 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.08500000 N N N N N N DUQUESNE LIGHT HLDGS INC 4CUJ1D8WDXK9X7QI6B93 266233AD7 3889000.00000000 PA USD 3986368.43000000 0.011114948464 Long DBT CORP US N 2 2021-12-01 Fixed 0.05900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H5ZE4 198348.65500000 PA USD 212633.45000000 0.000592872906 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WK4G0 345653.34240000 PA USD 378803.95000000 0.001056195998 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380MAU0 425.51640000 PA USD 490.40000000 0.000001367352 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 0.07000000 N N N N N N CLEARWAY ENERGY OPERATING LLC 549300Z3NFMM54NWBB87 62943WAE9 925000.00000000 PA USD 952750.00000000 0.002656494836 Long DBT CORP US N 2 2026-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HPZW0 262038.25300000 PA USD 285884.52000000 0.000797114406 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AA2J9 13157.34280000 PA USD 14660.02000000 0.000040875641 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAYL5 129981.47260000 PA USD 139382.98000000 0.000388633079 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAF0 4103000.00000000 PA USD 4696560.78000000 0.013095134568 Long DBT CORP US N 2 2028-06-15 Fixed 0.04950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XJZ4 808587.47520000 PA USD 892297.79000000 0.002487939618 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385JJF6 1924.82630000 PA USD 2240.66000000 0.000006247495 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.06500000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZJ5 430000.00000000 PA USD 462275.80000000 0.001288935476 Long DBT CORP US N 2 2025-06-09 Fixed 0.04687000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180B3A7 20480.57000000 PA USD 21824.94000000 0.000060853151 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31398SD91 205632.16080000 PA USD 38995.36000000 0.000108728388 Long ABS-CBDO USGSE US N 2 2040-12-25 Variable 0.05958370 N N N N N N LIFE 2021-BMR MTG TR N/A 53218CAG5 2834000.00000000 PA USD 2842872.97000000 0.007926609672 Long ABS-MBS CORP US N 2 2038-03-15 Variable 0.01501000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379QBZ2 3.18900000 PA USD 3.24000000 0.000000009033 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020661 524400000.00000000 PA USD 529840020.72000000 1.477320681309 Long ABS-MBS USGA US N 2 2051-06-01 Fixed 0.02000000 N N N N N N ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP N/A 451102BW6 740000.00000000 PA USD 771191.00000000 0.002150264927 Long DBT CORP US N 2 2024-09-15 Fixed 0.04750000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NHLY7 6252.76710000 PA USD 6557.82000000 0.000018284770 Long ABS-MBS USGSE US N 2 2035-11-01 Variable 0.02015000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375XQD4 2149.92940000 PA USD 2395.57000000 0.000006679422 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J67F5 63256.01900000 PA USD 69355.99000000 0.000193381085 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407FM23 2586.53110000 PA USD 3065.73000000 0.000008547988 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223TDG3 13.90000000 PA USD 13.97000000 0.000000038951 Long ABS-MBS USGA US N 2 2022-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W0F53 42965.46540000 PA USD 44565.71000000 0.000124259856 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208HLA2 90.25140000 PA USD 101.51000000 0.000000283034 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BNX6 488825.16820000 PA USD 493281.30000000 0.001375386225 Long ABS-CBDO USGA US N 2 2061-11-20 Variable 0.00810380 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BK2 1120000.00000000 PA USD 1211403.20000000 0.003377681811 Long DBT CORP US N 2 2025-12-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YXP90 36846.35560000 PA USD 39235.25000000 0.000109397259 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390HD51 217.15000000 PA USD 257.82000000 0.000000718863 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N HOLLY EN PART LP/ HOL FIN CORP N/A 435765AH5 910000.00000000 PA USD 932750.00000000 0.002600730053 Long DBT CORP US N 2 2028-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W7GD0 13582.22380000 PA USD 14471.30000000 0.000040349445 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HHHR9 98493.50350000 PA USD 106102.42000000 0.000295838919 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335CA61 3465798.66900000 PA USD 3803400.73000000 0.010604790763 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419FET9 60114.95150000 PA USD 66280.03000000 0.000184804573 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GCA6 1885.61510000 PA USD 2152.33000000 0.000006001210 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FM60 467077.35300000 PA USD 508645.28000000 0.001418224675 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203NBF4 80.74990000 PA USD 92.04000000 0.000000256629 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180C4V8 603618.74800000 PA USD 652425.19000000 0.001819117447 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EZL8 10575.07850000 PA USD 11267.31000000 0.000031415954 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J6GJ0 19985.74500000 PA USD 21318.89000000 0.000059442163 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FKFZ8 43288.70600000 PA USD 46839.12000000 0.000130598667 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FUNQ7 9301.47000000 PA USD 10230.06000000 0.000028523853 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203TP41 42.20090000 PA USD 44.84000000 0.000000125024 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 0.07500000 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C28 N/A 61766LBR9 6364556.74700000 PA USD 6775538.45000000 0.018891821470 Long ABS-MBS CORP US N 2 2049-01-15 Fixed 0.03272000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389GLG3 136.31870000 PA USD 162.28000000 0.000000452475 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307UGP7 64741.26030000 PA USD 69162.25000000 0.000192840892 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4XH4 3444486.80600000 PA USD 3689326.09000000 0.010286723387 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LGA4 46.43430000 PA USD 48.65000000 0.000000135647 Long ABS-MBS USGA US N 2 2023-05-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DM53 29912.37840000 PA USD 32066.92000000 0.000089410241 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 0.03500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -21000000.00000000 NC USD -584499.51000000 -0.00162972440 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2031-04-07 0.00000000 USD 0.00000000 USD -21000000.00000000 USD 1.00000000 2.51750000 USD 2026-04-01 XXXX 114800.49000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6S77 38219301.64600000 PA USD 40044793.08000000 0.111654459237 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128LDHM9 113641.24230000 PA USD 130057.52000000 0.000362631467 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C3BW1 5838.33180000 PA USD 6684.34000000 0.000018637538 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BM45 50994.83450000 PA USD 53938.72000000 0.000150394050 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 0.03000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 50548000.00000000 PA USD 56639626.42000000 0.157924823002 Long DBT CORP US N 2 2025-12-15 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GRHH7 331103.19580000 PA USD 363342.88000000 0.001013086837 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HNN88 13183.81230000 PA USD 14459.29000000 0.000040315958 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208CLB1 61.65460000 PA USD 69.78000000 0.000000194563 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31377ZC59 80.18160000 PA USD 89.03000000 0.000000248236 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193VFY3 39998.64800000 PA USD 43271.29000000 0.000120650704 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QSBU9 26359.82750000 PA USD 27546.07000000 0.000076805030 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 0.01812000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378FBW4 40.50890000 PA USD 46.25000000 0.000000128956 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BJ8 1006000.00000000 PA USD 1076155.53000000 0.003000578964 Long DBT CORP US N 2 2023-08-01 Fixed 0.04375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36294NEZ7 2425.65870000 PA USD 2880.08000000 0.000008030351 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419DK42 18628.41700000 PA USD 20755.93000000 0.000057872496 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E8KU1 47314.65030000 PA USD 51742.34000000 0.000144270017 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBTP3 19689355.57700000 PA USD 20908894.57000000 0.058298998119 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03500000 N N N N N N STORE CAP CORP 5493004EA6C9IHDZ7N66 862121AC4 3456000.00000000 PA USD 3424143.46000000 0.009547330800 Long DBT CORP US N 2 2030-11-18 Fixed 0.02750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AHH6 12.06400000 PA USD 12.35000000 0.000000034434 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WPGS7 267734.29510000 PA USD 278927.60000000 0.000777716850 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200RCR1 111.68070000 PA USD 129.47000000 0.000000360993 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38374H2N9 40266.60260000 PA USD 9085.45000000 0.000025332407 Long ABS-CBDO USGA US N 2 2034-08-17 Variable 0.07099120 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419ESB6 272320.19160000 PA USD 300240.15000000 0.000837141336 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179V4V9 38890523.03300000 PA USD 40332529.18000000 0.112456736292 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J6B86 57069.18820000 PA USD 60830.27000000 0.000169609339 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295R4W5 12628.29240000 PA USD 13931.21000000 0.000038843544 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MDV6 629.65740000 PA USD 749.95000000 0.000002091039 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203BEK6 264.97310000 PA USD 278.77000000 0.000000777277 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201DAT9 127.98500000 PA USD 150.23000000 0.000000418877 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GERN2 65674.42180000 PA USD 73206.00000000 0.000204115834 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BV4 2582000.00000000 PA USD 2843458.69000000 0.007928242799 Long DBT CORP US N 2 2027-05-01 Fixed 0.03450000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAYH4 869499.47290000 PA USD 932390.02000000 0.002599726343 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N GENERAL MTRS FINL CO INC 5493008B6JBRUJ90QL97 37045XBK1 8751000.00000000 PA USD 9217190.71000000 0.025699731856 Long DBT CORP US N 2 2023-05-09 Fixed 0.03700000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A83H4 19067.53810000 PA USD 21570.30000000 0.000060143154 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NXH42 15647.14380000 PA USD 16627.38000000 0.000046361111 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EEX79 60720.12790000 PA USD 66587.39000000 0.000185661566 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GEJ27 5150.15160000 PA USD 5740.77000000 0.000016006639 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N AES CORP 2NUNNB7D43COUIRE5295 00130HCC7 13922000.00000000 PA USD 15031583.40000000 0.041911649103 Long DBT CORP US N 2 2030-07-15 Fixed 0.03950000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NF94 18578.48300000 PA USD 20567.00000000 0.000057345714 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QXCM7 77241.36500000 PA USD 83989.98000000 0.000234184149 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 02005NAV2 3534000.00000000 PA USD 3999478.09000000 0.011151501331 Long DBT CORP US N 2 2024-09-30 Fixed 0.05125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ELWC3 247553.69640000 PA USD 282304.29000000 0.000787131869 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.05000000 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SE TR 2012-C8 N/A 46638UAH9 6783000.00000000 PA USD 6968351.58000000 0.019429430585 Long ABS-MBS CORP US N 2 2045-10-15 Fixed 0.03423900 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AVP90 932030.09570000 PA USD 1022381.56000000 0.002850644276 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GFNE3 23997.73600000 PA USD 27371.86000000 0.000076319291 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QPD50 67134.94180000 PA USD 73105.45000000 0.000203835476 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128JRTD8 2553.30160000 PA USD 2702.79000000 0.000007536024 Long ABS-MBS USGSE US N 2 2037-04-01 Variable 0.02168000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206WBV6 145.90900000 PA USD 165.93000000 0.000000462652 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297TTR4 1572.13980000 PA USD 1799.00000000 0.000005016042 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380DFW1 495.34390000 PA USD 523.71000000 0.000001460228 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFGG6 187966.68130000 PA USD 203324.42000000 0.000566917105 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N EG GLOBAL FINANCE PLC 549300TL8Q5207VYET27 28228PAA9 530000.00000000 PA USD 541501.00000000 0.001509834280 Long DBT CORP GB N 2 2025-02-07 Fixed 0.06750000 N N N N N N TERWIN MORTGAGE TRUST N/A 881561BU7 7248.77000000 PA USD 6763.69000000 0.000018858785 Long ABS-CBDO CORP US N 2 2034-09-25 Variable 0.00951630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207US74 20.04150000 PA USD 20.68000000 0.000000057660 Long ABS-MBS USGA US N 2 2027-05-15 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31395MT74 553209.71300000 PA USD 630255.84000000 0.001757303998 Long ABS-CBDO USGSE US N 2 2035-02-15 Fixed 0.05750000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BLZ3 510793.45600000 PA USD 513274.43000000 0.001431131852 Long ABS-CBDO USGA US N 2 2061-05-20 Variable 0.00610380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207FB59 9531.68540000 PA USD 10839.39000000 0.000030222811 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378FCV5 44.10640000 PA USD 48.82000000 0.000000136121 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413CRM3 5184.62230000 PA USD 5792.95000000 0.000016152129 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208MSM8 91.27060000 PA USD 103.96000000 0.000000289865 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132AEGU4 562460.10600000 PA USD 605780.22000000 0.001689060116 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVKZ7 114518529.17000000 PA USD 120882129.15000000 0.337048283274 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N ALTICE FING SA 549300DIYGW8HVDF7Q17 02154CAE3 819000.00000000 PA USD 851504.06000000 0.002374196944 Long DBT CORP LU N 2 2026-05-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q7U96 26179760.20400000 PA USD 27944477.63000000 0.077915886148 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.03500000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EBL8 14944000.00000000 PA USD 15836052.34000000 0.044154700885 Long DBT CORP GB N 2 2026-05-07 Variable 0.02852000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293P6F7 168.03000000 PA USD 191.70000000 0.000000534505 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.06000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDD1 73606000.00000000 PA USD 70882578.00000000 0.197637578002 Long DBT CORP MX N 2 2050-01-23 Fixed 0.07690000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203M4K3 773.65520000 PA USD 879.81000000 0.000002453120 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NYDQ5 127376.96990000 PA USD 135555.71000000 0.000377961735 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208DB38 54.24270000 PA USD 60.14000000 0.000000167684 Long ABS-MBS USGA US N 2 2027-03-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210AX93 460.87070000 PA USD 523.91000000 0.000001460786 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MSBR9 53236.99670000 PA USD 57570.07000000 0.000160519122 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GE5T3 38641.07780000 PA USD 43070.95000000 0.000120092108 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N CITIGROUP COML MTG TR 2015-GC33 N/A 29425AAK9 1572302.01000000 PA USD 50850.13000000 0.000141782322 Long ABS-MBS CORP US N 2 2058-09-10 Variable 0.00882065 N N N N N N AECOM 0EEB8GF0W0NPCIHZX097 00774CAB3 1077000.00000000 PA USD 1191431.25000000 0.003321995238 Long DBT CORP US N 2 2027-03-15 Fixed 0.05125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403CW80 5908.22000000 PA USD 6228.55000000 0.000017366686 Long ABS-MBS USGSE US N 2 2035-08-01 Variable 0.02377000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379X3S2 183.64210000 PA USD 185.88000000 0.000000518277 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407HAS5 790.82980000 PA USD 936.78000000 0.000002611966 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DF9 5135000.00000000 PA USD 5784166.70000000 0.016127639959 Long DBT CORP US N 2 2036-09-15 Fixed 0.06450000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WMZG2 384470.57820000 PA USD 421368.07000000 0.001174874943 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M83H5 72546.76370000 PA USD 79610.68000000 0.000221973613 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211KVE1 6594.87740000 PA USD 7544.62000000 0.000021036204 Long ABS-MBS USGA US N 2 2030-10-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F0LQ5 7730.70000000 PA USD 8282.61000000 0.000023093897 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AHTW0 157259.81870000 PA USD 28726.93000000 0.000080097550 Long ABS-CBDO USGSE US N 2 2044-01-25 Variable 0.05958370 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WRB58 11796.82610000 PA USD 12535.85000000 0.000034952947 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408DGG3 883.20100000 PA USD 1036.67000000 0.000002890483 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GKGW0 109872.23310000 PA USD 120570.55000000 0.000336179526 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N NSG HOLDINGS LLC/NSG HLD INC N/A 62940QAA3 1349547.39300000 PA USD 1444015.71000000 0.004026261114 Long DBT CORP US N 2 2025-12-15 Fixed 0.07750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176MZD8 2716.41470000 PA USD 2998.00000000 0.000008359140 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376JS59 975.83390000 PA USD 1137.49000000 0.000003171594 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A15M9 12646.21030000 PA USD 13950.84000000 0.000038898278 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417N7H8 8981.14410000 PA USD 9895.08000000 0.000027589849 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FPV8 105.50310000 PA USD 118.17000000 0.000000329486 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176XUX5 4543.54110000 PA USD 4920.85000000 0.000013720506 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204USL6 46.09330000 PA USD 49.07000000 0.000000136818 Long ABS-MBS USGA US N 2 2024-01-15 Fixed 0.07500000 N N N N N N TWILIO INC 5493004W8TRGD63APX93 90138FAD4 200000.00000000 PA USD 203222.00000000 0.000566631533 Long DBT CORP US N 2 2031-03-15 Fixed 0.03875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CX33 412375.95900000 PA USD 431328.06000000 0.001202645777 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293JRN1 212.29030000 PA USD 234.82000000 0.000000654734 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213ASH8 505.30760000 PA USD 590.32000000 0.000001645953 Long ABS-MBS USGA US N 2 2031-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ANL8 154880.84120000 PA USD 162556.30000000 0.000453245837 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.03000000 N N N N N N BENCHMARK 2020-B18 MORTGAGE TRUST N/A 08163AAF0 20052938.40450000 PA USD 2286644.59000000 0.006375711934 Long ABS-MBS CORP US N 2 2053-07-15 Variable 0.01793467 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AQ2 1039000.00000000 PA USD 1305919.28000000 0.003641215244 Long DBT CORP GB N 2 2044-03-14 Fixed 0.05250000 N N N N N N NIAGARA PARK CLO LLC N/A 65357LAA3 8594000.00000000 PA USD 8602886.20000000 0.023986903980 Long ABS-CBDO CORP KY N 2 2032-07-17 Variable 0.01489750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402ETM0 12750.84540000 PA USD 14124.13000000 0.000039381452 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407WSB0 3741.87010000 PA USD 3900.81000000 0.000010876391 Long ABS-MBS USGSE US N 2 2035-03-01 Variable 0.01785000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205XYH1 42.93450000 PA USD 46.86000000 0.000000130656 Long ABS-MBS USGA US N 2 2024-12-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GL73 5287.41910000 PA USD 5844.27000000 0.000016295222 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04000000 N N N N N N Fidelity Summer Street Trust P1TJ3M056NR1SYX5LY49 315910836 48336968.73300000 NS USD 709586701.00000000 1.978497409736 Long EC RF US N 1 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GKY91 5034.00200000 PA USD 5524.17000000 0.000015402706 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NHMK6 6910.83130000 PA USD 7197.79000000 0.000020069159 Long ABS-MBS USGSE US N 2 2036-01-01 Variable 0.01700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y9YQ5 12064.71000000 PA USD 13151.32000000 0.000036669025 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WKHM3 106542.88360000 PA USD 116925.90000000 0.000326017370 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408FPH6 4376.57830000 PA USD 4620.87000000 0.000012884090 Long ABS-MBS USGSE US N 2 2035-09-01 Variable 0.02210000 N N N N N N CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP N/A 226373AR9 1420000.00000000 PA USD 1469700.00000000 0.004097875057 Long DBT CORP US N 2 2029-02-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NXMU8 19576.66740000 PA USD 20858.13000000 0.000058157454 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378KWQ3 191.79500000 PA USD 198.96000000 0.000000554748 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HJK1 2763.87280000 PA USD 3186.99000000 0.000008886090 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205XME1 31.02000000 PA USD 31.75000000 0.000000088526 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GPBF4 29113.82610000 PA USD 31895.25000000 0.000088931584 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HLS38 21086.71180000 PA USD 22562.07000000 0.000062908446 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132MAMD0 16871.51410000 PA USD 18859.73000000 0.000052585437 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.04500000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 035240AS9 6274000.00000000 PA USD 7161311.18000000 0.019967448093 Long DBT CORP US N 2 2040-06-01 Fixed 0.04350000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201QM83 1026.19250000 PA USD 1199.63000000 0.000003344855 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133THA56 4416.29000000 PA USD 4927.75000000 0.000013739745 Long ABS-CBDO USGSE US N 2 2028-12-15 Fixed 0.06000000 N N N N N N TEACHERS INS and ANNUITY ASSN AMER O06XD7BJ4EPXNABVFN69 878091BG1 7316000.00000000 PA USD 7215987.35000000 0.020119898330 Long DBT CORP US N 2 2050-05-15 Fixed 0.03300000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3129434H3 3478.38420000 PA USD 3877.15000000 0.000010810421 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31329PXN8 530549.57100000 PA USD 568551.78000000 0.001585258323 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401WEM7 1685.84160000 PA USD 1861.57000000 0.000005190502 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.04500000 N N N N N N LADDER CAP FIN HLDGS LLLP / LADDER CAP FIN CORP N/A 505742AM8 500000.00000000 PA USD 488750.00000000 0.001362751877 Long DBT CORP US N 2 2027-02-01 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180HB23 18861.83310000 PA USD 20369.25000000 0.000056794340 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N PACIFIC LIFECORP VFN8KLUEIK7XMVX1JM30 694476AD4 2623000.00000000 PA USD 3197601.33000000 0.008915677167 Long DBT CORP US N 2 2043-01-30 Fixed 0.05125000 N N N N N N TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP N/A 87470LAJ0 655000.00000000 PA USD 668100.00000000 0.001862822566 Long DBT CORP US N 2 2030-12-31 Fixed 0.06000000 N N N N N N CORPOARATE OFFICE PPTYS LP H0TWO5VRNEP6CQAWPX27 22003BAM8 2188000.00000000 PA USD 2149495.64000000 0.005993307864 Long DBT CORP US N 2 2031-04-15 Fixed 0.02750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FWL7 607.84890000 PA USD 711.96000000 0.000001985114 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AW6X6 296752.61320000 PA USD 325519.96000000 0.000907627491 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GDTN2 11650.77780000 PA USD 13288.90000000 0.000037052631 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394VS43 97259.39980000 PA USD 90402.88000000 0.000252064847 Long ABS-CBDO USGSE US N 2 2035-10-25 Fixed 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128Q2KJ1 82230.09250000 PA USD 86802.75000000 0.000242026824 Long ABS-MBS USGSE US N 2 2035-03-01 Variable 0.02655000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207RJB2 6.83140000 PA USD 7.74000000 0.000000021580 Long ABS-MBS USGA US N 2 2027-05-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M9C85 61385.22570000 PA USD 67074.59000000 0.000187019996 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136A0U39 11698.89200000 PA USD 298.24000000 0.000000831564 Long ABS-CBDO USGSE US N 2 2026-09-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406PCX5 4128.55130000 PA USD 4367.96000000 0.000012178917 Long ABS-MBS USGSE US N 2 2035-03-01 Variable 0.02333000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378U2T8 826.92190000 PA USD 941.99000000 0.000002626493 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N BX TRUST 2019 N/A 056054AE9 4197834.80000000 PA USD 4203752.91000000 0.011721068379 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.01181000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CH6 310000.00000000 PA USD 302250.00000000 0.000842745278 Long DBT CORP US N 2 2026-04-15 Fixed 0.03400000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208KEL9 49.71480000 PA USD 56.13000000 0.000000156503 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LG22 101.48830000 PA USD 106.10000000 0.000000295832 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FLP9 29477.97870000 PA USD 32633.10000000 0.000090988886 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M8HN6 88017.69190000 PA USD 92295.29000000 0.000257341339 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407JQ47 1194.33070000 PA USD 1417.87000000 0.000003953360 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QMNZ0 28438.85370000 PA USD 30597.35000000 0.000085312728 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394DTZ3 21411.89000000 PA USD 24039.94000000 0.000067029101 Long ABS-CBDO USGSE US N 2 2035-05-25 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YB4R1 50336.99140000 PA USD 53506.15000000 0.000149187941 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W4P54 256979.10360000 PA USD 277895.17000000 0.000774838188 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9P96 5130.30300000 PA USD 5864.16000000 0.000016350680 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FFD4 303.09920000 PA USD 347.86000000 0.000000969916 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177LQG2 16837.15960000 PA USD 18656.18000000 0.000052017891 Long ABS-MBS USGA US N 2 2042-04-15 Fixed 0.04000000 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAJ0 10726000.00000000 PA USD 11004741.50000000 0.030683850926 Long DBT CORP KY N 2 2027-02-15 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411VFU8 1596.64600000 PA USD 1942.43000000 0.000005415959 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417CAZ8 477334.89460000 PA USD 516484.52000000 0.001440082351 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419LLU5 23831.15670000 PA USD 26292.18000000 0.000073308885 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N BAYVIEW COML ASSET TR N/A 07324SCU4 11092.24000000 PA USD 10554.72000000 0.000029429083 Long ABS-MBS CORP US N 2 2036-01-25 Variable 0.00796630 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NDR6 6512920.19860000 PA USD 7051905.38000000 0.019662398560 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295CHT1 33380.67070000 PA USD 35603.11000000 0.000099269984 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UCB6 8327163.84400000 PA USD 8874869.72000000 0.024745259075 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AMXZ3 2343.47980000 PA USD 2671.72000000 0.000007449394 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 8990000.00000000 NC USD 74822.87000000 0.000208624054 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX AAA CDSI S13 PRC INDX CY451600 Y 2072-12-16 28973.28000000 USD 0.00000000 USD 8990000.00000000 USD 45849.59000000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GEU9 2658000.00000000 PA USD 2787387.05000000 0.007771901658 Long DBT CORP US N 2 2023-01-11 Fixed 0.03300000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M5J43 25346.00400000 PA USD 30348.79000000 0.000084619683 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.07000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CY9 6070000.00000000 PA USD 7105234.37000000 0.019811092537 Long DBT CORP US N 2 2030-05-01 Fixed 0.05150000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407SFD9 1823.03590000 PA USD 2156.95000000 0.000006014092 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.06000000 N N N N N N TERRAFORM POWER OPERATING LLC 5493000S2OLR3UT5BE13 88104LAG8 75000.00000000 PA USD 76671.00000000 0.000213777082 Long DBT CORP US N 2 2030-01-15 Fixed 0.04750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212DNA3 638.81330000 PA USD 737.65000000 0.000002056744 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209DRN6 189.53700000 PA USD 219.05000000 0.000000610763 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418M4E9 17918.83910000 PA USD 18907.78000000 0.000052719412 Long ABS-MBS USGSE US N 2 2040-03-01 Variable 0.02126000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5MF3 14222489.92570000 PA USD 14794874.03000000 0.041251646774 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203MHA1 127.25410000 PA USD 134.15000000 0.000000374042 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 0.07500000 N N N N N N FMG RESOURCES AUG'06 PTY LTD 549300EFD6S2NFE9D745 30251GBA4 10000.00000000 PA USD 10858.30000000 0.000030275537 Long DBT CORP AU N 2 2027-09-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RXZ1 15101.38210000 PA USD 16647.93000000 0.000046418409 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380UAT0 1468170.85180000 PA USD 1554607.36000000 0.004334617081 Long ABS-CBDO USGA US N 2 2047-10-20 Fixed 0.03000000 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAF8 2844000.00000000 PA USD 3028300.70000000 0.008443626525 Long DBT CORP KY N 2 2024-07-01 Fixed 0.03950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31391C4B8 5237.53000000 PA USD 6226.62000000 0.000017361305 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QNSS9 220022.41280000 PA USD 236722.03000000 0.000660037628 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810SX7 674726000.00000000 PA USD 687798816.25000000 1.917747576797 Long DBT UST US N 2 2051-05-15 Fixed 0.02375000 N N N N N N ALLISON TRANSMISSION INC MWKQ3I0U1GXP2YDSZW75 019736AG2 615000.00000000 PA USD 590400.00000000 0.001646176385 Long DBT CORP US N 2 2031-01-30 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213VTY4 909.83880000 PA USD 1066.82000000 0.000002974549 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EL98 47998.36700000 PA USD 52948.26000000 0.000147632410 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178MST9 18102.24460000 PA USD 19489.27000000 0.000054340745 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQXU1 59415.09510000 PA USD 63842.54000000 0.000178008268 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YE3J4 30276.31650000 PA USD 32955.86000000 0.000091888818 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410DB82 4619.01000000 PA USD 5504.60000000 0.000015348141 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 0.06500000 N N N N N N CONSUMER LOAN UNDERLYING BOND CREDIT TRUST 2019-P1 N/A 21054AAA6 497722.41080000 PA USD 498595.17000000 0.001390202565 Long ABS-CBDO CORP US N 2 2026-07-15 Fixed 0.02940000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DGB3 83384.52820000 PA USD 88608.27000000 0.000247061046 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DX63 10834.84640000 PA USD 11924.31000000 0.000033247827 Long ABS-MBS USGA US N 2 2033-06-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q86S9 44846.66390000 PA USD 48850.85000000 0.000136207851 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04500000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAU2 4614000.00000000 PA USD 6302997.24000000 0.017574263575 Long DBT CORP US N 2 2039-06-15 Fixed 0.06750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208LTE7 132.13000000 PA USD 150.79000000 0.000000420438 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MRLJ8 367799.30100000 PA USD 397850.20000000 0.001109301497 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MAY6 396231.45920000 PA USD 434799.00000000 0.001212323587 Long ABS-MBS USGA US N 2 2042-04-20 Fixed 0.04000000 N N N N N N GS MTG SECS TR 2011-GC5 N/A 36191YAE8 13806000.00000000 PA USD 13803345.11000000 0.038487027036 Long ABS-MBS CORP US N 2 2044-08-10 Fixed 0.05209000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J66H2 158976.16710000 PA USD 171986.32000000 0.000479538988 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376H2Y8 648.54370000 PA USD 726.33000000 0.000002025181 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179N5V6 34358.80700000 PA USD 37094.84000000 0.000103429284 Long ABS-MBS USGA US N 2 2044-03-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AFDY0 8141.15420000 PA USD 9321.12000000 0.000025989511 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAR4 7800000.00000000 PA USD 8614869.12000000 0.024020315227 Long DBT CORP US N 2 2050-05-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HNU0 25958.00200000 PA USD 28332.48000000 0.000078997729 Long ABS-MBS USGA US N 2 2046-12-15 Fixed 0.04000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599EA9 345000.00000000 PA USD 442255.50000000 0.001233114092 Long DBT CORP US N 2 2030-07-15 Fixed 0.08875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BFT0 506.66740000 PA USD 573.53000000 0.000001599138 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180ULZ0 19033.36180000 PA USD 20572.33000000 0.000057360575 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAL0 2215000.00000000 PA USD 2615150.20000000 0.007291664132 Long DBT CORP US N 2 2035-07-15 Fixed 0.05000000 N N N N N N TRIVIUM PACKAGING FINANCE BV 724500GMZWW3PVYET548 89686QAB2 140000.00000000 PA USD 150445.40000000 0.000419477752 Long DBT CORP NL N 2 2027-08-15 Fixed 0.08500000 N N N N N N HEALTHCARE TRUST OF AMERICA HOLDINGS LP 549300IYGAS4GE6VDL07 42225UAG9 1868000.00000000 PA USD 1949001.62000000 0.005434282591 Long DBT CORP US N 2 2030-02-15 Fixed 0.03100000 N N N N N N JP MORGAN CHASE COML MTG SECS TR 2012-CIBX N/A 46637WAF0 31528000.00000000 PA USD 32468773.45000000 0.090530704813 Long ABS-MBS CORP US N 2 2045-06-15 Fixed 0.04270700 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390JGZ8 1322.89890000 PA USD 1582.92000000 0.000004413559 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQF56 17782.55700000 PA USD 19229.92000000 0.000053617615 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N BX TRUST 2019 N/A 05608BAA8 6400000.00000000 PA USD 6387789.44000000 0.017810684505 Long ABS-MBS CORP US N 2 2034-04-15 Variable 0.01101000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMK84 12408.39560000 PA USD 14206.45000000 0.000039610979 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.05000000 N N N N N N GRAY TELEVISION INC 529900TM5726KDN7UU35 389375AL0 245000.00000000 PA USD 240668.40000000 0.000671041051 Long DBT CORP US N 2 2030-10-15 Fixed 0.04750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223MXG6 1.36560000 PA USD 1.38000000 0.000000003847 Long ABS-MBS USGA US N 2 2021-11-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208JV41 695.89910000 PA USD 794.13000000 0.000002214224 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230SKA1 84401.68270000 PA USD 92518.50000000 0.000257963702 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413BAH4 2917.04890000 PA USD 3497.40000000 0.000009751587 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GEVS6 34079.21270000 PA USD 37398.86000000 0.000104276965 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AG2 715000.00000000 PA USD 722786.35000000 0.002015301187 Long DBT CORP US N 2 2030-07-15 Fixed 0.04375000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 36186CBY8 5827000.00000000 PA USD 8230890.22000000 0.022949690231 Long DBT CORP US N 2 2031-11-01 Fixed 0.08000000 N N N N N N SENSATA TECHNOLOGIES BV PUCKW5P5O3XMOZVH7T53 81725WAK9 275000.00000000 PA USD 275495.00000000 0.000768145940 Long DBT CORP NL N 2 2029-04-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386L4H2 3836.65000000 PA USD 4557.60000000 0.000012707678 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 0.09000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407JPK2 1413.12620000 PA USD 1641.86000000 0.000004577898 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VBU7 291243.24690000 PA USD 322372.43000000 0.000898851425 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJXE5 9336.57500000 PA USD 9995.25000000 0.000027869147 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200TKN7 836.05160000 PA USD 977.61000000 0.000002725810 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230SJ96 87287.83920000 PA USD 95682.21000000 0.000266784882 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132LQUS4 242785.80400000 PA USD 263609.13000000 0.000735005292 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2PL7 2644.88120000 PA USD 2915.11000000 0.000008128023 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AC24 51.68040000 PA USD 55.29000000 0.000000154161 Long ABS-MBS USGA US N 2 2025-03-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQAX0 712923.35780000 PA USD 757585.44000000 0.002112329372 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176W7H8 1552.27510000 PA USD 1682.15000000 0.000004690236 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200TM47 1149.98410000 PA USD 1346.95000000 0.000003755618 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402QPF2 10972.38150000 PA USD 12143.45000000 0.000033858842 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQ5U2 366900.83970000 PA USD 400218.37000000 0.001115904521 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208TX21 1146.62100000 PA USD 1297.72000000 0.000003618353 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQ3M3 11754.33000000 PA USD 13377.99000000 0.000037301035 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPCE1 435000.00000000 PA USD 443278.05000000 0.001235965206 Long DBT CORP US N 2 2030-08-15 Fixed 0.04500000 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAC7 5362000.00000000 PA USD 5994416.05000000 0.016713865424 Long DBT CORP US N 2 2026-06-15 Fixed 0.04125000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 4600000.00000000 NC USD 154215.74000000 0.000429990361 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-10-17 0.00000000 USD 0.00000000 USD 4600000.00000000 USD 1.00000000 1.78000000 USD 2024-10-15 XXXX 22310.74000000 N N N MILOS CLO LTD 254900GFWI4EEB8IJS18 60162PAE2 10553000.00000000 PA USD 10566022.40000000 0.029460597161 Long ABS-CBDO CORP KY N 2 2030-10-20 Variable 0.01258250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413AXX6 13907.67510000 PA USD 14793.75000000 0.000041248512 Long ABS-MBS USGSE US N 2 2047-06-01 Variable 0.02096000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKN5 328494.33200000 PA USD 363654.10000000 0.001013954593 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MXM4 947.61020000 PA USD 1044.89000000 0.000002913403 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FT44 6742.70530000 PA USD 7712.02000000 0.000021502955 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312938YE7 36732.60650000 PA USD 41086.67000000 0.000114559461 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 0.04500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 22877000.00000000 PA USD 25074564.62000000 0.069913882378 Long DBT CORP US N 2 2030-04-15 Fixed 0.03875000 N N N N N N BARINGS CLO LTD 2020-IV 549300Q89L7I93JSRH83 06762BAC4 9220000.00000000 PA USD 9220497.88000000 0.025708953037 Long ABS-CBDO CORP KY N 2 2032-01-20 Variable 0.01444000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MMXR9 181783.49900000 PA USD 190190.57000000 0.000530296790 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211ERY6 402.42000000 PA USD 462.26000000 0.000001288891 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GHQ2 38477.94250000 PA USD 40996.67000000 0.000114308519 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FK27 12646.17280000 PA USD 13950.94000000 0.000038898556 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406YZX1 1715.68520000 PA USD 2029.50000000 0.000005658731 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297JT46 44984.43070000 PA USD 50786.80000000 0.000141605743 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ECS8 131487.00610000 PA USD 139929.64000000 0.000390157298 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQGK2 14013.08970000 PA USD 15067.92000000 0.000042012964 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASKR9 12343.89960000 PA USD 14117.18000000 0.000039362073 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128LXFN5 31309.58120000 PA USD 35845.85000000 0.000099946801 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312941W45 5818.32560000 PA USD 6638.21000000 0.000018508916 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ELLM3 21103.06920000 PA USD 23122.43000000 0.000064470864 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AA2T1 175247.02110000 PA USD 180067.51000000 0.000502071278 Long ABS-CBDO USGSE US N 2 2042-06-25 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BEX0 26872.86530000 PA USD 28424.21000000 0.000079253494 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AJG4 41754.75420000 PA USD 43785.05000000 0.000122083189 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JM3G5 348992.61400000 PA USD 367939.95000000 0.001025904568 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371G6V7 120.67590000 PA USD 138.05000000 0.000000384916 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31365EBN2 32.38230000 PA USD 34.10000000 0.000000095078 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 0.07000000 N N N N N N BENCHMARK 2019-B10 MTG TR N/A 08162VAE8 2283000.00000000 PA USD 2562814.07000000 0.007145738486 Long ABS-MBS CORP US N 2 2062-03-15 Fixed 0.03717000 N N N N N N LBC TANK TERMINALS HOLDING NETHERLANDS BV 213800O43KFINF83HN59 50177WAA9 915000.00000000 PA USD 915000.00000000 0.002551238808 Long DBT CORP NL N 2 2023-05-15 Fixed 0.06875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AB2D0 12602.17460000 PA USD 13916.33000000 0.000038802055 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131XCQW0 1447036.37500000 PA USD 1518061.70000000 0.004232719041 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.02500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380HES7 5318286.33400000 PA USD 5679440.52000000 0.015835638325 Long ABS-CBDO USGA US N 2 2047-09-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410A6T8 3926.29000000 PA USD 4134.38000000 0.000011527640 Long ABS-MBS USGSE US N 2 2036-04-01 Variable 0.01935000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J95F4 7024545.93340000 PA USD 7452017.65000000 0.020778007249 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416BMW5 95242.83880000 PA USD 113142.62000000 0.000315468680 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224XBV2 119.17980000 PA USD 124.07000000 0.000000345936 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M1Q44 1378.15470000 PA USD 1385.05000000 0.000003861850 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 0.06500000 N N N N N N MAGNETITE XXIX LTD / MAGNETITE XXIX LLC N/A 55955KAA2 8400000.00000000 PA USD 8389752.00000000 0.023392634863 Long ABS-CBDO CORP KY N 2 2034-01-15 Variable 0.01094410 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7DY6 7208.23210000 PA USD 8013.16000000 0.000022342606 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176LL94 6318.47820000 PA USD 6973.46000000 0.000019443674 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XXD48 15693.34590000 PA USD 16971.30000000 0.000047320042 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31394YPA6 77873.86270000 PA USD 87439.56000000 0.000243802403 Long ABS-CBDO USGSE US N 2 2034-05-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224VDF9 127.75000000 PA USD 132.35000000 0.000000369023 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ER2M1 200276.74630000 PA USD 218127.01000000 0.000608190265 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QMEB3 750961.93740000 PA USD 818920.61000000 0.002283346493 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383LQB4 419.09000000 PA USD 490.35000000 0.000001367213 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ECHT3 18892.71060000 PA USD 20724.18000000 0.000057783969 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4FY1 7546.27690000 PA USD 8361.55000000 0.000023314000 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M7CJ3 11000.14090000 PA USD 11959.90000000 0.000033347061 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224GK56 68.65660000 PA USD 70.28000000 0.000000195957 Long ABS-MBS USGA US N 2 2022-06-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371HF29 378.19000000 PA USD 429.42000000 0.000001197325 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JJE96 31782.51600000 PA USD 34674.82000000 0.000096681690 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389PQQ6 352.45660000 PA USD 414.60000000 0.000001156003 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQMX7 46667.37290000 PA USD 50465.73000000 0.000140710523 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHVQ2 325911.71900000 PA USD 349179.24000000 0.000973595222 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J7HH8 21730.17880000 PA USD 23825.69000000 0.000066431721 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PQZ2 63096.31620000 PA USD 69558.09000000 0.000193944588 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N SAPPHIRE AVIATION FINANCE N/A 80307AAB5 853777.20000000 PA USD 748223.96000000 0.002086227327 Long ABS-CBDO CORP US N 2 2040-03-15 Fixed 0.04335000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208CU39 257.18430000 PA USD 289.99000000 0.000000808561 Long ABS-MBS USGA US N 2 2027-05-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412PE31 5540.64210000 PA USD 6190.25000000 0.000017259897 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AUD0 1558.66880000 PA USD 1755.27000000 0.000004894112 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396WYZ3 12684.84930000 PA USD 23460.74000000 0.000065414153 Long ABS-CBDO USGSE US N 2 2037-07-25 Variable 0.39050220 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAL7 1393000.00000000 PA USD 1466619.88000000 0.004089286946 Long DBT CORP US N 2 2023-03-15 Fixed 0.04250000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 02005NBH2 8893000.00000000 PA USD 9639389.49000000 0.026876923018 Long DBT CORP US N 2 2024-05-21 Fixed 0.03875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179KVU5 24176.76660000 PA USD 26131.61000000 0.000072861177 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HFYZ6 49069.44130000 PA USD 53013.54000000 0.000147814426 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CBZ3 250000000.00000000 PA USD 249921875.00000000 0.696841952684 Long DBT UST US N 2 2028-04-30 Fixed 0.01250000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 03523TBU1 5480000.00000000 PA USD 6939708.37000000 0.019349566465 Long DBT CORP US N 2 2039-01-23 Fixed 0.05450000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DZF1 274119.38840000 PA USD 307157.57000000 0.000856428757 Long ABS-MBS USGA US N 2 2033-09-20 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411KX57 1430.03470000 PA USD 1715.13000000 0.000004782192 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208NB69 126.42200000 PA USD 140.99000000 0.000000393113 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N ENBRIDGE ENERGY PARTNERS LP CZ6VG2MNE1J6YDI02G48 29250RAU0 2622000.00000000 PA USD 2625699.69000000 0.007321078633 Long DBT CORP US N 2 2021-09-15 Fixed 0.04200000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A 375.00000000 NC USD 142762.50000000 0.000398055989 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2021-09-21 49333800.00000000 USD 142762.50000000 N N N DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC N/A 25755TAL4 2108312.50000000 PA USD 2269029.16000000 0.006326595903 Long ABS-CBDO CORP US N 2 2049-10-25 Fixed 0.03668000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225ATA8 958.49000000 PA USD 1078.01000000 0.000003005749 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F0H80 703517.47530000 PA USD 772156.51000000 0.002152956999 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293VUH3 2188.23710000 PA USD 2509.77000000 0.000006997838 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208QVL7 94.93720000 PA USD 103.33000000 0.000000288108 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N ESSEX PORTFOLIO LP 5493003GN3O58H286O74 29717PAN7 1923000.00000000 PA USD 2083397.99000000 0.005809011810 Long DBT CORP US N 2 2024-05-01 Fixed 0.03875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176XCE7 34130.12550000 PA USD 37625.43000000 0.000104908696 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.04000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCY4 385000.00000000 PA USD 397512.50000000 0.001108359909 Long DBT CORP US N 2 2026-01-01 Fixed 0.04875000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GDLP5 6487.30010000 PA USD 7401.45000000 0.000020637012 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.05000000 N N N N N N PLAINS ALL AM PIPELN/PAA FIN C N/A 72650RBM3 1968000.00000000 PA USD 2042489.33000000 0.005694948683 Long DBT CORP US N 2 2029-12-15 Fixed 0.03550000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MEB58 41175.10780000 PA USD 44284.57000000 0.000123475971 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03400000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206MZW0 39.08130000 PA USD 43.07000000 0.000000120089 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210L3D3 303.01160000 PA USD 345.82000000 0.000000964228 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCS56 611384.77100000 PA USD 655850.17000000 0.001828667110 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KYJ4 147.72890000 PA USD 176.42000000 0.000000491901 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411BTH6 71.15260000 PA USD 71.72000000 0.000000199972 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KLV1 8248.61690000 PA USD 9755.94000000 0.000027201893 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HTS4 2780.62340000 PA USD 3230.11000000 0.000009006319 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.06000000 N N N N N N BAYVIEW COML ASSET TR N/A 07324SCS9 91114.82000000 PA USD 87869.09000000 0.000245000035 Long ABS-MBS CORP US N 2 2036-01-25 Variable 0.00676630 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJXR6 311138.47380000 PA USD 332894.21000000 0.000928188664 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223RA62 2.20720000 PA USD 2.24000000 0.000000006245 Long ABS-MBS USGA US N 2 2022-02-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207D5J1 213.75370000 PA USD 233.35000000 0.000000650635 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A5JB2 2821766.50500000 PA USD 2960181.49000000 0.008253693878 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03000000 N N N N N N VEREIT OPER PARTNERSHIP LP 5493005TQOUJE1LCS698 92340LAH2 1380000.00000000 PA USD 1386375.53000000 0.003865546509 Long DBT CORP US N 2 2028-06-15 Fixed 0.02200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411RCT3 1679.05760000 PA USD 1708.29000000 0.000004763121 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENDS5 433637.90880000 PA USD 479232.98000000 0.001336216149 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390BE79 824.61000000 PA USD 980.34000000 0.000002733422 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07500000 N N N N N N AES CORP 2NUNNB7D43COUIRE5295 00130HCF0 4011000.00000000 PA USD 3889019.47000000 0.010843516284 Long DBT CORP US N 2 2031-01-15 Fixed 0.02450000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AVXR1 12535.92820000 PA USD 13751.17000000 0.000038341550 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N DNB BANK ASA 549300GKFG0RYRRQ1414 23329PAG5 48309000.00000000 PA USD 48495891.58000000 0.135218142812 Long DBT CORP NO N 2 2027-05-25 Variable 0.01535000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VCC6 10676.03000000 PA USD 12038.55000000 0.000033566356 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DNY3 240.07620000 PA USD 277.29000000 0.000000773150 Long ABS-MBS USGA US N 2 2031-07-20 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YDR84 50337.08160000 PA USD 54870.72000000 0.000152992688 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W1C54 40114.15580000 PA USD 42739.98000000 0.000119169284 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FVD1 109.96360000 PA USD 123.65000000 0.000000344765 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GFG50 6110.79230000 PA USD 6989.08000000 0.000019487226 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DD4 7400000.00000000 PA USD 8801634.00000000 0.024541060374 Long DBT CORP US N 2 2031-05-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KB80 95.62600000 PA USD 108.49000000 0.000000302496 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213PTT8 296.61080000 PA USD 344.60000000 0.000000960827 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YPJ94 78613.47740000 PA USD 84496.09000000 0.000235595304 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213XGN8 290.37140000 PA USD 340.10000000 0.000000948280 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31395WMR5 153104.43060000 PA USD 171023.36000000 0.000476854025 Long ABS-CBDO USGSE US N 2 2035-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GLW4 11130.53160000 PA USD 11859.12000000 0.000033066062 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W7D84 16984.69340000 PA USD 17694.78000000 0.000049337278 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WEQ28 91651.06830000 PA USD 97421.32000000 0.000271633937 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKPG4 72563.64330000 PA USD 79127.61000000 0.000220626698 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M4JL8 8247.70510000 PA USD 9438.85000000 0.000026317770 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384HLW1 169.14240000 PA USD 198.05000000 0.000000552210 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31329KYQ1 257572.17700000 PA USD 273787.53000000 0.000763385105 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 0.03500000 N N N N N N ENLINK MIDSTRM PRTNRS LP 88CPW63VL7KHJWS0NY83 29336UAD9 140000.00000000 PA USD 118300.00000000 0.000329848689 Long DBT CORP US N 2 2045-04-01 Fixed 0.05050000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBX6 4900000.00000000 PA USD 5255743.09000000 0.014654268569 Long DBT CORP US N 2 2029-11-21 Fixed 0.03200000 N N N N N N LONDON CLEARING HOUSE N/A N/A 185090000.00000000 NC USD 261288.86000000 0.000728535825 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2023-09-15 0.00000000 USD 0.00000000 USD 184688523.97000000 USD 261288.86000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GLZ8 2259.00060000 PA USD 2534.34000000 0.000007066345 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402EZZ4 5288.94250000 PA USD 5841.50000000 0.000016287498 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205YQS4 275.54100000 PA USD 305.50000000 0.000000851807 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BKP6 526260.14730000 PA USD 528140.11000000 0.001472580923 Long ABS-CBDO USGA US N 2 2061-02-20 Variable 0.00610380 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128K8UH7 37010.63420000 PA USD 43853.69000000 0.000122274574 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203BJY1 24.89000000 PA USD 25.74000000 0.000000071769 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NBW4 854.88600000 PA USD 952.26000000 0.000002655128 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 0.06500000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BG9 80000.00000000 PA USD 82023.20000000 0.000228700296 Long DBT CORP US N 2 2049-07-01 Fixed 0.05350000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407UHN0 4366.88440000 PA USD 5144.19000000 0.000014343231 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312938HW6 866.41110000 PA USD 969.85000000 0.000002704173 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0XR4 40366.46610000 PA USD 45942.41000000 0.000128098425 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M8KF2 37761.64040000 PA USD 41261.50000000 0.000115046929 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230SJ88 97944.71090000 PA USD 107363.95000000 0.000299356367 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARH79 22549.12470000 PA USD 25816.64000000 0.000071982965 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206FRZ7 12.56180000 PA USD 13.71000000 0.000000038226 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FCN4 47553.66100000 PA USD 53029.04000000 0.000147857644 Long ABS-MBS USGA US N 2 2039-11-20 Fixed 0.04500000 N N N N N N CSMC 2018-SITE N/A 12690CAA1 4971000.00000000 PA USD 5175570.07000000 0.014430727017 Long ABS-MBS CORP US N 2 2036-04-15 Fixed 0.04284000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207XCK6 299.86420000 PA USD 340.54000000 0.000000949506 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E6TA4 26970.17590000 PA USD 28468.29000000 0.000079376400 Long ABS-MBS USGSE US N 2 2042-02-01 Variable 0.02193000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335BEU6 366788.72500000 PA USD 405677.21000000 0.001131125073 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739FFU0 1750000.00000000 PA USD 1754707.64000000 0.004892544513 Long DBT CORP GB N 2 2021-06-12 Fixed 0.10179000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31298FZT2 109.16600000 PA USD 119.20000000 0.000000332358 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 0.08000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137BE3R3 1251131.70630000 PA USD 1363438.04000000 0.003801591301 Long ABS-CBDO USGSE US N 2 2040-11-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389H4C9 109.17030000 PA USD 127.03000000 0.000000354190 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205EUT1 104.67980000 PA USD 108.19000000 0.000000301659 Long ABS-MBS USGA US N 2 2024-05-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EMFX4 101685.08440000 PA USD 109993.22000000 0.000306687400 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384HGY3 582.41550000 PA USD 681.28000000 0.000001899571 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210CMH3 266.70990000 PA USD 305.54000000 0.000000851918 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9CN8 73032.11780000 PA USD 79364.34000000 0.000221286758 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YFK94 2030.04820000 PA USD 2301.76000000 0.000006417857 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TZ28 1024.36350000 PA USD 1179.41000000 0.000003288477 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J82T9 1282525.50890000 PA USD 1429000.18000000 0.003984394226 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297J4Z4 66850.46900000 PA USD 75589.52000000 0.000210761657 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N VLS COMMERCIAL MORTGAGE TRUST 2020 N/A 92858TAC0 470000.00000000 PA USD 469930.44000000 0.001310278443 Long ABS-MBS CORP US N 2 2042-10-10 Fixed 0.02453000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292LPX7 10055.73000000 PA USD 10884.55000000 0.000030348728 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128LXM80 889.74770000 PA USD 960.19000000 0.000002677239 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AFYF1 8348.03740000 PA USD 9209.45000000 0.000025678148 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MX39 2112057.25550000 PA USD 2249194.61000000 0.006271292434 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 0.03000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BPQ9 468725.51410000 PA USD 472170.69000000 0.001316524796 Long ABS-CBDO USGA US N 2 2062-01-20 Variable 0.00740380 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F62M8 27923000.00000000 PA USD 27605074.31000000 0.076969548528 Long ABS-MBS USGSE US N 2 2030-09-25 Fixed 0.01493000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JNMF1 146620.24390000 PA USD 160713.46000000 0.000448107558 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N OLIN CORP 549300GKK294V7W57P06 680665AL0 465000.00000000 PA USD 505799.10000000 0.001410288845 Long DBT CORP US N 2 2029-08-01 Fixed 0.05625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YQD4 7.67890000 PA USD 7.89000000 0.000000021999 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292GL87 158.56970000 PA USD 170.54000000 0.000000475506 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200Q6R0 297.28200000 PA USD 347.02000000 0.000000967574 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N NEXTERA ENERGY OPERATING PARTNERS LP 549300KJEC5IUVJWR786 65342QAC6 56000.00000000 PA USD 59004.40000000 0.000164518377 Long DBT CORP US N 2 2024-09-15 Fixed 0.04250000 N N N N N N ALLEGANY PK CLO LTD / ALLEGANY PK CLO LLC N/A 017154AA3 4684000.00000000 PA USD 4694229.86000000 0.013088635406 Long ABS-CBDO CORP KY N 2 2033-01-20 Variable 0.01518250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390DNM2 1219.56330000 PA USD 1458.34000000 0.000004066200 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MP3 34201000.00000000 PA USD 39327017.84000000 0.109653130222 Long DBT CORP US N 2 2031-03-31 Variable 0.04412000 N N N N N N AFFILIATED MANAGERS GRP INC 2JE75BUE3T1BLCYYGK54 008252AM0 1396000.00000000 PA USD 1526065.71000000 0.004255036135 Long DBT CORP US N 2 2024-02-15 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312944YF2 22241.52540000 PA USD 24792.19000000 0.000069126554 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410VYP9 50.10220000 PA USD 50.71000000 0.000000141391 Long ABS-MBS USGSE US N 2 2022-01-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMNE8 12794.34950000 PA USD 14120.26000000 0.000039370661 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177PCU7 25582.73980000 PA USD 27723.22000000 0.000077298966 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230NNW1 4409.15540000 PA USD 4849.76000000 0.000013522290 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 N/A 17291EBB6 1621385.56000000 PA USD 38998.38000000 0.000108736809 Long ABS-MBS CORP US N 2 2049-12-10 Variable 0.00764195 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178GFN9 33792.45750000 PA USD 36598.71000000 0.000102045955 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176XPD5 45359.47520000 PA USD 48379.44000000 0.000134893447 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.03000000 N N N N N N TELEFLEX INC UUL85LWXB4NGSWWXIQ25 879369AG1 145000.00000000 PA USD 149531.25000000 0.000416928883 Long DBT CORP US N 2 2028-06-01 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128E37F5 1320.02700000 PA USD 1442.61000000 0.000004022341 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.07000000 N N N N N N LINCOLN NATIONAL CORP IND EFQMQROEDSNBRIP7LE47 534187BK4 14811000.00000000 PA USD 15976795.43000000 0.044547126277 Long DBT CORP US N 2 2031-01-15 Fixed 0.03400000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377WN83 144230.80820000 PA USD 27714.47000000 0.000077274569 Long ABS-CBDO USGA US N 2 2041-07-20 Variable 0.06000750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373UBT3 1201.65820000 PA USD 1304.51000000 0.000003637285 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJCD0 42911.77560000 PA USD 49063.78000000 0.000136801551 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N WALGREENS BOOTS ALLIANCE INC 549300RPTUOIXG4LIH86 931427AF5 1926000.00000000 PA USD 1942462.43000000 0.005416049766 Long DBT CORP US N 2 2021-11-18 Fixed 0.03300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5M97 125860.64200000 PA USD 132733.14000000 0.000370091735 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E4KN0 4397.90750000 PA USD 4824.24000000 0.000013451134 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296UM72 21315.54240000 PA USD 24740.15000000 0.000068981454 Long ABS-MBS USGA US N 2 2039-01-15 Fixed 0.05500000 N N N N N N EQM MIDSTREAM PARTNERS LP 549300NELT611CL6XM83 26885BAL4 550000.00000000 PA USD 553437.50000000 0.001543116096 Long DBT CORP US N 2 2031-01-15 Fixed 0.04750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206FJE3 172.64830000 PA USD 189.06000000 0.000000527144 Long ABS-MBS USGA US N 2 2025-06-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FPU5 401.63620000 PA USD 471.19000000 0.000001313790 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N MELCO RESORTS FIN LTD 529900NRV6LBR3T6B421 58547DAE9 390000.00000000 PA USD 415545.00000000 0.001158638831 Long DBT CORP KY N 2 2028-07-21 Fixed 0.05750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200YEA1 685.08570000 PA USD 799.71000000 0.000002229782 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292LGU3 2485927.84400000 PA USD 2703352.31000000 0.007537592707 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212UCW9 49.40350000 PA USD 58.42000000 0.000000162888 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209C6V3 167.79340000 PA USD 189.56000000 0.000000528538 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YYS2 32.86760000 PA USD 34.51000000 0.000000096222 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419LCB7 30228.22430000 PA USD 33374.77000000 0.000093056839 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207J5Z2 126.49950000 PA USD 144.37000000 0.000000402538 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375DC35 59.77640000 PA USD 64.67000000 0.000000180315 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N WELLS FARGO COML MTG TR 2019-C54 N/A 95001YAF1 26329445.82200000 PA USD 1594171.59000000 0.004444931615 Long ABS-MBS CORP US N 2 2052-12-15 Variable 0.00838829 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5JM2 1899523.20720000 PA USD 2082476.73000000 0.005806443117 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31382DWE0 173.98460000 PA USD 202.89000000 0.000000565705 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374PQM2 145.78870000 PA USD 155.91000000 0.000000434714 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38148YAC2 10640000.00000000 PA USD 10750991.05000000 0.029976333990 Long DBT CORP US N 2 2022-10-31 Variable 0.02876000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295T7K4 3304.02100000 PA USD 3891.26000000 0.000010849763 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31395UZR5 400572.61600000 PA USD 463597.47000000 0.001292620608 Long ABS-CBDO USGSE US N 2 2035-06-15 Fixed 0.05500000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 370425RZ5 222000.00000000 PA USD 306047.25000000 0.000853332919 Long DBT CORP US N 2 2031-11-01 Fixed 0.08000000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15137TAA8 805000.00000000 PA USD 838568.50000000 0.002338129509 Long DBT CORP US N 2 2026-06-01 Fixed 0.05375000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38141GVR2 12215000.00000000 PA USD 13735091.16000000 0.038296718701 Long DBT CORP US N 2 2025-10-21 Fixed 0.04250000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137F72P9 19200000.00000000 PA USD 18971930.88000000 0.052898280155 Long ABS-MBS USGSE US N 2 2030-10-25 Fixed 0.01500000 N N N N N N GS MTG SECS TR 2015-GC34 54930070360RBP384M53 36250VAE2 2215365.53250000 PA USD 2332918.59000000 0.006504734912 Long ABS-MBS CORP US N 2 2048-10-10 Fixed 0.03278000 N N N N N N TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12 N/A 95001RAX7 3836000.00000000 PA USD 4441147.03000000 0.012382979955 Long ABS-MBS CORP US N 2 2052-01-15 Fixed 0.04302000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NPJ8 5596.64060000 PA USD 6300.53000000 0.000017567384 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31298CD48 209.73320000 PA USD 234.57000000 0.000000654037 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVT51 27373.82090000 PA USD 31146.50000000 0.000086843890 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209CSJ6 1796.83000000 PA USD 2042.60000000 0.000005695257 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HPZL4 157985.40600000 PA USD 174189.26000000 0.000485681311 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224QC95 19.84650000 PA USD 20.39000000 0.000000056852 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DH36 2280.37820000 PA USD 2702.21000000 0.000007534407 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.06000000 N N N N N N CHICAGO IL BRD ED N/A 167505KK1 4720000.00000000 PA USD 4542839.99000000 0.012666524246 Long DBT MUN US N 2 2025-12-15 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GN89 466.58570000 PA USD 534.38000000 0.000001489979 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945HN1 7166.90860000 PA USD 8196.70000000 0.000022854359 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FJJ2 33787.04000000 PA USD 38077.43000000 0.000106168980 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKL9 187881.92700000 PA USD 204618.34000000 0.000570524863 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.03500000 N N N N N N BAYVIEW COML ASSET TR N/A 07324SCV2 16564.46000000 PA USD 15770.87000000 0.000043972956 Long ABS-MBS CORP US N 2 2036-01-25 Variable 0.00841630 N N N N N N ROCKIES EXPRESS PIPELINE LLC W2ZGZGZKY5GGNY6F3V51 77340RAM9 105000.00000000 PA USD 113006.25000000 0.000315088448 Long DBT CORP US N 2 2040-04-15 Fixed 0.06875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GN6X6 58737.71720000 PA USD 64018.89000000 0.000178499974 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARUP4 7785.99500000 PA USD 8592.88000000 0.000023959004 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M7RM9 20837.13590000 PA USD 22539.63000000 0.000062845878 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213GT43 839.62670000 PA USD 980.10000000 0.000002732753 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QGB84 10992.50230000 PA USD 11627.93000000 0.000032421449 Long ABS-MBS USGSE US N 2 2035-10-01 Variable 0.02932000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2MZ2 5407996.78540000 PA USD 5863992.58000000 0.016350213601 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GMZ0 53821.32200000 PA USD 59467.63000000 0.000165809973 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JGX91 220290.04100000 PA USD 242884.20000000 0.000677219231 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 0.04000000 N N N N N N BX COML MTG TR 2018-BIOA N/A 056057AN2 9800000.00000000 PA USD 9811551.26000000 0.027356951202 Long ABS-MBS CORP US N 2 2037-03-15 Variable 0.02052050 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376ABZ0 567.12730000 PA USD 636.14000000 0.000001773710 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213YYC0 928.16290000 PA USD 1090.03000000 0.000003039264 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P74W0 454021.58350000 PA USD 487309.54000000 0.001358735530 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407H2U9 671.39990000 PA USD 741.01000000 0.000002066113 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CFG4 1206318.72740000 PA USD 1273596.81000000 0.003551092468 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 0.03000000 N N N N N N MERCEDES BENZ MASTER OWNER TR N/A 58768UAM5 10340000.00000000 PA USD 10579799.08000000 0.029499009840 Long ABS-CBDO CORP US N 2 2024-05-15 Fixed 0.02610000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AQ7 905000.00000000 PA USD 910167.55000000 0.002537764782 Long DBT CORP US N 2 2030-04-15 Fixed 0.04625000 N N N N N N JPMBB COML MTG SECS TR 2013-C14 N/A 46640LAH5 4614000.00000000 PA USD 4884373.48000000 0.013618801289 Long ABS-MBS CORP US N 2 2046-08-15 Fixed 0.04409300 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NEBW9 998.86240000 PA USD 1043.90000000 0.000002910642 Long ABS-MBS USGSE US N 2 2035-12-01 Variable 0.01830000 N N N N N N CHENIERE ENERGY PARTNERS LP 5493005UEC8AZ34LDV29 16411QAH4 925000.00000000 PA USD 954785.00000000 0.002662168902 Long DBT CORP US N 2 2031-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EHKF8 363645.29610000 PA USD 398897.25000000 0.001112220923 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GR6X4 93836.36570000 PA USD 102973.26000000 0.000287114073 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136AECM7 137061.39430000 PA USD 10357.88000000 0.000028880246 Long ABS-CBDO USGSE US N 2 2032-10-25 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945PQ5 136712.35380000 PA USD 152390.59000000 0.000424901406 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XZRY9 61514.51870000 PA USD 67054.85000000 0.000186964956 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04000000 N N N N N N STATE STREET CORP 549300ZFEEJ2IP5VME73 857477BM4 1141000.00000000 PA USD 1223769.16000000 0.003412161064 Long DBT CORP US N 2 2026-03-30 Variable 0.02901000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MNR28 12527.77060000 PA USD 13551.35000000 0.000037784404 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HL4Z6 223057.28700000 PA USD 243356.17000000 0.000678535197 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J96A1 16148.09740000 PA USD 17705.31000000 0.000049366638 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RV60 3317042.60490000 PA USD 3285761.23000000 0.009161488051 Long ABS-CBDO USGA US N 2 2066-08-20 Variable 0.00420000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAF9 2293000.00000000 PA USD 2341726.25000000 0.006529292774 Long DBT CORP US N 2 2027-07-31 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KRZ0 140964.22990000 PA USD 155207.14000000 0.000432754621 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J8CS0 4961786.90200000 PA USD 5407502.23000000 0.015077409342 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405E6P5 6981.91400000 PA USD 8265.82000000 0.000023047082 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137F5PW3 1708722.72870000 PA USD 1706676.19000000 0.004758621344 Long ABS-CBDO USGSE US N 2 2048-05-15 Variable 0.00400880 N N N N N N CHEMOURS CO 549300M1BOLNXL8DOV14 163851AE8 1115000.00000000 PA USD 1198848.00000000 0.003342674911 Long DBT CORP US N 2 2027-05-15 Fixed 0.05375000 N N N N N N LUMEN TECHNOLOGIES 8M3THTGWLTYZVE6BBY25 156700AZ9 415000.00000000 PA USD 445195.40000000 0.001241311237 Long DBT CORP US N 2 2025-04-01 Fixed 0.05625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BNH5 134948.93510000 PA USD 142739.40000000 0.000397991581 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.03000000 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAF6 1773000.00000000 PA USD 1937686.15000000 0.005402732355 Long DBT CORP US N 2 2029-07-15 Fixed 0.03850000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375DBF9 649.67430000 PA USD 735.35000000 0.000002050331 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07000000 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AX4 14626000.00000000 PA USD 16579229.32000000 0.046226856025 Long DBT CORP US N 2 2030-05-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KFF7 3172.47000000 PA USD 3494.33000000 0.000009743027 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212HED8 315.58500000 PA USD 366.65000000 0.000001022307 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368LVL5 2.59940000 PA USD 2.62000000 0.000000007305 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207J6T5 90.88960000 PA USD 103.53000000 0.000000288666 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M5FN7 21471.10590000 PA USD 23528.21000000 0.000065602275 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCU2 669000.00000000 PA USD 678165.30000000 0.001890887029 Long DBT CORP US N 2 2025-05-01 Fixed 0.05125000 N N N N N N RLGH TR 2021-TROT N/A 74969CAA5 23000000.00000000 PA USD 23006821.80000000 0.064148520925 Long ABS-MBS CORP US N 2 2036-04-15 Variable 0.00910000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BA2 805000.00000000 PA USD 796104.75000000 0.002219730419 Long DBT CORP US N 2 2043-04-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JFE3 148967.52800000 PA USD 164412.11000000 0.000458420279 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J7T44 46079.40030000 PA USD 49116.21000000 0.000136947738 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412QST7 19242.45000000 PA USD 21470.49000000 0.000059864860 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203NDY1 214.51490000 PA USD 240.95000000 0.000000671826 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A7ZY4 6306.44950000 PA USD 6958.50000000 0.000019401962 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X2E42 76633.84510000 PA USD 83966.98000000 0.000234120019 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AK98 295385.33640000 PA USD 309886.07000000 0.000864036467 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E1JB4 31783.24480000 PA USD 33475.91000000 0.000093338842 Long ABS-MBS USGSE US N 2 2042-01-01 Variable 0.02175000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HJ70 1219.12310000 PA USD 1409.63000000 0.000003930385 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.06000000 N N N N N N ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC N/A 03969AAN0 25000.00000000 PA USD 25593.75000000 0.000071361495 Long DBT CORP IE N 2 2026-08-15 Fixed 0.04125000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179ME30 34255.18570000 PA USD 37154.25000000 0.000103594933 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133A2B25 10712247.28400000 PA USD 11288716.16000000 0.031475640186 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAN4 2331000.00000000 PA USD 2550463.70000000 0.007111302701 Long DBT CORP US N 2 2024-09-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31387CUC3 2081.23760000 PA USD 2460.22000000 0.000006859681 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 0.07500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BEF9 16594000.00000000 PA USD 18481594.22000000 0.051531104290 Long DBT CORP US N 2 2027-01-20 Fixed 0.03625000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JBJJ3 40921.08600000 PA USD 44856.04000000 0.000125069366 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N BANK 2019-BNK21 N/A 06540BBD0 1112000.00000000 PA USD 1181850.84000000 0.003295282764 Long ABS-MBS CORP US N 2 2052-10-17 Fixed 0.02851000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209XYE4 240.23940000 PA USD 273.10000000 0.000000761468 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GMS6 54.68940000 PA USD 62.19000000 0.000000173400 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WDQ8 69293406.38000000 PA USD 70567684.41000000 0.196759579371 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CNG5 1164949.84500000 PA USD 1230745.05000000 0.003431611514 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297YY97 35.61970000 PA USD 42.22000000 0.000000117719 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 0.08000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31393NA66 4250.85000000 PA USD 863.50000000 0.000002407644 Long ABS-CBDO USGSE US N 2 2033-03-15 Fixed 0.06500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31395DMG1 10493.63730000 PA USD 9420.68000000 0.000026267108 Long ABS-CBDO USGSE US N 2 2036-05-25 Fixed 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4DR8 12516.02290000 PA USD 13797.80000000 0.000038471565 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207MLM6 185.35080000 PA USD 211.53000000 0.000000589796 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417F5B0 457514.22000000 PA USD 494752.26000000 0.001379487613 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 225401AM0 14306000.00000000 PA USD 14954132.76000000 0.041695698198 Long DBT CORP CH N 2 2025-09-11 Variable 0.02593000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAY4 8089000.00000000 PA USD 10150905.27000000 0.028303151334 Long DBT CORP US N 2 2040-11-15 Fixed 0.05875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVPL0 4091.52950000 PA USD 4673.33000000 0.000013030361 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31367U3T0 116.39000000 PA USD 121.23000000 0.000000338018 Long ABS-MBS USGSE US N 2 2022-09-01 Fixed 0.08500000 N N N N N N SITE CENTERS CORP W2AVA6SODOQ1LCYJQR54 23317HAD4 1532000.00000000 PA USD 1609772.68000000 0.004488431185 Long DBT CORP US N 2 2025-02-01 Fixed 0.03625000 N N N N N N ROYAL CARIBBEAN CRUISES LTD K2NEH8QNVW44JIWK7Z55 780153BC5 130000.00000000 PA USD 143806.00000000 0.000400965517 Long DBT CORP LR N 2 2023-06-15 Fixed 0.09125000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375UVP2 10727.75080000 PA USD 10732.88000000 0.000029925836 Long ABS-CBDO USGA US N 2 2065-03-20 Variable 0.00410380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419LR70 4680.05130000 PA USD 5164.45000000 0.000014399721 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JBDB6 142866.59740000 PA USD 156604.59000000 0.000436651046 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297F5U2 10040.64950000 PA USD 11494.28000000 0.000032048801 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200T2Z0 1151.77050000 PA USD 1332.15000000 0.000003714352 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 0.07000000 N N N N N N BENCHMARK 2018-B4 MTG TR N/A 08161HAF7 1260000.00000000 PA USD 1441837.66000000 0.004020188190 Long ABS-MBS CORP US N 2 2051-07-15 Fixed 0.04121000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NXBG1 8657.66980000 PA USD 9224.39000000 0.000025719805 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MGJ30 63785.21420000 PA USD 68996.76000000 0.000192379466 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N ADTALEM GLOBAL EDUCATION INC 549300Z467EZLMODV621 00737WAA7 825000.00000000 PA USD 824125.50000000 0.002297858971 Long DBT CORP US N 2 2028-03-01 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MVS6 189104.93220000 PA USD 205050.03000000 0.000571728518 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03500000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAL9 4254000.00000000 PA USD 4670925.31000000 0.013023656748 Long DBT CORP IE N 2 2026-04-03 Fixed 0.04450000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XJJ32 9917.80000000 PA USD 10863.74000000 0.000030290705 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KJ9 17445000.00000000 PA USD 20015108.18000000 0.055806907928 Long DBT CORP US N 2 2026-03-09 Fixed 0.04600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9GP9 154534.50990000 PA USD 164263.83000000 0.000458006839 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WDBV2 1096362.56170000 PA USD 1206500.95000000 0.003364013165 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378E7F9 75.24380000 PA USD 85.79000000 0.000000239203 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QR6M7 36173.65350000 PA USD 38535.03000000 0.000107444878 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y8BB5 15300.83960000 PA USD 17066.01000000 0.000047584116 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200QPM0 584.87830000 PA USD 684.61000000 0.000001908856 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31372U6R4 33.47500000 PA USD 34.59000000 0.000000096445 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31294LP23 1662.92980000 PA USD 1681.26000000 0.000004687754 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DMR9 241.01420000 PA USD 277.81000000 0.000000774600 Long ABS-MBS USGA US N 2 2031-04-20 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EUJ83 1802058.69340000 PA USD 1958730.58000000 0.005461409258 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36202UEP4 216.30960000 PA USD 247.44000000 0.000000689921 Long ABS-MBS USGA US N 2 2034-01-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CUA0 9992595.82300000 PA USD 10553757.02000000 0.029426398349 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.03500000 N N N N N N AUTONATION INC DEL N/A 05329WAQ5 1430000.00000000 PA USD 1682499.60000000 0.004691211230 Long DBT CORP US N 2 2030-06-01 Fixed 0.04750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209SW80 764.72010000 PA USD 882.15000000 0.000002459645 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179DLT5 5264.44310000 PA USD 5643.63000000 0.000015735790 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132LQ6C6 501501.25900000 PA USD 553721.43000000 0.001543907761 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A -96100000.00000000 NC USD -1245983.59000000 -0.00347410020 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Written GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-11-28 0.00000000 USD 0.00000000 USD -96100000.00000000 USD 1.00000000 1.27000000 USD 2025-11-25 XXXX 1154113.91000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206XC50 543.72780000 PA USD 622.88000000 0.000001736738 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 0.07000000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAV3 7725000.00000000 PA USD 7802250.00000000 0.021754538794 Long DBT CORP US N 2 2030-02-15 Fixed 0.03375000 N N N N N N BAYVIEW COML ASSET TR 2007 3 N/A 07325YAB4 55141.76000000 PA USD 52273.23000000 0.000145750265 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.00381630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295R5P9 52703.97200000 PA USD 58254.52000000 0.000162427532 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04000000 N N N N N N WELLS FARGO and CO PBLD0EJDB5FWOLXP3B76 95000U2H5 7739000.00000000 PA USD 8139088.19000000 0.022693724218 Long DBT CORP US N 2 2025-10-30 Variable 0.02406000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAG8 1432000.00000000 PA USD 1646800.00000000 0.004591672208 Long DBT CORP US N 2 2028-08-28 Variable 0.05900000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NLE6 245930.14100000 PA USD 269791.12000000 0.000752242159 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HYW9 50383.22000000 PA USD 57125.04000000 0.000159278272 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31382WZJ4 3536.96300000 PA USD 4116.22000000 0.000011477005 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XSA91 3588486.95920000 PA USD 3834218.29000000 0.010690717490 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31414NDX9 29344.89380000 PA USD 34798.74000000 0.000097027208 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 0.06000000 N N N N N N NATWEST GROUP PLC (UNGTD) 2138005O9XJIJN4JPN90 780097BP5 8707000.00000000 PA USD 9175679.35000000 0.025583988258 Long DBT CORP GB N 2 2028-05-22 Variable 0.03073000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M9UQ5 112129.67330000 PA USD 122276.90000000 0.000340937237 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389Q2J6 1268.61000000 PA USD 1480.65000000 0.000004128406 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHWE8 2304033.97550000 PA USD 2437573.25000000 0.006796537131 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03000000 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAC0 497000.00000000 PA USD 505480.06000000 0.001409399285 Long DBT CORP KY N 2 2024-10-01 Fixed 0.04875000 N N N N N N BAYVIEW COML ASSET TR 06 2 N/A 07324YAD1 14554.53000000 PA USD 13313.89000000 0.000037122309 Long ABS-MBS CORP US N 2 2036-07-25 Variable 0.00556630 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UHEK7 84416.04530000 PA USD 89037.00000000 0.000248256447 Long ABS-MBS USGSE US N 2 2041-09-01 Variable 0.02328000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383KZD2 1926.31190000 PA USD 2217.25000000 0.000006182223 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AY4Z9 7528.90130000 PA USD 8258.76000000 0.000023027397 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397A60 320000.00000000 PA USD 350200.00000000 0.000976441345 Long DBT CORP US N 2 2025-06-16 Fixed 0.05125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BKS6 334.49630000 PA USD 395.53000000 0.000001102832 Long ABS-MBS USGA US N 2 2030-07-15 Fixed 0.08500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FQ74 36577.39040000 PA USD 40492.38000000 0.000112902438 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J9WZ7 37867.00620000 PA USD 41520.12000000 0.000115768023 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NF7M3 8622.61330000 PA USD 8871.86000000 0.000024736867 Long ABS-MBS USGSE US N 2 2037-08-01 Variable 0.01375000 N N N N N N GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 N/A 12160000.00000000 NC USD 101206.46000000 0.000282187812 N/A DCR CORP US N 2 GOLDMAN SACHS and CO LLC (GOV REPO) FOR8UP27PHTHYVLBNG30 CMBX AAA CDSI S13 PRC INDX CY451600 Y 2072-12-16 59875.91000000 USD 0.00000000 USD 12160000.00000000 USD 41330.55000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128LCNC6 2238.05560000 PA USD 2566.57000000 0.000007156210 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C43U2 8908.74060000 PA USD 10136.55000000 0.000028263125 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M9J52 10213890.69030000 PA USD 11204432.79000000 0.031240637995 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283H6B6 23160.85240000 PA USD 26975.49000000 0.000075214116 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390J4C2 267.98200000 PA USD 320.33000000 0.000000893156 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A9UF2 233941.84300000 PA USD 247008.43000000 0.000688718571 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.03000000 N N N N N N MID AMERICA APTS LP 549300FXWGE3QSYCUJ38 59523UAM9 828000.00000000 PA USD 919985.43000000 0.002565139379 Long DBT CORP US N 2 2025-11-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208J5W8 246.25540000 PA USD 270.39000000 0.000000753911 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCL4 1560000.00000000 PA USD 1314105.00000000 0.003664038989 Long DBT CORP MX N 2 2048-02-12 Fixed 0.06350000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A1T76 4965.61430000 PA USD 5476.92000000 0.000015270962 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XUUB9 2961182.62890000 PA USD 3181152.90000000 0.008869815011 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04000000 N N N N N N Fidelity Salem Street Trust S4W85DGKOEJ24DPRB829 316146356 85384726.18700000 NS USD 1028885950.55000000 2.868780073257 Long EC RF US N 1 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209AUJ7 333.68770000 PA USD 378.58000000 0.000001055571 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NM96 7305.10570000 PA USD 7765.73000000 0.000021652712 Long ABS-MBS USGA US N 2 2043-09-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404DJ58 5597.66850000 PA USD 5907.02000000 0.000016470184 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128K5WC2 11340.94160000 PA USD 13511.72000000 0.000037673906 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419L3N1 437403.57230000 PA USD 483027.52000000 0.001346796234 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A5P55 8421.98000000 PA USD 9383.84000000 0.000026164389 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TNM84 28982.99450000 PA USD 32075.62000000 0.000089434498 Long ABS-CBDO USGSE US N 2 2030-03-15 Fixed 0.06000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375UEJ5 397705.04380000 PA USD 400103.40000000 0.001115583958 Long ABS-CBDO USGA US N 2 2064-01-20 Variable 0.00710380 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032666 -250050000.00000000 PA USD -263950529.55000000 -0.73595719631 Short ABS-MBS USGA US N 2 2051-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E1F65 225463.92080000 PA USD 239658.88000000 0.000668226268 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312936C70 2146.90000000 PA USD 2402.57000000 0.000006698939 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N LUCALI CLO LTD N/A 54929JAC7 4500000.00000000 PA USD 4506556.50000000 0.012565357199 Long ABS-CBDO CORP KY N 2 2033-01-15 Variable 0.01448370 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131YA6M7 56537.64700000 PA USD 59677.34000000 0.000166394694 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.03500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAT1 583000.00000000 PA USD 610408.98000000 0.001701966206 Long DBT CORP US N 2 2023-09-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FW65 73887.74180000 PA USD 85854.61000000 0.000239383183 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05500000 N N N N N N CFMT 2020-HB4 LLC N/A 12529LAA8 6733304.34000000 PA USD 6740560.15000000 0.018794293605 Long ABS-CBDO CORP US N 2 2030-12-26 Fixed 0.00946100 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208HEX0 63.81730000 PA USD 72.99000000 0.000000203513 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BE6 2552000.00000000 PA USD 2690012.16000000 0.007500397179 Long DBT CORP US N 2 2026-03-15 Fixed 0.06250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BAS5 75678.75140000 PA USD 80047.61000000 0.000223191878 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390YXX1 1389.43140000 PA USD 1590.63000000 0.000004435056 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6HC8 8428373.81000000 PA USD 9020290.07000000 0.025150725786 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.03000000 N N N N N N QUICKEN LNS LLC/QUICKEN LNS CO-ISSUER INC N/A 74841CAA9 655000.00000000 PA USD 638395.75000000 0.001780000014 Long DBT CORP US N 2 2029-03-01 Fixed 0.03625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224JE57 10.15450000 PA USD 10.40000000 0.000000028997 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GJSS9 20974.59710000 PA USD 23379.97000000 0.000065188947 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201HJS3 207.59710000 PA USD 242.33000000 0.000000675673 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416CAF3 5484.92000000 PA USD 5770.11000000 0.000016088446 Long ABS-MBS USGSE US N 2 2036-11-01 Variable 0.02223000 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BU7 25100000.00000000 PA USD 25049804.27000000 0.069844844601 Long DBT CORP US N 2 2031-04-01 Fixed 0.02800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411DML0 153.48630000 PA USD 155.15000000 0.000000432595 Long ABS-MBS USGSE US N 2 2022-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378PHR7 209.67780000 PA USD 240.21000000 0.000000669762 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A3M81 151644.80130000 PA USD 12639.49000000 0.000035241920 Long ABS-CBDO USGSE US N 2 2041-06-25 Variable 0.06458370 N N N N N N NAVIENT STUDENT LN TR 2017-3 N/A 63940JAB5 435549.80000000 PA USD 436496.51000000 0.001217056651 Long ABS-CBDO CORP US N 2 2066-07-26 Variable 0.00691630 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132KFMW9 1768230.06000000 PA USD 1852769.49000000 0.005165964401 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206RET9 24.37530000 PA USD 27.04000000 0.000000075393 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8R80 1434605.47300000 PA USD 1588919.53000000 0.004430287616 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AETL4 9005.97900000 PA USD 10373.84000000 0.000028924746 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201ND56 557.68800000 PA USD 650.99000000 0.000001815115 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9RA1 19798919.67600000 PA USD 21712049.69000000 0.060538386656 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EAP0 1556000.00000000 PA USD 1778134.56000000 0.004957864368 Long DBT CORP GB N 2 2026-05-12 Fixed 0.05200000 N N N N N N FEDERAL NATL MTG AS GTD RE PTT B1V7KEBTPIMZEU4LTD58 3136B1T20 2665646.29660000 PA USD 2663324.52000000 0.007425985657 Long ABS-CBDO USGSE US N 2 2048-06-25 Variable 0.00391630 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BS1 85000.00000000 PA USD 81706.25000000 0.000227816563 Long DBT CORP US N 2 2029-01-15 Fixed 0.03625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M7A9 1716.98020000 PA USD 1887.26000000 0.000005262132 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07000000 N N N N N N BAYVIEW COML ASSET TR N/A 07324SCC4 36113.09000000 PA USD 34393.66000000 0.000095897748 Long ABS-MBS CORP US N 2 2035-11-25 Variable 0.00691630 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GTMQ7 101057.37990000 PA USD 110865.81000000 0.000309120390 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WE7F0 27976.86010000 PA USD 30822.33000000 0.000085940026 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M76E1 55269.05230000 PA USD 63057.24000000 0.000175818664 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9PT2 2674.54720000 PA USD 3022.70000000 0.000008428010 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403EDZ7 10190.68690000 PA USD 10727.33000000 0.000029910361 Long ABS-MBS USGSE US N 2 2033-10-01 Variable 0.02417000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J4HK8 1458910.64090000 PA USD 1588996.89000000 0.004430503314 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.04000000 N N N N N N PRUDENTIAL FINL INC 5PRBRS5FEH7NREC8OR45 744320AV4 3148000.00000000 PA USD 3483202.16000000 0.009712000579 Long DBT CORP US N 2 2045-05-15 Variable 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M7YX7 18924.36980000 PA USD 20139.48000000 0.000056153686 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BA81 482.43690000 PA USD 545.03000000 0.000001519673 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N SPRINT CAPITAL CORP 549300L17W0GQBR1PO80 852060AT9 1315000.00000000 PA USD 1949487.50000000 0.005435637341 Long DBT CORP US N 2 2032-03-15 Fixed 0.08750000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133TGWC9 61141.87500000 PA USD 68124.73000000 0.000189948038 Long ABS-CBDO USGSE US N 2 2028-11-15 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179M5M8 14149.17000000 PA USD 15328.95000000 0.000042740778 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2D58 61185.02080000 PA USD 69948.23000000 0.000195032392 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.05000000 N N N N N N BX 2020-BXLP N/A 05607QAA6 15554087.86600000 PA USD 15573558.47000000 0.043422805204 Long ABS-MBS CORP US N 2 2036-12-15 Variable 0.00901000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0XL7 106627.87690000 PA USD 121356.72000000 0.000338371556 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374F2P3 114.18460000 PA USD 127.90000000 0.000000356615 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402CST0 9495.67310000 PA USD 9919.90000000 0.000027659053 Long ABS-MBS USGSE US N 2 2033-03-01 Variable 0.02108000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EXDX8 6412915.44450000 PA USD 6784600.97000000 0.018917089943 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617M76W3 408842.23100000 PA USD 440249.00000000 0.001227519491 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M7QW1 3215.59070000 PA USD 3555.21000000 0.000009912775 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 0.04500000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBH3 19432000.00000000 PA USD 18661606.70000000 0.052033022131 Long DBT CORP US N 2 2031-02-15 Fixed 0.02450000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KRX8 779.70120000 PA USD 887.24000000 0.000002473837 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GJKG3 25672.77950000 PA USD 28172.55000000 0.000078551806 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P8DW8 415647.14200000 PA USD 438978.79000000 0.001223977841 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FPEX3 1333611.67070000 PA USD 1461019.73000000 0.004073672388 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407HDC7 745.48380000 PA USD 882.58000000 0.000002460844 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N MORGAN STANLEY CAP I TR 2019-NUGS N/A 61692AAA0 9700000.00000000 PA USD 9784031.10000000 0.027280218415 Long ABS-MBS CORP US N 2 2036-12-15 Variable 0.02450000 N N N N N N LEXINGTON CORP PPTYS TR REIT 549300S4MH2ICXDBFV43 529043AE1 1445000.00000000 PA USD 1443466.03000000 0.004024728475 Long DBT CORP US N 2 2030-09-15 Fixed 0.02700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCBE5 11647732.77300000 PA USD 12219084.35000000 0.034069729184 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X8NK3 33490.04110000 PA USD 37189.28000000 0.000103692605 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M5AU3 13052.01410000 PA USD 14053.99000000 0.000039185884 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03400000 N N N N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 96949LAC9 9765000.00000000 PA USD 11489655.73000000 0.032035907759 Long DBT CORP US N 2 2045-09-15 Fixed 0.05100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403QMV9 1393.41330000 PA USD 1449.85000000 0.000004042528 Long ABS-MBS USGSE US N 2 2033-10-01 Variable 0.01800000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200R5X6 566.13260000 PA USD 647.95000000 0.000001806639 Long ABS-MBS USGA US N 2 2031-10-15 Fixed 0.07000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CN3 310000.00000000 PA USD 254592.15000000 0.000709863796 Long DBT CORP US N 2 2048-03-15 Fixed 0.04200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A1RP8 7801.03010000 PA USD 8567.96000000 0.000023889521 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132Y27L4 230391.96720000 PA USD 248812.70000000 0.000693749307 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.04500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAC7 1203000.00000000 PA USD 1289172.63000000 0.003594521579 Long DBT CORP US N 2 2023-09-15 Fixed 0.04200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371EVX0 55.43310000 PA USD 59.38000000 0.000000165565 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204KWE9 65.27130000 PA USD 73.00000000 0.000000203541 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N VEREIT OPER PARTNERSHIP LP 5493005TQOUJE1LCS698 92340LAF6 2874000.00000000 PA USD 3104393.32000000 0.008655790946 Long DBT CORP US N 2 2028-01-15 Fixed 0.03400000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W25W1 34549.56140000 PA USD 36811.14000000 0.000102638261 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAT7 4129000.00000000 PA USD 5099831.95000000 0.014219551027 Long DBT CORP US N 2 2049-02-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GAU0 28912.93400000 PA USD 30724.23000000 0.000085666500 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AP3 5913000.00000000 PA USD 6706543.58000000 0.018699447273 Long DBT CORP US N 2 2026-01-30 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3139883S4 220.69000000 PA USD 231.73000000 0.000000646118 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417B6F9 19934.43060000 PA USD 21569.39000000 0.000060140617 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HN89 71828.58590000 PA USD 78354.12000000 0.000218470023 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205UNR7 141.40900000 PA USD 151.69000000 0.000000422947 Long ABS-MBS USGA US N 2 2024-06-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296JUD5 16402.58150000 PA USD 18742.81000000 0.000052259436 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARRZ6 3471.85620000 PA USD 3834.43000000 0.000010691307 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EP5H3 213680.74910000 PA USD 236148.32000000 0.000658437987 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2VZ2 781746.99140000 PA USD 854477.76000000 0.002382488330 Long ABS-MBS USGA US N 2 2046-04-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408XB74 2075.21480000 PA USD 2461.48000000 0.000006863194 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223SEJ8 14.57560000 PA USD 14.83000000 0.000000041349 Long ABS-MBS USGA US N 2 2022-04-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SWY9 49673.25200000 PA USD 53623.44000000 0.000149514973 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 0.04000000 N N N N N N CHEMOURS CO 549300M1BOLNXL8DOV14 163851AF5 275000.00000000 PA USD 293936.50000000 0.000819565252 Long DBT CORP US N 2 2028-11-15 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MR6E6 16178.06360000 PA USD 17191.56000000 0.000047934180 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N SUNOCO LP / SUNOCO FIN CORP N/A 86765LAR8 635000.00000000 PA USD 630897.90000000 0.001759094215 Long DBT CORP US N 2 2029-05-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211HWS6 110.90070000 PA USD 125.68000000 0.000000350425 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W1XD4 7187.25650000 PA USD 7657.73000000 0.000021351582 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AAJ7 1084136.91910000 PA USD 1172294.05000000 0.003268636148 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213MWF1 698.01770000 PA USD 816.52000000 0.000002276653 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206X5E9 278.19610000 PA USD 312.07000000 0.000000870125 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ARH3 147597.37790000 PA USD 155249.58000000 0.000432872954 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.03000000 N N N N N N JPMDB COML MTG SECS TR 2019 N/A 48129RAX3 2872000.00000000 PA USD 3090835.20000000 0.008617987665 Long ABS-MBS CORP US N 2 2052-11-13 Fixed 0.03056500 N N N N N N DPL INC N/A 233293AQ2 7785000.00000000 PA USD 8446725.00000000 0.023551489211 Long DBT CORP US N 2 2029-04-15 Fixed 0.04350000 N N N N N N ILLINOIS ST N/A 452152BM2 2035000.00000000 PA USD 2480220.76000000 0.006915448587 Long DBT MUN US N 2 2035-02-01 Fixed 0.06630000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EBK0 29218000.00000000 PA USD 33659632.41000000 0.093851104371 Long DBT CORP GB N 2 2030-06-20 Variable 0.05088000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZM8 7576000.00000000 PA USD 7762710.52000000 0.021644293269 Long DBT CORP US N 2 2022-01-07 Fixed 0.05596000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X6R56 41117.66670000 PA USD 45736.54000000 0.000127524410 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04500000 N N N N N N NATIONSTAR HECM LN TR 2019-1 N/A 63862VAA4 1152972.36890000 PA USD 1154896.56000000 0.003220127786 Long ABS-CBDO CORP US N 2 2029-06-25 Fixed 0.02651300 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383CXP5 419.44070000 PA USD 487.49000000 0.000001359238 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8M44 291572.51300000 PA USD 307766.89000000 0.000858127687 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200NVS7 8299.06000000 PA USD 9709.84000000 0.000027073355 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.06500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAM8 6203000.00000000 PA USD 7324779.98000000 0.020423238198 Long DBT CORP US N 2 2045-07-15 Fixed 0.05200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GBB1 23240.48350000 PA USD 24885.25000000 0.000069386027 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N THORNBURG MTG SECS TR N/A 885220DW0 88168.76000000 PA USD 86359.81000000 0.000240791801 Long ABS-CBDO CORP US N 2 2043-09-25 Variable 0.00731630 N N N N N N SQUARE INC 549300OHIIUWSTIZME52 852234AL7 265000.00000000 PA USD 267146.50000000 0.000744868326 Long DBT CORP US N 2 2026-06-01 Fixed 0.02750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335GEQ4 83.74000000 PA USD 88.71000000 0.000000247344 Long ABS-MBS USGSE US N 2 2024-02-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213J7F6 1771.36740000 PA USD 2071.30000000 0.000005775279 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 0.07000000 N N N N N N SERVICE PPTYS TR 529900IS770AG1K9QG27 44106MAW2 600000.00000000 PA USD 574500.00000000 0.001601843383 Long DBT CORP US N 2 2027-02-15 Fixed 0.04950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205DCA4 117.98620000 PA USD 128.57000000 0.000000358483 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GNG1 83047.21010000 PA USD 91780.14000000 0.000255904978 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EKRB3 932956.19190000 PA USD 992860.28000000 0.002768331888 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208MLA1 525.82960000 PA USD 577.66000000 0.000001610654 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213JKH7 165.58650000 PA USD 193.51000000 0.000000539552 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176HTF1 23692.92110000 PA USD 25660.47000000 0.000071547526 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213E2K1 191.41130000 PA USD 221.73000000 0.000000618236 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287QND9 631.04000000 PA USD 737.68000000 0.000002056828 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.06500000 N N N N N N SBA TOWER TR N/A 78403DAN0 8715000.00000000 PA USD 9198924.78000000 0.025648802075 Long ABS-CBDO CORP US N 2 2050-01-15 Fixed 0.02836000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177WNF3 4691.65070000 PA USD 5170.66000000 0.000014417036 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31377KG41 117.28560000 PA USD 132.42000000 0.000000369218 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.07500000 N N N N N N HUDBAY MINERALS INC 549300WI524AL577IX21 443628AJ1 135000.00000000 PA USD 133650.00000000 0.000372648160 Long DBT CORP CA N 2 2026-04-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UUK6 315362.08400000 PA USD 334872.65000000 0.000933705028 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XW7M7 22036.79690000 PA USD 23831.32000000 0.000066447419 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407WSA2 3749.72780000 PA USD 3906.00000000 0.000010890862 Long ABS-MBS USGSE US N 2 2034-12-01 Variable 0.01785000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KCY9 185533.64660000 PA USD 204688.99000000 0.000570721852 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BM1 5854000.00000000 PA USD 5908863.28000000 0.016475323843 Long DBT CORP US N 2 2031-02-01 Fixed 0.03375000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292LXD2 998796.77700000 PA USD 1080847.53000000 0.003013661382 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206HY77 278.94890000 PA USD 301.38000000 0.000000840319 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAYJ0 553449.63600000 PA USD 593480.43000000 0.001654765361 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MQP8 4081832.64850000 PA USD 4426007.88000000 0.012340768384 Long ABS-MBS USGA US N 2 2042-10-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411WPK7 23012.37060000 PA USD 24254.21000000 0.000067626537 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 0.02395000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5VQ3 11595526.09400000 PA USD 12351890.67000000 0.034440024963 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206JGQ1 92.02350000 PA USD 100.44000000 0.000000280050 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WMY99 763581.42400000 PA USD 836862.03000000 0.002333371463 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292LUD5 1591080.51600000 PA USD 1722222.15000000 0.004801967198 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312933G73 32210.78000000 PA USD 36026.60000000 0.000100450776 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A3F44 4814.53530000 PA USD 5364.39000000 0.000014957202 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210BT88 271.82760000 PA USD 310.82000000 0.000000866640 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WDKY9 307987.44100000 PA USD 327310.51000000 0.000912619973 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224S2C5 34.57490000 PA USD 36.45000000 0.000000101631 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GSR9 29.50590000 PA USD 33.44000000 0.000000093238 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJ5M8 932379.99300000 PA USD 983771.29000000 0.002742989611 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MAEW5 1151399.00860000 PA USD 1258114.12000000 0.003507923026 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AFDT1 7612.63470000 PA USD 8612.91000000 0.000024014852 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N MGM GROWTH PPTYS OPER PARTNERSHIP LP / MGP FIN CO-ISSUER INC N/A 55303XAF2 637000.00000000 PA USD 667735.25000000 0.001861805556 Long DBT CORP US N 2 2028-01-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HPXJ8 11458.96460000 PA USD 12534.71000000 0.000034949768 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVAV9 1203135.96800000 PA USD 1260309.95000000 0.003514045525 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N QORVO INC 254900YAUJV2EUEVBR11 74736KAJ0 615000.00000000 PA USD 626998.65000000 0.001748222173 Long DBT CORP US N 2 2031-04-01 Fixed 0.03375000 N N N N N N UPSTART SECURITIZATION TR 2021-1 N/A 91681NAA2 1419971.35000000 PA USD 1422201.70000000 0.003965438438 Long ABS-CBDO CORP US N 2 2031-03-20 Fixed 0.00870000 N N N N N N UBS COML MTG TR 2012-C1 N/A 90269GAE1 9200000.00000000 PA USD 9390462.08000000 0.026182853871 Long ABS-MBS CORP US N 2 2045-05-10 Fixed 0.04171000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335GE50 79.12000000 PA USD 84.10000000 0.000000234490 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31296VAX7 5683.59250000 PA USD 6468.23000000 0.000018034972 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EED63 6676.62640000 PA USD 7174.16000000 0.000020003273 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.03250000 N N N N N N PRIMA CAPITAL LTD 2021 N/A 74167CAA5 6845798.19000000 PA USD 6845795.45000000 0.019087714787 Long ABS-MBS CORP US N 2 2037-12-15 Variable 0.01549250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290UCF1 3516.04380000 PA USD 4171.79000000 0.000011631948 Long ABS-MBS USGA US N 2 2037-06-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YNLE5 2214088.75710000 PA USD 2372157.20000000 0.006614141540 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392EVD9 6561.79480000 PA USD 6718.31000000 0.000018732254 Long ABS-CBDO USGSE US N 2 2032-04-25 Variable 0.01091630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386QSH5 414.73040000 PA USD 490.79000000 0.000001368439 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P73S0 673850.07400000 PA USD 714202.44000000 0.001991367193 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207JSR5 151.61300000 PA USD 170.73000000 0.000000476036 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31359D5R0 1370.73220000 PA USD 1569.96000000 0.000004377423 Long ABS-CBDO USGSE US N 2 2023-09-25 Variable 0.19540640 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E07L7 123337.00650000 PA USD 135293.36000000 0.000377230241 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AS2T5 34133.72730000 PA USD 37821.41000000 0.000105455135 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y65H3 45903.38000000 PA USD 50037.69000000 0.000139517045 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29279FAA7 1761000.00000000 PA USD 2197868.65000000 0.006128183384 Long DBT CORP US N 2 2049-04-15 Fixed 0.06250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213PM40 234.06010000 PA USD 267.63000000 0.000000746216 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380DS56 266.40290000 PA USD 306.94000000 0.000000855822 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383RXZ0 23.68420000 PA USD 27.74000000 0.000000077345 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HDGJ7 71575.24830000 PA USD 77736.66000000 0.000216748397 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4ER7 6576.27940000 PA USD 7249.76000000 0.000020214064 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M5GR5 4581.03520000 PA USD 5458.43000000 0.000015219408 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJLJ5 8959.84290000 PA USD 10693.69000000 0.000029816564 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ETM3 188312.39360000 PA USD 201639.53000000 0.000562219228 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJXK1 22207.50400000 PA USD 23774.20000000 0.000066288154 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GGS3 49.06640000 PA USD 55.54000000 0.000000154858 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209UGF7 236.76000000 PA USD 268.60000000 0.000000748921 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F4SL1 56680.80580000 PA USD 61985.17000000 0.000172829476 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7TY9 178005.96000000 PA USD 190445.11000000 0.000531006508 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378XZJ8 26.03940000 PA USD 27.93000000 0.000000077875 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HWM0 4811.30070000 PA USD 5314.03000000 0.000014816786 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N VICI PROPERTIES LP / VICI NOTE CO INC N/A 92564RAA3 1640000.00000000 PA USD 1687150.00000000 0.004704177657 Long DBT CORP US N 2 2026-12-01 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MMU68 629739.75600000 PA USD 659847.74000000 0.001839813292 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CU7 6070000.00000000 PA USD 6997588.93000000 0.019510951308 Long DBT CORP US N 2 2027-05-01 Fixed 0.05040000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207J2F9 71.26700000 PA USD 80.68000000 0.000000224955 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N ENABLE MIDSTREAM PARTNERS LP 549300TLGDBYE711G509 292480AH3 869000.00000000 PA USD 929838.86000000 0.002592613099 Long DBT CORP US N 2 2024-05-15 Variable 0.03900000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946BR6 41174.08560000 PA USD 45894.34000000 0.000127964394 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25 N/A 61765TAG8 918702.55000000 PA USD 33680.74000000 0.000093909957 Long ABS-MBS CORP US N 2 2048-10-15 Variable 0.01052194 N N N N N N WEINGARTEN REALTY INVESTORS 549300JMKTJNB8GWHU88 948741AH6 456000.00000000 PA USD 470595.05000000 0.001312131535 Long DBT CORP US N 2 2022-10-15 Fixed 0.03375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36185GML6 134656.63260000 PA USD 147769.48000000 0.000412016647 Long ABS-MBS USGA US N 2 2045-05-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FY75 18655.65900000 PA USD 20646.60000000 0.000057567658 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FH47 53.53030000 PA USD 58.95000000 0.000000164366 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385WWD7 370.88530000 PA USD 435.07000000 0.000001213079 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31415PAJ7 888.20140000 PA USD 919.50000000 0.000002563785 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CPK4 107818.31600000 PA USD 113840.40000000 0.000317414258 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MK66 24773.42740000 PA USD 26405.21000000 0.000073624039 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FYUJ3 10100000.00000000 PA USD 10421097.18000000 0.029056510991 Long ABS-MBS USGSE US N 2 2031-03-25 Fixed 0.02020000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389XL27 344.47000000 PA USD 409.59000000 0.000001142034 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388EY34 29.99030000 PA USD 31.52000000 0.000000087885 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WRNF3 368993.59100000 PA USD 399026.75000000 0.001112582000 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CE0 581000.00000000 PA USD 615801.90000000 0.001717002957 Long DBT CORP US N 2 2028-01-15 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QKF78 28094259.18400000 PA USD 29691842.04000000 0.082787955980 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MFWM6 5894005.92780000 PA USD 6321354.36000000 0.017625447615 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31397BQR5 39112.76270000 PA USD 35544.84000000 0.000099107513 Long ABS-CBDO USGSE US N 2 2036-10-15 Fixed 0.00000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GSMY2 15020.79630000 PA USD 16478.68000000 0.000045946500 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAH5 11630000.00000000 PA USD 12486087.56000000 0.034814197983 Long DBT CORP US N 2 2025-07-01 Fixed 0.03375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405NCX1 11394.28940000 PA USD 13058.84000000 0.000036411168 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.06000000 N N N N N N TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN N/A 87612BBT8 1200000.00000000 PA USD 1189908.00000000 0.003317748053 Long DBT CORP US N 2 2032-01-15 Fixed 0.04000000 N N N N N N CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP N/A 226373AQ1 1653000.00000000 PA USD 1702590.00000000 0.004747228069 Long DBT CORP US N 2 2027-05-01 Fixed 0.05625000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137AFZS4 109567.87750000 PA USD 120601.24000000 0.000336265097 Long ABS-CBDO USGSE US N 2 2034-10-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209DD35 538.95900000 PA USD 612.91000000 0.000001708939 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07500000 N N N N N N ON SEMICONDUCTOR CORP ZV20P4CNJVT8V1ZGJ064 682189AQ8 300000.00000000 PA USD 304500.00000000 0.000849018816 Long DBT CORP US N 2 2028-09-01 Fixed 0.03875000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAE8 1295000.00000000 PA USD 1254548.47000000 0.003497981141 Long ABS-MBS CORP US N 2 2032-11-05 Fixed 0.03465000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292GZX7 123.44240000 PA USD 140.71000000 0.000000392333 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AFDU8 21533.68660000 PA USD 24324.31000000 0.000067821993 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N BX COML MTG TR 2018-BIOA N/A 056057AQ5 2450000.00000000 PA USD 2455125.89000000 0.006845478089 Long ABS-MBS CORP US N 2 2037-03-15 Variable 0.02572050 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208DJ97 90.53080000 PA USD 100.67000000 0.000000280692 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209CWT9 544.07560000 PA USD 617.24000000 0.000001721012 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N CAPITAL ONE FINANCIAL CORP ZUE8T73ROZOF6FLBAR73 14040HBW4 10723000.00000000 PA USD 12017390.17000000 0.033507357578 Long DBT CORP US N 2 2028-01-31 Fixed 0.03800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AJSY9 25846.87740000 PA USD 29467.08000000 0.000082161265 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YJ4A1 52273.37040000 PA USD 57491.98000000 0.000160301388 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312939LZ2 22597.08550000 PA USD 25780.45000000 0.000071882059 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176KDN4 11901.63500000 PA USD 13135.37000000 0.000036624552 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178GFQ2 8337.04110000 PA USD 9029.38000000 0.000025176070 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DNL1 199.09260000 PA USD 229.64000000 0.000000640291 Long ABS-MBS USGA US N 2 2031-06-20 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291Q2R4 634.83180000 PA USD 750.41000000 0.000002092322 Long ABS-MBS USGA US N 2 2035-07-15 Fixed 0.06500000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 023551AM6 1403000.00000000 PA USD 1874059.34000000 0.005225325593 Long DBT CORP US N 2 2033-03-15 Fixed 0.07125000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HAX2 134.69240000 PA USD 156.85000000 0.000000437335 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.08000000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAF2 4250000.00000000 PA USD 4505903.59000000 0.012563536730 Long DBT CORP IE N 2 2023-07-03 Fixed 0.04125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412UGS3 2887.03610000 PA USD 3446.79000000 0.000009610474 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407PV88 536.85070000 PA USD 636.42000000 0.000001774491 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MQSY0 48546.81450000 PA USD 51663.95000000 0.000144051447 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BDK1 193.63410000 PA USD 220.77000000 0.000000615559 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN N/A 87612BBQ4 135000.00000000 PA USD 145854.00000000 0.000406675830 Long DBT CORP US N 2 2030-03-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335APZ5 12892633.47000000 PA USD 13935642.36000000 0.038855903406 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YF95 187.71220000 PA USD 213.60000000 0.000000595567 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N OVINTIV INC N/A 012873AH8 5649000.00000000 PA USD 7689197.47000000 0.021439321306 Long DBT CORP US N 2 2030-09-15 Fixed 0.08125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVQP0 4095.87980000 PA USD 4661.66000000 0.000012997822 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374MMQ4 26.91000000 PA USD 29.56000000 0.000000082420 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MQ2L6 25633.63050000 PA USD 27728.02000000 0.000077312350 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FDC9 68444.11590000 PA USD 75955.14000000 0.000211781093 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XUFN7 28543.55400000 PA USD 32086.55000000 0.000089464974 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401KY90 2219.03100000 PA USD 2565.69000000 0.000007153757 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 0.07000000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAP8 18424000.00000000 PA USD 21390322.96000000 0.059641335597 Long DBT CORP US N 2 2029-03-19 Fixed 0.05150000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FP75 535499.94310000 PA USD 592816.16000000 0.001652913217 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XTHA9 22074.15090000 PA USD 23921.73000000 0.000066699503 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FM52 53796.37670000 PA USD 57738.74000000 0.000160989414 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ERRK8 312689.06600000 PA USD 334817.16000000 0.000933550308 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411AY1 495000.00000000 PA USD 513760.50000000 0.001432487132 Long DBT CORP US N 2 2042-02-01 Fixed 0.05250000 N N N N N N UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC N/A 91327AAA0 1050000.00000000 PA USD 1124812.50000000 0.003136246232 Long DBT CORP US N 2 2025-02-15 Fixed 0.07875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5SD2 226621.74570000 PA USD 252503.76000000 0.000704040865 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XWXB9 25033.98410000 PA USD 28141.35000000 0.000078464813 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GUST2 1314644.92210000 PA USD 1442139.06000000 0.004021028565 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EV6N2 120927.98560000 PA USD 131441.53000000 0.000366490417 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207E6C3 28.79350000 PA USD 32.26000000 0.000000089948 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203UTF9 28.50100000 PA USD 29.98000000 0.000000083591 Long ABS-MBS USGA US N 2 2023-05-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KMU9 108.85420000 PA USD 114.57000000 0.000000319448 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QAWY2 308228.39500000 PA USD 336470.75000000 0.000938160913 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208N2L6 464.94430000 PA USD 500.55000000 0.000001395653 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FRYE9 93915.62810000 PA USD 101787.21000000 0.000283807082 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GSRX2 31176724.92500000 PA USD 32976251.72000000 0.091945675586 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.03500000 N N N N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 225401AP3 37158000.00000000 PA USD 41326268.51000000 0.115227519182 Long DBT CORP CH N 2 2031-04-01 Variable 0.04194000 N N N N N N CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC N/A 15033TAB1 5250000.00000000 PA USD 5267655.75000000 0.014687483914 Long ABS-CBDO CORP KY N 2 2032-10-25 Variable 0.01445750 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307RFS9 29009.21520000 PA USD 30908.58000000 0.000086180512 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N PG and E CORP 8YQ2GSDWYZXO2EDN3511 69331CAH1 3765000.00000000 PA USD 3746175.00000000 0.010445231743 Long DBT CORP US N 2 2028-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FY44 37993.78790000 PA USD 40682.66000000 0.000113432984 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VDS0 129000.00000000 PA USD 163234.19000000 0.000455135956 Long DBT CORP US N 2 2049-04-15 Fixed 0.05012000 N N N N N N KEYBANK NATL ASSN HUX2X73FUCYHUVH1BK78 49306CAB7 619000.00000000 PA USD 779512.85000000 0.002173468234 Long DBT CORP US N 2 2028-02-01 Fixed 0.06950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297BFB2 19663.59190000 PA USD 21694.51000000 0.000060489481 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.04000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RAZ5 16638000.00000000 PA USD 16548254.63000000 0.046140491183 Long DBT CORP FR N 2 2026-12-14 Variable 0.01488000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XJBK2 22930.11660000 PA USD 25374.43000000 0.000070749978 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LQSB1 14340.51570000 PA USD 15730.69000000 0.000043860925 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416SAM3 7503.31940000 PA USD 8390.23000000 0.000023393967 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DRH6 340.60370000 PA USD 393.63000000 0.000001097534 Long ABS-MBS USGA US N 2 2032-01-20 Fixed 0.06500000 N N N N N N LUMEN TECHNOLOGIES 8M3THTGWLTYZVE6BBY25 156686AM9 40000.00000000 PA USD 44500.00000000 0.000124076641 Long DBT CORP US N 2 2028-01-15 Fixed 0.06875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBVF2 1568650.34800000 PA USD 1703558.98000000 0.004749929817 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MDY97 930473.21480000 PA USD 1006497.16000000 0.002806354771 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N PLANET FITNESS MASTER ISSUER LLC 18-1A N/A 72703PAA1 292500.00000000 PA USD 294693.75000000 0.000821676646 Long ABS-CBDO CORP US N 2 2048-09-05 Fixed 0.04262000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QMD40 11035.43330000 PA USD 12034.09000000 0.000033553920 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 312942ME2 8417.34730000 PA USD 9292.50000000 0.000025909712 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N WYNN LAS VEGAS LLC/ WYNN LAS V N/A 983130AV7 645000.00000000 PA USD 687731.25000000 0.001917559185 Long DBT CORP US N 2 2025-03-01 Fixed 0.05500000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2012-C5 N/A 61761ABA5 6800000.00000000 PA USD 7011307.96000000 0.019549203244 Long ABS-MBS CORP US N 2 2045-08-15 Fixed 0.03792000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402ALD6 7347.27790000 PA USD 8127.24000000 0.000022660688 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WWYF0 6616.10660000 PA USD 7092.61000000 0.000019775892 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KFM2 11994.84340000 PA USD 13229.88000000 0.000036888069 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GGEW1 1112.89000000 PA USD 1240.52000000 0.000003458866 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31393FCL8 35182.70250000 PA USD 39714.92000000 0.000110734694 Long ABS-CBDO USGSE US N 2 2032-11-15 Fixed 0.05500000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAJ7 5846000.00000000 PA USD 7755081.28000000 0.021623021123 Long DBT CORP US N 2 2037-05-01 Fixed 0.06550000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XPJ2 68749.75890000 PA USD 74374.78000000 0.000207374672 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N BENCHMARK 2019-B12 MTG TR N/A 08162FAK9 75571102.80000000 PA USD 4732149.10000000 0.013194363315 Long ABS-MBS CORP US N 2 2052-08-15 Variable 0.01064396 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AX4B4 59813.27660000 PA USD 65611.61000000 0.000182940858 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENRB7 514959.09870000 PA USD 573771.55000000 0.001599812290 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176LYS8 28875.52740000 PA USD 32184.63000000 0.000089738444 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QPPY4 97748.58080000 PA USD 106441.66000000 0.000296784802 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AGN76 3616.13890000 PA USD 4140.14000000 0.000011543700 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q83X1 101440.86080000 PA USD 110014.69000000 0.000306747264 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MCZ1 15244.42000000 PA USD 16534.58000000 0.000046102363 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQKH5 10533.25910000 PA USD 11988.25000000 0.000033426107 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A8U56 1280724.24300000 PA USD 1344787.09000000 0.003749587993 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.02500000 N N N N N N DB MASTER FIN LLC 549300F17UZJL70BPB08 233046AF8 5322217.50000000 PA USD 5680349.52000000 0.015838172834 Long ABS-CBDO CORP US N 2 2047-11-20 Fixed 0.04030000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390JK26 178.83150000 PA USD 213.16000000 0.000000594341 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07000000 N N N N N N SABLE INTL FINANCE LTD 2138009IE9A35LO5JS73 785712AG5 2595000.00000000 PA USD 2734351.50000000 0.007624025862 Long DBT CORP KY N 2 2027-09-07 Fixed 0.05750000 N N N N N N SERVICE PPTYS TR 529900IS770AG1K9QG27 81761LAB8 230000.00000000 PA USD 236707.73000000 0.000659997756 Long DBT CORP US N 2 2027-12-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M9A51 174365.17550000 PA USD 198024.28000000 0.000552139047 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KPU9 3904.62000000 PA USD 4636.21000000 0.000012926862 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209N3Q3 90.67850000 PA USD 104.88000000 0.000000292430 Long ABS-MBS USGA US N 2 2029-09-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LKA3 36201.01000000 PA USD 41201.57000000 0.000114879829 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N CGDB COML MTG TR 2017-BIO N/A 125284AC3 1600000.00000000 PA USD 1599999.52000000 0.004461181278 Long ABS-MBS CORP US N 2 2036-11-15 Variable 0.01350880 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YRYZ5 101603.29670000 PA USD 109269.73000000 0.000304670137 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312944H79 29211.59350000 PA USD 32250.01000000 0.000089920740 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQYH9 2660141.39580000 PA USD 2860382.48000000 0.007975430373 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335AU48 189208.14000000 PA USD 203391.58000000 0.000567104363 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N EQM MIDSTREAM PARTNERS LP 549300NELT611CL6XM83 26885BAH3 465000.00000000 PA USD 511104.75000000 0.001425082266 Long DBT CORP US N 2 2027-07-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297XWP5 1491.90770000 PA USD 1696.65000000 0.000004730665 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ERB41 3747495.65930000 PA USD 4026748.17000000 0.011227536836 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHRR5 1734819.95100000 PA USD 1822681.30000000 0.005082071332 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02500000 N N N N N N METLIFE SECURITIZATION TRUST 2019-1 N/A 59166EAB1 2373075.13000000 PA USD 2445351.17000000 0.006818223832 Long ABS-CBDO CORP US N 2 2058-04-25 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2BP6 5102558.23800000 PA USD 5534394.38000000 0.015431215001 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 0.03500000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAN3 8694000.00000000 PA USD 9528809.44000000 0.026568599395 Long DBT CORP US N 2 2024-03-19 Fixed 0.04375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203F2R5 57.85520000 PA USD 61.12000000 0.000000170417 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QLYS6 90551.72860000 PA USD 98746.25000000 0.000275328158 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EPX33 2414971.78610000 PA USD 2690780.88000000 0.007502540554 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YR4T2 38189.28550000 PA USD 41569.15000000 0.000115904730 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N ZIGGO BV 213800TQASLF9JXH5J59 98954NAA7 1083000.00000000 PA USD 1122258.75000000 0.003129125766 Long DBT CORP NL N 2 2027-01-15 Fixed 0.05500000 N N N N N N DBUBS 2011 LC3 N/A 23305YAL3 4800000.00000000 PA USD 4799547.36000000 0.013382285781 Long ABS-MBS CORP US N 2 2044-08-10 Variable 0.05426635 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209T7M5 174.14610000 PA USD 201.30000000 0.000000561272 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07500000 N N N N N N TERRAFORM POWER OPERATING LLC 5493000S2OLR3UT5BE13 88104LAE3 656000.00000000 PA USD 689269.04000000 0.001921846912 Long DBT CORP US N 2 2028-01-31 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384Q6P3 430.46310000 PA USD 501.33000000 0.000001397827 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31298EVR3 8.69990000 PA USD 8.77000000 0.000000024452 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335AN53 11485.00290000 PA USD 12505.50000000 0.000034868324 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XVD59 14742333.23900000 PA USD 15733426.40000000 0.043868555223 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LUU8 417877.02280000 PA USD 475469.08000000 0.001325721496 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N SERVICE PPTYS TR 529900IS770AG1K9QG27 44106MBB7 245000.00000000 PA USD 228462.50000000 0.000637008083 Long DBT CORP US N 2 2029-10-01 Fixed 0.04950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31393ADJ3 10258.43790000 PA USD 10599.33000000 0.000029553466 Long ABS-CBDO USGSE US N 2 2023-04-25 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230NUW3 7327.39050000 PA USD 8119.01000000 0.000022637741 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297MLB2 15386.08970000 PA USD 17636.06000000 0.000049173552 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223RBQ7 14.60320000 PA USD 14.80000000 0.000000041265 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W3QM8 39359.80350000 PA USD 42563.38000000 0.000118676881 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209AL57 153.66980000 PA USD 175.38000000 0.000000489001 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JPVF6 26636.06180000 PA USD 29590.81000000 0.000082506254 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04500000 N N N N N N MURPHY OIL USA INC N32S6DTR2ZZ5222WHV58 626738AF5 110000.00000000 PA USD 106928.80000000 0.000298143064 Long DBT CORP US N 2 2031-02-15 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31400KBQ8 1719.05370000 PA USD 1920.77000000 0.000005355566 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ATF5 76005.35600000 PA USD 79978.55000000 0.000222999323 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E94A5 20296.75200000 PA USD 22257.99000000 0.000062060598 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TXV2 5767085.00100000 PA USD 6152713.83000000 0.017155237490 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283G3U9 1373.78890000 PA USD 1558.71000000 0.000004346056 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.08500000 N N N N N N CF INDUSTRIES INC 5FVKT86LAD2F40NPC183 12527GAD5 5000.00000000 PA USD 5657.50000000 0.000015774462 Long DBT CORP US N 2 2043-06-01 Fixed 0.04950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FVTZ9 23547.90600000 PA USD 25096.58000000 0.000069975266 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A7XD5 21135.69900000 PA USD 23337.09000000 0.000065069387 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VER1 10293000.00000000 PA USD 11830323.47000000 0.032985770884 Long DBT CORP US N 2 2028-09-21 Fixed 0.04329000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XXZG4 6859.85560000 PA USD 7711.34000000 0.000021501059 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BSV1 43619.51840000 PA USD 50701.83000000 0.000141368826 Long ABS-MBS USGA US N 2 2032-04-20 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GSY4 842.42390000 PA USD 951.09000000 0.000002651866 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HRGD6 81711.10160000 PA USD 87428.13000000 0.000243770533 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N ZOETIS INC 549300HD9Q1LOC9KLJ48 98978VAB9 1210000.00000000 PA USD 1259155.32000000 0.003510826140 Long DBT CORP US N 2 2023-02-01 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E75J9 6715.53180000 PA USD 7366.54000000 0.000020539675 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J4AU3 1555935.04080000 PA USD 1683003.12000000 0.004692615164 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y8GU8 98554.65700000 PA USD 108578.45000000 0.000302742683 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.04500000 N N N N N N CSMC 2018-SITE N/A 12690CAE3 1471000.00000000 PA USD 1481937.47000000 0.004131996050 Long ABS-MBS CORP US N 2 2036-04-15 Fixed 0.04534900 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230RVV5 19058.59250000 PA USD 20693.38000000 0.000057698091 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FR83 56183.37140000 PA USD 59861.07000000 0.000166906978 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291WGR6 2304.20680000 PA USD 2713.60000000 0.000007566165 Long ABS-MBS USGA US N 2 2035-03-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376KP42 16126.09880000 PA USD 19102.81000000 0.000053263202 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKKE4 1430447.66880000 PA USD 1510225.74000000 0.004210870511 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQLB6 1342293.22750000 PA USD 1522781.60000000 0.004245879251 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388QUW7 4911.55250000 PA USD 5866.19000000 0.000016356340 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230SKB9 72140.19460000 PA USD 79077.84000000 0.000220487928 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371AST1 359.82890000 PA USD 382.62000000 0.000001066836 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383QW34 552.46880000 PA USD 645.14000000 0.000001798804 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07500000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAG3 536000.00000000 PA USD 511460.74000000 0.001426074851 Long ABS-MBS CORP US N 2 2032-11-05 Variable 0.03718550 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311VAD9 3116000.00000000 PA USD 3234408.00000000 0.009018302965 Long DBT CORP US N 2 2023-03-15 Fixed 0.03875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207NGB4 192.81280000 PA USD 214.41000000 0.000000597826 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCJC1 20591.69470000 PA USD 3832.92000000 0.000010687097 Long ABS-CBDO USGSE US N 2 2034-03-25 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203KJ88 110.31870000 PA USD 117.00000000 0.000000326223 Long ABS-MBS USGA US N 2 2024-01-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJLK2 123560.91990000 PA USD 147280.13000000 0.000410652222 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MMEP4 81.57000000 PA USD 82.17000000 0.000000229109 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 0.06500000 N N N N N N DB MASTER FIN LLC 549300F17UZJL70BPB08 233046AK7 742770.00000000 PA USD 784439.40000000 0.002187204634 Long ABS-CBDO CORP US N 2 2049-05-20 Fixed 0.04021000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MCP58 91683.85520000 PA USD 96705.90000000 0.000269639175 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295T7J7 2072.48400000 PA USD 2447.85000000 0.000006825191 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31395NEN3 34580.96040000 PA USD 31271.93000000 0.000087193619 Long ABS-CBDO USGSE US N 2 2036-06-25 Fixed 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210JGZ5 488.07390000 PA USD 536.65000000 0.000001496308 Long ABS-MBS USGA US N 2 2030-09-15 Fixed 0.07000000 N N N N N N TANGER PROPERTIES LP PQPGJDNFN35EXH363L31 875484AG2 475000.00000000 PA USD 503734.05000000 0.001404530992 Long DBT CORP US N 2 2023-12-01 Fixed 0.03875000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FYZC3 24100000.00000000 PA USD 24116785.65000000 0.067243365571 Long ABS-MBS USGSE US N 2 2031-03-25 Variable 0.00250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WPRV1 173547.19800000 PA USD 190744.79000000 0.000531842088 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31359PQC3 8923.53610000 PA USD 10091.35000000 0.000028137096 Long ABS-CBDO USGSE US N 2 2027-06-18 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04R6 86562.77090000 PA USD 98492.90000000 0.000274621758 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASDX4 10019.22340000 PA USD 11464.81000000 0.000031966631 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVKU8 18389914.19300000 PA USD 19521861.23000000 0.054431617478 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390HPV1 1904.05780000 PA USD 2273.43000000 0.000006338866 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07000000 N N N N N N CSMC 2020-NET N/A 126438AA8 3554000.00000000 PA USD 3672078.81000000 0.010238633846 Long ABS-MBS CORP US N 2 2037-08-15 Fixed 0.02256900 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NX2N6 15129.98660000 PA USD 16101.47000000 0.000044894748 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9S44 21098.67910000 PA USD 24135.45000000 0.000067295406 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419FPH3 28434.85990000 PA USD 31369.37000000 0.000087465305 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208SDQ2 465.71690000 PA USD 537.32000000 0.000001498176 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAD5 2288000.00000000 PA USD 2725477.06000000 0.007599281801 Long DBT CORP US N 2 2038-06-15 Fixed 0.05800000 N N N N N N MORGAN STANLEY CAP I TR 2019-L2 N/A 61768HAV8 100000.00000000 PA USD 110438.59000000 0.000307929198 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 0.03806000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M5GP9 243454.81490000 PA USD 283029.90000000 0.000789155043 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E5VC9 32071.92940000 PA USD 35181.00000000 0.000098093041 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291QSF2 124397.92700000 PA USD 136325.36000000 0.000380107703 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211EQK7 98.98420000 PA USD 116.22000000 0.000000324049 Long ABS-MBS USGA US N 2 2029-12-15 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419ABF3 10069.61210000 PA USD 10188.26000000 0.000028407305 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335BSH0 6456275.45570000 PA USD 6940251.42000000 0.019351080619 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A3F5 70.10450000 PA USD 79.15000000 0.000000220689 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N LIBERTY MUTUAL GROUP INC QUR0DG15Z6FFGYCHH861 53079EBK9 12820000.00000000 PA USD 13211293.32000000 0.036836245064 Long DBT CORP US N 2 2060-05-15 Fixed 0.03950000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GR7A3 15324.10790000 PA USD 16816.22000000 0.000046887642 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W1CU9 17146.31860000 PA USD 18268.70000000 0.000050937504 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LP42 11923.26000000 PA USD 13155.08000000 0.000036679508 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CS62 406505.31910000 PA USD 441784.33000000 0.001231800358 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EDSW2 11005.73140000 PA USD 11908.39000000 0.000033203439 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P8GB1 13880919.48200000 PA USD 14971150.50000000 0.041743147727 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7CL5 2959.48810000 PA USD 3258.61000000 0.000009085783 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410UUH3 237.72930000 PA USD 267.80000000 0.000000746690 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 0.06000000 N N N N N N EATON VANCE CLO 2020-1 LTD N/A 278300AA6 9200000.00000000 PA USD 9220019.20000000 0.025707618363 Long ABS-CBDO CORP KY N 2 2030-10-15 Variable 0.01833750 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283GW60 343.74590000 PA USD 382.38000000 0.000001066166 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07500000 N N N N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 31635A105 2070872384.86400000 NS USD 2071286559.34000000 5.775242245522 Long STIV RF US N 1 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TR4H5 17692.25080000 PA USD 20043.12000000 0.000055885011 Long ABS-CBDO USGSE US N 2 2031-01-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HPYR9 76008.02830000 PA USD 83361.46000000 0.000232431685 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287MT59 30718.78720000 PA USD 35800.94000000 0.000099821581 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206B2C4 327.95050000 PA USD 360.84000000 0.000001006108 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359SXB1 56607.98020000 PA USD 63330.12000000 0.000176579519 Long ABS-CBDO USGSE US N 2 2031-05-25 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M7SM9 9772.03000000 PA USD 10931.11000000 0.000030478548 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FFUS8 18292.54800000 PA USD 19655.66000000 0.000054804680 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EHVP4 377405.98890000 PA USD 413991.91000000 0.001154308445 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FEDERAL NATL MTG AS GTD RE PTT B1V7KEBTPIMZEU4LTD58 3136B1C51 955780.87110000 PA USD 955439.08000000 0.002663992634 Long ABS-CBDO USGSE US N 2 2048-05-25 Variable 0.00391630 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M6XY9 2374.66550000 PA USD 2694.72000000 0.000007513523 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418A2S6 103409.36610000 PA USD 109379.09000000 0.000304975059 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.03000000 N N N N N N ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP N/A 451102BZ9 3095000.00000000 PA USD 3172375.00000000 0.008845340127 Long DBT CORP US N 2 2027-05-15 Fixed 0.05250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212WPT8 27049.47670000 PA USD 30785.90000000 0.000085838451 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31298C2P3 138.43490000 PA USD 164.08000000 0.000000457494 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205XM92 600.40000000 PA USD 653.01000000 0.000001820748 Long ABS-MBS USGA US N 2 2024-12-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AYFE1 13488.08330000 PA USD 15442.59000000 0.000043057633 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LDU3 8.08860000 PA USD 8.44000000 0.000000023532 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A -16000000.00000000 NC USD -498467.04000000 -0.00138984530 N/A DIR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A NC USD N/A N/A DIR CORP US 2031-05-20 0.00000000 USD 0.00000000 USD -16000000.00000000 USD 1.00000000 2.37250000 USD 2026-05-18 XXXX 33532.96000000 N N N GENERAL MTRS FINL CO INC 5493008B6JBRUJ90QL97 37045XAL0 1359000.00000000 PA USD 1451413.85000000 0.004046888898 Long DBT CORP US N 2 2023-05-15 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARMG3 177297.35870000 PA USD 195671.11000000 0.000545577846 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FLN4 490701.39140000 PA USD 541004.86000000 0.001508450923 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.04000000 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229AX4 270000.00000000 PA USD 335186.10000000 0.000934579001 Long DBT CORP US N 2 2036-04-01 Variable 0.05875000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3129424K8 7491.92360000 PA USD 8351.10000000 0.000023284863 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394D4V9 170608.31040000 PA USD 32345.56000000 0.000090187156 Long ABS-CBDO USGSE US N 2 2035-06-25 Variable 0.06628370 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MBXL5 328192.69360000 PA USD 355007.55000000 0.000989845944 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31369XWD5 4.44110000 PA USD 4.45000000 0.000000012407 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297ETU9 2519.49990000 PA USD 2956.57000000 0.000008243624 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31392XV96 60039.81530000 PA USD 68869.17000000 0.000192023715 Long ABS-CBDO USGSE US N 2 2032-11-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q9MZ3 478869.08600000 PA USD 517134.41000000 0.001441894400 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YJTS5 69208.98040000 PA USD 74431.12000000 0.000207531761 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RAQ2 2968.91320000 PA USD 3456.24000000 0.000009636823 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.06500000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 02005NBL3 3893000.00000000 PA USD 3954617.39000000 0.011026418972 Long DBT CORP US N 2 2023-10-02 Fixed 0.01450000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207BR85 411.19930000 PA USD 467.62000000 0.000001303836 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297P2R1 2218.90340000 PA USD 2524.73000000 0.000007039550 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DSD4 5985.00370000 PA USD 6979.74000000 0.000019461184 Long ABS-MBS USGA US N 2 2032-03-20 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132LQUK1 115168.51600000 PA USD 126162.02000000 0.000351769881 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212BQD8 469.50920000 PA USD 549.57000000 0.000001532332 Long ABS-MBS USGA US N 2 2031-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H2C71 36756.40170000 PA USD 39449.49000000 0.000109994611 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CFE9 3014170.76300000 PA USD 3216171.75000000 0.008967455939 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208VMY8 515.37380000 PA USD 582.86000000 0.000001625153 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 0.07000000 N N N N N N SOFI CONSUMER LN PROGRAM 2019-4 TR N/A 83405BAA0 2231320.96000000 PA USD 2247021.65000000 0.006265233702 Long ABS-CBDO CORP US N 2 2028-08-25 Fixed 0.02450000 N N N N N N SUNOCO LP / SUNOCO FIN CORP N/A 86765LAQ0 15000.00000000 PA USD 15675.00000000 0.000043705648 Long DBT CORP US N 2 2027-04-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VBM5 447631.44220000 PA USD 495872.32000000 0.001382610608 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N COMCAST CORP NEW 51M0QTTNCGUN7KFCFZ59 20030NBE0 2578000.00000000 PA USD 3143876.72000000 0.008765880107 Long DBT CORP US N 2 2042-07-15 Fixed 0.04650000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FBW5 18365.08530000 PA USD 20284.03000000 0.000056556726 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 0.04500000 N N N N N N MOLINA HEALTHCARE INC 549300NQQCEQ46YHZ591 60855RAK6 850000.00000000 PA USD 865937.50000000 0.002414440826 Long DBT CORP US N 2 2030-11-15 Fixed 0.03875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WML58 399299.62280000 PA USD 431799.46000000 0.001203960153 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377YTR1 40809.22230000 PA USD 3339.56000000 0.000009311491 Long ABS-CBDO USGA US N 2 2040-05-20 Fixed 0.04500000 N N N N N N MERIT 2020 N/A 590027AA6 5774000.00000000 PA USD 5798943.10000000 0.016168840095 Long ABS-MBS CORP US N 2 2037-08-15 Variable 0.01251000 N N N N N N CSMC 2018-SITE N/A 12690CAJ2 1909000.00000000 PA USD 1730472.42000000 0.004824970924 Long ABS-MBS CORP US N 2 2036-04-15 Variable 0.04782040 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BN3 18275000.00000000 PA USD 22332497.19000000 0.062268342657 Long DBT CORP US N 2 2048-04-01 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M6XV4 37888.25830000 PA USD 40983.90000000 0.000114272913 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N ARAMARK SERVICES INC 42YMHYH0XMHJEXDUB065 038522AR9 1890000.00000000 PA USD 2008125.00000000 0.005599132713 Long DBT CORP US N 2 2025-05-01 Fixed 0.06375000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J6H31 97764.51100000 PA USD 104085.37000000 0.000290214902 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M7TA4 19204.78710000 PA USD 21483.03000000 0.000059899824 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N COMM 2006 FL12 N/A 12592LBK7 369041.39000000 PA USD 10658.03000000 0.000029717136 Long ABS-MBS CORP US N 2 2047-11-10 Variable 0.01004624 N N N N N N CSMC 2018-SITE N/A 12690CAG8 955000.00000000 PA USD 942959.93000000 0.002629197780 Long ABS-MBS CORP US N 2 2036-04-15 Variable 0.04782040 N N N N N N CITGO PETROLEUM CORP YX52P86PXMLYDOTUQ225 17302XAM8 660000.00000000 PA USD 676500.00000000 0.001886243775 Long DBT CORP US N 2 2026-06-15 Fixed 0.06375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213VXK9 481.59800000 PA USD 566.45000000 0.000001579398 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297AEG4 6598.32650000 PA USD 7538.50000000 0.000021019140 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JAFT0 7150343.52200000 PA USD 8074867.92000000 0.022514662748 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404VNW4 33966.39010000 PA USD 35920.90000000 0.000100156059 Long ABS-MBS USGSE US N 2 2035-02-01 Variable 0.02200000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QNLE7 51063.49440000 PA USD 54939.19000000 0.000153183599 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAK1 6629000.00000000 PA USD 7232725.04000000 0.020166567012 Long DBT CORP IE N 2 2024-01-16 Fixed 0.04875000 N N N N N N MORGAN STANLEY CAP I TR 2019-MEAD N/A 61771LAE2 1783000.00000000 PA USD 1835086.42000000 0.005116659773 Long ABS-MBS CORP US N 2 2036-11-10 Variable 0.03177097 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KA8 21445000.00000000 PA USD 24545215.73000000 0.068437931086 Long DBT CORP US N 2 2027-09-29 Fixed 0.04450000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295QLQ1 37604.51610000 PA USD 42798.94000000 0.000119333679 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HMHP9 129627.23560000 PA USD 142173.16000000 0.000396412768 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04000000 N N N N N N CIT MTG LN TR 2007-1 N/A 12559QAA0 147168.18000000 PA USD 147886.82000000 0.000412343819 Long ABS-CBDO CORP US N 2 2037-10-25 Variable 0.01441630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213JQU2 257.99290000 PA USD 301.40000000 0.000000840375 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J66F6 271911.72980000 PA USD 294164.20000000 0.000820200134 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178VBM2 4715.81620000 PA USD 5197.29000000 0.000014491287 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 0.04000000 N N N N N N SIMON PROPERTY GROUP LP MR92GTD0MJTTTTQDVG45 828807DF1 3008000.00000000 PA USD 3054311.32000000 0.008516150354 Long DBT CORP US N 2 2029-09-13 Fixed 0.02450000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EKK6 14535.66120000 PA USD 15468.98000000 0.000043131215 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380HZJ4 1060726.07120000 PA USD 1058770.52000000 0.002952105399 Long ABS-CBDO USGA US N 2 2047-10-20 Variable 0.00349250 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAM9 2150000.00000000 PA USD 2396838.88000000 0.006682959966 Long DBT CORP US N 2 2028-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36181BB90 7119.83670000 PA USD 7837.86000000 0.000021853827 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M5PK2 61915.78970000 PA USD 67847.82000000 0.000189175946 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377VGY6 48988.32000000 PA USD 9485.54000000 0.000026447953 Long ABS-CBDO USGA US N 2 2041-04-16 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H4AE4 133777.11500000 PA USD 142252.43000000 0.000396633792 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8LJ0 175109.73000000 PA USD 195777.48000000 0.000545874431 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YTL36 176034.12170000 PA USD 189206.68000000 0.000527553469 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HQKL5 55576.87970000 PA USD 60953.69000000 0.000169953463 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XYLA3 98040.65800000 PA USD 105618.46000000 0.000294489523 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290SK42 1556.70340000 PA USD 1753.09000000 0.000004888034 Long ABS-MBS USGA US N 2 2033-10-15 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31397GRY8 378148.01570000 PA USD 87031.94000000 0.000242665861 Long ABS-CBDO USGSE US N 2 2037-04-15 Variable 0.06659120 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FSGQ0 6032.51000000 PA USD 6640.41000000 0.000018515051 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M3Q8 5293.03540000 PA USD 5851.63000000 0.000016315743 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J2LR2 640132.95500000 PA USD 676465.81000000 0.001886148445 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.03000000 N N N N N N NEW JERSEY ECO DEV AUTH ST PEN N/A 645913AA2 11609000.00000000 PA USD 14891356.52000000 0.041520663029 Long DBT MUN US N 2 2029-02-15 Fixed 0.07425000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202F2M7 110989.02510000 PA USD 121792.24000000 0.000339585889 Long ABS-MBS USGA US N 2 2042-01-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KL52 4723.75650000 PA USD 5263.25000000 0.000014675199 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374PBR7 43.57580000 PA USD 48.17000000 0.000000134309 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07500000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAN8 3785000.00000000 PA USD 5358758.45000000 0.014941500027 Long DBT CORP US N 2 2038-07-01 Fixed 0.07300000 N N N N N N Fidelity Colchester Street Trust 549300SHPEJB1OPRCV46 31607A703 1553108800.80000000 NS USD 1553108800.80000000 4.330438740031 Long EC RF US N 1 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KPG7 293.42930000 PA USD 331.50000000 0.000000924301 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MVR8 175062.16030000 PA USD 186593.19000000 0.000520266434 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WGQ67 815660.98030000 PA USD 874000.81000000 0.002436923262 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y4TN9 68324.27400000 PA USD 72625.90000000 0.000202498376 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179KWP5 35580.00490000 PA USD 38423.52000000 0.000107133962 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138APXP8 9290.23070000 PA USD 10190.83000000 0.000028414471 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQFT4 577261.67170000 PA USD 624607.00000000 0.001741553681 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.03500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174467X1 21351000.00000000 PA USD 24766483.81000000 0.069054879406 Long DBT CORP US N 2 2025-11-24 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31396HU49 55477.23610000 PA USD 53688.83000000 0.000149697296 Long ABS-CBDO USGSE US N 2 2035-09-15 Fixed 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374UC61 176.89700000 PA USD 194.83000000 0.000000543232 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N VIRGIN MEDIA FINANCE PLC 2138001LVYC87DDHT482 92769VAJ8 636000.00000000 PA USD 633324.03000000 0.001765858845 Long DBT CORP GB N 2 2030-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EYWA5 482549.34230000 PA USD 515642.38000000 0.001437734263 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379J3G9 795.55910000 PA USD 913.71000000 0.000002547641 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M8UN1 29307.33210000 PA USD 31740.59000000 0.000088500355 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MRK67 617816.54820000 PA USD 643259.78000000 0.001793562092 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GET67 30817.32290000 PA USD 34351.47000000 0.000095780113 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MMXK4 572866.47500000 PA USD 604869.83000000 0.001686521731 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179AF92 106192.85640000 PA USD 116902.27000000 0.000325951484 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946RF5 19739.80160000 PA USD 22521.42000000 0.000062795104 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.05000000 N N N N N N DEUTSCHE BANK AG NEW YORK BNCH 7LTWFZYICNSX8D621K86 251526CA5 11778000.00000000 PA USD 12149813.44000000 0.033876585322 Long DBT CORP US N 2 2022-02-14 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213UQU7 94.74780000 PA USD 108.84000000 0.000000303471 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N AASET 2019-2 TR N/A 00038RAA4 8425548.35000000 PA USD 8439787.53000000 0.023532145886 Long ABS-CBDO CORP US N 2 2039-10-16 Fixed 0.03376000 N N N N N N CORE 2019 CORE MTG TR N/A 21871FAA6 582282.20000000 PA USD 582457.12000000 0.001624029736 Long ABS-MBS CORP US N 2 2031-12-15 Variable 0.00981000 N N N N N N CVR ENERGY INC 529900SOYZIXZBTXB558 12662PAB4 790000.00000000 PA USD 790000.00000000 0.002202708917 Long DBT CORP US N 2 2025-02-15 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5X81 3737561.89200000 PA USD 3919845.78000000 0.010929467408 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205C6T2 84.01000000 PA USD 93.18000000 0.000000259808 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374USL1 150.42900000 PA USD 165.43000000 0.000000461258 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 0.07000000 N N N N N N ARES XLI CLO LTD / ARES XLI CLO LLC 549300X38KZ67Q2FQG11 04016DAS4 11760000.00000000 PA USD 11762163.84000000 0.032795725536 Long ABS-CBDO CORP KY N 2 2034-04-15 Variable 0.01667900 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06053FAA7 1426000.00000000 PA USD 1540353.01000000 0.004294872544 Long DBT CORP US N 2 2023-07-24 Fixed 0.04100000 N N N N N N ALLEGRO CLO LTD N/A 01750WAC3 8250000.00000000 PA USD 8250000.00000000 0.023002972867 Long ABS-CBDO CORP KY N 2 2034-07-20 Variable 0.00000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QWF4 78191.53170000 PA USD 85509.16000000 0.000238419986 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 0.04000000 N N N N N N GLOBAL PARTNERS LP / GLP FIN CORP N/A 37954FAG9 1200000.00000000 PA USD 1269000.00000000 0.003538275462 Long DBT CORP US N 2 2027-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335CA87 1871792.58090000 PA USD 2067588.45000000 0.005764931032 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178WGU7 395837.90660000 PA USD 428338.73000000 0.001194310810 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NQ43 86858.58300000 PA USD 93910.96000000 0.000261846213 Long ABS-MBS USGA US N 2 2043-10-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AC3Z5 5352.68720000 PA USD 6124.94000000 0.000017077797 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FHX7 60805.87640000 PA USD 67314.12000000 0.000187687863 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31382UKG0 154.00950000 PA USD 177.07000000 0.000000493713 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 12633000.00000000 PA USD 13820642.86000000 0.038535257299 Long EP CORP GB N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HKA0 238.33370000 PA USD 268.76000000 0.000000749367 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31393MSV4 6717.02910000 PA USD 6951.61000000 0.000019382751 Long ABS-CBDO USGSE US N 2 2023-03-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCNG7 645486.34000000 PA USD 691826.77000000 0.001928978475 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378BAJ3 166.44880000 PA USD 189.81000000 0.000000529235 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HYK4 8274.93420000 PA USD 9156.06000000 0.000025529284 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NBB3 258894.18580000 PA USD 280481.12000000 0.000782048435 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2HM7 744169.85800000 PA USD 805968.63000000 0.002247233276 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GYQM4 79475.41290000 PA USD 86596.30000000 0.000241451192 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F5CP6 1187524.57670000 PA USD 1271562.25000000 0.003545419628 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417KXP7 6094.68870000 PA USD 6811.51000000 0.000018992118 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374SEK3 105.96020000 PA USD 116.88000000 0.000000325889 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ATFZ5 6831.85820000 PA USD 7773.43000000 0.000021674181 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N BERKSHIRE HATHAWAY ENERGY COMPANY 549300JD0S5IZJE9LY15 084659AT8 21459000.00000000 PA USD 23912812.19000000 0.066674638787 Long DBT CORP US N 2 2025-04-15 Fixed 0.04050000 N N N N N N TEGNA INC 549300YC5EDBGX85AO10 87901JAH8 115000.00000000 PA USD 117731.25000000 0.000328262878 Long DBT CORP US N 2 2029-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H4BW3 53673.61620000 PA USD 57803.29000000 0.000161169395 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HYM1 8716.09160000 PA USD 10147.30000000 0.000028293098 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.06000000 N N N N N N WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 958667AB3 475000.00000000 PA USD 495187.50000000 0.001380701166 Long DBT CORP US N 2 2025-02-01 Variable 0.04350000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179WBX5 26099070.46100000 PA USD 26579021.93000000 0.074108669127 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376YG34 195.65970000 PA USD 219.72000000 0.000000612631 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BT24 229.40570000 PA USD 266.52000000 0.000000743121 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402EZC5 62307.50300000 PA USD 68955.60000000 0.000192264702 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N WR GRACE and CO - CONN 549300GJVOEHHLSO6K25 383909AF5 1254000.00000000 PA USD 1379400.00000000 0.003846097063 Long DBT CORP US N 2 2024-10-01 Fixed 0.05625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31381DHY4 1428.36020000 PA USD 1568.03000000 0.000004372042 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHLP5 6142672.90870000 PA USD 6523650.08000000 0.018189496459 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03000000 N N N N N N FORD CR FLOORPLN MAST OWN TR A 5493001DTG5N7T8BG747 34528QHF4 1300000.00000000 PA USD 1376133.20000000 0.003836988443 Long ABS-CBDO CORP US N 2 2026-09-15 Fixed 0.02440000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GFUJ4 19151.74820000 PA USD 21348.08000000 0.000059523552 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385JK23 220.41500000 PA USD 259.88000000 0.000000724607 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VBV5 97338.24720000 PA USD 107739.21000000 0.000300402681 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HCG7 6.27000000 PA USD 7.33000000 0.000000020437 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NXAL1 18832.68290000 PA USD 20065.45000000 0.000055947272 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407NF24 3259.54820000 PA USD 3862.04000000 0.000010768291 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A2J8 184.10920000 PA USD 207.09000000 0.000000577416 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMEJ7 5034.97920000 PA USD 5730.48000000 0.000015977948 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EXCQ4 1674702.23600000 PA USD 1754285.43000000 0.004891367290 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176LGA7 12035.92740000 PA USD 13336.24000000 0.000037184626 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AAV96 16421.23440000 PA USD 18536.78000000 0.000051684975 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JVPR7 1019625.33500000 PA USD 1075172.48000000 0.002997837986 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W6CK0 163850.97510000 PA USD 177187.15000000 0.000494040145 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HQBW1 67101.97580000 PA USD 73593.79000000 0.000205197085 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207UB80 342.65560000 PA USD 379.85000000 0.000001059112 Long ABS-MBS USGA US N 2 2026-10-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292LW50 31429.46980000 PA USD 33409.94000000 0.000093154902 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WN2J0 193899.57200000 PA USD 213113.97000000 0.000594212711 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371G2G4 223.68610000 PA USD 254.09000000 0.000000708463 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FP7A1 19996.68000000 PA USD 21936.77000000 0.000061164960 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YMPQ6 8588.24490000 PA USD 9147.74000000 0.000025506086 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03000000 N N N N N N BX TR 2018-IND N/A 056059AG3 3999800.00000000 PA USD 4001007.94000000 0.011155766919 Long ABS-MBS CORP US N 2 2035-11-15 Variable 0.01001000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YM55 14.62360000 PA USD 15.12000000 0.000000042158 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BL3 8376000.00000000 PA USD 8758637.63000000 0.024421176213 Long DBT CORP US N 2 2029-10-01 Fixed 0.03625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GYGZ6 14639.65700000 PA USD 15466.36000000 0.000043123910 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WGNE3 61966.47830000 PA USD 66417.97000000 0.000185189183 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311VAF4 2748000.00000000 PA USD 2872264.56000000 0.008008560453 Long DBT CORP US N 2 2044-04-01 Fixed 0.05600000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179AGC4 8355.13000000 PA USD 8994.14000000 0.000025077813 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PQM1 16664.04340000 PA USD 18464.36000000 0.000051483051 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W3QL0 117279.87050000 PA USD 124627.03000000 0.000347489962 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396WJV9 36932.93720000 PA USD 76181.17000000 0.000212411319 Long ABS-CBDO USGSE US N 2 2037-06-25 Variable 0.40070220 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292G4T0 626.51320000 PA USD 709.52000000 0.000001978311 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HEF7 20.12210000 PA USD 23.72000000 0.000000066137 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MMW33 242160.51100000 PA USD 253435.55000000 0.000706638918 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04M7 141397.11900000 PA USD 160884.55000000 0.000448584598 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GCX6 114.58770000 PA USD 129.70000000 0.000000361634 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BJA5 18935.10850000 PA USD 20028.21000000 0.000055843438 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362205SH0 39.89000000 PA USD 40.88000000 0.000000113983 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q85T8 2413534.34800000 PA USD 2615445.08000000 0.007292486328 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.03500000 N N N N N N CITIGROUP COML MTG TR 2017 N/A 17325HBQ6 740000.00000000 PA USD 799547.95000000 0.002229330884 Long ABS-MBS CORP US N 2 2050-04-14 Fixed 0.03509000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201E3P3 296.25970000 PA USD 347.93000000 0.000000970112 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296WBC9 21797.05700000 PA USD 24061.82000000 0.000067090108 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.04000000 N N N N N N BOSTON PPTY LTD PARTNERSHIP BVHHEFJI6SHNOKQT2572 10112RBA1 4766000.00000000 PA USD 5484840.20000000 0.015293046097 Long DBT CORP US N 2 2028-12-01 Fixed 0.04500000 N N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 28370TAE9 1456000.00000000 PA USD 1461580.88000000 0.004075237009 Long DBT CORP US N 2 2021-10-01 Fixed 0.05000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAB2 11995000.00000000 PA USD 12862813.30000000 0.035864599435 Long DBT CORP US N 2 2046-06-01 Fixed 0.04375000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A 349.00000000 NC USD 81255.05000000 0.000226558510 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2021-09-30 43142940.26000000 USD 81255.05000000 N N N ENLINK MIDSTRM PRTNRS LP 88CPW63VL7KHJWS0NY83 29336UAC1 490000.00000000 PA USD 438197.20000000 0.001221798582 Long DBT CORP US N 2 2044-04-01 Fixed 0.05600000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JNYA9 123173.73240000 PA USD 135018.07000000 0.000376462666 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JQTN3 4982394.68800000 PA USD 5229908.10000000 0.014582234439 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176VUE1 157137.52150000 PA USD 169563.72000000 0.000472784200 Long ABS-MBS USGA US N 2 2045-03-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FVE5 18509.22760000 PA USD 19819.15000000 0.000055260529 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N BX TR 2018-IND N/A 056059AQ1 2356900.00000000 PA USD 2357607.54000000 0.006573573609 Long ABS-MBS CORP US N 2 2035-11-15 Variable 0.01901000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENH69 166354.00030000 PA USD 174444.58000000 0.000486393204 Long ABS-MBS USGSE US N 2 2043-07-01 Variable 0.02235000 N N N N N N BX COML MTG TR 2019 N/A 05608FAA9 2254000.00000000 PA USD 2256117.63000000 0.006290595470 Long ABS-MBS CORP US N 2 2032-11-15 Variable 0.00977000 N N N N N N LENNAR CORP 529900G61XVRLX5TJX09 526057CV4 12243000.00000000 PA USD 14188412.70000000 0.039560687560 Long DBT CORP US N 2 2027-06-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KP58 29042.15110000 PA USD 31983.33000000 0.000089177172 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410G4C4 33828.82650000 PA USD 40389.76000000 0.000112616309 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 0.06000000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AM0 13375000.00000000 PA USD 15014079.77000000 0.041862844797 Long DBT CORP US N 2 2027-02-09 Fixed 0.04100000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M65A4 39880.34430000 PA USD 43640.45000000 0.000121680010 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335CA79 7885338.81200000 PA USD 8653138.19000000 0.024127018545 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335BNW2 1989386.81090000 PA USD 2140975.30000000 0.005969551119 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208KJZ3 174.86740000 PA USD 201.05000000 0.000000560575 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193NX21 226522.79950000 PA USD 245056.62000000 0.000683276458 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N BX TRUST N/A 05607QAU2 5631889.05000000 PA USD 5631886.23000000 0.015703045592 Long ABS-MBS CORP US N 2 2036-12-15 Variable 0.01701000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LDS8 140.94840000 PA USD 147.36000000 0.000000410874 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 3110000.00000000 NC USD 25884.22000000 0.000072171395 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S13 PRC INDX CY451600 Y 2072-12-16 8796.91000000 USD 0.00000000 USD 3110000.00000000 USD 17087.31000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MH42 550.25870000 PA USD 655.42000000 0.000001827467 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296Q6K0 427114.51670000 PA USD 482465.74000000 0.001345229857 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312940RF8 4996.93480000 PA USD 5569.99000000 0.000015530464 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GFYG6 21613.05000000 PA USD 24091.65000000 0.000067173281 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131Y0E65 161687.44800000 PA USD 174607.52000000 0.000486847520 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RFJ7 377.31320000 PA USD 438.28000000 0.000001222029 Long ABS-MBS USGA US N 2 2030-01-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M7ME3 130799.38800000 PA USD 146199.13000000 0.000407638135 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N BRANDYWINE OPER PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AQ6 4382000.00000000 PA USD 4747984.38000000 0.013238515862 Long DBT CORP US N 2 2027-11-15 Fixed 0.03950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206ABL6 827.89850000 PA USD 913.99000000 0.000002548422 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HHGK5 658122.58400000 PA USD 713385.27000000 0.001989088728 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293NPA2 569.27700000 PA USD 637.98000000 0.000001778840 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E6YX8 36361.69170000 PA USD 39886.61000000 0.000111213406 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412UYR5 2398.95300000 PA USD 2681.72000000 0.000007477276 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.04500000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 035240AQ3 11220000.00000000 PA USD 13228774.05000000 0.036884985520 Long DBT CORP US N 2 2029-01-23 Fixed 0.04750000 N N N N N N TANGER PROPERTIES LP PQPGJDNFN35EXH363L31 875484AK3 11191000.00000000 PA USD 11949634.42000000 0.033318438344 Long DBT CORP US N 2 2027-07-15 Fixed 0.03875000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WMXA7 55584.41760000 PA USD 60284.52000000 0.000168087657 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FPTR0 10347.49000000 PA USD 11237.41000000 0.000031332586 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.04000000 N N N N N N VOLKSWAGEN GROUP AMER FIN LLC 5493002SQ1AVQBY41K40 928668BD3 9168000.00000000 PA USD 9645136.92000000 0.026892948227 Long DBT CORP US N 2 2023-05-12 Fixed 0.03125000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WDLS1 15642.21600000 PA USD 16706.64000000 0.000046582107 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31397QKY3 310699.79660000 PA USD 372908.20000000 0.001039757237 Long ABS-CBDO USGSE US N 2 2041-02-25 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36183RCZ4 138564.93270000 PA USD 147790.38000000 0.000412074921 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QSP77 32990.89800000 PA USD 35881.06000000 0.000100044975 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210E7C7 113.27840000 PA USD 129.40000000 0.000000360798 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N DISNEY (WALT) CO 549300GZKULIZ0WOW665 254687FW1 10316000.00000000 PA USD 10610104.00000000 0.029583507204 Long DBT CORP US N 2 2028-01-13 Fixed 0.02200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31377YTJ4 148.03230000 PA USD 167.99000000 0.000000468396 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AU2T3 31422.20430000 PA USD 34468.29000000 0.000096105835 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378QGV7 218.33690000 PA USD 250.09000000 0.000000697310 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31382UR24 131.76910000 PA USD 145.99000000 0.000000407055 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.07000000 N N N N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 225433AC5 9717000.00000000 PA USD 10557173.99000000 0.029435925678 Long DBT CORP CH N 2 2025-03-26 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EUJ91 82084.40830000 PA USD 90150.88000000 0.000251362211 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GFLK1 32862.77590000 PA USD 37483.33000000 0.000104512487 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401WGN3 2392.44850000 PA USD 2879.91000000 0.000008029877 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QAWX4 273640.81300000 PA USD 299911.15000000 0.000836224005 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205BVM1 41.05150000 PA USD 44.65000000 0.000000124494 Long ABS-MBS USGA US N 2 2024-10-15 Fixed 0.08000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377NRP1 365926.62730000 PA USD 397207.90000000 0.001107510611 Long ABS-CBDO USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GVC26 119039.14200000 PA USD 128855.36000000 0.000359279557 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RL44 183.05370000 PA USD 194.76000000 0.000000543037 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BHF8 204.25590000 PA USD 233.33000000 0.000000650579 Long ABS-MBS USGA US N 2 2030-01-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31397J7J7 133148.37830000 PA USD 27409.73000000 0.000076424881 Long ABS-CBDO USGSE US N 2 2037-06-15 Variable 0.06479120 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FMB9 75057.99620000 PA USD 83091.69000000 0.000231679501 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GNC7 532.44050000 PA USD 597.33000000 0.000001665498 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207JXS7 155.97340000 PA USD 175.44000000 0.000000489168 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207RGE9 100.42590000 PA USD 113.52000000 0.000000316520 Long ABS-MBS USGA US N 2 2027-02-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417TGA0 11390.23640000 PA USD 12738.38000000 0.000035517649 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A8MT7 2977.96070000 PA USD 3409.09000000 0.000009505358 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287XG59 3277.88760000 PA USD 3831.83000000 0.000010684058 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJB82 4299.51120000 PA USD 4915.00000000 0.000013704195 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212FWA8 447.56390000 PA USD 522.86000000 0.000001457858 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TAL9 1300642.87430000 PA USD 1395843.82000000 0.003891946365 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416YU55 13645.11110000 PA USD 14604.16000000 0.000040719890 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.04500000 N N N N N N BAYVIEW COML ASST TR 2007 2 N/A 07325XAC4 49200.18000000 PA USD 44075.22000000 0.000122892253 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.00461630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A9AV6 25724.91000000 PA USD 28662.90000000 0.000079919019 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31339NNM4 6377.40140000 PA USD 6500.08000000 0.000018123777 Long ABS-CBDO USGSE US N 2 2031-06-15 Variable 0.01000880 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297JPL2 33211.11330000 PA USD 37973.73000000 0.000105879840 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31298GCJ7 26928.63380000 PA USD 31303.56000000 0.000087281811 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378UQY6 1757531.10420000 PA USD 1815138.40000000 0.005061039923 Long ABS-CBDO USGA US N 2 2040-05-20 Fixed 0.02500000 N N N N N N SCRIPPS ESCROW II INC N/A 81105DAA3 225000.00000000 PA USD 218812.50000000 0.000610101575 Long DBT CORP US N 2 2029-01-15 Fixed 0.03875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X3EP3 2546005.24700000 PA USD 2753229.96000000 0.007676663523 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C6EG6 11116.19500000 PA USD 12256.94000000 0.000034175279 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133T3TD0 4785.94000000 PA USD 5118.75000000 0.000014272299 Long ABS-CBDO USGSE US N 2 2024-01-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210APZ4 83.49030000 PA USD 93.81000000 0.000000261564 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207J2V4 96.64050000 PA USD 109.86000000 0.000000306315 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YKP56 69963.42100000 PA USD 75242.48000000 0.000209794027 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RLQ0 4013251.29700000 PA USD 4370022.92000000 0.012184668928 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M7LC8 20178.78000000 PA USD 22981.24000000 0.000064077192 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HKA9 86149.71130000 PA USD 95030.96000000 0.000264969041 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MVB0 931.37050000 PA USD 1026.62000000 0.000002862462 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M8C28 48229.56760000 PA USD 57235.88000000 0.000159587320 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207KGJ3 146.09440000 PA USD 154.34000000 0.000000430336 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F3FC7 400127.38580000 PA USD 427567.96000000 0.001192161719 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401JFK9 72004.67410000 PA USD 81664.25000000 0.000227699457 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M9P63 1147162.31930000 PA USD 1258548.45000000 0.003509134042 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ERNP1 705820.17800000 PA USD 746728.74000000 0.002082058296 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y8SB7 103500.76650000 PA USD 112660.89000000 0.000314125502 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04000000 N N N N N N DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC N/A 26246BAA2 9656000.00000000 PA USD 9689322.86000000 0.027016149194 Long ABS-CBDO CORP KY N 2 2032-10-15 Variable 0.01533750 N N N N N N DEUTSCHE BANK AG NEW YORK BNCH 7LTWFZYICNSX8D621K86 251526BZ1 8332000.00000000 PA USD 9179397.06000000 0.025594354122 Long DBT CORP US N 2 2026-01-13 Fixed 0.04100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390RBY8 2240.17980000 PA USD 2679.04000000 0.000007469804 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WJSS1 97559.54140000 PA USD 107067.10000000 0.000298528678 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.04500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -60000000.00000000 NC USD -1866835.80000000 -0.00520518463 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2031-05-13 0.00000000 USD 0.00000000 USD -60000000.00000000 USD 1.00000000 2.37000000 USD 2026-05-11 XXXX 137164.20000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFGY7 77036.22730000 PA USD 83330.44000000 0.000232345193 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EFB0 230050.08770000 PA USD 253609.79000000 0.000707124741 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AXJ2 84425.52890000 PA USD 89299.33000000 0.000248987886 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 0.03000000 N N N N N N PRESTIGE BRANDS INC 549300JBVP4J6D42I235 74112BAM7 340000.00000000 PA USD 326400.00000000 0.000910081253 Long DBT CORP US N 2 2031-04-01 Fixed 0.03750000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H030666 122700000.00000000 PA USD 128013106.32000000 0.356931152894 Long ABS-MBS USGA US N 2 2051-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375RPQ9 433.37470000 PA USD 475.06000000 0.000001324580 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M3AY3 63343.03000000 PA USD 69513.25000000 0.000193819564 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36184HKH6 10214.92000000 PA USD 10799.25000000 0.000030110891 Long ABS-MBS USGA US N 2 2045-04-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WN2K7 505805.82190000 PA USD 550156.39000000 0.001533967577 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378PWF6 50.34410000 PA USD 57.40000000 0.000000160044 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YDVB2 97333.83950000 PA USD 103461.87000000 0.000288476434 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YR3Y2 1609224.96050000 PA USD 1726122.44000000 0.004812842139 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MHFU2 41698.19300000 PA USD 44375.59000000 0.000123729756 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JMZ44 68663.82930000 PA USD 75263.83000000 0.000209853556 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CY9 3942000.00000000 PA USD 3311280.00000000 0.009232640484 Long DBT CORP US N 2 2049-08-15 Fixed 0.04400000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300LC29 4423.07250000 PA USD 4665.04000000 0.000013007247 Long ABS-MBS USGSE US N 2 2037-02-01 Variable 0.02095000 N N N N N N CONSOLIDATED EDISON CO OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 209111FY4 2477000.00000000 PA USD 2735531.48000000 0.007627315928 Long DBT CORP US N 2 2050-04-01 Fixed 0.03950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQPN7 109180.00630000 PA USD 124261.38000000 0.000346470442 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374F6L8 560.39350000 PA USD 616.52000000 0.000001719005 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C03D8 53617.26730000 PA USD 61006.83000000 0.000170101630 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N LANARK MASTER ISSUER PLC 213800KIOPB5OYXIVY33 513770BE6 7887000.00000000 PA USD 8085925.91000000 0.022545495068 Long ABS-CBDO CORP GB N 2 2069-12-22 Variable 0.02277000 N N N N N N CHC COML MTG TR 2019-CHC N/A 162665AA1 28366696.32260000 PA USD 28375268.74000000 0.079117034780 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.01221000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 12300000.00000000 NC USD 450240.64000000 0.001255378572 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Put Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2029-06-10 0.00000000 USD 0.00000000 USD 12300000.00000000 USD 1.00000000 2.31300000 USD 2024-06-06 XXXX 92372.14000000 N N N TRINET GROUP INC 5299003FJVBETSFKE990 896288AA5 405000.00000000 PA USD 393862.50000000 0.001098182836 Long DBT CORP US N 2 2029-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NY4L6 350912.29360000 PA USD 365583.06000000 0.001019332995 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J8DV9 18420.60000000 PA USD 19634.59000000 0.000054745932 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MMXM0 619430.12000000 PA USD 648077.34000000 0.001806994602 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335GC45 35.08000000 PA USD 37.10000000 0.000000103443 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385QRX2 169.05890000 PA USD 199.31000000 0.000000555723 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 0.07500000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAN6 6130000.00000000 PA USD 6759233.65000000 0.018846359788 Long DBT CORP US N 2 2029-06-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TKM0 323.69210000 PA USD 364.55000000 0.000001016452 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HP2L7 13494.28110000 PA USD 14438.43000000 0.000040257795 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N ENDEAVOR ENERGY RES L P / EER FIN INC N/A 29260FAE0 435000.00000000 PA USD 460047.30000000 0.001282721886 Long DBT CORP US N 2 2028-01-30 Fixed 0.05750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224TGW4 48.32000000 PA USD 50.30000000 0.000000140248 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224VQP3 20.63000000 PA USD 21.04000000 0.000000058664 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J75K4 26630.36900000 PA USD 29198.42000000 0.000081412177 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.04000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KU4 6909000.00000000 PA USD 7773563.86000000 0.021674554976 Long DBT CORP US N 2 2028-07-25 Fixed 0.04125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210JG44 316.84040000 PA USD 366.74000000 0.000001022558 Long ABS-MBS USGA US N 2 2030-10-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AVP2 184.84970000 PA USD 208.11000000 0.000000580260 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297JKL7 3647.40410000 PA USD 4169.80000000 0.000011626399 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375AXH7 180.13670000 PA USD 198.73000000 0.000000554106 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KQ87 1072.72040000 PA USD 1271.37000000 0.000003544883 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AVUY9 98247.61970000 PA USD 107771.79000000 0.000300493522 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LW9 4606000.00000000 PA USD 5191147.58000000 0.014474160840 Long DBT CORP US N 2 2029-04-23 Variable 0.04075000 N N N N N N TRIVIUM PACKAGING FINANCE BV 724500GMZWW3PVYET548 89686QAA4 485000.00000000 PA USD 505612.50000000 0.001409768559 Long DBT CORP NL N 2 2026-08-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417YP43 11779.89860000 PA USD 12434.74000000 0.000034671028 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 0.04500000 N N N N N N BAYVIEW COML ASSET TR 2007 3 N/A 07325YAD0 31209.69000000 PA USD 27683.21000000 0.000077187409 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.00431630 N N N N N N COMM 2014-LC17 MTG TR N/A 12592MBL3 1216860.42000000 PA USD 23813.47000000 0.000066397649 Long ABS-MBS CORP US N 2 2047-10-10 Variable 0.00720445 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FREY7 137917.13740000 PA USD 150231.22000000 0.000418880566 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207JVH3 325.83820000 PA USD 363.12000000 0.000001012465 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J6EZ6 1253593.11700000 PA USD 1304043.97000000 0.003635986431 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 0.02500000 N N N N N N ALIBABA GROUP HOLDING LTD 5493001NTNQJDH60PM02 01609WAY8 12255000.00000000 PA USD 11330973.00000000 0.031593462361 Long DBT CORP KY N 2 2041-02-09 Fixed 0.02700000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JNTX5 181671.73800000 PA USD 196539.23000000 0.000547998372 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A9UP0 295563.88000000 PA USD 311979.94000000 0.000869874678 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MC32 307317.38400000 PA USD 340114.48000000 0.000948320503 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 0.04500000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DH0 3208000.00000000 PA USD 3557762.14000000 0.009919891633 Long DBT CORP US N 2 2027-04-01 Fixed 0.03625000 N N N N N N PRUDENTIAL FINL INC 5PRBRS5FEH7NREC8OR45 74432QBT1 1288000.00000000 PA USD 1312992.55000000 0.003660937212 Long DBT CORP US N 2 2021-11-16 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31296MEE5 4554.15480000 PA USD 5174.64000000 0.000014428133 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QXAB3 49037.23590000 PA USD 52713.17000000 0.000146976923 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N FAHB 2021-HB1 N/A 31735RAA5 7540137.44000000 PA USD 7544829.67000000 0.021036789356 Long ABS-CBDO CORP US N 2 2031-02-25 Variable 0.00875400 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375AAJ8 77.19100000 PA USD 85.27000000 0.000000237753 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 0.07000000 N N N N N N LENNAR CORP 529900G61XVRLX5TJX09 526057CT9 2965000.00000000 PA USD 3424575.00000000 0.009548534037 Long DBT CORP US N 2 2026-06-01 Fixed 0.05250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297R4W4 829.82150000 PA USD 945.32000000 0.000002635778 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AA6R1 779689.56510000 PA USD 780210.16000000 0.002175412502 Long ABS-CBDO USGSE US N 2 2043-01-25 Variable 0.00391630 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131XXEW7 113902.32100000 PA USD 120859.43000000 0.000336984992 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FP91 5169.19260000 PA USD 5548.01000000 0.000015469178 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200YMP9 270.67680000 PA USD 315.79000000 0.000000880498 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38376MAY3 1627634.58100000 PA USD 1716789.57000000 0.004786819866 Long ABS-CBDO USGA US N 2 2044-01-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YZK8 20.02350000 PA USD 20.88000000 0.000000058218 Long ABS-MBS USGA US N 2 2023-01-15 Fixed 0.09000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KBD6 43609.79590000 PA USD 48166.55000000 0.000134299859 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N ARES LV CLO LTD N/A 04018BAA5 8740000.00000000 PA USD 8762356.92000000 0.024431546483 Long ABS-CBDO CORP KY N 2 2031-04-15 Variable 0.01883750 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36294QLV1 2327.16650000 PA USD 2565.49000000 0.000007153199 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A6DP2 16086.30930000 PA USD 17645.72000000 0.000049200487 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RUU8 2947593.48040000 PA USD 2928842.66000000 0.008166313726 Long ABS-CBDO USGA US N 2 2066-05-20 Variable 0.00570000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385QVT6 678.52040000 PA USD 757.04000000 0.000002110808 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312939JD4 6174.82100000 PA USD 6882.95000000 0.000019191310 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210RTU4 597.07640000 PA USD 686.58000000 0.000001914349 Long ABS-MBS USGA US N 2 2029-11-15 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376XVJ4 1226.12570000 PA USD 1382.42000000 0.000003854517 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292HP57 6732.00000000 PA USD 7808.98000000 0.000021773303 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945SK5 12313.52120000 PA USD 13602.82000000 0.000037927915 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HXM2 1772.10830000 PA USD 2008.85000000 0.000005601154 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MY35 4785.14600000 PA USD 5324.83000000 0.000014846899 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201JFA2 258.79150000 PA USD 299.78000000 0.000000835858 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389YU58 480.77000000 PA USD 569.27000000 0.000001587260 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.07500000 N N N N N N SERVICE PPTYS TR 529900IS770AG1K9QG27 44106MAX0 40000.00000000 PA USD 35800.00000000 0.000099818961 Long DBT CORP US N 2 2028-01-15 Fixed 0.03950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8W27 165351.85530000 PA USD 179430.82000000 0.000500296034 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9DU2 287766.97800000 PA USD 306537.73000000 0.000854700495 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296YGC0 17373.86430000 PA USD 19891.45000000 0.000055462119 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176K2B2 17769.04230000 PA USD 19588.79000000 0.000054618230 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HHTC9 411366.22100000 PA USD 434214.12000000 0.001210692802 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413ECS2 7362.91450000 PA USD 8777.38000000 0.000024473434 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M4PV9 2343.41290000 PA USD 2599.99000000 0.000007249393 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VN30 5313640.02500000 PA USD 5554046.10000000 0.015486008696 Long ABS-MBS USGA US N 2 2050-06-20 Fixed 0.03000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCG5 4256000.00000000 PA USD 4544173.76000000 0.012670243116 Long DBT CORP MX N 2 2027-03-13 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FMVG8 120687.14950000 PA USD 131217.47000000 0.000365865685 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392CHM9 3191.09200000 PA USD 3244.75000000 0.000009047138 Long ABS-CBDO USGSE US N 2 2032-02-25 Variable 0.00891630 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311RAH9 4466000.00000000 PA USD 4086390.00000000 0.011393832520 Long DBT CORP US N 2 2043-05-21 Variable 0.05850000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293PXU4 521.07040000 PA USD 592.47000000 0.000001651948 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946ZF6 453789.59450000 PA USD 505830.41000000 0.001410376145 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N MACK-CALI REALTY LP 549300MJC9VNA6VSEE11 55448QAS5 3573000.00000000 PA USD 3741120.37000000 0.010431138226 Long DBT CORP US N 2 2023-05-15 Fixed 0.03150000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XXWB1 30188.13650000 PA USD 32323.34000000 0.000090125201 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN N/A 87612BBR2 1705000.00000000 PA USD 1781725.00000000 0.004967875373 Long DBT CORP US N 2 2031-02-01 Fixed 0.04875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BMV7 213.55930000 PA USD 242.77000000 0.000000676900 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TVL0 393.85630000 PA USD 449.58000000 0.000001253536 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M5F0 798.99230000 PA USD 892.55000000 0.000002488642 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YM71 3.13390000 PA USD 3.25000000 0.000000009061 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.08000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2012-C6 N/A 46634SAF2 600000.00000000 PA USD 615121.26000000 0.001715105170 Long ABS-MBS CORP US N 2 2045-05-15 Fixed 0.04116600 N N N N N N ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC N/A 013092AC5 125000.00000000 PA USD 129375.00000000 0.000360728438 Long DBT CORP US N 2 2027-01-15 Fixed 0.04625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402EWV6 26279.63200000 PA USD 29082.53000000 0.000081089048 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032666 399975000.00000000 PA USD 422210010.23000000 1.177222473909 Long ABS-MBS USGA US N 2 2051-06-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9VX6 1354.92310000 PA USD 1531.30000000 0.000004269630 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QWYP8 120411.23050000 PA USD 127965.81000000 0.000356799279 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FMH7 359.42430000 PA USD 418.47000000 0.000001166794 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208FNR7 91.16510000 PA USD 103.67000000 0.000000289056 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020661 -444100000.00000000 PA USD -448707004.58000000 -1.25110243052 Short ABS-MBS USGA US N 2 2051-06-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FYUT1 51500000.00000000 PA USD 51536266.30000000 0.143695434593 Long ABS-MBS USGSE US N 2 2031-03-25 Variable 0.00250000 N N N N N N FNMA STRIPPED MTG BKD SECS N/A 3136FER61 127209.90020000 PA USD 22809.00000000 0.000063596946 Long ABS-CBDO USGSE US N 2 2037-07-25 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405YQ53 2285.49560000 PA USD 2712.72000000 0.000007563712 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375UKG4 399272.73160000 PA USD 401186.25000000 0.001118603202 Long ABS-CBDO USGA US N 2 2064-06-20 Variable 0.00610380 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VFP0 3218783.35800000 PA USD 3367932.12000000 0.009390600142 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AMF2 45917.03440000 PA USD 48149.98000000 0.000134253658 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FJ37 24860.98800000 PA USD 27417.69000000 0.000076447076 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ALSH1 3997.21080000 PA USD 4121.21000000 0.000011490919 Long ABS-MBS USGSE US N 2 2041-10-01 Variable 0.02330000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQPL0 3365937.36920000 PA USD 3692233.02000000 0.010294828603 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.04000000 N N N N N N PROVIDENT FDG MTG TR 2019-1 N/A 74387LAE1 205409.14990000 PA USD 205252.92000000 0.000572294224 Long ABS-CBDO CORP US N 2 2049-12-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389SRP1 74.57250000 PA USD 86.03000000 0.000000239872 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224XKB6 145.21560000 PA USD 150.51000000 0.000000419657 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N WYNDHAM HOTELS and RESORTS INC 549300FE3MQ4RVXXC673 98311AAB1 290000.00000000 PA USD 296525.00000000 0.000826782609 Long DBT CORP US N 2 2028-08-15 Fixed 0.04375000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307RCV5 42252.97570000 PA USD 45019.47000000 0.000125525048 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YVEA3 85991.63190000 PA USD 91405.57000000 0.000254860587 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GJY7 2684.83980000 PA USD 3065.68000000 0.000008547848 Long ABS-MBS USGA US N 2 2038-07-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9CS7 14685.86610000 PA USD 15876.59000000 0.000044267729 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N Fidelity Salem Street Trust S4W85DGKOEJ24DPRB829 315912105 48995590.01000000 NS USD 548260652.21000000 1.528681806929 Long EC RF US N 1 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CRE6 16262.95280000 PA USD 17699.76000000 0.000049351163 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04500000 N N N N N N ENLINK MIDSTREAM LLC 54930000GY1H533OBE23 29336TAC4 105000.00000000 PA USD 109299.75000000 0.000304753840 Long DBT CORP US N 2 2028-01-15 Fixed 0.05625000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128KG6J2 13815.11840000 PA USD 16371.59000000 0.000045647907 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.07000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CF4 2548000.00000000 PA USD 3019398.32000000 0.008418804561 Long DBT CORP GB N 2 2030-03-31 Fixed 0.04950000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J6FQ2 21736.86500000 PA USD 23840.66000000 0.000066473461 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419DJQ5 12483.69590000 PA USD 13909.43000000 0.000038782817 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378YG78 2893488.33880000 PA USD 3071384.34000000 0.008563754016 Long ABS-CBDO USGA US N 2 2044-01-20 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377LAL2 115951.80160000 PA USD 125607.03000000 0.000350222436 Long ABS-CBDO USGA US N 2 2040-09-16 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EMS7 17014.91460000 PA USD 18080.84000000 0.000050413705 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204NCR6 202.36040000 PA USD 220.14000000 0.000000613802 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VN48 71989322.19100000 PA USD 75652232.49000000 0.210936515314 Long ABS-MBS USGA US N 2 2050-06-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H020667 -192400000.00000000 PA USD -195718130.40000000 -0.54570895070 Short ABS-MBS USGA US N 2 2051-06-01 Fixed 0.02000000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EAW5 6102000.00000000 PA USD 6845407.82000000 0.019086633981 Long DBT CORP GB N 2 2028-05-09 Fixed 0.04836000 N N N N N N QATAR ST 52990074F6OJOAXK4P65 74727PBC4 4110000.00000000 PA USD 4485808.13000000 0.012507505782 Long DBT NUSS QA N 2 2025-04-16 Fixed 0.03400000 N N N N N N AASET 2019-1 TRUST 549300TXM3PCKZJKD061 00256DAA0 4903083.61070000 PA USD 4919631.52000000 0.013717109136 Long ABS-CBDO CORP US N 2 2039-05-15 Fixed 0.03844000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F1ZN5 18984.33000000 PA USD 20605.17000000 0.000057452141 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213DGZ5 214.19610000 PA USD 249.90000000 0.000000696780 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 0.07000000 N N N N N N NEW YORK LIFE INSURANCE CO TAE73CY392TBWJ3O3305 64952GAT5 3182000.00000000 PA USD 3391968.09000000 0.009457618174 Long DBT CORP US N 2 2050-05-15 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407HF68 2970.65320000 PA USD 3506.34000000 0.000009776514 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WMW64 68623.86900000 PA USD 74209.31000000 0.000206913302 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EBDP7 47247.15070000 PA USD 51812.55000000 0.000144465779 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0XX1 190195.17680000 PA USD 216467.43000000 0.000603562959 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N AFFRM 2021-A N/A 00833MAA2 4062000.00000000 PA USD 4069496.83000000 0.011346730323 Long ABS-CBDO CORP US N 2 2025-08-15 Fixed 0.00880000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137AC7K9 723992.58130000 PA USD 844313.49000000 0.002354147915 Long ABS-CBDO USGSE US N 2 2041-06-15 Fixed 0.05500000 N N N N N N BX TR 2018-IND N/A 056059AJ7 893200.00000000 PA USD 893468.76000000 0.002491204562 Long ABS-MBS CORP US N 2 2035-11-15 Variable 0.01201000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AN5T3 29024.81960000 PA USD 32826.84000000 0.000091529079 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JM2S7 58663.28920000 PA USD 64302.03000000 0.000179289436 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N CVR ENERGY INC 529900SOYZIXZBTXB558 12662PAD0 105000.00000000 PA USD 105262.50000000 0.000293497021 Long DBT CORP US N 2 2028-02-15 Fixed 0.05750000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137A5SJ4 39310.39390000 PA USD 435.81000000 0.000001215142 Long ABS-CBDO USGSE US N 2 2038-03-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3129444V0 25228.73050000 PA USD 28121.97000000 0.000078410777 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ADCC4 2216.25540000 PA USD 2505.37000000 0.000006985570 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N CHARLES RIVER LABS INTL INC 549300BSQ0R4UZ5KX287 159864AE7 70000.00000000 PA USD 71837.50000000 0.000200300128 Long DBT CORP US N 2 2028-05-01 Fixed 0.04250000 N N N N N N COLUMBIA CENT CLO 31 LTD N/A 19737LAC7 9300000.00000000 PA USD 9278042.70000000 0.025869401756 Long ABS-CBDO CORP KY N 2 2034-04-20 Variable 0.01347410 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QPH96 16447.53150000 PA USD 17446.35000000 0.000048644595 Long ABS-MBS USGSE US N 2 2036-07-01 Variable 0.02970000 N N N N N N RABOBANK NEDERLAND COOPERATIEV E CENTRALE RAIFEISEN-BOERNELEE NBANK B.A. DG3RU1DBUFHT4ZF9WN62 21684AAC0 4789000.00000000 PA USD 5343132.17000000 0.014897930222 Long DBT CORP NL N 2 2025-08-04 Fixed 0.04375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FWH1 19133.76690000 PA USD 21894.28000000 0.000061046488 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N ROCKIES EXPRESS PIPELINE LLC W2ZGZGZKY5GGNY6F3V51 77340RAR8 276000.00000000 PA USD 283181.52000000 0.000789577796 Long DBT CORP US N 2 2029-07-15 Fixed 0.04950000 N N N N N N CLUB 2019-HP1 A N/A 21055MAA9 5755563.66500000 PA USD 5812517.27000000 0.016206688127 Long ABS-CBDO CORP US N 2 2026-12-15 Fixed 0.02590000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCEU6 23305.24350000 PA USD 5257.69000000 0.000014659697 Long ABS-CBDO USGSE US N 2 2034-08-25 Variable 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402HJZ5 33299.70050000 PA USD 36842.70000000 0.000102726257 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AC9 674000.00000000 PA USD 714660.57000000 0.001992644569 Long DBT CORP US N 2 2023-04-20 Fixed 0.03900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376KHK5 36091.25510000 PA USD 42409.73000000 0.000118248468 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211HVP3 33.26290000 PA USD 38.00000000 0.000000105953 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205XW26 137.72300000 PA USD 149.79000000 0.000000417650 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208LXC6 217.71700000 PA USD 244.06000000 0.000000680497 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376LFW9 141.78660000 PA USD 152.68000000 0.000000425708 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07500000 N N N N N N SUNOCO LP / SUNOCO FIN CORP N/A 86765LAN7 135000.00000000 PA USD 141750.00000000 0.000395232897 Long DBT CORP US N 2 2028-03-15 Fixed 0.05875000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QP2A1 80139.55920000 PA USD 85217.59000000 0.000237607019 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QFEZ3 11203.03830000 PA USD 11792.64000000 0.000032880700 Long ABS-MBS USGSE US N 2 2035-10-01 Variable 0.02248000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223NUV4 21.64000000 PA USD 21.97000000 0.000000061257 Long ABS-MBS USGA US N 2 2022-02-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EBJS5 64152.84160000 PA USD 69414.47000000 0.000193544141 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GJWC9 219314.77990000 PA USD 244465.91000000 0.000681629417 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DV42 88970.54850000 PA USD 96239.85000000 0.000268339716 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31369MXV8 229.40200000 PA USD 241.07000000 0.000000672160 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212VPF0 176.98380000 PA USD 200.79000000 0.000000559850 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207WBE3 201.07390000 PA USD 225.92000000 0.000000629918 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31339STN5 2650962.55900000 PA USD 2780999.17000000 0.007754090721 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417D4J9 213833.51000000 PA USD 232106.57000000 0.000647168622 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WEQM7 22358.28320000 PA USD 24034.31000000 0.000067013403 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206FP22 42.38000000 PA USD 46.33000000 0.000000129179 Long ABS-MBS USGA US N 2 2025-06-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JNVT1 54466.44660000 PA USD 59701.79000000 0.000166462867 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TKW97 45734.90860000 PA USD 51104.22000000 0.000142490786 Long ABS-CBDO USGSE US N 2 2029-05-15 Fixed 0.06000000 N N N N N N WOLVERINE WORLD WIDE INC 549300OVC7PK14LQ8D87 978097AF0 645000.00000000 PA USD 686118.75000000 0.001913063150 Long DBT CORP US N 2 2025-05-15 Fixed 0.06375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C3FD9 4696.12100000 PA USD 5343.34000000 0.000014898509 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204H4U1 21.97050000 PA USD 23.35000000 0.000000065105 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ACZ0 604475.21520000 PA USD 663073.34000000 0.001848807036 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335B7H3 173184.73670000 PA USD 193675.42000000 0.000540013385 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128KHMC7 60350.87480000 PA USD 68568.93000000 0.000191186574 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.05000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967HS3 9501000.00000000 PA USD 12301610.53000000 0.034299831909 Long DBT CORP US N 2 2044-05-06 Fixed 0.05300000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RGQ9 3992000.00000000 PA USD 4544478.23000000 0.012671092051 Long DBT CORP US N 2 2030-02-15 Fixed 0.04300000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L7A82 122733.69930000 PA USD 131699.15000000 0.000367208724 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.03500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 42307TAH1 9489000.00000000 PA USD 13408542.38000000 0.037386222613 Long DBT CORP US N 2 2039-08-01 Fixed 0.07125000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761JVL0 4754000.00000000 PA USD 5218808.47000000 0.014551286016 Long DBT CORP US N 2 2024-10-23 Fixed 0.03700000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XYDJ3 316469.20670000 PA USD 340929.87000000 0.000950594005 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7TM5 2206585.76630000 PA USD 2360783.08000000 0.006582427774 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394FGT6 258044.13410000 PA USD 292571.16000000 0.000815758358 Long ABS-CBDO USGSE US N 2 2035-09-25 Fixed 0.05900000 N N N N N N CF INDUSTRIES INC 5FVKT86LAD2F40NPC183 12527GAE3 255000.00000000 PA USD 297712.50000000 0.000830093643 Long DBT CORP US N 2 2044-03-15 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373UE45 256.44780000 PA USD 280.23000000 0.000000781348 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 0.07000000 N N N N N N MATTEL INC 549300VELLG24KHTJ564 577081AW2 70000.00000000 PA USD 79187.50000000 0.000220793686 Long DBT CORP US N 2 2041-11-01 Fixed 0.05450000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290T5P0 6634.00600000 PA USD 7189.07000000 0.000020044846 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 202712BK0 3723000.00000000 PA USD 3889557.30000000 0.010845015883 Long DBT CORP AU N 2 2034-09-12 Variable 0.03610000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A3MA2 11183.37830000 PA USD 12326.38000000 0.000034368895 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N CHENIERE ENERGY INC MIHC87W9WTYSYZWV1J40 16411RAJ8 595000.00000000 PA USD 624750.00000000 0.001741952399 Long DBT CORP US N 2 2028-10-15 Fixed 0.04625000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJBV1 12336.44070000 PA USD 14096.40000000 0.000039304134 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31298AYN7 30.50120000 PA USD 36.09000000 0.000000100627 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 0.08000000 N N N N N N VMED O2 UK FINANCING I 213800MRR46ECNGZ7L69 92858RAA8 1805000.00000000 PA USD 1748052.25000000 0.004873987694 Long DBT CORP GB N 2 2031-01-31 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HDGK4 30279.26900000 PA USD 32419.73000000 0.000090393959 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBT1 8253000.00000000 PA USD 8698881.86000000 0.024254562836 Long DBT CORP US N 2 2025-04-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206F6U1 60.20720000 PA USD 60.52000000 0.000000168744 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407BM71 1080.49130000 PA USD 1266.82000000 0.000003532197 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLA1 36000176.13400000 PA USD 37558692.16000000 0.104722615357 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BYA0 438.85720000 PA USD 513.36000000 0.000001431370 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38375KNC2 75160.54400000 PA USD 16553.82000000 0.000046156008 Long ABS-CBDO USGA US N 2 2037-06-16 Variable 0.06589120 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 023551AF1 4789000.00000000 PA USD 6452332.86000000 0.017990646995 Long DBT CORP US N 2 2029-10-01 Fixed 0.07875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362165M25 65.77580000 PA USD 68.62000000 0.000000191328 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E2UH2 201741.96970000 PA USD 219092.38000000 0.000610881948 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177YB47 7663.07640000 PA USD 8445.47000000 0.000023547989 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AWTD9 1638890.99240000 PA USD 1641657.44000000 0.004577333521 Long ABS-CBDO USGSE US N 2 2047-05-25 Variable 0.00441630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y8GB0 42418.07600000 PA USD 46732.33000000 0.000130300911 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5JX2 34642200.43400000 PA USD 36774517.94000000 0.102536150108 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223VVX1 24.96410000 PA USD 25.40000000 0.000000070821 Long ABS-MBS USGA US N 2 2022-02-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EHJ1 43266.99150000 PA USD 48208.43000000 0.000134416631 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N ENTEGRIS INC IYX6OWO7BT5DKO3BYG52 29362UAC8 755000.00000000 PA USD 787087.50000000 0.002194588170 Long DBT CORP US N 2 2028-04-15 Fixed 0.04375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FKL5 25762.19510000 PA USD 29126.47000000 0.000081211563 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210Q2F8 752.03200000 PA USD 858.26000000 0.000002393034 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180FA36 35712.38140000 PA USD 38056.58000000 0.000106110845 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132LAGH9 408277.45420000 PA USD 438882.79000000 0.001223710170 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.03500000 N N N N N N THUNDERBOLT AIRCRAFT LEASE LIM N/A 886065AA9 9675592.71600000 PA USD 9730288.84000000 0.027130372143 Long ABS-CBDO CORP US N 2 2038-09-15 Variable 0.04147000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335ANW4 432851.58800000 PA USD 484190.34000000 0.001350038455 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335GJ63 1.80020000 PA USD 1.84000000 0.000000005130 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 0.08500000 N N N N N N ARES CLO N/A 04017WAC6 8066000.00000000 PA USD 8075114.58000000 0.022515350495 Long ABS-CBDO CORP KY N 2 2032-10-15 Variable 0.01503750 N N N N N N PINE STR TR I N/A 722844AA5 7749000.00000000 PA USD 8775735.45000000 0.024468849024 Long DBT CORP US N 2 2029-02-15 Fixed 0.04572000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2BE1 66974.31000000 PA USD 71385.79000000 0.000199040653 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AKFV3 6052.43270000 PA USD 6929.47000000 0.000019321019 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HKF9 637.96090000 PA USD 723.83000000 0.000002018211 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378JXK8 119.83680000 PA USD 134.20000000 0.000000374181 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MJMN7 1526.35620000 PA USD 1707.48000000 0.000004760862 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UGZV2 55503.67290000 PA USD 58531.17000000 0.000163198898 Long ABS-MBS USGSE US N 2 2041-07-01 Variable 0.02597000 N N N N N N SERVICE CORP INTERNATIONAL INC 549300RKVM2ME20JHZ15 817565CE2 970000.00000000 PA USD 1049928.00000000 0.002927450339 Long DBT CORP US N 2 2029-06-01 Fixed 0.05125000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38376WKH7 276078.26050000 PA USD 46757.53000000 0.000130371175 Long ABS-CBDO USGA US N 2 2040-02-16 Variable 0.05849120 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CGF5 1138497.74070000 PA USD 1201993.35000000 0.003351444899 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.03000000 N N N N N N UBS-BARCLAYS COML MTG TR 2012-C3 N/A 90349DAE2 12000000.00000000 PA USD 12395029.20000000 0.034560305500 Long ABS-MBS CORP US N 2 2049-08-10 Fixed 0.03814000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297YK84 1124.86090000 PA USD 1322.97000000 0.000003688756 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224TTQ3 17.07030000 PA USD 17.57000000 0.000000048989 Long ABS-MBS USGA US N 2 2022-10-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FGC0 223.54930000 PA USD 246.95000000 0.000000688555 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q96S7 368423.61500000 PA USD 388886.42000000 0.001084308335 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LRGM8 10280.19790000 PA USD 11305.19000000 0.000031521573 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03900000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GD49 265228.42160000 PA USD 301865.25000000 0.000841672503 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020679 224000000.00000000 PA USD 225816236.80000000 0.629629668870 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A83G6 14285.49290000 PA USD 16160.57000000 0.000045059533 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379XP90 1818.94040000 PA USD 2091.32000000 0.000005831100 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617K53Y8 180310.00700000 PA USD 196621.01000000 0.000548226394 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206NC60 1116.07780000 PA USD 1226.09000000 0.000003418632 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N FLATIRON CLO LTD N/A 33883JAB7 8949000.00000000 PA USD 8965779.38000000 0.024998736947 Long ABS-CBDO CORP KY N 2 2032-11-16 Variable 0.01475880 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QT2C9 32482.89630000 PA USD 34917.88000000 0.000097359399 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AJK4 298683.22940000 PA USD 349040.42000000 0.000973208158 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412P3M1 218055.97260000 PA USD 243613.33000000 0.000679252220 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374XCZ1 6.05030000 PA USD 6.40000000 0.000000017844 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 0.07000000 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAD8 425000.00000000 PA USD 444125.00000000 0.001238326706 Long DBT CORP KY N 2 2027-10-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208JPE6 526.47940000 PA USD 599.42000000 0.000001671326 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N AXALTA COATING SYSTEMS LLC / AXALTA COATING SYSTEMS DUTCH HOLDING B BV N/A 05454NAA7 585000.00000000 PA USD 612787.50000000 0.001708598089 Long DBT CORP US N 2 2027-06-15 Fixed 0.04750000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BDY5 126198.35780000 PA USD 126376.13000000 0.000352366871 Long ABS-CBDO USGA US N 2 2060-07-20 Variable 0.00441000 N N N N N N BENCHMARK 2019-B14 MTG TR N/A 08162YAK8 50716730.13000000 PA USD 2402694.95000000 0.006699288090 Long ABS-MBS CORP US N 2 2062-12-15 Variable 0.00785831 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201CP32 1919.15630000 PA USD 2249.26000000 0.000006271474 Long ABS-MBS USGA US N 2 2032-01-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213UEQ9 71.11770000 PA USD 83.02000000 0.000000231479 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARR94 8425.11490000 PA USD 9300.79000000 0.000025932826 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YPCL4 79836.06980000 PA USD 85860.07000000 0.000239398407 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AHY9 90.80170000 PA USD 99.27000000 0.000000276788 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M7YR0 22301.90410000 PA USD 24124.07000000 0.000067263676 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378FDK8 51.41100000 PA USD 58.05000000 0.000000161857 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290SYU9 1401.43530000 PA USD 1601.41000000 0.000004465114 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 0.05500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359WKN0 41630.28350000 PA USD 46350.37000000 0.000129235915 Long ABS-CBDO USGSE US N 2 2029-07-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HJA2 68.94390000 PA USD 73.31000000 0.000000204405 Long ABS-MBS USGSE US N 2 2024-02-01 Fixed 0.07000000 N N N N N N WELLS FARGO COML MTG TR 2019-C54 N/A 95001YAC8 1000000.00000000 PA USD 1092316.00000000 0.003045638219 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 0.03063000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WLCE1 662953.20560000 PA USD 718933.31000000 0.002004557990 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374PK22 197.33950000 PA USD 218.44000000 0.000000609062 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07500000 N N N N N N AES CORP 2NUNNB7D43COUIRE5295 00130HCB9 15965000.00000000 PA USD 17030983.05000000 0.047486453455 Long DBT CORP US N 2 2025-07-15 Fixed 0.03300000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MFY28 1792556.65400000 PA USD 1905582.37000000 0.005313219339 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200VF99 2299.97180000 PA USD 2696.81000000 0.000007519351 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307UCF3 45098.63040000 PA USD 48178.29000000 0.000134332593 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NF67 12770.91430000 PA USD 14293.23000000 0.000039852943 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQF98 310598.46230000 PA USD 333978.64000000 0.000931212314 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NQ35 162156.86440000 PA USD 172381.78000000 0.000480641625 Long ABS-MBS USGA US N 2 2043-10-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140K9NC9 16913217.41300000 PA USD 17890845.35000000 0.049883955171 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J62W3 64252.78570000 PA USD 68828.64000000 0.000191910707 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210UBJ1 485.16340000 PA USD 555.28000000 0.000001548253 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M4MF7 81633.27070000 PA USD 92884.26000000 0.000258983528 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.05000000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAH8 12206000.00000000 PA USD 12779623.66000000 0.035632646825 Long DBT CORP US N 2 2029-09-01 Fixed 0.02950000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312944LX7 33222.01740000 PA USD 37030.64000000 0.000103250279 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MNH9 1433335.90880000 PA USD 1554193.07000000 0.004333461941 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 0.03500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAH6 1576000.00000000 PA USD 1726934.70000000 0.004815106914 Long DBT CORP US N 2 2024-04-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W6EJ1 60162.75480000 PA USD 62678.01000000 0.000174761280 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297SPM1 4126.29770000 PA USD 4707.20000000 0.000013124799 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.05000000 N N N N N N PUGET ENERGY INC SYBSJ96YIDMIUY7WDR33 745310AF9 3305000.00000000 PA USD 3457863.26000000 0.009641349666 Long DBT CORP US N 2 2022-07-15 Fixed 0.05625000 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 77578JAC2 615000.00000000 PA USD 661401.75000000 0.001844146243 Long DBT CORP GB N 2 2027-10-15 Fixed 0.05750000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136ADB57 11206110.96400000 PA USD 11495950.30000000 0.032053458525 Long ABS-CBDO USGSE US N 2 2033-05-25 Fixed 0.01850000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A86Y0 205795.22400000 PA USD 215317.53000000 0.000600356763 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359WHX2 57452.84680000 PA USD 63857.05000000 0.000178048725 Long ABS-CBDO USGSE US N 2 2029-07-25 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209EED0 567.97410000 PA USD 645.66000000 0.000001800254 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617H4DE8 1106009.03000000 PA USD 1201075.70000000 0.003348886271 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.03500000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAV9 16500000.00000000 PA USD 19396770.53000000 0.054082834693 Long DBT CORP US N 2 2030-11-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FCU4 152.32140000 PA USD 167.24000000 0.000000466305 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 0.07000000 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPCN1 2380000.00000000 PA USD 2401063.00000000 0.006694737823 Long DBT CORP US N 2 2032-05-01 Fixed 0.04500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377RBW4 739924.11000000 PA USD 867707.89000000 0.002419377097 Long ABS-CBDO USGA US N 2 2040-12-20 Variable 0.09801500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FDL3 71.23190000 PA USD 77.46000000 0.000000215977 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N OWENS AND MINOR INC NEW 549300LMT5KQQXCEZ733 690732AF9 160000.00000000 PA USD 161179.20000000 0.000449406153 Long DBT CORP US N 2 2029-03-31 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MSX9 164884.08840000 PA USD 178786.92000000 0.000498500687 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3129455L8 17262.59110000 PA USD 19242.27000000 0.000053652050 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AJXT4 11837.14190000 PA USD 13495.09000000 0.000037627538 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389W4G7 1879.61000000 PA USD 2237.08000000 0.000006237514 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386HCU3 648.32120000 PA USD 768.76000000 0.000002143486 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 0.07500000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448ER5 1114000.00000000 PA USD 1201513.83000000 0.003350107882 Long DBT CORP US N 2 2027-03-19 Fixed 0.02625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378PTA1 181.07560000 PA USD 206.25000000 0.000000575074 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CMG6 3601172.58600000 PA USD 3888320.72000000 0.010841568002 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375DCW1 32.71430000 PA USD 33.95000000 0.000000094660 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BHB5 29977.44230000 PA USD 31708.01000000 0.000088409514 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AC3F9 14812.27030000 PA USD 16944.23000000 0.000047244565 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390FLR8 494.77000000 PA USD 582.23000000 0.000001623396 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373UDJ3 57.71320000 PA USD 62.96000000 0.000000175547 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378JD53 101.45530000 PA USD 115.78000000 0.000000322822 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371HYB8 343.85770000 PA USD 400.42000000 0.000001116466 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07500000 N N N N N N JBS USA LLC / JBS USA FIN INC N/A 472141AA8 269000.00000000 PA USD 294218.75000000 0.000820352233 Long DBT CORP US N 2 2028-02-15 Fixed 0.06750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31296PKS0 18225.73700000 PA USD 20675.47000000 0.000057648154 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.05000000 N N N N N N JPMDB COML MTG SECS TR 2018-C8 N/A 46591ABB0 8779000.00000000 PA USD 9928754.03000000 0.027683740552 Long ABS-MBS CORP US N 2 2051-06-15 Fixed 0.04145000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31339UKU3 2235995.61400000 PA USD 2345677.01000000 0.006540308438 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AT34 54.52120000 PA USD 60.44000000 0.000000168521 Long ABS-MBS USGA US N 2 2027-05-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225ARA0 66.17340000 PA USD 72.86000000 0.000000203151 Long ABS-MBS USGA US N 2 2026-12-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946K96 16404.28270000 PA USD 18715.88000000 0.000052184349 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.05000000 N N N N N N HEWLETT PACKARD ENTERPRISE CO 549300BX44RGX6ANDV88 42824CAN9 3173000.00000000 PA USD 3323451.48000000 0.009266577481 Long DBT CORP US N 2 2022-10-15 Variable 0.04400000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L7FF1 212910.16250000 PA USD 228130.15000000 0.000636081412 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GDB3 769.71590000 PA USD 870.03000000 0.000002425851 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C6E27 40601.66480000 PA USD 44806.13000000 0.000124930205 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E0HX0 29907.74850000 PA USD 32967.10000000 0.000091920158 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WDFF6 142468.94470000 PA USD 151407.42000000 0.000422160093 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205HFH7 52.14530000 PA USD 55.23000000 0.000000153994 Long ABS-MBS USGA US N 2 2024-04-15 Fixed 0.08000000 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BT0 10000000.00000000 PA USD 10975219.70000000 0.030601537087 Long DBT CORP US N 2 2050-03-01 Fixed 0.04800000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M9QV7 1369130.76030000 PA USD 1501908.92000000 0.004187681228 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FFN1 43945.50020000 PA USD 47165.96000000 0.000131509975 Long ABS-MBS USGA US N 2 2040-04-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312941GX9 14241.00410000 PA USD 16247.76000000 0.000045302640 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3129404Y2 11153.30440000 PA USD 12432.37000000 0.000034664420 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.04500000 N N N N N N COLLEGIATE FDG SVCS ED LN TR N/A 19458LAV2 546997.18570000 PA USD 545475.71000000 0.001520916722 Long ABS-CBDO CORP US N 2 2030-09-28 Variable 0.00533000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GDQH8 3000.28500000 PA USD 3344.36000000 0.000009324875 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407XA84 473852.37300000 PA USD 539649.29000000 0.001504671269 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N ILLINOIS ST N/A 452151LF8 22095000.00000000 PA USD 25381361.69000000 0.070769305975 Long DBT MUN US N 2 2033-06-01 Fixed 0.05100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418C2X1 11766.85920000 PA USD 12603.27000000 0.000035140930 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.03500000 N N N N N N UBS COML MTG TR 2017-C7 N/A 90276WAQ0 1000000.00000000 PA USD 1096686.90000000 0.003057825333 Long ABS-MBS CORP US N 2 2050-12-15 Fixed 0.03586000 N N N N N N HOWARD HUGHES CORP 549300BVHY25JZC1KI49 44267DAF4 395000.00000000 PA USD 391543.75000000 0.001091717606 Long DBT CORP US N 2 2031-02-01 Fixed 0.04375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GSBQ4 40909.32830000 PA USD 44561.96000000 0.000124249400 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XTM85 10128.54720000 PA USD 11215.67000000 0.000031271970 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N NATIONSTAR HECM LOAN TRUST N/A 63862UAA6 2324065.49000000 PA USD 2328349.44000000 0.006491995029 Long ABS-CBDO CORP US N 2 2029-11-25 Fixed 0.02272200 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BN9 9457000.00000000 PA USD 9240525.49000000 0.025764794803 Long DBT CORP US N 2 2033-04-15 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCMK9 8324184.75800000 PA USD 8873593.44000000 0.024741700501 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EHD4 15307.88160000 PA USD 16986.60000000 0.000047362702 Long ABS-MBS USGA US N 2 2036-03-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M4MC6 6596.02720000 PA USD 7230.04000000 0.000020159080 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TLX5 2654.68240000 PA USD 3008.47000000 0.000008388333 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EU6S3 210356.10000000 PA USD 225373.86000000 0.000628396216 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RNX3 8578.57200000 PA USD 9341.19000000 0.000026045471 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 0.04000000 N N N N N N BRASS NO 10 PLC 213800UCE3NFG8SQKH09 10554PAA1 8104330.66000000 PA USD 8114777.14000000 0.022625939197 Long ABS-CBDO CORP GB N 2 2069-04-16 Variable 0.00669000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HFQB8 19078639.75300000 PA USD 20181434.74000000 0.056270666151 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292GZ58 140.41960000 PA USD 159.33000000 0.000000444250 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A6RX7 1441.77100000 PA USD 1704.24000000 0.000004751828 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AY77 65525.48930000 PA USD 69308.21000000 0.000193247863 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E5YL2 15991.55890000 PA USD 17113.24000000 0.000047715805 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.03500000 N N N N N N MILLICOM INTL CELLULAR SA 549300CTHC1CP86P2G96 600814AP2 665436.00000000 PA USD 706942.57000000 0.001971124940 Long DBT CORP LU N 2 2026-10-15 Fixed 0.06625000 N N N N N N BANK 2021-BNK33 N/A 06541CBR6 72601000.00000000 PA USD 5990032.63000000 0.016701643401 Long ABS-MBS CORP US N 2 2064-05-15 Variable 0.01176630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180CRK7 22373.97510000 PA USD 25168.74000000 0.000070176465 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31294BLF0 1826.74330000 PA USD 2131.10000000 0.000005942016 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M7GG5 20566.88170000 PA USD 22870.53000000 0.000063768506 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.04500000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 035240AV2 10375000.00000000 PA USD 11357760.77000000 0.031668153070 Long DBT CORP US N 2 2030-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416Q6B6 2371.91410000 PA USD 2650.22000000 0.000007389447 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YRTS7 100302.77440000 PA USD 109054.49000000 0.000304069996 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180MYH4 105795.77720000 PA USD 113392.52000000 0.000316165461 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03000000 N N N N N N APOLLO AVIATION SECURITIZATION EQUITY TRUST N/A 00255UAB1 766953.33000000 PA USD 629151.30000000 0.001754224276 Long ABS-CBDO CORP US N 2 2040-01-16 Fixed 0.04335000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31296YFS7 9239.31540000 PA USD 10505.53000000 0.000029291929 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132JPDD1 39256.69960000 PA USD 43031.61000000 0.000119982419 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178FWM4 4190.95820000 PA USD 4596.85000000 0.000012817117 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YWH42 242534.29200000 PA USD 259849.32000000 0.000724522043 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A6S4 1990.70000000 PA USD 2246.59000000 0.000006264030 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376ZTD5 16.47340000 PA USD 17.35000000 0.000000048375 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376XVN5 955.67470000 PA USD 1078.89000000 0.000003008203 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQKN1 612336.98100000 PA USD 646870.58000000 0.001803629866 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371YAC5 81.15000000 PA USD 85.34000000 0.000000237948 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBEW4 1732049.79000000 PA USD 1813275.65000000 0.005055846130 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375QQR8 16.26550000 PA USD 17.26000000 0.000000048125 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GJGT0 63852.12980000 PA USD 70069.44000000 0.000195370354 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XCZ1 6445.63880000 PA USD 7181.78000000 0.000020024520 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31298EYB5 291.35260000 PA USD 331.15000000 0.000000923325 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384MCQ3 140.63020000 PA USD 154.65000000 0.000000431201 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EU4J5 787212.22960000 PA USD 845873.00000000 0.002358496202 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180CDU0 26100.48240000 PA USD 27968.72000000 0.000077983479 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FANA2 883207.20260000 PA USD 885112.99000000 0.002467906678 Long ABS-CBDO USGSE US N 2 2047-08-15 Variable 0.00450880 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MDWQ1 41173.23800000 PA USD 44537.28000000 0.000124180587 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JNFH8 453082.77700000 PA USD 488368.82000000 0.001361689056 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132CWM35 10474912.41400000 PA USD 11278406.28000000 0.031446893775 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J9PR3 22981.49070000 PA USD 25197.66000000 0.000070257101 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EQL6 154653.15660000 PA USD 170604.56000000 0.000475686310 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GENERAL MTRS FINL CO INC 5493008B6JBRUJ90QL97 37045XAQ9 5310000.00000000 PA USD 5377443.16000000 0.014993597467 Long DBT CORP US N 2 2021-09-25 Fixed 0.04375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JF45 92721.67810000 PA USD 102391.70000000 0.000285492545 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F012460 -35500000.00000000 PA USD -35938204.90000000 -0.10020430936 Short ABS-MBS USGA US N 2 2036-06-01 Fixed 0.01500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A56F1 7495.96320000 PA USD 8467.39000000 0.000023609108 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TW54 107.99980000 PA USD 122.54000000 0.000000341670 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419K7J8 175160.07870000 PA USD 193357.77000000 0.000539127701 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208H7M2 352.31770000 PA USD 399.23000000 0.000001113148 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FNLN2 601992.15700000 PA USD 630411.18000000 0.001757737123 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H8L86 211233.31700000 PA USD 223031.54000000 0.000621865268 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213UH37 7749.45600000 PA USD 9053.25000000 0.000025242625 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208NNV1 319.89260000 PA USD 366.28000000 0.000001021276 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208KAW9 473.54980000 PA USD 542.88000000 0.000001513679 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223REG6 86.12050000 PA USD 88.86000000 0.000000247762 Long ABS-MBS USGA US N 2 2022-10-15 Fixed 0.07500000 N N N N N N Fidelity Salem Street Trust S4W85DGKOEJ24DPRB829 31635V851 109387863.90900000 NS USD 1164980750.63000000 3.248244920974 Long EC RF US N 1 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411Y3V3 11088.45290000 PA USD 11631.90000000 0.000032432518 Long ABS-MBS USGSE US N 2 2037-04-01 Variable 0.01779000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JT9 19341000.00000000 PA USD 21692007.44000000 0.060482504071 Long DBT CORP US N 2 2025-06-10 Fixed 0.04400000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3131Y03F7 405236.08500000 PA USD 437617.57000000 0.001220182435 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.03500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDB5 3630000.00000000 PA USD 3875569.50000000 0.010806014552 Long DBT CORP MX N 2 2027-01-23 Fixed 0.06490000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQ6N8 192350.65370000 PA USD 220223.49000000 0.000614035753 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J7C67 91230.92870000 PA USD 100028.60000000 0.000278903657 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBD88 10878248.13000000 PA USD 11582631.01000000 0.032295145073 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5A58 30462.22000000 PA USD 34660.54000000 0.000096641874 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FTK3 662.52130000 PA USD 775.50000000 0.000002162279 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N MILLICOM INTL CELLULAR SA 549300CTHC1CP86P2G96 600814AN7 540000.00000000 PA USD 568113.75000000 0.001584036991 Long DBT CORP LU N 2 2028-01-15 Fixed 0.05125000 N N N N N N SUPERIOR PLUS LP / SUPERIOR GEN PARTNER INC N/A 86828LAC6 185000.00000000 PA USD 188156.10000000 0.000524624201 Long DBT CORP CA N 2 2029-03-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X9JF3 7674877.19900000 PA USD 8299551.57000000 0.023141134494 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206LSZ3 21.89490000 PA USD 24.05000000 0.000000067057 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224TTZ3 21.70000000 PA USD 22.49000000 0.000000062707 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EJC6 14137.69070000 PA USD 15045.46000000 0.000041950340 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390HRU1 216.02890000 PA USD 259.00000000 0.000000722153 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L7VF3 2102773.81890000 PA USD 2234044.31000000 0.006229049775 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A22Y7 2277309.31840000 PA USD 2472175.94000000 0.006893017705 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 0.03500000 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VFW9 1378000.00000000 PA USD 1227668.11000000 0.003423032269 Long DBT CORP US N 2 2056-10-30 Fixed 0.02987000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312936JP3 90224.73810000 PA USD 100992.68000000 0.000281591742 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205JA70 557.78520000 PA USD 610.81000000 0.000001703084 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GFUL9 25783.75940000 PA USD 28740.65000000 0.000080135805 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKM7 660127.16800000 PA USD 727775.48000000 0.002029212075 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MBF51 5591.27110000 PA USD 5679.24000000 0.000015835079 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RYY4 48.04000000 PA USD 54.98000000 0.000000153297 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A7CB9 1032.53430000 PA USD 1180.60000000 0.000003291795 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QP5H3 1650871.02840000 PA USD 1775139.68000000 0.004949513926 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375RMG4 111.39580000 PA USD 124.12000000 0.000000346076 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RJF7 14187042.31600000 PA USD 15492582.19000000 0.043197023971 Long ABS-MBS USGA US N 2 2045-07-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q7FX0 3520588.52390000 PA USD 3806866.94000000 0.010614455385 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205TSE4 186.29820000 PA USD 201.18000000 0.000000560937 Long ABS-MBS USGA US N 2 2024-04-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128LXR44 25717.75000000 PA USD 29452.15000000 0.000082119637 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VKM1 20999470.81000000 PA USD 22069591.24000000 0.061535297999 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379DKU2 278.06070000 PA USD 312.68000000 0.000000871826 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312940C49 1091.60250000 PA USD 1202.47000000 0.000003352773 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7HK2 6190.97160000 PA USD 6970.27000000 0.000019434779 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NQG3 1913.09250000 PA USD 2158.40000000 0.000006018135 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31392UTM6 33333.30680000 PA USD 38179.26000000 0.000106452906 Long ABS-CBDO USGSE US N 2 2032-09-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200M7M9 3029.72810000 PA USD 3412.12000000 0.000009513806 Long ABS-MBS USGA US N 2 2034-01-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YF79 88.84030000 PA USD 100.68000000 0.000000280719 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 91282CBL4 160064000.00000000 PA USD 153236270.00000000 0.427259364987 Long DBT UST US N 2 2031-02-15 Fixed 0.01125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F5CR2 142356.17660000 PA USD 156167.64000000 0.000435432725 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GFLZ8 6516.21020000 PA USD 7150.70000000 0.000019937861 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M7UU8 1703.17330000 PA USD 1904.45000000 0.000005310062 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAS4 14780000.00000000 PA USD 14554273.04000000 0.040580793678 Long DBT CORP IE N 2 2026-01-30 Fixed 0.01750000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128JNG90 5206.54280000 PA USD 5528.46000000 0.000015414668 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 0.02920000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473QAX1 1737000.00000000 PA USD 2333948.35000000 0.006507606129 Long DBT CORP US N 2 2041-06-15 Fixed 0.05950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NL37 5974.83130000 PA USD 6702.90000000 0.000018689288 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.06500000 N N N N N N STORE MASTER FUNDING N/A 86190BAA2 11000000.00000000 PA USD 11076604.00000000 0.030884220760 Long ABS-CBDO CORP US N 2 2051-06-20 Fixed 0.02120000 N N N N N N RETAIL OPPORTUNITY INVESTMENTS PARTNERSHIP LP 549300KH0PNTJK9NTE57 76132FAB3 641000.00000000 PA USD 690007.92000000 0.001923907086 Long DBT CORP US N 2 2024-12-15 Fixed 0.04000000 N N N N N N GB 2020-FLIX A N/A 368306AL0 710000.00000000 PA USD 710888.64000000 0.001982127527 Long ABS-MBS CORP TC N 2 2037-08-15 Variable 0.01701000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A -1997.00000000 NC USD -206739.43000000 -0.00057643896 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UST NOTES 0% 06/30/2040 2021-09-30 -440599807.45000000 USD -206739.43000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AWKG7 4674.67610000 PA USD 5127.84000000 0.000014297644 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410PXH1 8235.52990000 PA USD 8674.96000000 0.000024187862 Long ABS-MBS USGSE US N 2 2036-09-01 Variable 0.02156000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J84L4 4078645.12700000 PA USD 4372695.86000000 0.012192121724 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3133A0D27 3644676.15200000 PA USD 3823456.99000000 0.010660712412 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MNY9 1316.23050000 PA USD 1438.63000000 0.000004011244 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307RE27 275463.19220000 PA USD 293499.03000000 0.000818345481 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204GCL4 492.44860000 PA USD 521.25000000 0.000001453369 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.07500000 N N N N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 94973VBA4 4322000.00000000 PA USD 4525060.70000000 0.012616951334 Long DBT CORP US N 2 2023-01-15 Fixed 0.03300000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293NNR7 36.09440000 PA USD 39.63000000 0.000000110497 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402E4E5 22283.97280000 PA USD 24626.60000000 0.000068664849 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EAN5 4468000.00000000 PA USD 5029985.75000000 0.014024803118 Long DBT CORP GB N 2 2026-01-12 Fixed 0.04375000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179M2Q2 396359.20200000 PA USD 429408.15000000 0.001197292608 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 0.03500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -21000000.00000000 NC USD -820807.89000000 -0.00228860868 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2031-04-07 0.00000000 USD 0.00000000 USD -21000000.00000000 USD 1.00000000 2.51750000 USD 2026-04-01 XXXX -121507.89000000 N N N DB MASTER FIN LLC 549300F17UZJL70BPB08 233046AE1 3128895.00000000 PA USD 3175202.65000000 0.008853224291 Long ABS-CBDO CORP US N 2 2047-11-20 Fixed 0.03629000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AKJ6 65155.68660000 PA USD 68323.57000000 0.000190502451 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MAX8 7633.43600000 PA USD 8279.46000000 0.000023085114 Long ABS-MBS USGA US N 2 2042-04-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283GK97 874.90000000 PA USD 926.78000000 0.000002584084 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 0.06500000 N N N N N N BX 2021-MFM1 N/A 05608VAA4 6330000.00000000 PA USD 6329999.37000000 0.017649551970 Long ABS-MBS CORP US N 2 2034-01-15 Variable 0.00800880 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M2A4 6193.17870000 PA USD 6891.84000000 0.000019216098 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07000000 N N N N N N SYSCO CORP 5RGWIFLMGH3YS7KWI652 871829BN6 53060000.00000000 PA USD 79749856.52000000 0.222361670997 Long DBT CORP US N 2 2050-04-01 Fixed 0.06600000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293TGY7 248.13500000 PA USD 283.96000000 0.000000791748 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N LANARK MASTER ISSUER PLC 213800KIOPB5OYXIVY33 513770BB2 1863333.40000000 PA USD 1865737.10000000 0.005202121198 Long ABS-CBDO CORP GB N 2 2069-12-22 Variable 0.00920130 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAT8 8795000.00000000 PA USD 9493586.85000000 0.026470390391 Long DBT CORP US N 2 2029-12-15 Fixed 0.04625000 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAE1 2141000.00000000 PA USD 2193489.57000000 0.006115973462 Long DBT CORP KY N 2 2022-05-01 Fixed 0.03625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GWUD3 6604289.74300000 PA USD 7007677.12000000 0.019539079594 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8EZ4 4119685.95600000 PA USD 4352325.45000000 0.012135324149 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224DFD2 20.64870000 PA USD 21.19000000 0.000000059082 Long ABS-MBS USGA US N 2 2022-07-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J4G37 7335478.06300000 PA USD 7751827.33000000 0.021613948332 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380WUP7 108.76010000 PA USD 122.16000000 0.000000340611 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07000000 N N N N N N UBS BARCLAYS COML MTG TR 2013-C6 549300G1IXWLFE766Q13 90349GAC9 110575.51000000 PA USD 110265.12000000 0.000307445522 Long ABS-MBS CORP US N 2 2046-04-10 Variable 0.00888130 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WFHX7 437735.31960000 PA USD 468849.37000000 0.001307264162 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03500000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAC7 1457000.00000000 PA USD 1458794.08000000 0.004067466744 Long DBT CORP US N 2 2021-08-15 Fixed 0.03750000 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAD3 4186000.00000000 PA USD 4596471.00000000 0.012816060327 Long DBT CORP KY N 2 2024-05-15 Fixed 0.05250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MMET6 47.63000000 PA USD 47.87000000 0.000000133473 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 0.06500000 N N N N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 04010LAZ6 22188000.00000000 PA USD 23759998.94000000 0.066248558903 Long DBT CORP US N 2 2026-01-15 Fixed 0.03875000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UGTL1 13704.15430000 PA USD 14511.31000000 0.000040461002 Long ABS-MBS USGSE US N 2 2041-05-01 Variable 0.02640000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407WVZ3 30336.04640000 PA USD 35810.11000000 0.000099847150 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N DRYDEN 68 CLO LTD N/A 26252QAA0 7300000.00000000 PA USD 7300416.10000000 0.020355305875 Long ABS-CBDO CORP KY N 2 2032-07-15 Variable 0.01493750 N N N N N N PARK AEROSPACE HOLDINGS LTD 635400CPI3EOIFF6OC33 70014LAB6 7300000.00000000 PA USD 8024015.97000000 0.022372875351 Long DBT CORP KY N 2 2024-02-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AN6A3 16387.04080000 PA USD 18650.63000000 0.000052002416 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FT93 19133.70740000 PA USD 21880.96000000 0.000061009348 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213XEZ3 741.98920000 PA USD 859.50000000 0.000002396491 Long ABS-MBS USGA US N 2 2031-10-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208LN86 46.11400000 PA USD 52.04000000 0.000000145099 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N CFMT 2020-HB3 N/A 12529FAA1 1562177.01520000 PA USD 1574885.95000000 0.004391158639 Long ABS-CBDO CORP US N 2 2030-05-25 Variable 0.02811500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YS6V3 328174.00850000 PA USD 356808.18000000 0.000994866531 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAE3 3402000.00000000 PA USD 3675384.72000000 0.010247851514 Long DBT CORP US N 2 2023-08-28 Variable 0.05272000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371HVJ4 83.22290000 PA USD 96.63000000 0.000000269427 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209G7K7 135.74570000 PA USD 152.86000000 0.000000426210 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AC4G6 7970.56240000 PA USD 9117.78000000 0.000025422551 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YMJR1 110854.53820000 PA USD 120585.82000000 0.000336222102 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GJNY1 6487.86780000 PA USD 7119.09000000 0.000019849725 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293R5M9 1042.52770000 PA USD 1181.29000000 0.000003293719 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213Y3X8 1587.50610000 PA USD 1858.38000000 0.000005181607 Long ABS-MBS USGA US N 2 2031-10-15 Fixed 0.07000000 N N N N N N CLEARWAY ENERGY OPERATING LLC 549300Z3NFMM54NWBB87 18539UAC9 140000.00000000 PA USD 144725.00000000 0.000403527908 Long DBT CORP US N 2 2028-03-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412LS50 2481.23980000 PA USD 2795.60000000 0.000007794801 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207WW59 434.94210000 PA USD 491.04000000 0.000001369136 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178XAS6 61976.17200000 PA USD 67698.80000000 0.000188760443 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M73U7 219396.74410000 PA USD 237322.47000000 0.000661711798 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QVYJ4 63867.47480000 PA USD 69387.73000000 0.000193469584 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENV97 1523506.18250000 PA USD 1649771.33000000 0.004599956986 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207BR69 329.50650000 PA USD 372.26000000 0.000001037949 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205QSJ9 165.02000000 PA USD 176.87000000 0.000000493155 Long ABS-MBS USGA US N 2 2024-08-15 Fixed 0.08000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31339NNN2 1983.09490000 PA USD 2022.44000000 0.000005639046 Long ABS-CBDO USGSE US N 2 2032-03-15 Variable 0.01000880 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311RAE6 2233000.00000000 PA USD 2238582.50000000 0.006241703334 Long DBT CORP US N 2 2021-09-30 Fixed 0.04750000 N N N N N N FORD CR FLOORPLN MAST OWN TR A 5493001DTG5N7T8BG747 34528QHA5 4320000.00000000 PA USD 4430935.87000000 0.012354508799 Long ABS-CBDO CORP US N 2 2024-09-15 Fixed 0.02230000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180C5Q8 196077.71460000 PA USD 211912.23000000 0.000590861972 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207JXN8 466.63480000 PA USD 528.29000000 0.000001472998 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMGZ9 111937.38990000 PA USD 123401.03000000 0.000344071581 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N JONAH ENERGY LLC / JONAH ENERGY FINANCE CORP N/A N/A 4766.00000000 NS USD 71490.00000000 0.000199331215 Long EC CORP US N 3 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FGS9 36758.66730000 PA USD 39452.46000000 0.000110002892 Long ABS-MBS USGA US N 2 2040-06-20 Fixed 0.04500000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAD5 8335000.00000000 PA USD 9133152.02000000 0.025465411892 Long DBT CORP US N 2 2024-08-15 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208CNS2 80.92170000 PA USD 91.81000000 0.000000255988 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209BUG1 540.74330000 PA USD 624.42000000 0.000001741032 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AXGL9 850255.27410000 PA USD 932679.45000000 0.002600533343 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204CQ53 163.72280000 PA USD 172.95000000 0.000000482225 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMPR7 1565.45990000 PA USD 1792.31000000 0.000004997388 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQYL1 57021.62990000 PA USD 64898.20000000 0.000180951701 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XFAS4 15932.32780000 PA USD 16827.19000000 0.000046918229 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AN5U0 17271.65550000 PA USD 19531.81000000 0.000054459357 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N ENLINK MIDSTRM PRTNRS LP 88CPW63VL7KHJWS0NY83 29336UAG2 290000.00000000 PA USD 254359.00000000 0.000709213718 Long DBT CORP US N 2 2047-06-01 Fixed 0.05450000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374J2Q3 78.74980000 PA USD 86.07000000 0.000000239983 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203HAP6 7.47230000 PA USD 7.74000000 0.000000021580 Long ABS-MBS USGA US N 2 2023-02-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GMJF0 48981.62000000 PA USD 53750.98000000 0.000149870586 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NWAR0 127560.16200000 PA USD 136587.77000000 0.000380839365 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FDB1 125869.30780000 PA USD 139746.24000000 0.000389645935 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405XXY4 363.56270000 PA USD 380.99000000 0.000001062291 Long ABS-MBS USGSE US N 2 2034-12-01 Variable 0.01990000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBA5 375000.00000000 PA USD 391875.00000000 0.001092641211 Long DBT CORP US N 2 2027-08-01 Fixed 0.05000000 N N N N N N CHC COML MTG TR 2019-CHC N/A 162665AG8 2166147.93720000 PA USD 2155269.11000000 0.006009405679 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.01601000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFU8 6522000.00000000 PA USD 7437178.00000000 0.020736630757 Long DBT CORP US N 2 2026-03-03 Fixed 0.04450000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209LMZ6 115.72880000 PA USD 135.29000000 0.000000377220 Long ABS-MBS USGA US N 2 2031-04-15 Fixed 0.07000000 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 N/A 35563PHF9 3835975.49710000 PA USD 4080340.56000000 0.011376965235 Long ABS-CBDO CORP US N 2 2058-03-25 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DZE4 91656.11760000 PA USD 99355.81000000 0.000277027757 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380XLH8 1345287.86080000 PA USD 1346573.55000000 0.003754569070 Long ABS-CBDO USGA US N 2 2048-06-20 Variable 0.00399250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386WNA2 539.84930000 PA USD 635.01000000 0.000001770559 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207SDE0 82.83850000 PA USD 93.52000000 0.000000260756 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N CONTINENTAL RESOURCES INC OKLA XXRTID9RYWOZ0UPIVR53 212015AT8 895000.00000000 PA USD 1050309.35000000 0.002928513634 Long DBT CORP US N 2 2031-01-15 Fixed 0.05750000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377RLW3 1630541.01130000 PA USD 1769660.24000000 0.004934235937 Long ABS-CBDO USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128E3ZD9 1353.85700000 PA USD 1484.01000000 0.000004137774 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413RJ80 11991.10240000 PA USD 14222.27000000 0.000039655089 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 0.06000000 N N N N N N ASGN INC LZBNYYCBUKY537072438 00191UAA0 1470000.00000000 PA USD 1528800.00000000 0.004262659990 Long DBT CORP US N 2 2028-05-15 Fixed 0.04625000 N N N N N N CTR PARTNERSHIP LP / CARETRUST CAP CORP N/A 126458AD0 720000.00000000 PA USD 738000.00000000 0.002057720481 Long DBT CORP US N 2 2025-06-01 Fixed 0.05250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M8W75 222305.59540000 PA USD 266851.59000000 0.000744046046 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YPNK4 29842.29000000 PA USD 32483.42000000 0.000090571542 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MMXJ7 1795449.88200000 PA USD 1878485.31000000 0.005237666256 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416BT65 4821.69660000 PA USD 5074.67000000 0.000014149393 Long ABS-MBS USGSE US N 2 2035-07-01 Variable 0.02241000 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BV5 20100000.00000000 PA USD 18876856.11000000 0.052633188960 Long DBT CORP US N 2 2051-04-01 Fixed 0.03700000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P7RY1 3011837.70650000 PA USD 3222306.43000000 0.008984560894 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416TMF3 2530.19750000 PA USD 2827.52000000 0.000007883801 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4PY6 7634732.56500000 PA USD 8315811.79000000 0.023186471876 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36202XTU1 12472.59530000 PA USD 14345.88000000 0.000039999744 Long ABS-MBS USGA US N 2 2035-10-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YKG80 2800792.86570000 PA USD 3010375.08000000 0.008393645610 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389YU41 315.19640000 PA USD 374.84000000 0.000001045143 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ACUU6 26931.27700000 PA USD 30830.24000000 0.000085962081 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N TREEHOUSE FOODS INC 5493007M7EVHE470Q576 89469AAD6 390000.00000000 PA USD 387819.90000000 0.001081334622 Long DBT CORP US N 2 2028-09-01 Fixed 0.04000000 N N N N N N Fidelity Salem Street Trust S4W85DGKOEJ24DPRB829 31635T104 67248035.77600000 NS USD 749815598.90000000 2.090665197237 Long EC RF US N 1 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLE3 10399274.71200000 PA USD 10849479.07000000 0.030250942142 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKFN0 35378.77340000 PA USD 38786.30000000 0.000108145479 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CMJ0 48241.72100000 PA USD 50966.37000000 0.000142106427 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AABQ0 27663.99800000 PA USD 30591.01000000 0.000085295051 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392FRK5 55565.58250000 PA USD 7611.75000000 0.000021223379 Long ABS-CBDO USGSE US N 2 2032-11-25 Variable 0.07458370 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208VZM0 102.21120000 PA USD 110.04000000 0.000000306817 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402HHC8 4042.94900000 PA USD 4427.57000000 0.000012345123 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.04500000 N N N N N N HILTON DOMESTIC OPERATING CO INC 5493003EG7H0N1E4XV50 432833AN1 660000.00000000 PA USD 645859.50000000 0.001800810733 Long DBT CORP US N 2 2032-02-15 Fixed 0.03625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390J3S8 110.94000000 PA USD 132.13000000 0.000000368410 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022663 165075000.00000000 PA USD 170974417.34000000 0.476717561591 Long ABS-MBS USGA US N 2 2051-06-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204H7A2 57.68700000 PA USD 61.30000000 0.000000170919 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J6NS9 96163.12410000 PA USD 105440.18000000 0.000293992436 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311VAG2 540000.00000000 PA USD 591516.00000000 0.001649288060 Long DBT CORP US N 2 2025-07-15 Fixed 0.05375000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J6MW1 13621.34840000 PA USD 14934.90000000 0.000041642072 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.04000000 N N N N N N OVINTIV INC N/A 292505AK0 3000000.00000000 PA USD 3198311.01000000 0.008917655925 Long DBT CORP US N 2 2041-11-15 Fixed 0.05150000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179Q3K5 2442570.42800000 PA USD 2671160.58000000 0.007447834466 Long ABS-MBS USGA US N 2 2045-02-20 Fixed 0.04000000 N N N N N N ALIBABA GROUP HOLDING LTD 5493001NTNQJDH60PM02 01609WAX0 2350000.00000000 PA USD 2281662.00000000 0.006361819282 Long DBT CORP KY N 2 2031-02-09 Fixed 0.02125000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3129413N5 51439.18750000 PA USD 57338.26000000 0.000159872780 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128K6NL0 23498.75000000 PA USD 26940.29000000 0.000075115970 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LSP61 13079.96760000 PA USD 13711.41000000 0.000038230689 Long ABS-MBS USGSE US N 2 2042-06-01 Variable 0.02284000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QPN83 4802.78550000 PA USD 5164.31000000 0.000014399331 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J8YQ7 65207.78350000 PA USD 71498.52000000 0.000199354971 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.04000000 N N N N N N IRON MTN INC SQL3F6CKNNBM3SQGHX24 46284VAF8 615000.00000000 PA USD 630375.00000000 0.001757636245 Long DBT CORP US N 2 2029-09-15 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412WJ72 1140.95120000 PA USD 1167.22000000 0.000003254488 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 0.06500000 N N N N N N PROSPER MARKETPLACE ISSUANCE TRUST SERIES 2019 N/A 74362GAA9 379525.45000000 PA USD 380302.15000000 0.001060373337 Long ABS-CBDO CORP US N 2 2026-02-17 Fixed 0.02480000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H6FW4 143078.06160000 PA USD 153382.34000000 0.000427666643 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VCD4 1344026.68640000 PA USD 1520030.88000000 0.004238209586 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.05000000 N N N N N N MARLETTE FUNDING TRUST 2020 N/A 57109JAA6 597876.07710000 PA USD 599313.49000000 0.001671029327 Long ABS-CBDO CORP US N 2 2030-03-15 Fixed 0.02240000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FVND4 47439.51610000 PA USD 51971.70000000 0.000144909527 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W4Y70 67803.40850000 PA USD 72601.95000000 0.000202431598 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208V6E0 493.96580000 PA USD 559.82000000 0.000001560912 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAF6 405000.00000000 PA USD 432499.50000000 0.001205912031 Long DBT CORP US N 2 2027-10-01 Fixed 0.03900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WTXU5 597298.34400000 PA USD 632850.38000000 0.001764538196 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208V4C6 71.93540000 PA USD 81.09000000 0.000000226098 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31372V2S4 773.06340000 PA USD 825.16000000 0.000002300743 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H6BQ1 1035330.61300000 PA USD 1092501.78000000 0.003046156218 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207VKC9 75.01830000 PA USD 78.96000000 0.000000220159 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W03B3 67428.07530000 PA USD 71652.20000000 0.000199783468 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209M4C5 187.92340000 PA USD 214.47000000 0.000000597993 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MKEZ5 24167.69240000 PA USD 25719.47000000 0.000071712032 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L7E70 207377.02420000 PA USD 222201.47000000 0.000619550834 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ATC47 58053.86200000 PA USD 66073.02000000 0.000184227380 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N ARAMARK SERVICES INC 42YMHYH0XMHJEXDUB065 038522AQ1 3530000.00000000 PA USD 3643621.88000000 0.010159289120 Long DBT CORP US N 2 2028-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XK6G4 5152.14590000 PA USD 5553.78000000 0.000015485266 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.03500000 N N N N N N CEDAR FDG XI CLO LTD N/A 15033LAA0 4342000.00000000 PA USD 4342308.28000000 0.012107393884 Long ABS-CBDO CORP KY N 2 2032-05-29 Variable 0.01540500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208WZ97 809.76560000 PA USD 907.75000000 0.000002531024 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6FL0 30339118.38100000 PA USD 32064355.38000000 0.089403090524 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31339GVS7 24825.27000000 PA USD 3195.58000000 0.000008910041 Long ABS-CBDO USGSE US N 2 2031-11-15 Variable 0.08099120 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31296PHP0 966.22980000 PA USD 1095.77000000 0.000003055268 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.05000000 N N N N N N HOWMET AEROSPACE INC 549300HO5WFZUT5N2T22 022249AU0 365000.00000000 PA USD 435718.75000000 0.001214888070 Long DBT CORP US N 2 2028-01-15 Fixed 0.06750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128K8AJ5 2795.51000000 PA USD 3113.69000000 0.000008681712 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375DMV2 245.79860000 PA USD 271.95000000 0.000000758261 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128L13Y4 15653.46640000 PA USD 18625.08000000 0.000051931176 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283H6W0 82300.41870000 PA USD 94758.19000000 0.000264208493 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.06000000 N N N N N N LENNAR CORP 529900G61XVRLX5TJX09 526057CD4 9429000.00000000 PA USD 10904119.91000000 0.030403293870 Long DBT CORP US N 2 2027-11-29 Fixed 0.04750000 N N N N N N BAYVIEW COML ASSET TR N/A 07324SDM1 9235.99240000 PA USD 7482.74000000 0.000020863668 Long ABS-MBS CORP US N 2 2036-04-25 Variable 0.01051630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374QT96 62.00150000 PA USD 68.29000000 0.000000190408 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X3BP2 500960.20900000 PA USD 536142.14000000 0.001494892496 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3133TKZ78 22224.78250000 PA USD 23953.54000000 0.000066788197 Long ABS-CBDO USGSE US N 2 2029-05-15 Fixed 0.06250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FP67 51396.91370000 PA USD 56675.17000000 0.000158023927 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XRA74 21734.01500000 PA USD 24492.90000000 0.000068292062 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BEC8 150.08580000 PA USD 169.74000000 0.000000473275 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MRUW9 19816.26880000 PA USD 20632.35000000 0.000057527925 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.02500000 N N N N N N CIT GROUP INC NEW N8O96ZZJQRFYQUJY7K79 125581HA9 1900000.00000000 PA USD 2012575.00000000 0.005611540378 Long DBT CORP US N 2 2024-06-19 Variable 0.03929000 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AY0 4642000.00000000 PA USD 5278621.94000000 0.014718060274 Long DBT CORP US N 2 2025-07-23 Fixed 0.04908000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128K8MU7 12227.29340000 PA USD 13976.14000000 0.000038968820 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NX52 83459.71950000 PA USD 90105.73000000 0.000251236322 Long ABS-MBS USGA US N 2 2044-01-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287LNP3 501.39150000 PA USD 595.67000000 0.000001660870 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J23P6 1160984.88100000 PA USD 1230508.49000000 0.003430951928 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 63906YAA6 15700000.00000000 PA USD 16300242.24000000 0.045448973331 Long DBT CORP GB N 2 2023-05-21 Fixed 0.02375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180JA95 28189.97960000 PA USD 30040.40000000 0.000083759818 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36292BE44 7952.22930000 PA USD 9411.00000000 0.000026240118 Long ABS-MBS USGA US N 2 2035-10-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378YNA8 153.89100000 PA USD 168.48000000 0.000000469762 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945YK8 6883.77190000 PA USD 7853.25000000 0.000021896738 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FVZ7 333.58660000 PA USD 390.72000000 0.000001089420 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPCL5 500000.00000000 PA USD 498895.00000000 0.001391038563 Long DBT CORP US N 2 2033-06-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359VU27 34861.02210000 PA USD 39155.84000000 0.000109175845 Long ABS-CBDO USGSE US N 2 2029-06-25 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132Y2TM8 218257.71900000 PA USD 230364.45000000 0.000642311174 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204QCL2 53.22480000 PA USD 56.56000000 0.000000157702 Long ABS-MBS USGA US N 2 2024-01-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6FD8 20758515.26900000 PA USD 22305379.63000000 0.062192732415 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.03500000 N N N N N N DEUTSCHE BANK AG NEW YORK BNCH 7LTWFZYICNSX8D621K86 251526CF4 10000000.00000000 PA USD 10016956.30000000 0.027929669573 Long DBT CORP US N 2 2032-01-14 Variable 0.03729000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XV5G1 41734.53950000 PA USD 46914.88000000 0.000130809904 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.05000000 N N N N N N ALEXANDRIA REAL EST EQUITS INC MGCJBT4MKTQBVLNUIS88 015271AW9 8258000.00000000 PA USD 7858957.75000000 0.021912653562 Long DBT CORP US N 2 2032-05-18 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FZX7 592145.42200000 PA USD 642629.55000000 0.001791804860 Long ABS-MBS USGA US N 2 2041-12-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297BF63 39559.66850000 PA USD 43681.49000000 0.000121794439 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410KLL6 302.16000000 PA USD 362.40000000 0.000001010457 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 0.06500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SB97 1921797.46890000 PA USD 2089639.38000000 0.005826414298 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FPP7 646544.91500000 PA USD 688867.03000000 0.001920726012 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380VZK5 984.81020000 PA USD 1118.76000000 0.000003119370 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404HLC1 1104.99310000 PA USD 1267.88000000 0.000003535152 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.07000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83367TBJ7 7110000.00000000 PA USD 7757412.85000000 0.021629522098 Long DBT CORP FR N 2 2025-04-14 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177NVM9 20607.55000000 PA USD 22645.22000000 0.000063140288 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MSY7 11016191.27700000 PA USD 12088462.17000000 0.033705523310 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180UE88 6198.56340000 PA USD 6605.44000000 0.000018417546 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373URK5 126.80290000 PA USD 140.48000000 0.000000391691 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07000000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 02005NBM1 2600000.00000000 PA USD 2671500.00000000 0.007448780850 Long EP CORP US N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XQFE6 30286.40620000 PA USD 33537.14000000 0.000093509566 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 0.04500000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAW7 75840000.00000000 PA USD 85812804.53000000 0.239266619914 Long DBT CORP IT N 2 2026-01-15 Fixed 0.05710000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946MC7 36587.54140000 PA USD 40783.42000000 0.000113713927 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M2L0 1417.57700000 PA USD 1566.86000000 0.000004368780 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31296XSH9 5996.97360000 PA USD 6832.57000000 0.000019050839 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.05000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZR7 1320000.00000000 PA USD 1447340.40000000 0.004035531145 Long DBT CORP US N 2 2029-05-03 Fixed 0.05113000 N N N N N N HEALTHCARE TRUST OF AMERICA HOLDINGS LP 549300IYGAS4GE6VDL07 42225UAD6 1945000.00000000 PA USD 2144497.39000000 0.005979371548 Long DBT CORP US N 2 2026-08-01 Fixed 0.03500000 N N N N N N SANTANDER RETAIL AUTO LEASE TRUST 2019-C N/A 80284NAB4 1328432.66400000 PA USD 1332195.45000000 0.003714479489 Long ABS-CBDO CORP US N 2 2022-09-20 Fixed 0.01890000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAX9 945000.00000000 PA USD 905310.00000000 0.002524220771 Long DBT CORP US N 2 2031-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384WFB1 172.06440000 PA USD 197.02000000 0.000000549338 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07000000 N N N N N N CAPITAL ONE FINANCIAL CORP ZUE8T73ROZOF6FLBAR73 14040HCE3 21700000.00000000 PA USD 24127999.33000000 0.067274631992 Long DBT CORP US N 2 2027-05-11 Fixed 0.03650000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QQQ47 28835.33680000 PA USD 31005.91000000 0.000086451891 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241L5K8 13398.90730000 PA USD 14519.98000000 0.000040485176 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N COLUMBIA CENT CLO 30 LTD / COLUMBIA CENT CLO 30 CORP N/A 19736WAC4 12220000.00000000 PA USD 12233723.06000000 0.034110545408 Long ABS-CBDO CORP KY N 2 2034-01-20 Variable 0.01534000 N N N N N N LEXINGTON CORP PPTYS TR REIT 549300S4MH2ICXDBFV43 529043AD3 948000.00000000 PA USD 1029422.35000000 0.002870275683 Long DBT CORP US N 2 2024-06-15 Fixed 0.04400000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209GYD3 598.22020000 PA USD 676.55000000 0.000001886383 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NF78 600747.77600000 PA USD 650463.44000000 0.001813647619 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P8DR9 22644.05680000 PA USD 23915.14000000 0.000066681129 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.03000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BFQ0 150728.88760000 PA USD 150817.14000000 0.000420514252 Long ABS-CBDO USGA US N 2 2060-08-20 Variable 0.00410380 N N N N N N US FOODS INC 5493000JOOFAOUY1JZ87 90290MAC5 445000.00000000 PA USD 471495.30000000 0.001314641647 Long DBT CORP US N 2 2025-04-15 Fixed 0.06250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2A77 4751651.96800000 PA USD 5153790.45000000 0.014370000228 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376KTJ5 13227.99540000 PA USD 15642.36000000 0.000043614640 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N BAYVIEW COML ASSET TR 2007 3 N/A 07325YAE8 50383.34000000 PA USD 45327.95000000 0.000126385164 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.00461630 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375UDY3 1663755.50180000 PA USD 1674043.00000000 0.004667632207 Long ABS-CBDO USGA US N 2 2063-12-20 Variable 0.00710380 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J2XM0 817982.98400000 PA USD 866966.50000000 0.002417309924 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31296RHY7 7478.92820000 PA USD 8466.38000000 0.000023606292 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335AFU7 1990381.44360000 PA USD 2170502.01000000 0.006051878647 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LQAE4 7672.25880000 PA USD 8413.61000000 0.000023459156 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HHG3 97.27000000 PA USD 113.99000000 0.000000317831 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 0.07500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 313920CW8 26291.00370000 PA USD 29908.62000000 0.000083392384 Long ABS-CBDO USGSE US N 2 2031-07-25 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M8KV7 74773.64790000 PA USD 81706.82000000 0.000227818153 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JPAU9 356808.09000000 PA USD 378967.30000000 0.001056651456 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417YGY7 4861.05250000 PA USD 5423.42000000 0.000015121791 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GLX2 49923.38280000 PA USD 53191.31000000 0.000148310092 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LKV7 256519.39760000 PA USD 295480.36000000 0.000823869903 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389SUT9 185.09310000 PA USD 216.52000000 0.000000603709 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AHNV4 7289.20730000 PA USD 7995.83000000 0.000022294286 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E7ZV9 63904.30910000 PA USD 70099.22000000 0.000195453388 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179ME48 5728.18000000 PA USD 6285.74000000 0.000017526146 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F1VB5 16378.46300000 PA USD 17389.60000000 0.000048486363 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JJPN3 1309488.82800000 PA USD 1411983.17000000 0.003936946733 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407QGZ3 194.16960000 PA USD 230.41000000 0.000000642438 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31298MDZ7 1183.75000000 PA USD 1382.14000000 0.000003853736 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NXM20 36220.84660000 PA USD 38591.82000000 0.000107603222 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376ULM4 102.29840000 PA USD 111.44000000 0.000000310721 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401N2T5 15208.86970000 PA USD 16798.33000000 0.000046837761 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GKF92 746911.26700000 PA USD 819638.39000000 0.002285347835 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FNS7 95.57380000 PA USD 107.34000000 0.000000299289 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.07500000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 2580000.00000000 NC USD 15725.31000000 0.000043845924 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S13 PRC INDX CY451600 Y 2072-12-16 15058.80000000 USD 0.00000000 USD 2580000.00000000 USD 666.51000000 N N N STORE CAP CORP 5493004EA6C9IHDZ7N66 862121AB6 2374000.00000000 PA USD 2678712.70000000 0.007468891582 Long DBT CORP US N 2 2029-03-15 Fixed 0.04625000 N N N N N N PUGET ENERGY INC SYBSJ96YIDMIUY7WDR33 745310AK8 6250000.00000000 PA USD 6893906.44000000 0.019221859732 Long DBT CORP US N 2 2030-06-15 Fixed 0.04100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ASH2 66810.62570000 PA USD 70274.23000000 0.000195941358 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EBDJ7 256254.97100000 PA USD 278293.67000000 0.000775949301 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208FJT8 2414.40760000 PA USD 2729.22000000 0.000007609718 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WN5F2 375828.89550000 PA USD 406418.40000000 0.001133191688 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375CAV7 74.59310000 PA USD 79.62000000 0.000000221999 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290YKU1 2512.76280000 PA USD 2881.25000000 0.000008033614 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 0.05500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38374F2L7 224032.23680000 PA USD 249717.53000000 0.000696272189 Long ABS-CBDO USGA US N 2 2034-04-20 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CM27 89345.47500000 PA USD 93535.40000000 0.000260799062 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.02500000 N N N N N N NAKILAT INC 2549006RMTDJWLLWF072 62983PAA3 1213000.00000000 PA USD 1475538.69000000 0.004114154721 Long DBT CORP MH N 2 2033-12-31 Fixed 0.06067000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ESAU2 974181.48900000 PA USD 1039468.31000000 0.002898286222 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132Y1TS7 158505.81100000 PA USD 167291.93000000 0.000466449906 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300MH89 31416.15640000 PA USD 33307.79000000 0.000092870083 Long ABS-MBS USGSE US N 2 2042-10-01 Variable 0.02536000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JGYA7 99087.96500000 PA USD 108538.78000000 0.000302632074 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YS3T1 56807.02460000 PA USD 62353.97000000 0.000173857779 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207KJ35 31.76430000 PA USD 33.56000000 0.000000093573 Long ABS-MBS USGA US N 2 2029-02-15 Fixed 0.07000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CR4 865000.00000000 PA USD 833643.75000000 0.002324398128 Long DBT CORP US N 2 2026-08-15 Fixed 0.03200000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GSD3 99352.00080000 PA USD 108906.57000000 0.000303657560 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M1MS4 27745.20840000 PA USD 30020.79000000 0.000083705141 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296XYZ1 30203.98880000 PA USD 34529.95000000 0.000096277757 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.05000000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A -538.00000000 NC USD -131321.77000000 -0.00036615649 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UST NOTES 0% 06/30/2040 2021-09-30 -66500818.86000000 USD -131321.77000000 N N N VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC N/A 92918HAA8 9150000.00000000 PA USD 9154840.35000000 0.025525884142 Long ABS-CBDO CORP US N 2 2031-07-19 Variable 0.01789750 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335BSG2 324095.47500000 PA USD 350821.07000000 0.000978173036 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J4FN4 1532801.60240000 PA USD 1624111.82000000 0.004528412136 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208MZX6 56.95950000 PA USD 64.70000000 0.000000180399 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207AXT4 242.35940000 PA USD 259.50000000 0.000000723548 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YURU7 29335.81350000 PA USD 31531.00000000 0.000087915968 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ETZ4 731174.38430000 PA USD 779036.26000000 0.002172139388 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419MBT7 20265.52250000 PA USD 22406.79000000 0.000062475488 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207KHW3 111.15720000 PA USD 126.74000000 0.000000353381 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392CVK7 16388.78390000 PA USD 19010.79000000 0.000053006628 Long ABS-CBDO USGSE US N 2 2032-04-25 Fixed 0.06500000 N N N N N N MARLETTE FUNDING TRUST 2019 N/A 57110AAA2 1374314.45000000 PA USD 1381951.52000000 0.003853211311 Long ABS-CBDO CORP US N 2 2029-12-17 Fixed 0.02390000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8K87 228314.99580000 PA USD 247754.99000000 0.000690800159 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406MA71 20175.26100000 PA USD 21002.95000000 0.000058561247 Long ABS-MBS USGSE US N 2 2035-01-01 Variable 0.01755000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QNGS2 798382.73400000 PA USD 858979.66000000 0.002395040704 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N METHANEX CORP 549300TSJHRXT9QXRD13 59151KAJ7 581000.00000000 PA USD 588930.65000000 0.001642079486 Long DBT CORP CA N 2 2044-12-01 Fixed 0.05650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EXER0 1279570.32220000 PA USD 1404412.24000000 0.003915837169 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AMW7 54.39690000 PA USD 57.03000000 0.000000159013 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206MPJ0 387.18450000 PA USD 418.17000000 0.000001165957 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FZD2 782.16790000 PA USD 913.03000000 0.000002545745 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EKFA8 42278.66370000 PA USD 44993.33000000 0.000125452163 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GF2Z9 151876.76290000 PA USD 169288.13000000 0.000472015789 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405SAG9 1332.92000000 PA USD 1581.45000000 0.000004409460 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.06500000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2013-LC11 N/A 46639YAU1 5691000.00000000 PA USD 5914634.11000000 0.016491414297 Long ABS-MBS CORP US N 2 2046-04-15 Fixed 0.03216000 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAA7 5327000.00000000 PA USD 5845806.38000000 0.016299506127 Long DBT CORP US N 2 2024-04-01 Fixed 0.04600000 N N N N N N CLECO CORPORATE HLDGS LLC 5493002H80P81B3HXL31 18551PAE9 4843000.00000000 PA USD 4953400.93000000 0.013811266326 Long DBT CORP US N 2 2029-09-15 Fixed 0.03375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206WCZ6 350.79950000 PA USD 384.15000000 0.000001071102 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QWH44 13055.55170000 PA USD 14034.22000000 0.000039130761 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283G7J0 58.42750000 PA USD 66.00000000 0.000000184023 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.08500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAT3 10000000.00000000 PA USD 11308800.30000000 0.031531639571 Long DBT CORP US N 2 2029-01-30 Fixed 0.04625000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RXE4 57205.12000000 PA USD 62290.56000000 0.000173680977 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WCLT8 25557.34900000 PA USD 27541.68000000 0.000076792790 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208TMC1 525.23010000 PA USD 576.70000000 0.000001607977 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XYLF2 331604.65510000 PA USD 357351.73000000 0.000996382078 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E0JS9 17975.85020000 PA USD 19718.44000000 0.000054979726 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383JEA4 499.67900000 PA USD 580.99000000 0.000001619939 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H030666 -29500000.00000000 PA USD -30777397.20000000 -0.08581474336 Short ABS-MBS USGA US N 2 2051-06-01 Fixed 0.03000000 N N N N N N ORGANON FINANCE 1 LLC 549300SH15FO4Y2G3V63 68622TAA9 530000.00000000 PA USD 535300.00000000 0.001492544409 Long DBT CORP US N 2 2028-04-30 Fixed 0.04125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LA36 121.69360000 PA USD 129.07000000 0.000000359878 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946LH7 29898.26760000 PA USD 33327.02000000 0.000092923701 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 313988N52 232.78000000 PA USD 247.01000000 0.000000688722 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 0.06500000 N N N N N N CLEARWAY ENERGY OPERATING LLC 549300Z3NFMM54NWBB87 18539UAD7 925000.00000000 PA USD 894937.50000000 0.002495299761 Long DBT CORP US N 2 2031-02-15 Fixed 0.03750000 N N N N N N SYMPHONY CLO XXIII LTD N/A 87167NAC9 5300000.00000000 PA USD 5308755.60000000 0.014802080124 Long ABS-CBDO CORP KY N 2 2034-01-15 Variable 0.01503750 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211NPC6 954.51030000 PA USD 1104.84000000 0.000003080558 Long ABS-MBS USGA US N 2 2029-11-15 Fixed 0.07000000 N N N N N N NEW RESIDENTIAL MTG LN TR 2020-1 N/A 64830TAD0 5927450.97820000 PA USD 6286848.34000000 0.017529236580 Long ABS-CBDO CORP US N 2 2059-10-25 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JWBD1 557110.85200000 PA USD 603152.72000000 0.001681734018 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295HAZ3 7656.63490000 PA USD 8906.22000000 0.000024832671 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402HVE8 5766.79900000 PA USD 6335.48000000 0.000017664833 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417TRR1 201630.28760000 PA USD 225480.19000000 0.000628692690 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208MZ24 76.76000000 PA USD 86.44000000 0.000000241015 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297S6M2 954.21980000 PA USD 1091.06000000 0.000003042136 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137BYKR0 1227287.72070000 PA USD 1299943.89000000 0.003624554428 Long ABS-CBDO USGSE US N 2 2047-05-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379V3J6 642.86760000 PA USD 742.06000000 0.000002069040 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.07500000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05578QAE3 7383000.00000000 PA USD 8374688.92000000 0.023350635394 Long DBT CORP FR N 2 2026-04-01 Fixed 0.04875000 N N N N N N CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1 N/A 14855MAB4 3608108.29900000 PA USD 3388994.74000000 0.009449327763 Long ABS-CBDO CORP US N 2 2039-04-15 Fixed 0.05095000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31365DVM4 78.75240000 PA USD 81.74000000 0.000000227910 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 0.06500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QYT2 2338057.90400000 PA USD 2556867.16000000 0.007129157079 Long ABS-MBS USGA US N 2 2045-01-20 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136ANY68 909949.99560000 PA USD 178343.37000000 0.000497263963 Long ABS-CBDO USGSE US N 2 2045-06-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJQU5 419838.93070000 PA USD 454272.90000000 0.001266621477 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR N/A 12515DAP9 10467000.00000000 PA USD 11310292.70000000 0.031535800739 Long ABS-MBS CORP US N 2 2050-05-10 Fixed 0.03317000 N N N N N N GINNIE MAE REMIC TR 2007-075 N/A 38376REM4 120363.55130000 PA USD 124972.79000000 0.000348454023 Long ABS-CBDO USGA US N 2 2065-05-20 Variable 0.04001310 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419E4N6 43598.94450000 PA USD 48108.17000000 0.000134137082 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP N/A 432891AK5 164000.00000000 PA USD 170835.52000000 0.000476330282 Long DBT CORP US N 2 2027-04-01 Fixed 0.04875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H032662 -39450000.00000000 PA USD -41495261.58000000 -0.11569871227 Short ABS-MBS USGA US N 2 2051-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CS47 5082579.51100000 PA USD 5369593.79000000 0.014971711546 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132MAML2 139086.12870000 PA USD 153292.58000000 0.000427416370 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.04500000 N N N N N N LEVI STRAUSS and COMPANY NEW MB0UERO0RDFKU8258G77 52736RBJ0 355000.00000000 PA USD 349582.70000000 0.000974720165 Long DBT CORP US N 2 2031-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FUY1 668.62630000 PA USD 781.40000000 0.000002178730 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N MGM GROWTH PPTYS OPER PARTNERSHIP LP / MGP FIN CO-ISSUER INC N/A 55303XAJ4 256000.00000000 PA USD 283440.64000000 0.000790300285 Long DBT CORP US N 2 2027-02-01 Fixed 0.05750000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380XFF9 1349839.27720000 PA USD 1352823.77000000 0.003771996178 Long ABS-CBDO USGA US N 2 2048-06-20 Variable 0.00399250 N N N N N N GEMS MENASA KY LTD/GEMS N/A 36166LAA5 765000.00000000 PA USD 801337.50000000 0.002234320578 Long DBT CORP KY N 2 2026-07-31 Fixed 0.07125000 N N N N N N ANHEUSER-BUSCH INBEV FIN INC 5493000EYEKDT0FBSQ91 035242AN6 14391000.00000000 PA USD 17181811.80000000 0.047907000079 Long DBT CORP US N 2 2046-02-01 Fixed 0.04900000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335ARH3 1629442.76360000 PA USD 1787975.16000000 0.004985302314 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380HC42 1790200.91580000 PA USD 1895931.44000000 0.005286310239 Long ABS-CBDO USGA US N 2 2047-09-20 Fixed 0.03000000 N N N N N N BAYVIEW COML ASSET TR 2007 3 N/A 07325YAF5 79213.81000000 PA USD 70825.80000000 0.000197479267 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.00591630 N N N N N N BAMLL COML MTG SECS TR 2020-JGDN N/A 05493DAA2 10322000.00000000 PA USD 10470812.27000000 0.029195128551 Long ABS-MBS CORP US N 2 2030-11-15 Variable 0.02851000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179S5M5 6295158.72610000 PA USD 6760360.88000000 0.018849502775 Long ABS-MBS USGA US N 2 2047-05-20 Fixed 0.04000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WBG7 1614000.00000000 PA USD 1663052.69000000 0.004636988594 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 0.05542200 N N N N N N BRANDYWINE OPER PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AM5 7832000.00000000 PA USD 8197852.53000000 0.022857573250 Long DBT CORP US N 2 2023-02-15 Fixed 0.03950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ESS1 24596.34660000 PA USD 25609.29000000 0.000071404824 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207UGA0 7.72000000 PA USD 8.68000000 0.000000024201 Long ABS-MBS USGA US N 2 2026-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HJ53 492.98680000 PA USD 556.59000000 0.000001551906 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.07500000 N N N N N N RMF BUYOUT ISSUANCE TRUST 2020-2 N/A 74969BAA7 18477527.47000000 PA USD 18527834.39000000 0.051660032941 Long ABS-CBDO CORP US N 2 2030-06-25 Fixed 0.01706300 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XAB6 1134924.77130000 PA USD 1252167.49000000 0.003491342399 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XTLQ9 23948.84580000 PA USD 25945.85000000 0.000072343234 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31377K3J2 1112.08690000 PA USD 1265.02000000 0.000003527178 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HNCX5 56296.67230000 PA USD 60921.42000000 0.000169863487 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MMWQ2 168730.97200000 PA USD 176692.58000000 0.000492661166 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296YAH5 35149.84420000 PA USD 39683.69000000 0.000110647617 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.04500000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3133TDML7 5754.30000000 PA USD 6491.54000000 0.000018099965 Long ABS-CBDO USGSE US N 2 2028-04-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386STY3 240.96050000 PA USD 276.80000000 0.000000771784 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARLM1 5541.19950000 PA USD 6113.67000000 0.000017046373 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N MAGNETITE XXI LTD 2019-21A A N/A 55954WAA7 23148000.00000000 PA USD 23142120.41000000 0.064525765804 Long ABS-CBDO CORP KY N 2 2033-01-15 Variable 0.01513750 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L67D7 601683.22260000 PA USD 645634.98000000 0.001800184718 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AWP8 497139.29740000 PA USD 526277.87000000 0.001467388553 Long ABS-MBS USGSE US N 2 2040-12-01 Variable 0.02385000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAA3 293000.00000000 PA USD 300609.61000000 0.000838171479 Long DBT CORP IE N 2 2022-05-26 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MQW58 21727.48440000 PA USD 23122.58000000 0.000064471282 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31342AU64 23626.63160000 PA USD 24855.46000000 0.000069302966 Long ABS-MBS USGSE US N 2 2033-06-01 Variable 0.02313000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212NTV9 632.01730000 PA USD 740.73000000 0.000002065332 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LBU5 194.54880000 PA USD 204.68000000 0.000000570696 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36181KC81 20880.19200000 PA USD 22614.68000000 0.000063055135 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 0.03500000 N N N N N N JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC N/A 46590XAA4 32201000.00000000 PA USD 36105371.25000000 0.100670409119 Long DBT CORP US N 2 2029-04-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371HNH7 425.46120000 PA USD 493.52000000 0.000001376051 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.07500000 N N N N N N Fidelity Securities Fund LIUMB3NDWOFJPXVROE85 316389444 49903219.41200000 NS USD 646246691.39000000 1.801890316100 Long EC RF US N 1 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5AR0 103905.17250000 PA USD 118225.45000000 0.000329640826 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC N/A 013092AG6 2020000.00000000 PA USD 1937180.00000000 0.005401321088 Long DBT CORP US N 2 2029-03-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SYE3 49270.80290000 PA USD 53302.08000000 0.000148618945 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W0HV4 60494.67930000 PA USD 64454.59000000 0.000179714810 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CVE1 866302.08000000 PA USD 914417.80000000 0.002549615496 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202F3P9 21494.73000000 PA USD 23788.66000000 0.000066328472 Long ABS-MBS USGA US N 2 2042-02-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AXFN6 1443439.81470000 PA USD 1583367.59000000 0.004414807480 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206AM59 104.30000000 PA USD 114.59000000 0.000000319504 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390HDT9 397.92400000 PA USD 471.56000000 0.000001314822 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07000000 N N N N N N LAMAR MEDIA CORP N/A 513075BX8 515000.00000000 PA USD 495646.30000000 0.001381980411 Long DBT CORP US N 2 2031-01-15 Fixed 0.03625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AKL3 181.62400000 PA USD 198.85000000 0.000000554441 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207QAC1 429.59510000 PA USD 476.98000000 0.000001329934 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133TLBA5 8869.26250000 PA USD 9837.15000000 0.000027428326 Long ABS-CBDO USGSE US N 2 2029-06-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WZUX8 19680.91030000 PA USD 20975.35000000 0.000058484291 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC N/A 87190GAC5 7300000.00000000 PA USD 7290765.50000000 0.020328397694 Long ABS-CBDO CORP KY N 2 2033-04-20 Variable 0.01189240 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38382BUU5 14623497.76300000 PA USD 14720039.17000000 0.041042989289 Long ABS-CBDO USGA US N 2 2049-12-20 Variable 0.00549250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EL80 27340.30710000 PA USD 30148.43000000 0.000084061032 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CL6 1277000.00000000 PA USD 1335979.64000000 0.003725030716 Long DBT CORP US N 2 2030-04-15 Fixed 0.02875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RVC0 72199.69900000 PA USD 78618.14000000 0.000219206174 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 0.04000000 N N N N N N ALTICE FING SA 549300DIYGW8HVDF7Q17 02154CAF0 225000.00000000 PA USD 223283.25000000 0.000622567095 Long DBT CORP LU N 2 2028-01-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307UH50 51619.09260000 PA USD 55176.27000000 0.000153844635 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31395VV55 17830.81610000 PA USD 19007.69000000 0.000052997985 Long ABS-CBDO USGSE US N 2 2025-07-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4HT0 8987.24100000 PA USD 9958.19000000 0.000027765815 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38375C5E6 170448.98480000 PA USD 35756.96000000 0.000099698955 Long ABS-CBDO USGA US N 2 2042-06-16 Variable 0.06599120 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QFA74 14773611.60500000 PA USD 15394722.31000000 0.042924167224 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203FVJ1 1.19350000 PA USD 1.20000000 0.000000003345 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MLFP4 47527.96780000 PA USD 50579.69000000 0.000141028271 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BB2 510000.00000000 PA USD 498423.00000000 0.001389722514 Long DBT CORP US N 2 2030-12-01 Fixed 0.04125000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M9C67 21653.63640000 PA USD 23439.24000000 0.000065354206 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L7RM3 386379.50800000 PA USD 420137.68000000 0.001171444321 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N Fidelity School Street Trust WX9R9SUUXPO900BH1D05 31638R881 3147903.31300000 NS USD 30723536.33000000 0.085664566375 Long EC RF US N 1 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36183WV82 3402.42770000 PA USD 3597.06000000 0.000010029463 Long ABS-MBS USGA US N 2 2045-05-15 Fixed 0.03000000 N N N N N N TOLL BROTHERS FINANCE CORP N/A 88947EAR1 45000.00000000 PA USD 50529.15000000 0.000140887353 Long DBT CORP US N 2 2025-11-15 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31382GHR1 38.90700000 PA USD 44.44000000 0.000000123909 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208HLF1 225.81790000 PA USD 254.89000000 0.000000710694 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7HG7 81304100.41000000 PA USD 85698798.43000000 0.238948743645 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NH99 6061.86520000 PA USD 6806.98000000 0.000018979488 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GV3Q6 1019721.78400000 PA USD 1077305.68000000 0.003003785857 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36184BJL2 100360.94240000 PA USD 110294.04000000 0.000307526158 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617MK4F3 6287643.29000000 PA USD 6689027.57000000 0.018650608448 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379FYH1 150.77820000 PA USD 169.58000000 0.000000472829 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 0.07000000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAN5 6613000.00000000 PA USD 7747079.97000000 0.021600711557 Long DBT CORP IE N 2 2025-07-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223U5S3 35.80210000 PA USD 36.09000000 0.000000100627 Long ABS-MBS USGA US N 2 2022-01-15 Fixed 0.08000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QYU9 45329.52400000 PA USD 49954.64000000 0.000139285482 Long ABS-MBS USGA US N 2 2045-01-20 Fixed 0.04500000 N N N N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 04010LAX1 15463000.00000000 PA USD 16657874.87000000 0.046446138626 Long DBT CORP US N 2 2024-06-10 Fixed 0.04200000 N N N N N N BAYVIEW COML ASSET TR N/A 07324SDF6 15274.89470000 PA USD 14471.40000000 0.000040349723 Long ABS-MBS CORP US N 2 2036-04-25 Variable 0.00631630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JHVQ3 187647.23800000 PA USD 205544.66000000 0.000573107665 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M4W92 13276.22500000 PA USD 14728.22000000 0.000041065799 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179S2Q9 46677666.92300000 PA USD 50272939.53000000 0.140172977452 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31397CXF1 54630.18610000 PA USD 62650.42000000 0.000174684352 Long ABS-CBDO USGSE US N 2 2036-12-15 Fixed 0.05500000 N N N N N N MORGAN STANLEY CAPITAL BARCLAYS BANK TRUST 2016-MART N/A 61691BAA9 3061000.00000000 PA USD 3062204.20000000 0.008538157591 Long ABS-MBS CORP US N 2 2031-09-13 Fixed 0.02200400 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31397G6Z8 268771.85210000 PA USD 66544.69000000 0.000185542508 Long ABS-CBDO USGSE US N 2 2037-03-15 Variable 0.06649120 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A8G67 9019.34500000 PA USD 9954.95000000 0.000027756781 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206ND36 443.27230000 PA USD 489.25000000 0.000001364145 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKQM0 31134.82880000 PA USD 33943.93000000 0.000094643794 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RXE9 329.63610000 PA USD 375.10000000 0.000001045868 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M7CD5 237264.55210000 PA USD 256650.16000000 0.000715602020 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N Fidelity Advisor Series I C7J4FOV6ELAVE39B7M82 315916783 83635074.65400000 NS USD 790351455.48000000 2.203688858943 Long EC RF US N 1 N N N COLUMBIA PIPELINE GROUP INC 549300SRP1TQM9JJBG80 198280AF6 852000.00000000 PA USD 961046.26000000 0.002679626793 Long DBT CORP US N 2 2025-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376D2H4 9.63690000 PA USD 10.82000000 0.000000030168 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SCA3 64719.82900000 PA USD 71323.39000000 0.000198866667 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394UHV7 21308.66490000 PA USD 19771.95000000 0.000055128924 Long ABS-CBDO USGSE US N 2 2035-11-25 Fixed 0.00000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31292GM86 7.79850000 PA USD 8.55000000 0.000000023839 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 0.08500000 N N N N N N FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC N/A 33883MAA2 8920000.00000000 PA USD 8994401.72000000 0.025078542875 Long ABS-CBDO CORP KY N 2 2033-11-20 Variable 0.01455250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q7DQ7 252881.28900000 PA USD 268327.18000000 0.000748160344 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AR3K5 32986.55790000 PA USD 36402.44000000 0.000101498707 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HQG8 25878.80170000 PA USD 28246.03000000 0.000078756686 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N DISCOVERY COMMUNICATIONS LLC L2Z2MO2EQURH3BREWI15 25470DBJ7 6407000.00000000 PA USD 6847114.26000000 0.019091391944 Long DBT CORP US N 2 2030-05-15 Fixed 0.03625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ATL96 85862.41230000 PA USD 94119.71000000 0.000262428258 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194GPG3 51220.55830000 PA USD 55905.89000000 0.000155878990 Long ABS-MBS USGA US N 2 2046-07-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209DWV2 168.37000000 PA USD 190.62000000 0.000000531494 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N ROYAL CARIBBEAN CRUISES LTD K2NEH8QNVW44JIWK7Z55 780153AZ5 545000.00000000 PA USD 630837.50000000 0.001758925805 Long DBT CORP LR N 2 2025-06-01 Fixed 0.11500000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 5493007OD9MH69ES1S63 95000HBE1 4700000.00000000 PA USD 4967801.30000000 0.013851418001 Long ABS-MBS CORP US N 2 2049-10-15 Fixed 0.02684000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 03523TBW7 14304000.00000000 PA USD 19428150.10000000 0.054170328438 Long DBT CORP US N 2 2059-01-23 Fixed 0.05800000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394EB64 6451.67350000 PA USD 8633.00000000 0.000024070868 Long ABS-CBDO USGSE US N 2 2035-08-25 Variable 0.17311762 N N N N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 225433AR2 3126000.00000000 PA USD 3543865.39000000 0.009881144171 Long DBT CORP CH N 2 2026-04-17 Fixed 0.04550000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31381C5S2 2050.29950000 PA USD 2255.43000000 0.000006288678 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VBL7 1508940.63260000 PA USD 1672882.66000000 0.004664396901 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1 N/A 14856GAB6 3389439.62900000 PA USD 3544505.14000000 0.009882927947 Long ABS-CBDO CORP US N 2 2046-01-15 Fixed 0.06656000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31387QL81 35805.98980000 PA USD 41265.80000000 0.000115058918 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378QY39 257.37380000 PA USD 295.49000000 0.000000823896 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FB43 185.16090000 PA USD 202.00000000 0.000000563224 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H8QK4 1745369.73000000 PA USD 1891928.78000000 0.005275149865 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38381RQS1 4031936.48600000 PA USD 4072527.20000000 0.011355179719 Long ABS-CBDO USGA US N 2 2049-02-20 Variable 0.00549250 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MMXB4 174941.58100000 PA USD 184769.41000000 0.000515181299 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204GPH9 28.96180000 PA USD 31.50000000 0.000000087829 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 0.08000000 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851AP4 2744000.00000000 PA USD 3739120.82000000 0.010425563002 Long DBT CORP US N 2 2039-10-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y3T35 9144.86030000 PA USD 10089.25000000 0.000028131241 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223XPM8 20.28620000 PA USD 20.66000000 0.000000057605 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EQJ1 186801.96730000 PA USD 206244.60000000 0.000575059265 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DZK0 252431.14620000 PA USD 270557.14000000 0.000754378006 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38379AEF3 1845523.52120000 PA USD 1945036.73000000 0.005423227530 Long ABS-CBDO USGA US N 2 2044-02-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388UFT2 541.56190000 PA USD 641.22000000 0.000001787874 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMFZ0 12081.69450000 PA USD 13832.41000000 0.000038568066 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402ESL3 29326.22540000 PA USD 32380.30000000 0.000090284019 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2ME6 64270.57280000 PA USD 70950.31000000 0.000197826431 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213FZD8 678.23610000 PA USD 790.21000000 0.000002203294 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615ST4 62.48790000 PA USD 66.06000000 0.000000184191 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205KTL6 188.35070000 PA USD 195.22000000 0.000000544320 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209CS23 201.89580000 PA USD 222.61000000 0.000000620689 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ASA7 39810.05190000 PA USD 41474.41000000 0.000115640573 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AETE0 6661.69670000 PA USD 7673.50000000 0.000021395553 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407D5Z4 1935.69710000 PA USD 2291.69000000 0.000006389779 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H5H61 3867831.30000000 PA USD 4086248.51000000 0.011393438012 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N CSMC 2019-ICE4 N/A 12653VAC0 6081000.00000000 PA USD 6086489.32000000 0.016970587719 Long ABS-MBS CORP US N 2 2036-05-15 Variable 0.01331000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335A4H8 399809.30370000 PA USD 435990.25000000 0.001215645077 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N LIFE 2021-BMR MTG TR N/A 53218CAE0 2038000.00000000 PA USD 2040553.00000000 0.005689549732 Long ABS-MBS CORP US N 2 2038-03-15 Variable 0.01201000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MAG93 36590.26050000 PA USD 39579.85000000 0.000110358086 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2XL8 3204.74000000 PA USD 3539.08000000 0.000009867801 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213VWV6 1057.48660000 PA USD 1237.81000000 0.000003451310 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402EZL5 28283.54930000 PA USD 31309.75000000 0.000087299070 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128LXBF6 312245.70440000 PA USD 355901.06000000 0.000992337263 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AXD4 29569.17340000 PA USD 32946.21000000 0.000091861912 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468P7 17370000.00000000 PA USD 19127643.03000000 0.053332442865 Long DBT CORP US N 2 2031-04-01 Variable 0.03622000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QHZQ6 3643.24770000 PA USD 3830.61000000 0.000010680656 Long ABS-MBS USGSE US N 2 2037-08-01 Variable 0.01970000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NNA2 2576862.61230000 PA USD 2788503.69000000 0.007775015117 Long ABS-MBS USGA US N 2 2043-09-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335CC93 588652.84160000 PA USD 622110.16000000 0.001734591894 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M3RR7 54494.22350000 PA USD 58963.68000000 0.000164404840 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293CM35 69.23430000 PA USD 70.49000000 0.000000196542 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31372DNH5 54.04500000 PA USD 56.21000000 0.000000156726 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QVGE5 195719.92370000 PA USD 212621.30000000 0.000592839029 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YM5W5 10709.84000000 PA USD 11657.69000000 0.000032504427 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A8PY0 549823.50000000 PA USD 43862.11000000 0.000122298051 Long ABS-CBDO USGSE US N 2 2027-09-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X2JG0 30698.34630000 PA USD 32631.08000000 0.000090983254 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032674 219950000.00000000 PA USD 232314709.20000000 0.647748963936 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GML1 9749.08560000 PA USD 11026.14000000 0.000030743515 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200N6G1 2496.22680000 PA USD 2896.69000000 0.000008076664 Long ABS-MBS USGA US N 2 2034-11-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5VL0 104766.22000000 PA USD 116942.84000000 0.000326064603 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N JPMDB COML MTG SECS TR 2017-C5 N/A 46590TAF2 3236000.00000000 PA USD 3481277.15000000 0.009706633191 Long ABS-MBS CORP US N 2 2050-03-15 Fixed 0.03491900 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAM3 2486000.00000000 PA USD 2600977.50000000 0.007252147255 Long DBT CORP US N 2 2026-08-15 Fixed 0.05375000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128LXAT7 47885.73550000 PA USD 54700.93000000 0.000152519273 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137FXYV4 32706000.00000000 PA USD 33937269.70000000 0.094625223528 Long ABS-MBS USGSE US N 2 2031-01-25 Fixed 0.02074000 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAF7 1242000.00000000 PA USD 1323015.66000000 0.003688884040 Long DBT CORP US N 2 2027-05-15 Fixed 0.05375000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312945T99 30820.33400000 PA USD 34354.83000000 0.000095789481 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296Q4S5 10980.67350000 PA USD 12559.20000000 0.000035018052 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N INTERGEN NV 549300E3XRGX2JMPEC79 45867XAG9 964000.00000000 PA USD 950291.92000000 0.002649641121 Long DBT CORP NL N 2 2023-06-30 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9PM7 9102.59060000 PA USD 10407.94000000 0.000029019825 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A -16000000.00000000 NC USD -562310.40000000 -0.00156785586 N/A DIR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A NC USD N/A N/A DIR CORP US 2031-05-20 0.00000000 USD 0.00000000 USD -16000000.00000000 USD 1.00000000 2.37250000 USD 2026-05-18 XXXX -30310.40000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BBF2 86651.52830000 PA USD 91653.83000000 0.000255552795 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374QUH6 59.40890000 PA USD 65.78000000 0.000000183410 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MMW74 5279075.67400000 PA USD 5524870.49000000 0.015404660118 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405CGV5 687.73240000 PA USD 727.10000000 0.000002027328 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312946PD2 7299.91270000 PA USD 8137.07000000 0.000022688097 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132HMSH5 7372.59760000 PA USD 7978.25000000 0.000022245268 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AP4 1433000.00000000 PA USD 1564573.69000000 0.004362405592 Long DBT CORP GB N 2 2024-03-14 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A87J6 339.19590000 PA USD 399.62000000 0.000001114236 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375EWT4 118.20450000 PA USD 130.75000000 0.000000364562 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208XVY4 1242.88090000 PA USD 1418.45000000 0.000003954977 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07000000 N N N N N N MORGAN STANLEY CAP I TR 2011-C3 N/A 61760RAE2 14387652.81000000 PA USD 14430287.74000000 0.040235093012 Long ABS-MBS CORP US N 2 2049-07-15 Variable 0.05215531 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YP5Z1 35105.48350000 PA USD 37732.41000000 0.000105206982 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N BAYVIEW COML ASSET TR N/A 07324SCD2 9660.27000000 PA USD 8762.23000000 0.000024431192 Long ABS-MBS CORP US N 2 2035-11-25 Variable 0.00751630 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAG6 7394000.00000000 PA USD 7970648.82000000 0.022224074975 Long DBT CORP KY N 2 2026-05-01 Fixed 0.04375000 N N N N N N BAYVIEW COML ASSET TR N/A 07324SCT7 29414.24000000 PA USD 28392.55000000 0.000079165219 Long ABS-MBS CORP US N 2 2036-01-25 Variable 0.00766630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04Q8 107206.77490000 PA USD 121982.08000000 0.000340115209 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AN2M4 18973.74380000 PA USD 20012.43000000 0.000055799440 Long ABS-MBS USGSE US N 2 2041-08-01 Variable 0.02411000 N N N N N N BENCHMARK 2018-B1 MTG TR N/A 08162PAV3 3507000.00000000 PA USD 3866687.39000000 0.010781249105 Long ABS-MBS CORP US N 2 2051-01-15 Fixed 0.03602000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EUGY9 776317.43110000 PA USD 842597.86000000 0.002349364328 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAE3 1490000.00000000 PA USD 1803066.72000000 0.005027381192 Long DBT CORP US N 2 2048-06-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L9KT1 409365.13860000 PA USD 439790.63000000 0.001226241445 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04000000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JBD9 886000.00000000 PA USD 956541.96000000 0.002667067727 Long DBT CORP US N 2 2042-09-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210T6H4 560.31440000 PA USD 643.64000000 0.000001794622 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376ABH0 69.02100000 PA USD 77.41000000 0.000000215837 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NFKN6 30402.39550000 PA USD 31936.58000000 0.000089046822 Long ABS-MBS USGSE US N 2 2036-10-01 Variable 0.02136000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 31396UAR1 130504.39740000 PA USD 152672.64000000 0.000425687829 Long ABS-CBDO USGSE US N 2 2036-07-15 Fixed 0.06000000 N N N N N N BANK 2018-BNK10 N/A 065404BB0 2901000.00000000 PA USD 3244045.86000000 0.009045175624 Long ABS-MBS CORP US N 2 2061-02-15 Fixed 0.03688000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BH2 3755000.00000000 PA USD 4288757.29000000 0.011958080918 Long DBT CORP US N 2 2026-01-15 Fixed 0.05250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212VTQ2 575.26580000 PA USD 673.36000000 0.000001877488 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380XXJ6 163.69980000 PA USD 176.59000000 0.000000492375 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YGLA8 31584.93000000 PA USD 34429.64000000 0.000095998069 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224PWD6 65.63230000 PA USD 68.91000000 0.000000192137 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208GH27 69.38570000 PA USD 79.19000000 0.000000220800 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RST1 125635.93420000 PA USD 139209.16000000 0.000388148427 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200TWS3 3469.02080000 PA USD 3977.74000000 0.000011090890 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206FQR6 30.76000000 PA USD 34.01000000 0.000000094828 Long ABS-MBS USGA US N 2 2025-07-15 Fixed 0.08000000 N N N N N N METHANEX CORP 549300TSJHRXT9QXRD13 59151KAL2 90000.00000000 PA USD 94444.20000000 0.000263333014 Long DBT CORP CA N 2 2029-12-15 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WBGV1 5912.93000000 PA USD 6476.89000000 0.000018059118 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04000000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3133TDPN0 16798.87600000 PA USD 18638.04000000 0.000051967312 Long ABS-CBDO USGSE US N 2 2028-04-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JF86 241209.10510000 PA USD 265875.37000000 0.000741324111 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NLD8 56929.29200000 PA USD 61604.97000000 0.000171769388 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 0.03500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J8DB6 3862477.10200000 PA USD 4159953.89000000 0.011598946237 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.03500000 N N N N N N PLAINS ALL AM PIPELN/PAA FIN C N/A 72650RBF8 1903000.00000000 PA USD 2047056.80000000 0.005707683882 Long DBT CORP US N 2 2024-11-01 Fixed 0.03600000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 313921MN5 6014.98990000 PA USD 6961.55000000 0.000019410466 Long ABS-CBDO USGSE US N 2 2031-10-25 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378LN65 58.85740000 PA USD 66.54000000 0.000000185529 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N SBA TOWER TR N/A 78403DAR1 3269000.00000000 PA USD 3321623.05000000 0.009261479381 Long ABS-CBDO CORP US N 2 2052-07-15 Fixed 0.02328000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEAN2 15079937.97200000 PA USD 15932747.67000000 0.044424310589 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M7LH9 4628.84600000 PA USD 5152.45000000 0.000014366262 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410FSX4 5094.23540000 PA USD 5915.04000000 0.000016492546 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GDY97 49519.40480000 PA USD 55198.31000000 0.000153906088 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QL66 188484.95050000 PA USD 206418.99000000 0.000575545506 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A44E2 89520.76550000 PA USD 98801.74000000 0.000275482878 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293QHZ9 115.04360000 PA USD 130.04000000 0.000000362582 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AGC8 258.65550000 PA USD 278.80000000 0.000000777361 Long ABS-MBS USGA US N 2 2025-07-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31287RQL6 1624.66800000 PA USD 1940.17000000 0.000005409657 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295GN40 842.65800000 PA USD 975.63000000 0.000002720289 Long ABS-MBS USGA US N 2 2037-07-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307RDB8 77997.62020000 PA USD 83104.48000000 0.000231715163 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LT97 9285.47780000 PA USD 10565.21000000 0.000029458331 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419GGK4 111633.05320000 PA USD 122900.77000000 0.000342676736 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFP9 37660000.00000000 PA USD 41573319.52000000 0.115916356477 Long DBT CORP US N 2 2025-04-21 Fixed 0.03950000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WNWQ1 6612599.43460000 PA USD 7175880.49000000 0.020008070813 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H2DB1 48618.12100000 PA USD 51363.60000000 0.000143213999 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MDGF4 23558.05000000 PA USD 25194.36000000 0.000070247900 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208MYV1 228.65980000 PA USD 256.84000000 0.000000716131 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473QBE2 13900000.00000000 PA USD 15320747.22000000 0.042717906983 Long DBT CORP US N 2 2027-05-15 Fixed 0.03490000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EDEK3 315089.55500000 PA USD 345536.03000000 0.000963437081 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASK73 16260.72120000 PA USD 18596.68000000 0.000051851990 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419LJP9 11523.63150000 PA USD 12697.96000000 0.000035404949 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JMNL2 78339.60300000 PA USD 85517.70000000 0.000238443797 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EM4F5 37419.47880000 PA USD 41423.81000000 0.000115499488 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312943CX9 84508.23720000 PA USD 94199.68000000 0.000262651234 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180NDR3 21047.94670000 PA USD 22749.81000000 0.000063431910 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GSXA2 30965.20580000 PA USD 33970.63000000 0.000094718240 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CYJ7 37510.84200000 PA USD 39930.93000000 0.000111336981 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 0.03500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RFZ4 7309.22840000 PA USD 7297.52000000 0.000020347230 Long ABS-CBDO USGA US N 2 2063-04-20 Variable 0.00310380 N N N N N N SIMON PROPERTY GROUP LP MR92GTD0MJTTTTQDVG45 828807DE4 6125000.00000000 PA USD 6667095.09000000 0.018589455449 Long DBT CORP US N 2 2027-12-01 Fixed 0.03375000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BF6 716000.00000000 PA USD 794538.91000000 0.002215364483 Long DBT CORP US N 2 2027-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E2SX4 6734.69010000 PA USD 7387.55000000 0.000020598256 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N DRYDEN 83 CLO LTD N/A 26246EAC2 3940000.00000000 PA USD 3943825.74000000 0.010996329271 Long ABS-CBDO CORP KY N 2 2032-01-18 Variable 0.01457250 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283HRL1 7266.27830000 PA USD 8535.60000000 0.000023799293 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M55Y4 31006.97670000 PA USD 33977.69000000 0.000094737924 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FSE7 313171.90450000 PA USD 346691.66000000 0.000966659254 Long ABS-MBS USGA US N 2 2041-04-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297F2U5 5857.32640000 PA USD 6698.43000000 0.000018676824 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAB71 46756.88140000 PA USD 49700.64000000 0.000138577269 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31293KQ33 213.44000000 PA USD 243.15000000 0.000000677960 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213E4D5 296.24860000 PA USD 346.99000000 0.000000967491 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKVG7 60278.97350000 PA USD 65661.05000000 0.000183078709 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411AW5 330000.00000000 PA USD 340550.10000000 0.000949535116 Long DBT CORP US N 2 2040-09-01 Fixed 0.05100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407T5S5 2914.14700000 PA USD 3445.41000000 0.000009606626 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AETF7 13073.13240000 PA USD 15058.72000000 0.000041987312 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JFQ6 184416.87230000 PA USD 203307.65000000 0.000566870346 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385ATC1 276.58740000 PA USD 316.85000000 0.000000883453 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296YFZ0 5756.41590000 PA USD 6590.56000000 0.000018376057 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203CFL1 12.31310000 PA USD 12.53000000 0.000000034936 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 0.07500000 N N N N N N BX TRUST 2019 N/A 056054AH2 10502549.84000000 PA USD 10509141.24000000 0.029301998885 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.01901000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TLQ6 67197.99800000 PA USD 70046.60000000 0.000195306671 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 0.02500000 N N N N N N DBJPM 2017-C6 MTG TR N/A 23312JAD5 4803000.00000000 PA USD 5168024.64000000 0.014409688554 Long ABS-MBS CORP US N 2 2050-06-10 Fixed 0.03121000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128KLR66 1086.48240000 PA USD 1290.38000000 0.000003597888 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132Y2FT8 271962.32400000 PA USD 287037.44000000 0.000800329023 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128MFTS7 3073294.54800000 PA USD 3216387.76000000 0.008968058227 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A5Y2 596.73230000 PA USD 623.87000000 0.000001739498 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HATT7 270603.09100000 PA USD 285632.79000000 0.000796412523 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ETG75 1318103.58800000 PA USD 1437231.15000000 0.004007344139 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAR2 6215000.00000000 PA USD 6525750.00000000 0.018195351538 Long DBT CORP US N 2 2027-12-15 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132A5GQ2 248978.74200000 PA USD 265586.77000000 0.000740519425 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417VGK3 9840.51040000 PA USD 10403.37000000 0.000029007083 Long ABS-MBS USGSE US N 2 2039-12-01 Variable 0.02185000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128285M8 51642000.00000000 PA USD 58206182.60000000 0.162292756251 Long DBT UST US N 2 2028-11-15 Fixed 0.03125000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RCQ3 41310000.00000000 PA USD 48261669.93000000 0.134565076841 Long DBT CORP US N 2 2046-05-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GW93 366466.60020000 PA USD 396294.09000000 0.001104962690 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03500000 N N N N N N CBRE SERVICES INC 549300CTE3HOMEUMM603 12505BAD2 7844000.00000000 PA USD 9099698.50000000 0.025372135478 Long DBT CORP US N 2 2026-03-01 Fixed 0.04875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VXZ8 76389705.57300000 PA USD 79845820.30000000 0.222629240964 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 0.03000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAV1 1732000.00000000 PA USD 1965426.04000000 0.005480077802 Long DBT CORP US N 2 2047-10-01 Fixed 0.05400000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RFP4 380.01800000 PA USD 428.86000000 0.000001195764 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297UZA1 13718.31450000 PA USD 15260.33000000 0.000042549449 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407QFV3 1133.90620000 PA USD 1342.87000000 0.000003744242 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XSPT1 45376.87530000 PA USD 49174.86000000 0.000137111269 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M04P2 3887.80670000 PA USD 4237.81000000 0.000011816027 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.03525000 N N N N N N VLS COMMERCIAL MORTGAGE TRUST 2020 N/A 92858TAA4 8020000.00000000 PA USD 7928270.45000000 0.022105913945 Long ABS-MBS CORP US N 2 2042-10-10 Fixed 0.02130000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31298VSX6 366.74730000 PA USD 427.63000000 0.000001192334 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YTAF1 25489.46570000 PA USD 27938.57000000 0.000077899414 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378GWZ2 27.77400000 PA USD 31.43000000 0.000000087634 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FY67 66278.41560000 PA USD 72729.68000000 0.000202787740 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128E33N2 4906.12340000 PA USD 5438.11000000 0.000015162751 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376FF69 5.13740000 PA USD 5.46000000 0.000000015223 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XYJF5 356032.30590000 PA USD 383676.04000000 0.001069780550 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128L1GA2 940.52130000 PA USD 1079.37000000 0.000003009541 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 0.05000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAZ9 10000000.00000000 PA USD 11492027.20000000 0.032042519984 Long DBT CORP US N 2 2049-10-01 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416YP51 132507.99040000 PA USD 146056.95000000 0.000407241703 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04000000 N N N N N N BX 2020-BXLP N/A 05607QAR9 5936659.80000000 PA USD 5936658.02000000 0.016552822225 Long ABS-MBS CORP US N 2 2036-12-15 Variable 0.01351000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQAW2 596121.62890000 PA USD 635143.09000000 0.001770930820 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132M3CW5 15065.92680000 PA USD 16514.07000000 0.000046045176 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396YMM1 210217.27730000 PA USD 43008.14000000 0.000119916979 Long ABS-CBDO USGSE US N 2 2038-03-25 Variable 0.06258370 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCUL8 12541.23120000 PA USD 2560.35000000 0.000007138868 Long ABS-CBDO USGSE US N 2 2035-07-25 Variable 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132WJSM4 261498.91000000 PA USD 280120.80000000 0.000781043777 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WRKP4 14368.63000000 PA USD 15313.67000000 0.000042698174 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213E6D3 89.23480000 PA USD 104.80000000 0.000000292207 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210FM29 648.92890000 PA USD 742.01000000 0.000002068901 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCVU7 24678037.45500000 PA USD 25996525.77000000 0.072484530538 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417WHZ7 3161.18010000 PA USD 3522.21000000 0.000009820763 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBLF3 1646707.92300000 PA USD 1782798.45000000 0.004970868408 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373USA6 138.25940000 PA USD 152.95000000 0.000000426461 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07000000 N N N N N N SBA TOWER TR N/A 78403DAP5 4275000.00000000 PA USD 4356483.64000000 0.012146918178 Long ABS-CBDO CORP US N 2 2050-07-15 Fixed 0.01884000 N N N N N N NIELSEN FINANCE LLC/ NIELSEN FINANCE CO N/A 65409QBF8 490000.00000000 PA USD 529200.00000000 0.001475536150 Long DBT CORP US N 2 2030-10-01 Fixed 0.05875000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128LXBG4 8871.91020000 PA USD 10108.40000000 0.000028184636 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.05000000 N N N N N N BAYVIEW COML ASSET TR 2007 3 N/A 07325YAC2 29250.31000000 PA USD 26116.67000000 0.000072819521 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.00401630 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBJ9 19430000.00000000 PA USD 18790701.90000000 0.052392970420 Long DBT CORP US N 2 2041-02-15 Fixed 0.03500000 N N N N N N FORD CR FLOORPLN MAST OWN TR A 5493001DTG5N7T8BG747 34528QGT5 1170000.00000000 PA USD 1194992.14000000 0.003331923851 Long ABS-CBDO CORP US N 2 2024-03-15 Fixed 0.03040000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204GPT3 34.38720000 PA USD 36.11000000 0.000000100683 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EU2Z1 2609594.16700000 PA USD 2795898.57000000 0.007795633811 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390KP36 1917.05890000 PA USD 2293.03000000 0.000006393515 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132DVLD5 32129274.72200000 PA USD 34177197.91000000 0.095294200753 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YSKT2 74171.73640000 PA USD 79721.98000000 0.000222283944 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YKK93 80479.20530000 PA USD 88513.69000000 0.000246797334 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209AUM0 277.30450000 PA USD 313.28000000 0.000000873499 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HAYA2 32437.31280000 PA USD 34943.19000000 0.000097429969 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FAIR ISAAC CORPORATION RI6HET5SJUEY30V1PS26 303250AE4 793000.00000000 PA USD 888160.00000000 0.002476402470 Long DBT CORP US N 2 2026-05-15 Fixed 0.05250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36181GFY0 13276.67860000 PA USD 14337.74000000 0.000039977047 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M1UG2 1217.81460000 PA USD 1229.62000000 0.000003428474 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A4QP3 15153.51050000 PA USD 16732.46000000 0.000046654099 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201NFP0 440.92210000 PA USD 503.69000000 0.000001404408 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N WFRBS COML MTG TR 2013-C12 N/A 92937FAF8 17361000.00000000 PA USD 18147493.23000000 0.050599550834 Long ABS-MBS CORP US N 2 2048-03-15 Fixed 0.03560000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EJU4 87559.29890000 PA USD 97559.27000000 0.000272018574 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203XJ31 86.51000000 PA USD 91.93000000 0.000000256322 Long ABS-MBS USGA US N 2 2024-01-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31335ATJ7 5850267.41300000 PA USD 6323551.71000000 0.017631574352 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TP60 57.28830000 PA USD 64.84000000 0.000000180789 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 0.07500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38381AZN9 2329401.79860000 PA USD 2339045.06000000 0.006521816975 Long ABS-CBDO USGA US N 2 2048-11-20 Variable 0.00449250 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128P73X9 3085172.44900000 PA USD 3269922.76000000 0.009117326609 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207BSY7 184.94860000 PA USD 210.03000000 0.000000585613 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FHN9 2835.40430000 PA USD 3043.19000000 0.000008485141 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375HDC5 94.43600000 PA USD 104.15000000 0.000000290395 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 0.07000000 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 26439XAH6 210000.00000000 PA USD 239311.80000000 0.000667258526 Long DBT CORP US N 2 2036-11-03 Fixed 0.06450000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RJH6 6909000.00000000 PA USD 8172028.28000000 0.022785569066 Long DBT CORP US N 2 2042-06-15 Variable 0.04900000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201JFJ3 345.28480000 PA USD 401.44000000 0.000001119310 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132GDN24 5824.45340000 PA USD 6645.20000000 0.000018528406 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137AXRF2 69363.53100000 PA USD 7574.13000000 0.000021118485 Long ABS-CBDO USGSE US N 2 2033-01-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419BHZ1 30928.70110000 PA USD 34162.62000000 0.000095253554 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312943SR5 14046.82880000 PA USD 16025.13000000 0.000044681894 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FL79 136420.21810000 PA USD 146417.51000000 0.000408247031 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 0.04500000 N N N N N N WELLS FARGO COML MTG TR 2018-C44 N/A 95001JAV9 1000000.00000000 PA USD 1128094.40000000 0.003145396954 Long ABS-MBS CORP US N 2 2051-05-15 Fixed 0.04167000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223UNE4 5.44000000 PA USD 5.47000000 0.000000015251 Long ABS-MBS USGA US N 2 2021-12-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291RMC3 9795.30890000 PA USD 11564.77000000 0.000032245344 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208FZR4 263.84370000 PA USD 300.53000000 0.000000837949 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X9WD3 45117205.56100000 PA USD 47721379.69000000 0.133058618450 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XWY88 1913442.68810000 PA USD 2021599.27000000 0.005636702200 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407CK22 3508.64080000 PA USD 4148.89000000 0.000011568097 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402ESR0 16814.26990000 PA USD 18619.73000000 0.000051916259 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132XTKB3 73265.81040000 PA USD 79398.06000000 0.000221380778 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DPD7 254.87210000 PA USD 294.18000000 0.000000820244 Long ABS-MBS USGA US N 2 2031-08-20 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WSTY4 495060.89420000 PA USD 535354.94000000 0.001492697595 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31356DP83 23.81000000 PA USD 24.86000000 0.000000069315 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210APP6 733.21000000 PA USD 830.09000000 0.000002314489 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376LFD1 962.06910000 PA USD 1077.48000000 0.000003004271 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XVFB1 7450.96190000 PA USD 8375.82000000 0.000023353789 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.05000000 N N N N N N LONDON CLEARING HOUSE N/A N/A 70132000.00000000 NC USD 272102.34000000 0.000758686393 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2026-09-15 0.00000000 USD 0.00000000 USD 68214450.86000000 USD 272102.34000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3128M8UV4 1634679.33550000 PA USD 1864964.95000000 0.005199968259 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137AWAE5 132021.48830000 PA USD 135704.44000000 0.000378376430 Long ABS-CBDO USGSE US N 2 2042-06-15 Fixed 0.01750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DWP8 61545.15990000 PA USD 65585.05000000 0.000182866803 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 3137A6ZL9 314916.26270000 PA USD 349104.33000000 0.000973386355 Long ABS-CBDO USGSE US N 2 2041-02-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31307RCG8 95054.11410000 PA USD 101277.74000000 0.000282386558 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L6FE6 20944.56000000 PA USD 23201.68000000 0.000064691832 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132QVXM8 155062.91010000 PA USD 168368.55000000 0.000469451780 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203CQS4 45.90710000 PA USD 47.58000000 0.000000132664 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TG94 961.60530000 PA USD 1092.43000000 0.000003045956 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615EH5 1.73000000 PA USD 1.76000000 0.000000004907 Long ABS-MBS USGSE US N 2 2022-02-01 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296Q6Q7 20902.72190000 PA USD 23033.81000000 0.000064223770 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36198NZV0 458463.35200000 PA USD 500795.98000000 0.001396338950 Long ABS-MBS USGA US N 2 2044-03-20 Fixed 0.04000000 N N N N N N WFRBS COML MTG TR 2012-C9 N/A 92930RAC6 1300000.00000000 PA USD 1339509.86000000 0.003734873813 Long ABS-MBS CORP US N 2 2045-11-15 Fixed 0.03388000 N N N N N N MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST SERIES 2016-5 N/A 61916BBA7 21867000.00000000 PA USD 22076748.26000000 0.061555253482 Long ABS-CBDO CORP US N 2 2023-08-10 Variable 0.01095130 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132L7KC2 219022.35550000 PA USD 234473.94000000 0.000653769415 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283GYN1 80.19410000 PA USD 89.32000000 0.000000249045 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.08500000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAG2 1341000.00000000 PA USD 1492737.29000000 0.004162108530 Long DBT CORP US N 2 2027-04-01 Fixed 0.04300000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 312944AN1 23093.27590000 PA USD 25740.72000000 0.000071771282 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140K0JB5 9000841.85800000 PA USD 9487360.76000000 0.026453030563 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03000000 N N N N N N BENCHMARK 2018-B8 MTG TR N/A 08162UAW0 15369000.00000000 PA USD 17760866.71000000 0.049521543640 Long ABS-MBS CORP US N 2 2052-01-15 Fixed 0.04231700 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207JSE4 46.51160000 PA USD 52.77000000 0.000000147135 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224LRF6 7.70310000 PA USD 7.92000000 0.000000022082 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31283GYU5 91.94800000 PA USD 103.87000000 0.000000289614 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402ETE8 64345.84620000 PA USD 71086.29000000 0.000198205575 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209CSP2 57.73160000 PA USD 65.56000000 0.000000182796 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RYJ9 19566.21170000 PA USD 19637.18000000 0.000054753153 Long ABS-CBDO USGA US N 2 2062-12-20 Variable 0.00510380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJLL0 79539.16870000 PA USD 93239.51000000 0.000259974050 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208XM81 270.60790000 PA USD 307.93000000 0.000000858582 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N MADISON PARK FUNDING XXXIII LTD N/A 55819JAA1 4271000.00000000 PA USD 4293542.34000000 0.011971422782 Long ABS-CBDO CORP KY N 2 2032-10-15 Variable 0.01513750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MHCY7 15213.42790000 PA USD 16190.27000000 0.000045142344 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31398NFC3 1922802.17310000 PA USD 2137133.09000000 0.005958838119 Long ABS-CBDO USGSE US N 2 2040-09-25 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224E6Y4 88.90430000 PA USD 91.67000000 0.000000255597 Long ABS-MBS USGA US N 2 2022-07-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 31297SW84 809.18600000 PA USD 925.93000000 0.000002581714 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3129387E7 74640.90990000 PA USD 85639.31000000 0.000238782875 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207MTV8 112.11040000 PA USD 125.68000000 0.000000350425 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N SENSATA TECHNOLOGIES INC N/A 81728UAB0 1410000.00000000 PA USD 1376512.50000000 0.003838046022 Long DBT CORP US N 2 2031-02-15 Fixed 0.03750000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABT1 695000.00000000 PA USD 670216.30000000 0.001868723316 Long DBT CORP US N 2 2031-02-15 Fixed 0.02875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203M6D7 144.09400000 PA USD 162.48000000 0.000000453033 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295GRV6 8767.99130000 PA USD 10184.34000000 0.000028396375 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 3132J82L3 176507.11340000 PA USD 190951.94000000 0.000532419672 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N 2021-06-30 Stacie M. Smith Stacie M. Smith Stacie M. Smith President and Treasurer