0001752724-20-211919.txt : 20201022 0001752724-20-211919.hdr.sgml : 20201022 20201022132336 ACCESSION NUMBER: 0001752724-20-211919 CONFORMED SUBMISSION TYPE: NPORT-P/A PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20190930 FILED AS OF DATE: 20201022 PERIOD START: 20190930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FRANKLIN STRATEGIC MORTGAGE PORTFOLIO CENTRAL INDEX KEY: 0000893226 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: NPORT-P/A SEC ACT: 1940 Act SEC FILE NUMBER: 811-07288 FILM NUMBER: 201253562 BUSINESS ADDRESS: STREET 1: ONE FRANKLIN PARKWAY CITY: SAN MATEO STATE: CA ZIP: 94403-1906 BUSINESS PHONE: 650-312-2000 MAIL ADDRESS: STREET 1: ONE FRANKLIN PARKWAY CITY: SAN MATEO STATE: CA ZIP: 94403-1906 0000893226 S000006875 FRANKLIN STRATEGIC MORTGAGE PORTFOLIO C000018610 Class A1 FSMIX C000112386 Class A FSMFX C000112387 Class C C000112388 Advisor Class FSMZX C000194406 Class R6 FSMQX NPORT-P/A 1 primary_doc.xml NPORT-P/A false 0001752724-19-183426 0000893226 XXXXXXXX S000006875 C000112386 C000194406 C000018610 C000112387 C000112388 Franklin Strategic Mortgage Portfolio 811-07288 0000893226 JHIR876BDWO4Q68OQX18 One Franklin Parkway San Mateo 94403-1906 650-312-2000 Franklin Strategic Mortgage Portfolio S000006875 JHIR876BDWO4Q68OQX18 2019-09-30 2019-09-30 N 72065086.01 9446202.49 62618883.52 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 9140014.66000000 0.00000000 0.00000000 166353.09000000 USD N GOVT NATL MORTG ASSN 7.50% 09/20/2030 GNMA II 549300M8ZYFG0OCMTT87 36202DJR3 31840.60000000 PA USD 37928.05000000 0.060569668234 Long ABS-MBS USGA US N 2 2030-09-20 Fixed 7.50000000 N N N N N N FANNIE MAE 5.50% 10/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31403FHN7 90228.20000000 PA USD 99171.04000000 0.158372418071 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.50000000 N N N N N N Towd Point Mortgage Trust 2017-4 FRN 06/25/2057 2017-4 A1 144A N/A 89173UAA5 277756.42100000 PA USD 280593.18000000 0.448096746902 Long ABS-CBDO CORP US N 2 2057-06-25 Variable 2.75000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 7.50% 01/01/2026 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31335GMW2 96.05000000 PA USD 103.41000000 0.000165141877 Long ABS-MBS USGA US N 2 2026-01-01 Fixed 7.50000000 N N N N N N U S TREASURY NOTE N/A 9128286Q8 182285.80280000 PA USD 182285.80280000 0.291103565814 Short RA CORP US N 2 Repurchase Y 0.02343425 2019-10-01 182285.80277943 USD 185931.80535671 USD UST N N N FANNIE MAE 3.50% 07/01/2056 FNMA B1V7KEBTPIMZEU4LTD58 3140FXD82 983190.62000000 PA USD 1035431.52000000 1.653545163687 Long ABS-MBS USGA US N 2 2056-07-01 Fixed 3.50000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 08/25/2024 14-DN3 M3 N/A 3137G0BK4 174391.59000000 PA USD 184431.84000000 0.294530706445 Long ABS-CBDO CORP US N 2 2024-08-25 Floating 6.01838000 N N N N N N FANNIE MAE 4.578% 05/01/2027 FAR FNARM B1V7KEBTPIMZEU4LTD58 31376ZU76 1692.17000000 PA USD 1697.74000000 0.002711226876 Long ABS-MBS USGA US N 2 2027-05-01 Floating 4.57800000 N N N N N N FANNIE MAE 6.50% 02/01/2028 FNMA 30 B1V7KEBTPIMZEU4LTD58 31378UEM0 2744.22000000 PA USD 3058.01000000 0.004883526866 Long ABS-MBS USGA US N 2 2028-02-01 Fixed 6.50000000 N N N N N N FANNIE MAE 3.696% 07/01/2025 FAR FNARM B1V7KEBTPIMZEU4LTD58 31374WF80 3074.74000000 PA USD 3107.64000000 0.004962784108 Long ABS-MBS USGA US N 2 2025-07-01 Floating 3.69600000 N N N N N N FANNIE MAE 6.00% 10/01/2034 FNMA 30 B1V7KEBTPIMZEU4LTD58 31405RRN8 255029.76000000 PA USD 293505.12000000 0.468716629076 Long ABS-MBS USGA US N 2 2034-10-01 Fixed 6.00000000 N N N N N N Ambac LSNI LLC FRN 02/12/2023 144A N/A 02315QAA6 1016.01000000 PA USD 1028.71000000 0.001642811149 Long ABS-O CORP KY N 2 2023-02-12 Floating 7.10438000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2029 2017-C01 1B1 N/A 30711XEQ3 280000.00000000 PA USD 330465.07000000 0.527740278049 Long ABS-CBDO CORP US N 2 2029-07-25 Floating 7.76838000 N N N N N N FANNIE MAE 10.00% 04/01/2021 FNMA 30 B1V7KEBTPIMZEU4LTD58 31379REN4 1968.69000000 PA USD 1981.39000000 0.003164205250 Long ABS-MBS USGA US N 2 2021-04-01 Fixed 10.00000000 N N N N N N GOVT NATL MORTG ASSN 10.50% 06/20/2020 GNMA II 549300M8ZYFG0OCMTT87 36202BSG1 2.07000000 PA USD 2.07000000 0.000003305712 Long ABS-MBS USGA US N 2 2020-06-20 Fixed 10.50000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 09/25/2029 C02 2M1 N/A 30711XGK4 214750.70400000 PA USD 215123.90000000 0.343544771013 Long ABS-CBDO CORP US N 2 2029-09-25 Floating 3.16838000 N N N N N N MORGAN STANLEY ABS CAPITAL I INC TRUST FRN 01/25/2035 2005-WMC M2 N/A 61744CLV6 17110.91500000 PA USD 17364.92000000 0.027731123622 Long ABS-CBDO CORP US N 2 2035-01-25 Floating 2.75338000 N N N N N N FANNIE MAE 3.50% 04/01/2048 FNL FNCL B1V7KEBTPIMZEU4LTD58 31418CV27 5572181.16000000 PA USD 5766221.11000000 9.208438071493 Long ABS-MBS USGA US N 2 2048-04-01 Fixed 3.50000000 N N N N N N TOWD POINT MORTGAGE TRUST FRN 03/25/2054 2015-3 A1B 144A 549300ZHISOOIT5VZP03 89172HAK3 85608.76500000 PA USD 86055.75000000 0.137427793602 Long ABS-CBDO CORP US N 2 2054-03-25 Variable 3.00000000 N N N N N N FANNIE MAE 3.585% 05/01/2022 FAR FNARM B1V7KEBTPIMZEU4LTD58 31369CXC2 13828.92000000 PA USD 13933.54000000 0.022251338920 Long ABS-MBS USGA US N 2 2022-05-01 Floating 3.58500000 N N N N N N U S TREASURY NOTE N/A 912833LQ1 1117895.41300000 PA USD 1117895.41300000 1.785236896858 Short RA CORP US N 2 Repurchase Y 0.02343425 2019-10-01 1117895.41267402 USD 1140253.42913977 USD UST N N N FANNIE MAE 9.00% 01/01/2025 FNMA B1V7KEBTPIMZEU4LTD58 31371E3H6 206.00000000 PA USD 222.75000000 0.000355723365 Long ABS-MBS USGA US N 2 2025-01-01 Fixed 9.00000000 N N N N N N FANNIE MAE 6.50% 08/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31389YAS0 8848.35000000 PA USD 9872.09000000 0.015765356143 Long ABS-MBS USGA US N 2 2032-08-01 Fixed 6.50000000 N N N N N N GOVT NATL MORTG ASSN 7.00% 02/15/2032 GNMA SF 549300M8ZYFG0OCMTT87 36201APX0 1681.82000000 PA USD 1734.22000000 0.002769484063 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 7.00000000 N N N N N N TOWD POINT MORTGAGE TRUST 2018-1 FRN 01/25/2058 2018-1 A1 144A N/A 89176EAA8 73461.65000000 PA USD 74590.93000000 0.119118907599 Long ABS-CBDO CORP US N 2 2058-01-25 Variable 3.00000000 N N N N N N FANNIE MAE 3.71% 10/01/2023 FAR FNARM B1V7KEBTPIMZEU4LTD58 31369LPF4 4018.52000000 PA USD 4050.00000000 0.006467697557 Long ABS-MBS USGA US N 2 2023-10-01 Floating 3.71000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 8.00% 01/01/2026 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31292GP59 57.28000000 PA USD 57.40000000 0.000091665639 Long ABS-MBS USGA US N 2 2026-01-01 Fixed 8.00000000 N N N N N N FANNIE MAE 3.835% 01/01/2022 FAR FNARM B1V7KEBTPIMZEU4LTD58 31368QXH1 7130.74000000 PA USD 7144.56000000 0.011409593398 Long ABS-MBS USGA US N 2 2022-01-01 Floating 3.83500000 N N N N N N COMMERCIAL MORTGAGE TRUST FRN 07/10/2038 2006-GG7 AJ N/A 20173MAH3 90000.00000000 PA USD 83399.07000000 0.133185175640 Long ABS-CBDO CORP US N 2 2038-07-10 Variable 5.82530800 N N N N N N FANNIE MAE 3.527% 12/01/2031 FN CMT+215;LC10.267 B1V7KEBTPIMZEU4LTD58 31389DH83 12330.30000000 PA USD 12616.95000000 0.020148794246 Long ABS-MBS USGA US N 2 2031-12-01 Floating 3.52700000 N N N N N N FANNIE MAE 3.25% 05/01/2025 FAR FNARM B1V7KEBTPIMZEU4LTD58 31374MYT5 37286.05000000 PA USD 37712.83000000 0.060225969995 Long ABS-MBS USGA US N 2 2025-05-01 Floating 3.25000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 6.50% 04/01/2028 FHLMC G30 S6XOOCT0IEG5ABCC6L87 3128FY7K5 777.77000000 PA USD 867.07000000 0.001384678153 Long ABS-MBS USGA US N 2 2028-04-01 Fixed 6.50000000 N N N N N N FANNIE MAE 5.50% 10/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31402X4G8 34734.63000000 PA USD 38427.59000000 0.061367414811 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.50000000 N N N N N N GOVT NATL MORTG ASSN 6.50% 05/20/2031 GNMA II 549300M8ZYFG0OCMTT87 36202DM57 23920.20000000 PA USD 27332.97000000 0.043649724274 Long ABS-MBS USGA US N 2 2031-05-20 Fixed 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 8.00% 05/01/2030 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31297X5R1 78840.90000000 PA USD 81512.00000000 0.130171595879 Long ABS-MBS USGA US N 2 2030-05-01 Fixed 8.00000000 N N N N N N GOVT NATL MORTG ASSN 6.50% 04/20/2029 GNMA II 549300M8ZYFG0OCMTT87 36202DBJ9 5461.08000000 PA USD 6212.76000000 0.009921543871 Long ABS-MBS USGA US N 2 2029-04-20 Fixed 6.50000000 N N N N N N Wells Fargo Mortgage Backed Securities 2018-1 FRN 07/25/2047 2018-1 A3 144A 549300EZH20KSD9JD814 94989UAC5 114579.14000000 PA USD 117121.35000000 0.187038387489 Long ABS-CBDO CORP US N 2 2047-07-25 Variable 3.50000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 11/20/2030 GNMA II 549300M8ZYFG0OCMTT87 36202DKL4 11904.89000000 PA USD 14203.25000000 0.022682055638 Long ABS-MBS USGA US N 2 2030-11-20 Fixed 7.50000000 N N N N N N FANNIE MAE 4.37% 07/01/2036 FNMA ARM B1V7KEBTPIMZEU4LTD58 31410ABX3 3733.47000000 PA USD 3905.50000000 0.006236936496 Long ABS-MBS USGA US N 2 2036-07-01 Floating 4.37000000 N N N N N N FANNIE MAE 6.50% 07/01/2030 FNMA 30 B1V7KEBTPIMZEU4LTD58 31384V2A9 3051.23000000 PA USD 3401.93000000 0.005432754160 Long ABS-MBS USGA US N 2 2030-07-01 Fixed 6.50000000 N N N N N N FANNIE MAE 4.308% 07/01/2038 FAR FNARM B1V7KEBTPIMZEU4LTD58 31379MD71 23977.01000000 PA USD 24140.76000000 0.038551885059 Long ABS-MBS USGA US N 2 2038-07-01 Floating 4.30800000 N N N N N N FANNIE MAE 3.898% 04/01/2034 FAR FNARM B1V7KEBTPIMZEU4LTD58 31371LPY9 23328.82000000 PA USD 24502.07000000 0.039128883529 Long ABS-MBS USGA US N 2 2034-04-01 Floating 3.89800000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 6.00% 12/01/2032 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31283HUA1 2678.96000000 PA USD 3086.13000000 0.004928433447 Long ABS-MBS USGA US N 2 2032-12-01 Fixed 6.00000000 N N N N N N FANNIE MAE 6.50% 09/01/2028 FNMA 30 B1V7KEBTPIMZEU4LTD58 31371GZ86 6811.37000000 PA USD 7640.41000000 0.012201447184 Long ABS-MBS USGA US N 2 2028-09-01 Fixed 6.50000000 N N N N N N Mill City Mortgage Loan Trust 2018-1 FRN 05/25/2062 2018-1 A1 144A N/A 59980VAA9 132139.12000000 PA USD 135265.53000000 0.216013960001 Long ABS-CBDO CORP US N 2 2062-05-25 Variable 3.25000000 N N N N N N GOVT NATL MORTG ASSN 6.50% 08/20/2031 GNMA II 549300M8ZYFG0OCMTT87 36202DPD7 39848.78000000 PA USD 45535.25000000 0.072718080298 Long ABS-MBS USGA US N 2 2031-08-20 Fixed 6.50000000 N N N N N N WAMU MORTGAGE PASS THROUGH CERTIFICATES FRN 12/25/45 SER 05-AR19 CL A1A N/A 92925CBA9 160557.71000000 PA USD 160053.91000000 0.255600069823 Long ABS-CBDO CORP US N 2 2045-12-25 Floating 2.28838000 N N N N N N TOWD POINT MORTGAGE TRUST FRN 10/25/2056 2017-1 A1 144A N/A 89173FAA8 260150.61600000 PA USD 263170.89000000 0.420274005549 Long ABS-CBDO CORP US N 2 2056-10-25 Variable 2.75000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2024 2014-C01 M2 N/A 30711XAD6 248135.45000000 PA USD 269730.43000000 0.430749344027 Long ABS-CBDO CORP US N 2 2024-01-25 Floating 6.41838000 N N N N N N TOWD POINT MORTGAGE TRUST FRN 10/25/2056 2016-5 A1 144A N/A 89173CAA5 322176.76400000 PA USD 322648.11000000 0.515256887160 Long ABS-CBDO CORP US N 2 2056-10-25 Variable 2.50000000 N N N N N N GOVT NATL MORTG ASSN 8.00% 02/15/2023 GNMA SF 549300M8ZYFG0OCMTT87 36203HAF8 525.58000000 PA USD 552.34000000 0.000882066189 Long ABS-MBS USGA US N 2 2023-02-15 Fixed 8.00000000 N N N N N N FANNIE MAE 3.643% 11/01/2031 FNMA ARM B1V7KEBTPIMZEU4LTD58 31402DJH4 21928.86000000 PA USD 22731.27000000 0.036300982582 Long ABS-MBS USGA US N 2 2031-11-01 Floating 3.64300000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 08/25/2030 2018-C02 2M1 N/A 30711XC28 20837.34000000 PA USD 20839.09000000 0.033279242344 Long ABS-CBDO CORP US N 2 2030-08-25 Floating 2.66838000 N N N N N N FANNIE MAE 5.50% 11/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31402X5V4 28026.95000000 PA USD 31633.18000000 0.050516997783 Long ABS-MBS USGA US N 2 2033-11-01 Fixed 5.50000000 N N N N N N GOVT NATL MORTG ASSN 8.00% 09/15/2027 GNMA SF 549300M8ZYFG0OCMTT87 36208HQH2 3350.28000000 PA USD 3456.53000000 0.005519948305 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 8.00000000 N N N N N N FANNIE MAE 9.50% 11/01/2029 FNMA 30 B1V7KEBTPIMZEU4LTD58 31387AHS7 22333.87000000 PA USD 22393.56000000 0.035761672424 Long ABS-MBS USGA US N 2 2029-11-01 Fixed 9.50000000 N N N N N N FANNIE MAE 3.50% 12/01/2034 FNMA ARM B1V7KEBTPIMZEU4LTD58 31371L2Y4 28370.88000000 PA USD 29735.61000000 0.047486649918 Long ABS-MBS USGA US N 2 2034-12-01 Floating 3.50000000 N N N N N N FANNIE MAE 4.056% 06/01/2034 FNMA B1V7KEBTPIMZEU4LTD58 31405HB80 1607.51000000 PA USD 1665.14000000 0.002659165903 Long ABS-MBS USGA US N 2 2034-06-01 Floating 4.05600000 N N N N N N N/A N/A 000000000 11.00000000 NC USD -2781.26000000 -0.00444156753 N/A DIR CORP US N 1 JP MORGAN SECURITIESPLC K6Q0W1PS1L1O4IQL9C32 Long US 10yr Ultra Fut Dec19 Dec 19 Future US 10yr Ultra Fut Dec19 Dec 19 Future 2019-12-19 1569250.01000000 USD -2796.33000000 N N N FANNIE MAE 6.50% 07/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31390REG4 474.22000000 PA USD 528.50000000 0.000843994607 Long ABS-MBS USGA US N 2 2032-07-01 Fixed 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 9.00% 09/01/2030 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31296LGW5 15108.00000000 PA USD 15281.43000000 0.024403868515 Long ABS-MBS USGA US N 2 2030-09-01 Fixed 9.00000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 10/25/2024 2014-HQ3 M3 N/A 3137G0DF3 174069.50000000 PA USD 184994.94000000 0.295429955950 Long ABS-CBDO CORP US N 2 2024-10-25 Floating 6.76838000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/25/2024 2014-C02 2M2 N/A 30711XAH7 289544.09000000 PA USD 300316.81000000 0.479594641613 Long ABS-CBDO CORP US N 2 2024-05-25 Floating 4.61838000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 8.50% 06/01/2021 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31283G3N5 20.45000000 PA USD 20.45000000 0.000032657880 Long ABS-MBS USGA US N 2 2021-06-01 Fixed 8.50000000 N N N N N N FANNIE MAE 3.50% 09/01/2033 FAR FNARM B1V7KEBTPIMZEU4LTD58 31403LLG4 12317.17000000 PA USD 13060.49000000 0.020857110931 Long ABS-MBS USGA US N 2 2033-09-01 Floating 3.50000000 N N N N N N FANNIE MAE 6.50% 08/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31390Q7M1 12873.45000000 PA USD 14541.84000000 0.023222771123 Long ABS-MBS USGA US N 2 2032-08-01 Fixed 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 6.50% 11/01/2027 FHLMC G30 S6XOOCT0IEG5ABCC6L87 3128FUTQ6 20957.74000000 PA USD 23373.93000000 0.037327286412 Long ABS-MBS USGA US N 2 2027-11-01 Fixed 6.50000000 N N N N N N FANNIE MAE 8.00% 12/01/2025 FNMA 30 B1V7KEBTPIMZEU4LTD58 31374FXG9 693.45000000 PA USD 776.02000000 0.001239274730 Long ABS-MBS USGA US N 2 2025-12-01 Fixed 8.00000000 N N N N N N Invitation Homes 2018-SFR4 Trust FRN 01/17/2038 2018-SFR4 A 144A N/A 46187XAA3 187942.86300000 PA USD 188732.90000000 0.301399337373 Long ABS-CBDO CORP US N 2 2038-01-17 Floating 3.12475000 N N N N N N GOVT NATL MORTG ASSN 7.50% 05/15/2026 GNMA SF 549300M8ZYFG0OCMTT87 36206YMY4 638.51000000 PA USD 639.88000000 0.001021864274 Long ABS-MBS USGA US N 2 2026-05-15 Fixed 7.50000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2029 2016-C04 1M2 N/A 30711XDA9 115571.00000000 PA USD 122220.49000000 0.195181522137 Long ABS-CBDO CORP US N 2 2029-01-25 Floating 6.26838000 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST FRN 11/25/2034 2004-W A9 N/A 94980QAJ8 54076.91000000 PA USD 56501.36000000 0.090230545202 Long ABS-CBDO CORP US N 2 2034-11-25 Variable 4.84272600 N N N N N N FANNIE MAE 6.50% 10/01/2028 FNMA 30 B1V7KEBTPIMZEU4LTD58 31380GV89 3008.20000000 PA USD 3352.66000000 0.005354071825 Long ABS-MBS USGA US N 2 2028-10-01 Fixed 6.50000000 N N N N N N CSMC TRUST FRN 11/25/2029 2014-OAK1 1A1 144A N/A 12649GAA4 111279.10600000 PA USD 111785.07000000 0.178516549188 Long ABS-CBDO CORP US N 2 2029-11-25 Variable 3.00000000 N N N N N N FANNIE MAE 5.50% 10/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31403GMC3 25200.14000000 PA USD 27633.03000000 0.044128908799 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.50000000 N N N N N N BEAR STEARNS ALT-A TRUST FRN 11/25/2034 2004-13 A2 N/A 07386HPY1 3634.36600000 PA USD 3641.23000000 0.005814907253 Long ABS-CBDO CORP US N 2 2034-11-25 Floating 2.89838000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 3.50% 12/01/2047 FHLMC S6XOOCT0IEG5ABCC6L87 3128MJ3A6 4040615.57000000 PA USD 4185860.06000000 6.684660959601 Long ABS-MBS USGA US N 2 2047-12-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 5.00% 10/01/2033 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31296NY76 13382.98000000 PA USD 14330.05000000 0.022884550465 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.00000000 N N N N N N FANNIE MAE 3.772% 06/01/2024 FAR FNARM B1V7KEBTPIMZEU4LTD58 31376B6F8 8234.42000000 PA USD 8467.48000000 0.013522246843 Long ABS-MBS USGA US N 2 2024-06-01 Floating 3.77200000 N N N N N N GOVT NATL MORTG ASSN 8.00% 12/15/2025 GNMA SF 549300M8ZYFG0OCMTT87 36225BQQ4 7129.62000000 PA USD 7808.30000000 0.012469561194 Long ABS-MBS USGA US N 2 2025-12-15 Fixed 8.00000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 10/25/2028 2016-C03 1M1 N/A 30711XCK8 109311.27200000 PA USD 109646.65000000 0.175101572938 Long ABS-CBDO CORP US N 2 2028-10-25 Floating 4.01838000 N N N N N N FANNIE MAE 7.50% 08/01/2025 FNMA B1V7KEBTPIMZEU4LTD58 31371FAX0 261.46000000 PA USD 282.03000000 0.000450391294 Long ABS-MBS USGA US N 2 2025-08-01 Fixed 7.50000000 N N N N N N FANNIE MAE 3.325% 09/01/2026 FAR FNARM B1V7KEBTPIMZEU4LTD58 31376FL47 32222.47000000 PA USD 32523.37000000 0.051938597706 Long ABS-MBS USGA US N 2 2026-09-01 Floating 3.32500000 N N N N N N Towd Point Mortgage Trust 2018-6 FRN 03/25/2058 2018-6 A1A 144A N/A 89176LAA2 137964.56600000 PA USD 142218.98000000 0.227118357922 Long ABS-CBDO CORP US N 2 2058-03-25 Variable 3.75000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 02/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36207MRZ1 553.79000000 PA USD 566.14000000 0.000904104270 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 7.50000000 N N N N N N FANNIE MAE 3.72% 04/01/2027 FAR FNARM B1V7KEBTPIMZEU4LTD58 31377H5G3 22505.47000000 PA USD 22512.50000000 0.035951615127 Long ABS-MBS USGA US N 2 2027-04-01 Floating 3.72000000 N N N N N N CORE INDUSTRIAL TRUST 3.04% 02/10/2034 144A 2015-CALW A 549300VOFTHB5X7NNF52 21870LAA4 355751.74500000 PA USD 363513.68000000 0.580517664266 Long ABS-CBDO CORP US N 2 2034-02-10 Fixed 3.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 6.50% 07/01/2032 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31283HSW6 875.07000000 PA USD 985.08000000 0.001573135681 Long ABS-MBS USGA US N 2 2032-07-01 Fixed 6.50000000 N N N N N N FANNIE MAE 4.5% 05/01/2048 FNL B1V7KEBTPIMZEU4LTD58 3140Q83Q6 1396022.86000000 PA USD 1493116.14000000 2.384450274529 Long ABS-MBS USGA US N 2 2048-05-01 Fixed 4.50000000 N N N N N N U S TREASURY NOTE N/A 912828UL2 178718.02300000 PA USD 178718.02300000 0.285405955765 Short RA CORP US N 2 Repurchase Y 0.02343425 2019-10-01 178718.02301728 USD 182292.66439138 USD UST N N N IFT MONEY MARKET PORTFOLIO OEMF-SWEEP MONEY MARKET PORTFOLIO N/A 457756500 3126796.79200000 NS USD 3126796.79000000 4.993376780666 Long EC RF US N 1 N N N FANNIE MAE 6.50% 07/01/2030 FNMA 30 B1V7KEBTPIMZEU4LTD58 31384VYV8 6922.52000000 PA USD 7717.87000000 0.012325147888 Long ABS-MBS USGA US N 2 2030-07-01 Fixed 6.50000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 03/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36208FK82 3237.48000000 PA USD 3517.10000000 0.005616676315 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 7.50000000 N N N N N N FANNIE MAE 6.50% 08/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31390JEY3 21413.60000000 PA USD 23877.47000000 0.038131420839 Long ABS-MBS USGA US N 2 2032-08-01 Fixed 6.50000000 N N N N N N GOVT NATL MORTG ASSN 8.50% 07/15/2024 GNMA SF 549300M8ZYFG0OCMTT87 36205A6L3 69.64000000 PA USD 69.84000000 0.000111531851 Long ABS-MBS USGA US N 2 2024-07-15 Fixed 8.50000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 07/25/2029 2017-DNA1 M2 N/A 3137G0MD8 250000.00000000 PA USD 262379.58000000 0.419010313264 Long ABS-CBDO CORP US N 2 2029-07-25 Floating 5.26838000 N N N N N N Bellemeade Re 2018-1 Ltd 3.69113% 04/25/2028 144A 549300O2GEH6GH9NO762 078768AD0 159843.34000000 PA USD 160088.17000000 0.255654781754 Long ABS-CBDO CORP BM N 2 2028-04-25 Floating 3.61838000 N N N N N N FANNIE MAE 6.50% 07/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31389VUT2 3012.36000000 PA USD 3356.67000000 0.005360475644 Long ABS-MBS USGA US N 2 2032-07-01 Fixed 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 2.5% 09/01/2049 FNL S6XOOCT0IEG5ABCC6L87 01F0226A8 1400000.00000000 PA USD 1393748.83000000 2.225764420655 Long ABS-MBS USGA US N 2 2049-09-01 Fixed 2.50000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 11/25/2024 2014-C04 1M2 N/A 30711XAP9 229164.04000000 PA USD 250321.95000000 0.399754732005 Long ABS-CBDO CORP US N 2 2024-11-25 Floating 6.91838000 N N N N N N FANNIE MAE 3.70% 01/01/2023 FAR FNARM B1V7KEBTPIMZEU4LTD58 31368MNQ1 7075.48000000 PA USD 7072.57000000 0.011294628077 Long ABS-MBS USGA US N 2 2023-01-01 Floating 3.70000000 N N N N N N FANNIE MAE 5.50% 11/01/2034 FNMA 30 B1V7KEBTPIMZEU4LTD58 31405X3A9 238253.53000000 PA USD 268457.86000000 0.428717097637 Long ABS-MBS USGA US N 2 2034-11-01 Fixed 5.50000000 N N N N N N FANNIE MAE 3.575% 12/01/2023 FAR FNARM B1V7KEBTPIMZEU4LTD58 31371WP90 17778.31000000 PA USD 17939.44000000 0.028648610437 Long ABS-MBS USGA US N 2 2023-12-01 Floating 3.57500000 N N N N N N FANNIE MAE 3.633% 04/01/2037 FAR FNARM B1V7KEBTPIMZEU4LTD58 31411UE23 9304.33000000 PA USD 9646.94000000 0.015405800068 Long ABS-MBS USGA US N 2 2037-04-01 Floating 3.63300000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 5.00% 11/01/2033 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31296P5J7 1924.79000000 PA USD 2125.90000000 0.003394982280 Long ABS-MBS USGA US N 2 2033-11-01 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 9.50% 03/01/2021 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31295VVR8 10.21000000 PA USD 10.27000000 0.000016400803 Long ABS-MBS USGA US N 2 2021-03-01 Fixed 9.50000000 N N N N N N FANNIE MAE 7.50% 12/01/2030 FNMA 30 B1V7KEBTPIMZEU4LTD58 31386EQK7 71.00000000 PA USD 71.05000000 0.000113464175 Long ABS-MBS USGA US N 2 2030-12-01 Fixed 7.50000000 N N N N N N GOVT NATL MORTG ASSN 6.50% 09/15/2031 GNMA SF 549300M8ZYFG0OCMTT87 36209YUT3 2604.61000000 PA USD 2884.90000000 0.004607076712 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 6.50000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 10/15/2023 GNMA SF 549300M8ZYFG0OCMTT87 36203LBU5 2611.53000000 PA USD 2743.35000000 0.004381026690 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 7.50000000 N N N N N N ONE MARKET PLAZA TRUST 3.8453% 02/10/2032 2017-1MKT B 144A N/A 68245HAC8 350000.00000000 PA USD 361794.90000000 0.577772837301 Long ABS-CBDO CORP US N 2 2032-02-10 Fixed 3.84530000 N N N N N N Ambac Assurance Corp 5.10% 06/07/2020 144A 549300RYYRVPPB8NC636 023138AA8 236.82200000 PA USD 345.17000000 0.000551223497 Long ABS-O CORP US N 2 2020-06-07 Fixed 5.10000000 N N N N N N CSAIL COMMERCIAL MORTGAGE TRUST 3.505% 04/15/2050 2015-C1 A4 549300UFJ8EKD81Y8R30 126281AZ7 430000.00000000 PA USD 456365.32000000 0.728798238400 Long ABS-CBDO CORP US N 2 2050-04-15 Fixed 3.50500000 N N N N N N FANNIE MAE 4.00% 01/01/2024 FAR FNARM B1V7KEBTPIMZEU4LTD58 31368HUX9 5927.40000000 PA USD 5922.52000000 0.009458041515 Long ABS-MBS USGA US N 2 2024-01-01 Floating 4.00000000 N N N N N N COMMERCIAL MORTGAGE TRUST FRN 07/10/2038 N/A 20173MAG5 35845.25000000 PA USD 36089.36000000 0.057633349512 Long ABS-CBDO CORP US N 2 2038-07-10 Variable 5.82530800 N N N N N N GOVT NATL MORTG ASSN 6.50% 04/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36208PNA2 1409.56000000 PA USD 1560.21000000 0.002491596643 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 6.50000000 N N N N N N FANNIE MAE 7.50% 09/01/2030 FNMA 30 B1V7KEBTPIMZEU4LTD58 31368HKV4 93.84000000 PA USD 110.63000000 0.000176671945 Long ABS-MBS USGA US N 2 2030-09-01 Fixed 7.50000000 N N N N N N FANNIE MAE 5.50% 10/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31403HB82 34092.12000000 PA USD 37567.26000000 0.059993500184 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.50000000 N N N N N N FANNIE MAE 3.50% 01/01/2034 FAR FNARM B1V7KEBTPIMZEU4LTD58 31403YF24 20209.72000000 PA USD 21172.35000000 0.033811446020 Long ABS-MBS USGA US N 2 2034-01-01 Floating 3.50000000 N N N N N N FANNIE MAE 7.50% 05/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31371KPU9 17460.74000000 PA USD 20292.72000000 0.032406710019 Long ABS-MBS USGA US N 2 2032-05-01 Fixed 7.50000000 N N N N N N FANNIE MAE 5.50% 11/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31385XQ91 62267.19000000 PA USD 70156.41000000 0.112037146075 Long ABS-MBS USGA US N 2 2033-11-01 Fixed 5.50000000 N N N N N N FANNIE MAE 3.50% 12/01/2033 FAR FNARM B1V7KEBTPIMZEU4LTD58 31371LK99 4791.83000000 PA USD 4964.45000000 0.007928039787 Long ABS-MBS USGA US N 2 2033-12-01 Floating 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 8.00% 12/01/2026 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31335GQF5 5534.71000000 PA USD 6293.76000000 0.010050897822 Long ABS-MBS USGA US N 2 2026-12-01 Fixed 8.00000000 N N N N N N FANNIE MAE 6.50% 05/01/2028 FNMA 30 B1V7KEBTPIMZEU4LTD58 31368HKL6 5048.83000000 PA USD 5629.36000000 0.008989876030 Long ABS-MBS USGA US N 2 2028-05-01 Fixed 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 6.00% 11/01/2036 G30 FGLMC S6XOOCT0IEG5ABCC6L87 3132FCA21 82223.67000000 PA USD 92851.74000000 0.148280733830 Long ABS-MBS USGA US N 2 2036-11-01 Fixed 6.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 6.50% 01/01/2030 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31298CB57 24630.41000000 PA USD 27472.86000000 0.043873123338 Long ABS-MBS USGA US N 2 2030-01-01 Fixed 6.50000000 N N N N N N CIM Trust 2019-INV2 FRN 05/25/2049 144A 2019-INV2 A3 N/A 12554TAC5 278282.70000000 PA USD 290796.10000000 0.464390426103 Long ABS-CBDO CORP US N 2 2049-05-25 Variable 4.00000000 N N N N N N FANNIE MAE 3.50% 09/01/2024 FAR FNARM B1V7KEBTPIMZEU4LTD58 31373GUB2 8820.60000000 PA USD 8970.85000000 0.014326109786 Long ABS-MBS USGA US N 2 2024-09-01 Floating 3.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 8.00% 07/01/2024 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31335GFQ3 227.09000000 PA USD 243.62000000 0.000389051970 Long ABS-MBS USGA US N 2 2024-07-01 Fixed 8.00000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 01/20/2023 GNMA II 549300M8ZYFG0OCMTT87 36202AYU5 1794.60000000 PA USD 1820.68000000 0.002907557429 Long ABS-MBS USGA US N 2 2023-01-20 Fixed 7.50000000 N N N N N N GOVT NATL MORTG ASSN 9.00% 04/20/2020 GNMA II 549300M8ZYFG0OCMTT87 36202BQ99 43.45000000 PA USD 43.53000000 0.000069515771 Long ABS-MBS USGA US N 2 2020-04-20 Fixed 9.00000000 N N N N N N FANNIE MAE 3% 05/01/2049 FNL B1V7KEBTPIMZEU4LTD58 31418DCG5 193558.14000000 PA USD 196614.92000000 0.313986626633 Long ABS-MBS USGA US N 2 2049-05-01 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 7.50% 03/01/2032 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31287QJ69 60072.98000000 PA USD 62802.49000000 0.100293212637 Long ABS-MBS USGA US N 2 2032-03-01 Fixed 7.50000000 N N N N N N FANNIE MAE 7.50% 11/01/2030 FNMA 30 B1V7KEBTPIMZEU4LTD58 31385Y5K7 228.12000000 PA USD 250.05000000 0.000399320438 Long ABS-MBS USGA US N 2 2030-11-01 Fixed 7.50000000 N N N N N N FANNIE MAE 8.50% 11/01/2028 FNMA 30 B1V7KEBTPIMZEU4LTD58 31403R2F4 25601.56000000 PA USD 28308.63000000 0.045207816570 Long ABS-MBS USGA US N 2 2028-11-01 Fixed 8.50000000 N N N N N N FANNIE MAE 6.50% 11/01/2029 FNMA 30 B1V7KEBTPIMZEU4LTD58 31384LWE0 23991.96000000 PA USD 26746.03000000 0.042712403186 Long ABS-MBS USGA US N 2 2029-11-01 Fixed 6.50000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 4/25/29 2016-C06 1M1 N/A 30711XDP6 109887.77800000 PA USD 110183.53000000 0.175958950090 Long ABS-CBDO CORP US N 2 2029-04-25 Floating 3.31838000 N N N N N N FANNIE MAE 3.671% 03/01/2023 FAR FNARM B1V7KEBTPIMZEU4LTD58 31373BEE5 5420.65000000 PA USD 5523.51000000 0.008820837564 Long ABS-MBS USGA US N 2 2023-03-01 Floating 3.67100000 N N N N N N FANNIE MAE 5.50% 10/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31403GJW3 28299.16000000 PA USD 30620.00000000 0.048898987459 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.50000000 N N N N N N FANNIE MAE 6.50% 08/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31390TRW1 64361.42000000 PA USD 71768.35000000 0.114611353581 Long ABS-MBS USGA US N 2 2032-08-01 Fixed 6.50000000 N N N N N N UNITED STATES TREASURY NOTE/BOND 4.25% 11/15/2040 N/A 912810QL5 131000.00000000 PA USD 181977.42000000 0.290611090090 Long DBT UST US N 2 2040-11-15 Fixed 4.25000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 9.50% 08/01/2021 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31283GM53 375.43000000 PA USD 378.32000000 0.000604162799 Long ABS-MBS USGA US N 2 2021-08-01 Fixed 9.50000000 N N N N N N FANNIE MAE 4.145% 07/01/2027 FN CMT+215;LC12.711 B1V7KEBTPIMZEU4LTD58 31378B2Z6 19177.61000000 PA USD 19296.33000000 0.030815512694 Long ABS-MBS USGA US N 2 2027-07-01 Floating 4.14500000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 08/25/2029 HQA1 M2 N/A 3137G0NE5 250000.00000000 PA USD 262830.70000000 0.419730734924 Long ABS-CBDO CORP US N 2 2029-08-25 Floating 5.56838000 N N N N N N U S TREASURY NOTE N/A 912833X88 175722.29900000 PA USD 175722.29900000 0.280621897296 Short RA CORP US N 2 Repurchase Y 0.02343425 2019-10-01 175722.29900573 USD 179236.76199576 USD UST N N N GOVT NATL MORTG ASSN 8.50% 10/15/2021 GNMA SF 549300M8ZYFG0OCMTT87 36223LY85 6008.58000000 PA USD 6024.73000000 0.009621267038 Long ABS-MBS USGA US N 2 2021-10-15 Fixed 8.50000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 11/20/2022 GNMA II 549300M8ZYFG0OCMTT87 36202AP76 3768.69000000 PA USD 3926.92000000 0.006271143430 Long ABS-MBS USGA US N 2 2022-11-20 Fixed 7.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 9.50% 12/01/2022 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31292GHC3 95.44000000 PA USD 95.71000000 0.000152845267 Long ABS-MBS USGA US N 2 2022-12-01 Fixed 9.50000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 10/25/23 2013-C01 M2 N/A 30711XAB0 178995.70000000 PA USD 198033.61000000 0.316252221163 Long ABS-CBDO CORP US N 2 2023-10-25 Floating 7.26838000 N N N N N N GOVT NATL MORTG ASSN 7.00% 06/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36224DT96 631.12000000 PA USD 632.24000000 0.001009663482 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 7.00000000 N N N N N N FANNIE MAE 4.625% 07/01/2031 FN 3CMT+213.9;LC12.91 B1V7KEBTPIMZEU4LTD58 31391BNU7 17301.31000000 PA USD 17506.47000000 0.027957173644 Long ABS-MBS USGA US N 2 2031-07-01 Floating 4.62500000 N N N N N N FANNIE MAE 5.00% 04/01/2034 FNMA 30 B1V7KEBTPIMZEU4LTD58 31404MHT8 46136.14000000 PA USD 49389.35000000 0.078872932929 Long ABS-MBS USGA US N 2 2034-04-01 Fixed 5.00000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 10/25/2024 2014-DN4 M3 N/A 3137G0CU1 160675.82000000 PA USD 172249.17000000 0.275075441012 Long ABS-CBDO CORP US N 2 2024-10-25 Floating 6.56838000 N N N N N N GOVT NATL MORTG ASSN 3.5% 10/01/2048 SF2 549300M8ZYFG0OCMTT87 21H0326A3 4900000.00000000 PA USD 5077433.56000000 8.108470280180 Long ABS-MBS USGA US N 2 2049-09-01 Fixed 3.50000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 01/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36208RFL3 1318.97000000 PA USD 1358.31000000 0.002169169943 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 7.50000000 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST FRN 11/15/2047 2014-C24 AS N/A 46643GAJ9 250000.00000000 PA USD 265084.20000000 0.423329489602 Long ABS-CBDO CORP US N 2 2047-11-15 Variable 3.91420000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 4.00% 04/01/2048 G30 FGLMC S6XOOCT0IEG5ABCC6L87 3128MJ3Y4 3145718.18000000 PA USD 3297689.40000000 5.266285846420 Long ABS-MBS USGA US N 2 2048-05-01 Fixed 4.00000000 N N N N N N FANNIE MAE 3.849% 04/01/2037 FAR FNARM B1V7KEBTPIMZEU4LTD58 31411S6L5 15149.28000000 PA USD 15966.73000000 0.025498266820 Long ABS-MBS USGA US N 2 2037-04-01 Floating 3.84900000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 09/25/2029 2017-C02 2M2 N/A 30711XGP3 250000.00000000 PA USD 263101.25000000 0.420162793090 Long ABS-CBDO CORP US N 2 2029-09-25 Floating 5.66838000 N N N N N N JP MORGAN MORTGAGE TRUST FRN 07/25/2043 2013-3 A3 144A N/A 46640MAC4 196582.13000000 PA USD 199731.28000000 0.318963336253 Long ABS-CBDO CORP US N 2 2043-07-25 Variable 3.39249800 N N N N N N GOVT NATL MORTG ASSN 8.25% 03/15/2021 GNMA SF 549300M8ZYFG0OCMTT87 36223EPQ1 4891.82000000 PA USD 4903.12000000 0.007830098086 Long ABS-MBS USGA US N 2 2021-03-15 Fixed 8.25000000 N N N N N N FANNIE MAE 6.00% 08/01/2035 FNMA 30 B1V7KEBTPIMZEU4LTD58 31406RDH5 65231.72000000 PA USD 72339.42000000 0.115523330876 Long ABS-MBS USGA US N 2 2035-08-01 Fixed 6.00000000 N N N N N N FANNIE MAE 3.441% 08/01/2034 FAR FNARM B1V7KEBTPIMZEU4LTD58 31405RNE2 24946.08000000 PA USD 25838.37000000 0.041262904331 Long ABS-MBS USGA US N 2 2034-08-01 Floating 3.44100000 N N N N N N U S TREASURY NOTE N/A 912828QN3 2572549.08200000 PA USD 2572549.08200000 4.108264052932 Short RA CORP US N 2 Repurchase Y 0.02343425 2019-10-01 2572549.08177180 USD 2625986.03099509 USD UST N N N FANNIE MAE 3.125% 04/01/2031 FN 6ML+141;LC12.551 B1V7KEBTPIMZEU4LTD58 31384WNL0 8782.87000000 PA USD 9087.64000000 0.014512619020 Long ABS-MBS USGA US N 2 2031-04-01 Floating 3.12500000 N N N N N N Towd Point Mortgage Trust 2018-2 FRN 03/25/2058 2018-2 A1 144A N/A 89175VAA1 158800.97000000 PA USD 162261.40000000 0.259125348263 Long ABS-CBDO CORP US N 2 2058-03-25 Variable 3.25000000 N N N N N N FANNIE MAE 3.342% 10/01/2036 FAR FNARM B1V7KEBTPIMZEU4LTD58 31410QGH8 8165.52000000 PA USD 8533.08000000 0.013627007573 Long ABS-MBS USGA US N 2 2036-10-01 Floating 3.34200000 N N N N N N U S TREASURY NOTE N/A 912796WE5 121292.95560000 PA USD 121292.95560000 0.193700284613 Short RA CORP US N 2 Repurchase Y 0.02343425 2019-10-01 121292.95563684 USD 123719.00540109 USD UST N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 05/25/2024 2014-C02 1M2 N/A 30711XAF1 144192.22000000 PA USD 150455.79000000 0.240272233458 Long ABS-CBDO CORP US N 2 2024-05-25 Floating 4.61838000 N N N N N N FANNIE MAE 4.5% 11/01/2047 FNL B1V7KEBTPIMZEU4LTD58 3140J7UE3 1549076.32000000 PA USD 1660566.49000000 2.651862180630 Long ABS-MBS USGA US N 2 2047-11-01 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 3.50% 10/01/2047 FHLMC S6XOOCT0IEG5ABCC6L87 3128MJ2S8 1387308.31000000 PA USD 1437833.48000000 2.296165947354 Long ABS-MBS USGA US N 2 2047-10-01 Fixed 3.50000000 N N N N N N FANNIE MAE 6.50% 07/01/2028 FNMA 30 B1V7KEBTPIMZEU4LTD58 31371G3U2 116819.25000000 PA USD 130232.67000000 0.207976672018 Long ABS-MBS USGA US N 2 2028-07-01 Fixed 6.50000000 N N N N N N FANNIE MAE 4% 10/01/2047 FNL B1V7KEBTPIMZEU4LTD58 3140J6GM3 1839593.33000000 PA USD 1929218.54000000 3.080889392388 Long ABS-MBS USGA US N 2 2047-10-01 Fixed 4.00000000 N N N N N N AMERICAN HOMES 4 RENT LP 4.25% 02/15/2028 549300N4PXZ37U8QKI55 02666TAA5 100000.00000000 PA USD 107986.54000000 0.172450439755 Long DBT CORP US N 2 2028-02-15 Fixed 4.25000000 N N N N N N FANNIE MAE 3.555% 01/01/2023 FAR FNARM B1V7KEBTPIMZEU4LTD58 31365DM69 4789.48000000 PA USD 4850.34000000 0.007745810412 Long ABS-MBS USGA US N 2 2023-01-01 Floating 3.55500000 N N N N N N GOVT NATL MORTG ASSN 7.00% 06/15/2023 GNMA SF 549300M8ZYFG0OCMTT87 36224F5X4 1277.87000000 PA USD 1280.03000000 0.002044159729 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 7.00000000 N N N N N N Sequoia Mortgage Trust 2016-2 FRN 8/25/46 2016-2 A4 144A 549300F4LYZVC2F50F67 81746RAD1 326674.61700000 PA USD 333481.67000000 0.532557674704 Long ABS-CBDO CORP US N 2 2046-08-25 Variable 3.50000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 11/25/2028 2016-HQA2 M3 N/A 3137G0KE8 250000.00000000 PA USD 272152.88000000 0.434617905496 Long ABS-CBDO CORP US N 2 2028-11-25 Floating 7.16838000 N N N N N N FANNIE MAE 5.50% 11/01/2035 FNMA 30 B1V7KEBTPIMZEU4LTD58 31407X4T5 48013.81000000 PA USD 53593.08000000 0.085586131510 Long ABS-MBS USGA US N 2 2035-11-01 Fixed 5.50000000 N N N N N N GOVT NATL MORTG ASSN 9.00% 11/20/2024 GNMA II 549300M8ZYFG0OCMTT87 36202CDH3 64.66000000 PA USD 64.84000000 0.000103547039 Long ABS-MBS USGA US N 2 2024-11-20 Fixed 9.00000000 N N N N N N N/A N/A 000000000 -1.00000000 NC USD 6375.00000000 0.010180635044 N/A DIR CORP US N 1 JP MORGAN SECURITIESPLC K6Q0W1PS1L1O4IQL9C32 Short US ULTRA BOND CBT Dec19 Dec 19 Future US ULTRA BOND CBT Dec19 Dec 19 Future 2019-12-19 -198281.25000000 USD 6373.53000000 N N N GOVT NATL MORTG ASSN 6.50% 01/15/2024 GNMA SF 549300M8ZYFG0OCMTT87 36203LS52 4283.44000000 PA USD 4742.73000000 0.007573961293 Long ABS-MBS USGA US N 2 2024-01-15 Fixed 6.50000000 N N N N N N GOVT NATL MORTG ASSN 9.00% 09/20/2024 GNMA II 549300M8ZYFG0OCMTT87 36202CCG6 103.44000000 PA USD 105.26000000 0.000168096258 Long ABS-MBS USGA US N 2 2024-09-20 Fixed 9.00000000 N N N N N N GOVT NATL MORTG ASSN 8.00% 11/15/2025 GNMA SF 549300M8ZYFG0OCMTT87 36225BL89 866.92000000 PA USD 906.73000000 0.001448013680 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 8.00000000 N N N N N N BX Commercial Mortgage Trust 2018-IND FRN 11/15/2035 144A 2018-IND A N/A 056059AA6 109939.01500000 PA USD 110045.15000000 0.175737962438 Long ABS-CBDO CORP US N 2 2035-11-15 Floating 2.77750000 N N N N N N UNITED STATES TREASURY NOTE/BOND 4.75% 02/15/2037 N/A 912810PT9 225000.00000000 PA USD 322703.61000000 0.515345518571 Long DBT UST US N 2 2037-02-15 Fixed 4.75000000 N N N N N N FANNIE MAE 6.50% 12/01/2027 FNMA B1V7KEBTPIMZEU4LTD58 31378PNC3 1910.29000000 PA USD 2128.88000000 0.003399741228 Long ABS-MBS USGA US N 2 2027-12-01 Fixed 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 4.5% 08/01/2048 FNL S6XOOCT0IEG5ABCC6L87 3132ACQ37 721581.80000000 PA USD 771552.26000000 1.232139917910 Long ABS-MBS USGA US N 2 2048-08-01 Fixed 4.50000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 02/25/2025 2015-C01 2M2 N/A 30711XAV6 133789.06300000 PA USD 138918.16000000 0.221847072625 Long ABS-CBDO CORP US N 2 2025-02-25 Floating 6.56838000 N N N N N N FANNIE MAE 4.145% 09/01/2027 FAR FNARM B1V7KEBTPIMZEU4LTD58 31379PB43 10079.15000000 PA USD 10095.34000000 0.016121877990 Long ABS-MBS USGA US N 2 2027-09-01 Floating 4.14500000 N N N N N N AMERICAN HOMES 4 RENT 3.467% 04/17/2052 2015-SFR1 A 144A N/A 02666AAA6 147997.18900000 PA USD 154166.22000000 0.246197650507 Long ABS-CBDO CORP US N 2 2052-04-17 Fixed 3.46700000 N N N N N N GOVT NATL MORTG ASSN 6.50% 06/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36208PTR9 18259.28000000 PA USD 20220.83000000 0.032291904395 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 6.50000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2024 2014-C03 1M2 N/A 30711XAK0 198267.85800000 PA USD 208326.09000000 0.332688924313 Long ABS-CBDO CORP US N 2 2024-07-25 Floating 5.01838000 N N N N N N N/A N/A 000000000 2.00000000 NC USD -5453.13000000 -0.00870844335 N/A DIR CORP US N 1 JP MORGAN SECURITIESPLC K6Q0W1PS1L1O4IQL9C32 Long US LONG BOND(CBT) Dec19 Dec 19 Future US LONG BOND(CBT) Dec19 Dec 19 Future 2019-12-19 330078.13000000 USD -5455.97000000 N N N GOVT NATL MORTG ASSN 8.00% 12/15/2025 GNMA SF 549300M8ZYFG0OCMTT87 36225BMB1 2249.78000000 PA USD 2435.12000000 0.003888794981 Long ABS-MBS USGA US N 2 2025-12-15 Fixed 8.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 5.00% 12/01/2034 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31297KHX3 7020.11000000 PA USD 7543.70000000 0.012047004954 Long ABS-MBS USGA US N 2 2034-12-01 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 3% 09/01/2049 FNL S6XOOCT0IEG5ABCC6L87 01F0306A1 2620000.00000000 PA USD 2660118.72000000 4.248109468688 Long ABS-MBS USGA US N 2 2049-09-01 Fixed 3.00000000 N N N N N N GOVT NATL MORTG ASSN 7.00% 04/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36206F6A5 3789.00000000 PA USD 3975.78000000 0.006349171011 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 7.00000000 N N N N N N CONSECO FINANCIAL CORP 6.66% 06/01/2030 1998-6 A8 N/A 393505K27 75533.26900000 PA USD 78259.31000000 0.124977172381 Long ABS-CBDO CORP US N 2 2030-06-01 Variable 6.66000000 N N N N N N FANNIE MAE 3.852% 04/01/2028 FAR FNARM B1V7KEBTPIMZEU4LTD58 31388BYH9 18863.56000000 PA USD 19523.21000000 0.031177831514 Long ABS-MBS USGA US N 2 2028-04-01 Floating 3.85200000 N N N N N N FANNIE MAE 2.875% 10/01/2020 FAR FNARM B1V7KEBTPIMZEU4LTD58 3136363G5 771.87000000 PA USD 773.19000000 0.001234755327 Long ABS-MBS USGA US N 2 2020-10-01 Floating 2.87500000 N N N N N N U S TREASURY NOTE N/A 912828Y95 421415.00950000 PA USD 421415.00950000 0.672983908065 Short RA CORP US N 2 Repurchase Y 0.02343425 2019-10-01 421415.00950144 USD 429843.35048444 USD UST N N N GOVT NATL MORTG ASSN 7.50% 02/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36207MRX6 346.75000000 PA USD 347.50000000 0.000554944420 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 7.50000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 01/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36208VXW0 782.84000000 PA USD 809.73000000 0.001293108331 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 7.50000000 N N N N N N FANNIE MAE 8.00% 07/01/2031 FNMA 30 B1V7KEBTPIMZEU4LTD58 31387N2M8 21249.51000000 PA USD 24322.60000000 0.038842276694 Long ABS-MBS USGA US N 2 2031-07-01 Fixed 8.00000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2029 2016-C05 2M2 N/A 30711XDK7 184591.53100000 PA USD 194578.63000000 0.310734748149 Long ABS-CBDO CORP US N 2 2029-01-25 Floating 6.46838000 N N N N N N FANNIE MAE 5.50% 10/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31403HK66 12550.17000000 PA USD 13576.81000000 0.021681654537 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.50000000 N N N N N N FANNIE MAE 6.00% 10/01/2034 FNMA 30 B1V7KEBTPIMZEU4LTD58 31405PNC0 386276.08000000 PA USD 437867.48000000 0.699257884181 Long ABS-MBS USGA US N 2 2034-10-01 Fixed 6.00000000 N N N N N N GOVT NATL MORTG ASSN 7.00% 04/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36208VEX9 4733.75000000 PA USD 4742.19000000 0.007573098933 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 7.00000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2029 2017-C01 1M1 N/A 30711XEK6 206269.97900000 PA USD 206728.37000000 0.330137425612 Long ABS-CBDO CORP US N 2 2029-07-25 Floating 3.31838000 N N N N N N FANNIE MAE 5.50% 10/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31402XQX7 22129.98000000 PA USD 24242.15000000 0.038713801072 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.50000000 N N N N N N GOVT NATL MORTG ASSN 6.50% 05/15/2032 GNMA SF 549300M8ZYFG0OCMTT87 36213R6Z5 1116.62700000 PA USD 1236.76000000 0.001975059168 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 6.50000000 N N N N N N TOWD POINT MORTGAGE TRUST FRN 04/25/2056 144A 2016-3 A1 N/A 89172YAA8 161686.45000000 PA USD 161434.03000000 0.257804069515 Long ABS-CBDO CORP US N 2 2056-04-25 Variable 2.25000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 8.00% 03/01/2028 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31283HAZ8 785.85000000 PA USD 894.67000000 0.001428754314 Long ABS-MBS USGA US N 2 2028-03-01 Fixed 8.00000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 03/25/2030 2017-DNA3 M2 N/A 3137G0QQ5 250000.00000000 PA USD 255617.60000000 0.408211685726 Long ABS-CBDO CORP US N 2 2030-03-25 Floating 4.51838000 N N N N N N GOVT NATL MORTG ASSN 7.50% 10/20/2023 GNMA II 549300M8ZYFG0OCMTT87 36202BSS5 2593.84000000 PA USD 2730.08000000 0.004359834999 Long ABS-MBS USGA US N 2 2023-10-20 Fixed 7.50000000 N N N N N N CENTERLINE REIT INC 5.04% 09/21/2045 2004-RR3 B 144A N/A 03927PAE8 20065.83000000 PA USD 19949.25000000 0.031858201358 Long ABS-CBDO CORP US N 2 2045-09-21 Fixed 5.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 5.00% 03/01/2035 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31297PCA7 5999.45000000 PA USD 6626.56000000 0.010582366895 Long ABS-MBS USGA US N 2 2035-03-01 Fixed 5.00000000 N N N N N N GOVT NATL MORTG ASSN 6.50% 09/15/2032 GN SINGLE FAMILY P 549300M8ZYFG0OCMTT87 36201SG60 47673.25000000 PA USD 52787.22000000 0.084299203423 Long ABS-MBS USGA US N 2 2032-09-15 Fixed 6.50000000 N N N N N N GSAA Home Equity Trust 2005-6 FRN 06/25/2035 05-6 A3 N/A 36242D3W1 16031.46200000 PA USD 16086.12000000 0.025688928156 Long ABS-CBDO CORP US N 2 2035-06-25 Floating 2.38838000 N N N N N N FANNIE MAE 6.50% 05/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31390HDY8 4712.28000000 PA USD 5251.77000000 0.008386879012 Long ABS-MBS USGA US N 2 2032-05-01 Fixed 6.50000000 N N N N N N FANNIE MAE 3.75% 05/01/2022 FAR FNARM B1V7KEBTPIMZEU4LTD58 31366VA20 1478.93000000 PA USD 1487.41000000 0.002375337783 Long ABS-MBS USGA US N 2 2022-05-01 Floating 3.75000000 N N N N N N FANNIE MAE 9.50% 04/01/2030 FNMA 30 B1V7KEBTPIMZEU4LTD58 31384WAH3 6609.59000000 PA USD 7435.69000000 0.011874517049 Long ABS-MBS USGA US N 2 2030-04-01 Fixed 9.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 5.00% 10/01/2033 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31292HZM9 7077.82000000 PA USD 7824.91000000 0.012496086739 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.00000000 N N N N N N OBP DEPOSITOR LLC TRUST 4.6462% 07/15/2045 2010-OBP A 144A N/A 67087MAA4 250000.00000000 PA USD 251691.20000000 0.401941372716 Long ABS-CBDO CORP US N 2 2045-07-15 Fixed 4.64620000 N N N N N N FANNIE MAE 5.50% 11/01/2035 FNMA 30 B1V7KEBTPIMZEU4LTD58 31407YAR0 44263.11000000 PA USD 49993.20000000 0.079837258650 Long ABS-MBS USGA US N 2 2035-11-01 Fixed 5.50000000 N N N N N N OBX 2018-1 Trust FRN 06/25/2057 2018-1 A2 144A N/A 67112FAD2 104676.08600000 PA USD 104499.91000000 0.166882422882 Long ABS-CBDO CORP US N 2 2057-06-25 Floating 2.66838000 N N N N N N CWABS INC ASSET-BACKED CERTIFICATES FRN 3/25/2034 2004-1 M1 N/A 126671Z25 54637.96000000 PA USD 55045.12000000 0.087904984735 Long ABS-CBDO CORP US N 2 2034-03-25 Floating 2.76838000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 01/25/2025 2015-DN1 M3 N/A 3137G0DW6 155312.53000000 PA USD 161210.12000000 0.257446493673 Long ABS-CBDO CORP US N 2 2025-01-25 Floating 6.16838000 N N N N N N TOWD POINT MORTGAGE TRUST FRN 11/25/2060 2015-1 144A N/A 89171YAL5 219006.02000000 PA USD 219804.52000000 0.351019544974 Long ABS-CBDO CORP US N 2 2060-11-25 Variable 2.75000000 N N N N N N U S TREASURY NOTE N/A 912828X96 180941.31000000 PA USD 180941.31000000 0.288956461419 Short RA CORP US N 2 Repurchase Y 0.02343425 2019-10-01 180941.30999374 USD 184560.42060200 USD UST N N N FANNIE MAE 3.47% 11/01/2033 FAR FNARM B1V7KEBTPIMZEU4LTD58 31371LJJ9 111654.86000000 PA USD 112911.64000000 0.180315639073 Long ABS-MBS USGA US N 2 2033-11-01 Floating 3.47000000 N N N N N N FANNIE MAE 3.50% 01/01/2035 FAR FNARM B1V7KEBTPIMZEU4LTD58 31371L5U9 4473.75000000 PA USD 4657.34000000 0.007437596677 Long ABS-MBS USGA US N 2 2035-01-01 Floating 3.50000000 N N N N N N ANTHRACITE HY1 LTD 7.147% 6/20/41 04-HY1AE 144A *DFLT* DWJWQEIA5WIH1V5Q2F36 03702YAE0 1598000.00000000 PA USD 23.97000000 0.000038279187 Long ABS-CBDO CORP KY N 3 2041-06-20 Fixed 7.14700000 Y N N N N N FANNIE MAE 5.00% 04/01/2034 FNMA 30 B1V7KEBTPIMZEU4LTD58 31404N4Z6 38854.76000000 PA USD 42484.15000000 0.067845588442 Long ABS-MBS USGA US N 2 2034-04-01 Fixed 5.00000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 12/20/2022 GNMA II 549300M8ZYFG0OCMTT87 36202ATA5 1884.57000000 PA USD 1902.25000000 0.003037821649 Long ABS-MBS USGA US N 2 2022-12-20 Fixed 7.50000000 N N N N N N GOVT NATL MORTG ASSN 7.00% 03/15/2026 GNMA SF 549300M8ZYFG0OCMTT87 36207DYL4 124.10000000 PA USD 124.32000000 0.000198534360 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 7.00000000 N N N N N N FANNIE MAE 4.02% 05/01/2024 FAR FNARM B1V7KEBTPIMZEU4LTD58 31368H4B6 4537.86000000 PA USD 4589.15000000 0.007328699813 Long ABS-MBS USGA US N 2 2024-05-01 Floating 4.02000000 N N N N N N FANNIE MAE 3.866% 01/01/2028 FAR FNARM B1V7KEBTPIMZEU4LTD58 31379MGB9 10673.92000000 PA USD 11079.97000000 0.017694295038 Long ABS-MBS USGA US N 2 2028-01-01 Floating 3.86600000 N N N N N N FANNIE MAE 6.00% 09/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31407SQM7 37308.78000000 PA USD 41346.07000000 0.066028117519 Long ABS-MBS USGA US N 2 2032-09-01 Fixed 6.00000000 N N N N N N Mill City Mortgage Loan Trust 2018-4 FRN 04/25/2066 2018-4 A1B 144A N/A 59980YAB1 190000.00000000 PA USD 195978.15000000 0.312969728911 Long ABS-CBDO CORP US N 2 2066-04-25 Variable 3.50000000 N N N N N N GOVT NATL MORTG ASSN 6.50% 06/20/2027 GNMA II 549300M8ZYFG0OCMTT87 36202CWB5 10276.72000000 PA USD 10924.66000000 0.017446270814 Long ABS-MBS USGA US N 2 2027-06-20 Fixed 6.50000000 N N N N N N AMERICAN HOME MORTGAGE INVESTMENT TRUST FRN 06/25/2045 05-1 6A N/A 02660TDH3 85966.78700000 PA USD 88243.08000000 0.140920877281 Long ABS-CBDO CORP US N 2 2045-06-25 Floating 4.04250000 N N N N N N CONSECO FINANCE SECURITIZATIONS CORP FRN 03/01/2033 2002-2 M1 N/A 20846QJY5 269539.58000000 PA USD 292355.35000000 0.466880489663 Long ABS-CBDO CORP US N 2 2033-03-01 Variable 7.42400000 N N N N N N GOVT NATL MORTG ASSN 8.00% 01/15/2022 GNMA SF 549300M8ZYFG0OCMTT87 36223CL89 3379.28000000 PA USD 3409.77000000 0.005445274345 Long ABS-MBS USGA US N 2 2022-01-15 Fixed 8.00000000 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES FRN 10/25/2033 05-AR9 2A2 N/A 94982HAD9 88937.06900000 PA USD 90063.15000000 0.143827460563 Long ABS-CBDO CORP US N 2 2033-10-25 Variable 4.65839500 N N N N N N FANNIE MAE 3.793% 08/01/2025 FAR FNARM B1V7KEBTPIMZEU4LTD58 31375BVT1 24263.40000000 PA USD 24556.01000000 0.039215023679 Long ABS-MBS USGA US N 2 2025-08-01 Floating 3.79300000 N N N N N N FANNIE MAE 3.627% 12/01/2025 FAR FNARM B1V7KEBTPIMZEU4LTD58 31375LDN2 8616.87000000 PA USD 8850.99000000 0.014134697877 Long ABS-MBS USGA US N 2 2025-12-01 Floating 3.62700000 N N N N N N FANNIE MAE 3.62% 05/01/2030 FN 3CMT+238;LC12.27 B1V7KEBTPIMZEU4LTD58 31388PGC9 45595.84000000 PA USD 47023.32000000 0.075094472077 Long ABS-MBS USGA US N 2 2030-05-01 Floating 3.62000000 N N N N N N MILL CITY MORTGAGE TRUST FRN 04/25/2057 2016-1 A 144A N/A 59980TAA4 80792.28000000 PA USD 81117.34000000 0.129541338714 Long ABS-CBDO CORP US N 2 2057-04-25 Variable 2.50000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 05/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36209KZ92 12275.57000000 PA USD 12907.33000000 0.020612520176 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 7.50000000 N N N N N N FANNIE MAE 3.5% 06/01/2049 FNL B1V7KEBTPIMZEU4LTD58 31418DCY6 203512.11000000 PA USD 209250.47000000 0.334165124380 Long ABS-MBS USGA US N 2 2049-06-01 Fixed 3.50000000 N N N N N N GOVT NATL MORTG ASSN 9.00% 03/20/2025 GNMA II 549300M8ZYFG0OCMTT87 36202CFQ1 148.99000000 PA USD 154.67000000 0.000247002168 Long ABS-MBS USGA US N 2 2025-03-20 Fixed 9.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 6.00% 07/01/2028 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31292W3J8 412.39000000 PA USD 455.87000000 0.000728007231 Long ABS-MBS USGA US N 2 2028-07-01 Fixed 6.00000000 N N N N N N FANNIE MAE 3.5% 08/01/2049 FNL B1V7KEBTPIMZEU4LTD58 3140QBPG7 1090448.00000000 PA USD 1133662.43000000 1.810416229535 Long ABS-MBS USGA US N 2 2049-08-01 Fixed 3.50000000 N N N N N N CIM Trust 2018-INV1 FRN 08/25/2048 2018-INV1 A4 144A N/A 12553XAD5 153457.62000000 PA USD 160484.51000000 0.256287721815 Long ABS-CBDO CORP US N 2 2048-08-25 Variable 4.00000000 N N N N N N Towd Point Mortgage Trust 2019-1 FRN 03/25/2058 2019-1 A1 144A N/A 89177BAA3 269736.14000000 PA USD 283232.04000000 0.452310906995 Long ABS-CBDO CORP US N 2 2058-03-25 Variable 3.75000000 N N N N N N Towd Point Mortgage Trust FRN 07/25/2056 2016-4 A1 144A N/A 89172UAA6 172441.46300000 PA USD 171847.20000000 0.274433510053 Long ABS-CBDO CORP US N 2 2056-07-25 Variable 2.25000000 N N N N N N GOVT NATL MORTG ASSN 6.50% 01/20/2026 GNMA II 549300M8ZYFG0OCMTT87 36202CL92 9336.13000000 PA USD 9835.23000000 0.015706492110 Long ABS-MBS USGA US N 2 2026-01-20 Fixed 6.50000000 N N N N N N FANNIE MAE 3% 11/1/2048 FNL B1V7KEBTPIMZEU4LTD58 3140JAF37 4149194.25000000 PA USD 4248802.88000000 6.785178273967 Long ABS-MBS USGA US N 2 2048-11-01 Fixed 3.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 5.00% 02/01/2039 G30 FGLMC S6XOOCT0IEG5ABCC6L87 3132FCBN4 226886.38000000 PA USD 250693.27000000 0.400347716068 Long ABS-MBS USGA US N 2 2039-02-01 Fixed 5.00000000 N N N N N N GOVT NATL MORTG ASSN 6.50% 01/20/2033 GNMA II 549300M8ZYFG0OCMTT87 36202DV40 35043.38000000 PA USD 40690.58000000 0.064981324662 Long ABS-MBS USGA US N 2 2033-01-20 Fixed 6.50000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 01/25/2030 C05 1M2 N/A 30711XNX8 250000.00000000 PA USD 253465.00000000 0.404774064550 Long ABS-CBDO CORP US N 2 2030-01-25 Floating 4.21838000 N N N N N N FANNIE MAE 8.00% 07/01/2026 FNMA 30 B1V7KEBTPIMZEU4LTD58 31376B7B6 126.70000000 PA USD 127.98000000 0.000204379242 Long ABS-MBS USGA US N 2 2026-07-01 Fixed 8.00000000 N N N N N N FANNIE MAE 4.125% 03/01/2022 FAR FNARM B1V7KEBTPIMZEU4LTD58 31373UGC5 1603.40000000 PA USD 1610.29000000 0.002571572518 Long ABS-MBS USGA US N 2 2022-03-01 Floating 4.12500000 N N N N N N U S TREASURY NOTE N/A 912828VF4 84576.92757000 PA USD 84576.92757000 0.135066169844 Short RA CORP US N 2 Repurchase Y 0.02343425 2019-10-01 84576.92756661 USD 86268.59905821 USD UST N N N FANNIE MAE 5.50% 10/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31403GX31 24304.31000000 PA USD 26371.29000000 0.042113957511 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.50000000 N N N N N N FANNIE MAE 4.013% 12/01/2024 FN CMT+230.5;LC10.216 B1V7KEBTPIMZEU4LTD58 31378RVH9 14581.64000000 PA USD 15053.15000000 0.024039313947 Long ABS-MBS USGA US N 2 2024-12-01 Floating 4.01300000 N N N N N N GOVT NATL MORTG ASSN 8.00% 08/15/2022 GNMA SF 549300M8ZYFG0OCMTT87 36224DFX8 517.90000000 PA USD 538.84000000 0.000860507198 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 8.00000000 N N N N N N FANNIE MAE 5.50% 11/01/2034 FNMA 30 B1V7KEBTPIMZEU4LTD58 31406CGC6 58952.24000000 PA USD 66360.02000000 0.105974454141 Long ABS-MBS USGA US N 2 2034-11-01 Fixed 5.50000000 N N N N N N GOVT NATL MORTG ASSN 8.25% 05/15/2021 GNMA SF 549300M8ZYFG0OCMTT87 36223FZ95 1392.92000000 PA USD 1395.50000000 0.002228560973 Long ABS-MBS USGA US N 2 2021-05-15 Fixed 8.25000000 N N N N N N BRAVO Residential Funding Trust 2019-1 3.50 03/25/2058 2019-1 A1C 144A N/A 10568GAD9 136710.76000000 PA USD 139856.76000000 0.223345981496 Long ABS-CBDO CORP US N 2 2058-03-25 Fixed 3.50000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 01/15/2026 GNMA SF 549300M8ZYFG0OCMTT87 36206UM71 465.41000000 PA USD 497.66000000 0.000794744288 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 7.50000000 N N N N N N FANNIE MAE 3.228% 04/01/2037 FNMA ARM B1V7KEBTPIMZEU4LTD58 31412V7C6 8899.28000000 PA USD 9074.87000000 0.014492225810 Long ABS-MBS USGA US N 2 2037-04-01 Floating 3.22800000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 02/25/2030 2017-C06 1M2 N/A 30711XQX5 250000.00000000 PA USD 255864.45000000 0.408605895884 Long ABS-CBDO CORP US N 2 2030-02-25 Floating 4.66838000 N N N N N N Towd Point Mortgage Trust 2018-5 FRN 07/25/2058 2018-5 A1A 144A N/A 89176VAK8 84732.93000000 PA USD 86191.89000000 0.137645204058 Long ABS-CBDO CORP US N 2 2058-07-25 Variable 3.25000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 10/15/2029 GNMA SF 549300M8ZYFG0OCMTT87 36206WB20 1669.13000000 PA USD 1682.04000000 0.002686154567 Long ABS-MBS USGA US N 2 2029-10-15 Fixed 7.50000000 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST FRN 6/25/35 2005-AR10 2A3 N/A 94983CAF4 51127.98500000 PA USD 52429.31000000 0.083727634625 Long ABS-CBDO CORP US N 2 2035-06-25 Variable 4.96831900 N N N N N N Radnor RE 2018-1 Ltd FRN 03/25/2028 2018-1 M1 144A 549300ED4YNDE7SVU538 750496AA9 105959.42000000 PA USD 106129.88000000 0.169485423620 Long ABS-CBDO CORP BM N 2 2028-03-25 Floating 3.41838000 N N N N N N FANNIE MAE 5.50% 10/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31403CH79 27531.23000000 PA USD 30206.78000000 0.048239090673 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 5.00% 10/01/2033 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31296QF21 1802.47000000 PA USD 1931.04000000 0.003083798195 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 5.50% 09/01/2033 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31296MPS2 34486.59000000 PA USD 39014.61000000 0.062304863655 Long ABS-MBS USGA US N 2 2033-09-01 Fixed 5.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 8.00% 09/01/2026 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31335GPM1 2409.47000000 PA USD 2745.70000000 0.004384779551 Long ABS-MBS USGA US N 2 2026-09-01 Fixed 8.00000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 12/20/2023 GNMA II 549300M8ZYFG0OCMTT87 36202BVD4 9639.83000000 PA USD 10131.69000000 0.016179927572 Long ABS-MBS USGA US N 2 2023-12-20 Fixed 7.50000000 N N N N N N FANNIE MAE 6.50% 08/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31390SXK2 14022.59000000 PA USD 15634.25000000 0.024967308775 Long ABS-MBS USGA US N 2 2032-08-01 Fixed 6.50000000 N N N N N N BANK 2018-BNK13 FRN 08/15/2061 2018-BN13 XA IO 549300664283JRAXM588 06539LBC3 2485065.49000000 PA USD 84901.77000000 0.135584930978 Long ABS-CBDO CORP US N 2 2061-08-15 Variable 0.66483100 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 07/25/2024 2014-C03 2M2 N/A 30711XAM6 149658.49900000 PA USD 155999.17000000 0.249124802664 Long ABS-CBDO CORP US N 2 2024-07-25 Floating 4.91838000 N N N N N N RASC Series 2004-KS8 Trust FRN 09/25/2034 N/A 76110WC61 1329.16300000 PA USD 1341.34000000 0.002142069491 Long ABS-CBDO CORP US N 2 2034-09-25 Variable 4.79000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 5.00% 07/01/2034 FHLMC G30 S6XOOCT0IEG5ABCC6L87 31297B4N9 7698.81000000 PA USD 8363.30000000 0.013355875304 Long ABS-MBS USGA US N 2 2034-07-01 Fixed 5.00000000 N N N N N N FANNIE MAE 3.892% 11/01/2034 FAR FNARM B1V7KEBTPIMZEU4LTD58 31406DJL1 32951.64000000 PA USD 34342.57000000 0.054843791632 Long ABS-MBS USGA US N 2 2034-11-01 Floating 3.89200000 N N N N N N FANNIE MAE 8.50% 11/01/2026 FNMA 30 B1V7KEBTPIMZEU4LTD58 31402UXP2 94461.53000000 PA USD 98754.44000000 0.157707123552 Long ABS-MBS USGA US N 2 2026-11-01 Fixed 8.50000000 N N N N N N TOWD POINT MORTGAGE TRUST FRN 10/25/2056 2017-1 A2 144A N/A 89173FAB6 165000.00000000 PA USD 171859.96000000 0.274453887292 Long ABS-CBDO CORP US N 2 2056-10-25 Variable 3.50000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 03/25/2025 15-HQ1 M3 N/A 3137G0EJ4 397614.83000000 PA USD 409375.40000000 0.653757104866 Long ABS-CBDO CORP US N 2 2025-03-25 Floating 5.81838000 N N N N N N FANNIE MAE 6.00% 12/01/2023 FNMA B1V7KEBTPIMZEU4LTD58 313615TA4 116.30000000 PA USD 128.50000000 0.000205209663 Long ABS-MBS USGA US N 2 2023-12-01 Fixed 6.00000000 N N N N N N FANNIE MAE 5.50% 10/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31390WTD4 33502.06000000 PA USD 36667.97000000 0.058557367903 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.50000000 N N N N N N FANNIE MAE 3.426% 01/01/2022 FAR FNARM B1V7KEBTPIMZEU4LTD58 31374GCQ8 310.12000000 PA USD 310.23000000 0.000495425632 Long ABS-MBS USGA US N 2 2022-01-01 Floating 3.42600000 N N N N N N GOVT NATL MORTG ASSN 7.00% 05/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36208WBT9 2060.84000000 PA USD 2064.46000000 0.003296864913 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 7.00000000 N N N N N N GE COMMERCIAL MORTGAGE CORP TRUST FRN 12/10/2049 2007-C1 AM 549300MEP395QRNT3X34 36159XAH3 97539.58000000 PA USD 85115.96000000 0.135926984346 Long ABS-CBDO CORP US N 2 2049-12-10 Variable 5.60600000 N N N N N N Flagstar Mortgage Trust 2018-6RR FRN 10/25/2048 144A 2018-6RR 1A3 549300H3PON1KOB2RF56 33851FAC1 144983.42000000 PA USD 148669.45000000 0.237419515716 Long ABS-CBDO CORP US N 2 2048-10-25 Variable 4.00000000 N N N N N N GOVT NATL MORTG ASSN 7.50% 09/15/2025 GNMA SF 549300M8ZYFG0OCMTT87 36204EFV4 751.39000000 PA USD 752.98000000 0.001202480717 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 7.50000000 N N N N N N TOWD POINT MORTGAGE TRUST 2017-5 FRN 02/25/2057 2017-5 A1 144A N/A 89169EAA7 77823.29000000 PA USD 77718.56000000 0.124113614985 Long ABS-CBDO CORP US N 2 2057-02-25 Floating 2.61838000 N N N N N N FREMF Mortgage Trust 3.9916% 12/25/2050 2018-K72 B 144A N/A 30307TAG8 210000.00000000 PA USD 226411.92000000 0.361571314071 Long ABS-CBDO CORP US N 2 2050-12-25 Variable 4.11709400 N N N N N N FANNIE MAE 7.50% 12/01/2029 FNMA 30 B1V7KEBTPIMZEU4LTD58 31384BXR2 259.78000000 PA USD 285.27000000 0.000455565452 Long ABS-MBS USGA US N 2 2029-12-01 Fixed 7.50000000 N N N N N N FANNIE MAE 6.50% 08/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31390HHP3 27865.17000000 PA USD 31053.05000000 0.049590552009 Long ABS-MBS USGA US N 2 2032-08-01 Fixed 6.50000000 N N N N N N GOVT NATL MORTG ASSN 8.00% 07/15/2027 GNMA SF 549300M8ZYFG0OCMTT87 36205HFA2 1669.77000000 PA USD 1673.82000000 0.002673027537 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 8.00000000 N N N N N N FANNIE MAE 6.50% 04/01/2031 FNMA 30 B1V7KEBTPIMZEU4LTD58 31384WGU8 18553.42000000 PA USD 21160.47000000 0.033792474107 Long ABS-MBS USGA US N 2 2031-04-01 Fixed 6.50000000 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS TRUST FRN 3/25/28 03-A 1A N/A 589929F94 92613.33300000 PA USD 92380.52000000 0.147528213227 Long ABS-CBDO CORP US N 2 2028-03-25 Floating 2.75838000 N N N N N N FANNIE MAE 4.402% 06/01/2034 FNMA ARM B1V7KEBTPIMZEU4LTD58 31404WPZ3 17911.66000000 PA USD 19011.48000000 0.030360617965 Long ABS-MBS USGA US N 2 2034-06-01 Floating 4.40200000 N N N N N N FANNIE MAE 6.50% 09/01/2031 FNMA 30 B1V7KEBTPIMZEU4LTD58 31388EDR4 7668.02000000 PA USD 8827.50000000 0.014097185231 Long ABS-MBS USGA US N 2 2031-09-01 Fixed 6.50000000 N N N N N N GOVT NATL MORTG ASSN 8.00% 12/15/2026 GNMA SF 549300M8ZYFG0OCMTT87 36225BMR6 1959.51000000 PA USD 2199.54000000 0.003512582589 Long ABS-MBS USGA US N 2 2026-12-15 Fixed 8.00000000 N N N N N N GOVT NATL MORTG ASSN 8.00% 08/20/2026 GNMA II 549300M8ZYFG0OCMTT87 36202CQX4 66.01000000 PA USD 75.11000000 0.000119947842 Long ABS-MBS USGA US N 2 2026-08-20 Fixed 8.00000000 N N N N N N FANNIE MAE 6.50% 10/01/2028 FNMA 30 B1V7KEBTPIMZEU4LTD58 31374TFV6 6455.69000000 PA USD 7197.96000000 0.011494871188 Long ABS-MBS USGA US N 2 2028-10-01 Fixed 6.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 5.00% 07/01/2035 FHLMC G30 S6XOOCT0IEG5ABCC6L87 3128K6ZN3 22143.01000000 PA USD 23721.59000000 0.037882486346 Long ABS-MBS USGA US N 2 2035-07-01 Fixed 5.00000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 10/25/2028 2016-DNA2 M3 N/A 3137G0JU4 250000.00000000 PA USD 268169.95000000 0.428257316204 Long ABS-CBDO CORP US N 2 2028-10-25 Floating 6.66838000 N N N N N N FANNIE MAE 3.445% 05/01/2027 FN CMT+219.5;LC11.963 B1V7KEBTPIMZEU4LTD58 31381C6Y8 53755.96000000 PA USD 54378.07000000 0.086839730993 Long ABS-MBS USGA US N 2 2027-05-01 Floating 3.44500000 N N N N N N FANNIE MAE 5.50% 09/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31402WL89 6015.77000000 PA USD 6507.76000000 0.010392647767 Long ABS-MBS USGA US N 2 2033-09-01 Fixed 5.50000000 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 5.50% 04/25/2022 2007-3 3A1 N/A 94985TBC1 6368.93800000 PA USD 6368.94000000 0.010170957452 Long ABS-CBDO CORP US N 2 2022-04-25 Fixed 5.50000000 N N N N N N FANNIE MAE 5.50% 09/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31402VKM1 33056.19000000 PA USD 36494.84000000 0.058280885810 Long ABS-MBS USGA US N 2 2033-09-01 Fixed 5.50000000 N N N N N N FANNIE MAE 5.50% 10/01/2033 FNMA 30 B1V7KEBTPIMZEU4LTD58 31402XD60 63733.05000000 PA USD 68924.99000000 0.110070614686 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 5.50000000 N N N N N N WAMU MORTGAGE PASS-THROUGH CERTIFICATES FRN 07/25/2045 2005-AR8 1A1A N/A 92922FR75 86530.38100000 PA USD 86337.50000000 0.137877737747 Long ABS-CBDO CORP US N 2 2045-07-25 Floating 2.59838000 N N N N N N GOVT NATL MORTG ASSN 8.50% 02/15/2023 GNMA SF 549300M8ZYFG0OCMTT87 36203G6K4 1015.78000000 PA USD 1017.13000000 0.001624318325 Long ABS-MBS USGA US N 2 2023-02-15 Fixed 8.50000000 N N N N N N GOVT NATL MORTG ASSN 9.00% 12/20/2021 GNMA II 549300M8ZYFG0OCMTT87 36202B4Z5 106.93000000 PA USD 107.96000000 0.000172408056 Long ABS-MBS USGA US N 2 2021-12-20 Fixed 9.00000000 N N N N N N FANNIE MAE 9.00% 04/01/2025 FNMA 30 B1V7KEBTPIMZEU4LTD58 31371E4M4 665.84000000 PA USD 721.32000000 0.001151920889 Long ABS-MBS USGA US N 2 2025-04-01 Fixed 9.00000000 N N N N N N FANNIE MAE 3.564% 07/01/2025 FN CMT+224;LC13.098 B1V7KEBTPIMZEU4LTD58 31376XFG8 9445.10000000 PA USD 9807.33000000 0.015661936861 Long ABS-MBS USGA US N 2 2025-07-01 Floating 3.56400000 N N N N N N GSAMP TRUST 3.09613% 06/25/2035 2005-HE3 CL M2 N/A 362341BR9 11185.30800000 PA USD 11217.48000000 0.017913893332 Long ABS-CBDO CORP US N 2 2035-06-25 Floating 3.02338000 N N N N N N GOVT NATL MORTG ASSN 7.00% 04/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36208V6R1 1555.22000000 PA USD 1703.34000000 0.002720169866 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 7.00000000 N N N N N N FANNIE MAE 6.50% 08/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31390S7G0 30416.12000000 PA USD 33896.35000000 0.054131195087 Long ABS-MBS USGA US N 2 2032-08-01 Fixed 6.50000000 N N N N N N GOVT NATL MORTG ASSN 7.00% 11/15/2029 GNMA SF 549300M8ZYFG0OCMTT87 36225BGW2 2530.46000000 PA USD 2928.25000000 0.004676305030 Long ABS-MBS USGA US N 2 2029-11-15 Fixed 7.00000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTE FRN 11/25/2023 2013-DN2 M2 N/A 3137G0AD1 204968.28200000 PA USD 220723.50000000 0.352487121443 Long ABS-CBDO CORP US N 2 2023-11-25 Floating 6.26838000 N N N N N N FANNIE MAE 9.50% 11/01/2021 FNMA 30 B1V7KEBTPIMZEU4LTD58 31373UMB0 77.40000000 PA USD 77.96000000 0.000124499185 Long ABS-MBS USGA US N 2 2021-11-01 Fixed 9.50000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 05/25/2025 2015-HQ2 M3 N/A 3137G0FJ3 250000.00000000 PA USD 262786.08000000 0.419659478463 Long ABS-CBDO CORP US N 2 2025-05-25 Floating 5.26838000 N N N N N N CONSECO FINANCIAL CORP FRN 04/01/2030 1998-4 CL A7 N/A 393505F98 38167.38100000 PA USD 39925.69000000 0.063759824122 Long ABS-CBDO CORP US N 2 2030-04-01 Variable 6.87000000 N N N N N N N/A N/A 000000000 13.00000000 NC USD 6601.56000000 0.010542442836 N/A DIR CORP US N 1 JP MORGAN SECURITIESPLC K6Q0W1PS1L1O4IQL9C32 Long US 5YR NOTE (CBT) Dec19 Dec 19 Future US 5YR NOTE (CBT) Dec19 Dec 19 Future 2019-12-31 1542328.13000000 USD 6585.05000000 N N N FANNIE MAE 6.00% 07/01/2035 FNMA 30 B1V7KEBTPIMZEU4LTD58 31407SDL3 125149.79000000 PA USD 139462.65000000 0.222716602661 Long ABS-MBS USGA US N 2 2035-07-01 Fixed 6.00000000 N N N N N N FANNIE MAE 6.00% 05/01/2035 FNMA 30 B1V7KEBTPIMZEU4LTD58 31406XQ47 15665.66000000 PA USD 17310.32000000 0.027643929477 Long ABS-MBS USGA US N 2 2035-05-01 Fixed 6.00000000 N N N N N N FANNIE MAE 6.50% 08/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31390PGD3 17478.87000000 PA USD 19948.28000000 0.031856652304 Long ABS-MBS USGA US N 2 2032-08-01 Fixed 6.50000000 N N N N N N FANNIE MAE 6.50% 07/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31390LGN0 10810.40000000 PA USD 12051.36000000 0.019245568305 Long ABS-MBS USGA US N 2 2032-07-01 Fixed 6.50000000 N N N N N N CIM Trust 2019-INV1 FRN 02/25/2049 2019-INV1 A1 144A N/A 12555DAA3 184462.66000000 PA USD 189926.33000000 0.303305200162 Long ABS-CBDO CORP US N 2 2049-02-25 Variable 4.00000000 N N N N N N CSMC FRN 03/26/2036 2009-15R 3A1 144A N/A 12642NBQ0 10271.73000000 PA USD 10325.04000000 0.016488700244 Long ABS-CBDO CORP US N 2 2036-03-26 Variable 5.15374000 N N N N N N GOVT NATL MORTG ASSN 8.50% 04/15/2023 GNMA SF 549300M8ZYFG0OCMTT87 36224PU55 7544.91000000 PA USD 7565.10000000 0.012081179948 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 8.50000000 N N N N N N FANNIE MAE 9.00% 08/01/2024 FNMA 30 B1V7KEBTPIMZEU4LTD58 31368JDB2 101.87000000 PA USD 109.70000000 0.000175186770 Long ABS-MBS USGA US N 2 2024-08-01 Fixed 9.00000000 N N N N N N GS Mortgage Securities Trust FRN 3/10/2050 2017-GS5 XA IO N/A 36252HAF8 3226581.05000000 PA USD 169330.65000000 0.270414674426 Long ABS-CBDO CORP US N 2 2050-03-10 Variable 0.96180200 N N N N N N GOVT NATL MORTG ASSN 7.50% 07/20/2032 GNMA II 549300M8ZYFG0OCMTT87 36202DTU5 11448.35000000 PA USD 12953.67000000 0.020686523412 Long ABS-MBS USGA US N 2 2032-07-20 Fixed 7.50000000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 02/25/2025 2015-C01 1M2 N/A 30711XAT1 159551.42700000 PA USD 169166.06000000 0.270151830391 Long ABS-CBDO CORP US N 2 2025-02-25 Floating 6.31838000 N N N N N N N/A N/A 000000000 21.00000000 NC USD -12073.37000000 -0.01928071744 N/A DIR CORP US N 1 JP MORGAN SECURITIESPLC K6Q0W1PS1L1O4IQL9C32 Long US 2YR NOTE (CBT) Dec19 Dec 19 Future US 2YR NOTE (CBT) Dec19 Dec 19 Future 2019-12-31 4537573.37000000 USD -12098.99000000 N N N FANNIE MAE 4.125% 04/01/2027 FN CMT+215;LC12.31 B1V7KEBTPIMZEU4LTD58 31377EG52 43989.40000000 PA USD 44683.25000000 0.071357468367 Long ABS-MBS USGA US N 2 2027-04-01 Floating 4.12500000 N N N N N N FANNIE MAE 3% 9/1/2048 FNL B1V7KEBTPIMZEU4LTD58 3140JADM7 3337853.24000000 PA USD 3420348.65000000 5.462168051762 Long ABS-MBS USGA US N 2 2048-09-01 Fixed 3.00000000 N N N N N N GOVT NATL MORTG ASSN 7.00% 02/15/2028 GNMA SF 549300M8ZYFG0OCMTT87 36209ECA8 2044.38000000 PA USD 2088.67000000 0.003335527372 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 7.00000000 N N N N N N FANNIE MAE FRN 02/25/2037 2007-1 CL FN N/A 31396PHM6 77053.98000000 PA USD 77075.92000000 0.123087343094 Long ABS-CBDO CORP US N 2 2037-02-25 Floating 2.26838000 N N N N N N Mill City Mortgage Loan Trust 2018-2 FRN 05/25/2058 144A 2 A1 N/A 59980MAC5 192383.30300000 PA USD 196471.53000000 0.313757638200 Long ABS-CBDO CORP US N 2 2058-05-25 Variable 3.50000000 N N N N N N FANNIE MAE 3.38% 08/01/2029 FN CMT+225;LC10.95 B1V7KEBTPIMZEU4LTD58 31384KZR0 4446.57000000 PA USD 4606.12000000 0.007355800265 Long ABS-MBS USGA US N 2 2029-08-01 Floating 3.38000000 N N N N N N FANNIE MAE 4.10% 04/01/2037 FAR FNARM B1V7KEBTPIMZEU4LTD58 31411UXU0 12207.33000000 PA USD 12882.02000000 0.020572101059 Long ABS-MBS USGA US N 2 2037-04-01 Floating 4.10000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP 4.00% 04/01/2048 G30 FGLMC S6XOOCT0IEG5ABCC6L87 3128MJ3T5 602497.76000000 PA USD 632147.29000000 1.009515428038 Long ABS-MBS USGA US N 2 2048-04-01 Fixed 4.00000000 N N N N N N FANNIE MAE 6.50% 07/01/2029 FNMA 30 B1V7KEBTPIMZEU4LTD58 31383LP90 11217.45000000 PA USD 12506.67000000 0.019972681237 Long ABS-MBS USGA US N 2 2029-07-01 Fixed 6.50000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 08/25/2024 2014-HQ1 M3 N/A 3137G0BW8 217072.95100000 PA USD 230247.41000000 0.367696447232 Long ABS-CBDO CORP US N 2 2024-08-25 Floating 6.11838000 N N N N N N FREMF 2011-K11 Mortgage Trust FRN 12/25/2048 144A 2011-K11 B N/A 30262BAL9 170000.00000000 PA USD 173833.23000000 0.277605125208 Long ABS-CBDO CORP US N 2 2048-12-25 Variable 4.56702400 N N N N N N U S TREASURY NOTE N/A 912828X21 182230.18810000 PA USD 182230.18810000 0.291014751232 Short RA CORP US N 2 Repurchase Y 0.02343425 2019-10-01 182230.18805307 USD 185875.07824841 USD UST N N N FEDERAL HOME LOAN MORTGAGE CORP 4.50% 04/01/2040 FHLMC G30 S6XOOCT0IEG5ABCC6L87 312940AH2 439145.65000000 PA USD 476369.09000000 0.760743506146 Long ABS-MBS USGA US N 2 2040-04-01 Fixed 4.50000000 N N N N N N CITIGROUP MORTGAGE LOAN TRUST FRN 05/25/2042 2013-A A 144A N/A 17320XAA2 18203.95000000 PA USD 17938.57000000 0.028647221080 Long ABS-CBDO CORP US N 2 2042-05-25 Variable 3.00000000 N N N N N N FANNIE MAE 8.00% 01/01/2025 FNMA 30 B1V7KEBTPIMZEU4LTD58 31371E2V6 241.32000000 PA USD 258.82000000 0.000413325797 Long ABS-MBS USGA US N 2 2025-01-01 Fixed 8.00000000 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT N FRN 11/27/2028 2016-HQA2 M2 N/A 3137G0KB4 101506.89000000 PA USD 101999.50000000 0.162889362227 Long ABS-CBDO CORP US N 2 2028-11-25 Floating 4.26838000 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES FRN 5/25/2030 2017-C07 1M1 N/A 30711XUS1 262042.88000000 PA USD 262149.48000000 0.418642852225 Long ABS-CBDO CORP US N 2 2030-05-25 Floating 2.66838000 N N N N N N GOVT NATL MORTG ASSN 7.00% 01/15/2026 GNMA SF 549300M8ZYFG0OCMTT87 36206HFY9 318.11000000 PA USD 339.05000000 0.000541450088 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 7.00000000 N N N N N N FANNIE MAE 6.50% 07/01/2032 FNMA 30 B1V7KEBTPIMZEU4LTD58 31390PVL8 25776.60000000 PA USD 28761.49000000 0.045931016944 Long ABS-MBS USGA US N 2 2032-07-01 Fixed 6.50000000 N N N N N N TOWD POINT MORTGAGE TRUST FRN 04/25/2057 144A 2017-2 A1 N/A 89173HAA4 67392.41000000 PA USD 67987.71000000 0.108573813805 Long ABS-CBDO CORP US N 2 2057-04-25 Variable 2.75000000 N N N N N N Progress Residential 2018-SFR2 Trust 3.712% 08/17/2035 144A SFR2 A N/A 74332UAA5 100000.00000000 PA USD 102167.58000000 0.163157779661 Long ABS-CBDO CORP US N 2 2035-08-17 Fixed 3.71200000 N N N N N N 2019-10-30 Robert Kubilis Robert Kubilis Robert Kubilis Chief Financial Officer, Chief Accounting Officer and Treasurer