Form NPORT-P PACE SELECT ADVISORS For: Jul 31

September 20, 2021 12:13 PM EDT

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    NPORT-P
    false
    
      
      
        
          0000930007
          XXXXXXXX
        
      
      
      
      
        S000002696
        C000007350
        C000007353
        C000007349
      
      
      
    
  
  
    
      PACE SELECT ADVISORS TRUST
      811-08764
      0000930007
      549300TPB2UX3QR3SC50
      C/O UBS ASSET MANAGEMENT (AMERICAS) INC.
      12TH FLOOR 1285 AVENUE OF THE AMERICAS
      NEW YORK
      
      10019
      212-821-3000
      PACE Mortgage-Backed Securities Fixed Income Investments
      S000002696
      549300SL7FH0DG7NFM06
      2021-07-31
      2021-07-31
      N
    
    
      897471938.26
      580692449.05
      316779489.21
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      398811291.00000000
      0.00000000
      0.00000000
      929267.90000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418C7D0
        
          
        
        109353.38000000
        PA
        USD
        119265.10000000
        0.037649249418
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        317522JH4
        000000000
        
          
        
        -3000000.00000000
        NC
        USD
        -24680.70000000
        -0.00779112942
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            101.28125000
            USD
            2021-09-07
            XXXX
            -16243.20000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138Y9DA3
        
          
        
        1305.55000000
        PA
        USD
        1453.17000000
        0.000458732351
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securities Corporation
        N/A
        RASC Series 2005-KS11 Trust
        76110W7E0
        
          
        
        274521.97000000
        PA
        USD
        273767.69000000
        0.086422164099
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          0.71900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3620AM6U1
        
          
        
        46702.33000000
        PA
        USD
        51480.18000000
        0.016251108974
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-07-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        549300EBWPUX52MGF160
        Sound Point Clo XII Ltd
        83610CAW1
        
          
        
        1246787.00000000
        PA
        USD
        1246870.53000000
        0.393608352961
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-10-20
          Floating
          1.18400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KC36
        
          
        
        11279.16000000
        PA
        USD
        11493.62000000
        0.003628271523
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128HDPU7
        
          
        
        19047.14000000
        PA
        USD
        19644.28000000
        0.006201247451
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-01-01
          Floating
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AXTT0
        
          
        
        1116251.71000000
        PA
        USD
        184779.51000000
        0.058330642069
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-15
          Floating
          6.10700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2005-AR2
        45660LCL1
        
          
        
        254536.64000000
        PA
        USD
        246611.29000000
        0.077849513115
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-02-25
          Floating
          0.72900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617AANP5
        
          
        
        5781.11000000
        PA
        USD
        6532.95000000
        0.002062302081
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-12-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AD3D9
        
          
        
        724098.23000000
        PA
        USD
        68192.67000000
        0.021526857742
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312926VK1
        
          
        
        32269.41000000
        PA
        USD
        34863.40000000
        0.011005573652
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BCAP LLC Trust
        N/A
        BCAP LLC 2011-RR11 Trust
        05533FCL3
        
          
        
        13615.38000000
        PA
        USD
        13588.70000000
        0.004289640100
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-26
          Variable
          0.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ELA29
        
          
        
        114226.66000000
        PA
        USD
        120701.78000000
        0.038102776256
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HGTY3
        
          
        
        79866.58000000
        PA
        USD
        85227.15000000
        0.026904251349
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179NLG1
        
          
        
        1314820.47000000
        PA
        USD
        1504371.38000000
        0.474895449750
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-08-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175ER359
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -0.30000000
        -0.00000009470
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            101.70312500
            USD
            2021-08-05
            XXXX
            2929.39000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SWU019K21 IRS USD R F  1.80000 SWU019K21 CCPVANILLA / Short: SWU019K21 IRS USD P V 03MLIBOR SWUV19K23 CCPVANILLA
        000000000
        
          
        
        410000.00000000
        OU
        Notional Amount
        USD
        20304.01000000
        0.006409509040
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-09-13
            0.00000000
            USD
            0.00000000
            USD
            410000.00000000
            USD
            20304.01000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410LDK5
        
          
        
        607387.71000000
        PA
        USD
        648045.66000000
        0.204573112235
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YEZM2
        
          
        
        142528.01000000
        PA
        USD
        150264.52000000
        0.047435053441
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140H6LZ0
        
          
        
        53570.55000000
        PA
        USD
        57522.33000000
        0.018158476782
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        N/A
        GSR Mortgage Loan Trust 2004-14
        36242DPD9
        
          
        
        4397.68000000
        PA
        USD
        4328.54000000
        0.001366420537
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-25
          Floating
          0.41900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MLCC Mortgage Investors Inc
        N/A
        Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A
        59020UAR6
        
          
        
        22863.23000000
        PA
        USD
        22658.09000000
        0.007152637961
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-04-25
          Floating
          0.54900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KKY0
        
          
        
        8289.46000000
        PA
        USD
        8362.72000000
        0.002639918392
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-04-20
          Floating
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31396RLX3
        
          
        
        114826.51000000
        PA
        USD
        116548.56000000
        0.036791700210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-15
          Floating
          0.52300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CXZ2
        
          
        
        212456.56000000
        PA
        USD
        227307.34000000
        0.071755700019
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416W6M9
        
          
        
        62873.79000000
        PA
        USD
        67208.73000000
        0.021216250511
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132XXXT1
        
          
        
        38220.89000000
        PA
        USD
        40889.89000000
        0.012907997958
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X8ML8
        
          
        
        550820.71000000
        PA
        USD
        577016.48000000
        0.182150833514
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        317554343 OTC ECAL FN 2.0 101.578125
        000000000
        
          
        
        -3000000.00000000
        NC
        USD
        -18680.10000000
        -0.00589687799
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            101.57812500
            USD
            2021-09-07
            XXXX
            -10242.60000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295QBJ8
        
          
        
        132254.31000000
        PA
        USD
        154256.51000000
        0.048695232884
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-04-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36177JQR3
        
          
        
        929808.43000000
        PA
        USD
        1029287.50000000
        0.324922393986
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-12-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133L8B53
        
          
        
        974994.80000000
        PA
        USD
        1015824.74000000
        0.320672510247
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3131XCY43
        
          
        
        102151.98000000
        PA
        USD
        107211.20000000
        0.033844110383
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371L6C8
        
          
        
        7000.21000000
        PA
        USD
        7645.97000000
        0.002413656900
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380B7Q2
        
          
        
        113332.95000000
        PA
        USD
        4275.44000000
        0.001349658088
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-12-20
          Variable
          1.83100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137B1UH3
        
          
        
        6078428.43000000
        PA
        USD
        52502.43000000
        0.016573809791
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-01-25
          Variable
          0.72500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FZR2
        
          
        
        643501.94000000
        PA
        USD
        708935.44000000
        0.223794615544
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TGQ2
        
          
        
        9828.79000000
        PA
        USD
        11143.13000000
        0.003517629890
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        3175ZM829
        000000000
        
          
        
        1500000.00000000
        NC
        USD
        22.65000000
        0.000007150084
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Purchased
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            100.15625000
            USD
            2021-08-05
            XXXX
            -14039.85000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329QHD6
        
          
        
        1194451.65000000
        PA
        USD
        1289847.74000000
        0.407175269843
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X63B5
        
          
        
        342763.18000000
        PA
        USD
        369039.75000000
        0.116497362540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FS6Z1
        
          
        
        47450.46000000
        PA
        USD
        50950.78000000
        0.016083989568
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175SQ067
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -1.50000000
        -0.00000047351
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            99.17187500
            USD
            2021-08-05
            XXXX
            9432.09000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ASYF5
        
          
        
        222619.85000000
        PA
        USD
        14060.85000000
        0.004438686998
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B62S1
        
          
        
        279925.94000000
        PA
        USD
        54536.18000000
        0.017215817897
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-25
          Floating
          5.91100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        Morgan Stanley ABS Capital I Inc Trust 2005-WMC6
        61744CSX5
        
          
        
        12334.08000000
        PA
        USD
        12748.69000000
        0.004024468260
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-07-25
          Floating
          0.85400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296FAJ2
        
          
        
        1803.94000000
        PA
        USD
        2012.80000000
        0.000635394673
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE CASH COLL BROKER
        N/A
        DEUTSCHE CASH COLL BROKER
        000000000
        
          
        
        -30000.00000000
        NS
        USD
        -30000.00000000
        -0.00947031011
        Short
        STIV
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MU5P6
        
          
        
        31424.45000000
        PA
        USD
        34887.43000000
        0.011013159370
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412PPK1
        
          
        
        75405.14000000
        PA
        USD
        82990.75000000
        0.026198271298
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FQLE1
        
          
        
        208718.62000000
        PA
        USD
        210712.01000000
        0.066516935968
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-15
          Floating
          0.59200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411BKD4
        
          
        
        1927.86000000
        PA
        USD
        2178.31000000
        0.000687642374
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXFK3
        
          
        
        1003865.14000000
        PA
        USD
        1096611.80000000
        0.346175127289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36193QNF6
        
          
        
        541269.96000000
        PA
        USD
        589333.93000000
        0.186039169224
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617GLWQ3
        
          
        
        55670.93000000
        PA
        USD
        59970.29000000
        0.018931241460
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W2W35
        
          
        
        128407.71000000
        PA
        USD
        133648.43000000
        0.042189735936
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-05-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329PBB8
        
          
        
        1059773.79000000
        PA
        USD
        1138519.25000000
        0.359404345539
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 5
        81743WAA9
        
          
        
        53559.34000000
        PA
        USD
        53025.55000000
        0.016738946745
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-10-19
          Floating
          0.78900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        317586K46 OTC EPUT FN 2.5 102.046875
        000000000
        
          
        
        -2000000.00000000
        NC
        USD
        -1030.40000000
        -0.00032527358
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            102.04687500
            USD
            2021-09-07
            XXXX
            4047.73000000
          
        
        
          N
          N
          N
        
      
      
        Park Place Securities Inc
        N/A
        Park Place Securities Inc Asset Backed Pass Through Certificates Ser 2005-WHQ3
        70069FJS7
        
          
        
        147083.17000000
        PA
        USD
        147874.48000000
        0.046680572775
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-06-25
          Floating
          1.03400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31288CUA7
        
          
        
        1819.91000000
        PA
        USD
        2093.25000000
        0.000660790888
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMC Mortgage Loan Trust
        N/A
        EMC Mortgage Loan Trust 2003-A
        268668BU3
        
          
        
        62756.92000000
        PA
        USD
        63081.61000000
        0.019913413635
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-08-25
          Floating
          1.58900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622A25E8
        
          
        
        698062.27000000
        PA
        USD
        762822.62000000
        0.240805559066
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9K85
        
          
        
        1471593.34000000
        PA
        USD
        1598590.83000000
        0.504638363420
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617GTJB4
        
          
        
        70355.05000000
        PA
        USD
        76600.28000000
        0.024180946876
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AL2X8
        
          
        
        366498.53000000
        PA
        USD
        3523.81000000
        0.001112385782
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-25
          Floating
          0.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617GBHY5
        
          
        
        223235.13000000
        PA
        USD
        244649.41000000
        0.077230192715
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FECL6
        
          
        
        914368.80000000
        PA
        USD
        997662.27000000
        0.314939036137
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden Senior Loan Fund
        26245EAJ8
        
          
        
        1800000.00000000
        PA
        USD
        1800381.60000000
        0.568339069076
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-04-15
          Variable
          1.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36197K5G3
        
          
        
        81744.74000000
        PA
        USD
        89328.33000000
        0.028198899563
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CPQ3
        
          
        
        9208.72000000
        PA
        USD
        9611.12000000
        0.003034009564
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-07-20
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7ZZ2
        
          
        
        4076.85000000
        PA
        USD
        4778.91000000
        0.001508591989
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square Loan Funding Ltd
        549300KJI7MJ3X7YQQ90
        Palmer Square Loan Funding 2018-4 Ltd
        69700KAA1
        
          
        
        155107.47000000
        PA
        USD
        155121.12000000
        0.048968170378
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2026-11-15
          Floating
          1.05600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan Trust
        N/A
        Morgan Stanley Mortgage Loan Trust 2004-11AR
        61748HGR6
        
          
        
        23471.13000000
        PA
        USD
        23512.61000000
        0.007422390274
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Floating
          0.40900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292CDD3
        
          
        
        16675.79000000
        PA
        USD
        19369.90000000
        0.006114631994
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-08-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        3175SR073
        000000000
        
          
        
        3000000.00000000
        NC
        USD
        113.10000000
        0.000035703069
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Purchased
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            103.23437500
            USD
            2021-08-05
            XXXX
            -16996.28000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617AT4T7
        
          
        
        187584.89000000
        PA
        USD
        204987.44000000
        0.064709820863
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-08-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31281BHU7
        
          
        
        164056.72000000
        PA
        USD
        182542.94000000
        0.057624608353
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202K2L8
        
          
        
        1683.47000000
        PA
        USD
        1706.51000000
        0.000538705963
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-06-20
          Floating
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617G1FZ6
        
          
        
        1557616.03000000
        PA
        USD
        1702118.56000000
        0.537319687030
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617AQU56
        
          
        
        143486.62000000
        PA
        USD
        156798.10000000
        0.049497554400
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36241KXB9
        
          
        
        3115.90000000
        PA
        USD
        3647.34000000
        0.001151381362
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31376GGX7
        
          
        
        9.94000000
        PA
        USD
        10.10000000
        0.000003188337
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-09-01
          Floating
          2.34500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202K7F6
        
          
        
        1434.45000000
        PA
        USD
        1438.40000000
        0.000454069802
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2022-06-20
          Floating
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375US27
        
          
        
        953861.89000000
        PA
        USD
        1016145.83000000
        0.320773870976
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-11-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140H5JG7
        
          
        
        431269.22000000
        PA
        USD
        456143.26000000
        0.143993937592
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36196LHV6
        
          
        
        243574.93000000
        PA
        USD
        266171.77000000
        0.084024306833
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132WJUN9
        
          
        
        953852.89000000
        PA
        USD
        1008184.07000000
        0.318260526435
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KUJ2
        
          
        
        3264.48000000
        PA
        USD
        3302.45000000
        0.001042507521
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-08-20
          Floating
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BB7D6
        
          
        
        111402.20000000
        PA
        USD
        5359.77000000
        0.001691956134
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-15
          Variable
          1.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B1P32
        
          
        
        494132.44000000
        PA
        USD
        514102.60000000
        0.162290368382
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6S77
        
          
        
        2216722.68000000
        PA
        USD
        2347256.90000000
        0.740975025199
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A95V6
        
          
        
        546673.00000000
        PA
        USD
        54558.51000000
        0.017222866965
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132XCSK2
        
          
        
        1142535.26000000
        PA
        USD
        1281106.53000000
        0.404415870861
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        3175SR081
        000000000
        
          
        
        -6000000.00000000
        NC
        USD
        -7.80000000
        -0.00000246228
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            102.23437500
            USD
            2021-08-05
            XXXX
            18742.20000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B5HZ9
        
          
        
        342984.63000000
        PA
        USD
        432099.41000000
        0.136403847066
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-15
          Floating
          11.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36194MJ69
        
          
        
        2375.77000000
        PA
        USD
        2703.02000000
        0.000853281254
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-07-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXAT7
        
          
        
        52162.67000000
        PA
        USD
        59636.35000000
        0.018825824281
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities Inc.
        N/A
        Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1
        03072SYB5
        
          
        
        200000.00000000
        PA
        USD
        200378.90000000
        0.063255010764
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          1.19900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202K6U4
        
          
        
        1276.66000000
        PA
        USD
        1303.54000000
        0.000411497601
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-09-20
          Floating
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202DKB6
        
          
        
        2868.34000000
        PA
        USD
        3257.59000000
        0.001028346250
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-10-20
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saxon Asset Securities Trust
        N/A
        Saxon Asset Securities Trust 2005-3
        805564SU6
        
          
        
        2100000.00000000
        PA
        USD
        2079948.78000000
        0.656591998802
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          0.83900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Thornburg Mortgage Securities Trust
        N/A
        Thornburg Mortgage Securities Trust 2005-1
        885220HB2
        
          
        
        31266.04000000
        PA
        USD
        31831.06000000
        0.010048333646
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-04-25
          Variable
          2.14200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31297VDF2
        
          
        
        87758.20000000
        PA
        USD
        101959.10000000
        0.032186143191
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H022697
        
          
        
        1850000.00000000
        PA
        USD
        1919301.00000000
        0.605879188954
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MAFD6
        
          
        
        35698.54000000
        PA
        USD
        40850.61000000
        0.012895598165
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132Y0FE5
        
          
        
        112042.36000000
        PA
        USD
        121301.61000000
        0.038292128793
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620ALAT1
        
          
        
        30907.15000000
        PA
        USD
        33827.95000000
        0.010678705898
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-03-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617HF3Z7
        
          
        
        257475.18000000
        PA
        USD
        281432.29000000
        0.088841702062
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36192S2Y5
        
          
        
        587313.54000000
        PA
        USD
        627418.81000000
        0.198061690030
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31347AKC7
        
          
        
        674269.91000000
        PA
        USD
        708437.75000000
        0.223637506256
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Floating
          2.32500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SWU019M52 IRS USD R F  1.85000 SWU019M52 CCPVANILLA / Short: SWU019M52 IRS USD P V 03MLIBOR SWUV19M54 CCPVANILLA
        000000000
        
          
        
        450000.00000000
        OU
        Notional Amount
        USD
        24583.23000000
        0.007760360388
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-09-07
            0.00000000
            USD
            0.00000000
            USD
            450000.00000000
            USD
            24583.23000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6V96
        
          
        
        202708.78000000
        PA
        USD
        236049.86000000
        0.074515512537
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620ASG94
        
          
        
        34033.31000000
        PA
        USD
        37246.80000000
        0.011757958222
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-05-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RLR5
        
          
        
        1704148.37000000
        PA
        USD
        1720630.89000000
        0.543163603897
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2065-11-20
          Floating
          0.76900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J9AX9
        
          
        
        216208.25000000
        PA
        USD
        238182.76000000
        0.075188820019
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412M2R8
        
          
        
        44363.61000000
        PA
        USD
        49573.70000000
        0.015649277080
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202CTV5
        
          
        
        6570.21000000
        PA
        USD
        6924.96000000
        0.002186050623
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-01-20
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        3175DC262
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -8.85000000
        -0.00000279374
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            104.14062500
            USD
            2021-08-05
            XXXX
            2569.28000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410CME9
        
          
        
        210.00000000
        PA
        USD
        239.07000000
        0.000075468901
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QGPN1
        
          
        
        1426181.34000000
        PA
        USD
        1494660.62000000
        0.471829986129
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JLYX6
        
          
        
        145687.77000000
        PA
        USD
        157981.79000000
        0.049871218112
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398SXJ7
        
          
        
        206105.40000000
        PA
        USD
        208899.78000000
        0.065944856632
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-25
          Floating
          0.58900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TV77
        
          
        
        43629.51000000
        PA
        USD
        47044.30000000
        0.014850803667
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-04-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RH28
        
          
        
        7022.15000000
        PA
        USD
        8221.09000000
        0.002595209058
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312930UC2
        
          
        
        200264.23000000
        PA
        USD
        220436.26000000
        0.069586658072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        317547IZ2
        000000000
        
          
        
        -3000000.00000000
        NC
        USD
        -23685.00000000
        -0.00747680983
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            101.32812500
            USD
            2021-09-07
            XXXX
            -14075.62000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6NL8
        
          
        
        29052.46000000
        PA
        USD
        33630.72000000
        0.010616444923
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7CQ7
        
          
        
        32680.55000000
        PA
        USD
        38229.42000000
        0.012068148760
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EP6V1
        
          
        
        261790.86000000
        PA
        USD
        272451.25000000
        0.086006594265
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Floating
          2.37300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WFNC6
        
          
        
        20936.40000000
        PA
        USD
        22031.62000000
        0.006954875789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403SGB6
        
          
        
        914.14000000
        PA
        USD
        1056.25000000
        0.000333433835
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36197DZB7
        
          
        
        347672.28000000
        PA
        USD
        380664.44000000
        0.120167009849
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-02-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        317U917X2 PIMCO
        000000000
        
          
        
        1300000.00000000
        NC
        USD
        103.61000000
        0.000032707294
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1300000.00000000
                    OU
                    Notional Amount
                    N/A
                    103.61000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-08-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1300000.00000000
                  USD
                
              
            
            1.00000000
            0.01860000
            USD
            2021-08-19
            XXXX
            -27001.39000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412XNK6
        
          
        
        59596.60000000
        PA
        USD
        69533.37000000
        0.021950085901
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128KLQQ3
        
          
        
        351080.51000000
        PA
        USD
        407908.24000000
        0.128767251003
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36188KDV2
        
          
        
        311928.16000000
        PA
        USD
        335095.17000000
        0.105781839233
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31398WJ21
        
          
        
        89789.04000000
        PA
        USD
        3790.10000000
        0.001196447411
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-15
          Floating
          1.34400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132A9UB1
        
          
        
        448505.97000000
        PA
        USD
        470718.85000000
        0.148595116171
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KY66
        
          
        
        4605.93000000
        PA
        USD
        4660.05000000
        0.001471070621
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-03-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31393QQ54
        
          
        
        564120.57000000
        PA
        USD
        515287.64000000
        0.162664458259
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QAEF3
        
          
        
        240867.96000000
        PA
        USD
        268945.43000000
        0.084899887511
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36184XCW7
        
          
        
        310295.41000000
        PA
        USD
        334013.44000000
        0.105440361947
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617GBLM6
        
          
        
        138036.27000000
        PA
        USD
        151277.68000000
        0.047754884755
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617G8N41
        
          
        
        236483.75000000
        PA
        USD
        258422.73000000
        0.081578113104
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417BFX0
        
          
        
        264734.07000000
        PA
        USD
        290514.76000000
        0.091708828978
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407HN85
        
          
        
        15088.17000000
        PA
        USD
        17895.51000000
        0.005649200977
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CDL5
        
          
        
        40374.16000000
        PA
        USD
        42660.55000000
        0.013466954601
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MGMJ1
        
          
        
        1328117.70000000
        PA
        USD
        1418672.27000000
        0.447842211482
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617G0JC5
        
          
        
        284547.20000000
        PA
        USD
        306298.72000000
        0.096691462178
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418VS60
        
          
        
        3700.14000000
        PA
        USD
        3948.42000000
        0.001246425395
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412RD53
        
          
        
        47427.25000000
        PA
        USD
        53122.95000000
        0.016769693685
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31398W2S2
        
          
        
        49251.23000000
        PA
        USD
        2400.79000000
        0.000757874193
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-15
          Floating
          1.64400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2019-6
        46651BAL4
        
          
        
        1420889.92000000
        PA
        USD
        1426892.47000000
        0.450437139588
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Floating
          0.98900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3129456E3
        
          
        
        181272.03000000
        PA
        USD
        207485.21000000
        0.065498309413
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CE69
        
          
        
        4643.12000000
        PA
        USD
        4739.50000000
        0.001496151159
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X5ND5
        
          
        
        222325.68000000
        PA
        USD
        249605.37000000
        0.078794675318
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities Trust 2004-2
        073879GZ5
        
          
        
        4065439.88000000
        PA
        USD
        4056025.13000000
        1.280393860131
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-08-25
          Floating
          1.28900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415YKQ1
        
          
        
        29785.12000000
        PA
        USD
        33362.11000000
        0.010531650923
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Whole Loan Securities Trust
        3137G1BK2
        
          
        
        547707.58000000
        PA
        USD
        558836.45000000
        0.176411816116
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312946LX2
        
          
        
        20411.55000000
        PA
        USD
        22489.32000000
        0.007099361153
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132Y0UU2
        
          
        
        83938.56000000
        PA
        USD
        90875.30000000
        0.028687242417
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36196YDX8
        
          
        
        48482.05000000
        PA
        USD
        53082.73000000
        0.016756997156
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31288JZQ2
        
          
        
        431.64000000
        PA
        USD
        499.63000000
        0.000157721701
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GT6E5
        
          
        
        230120.48000000
        PA
        USD
        248987.17000000
        0.078599523795
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A7W38
        
          
        
        60484.28000000
        PA
        USD
        64542.84000000
        0.020374690344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419KK79
        
          
        
        32451.81000000
        PA
        USD
        34696.53000000
        0.010952896630
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M8CY8
        
          
        
        58323.70000000
        PA
        USD
        66652.58000000
        0.021040686745
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030488
        
          
        
        9300000.00000000
        PA
        USD
        9785274.00000000
        3.088985977091
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36180B3A7
        
          
        
        169213.67000000
        PA
        USD
        179889.82000000
        0.056787079380
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3131XBX53
        
          
        
        173349.16000000
        PA
        USD
        182625.35000000
        0.057650623294
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXE97
        
          
        
        406.52000000
        PA
        USD
        464.76000000
        0.000146714044
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ATUB8
        
          
        
        474997.46000000
        PA
        USD
        58783.64000000
        0.018556643344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A9SC3
        
          
        
        207409.00000000
        PA
        USD
        208411.97000000
        0.065790866233
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-25
          Floating
          0.43900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KLTN7
        
          
        
        1974558.09000000
        PA
        USD
        2116578.95000000
        0.668155301114
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31392XF29
        
          
        
        197215.78000000
        PA
        USD
        40191.89000000
        0.012687655409
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-15
          Floating
          7.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKRH0
        
          
        
        1008185.44000000
        PA
        USD
        1110671.25000000
        0.350613372339
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ATY81
        
          
        
        68678.22000000
        PA
        USD
        3494.84000000
        0.001103240619
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-25
          Variable
          1.53900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417DHM8
        
          
        
        2782154.06000000
        PA
        USD
        3102806.16000000
        0.979484551773
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36178SUD8
        
          
        
        6404.61000000
        PA
        USD
        7237.54000000
        0.002284724941
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-12-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617G82B8
        
          
        
        65737.37000000
        PA
        USD
        70814.14000000
        0.022354395537
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ARXE3
        
          
        
        184215.89000000
        PA
        USD
        17367.49000000
        0.005482517205
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-04-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617BTBB7
        
          
        
        105471.51000000
        PA
        USD
        115256.27000000
        0.036383753975
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133T6BZ3
        
          
        
        939.08000000
        PA
        USD
        1047.41000000
        0.000330643250
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-03-15
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31295LNS7
        
          
        
        54502.20000000
        PA
        USD
        55493.20000000
        0.017517927103
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-10-01
          Floating
          2.62600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FQLW1
        
          
        
        447404.50000000
        PA
        USD
        451517.67000000
        0.142533745201
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-25
          Floating
          0.63900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31398QFQ5
        
          
        
        25536.96000000
        PA
        USD
        25205.48000000
        0.007956790404
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-15
          Floating
          0.64300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CB88
        
          
        
        1407.53000000
        PA
        USD
        1437.57000000
        0.000453807790
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-04-20
          Floating
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        317594562
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -12173.40000000
        -0.00384286243
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            101.29687500
            USD
            2021-09-07
            XXXX
            -7017.15000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617ALXP0
        
          
        
        74887.94000000
        PA
        USD
        81869.27000000
        0.025844245851
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7HN9
        
          
        
        1367.39000000
        PA
        USD
        1597.60000000
        0.000504325581
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31384VYL0
        
          
        
        22301.66000000
        PA
        USD
        22723.29000000
        0.007173220102
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-01
          Floating
          2.69700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295XFV2
        
          
        
        5731.92000000
        PA
        USD
        6602.36000000
        0.002084213222
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379TGM5
        
          
        
        269897.82000000
        PA
        USD
        13335.89000000
        0.004209833797
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-06-20
          Variable
          2.43300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376T6N7
        
          
        
        415304.04000000
        PA
        USD
        13413.99000000
        0.004234488171
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-20
          Variable
          1.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M5DQ0
        
          
        
        1869.56000000
        PA
        USD
        2181.21000000
        0.000688557837
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments Inc
        N/A
        Structured Asset Mortgage Investments II Trust 2006-AR3
        86360KAA6
        
          
        
        274860.29000000
        PA
        USD
        260899.28000000
        0.082359902988
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-04-25
          Floating
          0.50900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417AQB8
        
          
        
        538679.18000000
        PA
        USD
        597695.93000000
        0.188678860329
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617GLVF8
        
          
        
        55337.65000000
        PA
        USD
        59611.27000000
        0.018817907102
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X5VG5
        
          
        
        271965.90000000
        PA
        USD
        290751.81000000
        0.091783660212
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E6J78
        
          
        
        1086503.58000000
        PA
        USD
        1180768.20000000
        0.372741367487
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31295LNT5
        
          
        
        34538.80000000
        PA
        USD
        35003.32000000
        0.011049743178
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-11-01
          Floating
          2.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175473P0
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -6211.65000000
        -0.00196087506
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            103.84375000
            USD
            2021-09-07
            XXXX
            -4102.27000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GS2M3
        
          
        
        161732.51000000
        PA
        USD
        175268.25000000
        0.055328156010
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36176MN82
        
          
        
        441360.65000000
        PA
        USD
        469982.83000000
        0.148362771583
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-05-20
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128HDQ44
        
          
        
        77579.32000000
        PA
        USD
        79235.91000000
        0.025012954657
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-11-01
          Floating
          2.37900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296MYG8
        
          
        
        136655.87000000
        PA
        USD
        154887.58000000
        0.048894447170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M8GA6
        
          
        
        39868.63000000
        PA
        USD
        46662.79000000
        0.014730369733
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GDFU1
        
          
        
        51944.76000000
        PA
        USD
        59458.36000000
        0.018769636932
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295NJ24
        
          
        
        134645.20000000
        PA
        USD
        157630.79000000
        0.049760415484
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-05-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNP7
        
          
        
        2918.53000000
        PA
        USD
        3024.67000000
        0.000954818762
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-04-20
          Floating
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BCL55
        
          
        
        70325.98000000
        PA
        USD
        4240.70000000
        0.001338691469
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-15
          Floating
          1.88100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KR80
        
          
        
        5233.79000000
        PA
        USD
        5344.60000000
        0.001687167314
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-03-20
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133T0R71
        
          
        
        2890.13000000
        PA
        USD
        3038.74000000
        0.000959260338
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Adjustable Rate Mortgage Trust
        N/A
        Bear Stearns ARM Trust 2002-11
        07384MSJ2
        
          
        
        2433.08000000
        PA
        USD
        2258.00000000
        0.000712798674
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-02-25
          Variable
          2.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202EWV7
        
          
        
        2537.54000000
        PA
        USD
        3024.83000000
        0.000954869271
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-10-20
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        3175724N2 OTC ECAL FN 2.5 103.765625
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -6863.40000000
        -0.00216661754
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            103.76562500
            USD
            2021-10-07
            XXXX
            -2586.06000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AJKA1
        
          
        
        169643.80000000
        PA
        USD
        11288.10000000
        0.003563393585
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-15
          Floating
          2.10400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVY CHASE MORTGAGE FUNDING CORP.
        5493000I2UKXKSXK3222
        Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1
        16678RAS6
        
          
        
        25831.73000000
        PA
        USD
        26321.96000000
        0.008309237465
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Floating
          0.36900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31281BNV8
        
          
        
        6913.53000000
        PA
        USD
        7509.83000000
        0.002370680632
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cent CLO LP
        549300066YASG4MIU864
        Columbia Cent CLO 27 Ltd
        19736RAC5
        
          
        
        1659955.87000000
        PA
        USD
        1660274.58000000
        0.524110504799
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-10-25
          Floating
          1.27500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140H2ZE1
        
          
        
        159481.04000000
        PA
        USD
        172980.18000000
        0.054605864928
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379FDK2
        
          
        
        250100.40000000
        PA
        USD
        10677.26000000
        0.003370565444
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-06-20
          Variable
          2.48300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan Trust
        N/A
        Renaissance Home Equity Loan Trust 2003-2
        759950AW8
        
          
        
        126532.18000000
        PA
        USD
        124863.45000000
        0.039416519772
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          0.96900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398TDW8
        
          
        
        694740.23000000
        PA
        USD
        128963.66000000
        0.040710861780
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-25
          Floating
          6.41100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M8GS7
        
          
        
        17802.49000000
        PA
        USD
        20836.29000000
        0.006577537596
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AC5B3
        
          
        
        588291.15000000
        PA
        USD
        73580.57000000
        0.023227693871
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Floating
          6.06100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410PTG8
        
          
        
        26183.79000000
        PA
        USD
        31046.90000000
        0.009800792367
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amortizing Residential Collateral Trust
        N/A
        Amortizing Residential Collateral Trust 2004-1
        031733AE8
        
          
        
        113858.07000000
        PA
        USD
        113580.43000000
        0.035854729825
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          1.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132A9UF2
        
          
        
        895860.10000000
        PA
        USD
        945216.93000000
        0.298383248346
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JJCC1
        
          
        
        414476.46000000
        PA
        USD
        458983.44000000
        0.144890517105
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M4LT8
        
          
        
        36678.45000000
        PA
        USD
        42838.06000000
        0.013522990426
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CA48
        
          
        
        44469.87000000
        PA
        USD
        45063.63000000
        0.014225551696
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617AQUG2
        
          
        
        149980.15000000
        PA
        USD
        163894.05000000
        0.051737582634
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36178WGL7
        
          
        
        46823.95000000
        PA
        USD
        49781.48000000
        0.015714868448
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J84U4
        
          
        
        193853.11000000
        PA
        USD
        214669.29000000
        0.067766158262
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AVQ83
        
          
        
        127143.26000000
        PA
        USD
        1197.14000000
        0.000377909568
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-10-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36190VGT6
        
          
        
        496794.45000000
        PA
        USD
        534476.32000000
        0.168721883267
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Telos CLO Ltd
        5493001KXOX6VRHBB435
        Telos CLO 2014-5 Ltd
        87974KAQ7
        
          
        
        1084490.21000000
        PA
        USD
        1084536.84000000
        0.342363340096
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-04-17
          Floating
          1.08400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UMM1
        
          
        
        534766.64000000
        PA
        USD
        569703.40000000
        0.179842262332
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419DR45
        
          
        
        2754.19000000
        PA
        USD
        2939.00000000
        0.000927774713
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8N84
        
          
        
        145605.03000000
        PA
        USD
        156346.00000000
        0.049354836826
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31348SWZ3
        
          
        
        8473.50000000
        PA
        USD
        8636.61000000
        0.002726379167
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-01-01
          Floating
          2.26200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617G9GA3
        
          
        
        41833.10000000
        PA
        USD
        45063.79000000
        0.014225602204
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36184CJV8
        
          
        
        333234.17000000
        PA
        USD
        355677.19000000
        0.112279109637
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-01-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BBGN6
        
          
        
        969139.97000000
        PA
        USD
        972241.22000000
        0.306914195241
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          0.54200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DKL5
        
          
        
        280759.84000000
        PA
        USD
        300153.18000000
        0.094751456525
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        317U957X3 PIMCO
        000000000
        
          
        
        5700000.00000000
        NC
        USD
        3545.40000000
        0.001119201249
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Purchased
            
              
                
                  
                    J.P. Morgan Securities LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. Morgan Securities LLC
                    ZBUT11V806EZRVTWT807
                    IRS Swap
                    N/A
                    
                      
                    
                    5700000.00000000
                    OU
                    Notional Amount
                    N/A
                    3545.40000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-09-22
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5700000.00000000
                  USD
                
              
            
            1.00000000
            0.01850000
            USD
            2021-09-20
            XXXX
            -115869.60000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292HPS7
        
          
        
        952.18000000
        PA
        USD
        1096.48000000
        0.000346133521
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A6H37
        
          
        
        64012.62000000
        PA
        USD
        68307.94000000
        0.021563245830
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411JTS5
        
          
        
        2950.39000000
        PA
        USD
        3410.75000000
        0.001076695340
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617BREM4
        
          
        
        236428.19000000
        PA
        USD
        258362.01000000
        0.081558945196
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        549300NQPL9XHZ20E278
        Venture 33 CLO Ltd
        92330YAN3
        
          
        
        500000.00000000
        PA
        USD
        499159.00000000
        0.157573017509
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-15
          Floating
          1.18600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fanniemae-Aces
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae-Aces
        3136ADZZ5
        
          
        
        85931.28000000
        PA
        USD
        3.36000000
        0.000001060674
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-01-25
          Variable
          2.62200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HPJZ1
        
          
        
        255212.83000000
        PA
        USD
        282617.89000000
        0.089215968718
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6ZQ4
        
          
        
        122626.65000000
        PA
        USD
        140241.52000000
        0.044271022833
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294NMF2
        
          
        
        63950.73000000
        PA
        USD
        76799.70000000
        0.024243899184
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        317U386Y2 PIMCO
        000000000
        
          
        
        -6600000.00000000
        NC
        USD
        -114.18000000
        -0.00003604400
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    6600000.00000000
                    OU
                    Notional Amount
                    N/A
                    -114.18000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-08-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6600000.00000000
                  USD
                
              
            
            1.00000000
            0.01880000
            USD
            2021-08-12
            XXXX
            47488.32000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AW4V2
        
          
        
        255546.02000000
        PA
        USD
        269230.49000000
        0.084989874398
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AYM3
        
          
        
        1148365.11000000
        PA
        USD
        1271086.51000000
        0.401252780970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132ADW38
        
          
        
        234382.45000000
        PA
        USD
        250445.69000000
        0.079059945018
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KB20
        
          
        
        1116.80000000
        PA
        USD
        1122.32000000
        0.000354290614
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-03-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6WA5
        
          
        
        1376217.79000000
        PA
        USD
        1475897.78000000
        0.465906989016
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X4Y59
        
          
        
        719300.84000000
        PA
        USD
        767792.69000000
        0.242374495872
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31358NW40
        
          
        
        118.14000000
        PA
        USD
        119.61000000
        0.000037758126
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-07-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H042687
        
          
        
        8410000.00000000
        PA
        USD
        8956734.10000000
        2.827434983981
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-19
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2018-IND
        056059AL2
        
          
        
        5600000.00000000
        PA
        USD
        5608784.16000000
        1.770564178251
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-15
          Floating
          1.39300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mortgage Loan Trust
        N/A
        Structured Adjustable Rate Mortgage Loan Trust Series 2007-4
        86363LAB9
        
          
        
        116481.87000000
        PA
        USD
        113331.06000000
        0.035776009451
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-05-25
          Floating
          0.52900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fanniemae-Aces
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae-Aces
        3136BBAR3
        
          
        
        600000.00000000
        PA
        USD
        86150.37000000
        0.027195690672
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-01-25
          Variable
          2.25100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415PYW2
        
          
        
        79642.65000000
        PA
        USD
        93261.52000000
        0.029440517197
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F012692
        
          
        
        2000000.00000000
        PA
        USD
        1976146.00000000
        0.623823848232
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QC5P7
        
          
        
        6788277.58000000
        PA
        USD
        7273443.99000000
        2.296059005631
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31374GW52
        
          
        
        12317.79000000
        PA
        USD
        12628.63000000
        0.003986568079
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-01
          Floating
          2.63200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RLR8
        
          
        
        124237.58000000
        PA
        USD
        137576.32000000
        0.043429680483
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU019GX8 IRS USD R V 12MFEDL SWUV19GX0 CCPOIS / Short: BWU019GX8 IRS USD P F   .20000 SWU019GX8 CCPOIS
        000000000
        
          
        
        10800000.00000000
        OU
        Notional Amount
        USD
        -585.36000000
        -0.00018478469
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-04-29
            394.87000000
            USD
            0.00000000
            USD
            10800000.00000000
            USD
            -980.23000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36195XZ74
        
          
        
        464278.71000000
        PA
        USD
        524847.07000000
        0.165682150479
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-01-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379LAB2
        
          
        
        76501.84000000
        PA
        USD
        658.94000000
        0.000208012204
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-05-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY MSC2 CA H COLL BROKER
        N/A
        MORGAN STANLEY MSC2 CA H COLL BROKER
        000000000
        
          
        
        -509000.00000000
        NS
        USD
        -509000.00000000
        -0.16067959490
        Short
        STIV
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133T4NZ5
        
          
        
        20421.60000000
        PA
        USD
        21705.13000000
        0.006851810404
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        317U918X1 PIMCO
        000000000
        
          
        
        -1300000.00000000
        NC
        USD
        -1.82000000
        -0.00000057453
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1.82000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-08-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1300000.00000000
                  USD
                
              
            
            1.00000000
            0.02360000
            USD
            2021-08-19
            XXXX
            9098.18000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KJD8
        
          
        
        9665.10000000
        PA
        USD
        9735.47000000
        0.003073263999
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375B6F4
        
          
        
        1334400.91000000
        PA
        USD
        1346724.37000000
        0.425129913984
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-08-20
          Floating
          1.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136APU75
        
          
        
        191648.20000000
        PA
        USD
        9740.25000000
        0.003074772935
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2055-08-25
          Floating
          1.82400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MNH1
        
          
        
        2733.63000000
        PA
        USD
        3061.92000000
        0.000966577731
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        317537IA8 OTC ECAL FN 2.5 103.734375
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -7158.30000000
        -0.00225971069
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            103.73437500
            USD
            2021-10-07
            XXXX
            -2939.55000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375B5R9
        
          
        
        754232.16000000
        PA
        USD
        758695.03000000
        0.239502573822
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-05-20
          Floating
          0.73900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617BUZB8
        
          
        
        62491.13000000
        PA
        USD
        67752.31000000
        0.021387846217
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        317U391Y5 PIMCO
        000000000
        
          
        
        2250000.00000000
        NC
        USD
        150.30000000
        0.000047446253
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    2250000.00000000
                    OU
                    Notional Amount
                    N/A
                    150.30000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-08-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2250000.00000000
                  USD
                
              
            
            1.00000000
            0.01738000
            USD
            2021-08-12
            XXXX
            -32099.70000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WWL98
        
          
        
        117671.41000000
        PA
        USD
        123628.80000000
        0.039026769159
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-06-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A9HB7
        
          
        
        75323.68000000
        PA
        USD
        78098.97000000
        0.024654048844
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Floating
          3.59200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3131XCH83
        
          
        
        40072.13000000
        PA
        USD
        42269.02000000
        0.013343357584
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LT4F2
        
          
        
        326067.62000000
        PA
        USD
        365030.11000000
        0.115231611399
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411BFP3
        
          
        
        88128.52000000
        PA
        USD
        104386.95000000
        0.032952559605
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mortgage Equity Conversion Asset Trust
        N/A
        Mortgage Equity Conversion Asset Trust 2007-FF3
        61911GAA2
        
          
        
        2487697.40000000
        PA
        USD
        2382875.78000000
        0.752219086514
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-05-25
          Floating
          0.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXPZ7
        
          
        
        3124.35000000
        PA
        USD
        3623.82000000
        0.001143956639
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXLQ3
        
          
        
        1662127.40000000
        PA
        USD
        1814270.83000000
        0.572723579586
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2059-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KTB1
        
          
        
        7282.11000000
        PA
        USD
        7509.04000000
        0.002370431248
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-06-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6NV6
        
          
        
        24610.92000000
        PA
        USD
        28601.56000000
        0.009028854763
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QED66
        
          
        
        842024.94000000
        PA
        USD
        894576.98000000
        0.282397380660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKDV4
        
          
        
        110853.17000000
        PA
        USD
        115601.47000000
        0.036492725677
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Floating
          2.40700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202CTB9
        
          
        
        1433.48000000
        PA
        USD
        1510.80000000
        0.000476924817
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-12-20
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X5VM2
        
          
        
        2068756.44000000
        PA
        USD
        2215709.73000000
        0.699448608723
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        312915HW4
        
          
        
        21294.60000000
        PA
        USD
        22135.60000000
        0.006987699883
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-04-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175843H1 OTC ECAL FN 2.0 102.03125
        000000000
        
          
        
        -500000.00000000
        NC
        USD
        -2177.60000000
        -0.00068741824
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            102.03125000
            USD
            2021-10-07
            XXXX
            -810.41000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140H23C0
        
          
        
        256821.81000000
        PA
        USD
        277877.64000000
        0.087719580801
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325UEH5
        
          
        
        608305.73000000
        PA
        USD
        86850.36000000
        0.027416661418
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H040699
        
          
        
        14350000.00000000
        PA
        USD
        15188183.50000000
        4.794560259528
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-21
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CB70
        
          
        
        4411.66000000
        PA
        USD
        4484.96000000
        0.001415798734
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-04-20
          Floating
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ADMT3
        
          
        
        864994.62000000
        PA
        USD
        65476.98000000
        0.020669576860
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617B4JZ1
        
          
        
        45358.08000000
        PA
        USD
        49586.53000000
        0.015653327216
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-08-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132A9UE5
        
          
        
        114627.82000000
        PA
        USD
        120304.92000000
        0.037977496680
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133TK6Z8
        
          
        
        1552.96000000
        PA
        USD
        225.63000000
        0.000071226202
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-03-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2013-MH1 Trust
        12647RAA2
        
          
        
        992826.06000000
        PA
        USD
        1096637.14000000
        0.346183126544
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-05-27
          Variable
          4.78700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417F3G1
        
          
        
        312220.73000000
        PA
        USD
        333906.40000000
        0.105406571881
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335BMB9
        
          
        
        189230.30000000
        PA
        USD
        203258.05000000
        0.064163892209
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M8NN0
        
          
        
        62136.72000000
        PA
        USD
        72411.03000000
        0.022858496988
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FNEK6
        
          
        
        340717.83000000
        PA
        USD
        354076.74000000
        0.111773884377
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128CUU87
        
          
        
        316446.90000000
        PA
        USD
        350004.10000000
        0.110488245584
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)SEP21
        000000000
        
          
        
        -34.00000000
        NC
        USD
        -92478.54000000
        -0.02919334841
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                10 Year US Treasury Note
                TYU1 Comdty
              
            
            2021-09-21
            -4478927.71000000
            USD
            -92478.54000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FHRY1
        
          
        
        1361837.91000000
        PA
        USD
        1363063.02000000
        0.430287650061
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-15
          Floating
          0.44200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YEGY7
        
          
        
        52536.65000000
        PA
        USD
        55523.63000000
        0.017527533155
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        21H0226A4
        
          
        
        20750000.00000000
        PA
        USD
        21487870.00000000
        6.783226418347
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-10-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        317U640X6 PIMCO
        000000000
        
          
        
        27000000.00000000
        NC
        USD
        15670.80000000
        0.004946911190
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    27000000.00000000
                    OU
                    Notional Amount
                    N/A
                    15670.80000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2025-03-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  27000000.00000000
                  USD
                
              
            
            1.00000000
            0.01350000
            USD
            2022-03-01
            XXXX
            -10654.20000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6NG9
        
          
        
        222594.21000000
        PA
        USD
        259447.59000000
        0.081901637838
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132DVK79
        
          
        
        783950.16000000
        PA
        USD
        838578.17000000
        0.264719844107
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413ECZ6
        
          
        
        29366.59000000
        PA
        USD
        34927.06000000
        0.011025669650
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CFM3
        
          
        
        2817.30000000
        PA
        USD
        2859.33000000
        0.000902624727
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-02-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        3132HT3R5
        
          
        
        428104.98000000
        PA
        USD
        433943.44000000
        0.136985964931
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-15
          Floating
          0.64300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremont Home Loan Trust
        N/A
        Fremont Home Loan Trust 2004-A
        35729PCK4
        
          
        
        411190.36000000
        PA
        USD
        408481.40000000
        0.128948184435
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-01-25
          Floating
          0.91400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU017A75 IRS USD R V 03MLIBOR SWUV17A77 CCPVANILLA / Short: BWU017A75 IRS USD P F   .25000 SWU017A75 CCPVANILLA
        000000000
        
          
        
        36100000.00000000
        OU
        Notional Amount
        USD
        -4636.32000000
        -0.00146357960
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-06-16
            24574.19000000
            USD
            0.00000000
            USD
            36100000.00000000
            USD
            -29210.51000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296TQR7
        
          
        
        55398.24000000
        PA
        USD
        64798.04000000
        0.020455251115
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-10-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36241LKU9
        
          
        
        162907.53000000
        PA
        USD
        183569.22000000
        0.057948581348
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-06-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31281BHR4
        
          
        
        149704.79000000
        PA
        USD
        166573.81000000
        0.052583521242
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU017AO8 IRS USD R V 03MLIBOR SWUV17AO0 CCPVANILLA / Short: BWU017AO8 IRS USD P F   .25000 SWU017AO8 CCPVANILLA
        000000000
        
          
        
        29000000.00000000
        OU
        Notional Amount
        USD
        160829.94000000
        0.050770313570
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-16
            200209.87000000
            USD
            0.00000000
            USD
            29000000.00000000
            USD
            -39379.93000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BHGF8
        
          
        
        132051.07000000
        PA
        USD
        6377.88000000
        0.002013350048
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-15
          Floating
          1.98800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        317U984X0 PIMCO
        000000000
        
          
        
        -8000000.00000000
        NC
        USD
        -284.80000000
        -0.00008990481
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    8000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -284.80000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-09-13
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8000000.00000000
                  USD
                
              
            
            1.00000000
            0.02300000
            USD
            2021-09-09
            XXXX
            45869.04000000
          
        
        
          N
          N
          N
        
      
      
        CIT Mortgage Loan Trust
        N/A
        CIT Mortgage Loan Trust 2007-1
        12559QAA0
        
          
        
        626634.75000000
        PA
        USD
        632409.75000000
        0.199637215015
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-10-25
          Floating
          1.43900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BEV43
        
          
        
        60116.64000000
        PA
        USD
        2926.09000000
        0.000923699323
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-15
          Floating
          1.92100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        3175ER235
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -825.60000000
        -0.00026062293
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            103.98437500
            USD
            2021-09-07
            XXXX
            3744.71000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AYSK8
        
          
        
        856692.07000000
        PA
        USD
        61418.14000000
        0.019388294410
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617GQJL8
        
          
        
        61097.99000000
        PA
        USD
        66208.92000000
        0.020900633486
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AMEE5
        
          
        
        202282.95000000
        PA
        USD
        10805.89000000
        0.003411170977
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-01-25
          Variable
          1.69100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617HPC44
        
          
        
        75683.89000000
        PA
        USD
        79803.33000000
        0.025192076102
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FM45
        
          
        
        214463.27000000
        PA
        USD
        235857.86000000
        0.074454902553
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31404Q5M7
        
          
        
        106901.70000000
        PA
        USD
        107014.82000000
        0.033782117733
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-01
          Floating
          1.31800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CYK4
        
          
        
        974396.38000000
        PA
        USD
        1055740.57000000
        0.333273019864
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AKPR8
        
          
        
        210873.47000000
        PA
        USD
        10991.89000000
        0.003469886900
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-25
          Variable
          1.76500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MLCC Mortgage Investors Inc
        N/A
        Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1
        59020UNP6
        
          
        
        112059.34000000
        PA
        USD
        114345.83000000
        0.036096349004
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-25
          Variable
          2.11600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31409JE48
        
          
        
        76645.85000000
        PA
        USD
        84059.29000000
        0.026535584803
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fanniemae Strip
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Interest Strip
        3136FFSR1
        
          
        
        46987.48000000
        PA
        USD
        10639.29000000
        0.003358579189
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XC3U4
        
          
        
        39679.95000000
        PA
        USD
        44415.02000000
        0.014020800434
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        317515UM4 OTC EPUT FN 2.0 99.578125
        000000000
        
          
        
        -2000000.00000000
        NC
        USD
        -1609.00000000
        -0.00050792429
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            99.57812500
            USD
            2021-09-07
            XXXX
            7219.13000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FT5R8
        
          
        
        11174.35000000
        PA
        USD
        12136.98000000
        0.003831365480
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022485
        
          
        
        2925000.00000000
        PA
        USD
        3064581.00000000
        0.967417747797
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375JD69
        
          
        
        24821.41000000
        PA
        USD
        24117.81000000
        0.007613437997
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-03-20
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BMQG4
        
          
        
        1628862.32000000
        PA
        USD
        203521.46000000
        0.064247044689
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406WXY5
        
          
        
        7812.82000000
        PA
        USD
        8768.24000000
        0.002767931731
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3131XDBA2
        
          
        
        15395.40000000
        PA
        USD
        16157.88000000
        0.005100671145
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417DGB3
        
          
        
        354887.43000000
        PA
        USD
        381998.47000000
        0.120588132442
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GLR2
        
          
        
        25907.97000000
        PA
        USD
        30376.62000000
        0.009589200385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC-GNMA
        S6XOOCT0IEG5ABCC6L87
        FHLMC-GNMA
        3133T2UF5
        
          
        
        3249.70000000
        PA
        USD
        3400.07000000
        0.001073323910
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-11-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31281BMU1
        
          
        
        14193.60000000
        PA
        USD
        15801.34000000
        0.004988119666
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        317U956X4 PIMCO
        000000000
        
          
        
        -7500000.00000000
        NC
        USD
        -419.25000000
        -0.00013234758
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                
                  
                    J.P. Morgan Securities LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. Morgan Securities LLC
                    ZBUT11V806EZRVTWT807
                    IRS Swap
                    N/A
                    
                      
                    
                    7500000.00000000
                    OU
                    Notional Amount
                    N/A
                    -419.25000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-09-22
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7500000.00000000
                  USD
                
              
            
            1.00000000
            0.02350000
            USD
            2021-09-20
            XXXX
            54388.44000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36210YME2
        
          
        
        17481.09000000
        PA
        USD
        18179.22000000
        0.005738761699
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622AAAA2
        
          
        
        2748411.72000000
        PA
        USD
        2987467.36000000
        0.943074744974
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31358PCB1
        
          
        
        448.62000000
        PA
        USD
        455.61000000
        0.000143825599
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Certificates
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust
        92922FBX5
        
          
        
        65577.58000000
        PA
        USD
        65357.68000000
        0.020631916593
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-09-25
          Variable
          2.66800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AKKU6
        
          
        
        338926.22000000
        PA
        USD
        18456.70000000
        0.005826355754
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-25
          Variable
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RKZ8
        
          
        
        9330.75000000
        PA
        USD
        9438.46000000
        0.002979504772
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2061-08-20
          Floating
          0.76900000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416YT73
        
          
        
        256857.06000000
        PA
        USD
        287481.57000000
        0.090751320647
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617AUKA7
        
          
        
        162693.27000000
        PA
        USD
        177786.58000000
        0.056123134879
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128P7AZ6
        
          
        
        19024.32000000
        PA
        USD
        20785.42000000
        0.006561479107
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AKUC5
        
          
        
        164092.52000000
        PA
        USD
        10373.45000000
        0.003274659614
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-08-25
          Variable
          1.83800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AM BOS2 CASH COLL
        N/A
        BANK OF AM BOS2 CASH COLL BROKER
        000000000
        
          
        
        -250000.00000000
        NS
        USD
        -250000.00000000
        -0.07891925093
        Short
        STIV
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407LQM2
        
          
        
        14813.58000000
        PA
        USD
        16455.61000000
        0.005194657659
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERM64
        
          
        
        1400440.75000000
        PA
        USD
        1486062.47000000
        0.469115747899
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AE45
        
          
        
        265348.79000000
        PA
        USD
        311354.02000000
        0.098287304135
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DNC2
        
          
        
        270938.00000000
        PA
        USD
        290480.49000000
        0.091698010728
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032690
        
          
        
        -4100000.00000000
        PA
        USD
        -4336857.00000000
        -1.36904602340
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        N/A
        Freddie Mac Whole Loan Securities Trust 2015-SC02
        3137G1AK3
        
          
        
        377037.34000000
        PA
        USD
        380047.95000000
        0.119972398133
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AVH7
        
          
        
        212878.09000000
        PA
        USD
        252924.56000000
        0.079842467272
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F012486
        
          
        
        1000000.00000000
        PA
        USD
        1019210.00000000
        0.321741158981
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXEN6
        
          
        
        11919.98000000
        PA
        USD
        13627.83000000
        0.004301992541
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31295LNX6
        
          
        
        48590.00000000
        PA
        USD
        49492.25000000
        0.015623565188
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-01
          Floating
          2.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31281BRQ5
        
          
        
        2529.02000000
        PA
        USD
        2818.22000000
        0.000889647245
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YT80
        
          
        
        4912.69000000
        PA
        USD
        5242.34000000
        0.001654886183
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371MBJ5
        
          
        
        10171.45000000
        PA
        USD
        11986.41000000
        0.003783833994
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KKVH9
        
          
        
        1420705.59000000
        PA
        USD
        1488633.08000000
        0.469927230362
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140F5CV3
        
          
        
        2177652.56000000
        PA
        USD
        2300973.07000000
        0.726364284423
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31295KYF5
        
          
        
        10422.24000000
        PA
        USD
        10676.16000000
        0.003370218200
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-12-01
          Floating
          2.51800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup COmmercial Mortgage Trust 2019-SMRT
        29429MAA1
        
          
        
        3200000.00000000
        PA
        USD
        3457533.76000000
        1.091463897685
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-10
          Fixed
          4.14900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F012494
        
          
        
        4000000.00000000
        PA
        USD
        4070760.00000000
        1.285045319743
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F040487
        
          
        
        2500000.00000000
        PA
        USD
        2655475.00000000
        0.838272391505
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620ACVF8
        
          
        
        4916.96000000
        PA
        USD
        5642.89000000
        0.001781330607
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371ND51
        
          
        
        5511.47000000
        PA
        USD
        6204.42000000
        0.001958592715
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617BMC54
        
          
        
        109175.46000000
        PA
        USD
        119303.84000000
        0.037661478745
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417C5E1
        
          
        
        3393096.24000000
        PA
        USD
        3784161.37000000
        1.194572722949
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WFF50
        
          
        
        38031.52000000
        PA
        USD
        40797.28000000
        0.012878763111
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175SR214
        000000000
        
          
        
        -1000000.00000000
        NC
        USD
        -12.40000000
        -0.00000391439
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            104.25781250
            USD
            2021-08-05
            XXXX
            3034.48000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GNHP1
        
          
        
        931742.40000000
        PA
        USD
        1028666.61000000
        0.324726393291
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CV35
        
          
        
        35513.82000000
        PA
        USD
        37897.47000000
        0.011963359778
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379GWG8
        
          
        
        566903.31000000
        PA
        USD
        49296.32000000
        0.015561714592
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417MS95
        
          
        
        204576.64000000
        PA
        USD
        225915.90000000
        0.071316454409
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Funding Mortgage Loan Asset-Backed CTFS
        N/A
        Chase Funding Trust Series 2002-4
        161546DQ6
        
          
        
        8333.31000000
        PA
        USD
        8279.05000000
        0.002613505697
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-10-25
          Floating
          0.82900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132D54W9
        
          
        
        787332.02000000
        PA
        USD
        841851.57000000
        0.265753181211
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities I Trust 2004-AC3
        073879BN7
        
          
        
        472004.18000000
        PA
        USD
        486935.23000000
        0.153714254421
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-25
          Variable
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396WPE0
        
          
        
        85596.53000000
        PA
        USD
        83870.42000000
        0.026475962887
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-25
          Floating
          0.40900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X6ZL2
        
          
        
        40256.87000000
        PA
        USD
        43052.96000000
        0.013590829414
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Option One Mortgage Loan Trust
        N/A
        Option One Mortgage Loan Trust 2007-4
        68403FAC0
        
          
        
        55786.31000000
        PA
        USD
        38517.04000000
        0.012158943780
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.26900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        317592TE3 OTC ECAL FN 2.0 101.609375
        000000000
        
          
        
        -2000000.00000000
        NC
        USD
        -12062.20000000
        -0.00380775915
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            101.60937500
            USD
            2021-09-07
            XXXX
            -4562.20000000
          
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        549300TT7IR66ASPWY89
        Sound Point Clo XIV Ltd
        83609NAN0
        
          
        
        917773.03000000
        PA
        USD
        917361.87000000
        0.289590046466
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-01-23
          Floating
          1.12800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622A24S8
        
          
        
        734943.24000000
        PA
        USD
        798868.28000000
        0.252184345013
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796G52
        
          
        
        3900000.00000000
        PA
        USD
        3899675.33000000
        1.231037823731
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-10-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XBLQ1
        
          
        
        92663.27000000
        PA
        USD
        99286.03000000
        0.031342316463
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SWU015JB1 IRS USD R F   .75000 SWU015JB1 CCPVANILLA / Short: SWU015JB1 IRS USD P V 03MLIBOR SWUV15JB3 CCPVANILLA
        000000000
        
          
        
        2000000.00000000
        OU
        Notional Amount
        USD
        -91464.98000000
        -0.02887339083
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-03-30
            0.00000000
            USD
            -40726.22000000
            USD
            2000000.00000000
            USD
            -50738.76000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QKGG7
        
          
        
        985601.64000000
        PA
        USD
        1055721.16000000
        0.333266892573
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIFC Funding Ltd
        549300H3BLEZ8XSDXO87
        CIFC Funding 2015-V Ltd
        12547UAL2
        
          
        
        734223.94000000
        PA
        USD
        734382.53000000
        0.231827676669
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-10-25
          Floating
          0.98500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        317545L90 OTC EPUT FN 2.5 102.1640625
        000000000
        
          
        
        -5500000.00000000
        NC
        USD
        -3113.00000000
        -0.00098270251
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            102.16406250
            USD
            2021-09-07
            XXXX
            2258.09000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31404KMF6
        
          
        
        13520.94000000
        PA
        USD
        15202.76000000
        0.004799161725
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31398KZ94
        
          
        
        23908.35000000
        PA
        USD
        1029.67000000
        0.000325043140
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-15
          Floating
          1.54300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ENEN5
        
          
        
        172381.64000000
        PA
        USD
        192939.82000000
        0.060906664279
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36196CZQ7
        
          
        
        421855.74000000
        PA
        USD
        476889.73000000
        0.150543121080
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175ZN223
        000000000
        
          
        
        -6000000.00000000
        NC
        USD
        -12.00000000
        -0.00000378812
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            99.40625000
            USD
            2021-08-05
            XXXX
            25769.25000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418VKM3
        
          
        
        36632.23000000
        PA
        USD
        39084.36000000
        0.012338033657
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KUY9
        
          
        
        7743.03000000
        PA
        USD
        7857.71000000
        0.002480498349
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-09-20
          Floating
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KSU0
        
          
        
        1966.81000000
        PA
        USD
        2005.06000000
        0.000632951333
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-05-20
          Floating
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WEXS3
        
          
        
        5974.58000000
        PA
        USD
        6492.93000000
        0.002049668687
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295FGG3
        
          
        
        4887.93000000
        PA
        USD
        5776.37000000
        0.001823467174
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        426664.47000000
        PA
        USD
        466364.02000000
        0.147220396485
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A9RW6
        
          
        
        29220.45000000
        PA
        USD
        31176.44000000
        0.009841685166
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175DB918
        000000000
        
          
        
        -1000000.00000000
        NC
        USD
        -0.70000000
        -0.00000022097
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            102.07812500
            USD
            2021-08-05
            XXXX
            4374.30000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020695
        
          
        
        150000.00000000
        PA
        USD
        152638.50000000
        0.048184464335
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617B4GK7
        
          
        
        115176.21000000
        PA
        USD
        125913.37000000
        0.039747955372
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HPNC7
        
          
        
        74116.55000000
        PA
        USD
        79562.85000000
        0.025116162096
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        3175SR156 OTC EPUT FN 2.0
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -3.00000000
        -0.00000094703
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            99.40625000
            USD
            2021-08-05
            XXXX
            6911.06000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31397NXK6
        
          
        
        420003.44000000
        PA
        USD
        430086.59000000
        0.135768446079
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-25
          Floating
          0.90900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36241LHP4
        
          
        
        163183.01000000
        PA
        USD
        191076.23000000
        0.060318371772
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-03-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A8AS5
        
          
        
        1141.92000000
        PA
        USD
        1218.54000000
        0.000384665056
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378PAG3
        
          
        
        1210219.76000000
        PA
        USD
        82111.60000000
        0.025920743860
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-02-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AXB67
        
          
        
        382601.71000000
        PA
        USD
        424518.88000000
        0.134010848069
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Whole Loan Securities Trust
        3137G1BL0
        
          
        
        783328.50000000
        PA
        USD
        791463.99000000
        0.249846980931
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36195EUQ9
        
          
        
        186667.80000000
        PA
        USD
        211069.95000000
        0.066629929395
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-09-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ReRemic Trust
        N/A
        Morgan Stanley Resecuritization Trust 2013-R10
        61763GEU3
        
          
        
        3347.27000000
        PA
        USD
        3346.09000000
        0.001056283665
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-01-26
          Floating
          0.71200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417F3E6
        
          
        
        129207.35000000
        PA
        USD
        138181.60000000
        0.043620753459
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376MCQ8
        
          
        
        227935.51000000
        PA
        USD
        8105.46000000
        0.002558707326
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Variable
          1.72900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31349TD40
        
          
        
        477123.01000000
        PA
        USD
        497512.16000000
        0.157053147992
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Floating
          2.46100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust 2019-GS4
        52473CAA0
        
          
        
        295360.41000000
        PA
        USD
        295652.37000000
        0.093330654310
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-05-25
          Variable
          3.43800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132D9BT0
        
          
        
        1640616.93000000
        PA
        USD
        1748390.81000000
        0.551926772266
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175ZN231
        000000000
        
          
        
        -6000000.00000000
        NC
        USD
        -38253.00000000
        -0.01207559242
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            101.40625000
            USD
            2021-08-05
            XXXX
            -24659.25000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406RSH9
        
          
        
        207482.76000000
        PA
        USD
        239328.73000000
        0.075550576395
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WCM91
        
          
        
        375313.43000000
        PA
        USD
        416050.31000000
        0.131337515265
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXFH0
        
          
        
        778274.59000000
        PA
        USD
        830944.01000000
        0.262309915352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175SR255
        000000000
        
          
        
        -1000000.00000000
        NC
        USD
        -4.20000000
        -0.00000132584
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            102.58593750
            USD
            2021-08-05
            XXXX
            3511.43000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128S3JQ3
        
          
        
        219103.89000000
        PA
        USD
        228208.09000000
        0.072040046080
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31339D4L9
        
          
        
        9547.29000000
        PA
        USD
        9560.88000000
        0.003018149951
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-12-15
          Floating
          0.44300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296P5T4
        
          
        
        19449.39000000
        PA
        USD
        22756.21000000
        0.007183612189
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-11-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31396GWP2
        
          
        
        91759.23000000
        PA
        USD
        92052.03000000
        0.029058709018
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-15
          Floating
          0.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        01N040686
        
          
        
        2000000.00000000
        PA
        USD
        2139340.00000000
        0.675340441180
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-19
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X7XQ1
        
          
        
        202990.10000000
        PA
        USD
        218677.69000000
        0.069031517963
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CBA3
        
          
        
        1254.94000000
        PA
        USD
        1278.37000000
        0.000403552011
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCA8
        
          
        
        959638.66000000
        PA
        USD
        1012444.99000000
        0.319605600894
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corporation
        N/A
        Structured Asset Securities Corp Trust 2005-AR1
        86359DVX2
        
          
        
        1412623.73000000
        PA
        USD
        1388460.38000000
        0.438305012569
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          0.77900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNK8
        
          
        
        3036.10000000
        PA
        USD
        3126.21000000
        0.000986872605
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-04-20
          Floating
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ADNA3
        
          
        
        441307.39000000
        PA
        USD
        50184.81000000
        0.015842190454
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KSX4
        
          
        
        8547.15000000
        PA
        USD
        8808.73000000
        0.002780713493
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-05-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KMDF9
        
          
        
        998449.70000000
        PA
        USD
        1071039.39000000
        0.338102505522
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC-GNMA
        S6XOOCT0IEG5ABCC6L87
        FHLMC-GNMA
        312916LW7
        
          
        
        6439.96000000
        PA
        USD
        244.60000000
        0.000077214595
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-06-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HSNN7
        
          
        
        500000.00000000
        PA
        USD
        534312.71000000
        0.168670235352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-01
          Fixed
          3.57500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JL5J9
        
          
        
        31911.06000000
        PA
        USD
        34912.63000000
        0.011021114431
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KZM0
        
          
        
        25719.00000000
        PA
        USD
        26083.83000000
        0.008234065300
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-04-20
          Floating
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CPL4
        
          
        
        19612.81000000
        PA
        USD
        20164.24000000
        0.006365386865
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-07-20
          Floating
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCFOBHUS0 CREDIT SUISSE COC
        N/A
        CCFOBHUS0 CREDIT SUISSE COC CCFOBHUS0 CREDIT SUISSE COC
        000000000
        
          
        
        692000.00000000
        NS
        USD
        692000.00000000
        0.218448486587
        Long
        STIV
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        549300BZ5TGIFZUZDZ37
        State Street Institutional US Government Money Market Fund
        857492706
        
          
        
        322363.81000000
        NS
        USD
        322363.81000000
        0.101762841654
        Long
        STIV
        RF
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31288VEG0
        
          
        
        2082.84000000
        PA
        USD
        2093.52000000
        0.000660876120
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-01
          Floating
          2.52400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RVV5
        
          
        
        480390.00000000
        PA
        USD
        487092.79000000
        0.153763992490
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-06-20
          Floating
          0.88900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312945ZR2
        
          
        
        6672.13000000
        PA
        USD
        7636.97000000
        0.002410815807
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132D53J9
        
          
        
        62532.62000000
        PA
        USD
        66862.44000000
        0.021106934721
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BofA Securities, Inc.
        549300HN4UKV1E2R3U73
        317U940X3 PIMCO
        000000000
        
          
        
        2500000.00000000
        NC
        USD
        407.00000000
        0.000128480540
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BofA Securities, Inc.
              549300HN4UKV1E2R3U73
            
            Put
            Purchased
            
              
                
                  
                    BofA Securities, Inc.
                    549300HN4UKV1E2R3U73
                  
                  
                    BofA Securities, Inc.
                    549300HN4UKV1E2R3U73
                    IRS Swap
                    N/A
                    
                      
                    
                    2500000.00000000
                    OU
                    Notional Amount
                    N/A
                    407.00000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-08-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2500000.00000000
                  USD
                
              
            
            1.00000000
            0.01140000
            USD
            2021-08-23
            XXXX
            -22843.00000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ABE31
        
          
        
        349229.36000000
        PA
        USD
        388150.34000000
        0.122530136331
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-15
          Floating
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140H4UM4
        
          
        
        37979.97000000
        PA
        USD
        40781.67000000
        0.012873835393
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GQNB8
        
          
        
        11223.63000000
        PA
        USD
        12190.50000000
        0.003848260514
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A7RY0
        
          
        
        76334.03000000
        PA
        USD
        76934.44000000
        0.024286433503
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-25
          Floating
          0.52900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617G1HC5
        
          
        
        112059.41000000
        PA
        USD
        121806.29000000
        0.038451444663
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HNV66
        
          
        
        153514.54000000
        PA
        USD
        167014.55000000
        0.052722652724
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MUL4
        
          
        
        230247.69000000
        PA
        USD
        257898.91000000
        0.081412755176
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412QDL0
        
          
        
        72085.64000000
        PA
        USD
        81182.20000000
        0.025627353652
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        3175SR198
        000000000
        
          
        
        -6000000.00000000
        NC
        USD
        -468.60000000
        -0.00014792624
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                Ginnie Mae
                Ginnie Mae
                
                  
                  
                
              
            
            1.00000000
            102.23437500
            USD
            2021-08-12
            XXXX
            18750.15000000
          
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        549300AZL7IWJJ04HD37
        Venture 36 Clo Ltd
        92332LAU3
        
          
        
        800000.00000000
        PA
        USD
        800173.60000000
        0.252596404519
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-04-20
          Floating
          1.26400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        317U641X5 PIMCO
        000000000
        
          
        
        27000000.00000000
        NC
        USD
        20838.60000000
        0.006578266810
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    27000000.00000000
                    OU
                    Notional Amount
                    N/A
                    20838.60000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2025-04-05
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  27000000.00000000
                  USD
                
              
            
            1.00000000
            0.01400000
            USD
            2022-04-01
            XXXX
            -9941.40000000
          
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325VRC0
        
          
        
        881627.36000000
        PA
        USD
        94381.37000000
        0.029794028090
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QPG24
        
          
        
        767516.59000000
        PA
        USD
        825951.41000000
        0.260733866343
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417EK75
        
          
        
        69679.03000000
        PA
        USD
        72629.75000000
        0.022927541862
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        549300L45M7638EL0H21
        GS Mortgage Securities Trust 2015-GC30
        36250GAN5
        
          
        
        4850660.99000000
        PA
        USD
        5163511.16000000
        1.630001731765
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-10
          Fixed
          3.11900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CQT6
        
          
        
        9806.76000000
        PA
        USD
        10238.83000000
        0.003232163176
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-10-20
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36297DCT2
        
          
        
        29960.18000000
        PA
        USD
        32303.53000000
        0.010197481560
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-03-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31400JZS1
        
          
        
        9758.98000000
        PA
        USD
        10805.09000000
        0.003410918436
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M86H2
        
          
        
        89206.54000000
        PA
        USD
        104460.13000000
        0.032975660848
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CWV2
        
          
        
        82750.31000000
        PA
        USD
        87164.50000000
        0.027515828192
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AP3C4
        
          
        
        260319.28000000
        PA
        USD
        14423.02000000
        0.004553015738
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-25
          Variable
          1.91700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617ALZA1
        
          
        
        62466.74000000
        PA
        USD
        68290.12000000
        0.021557620466
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-06-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132AC2W9
        
          
        
        2922297.60000000
        PA
        USD
        3157529.06000000
        0.996759312881
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414LJ90
        
          
        
        21788.68000000
        PA
        USD
        21979.10000000
        0.006938296432
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128K8GL4
        
          
        
        952.99000000
        PA
        USD
        1089.53000000
        0.000343939565
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36297GVM9
        
          
        
        444580.33000000
        PA
        USD
        473295.75000000
        0.149408584242
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        312911SG6
        
          
        
        63.89000000
        PA
        USD
        65.11000000
        0.000020553729
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-08-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TXW0
        
          
        
        124407.44000000
        PA
        USD
        133380.20000000
        0.042105061894
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AP7M8
        
          
        
        188786.45000000
        PA
        USD
        205573.11000000
        0.064894703414
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-10-25
          Floating
          9.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fanniemae-Aces
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae-Aces
        3136AT5G5
        
          
        
        937519.23000000
        PA
        USD
        994340.21000000
        0.313890338190
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-25
          Fixed
          2.94400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        312916VS5
        
          
        
        7937.16000000
        PA
        USD
        8133.03000000
        0.002567410541
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617AQHV4
        
          
        
        150262.08000000
        PA
        USD
        164202.13000000
        0.051834836406
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31393DCH2
        
          
        
        55063.93000000
        PA
        USD
        59115.46000000
        0.018661391287
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-25
          Floating
          13.82200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617HRSQ4
        
          
        
        176443.09000000
        PA
        USD
        181919.04000000
        0.057427657470
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EP2Y9
        
          
        
        1235324.39000000
        PA
        USD
        1287004.80000000
        0.406277819062
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Floating
          2.37100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617AN3Q7
        
          
        
        162445.47000000
        PA
        USD
        177515.80000000
        0.056037655860
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GVC29
        
          
        
        6716.50000000
        PA
        USD
        7278.62000000
        0.002297692952
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306A1
        
          
        
        10400000.00000000
        PA
        USD
        10869040.00000000
        3.431105980726
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020687
        
          
        
        -8750000.00000000
        PA
        USD
        -8923075.00000000
        -2.81680958014
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335GLQ6
        
          
        
        70.67000000
        PA
        USD
        76.06000000
        0.000024010392
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-08-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132VLSJ7
        
          
        
        318998.25000000
        PA
        USD
        347477.86000000
        0.109690769710
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0124A1
        
          
        
        2000000.00000000
        PA
        USD
        2032060.00000000
        0.641474612219
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LCMA1
        
          
        
        205626.24000000
        PA
        USD
        234986.86000000
        0.074179947882
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137A06E0
        
          
        
        208566.02000000
        PA
        USD
        12846.06000000
        0.004055205730
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-15
          Floating
          2.06200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EquiFirst Loan Securitization Trust
        N/A
        Equifirst Loan Securitization Trust 2007-1
        29445UAN5
        
          
        
        1655959.80000000
        PA
        USD
        1568320.61000000
        0.495082751067
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.25900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A1L33
        
          
        
        61254.13000000
        PA
        USD
        65364.35000000
        0.020634022159
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXM90
        
          
        
        1139710.32000000
        PA
        USD
        1277587.94000000
        0.403305132913
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2059-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617G02L3
        
          
        
        34283.38000000
        PA
        USD
        37479.40000000
        0.011831384693
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617BU2B4
        
          
        
        43246.98000000
        PA
        USD
        46864.65000000
        0.014794092293
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitization Trust
        N/A
        Residential Asset Securitization Trust 2006-A7CB
        76113NAA1
        
          
        
        250507.81000000
        PA
        USD
        195933.13000000
        0.061851583411
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Floating
          0.58900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ARPN0
        
          
        
        666510.10000000
        PA
        USD
        675986.27000000
        0.213393320282
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-15
          Floating
          0.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M5KX6
        
          
        
        2986.69000000
        PA
        USD
        3305.05000000
        0.001043328281
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617BUZF9
        
          
        
        158299.48000000
        PA
        USD
        171626.84000000
        0.054178646612
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132D55B4
        
          
        
        445307.66000000
        PA
        USD
        477569.23000000
        0.150757623604
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gallatin Loan Management, LLC
        N/A
        Gallatin CLO VIII 2017-1 Ltd
        36361UAA8
        
          
        
        1495075.53000000
        PA
        USD
        1496029.39000000
        0.472262075341
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-07-15
          Floating
          1.42600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EQCH3
        
          
        
        256384.66000000
        PA
        USD
        268193.16000000
        0.084662413172
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Floating
          2.22900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128P7HN6
        
          
        
        4135.13000000
        PA
        USD
        4615.38000000
        0.001456969329
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202K2Z7
        
          
        
        11290.08000000
        PA
        USD
        11487.98000000
        0.003626491105
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-06-20
          Floating
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292GT96
        
          
        
        9409.78000000
        PA
        USD
        10283.28000000
        0.003246195019
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36180DWP8
        
          
        
        146583.12000000
        PA
        USD
        155831.45000000
        0.049192405224
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-06-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BofA Securities, Inc.
        549300HN4UKV1E2R3U73
        317U622W0 IRO USD 5Y P 1.47
        000000000
        
          
        
        13200000.00000000
        NC
        USD
        6976.20000000
        0.002202225913
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BofA Securities, Inc.
              549300HN4UKV1E2R3U73
            
            Put
            Purchased
            
              
                
                  
                    BofA Securities, Inc.
                    549300HN4UKV1E2R3U73
                  
                  
                    BofA Securities, Inc.
                    549300HN4UKV1E2R3U73
                    IRS Swap
                    N/A
                    
                      
                    
                    13200000.00000000
                    OU
                    Notional Amount
                    N/A
                    6976.20000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-11-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  13200000.00000000
                  USD
                
              
            
            1.00000000
            1.47000000
            USD
            2021-11-01
            XXXX
            -2263.80000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CC87
        
          
        
        1670.46000000
        PA
        USD
        1706.04000000
        0.000538557595
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-07-20
          Floating
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCBOAIUS3 SWAP CASH COLLATERAL
        N/A
        CCBOAIUS3 SWAP CASH COLLATERAL BOA CASH COLL (BROKER)
        000000000
        
          
        
        -20000.00000000
        NS
        USD
        -20000.00000000
        -0.00631354007
        Short
        STIV
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GEFG0
        
          
        
        4051.01000000
        PA
        USD
        4636.81000000
        0.001463734287
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31339NC79
        
          
        
        58310.74000000
        PA
        USD
        58537.13000000
        0.018478825805
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-15
          Floating
          0.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        3175ZN025
        000000000
        
          
        
        -1800000.00000000
        NC
        USD
        -4835.16000000
        -0.00152634882
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            103.98437500
            USD
            2021-08-05
            XXXX
            -1178.91000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H022697
        
          
        
        -2000000.00000000
        PA
        USD
        -2074920.00000000
        -0.65500452859
        Short
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31288GY97
        
          
        
        1537.72000000
        PA
        USD
        1775.27000000
        0.000560411914
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31374TX95
        
          
        
        9920.84000000
        PA
        USD
        9996.58000000
        0.003155690422
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-03-01
          Floating
          2.82500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179USU7
        
          
        
        920403.40000000
        PA
        USD
        974994.98000000
        0.307783493947
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175XG121
        000000000
        
          
        
        -500000.00000000
        NC
        USD
        -0.40000000
        -0.00000012627
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            102.10156250
            USD
            2021-08-05
            XXXX
            2187.10000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31397T3Q3
        
          
        
        47707.26000000
        PA
        USD
        45560.65000000
        0.014382449480
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-15
          Floating
          0.09300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BHVT1
        
          
        
        279559.58000000
        PA
        USD
        10866.87000000
        0.003430420961
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-08-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KB87
        
          
        
        1225.32000000
        PA
        USD
        1231.66000000
        0.000388806738
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-03-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GUMA2
        
          
        
        84925.23000000
        PA
        USD
        90312.79000000
        0.028509670946
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413DQQ3
        
          
        
        25820.64000000
        PA
        USD
        29566.94000000
        0.009333603028
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OZLM Ltd
        549300HQQ42NFL2R0S17
        OZLM XIII Ltd
        67110AAQ6
        
          
        
        249883.26000000
        PA
        USD
        249780.56000000
        0.078849978773
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-07-30
          Floating
          1.20900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B3QC7
        
          
        
        2344733.94000000
        PA
        USD
        2356153.73000000
        0.743783549836
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-25
          Floating
          0.38900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVX97
        
          
        
        247572.82000000
        PA
        USD
        269560.40000000
        0.085094019398
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36179FWC5
        
          
        
        387561.21000000
        PA
        USD
        412013.50000000
        0.130063187180
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31295KGW8
        
          
        
        43850.29000000
        PA
        USD
        44696.59000000
        0.014109685608
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-07-01
          Floating
          2.40700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B0ZL1
        
          
        
        106626.44000000
        PA
        USD
        8139.78000000
        0.002569541361
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175668Y6 OTC EPUT FN 2.0 100.109375
        000000000
        
          
        
        -5500000.00000000
        NC
        USD
        -6656.65000000
        -0.00210135132
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            100.10937500
            USD
            2021-09-07
            XXXX
            15687.10000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        3175SR164 OTC EPUT FN 2.0
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -2.85000000
        -0.00000089967
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            99.39062500
            USD
            2021-08-05
            XXXX
            6794.03000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN FUTURES CASH COLLATERAL FEDL01
        N/A
        GOLDMAN FUTURES CASH COLLATERAL FEDL01
        000000000
        
          
        
        205000.00000000
        NS
        USD
        205000.00000000
        0.064713785766
        Long
        STIV
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31295LNU2
        
          
        
        52095.90000000
        PA
        USD
        52789.43000000
        0.016664409091
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-10-01
          Floating
          2.63100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617B0YJ8
        
          
        
        137764.65000000
        PA
        USD
        148295.73000000
        0.046813551713
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31405KNA5
        
          
        
        12814.38000000
        PA
        USD
        14746.33000000
        0.004655077270
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7JL1
        
          
        
        65049.78000000
        PA
        USD
        75607.73000000
        0.023867621665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corporation
        N/A
        Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1
        86360RAA1
        
          
        
        123088.28000000
        PA
        USD
        121036.48000000
        0.038208433349
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-07-25
          Floating
          0.22400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375B8J4
        
          
        
        620531.59000000
        PA
        USD
        624814.50000000
        0.197239569253
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-09-20
          Floating
          0.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QBDY1
        
          
        
        1258248.11000000
        PA
        USD
        1360707.77000000
        0.429544151798
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XYZN7
        
          
        
        28767.09000000
        PA
        USD
        30861.42000000
        0.009742240596
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359N5T4
        
          
        
        6656.19000000
        PA
        USD
        6664.37000000
        0.002103788353
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-03-25
          Floating
          0.64600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mtg Loan Asset Backed Certificates
        N/A
        First Franklin Mortgage Loan Trust Series 2005-FFH1
        32027NTA9
        
          
        
        20627.56000000
        PA
        USD
        20626.24000000
        0.006511229641
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-06-25
          Floating
          0.76400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SWU017A18 IRS USD R F   .75000 SWU017A18 CCPVANILLA / Short: SWU017A18 IRS USD P V 03MLIBOR SWUV17A10 CCPVANILLA
        000000000
        
          
        
        9140000.00000000
        OU
        Notional Amount
        USD
        -462698.15000000
        -0.14606316562
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-06-16
            0.00000000
            USD
            -779136.29000000
            USD
            9140000.00000000
            USD
            316438.14000000
          
        
        
          N
          N
          N
        
      
      
        Chase Funding Mortgage Loan Asset-Backed CTFS
        N/A
        Chase Funding Trust Series 2002-3
        161546DB9
        
          
        
        125923.73000000
        PA
        USD
        121308.47000000
        0.038294294337
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-08-25
          Floating
          0.72900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B12W1
        
          
        
        2212753.84000000
        PA
        USD
        129647.46000000
        0.040926721715
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-03-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B5QX4
        
          
        
        828980.74000000
        PA
        USD
        1097021.88000000
        0.346304580115
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-11-15
          Floating
          13.43900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A0L88
        
          
        
        369.02000000
        PA
        USD
        0.03000000
        0.000000009470
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-09-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617G9MX6
        
          
        
        14241.96000000
        PA
        USD
        15341.84000000
        0.004843066083
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-07-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140H2ZF8
        
          
        
        179637.20000000
        PA
        USD
        194364.96000000
        0.061356548204
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133TLUJ5
        
          
        
        7720.24000000
        PA
        USD
        1358.26000000
        0.000428771447
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312943K85
        
          
        
        24996.38000000
        PA
        USD
        28595.62000000
        0.009026979641
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132AEKD7
        
          
        
        142317.06000000
        PA
        USD
        152169.88000000
        0.048036531777
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X4VG8
        
          
        
        354353.68000000
        PA
        USD
        379525.05000000
        0.119807330628
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31397JZ80
        
          
        
        551782.02000000
        PA
        USD
        94375.80000000
        0.029792269769
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-15
          Floating
          6.38700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TSF3
        
          
        
        511605.63000000
        PA
        USD
        539402.60000000
        0.170276996577
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KQ99
        
          
        
        1377.26000000
        PA
        USD
        1401.09000000
        0.000442291893
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KUH6
        
          
        
        2355.12000000
        PA
        USD
        2388.06000000
        0.000753855625
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-08-20
          Floating
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175DC056
        000000000
        
          
        
        -2500000.00000000
        NC
        USD
        -14916.00000000
        -0.00470863818
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            103.60937500
            USD
            2021-08-05
            XXXX
            -7103.50000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31379JVU7
        
          
        
        6668.82000000
        PA
        USD
        6732.26000000
        0.002125219665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-11-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132J86D7
        
          
        
        171073.26000000
        PA
        USD
        183016.30000000
        0.057774037219
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31337NAV0
        
          
        
        52477.75000000
        PA
        USD
        53442.74000000
        0.016870644034
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-06-01
          Floating
          2.41500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities Trust 2003-AC5
        07384YMA1
        
          
        
        305231.77000000
        PA
        USD
        318883.41000000
        0.100664159411
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-25
          Variable
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FPL64
        
          
        
        66044.18000000
        PA
        USD
        68633.65000000
        0.021666064987
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312943T86
        
          
        
        11895.93000000
        PA
        USD
        13609.76000000
        0.004296288258
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31281BHS2
        
          
        
        353246.24000000
        PA
        USD
        393050.70000000
        0.124077067293
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        3175SQ034
        000000000
        
          
        
        -3000000.00000000
        NC
        USD
        -7.20000000
        -0.00000227287
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            99.47265620
            USD
            2021-08-05
            XXXX
            18625.61000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312941MV6
        
          
        
        28708.27000000
        PA
        USD
        32842.91000000
        0.010367751422
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QN5W5
        
          
        
        70778.44000000
        PA
        USD
        76167.15000000
        0.024044217695
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376T5N8
        
          
        
        1444306.49000000
        PA
        USD
        1458497.38000000
        0.460414082880
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2060-01-20
          Floating
          0.91600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LS6G0
        
          
        
        1042723.34000000
        PA
        USD
        1173905.20000000
        0.370574876210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XY7E8
        
          
        
        11183.12000000
        PA
        USD
        12447.63000000
        0.003929430542
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140H6HW2
        
          
        
        28947.23000000
        PA
        USD
        31082.60000000
        0.009812062036
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371MER4
        
          
        
        993.43000000
        PA
        USD
        1178.71000000
        0.000372091641
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FJJY6
        
          
        
        623498.93000000
        PA
        USD
        572255.80000000
        0.180647996316
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-08-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MVV9
        
          
        
        15444.60000000
        PA
        USD
        17671.91000000
        0.005578615599
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415YHE2
        
          
        
        1098.68000000
        PA
        USD
        1232.33000000
        0.000389018242
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AA2A0
        
          
        
        1287.56000000
        PA
        USD
        10.91000000
        0.000003444036
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133T3TD0
        
          
        
        1843.25000000
        PA
        USD
        1947.91000000
        0.000614910392
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032492
        
          
        
        1400000.00000000
        PA
        USD
        1495844.00000000
        0.472203551981
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378MAC9
        
          
        
        761058.42000000
        PA
        USD
        105663.30000000
        0.033355473949
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-08-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ADQR3
        
          
        
        511488.02000000
        PA
        USD
        74762.87000000
        0.023600918792
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-25
          Floating
          6.06100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AMZT9
        
          
        
        404367.84000000
        PA
        USD
        20489.32000000
        0.006468007146
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-25
          Floating
          1.66300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032682
        
          
        
        4000000.00000000
        PA
        USD
        4239240.00000000
        1.338230581333
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36241KVQ8
        
          
        
        290160.51000000
        PA
        USD
        339670.96000000
        0.107226310910
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-10-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291FQ84
        
          
        
        193625.45000000
        PA
        USD
        208042.80000000
        0.065674327753
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F060683
        
          
        
        1000000.00000000
        PA
        USD
        1122968.75000000
        0.354495410293
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291FRX8
        
          
        
        433737.20000000
        PA
        USD
        462782.21000000
        0.146089701436
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410WRX8
        
          
        
        9540.28000000
        PA
        USD
        10661.10000000
        0.003365464104
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295YXL2
        
          
        
        53524.20000000
        PA
        USD
        60104.20000000
        0.018973513768
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8QN8
        
          
        
        1227170.41000000
        PA
        USD
        1331906.57000000
        0.420452275278
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CB47
        
          
        
        4647.66000000
        PA
        USD
        4733.40000000
        0.001494225529
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-04-20
          Floating
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36197MRM2
        
          
        
        139668.20000000
        PA
        USD
        152688.59000000
        0.048200276596
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020497
        
          
        
        22900000.00000000
        PA
        USD
        23733331.00000000
        7.492066818842
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        317U385Y3 PIMCO
        000000000
        
          
        
        3300000.00000000
        NC
        USD
        382.47000000
        0.000120736983
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3300000.00000000
                    OU
                    Notional Amount
                    N/A
                    382.47000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-08-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3300000.00000000
                  USD
                
              
            
            1.00000000
            0.01680000
            USD
            2021-08-12
            XXXX
            -45817.53000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ATXU3
        
          
        
        133692.44000000
        PA
        USD
        6007.76000000
        0.001896511675
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-04-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31391YUS4
        
          
        
        11014.68000000
        PA
        USD
        12480.50000000
        0.003939806845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CN36
        
          
        
        142644.19000000
        PA
        USD
        148170.53000000
        0.046774028952
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-05-20
          Floating
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417HA95
        
          
        
        953790.91000000
        PA
        USD
        1001511.74000000
        0.316154225293
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XZFG1
        
          
        
        45083.68000000
        PA
        USD
        49977.11000000
        0.015776624340
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QLF24
        
          
        
        142015.39000000
        PA
        USD
        151168.54000000
        0.047720431766
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FUKX5
        
          
        
        5599.46000000
        PA
        USD
        6081.83000000
        0.001919893871
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        317U961X7 PIMCO
        000000000
        
          
        
        -27700000.00000000
        NC
        USD
        -5146.66000000
        -0.00162468220
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    27700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -5146.66000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-11-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  27700000.00000000
                  USD
                
              
            
            1.00000000
            0.01720000
            USD
            2021-11-01
            XXXX
            99247.72000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371GZB9
        
          
        
        2049.08000000
        PA
        USD
        2057.38000000
        0.000649467553
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-11-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CBR6
        
          
        
        3402.86000000
        PA
        USD
        3467.15000000
        0.001094499523
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-02-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202EYG8
        
          
        
        4941.40000000
        PA
        USD
        5725.66000000
        0.001807459193
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-12-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132J9GR3
        
          
        
        121468.88000000
        PA
        USD
        129948.92000000
        0.041021885704
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140H22E7
        
          
        
        174948.85000000
        PA
        USD
        189292.23000000
        0.059755203997
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B3M72
        
          
        
        4043269.09000000
        PA
        USD
        4077584.31000000
        1.287199597476
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-03-25
          Floating
          0.48900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        317U027Y7 PIMCO
        000000000
        
          
        
        -8000000.00000000
        NC
        USD
        -143.20000000
        -0.00004520494
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            Put
            Written
            
              
                
                  
                    BNP Paribas
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP Paribas
                    R0MUWSFPU8MPRO8K5P83
                    IRS Swap
                    N/A
                    
                      
                    
                    8000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -143.20000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-09-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8000000.00000000
                  USD
                
              
            
            1.00000000
            0.02350000
            USD
            2021-09-03
            XXXX
            46256.80000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175ZM860
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -1.50000000
        -0.00000047351
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            99.17187500
            USD
            2021-08-05
            XXXX
            9256.31000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MX90
        
          
        
        242679.79000000
        PA
        USD
        11748.01000000
        0.003708576596
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-06-20
          Floating
          1.79600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M5H45
        
          
        
        609911.80000000
        PA
        USD
        725322.31000000
        0.228967573566
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ARWA2
        
          
        
        157830.61000000
        PA
        USD
        9983.16000000
        0.003151454036
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-04-25
          Variable
          1.54800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 11
        81744AAA6
        
          
        
        160119.49000000
        PA
        USD
        159532.99000000
        0.050360896280
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-12-20
          Floating
          0.98400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        317567FZ3
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -12007.50000000
        -0.00379049162
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            101.31250000
            USD
            2021-09-07
            XXXX
            -7320.00000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312939WT4
        
          
        
        3283.22000000
        PA
        USD
        3756.21000000
        0.001185749118
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CPN0
        
          
        
        6831.69000000
        PA
        USD
        7095.50000000
        0.002239886180
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-07-20
          Floating
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CFH4
        
          
        
        753.61000000
        PA
        USD
        764.94000000
        0.000241473967
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-02-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36195ETX6
        
          
        
        8326.92000000
        PA
        USD
        9413.22000000
        0.002971537085
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-08-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        3175EQ856
        000000000
        
          
        
        -5500000.00000000
        NC
        USD
        -471.90000000
        -0.00014896797
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                Ginnie Mae
                Ginnie Mae
                
                  
                  
                
              
            
            1.00000000
            102.29687500
            USD
            2021-08-12
            XXXX
            18004.67000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36179DWV8
        
          
        
        56369.93000000
        PA
        USD
        59926.46000000
        0.018917405337
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796L49
        
          
        
        7300000.00000000
        PA
        USD
        7299673.89000000
        2.304339181871
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-09-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H020691
        
          
        
        10400000.00000000
        PA
        USD
        10632440.00000000
        3.356416801641
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622A2ZK1
        
          
        
        2640724.29000000
        PA
        USD
        2875216.70000000
        0.907639792958
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWU01BIQ6 IRS USD R V 03MLIBOR SWUV1BIQ8 CCPVANILLA / Short: BWU01BIQ6 IRS USD P F  1.41000 SWU01BIQ6 CCPVANILLA
        000000000
        
          
        
        1000000.00000000
        OU
        Notional Amount
        USD
        -11554.48000000
        -0.00364748362
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-07-21
            0.00000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            -11554.48000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YRQP6
        
          
        
        64199.43000000
        PA
        USD
        67849.49000000
        0.021418523708
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        317564PD8 OTC ECAL FN 2.5 OCT21 103.6015625 CALL
        000000000
        
          
        
        -1000000.00000000
        NC
        USD
        -5645.90000000
        -0.00178228079
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            103.60156250
            USD
            2021-10-07
            XXXX
            -2442.77000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GNKM4
        
          
        
        271836.39000000
        PA
        USD
        294586.95000000
        0.092994325716
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132A9TZ0
        
          
        
        485135.36000000
        PA
        USD
        509162.36000000
        0.160730848221
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anchorage Capital CLO LTD
        54930064GO7DB3TVDY21
        Anchorage Capital CLO 6 Ltd
        03328QAY7
        
          
        
        900000.00000000
        PA
        USD
        900228.60000000
        0.284181467128
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-15
          Floating
          1.17600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MT93
        
          
        
        2415.74000000
        PA
        USD
        2705.85000000
        0.000854174620
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YTCG7
        
          
        
        9862.37000000
        PA
        USD
        10718.03000000
        0.003383435596
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJL65
        
          
        
        27155.97000000
        PA
        USD
        31054.12000000
        0.009803071555
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796F53
        
          
        
        5600000.00000000
        PA
        USD
        5599624.88000000
        1.767672804184
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-09-23
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TZ65
        
          
        
        312575.79000000
        PA
        USD
        334695.33000000
        0.105655618940
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-06-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36196JFE1
        
          
        
        151379.10000000
        PA
        USD
        165422.78000000
        0.052220167540
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SWU019IM0 IRS USD R F  1.85000 SWU019IM0 CCPVANILLA / Short: SWU019IM0 IRS USD P V 03MLIBOR SWUV19IM2 CCPVANILLA
        000000000
        
          
        
        1200000.00000000
        OU
        Notional Amount
        USD
        64651.50000000
        0.020408991807
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-09-22
            0.00000000
            USD
            0.00000000
            USD
            1200000.00000000
            USD
            64651.50000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        483924.66000000
        PA
        USD
        528952.05000000
        0.166977998265
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ANUN3
        
          
        
        1127241.50000000
        PA
        USD
        49065.22000000
        0.015488761637
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X3CN6
        
          
        
        3357067.39000000
        PA
        USD
        3554752.10000000
        1.122153491965
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WTRV0
        
          
        
        62320.91000000
        PA
        USD
        66649.48000000
        0.021039708147
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        317534KA2 OTC EPUT FN 2.0 100.03125
        000000000
        
          
        
        -500000.00000000
        NC
        USD
        -1353.70000000
        -0.00042733195
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            100.03125000
            USD
            2021-10-07
            XXXX
            1146.30000000
          
        
        
          N
          N
          N
        
      
      
        KVK CLO Ltd
        5493007VGL59COTLZY21
        KVK CLO 2013-1 Ltd
        482739AF6
        
          
        
        784334.98000000
        PA
        USD
        784465.96000000
        0.247637863788
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-01-14
          Floating
          1.03300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AKTL7
        
          
        
        323611.04000000
        PA
        USD
        22650.67000000
        0.007150295638
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2054-08-25
          Variable
          1.85800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KAV7
        
          
        
        5014.70000000
        PA
        USD
        5038.28000000
        0.001590469134
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31405XNA7
        
          
        
        70976.69000000
        PA
        USD
        79710.57000000
        0.025162793903
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FWA0
        
          
        
        11452.37000000
        PA
        USD
        13105.95000000
        0.004137247027
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-08-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HCAW6
        
          
        
        32457.63000000
        PA
        USD
        34636.15000000
        0.010933836053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136APNG3
        
          
        
        1015828.17000000
        PA
        USD
        62390.03000000
        0.019695097733
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-07-25
          Variable
          1.97100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022683
        
          
        
        700000.00000000
        PA
        USD
        729078.00000000
        0.230153158532
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-12
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9PU1
        
          
        
        104826.40000000
        PA
        USD
        115146.18000000
        0.036349001094
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        3175ZM381
        000000000
        
          
        
        -1800000.00000000
        NC
        USD
        -12102.12000000
        -0.00382036098
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            101.36718750
            USD
            2021-08-05
            XXXX
            -6125.56000000
          
        
        
          N
          N
          N
        
      
      
        Soundview Home Equity Loan Trust
        N/A
        Soundview Home Loan Trust 2007-OPT1
        83612TAA0
        
          
        
        694621.34000000
        PA
        USD
        570673.18000000
        0.180148399576
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Floating
          0.28900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Symphony CLO Ltd
        549300X84MR2MGY6OR68
        Symphony CLO XVII Ltd
        87165UAN1
        
          
        
        382098.03000000
        PA
        USD
        382171.01000000
        0.120642599352
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-04-15
          Floating
          1.00600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292JBP4
        
          
        
        5488.22000000
        PA
        USD
        6275.25000000
        0.001980952117
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410F5M3
        
          
        
        110132.23000000
        PA
        USD
        128416.81000000
        0.040538233810
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413FYG1
        
          
        
        29474.11000000
        PA
        USD
        33954.52000000
        0.010718661137
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        CWABS Inc Asset-Backed Certificates Trust 2004-4
        1266715K8
        
          
        
        86279.61000000
        PA
        USD
        85457.37000000
        0.026976926509
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-07-25
          Floating
          0.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AP35
        
          
        
        567643.17000000
        PA
        USD
        692227.56000000
        0.218520322046
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407A6M8
        
          
        
        12191.46000000
        PA
        USD
        13950.77000000
        0.004403937273
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136APDE9
        
          
        
        89086.83000000
        PA
        USD
        7276.24000000
        0.002296941641
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-06-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X4HN3
        
          
        
        529096.25000000
        PA
        USD
        575520.19000000
        0.181678489170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KGS-Alpha SBA COOF Trust
        N/A
        KGS-Alpha SBA COOF Trust Series 2012-5
        48248JAA7
        
          
        
        11678105.86000000
        PA
        USD
        293852.09000000
        0.092762347313
        Long
        ABS-O
        USGA
        US
        N
        
        3
        
          2038-04-25
          Variable
          1.20100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36184SPQ7
        
          
        
        5897.52000000
        PA
        USD
        6383.32000000
        0.002015067331
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202ESA8
        
          
        
        88474.03000000
        PA
        USD
        101205.48000000
        0.031948242688
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-04-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        317U026Y8 PIMCO
        000000000
        
          
        
        6200000.00000000
        NC
        USD
        1868.06000000
        0.000589703583
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            Put
            Purchased
            
              
                
                  
                    BNP Paribas
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP Paribas
                    R0MUWSFPU8MPRO8K5P83
                    IRS Swap
                    N/A
                    
                      
                    
                    6200000.00000000
                    OU
                    Notional Amount
                    N/A
                    1868.06000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-09-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6200000.00000000
                  USD
                
              
            
            1.00000000
            0.01850000
            USD
            2021-09-03
            XXXX
            -115559.94000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CZ72
        
          
        
        514310.56000000
        PA
        USD
        557246.04000000
        0.175909760253
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032682
        
          
        
        -4000000.00000000
        PA
        USD
        -4239240.00000000
        -1.33823058133
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LX2V0
        
          
        
        253814.67000000
        PA
        USD
        281852.49000000
        0.088974349539
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FKK47
        
          
        
        425949.12000000
        PA
        USD
        431512.91000000
        0.136218702503
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-04-25
          Variable
          3.25400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        3175ER334
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -511.35000000
        -0.00016142143
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            103.69531250
            USD
            2021-09-07
            XXXX
            4058.96000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HFFC8
        
          
        
        134723.55000000
        PA
        USD
        145804.93000000
        0.046027263432
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        317546AJ8 OTC ECAL FN 2.5 103.9765625
        000000000
        
          
        
        -1000000.00000000
        NC
        USD
        -3349.90000000
        -0.00105748639
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            103.97656250
            USD
            2021-10-07
            XXXX
            -576.46000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A6H98
        
          
        
        191514.70000000
        PA
        USD
        8799.64000000
        0.002777843989
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-07-25
          Variable
          1.63100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X5HN0
        
          
        
        38076.80000000
        PA
        USD
        40004.53000000
        0.012628510166
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379FE39
        
          
        
        297060.79000000
        PA
        USD
        28302.47000000
        0.008934438928
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J8BG7
        
          
        
        150307.53000000
        PA
        USD
        168179.95000000
        0.053090542705
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175SR313
        000000000
        
          
        
        -500000.00000000
        NC
        USD
        -4.25000000
        -0.00000134162
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            99.93750000
            USD
            2021-08-05
            XXXX
            1597.31000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXDG4
        
          
        
        1086039.84000000
        PA
        USD
        1186230.33000000
        0.374465636319
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        3175ZN488
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -12560.55000000
        -0.00396507678
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Call
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            101.18750000
            USD
            2021-08-05
            XXXX
            -10216.80000000
          
        
        
          N
          N
          N
        
      
      
        Fanniemae Strip
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Interest Strip
        31395Q5Q9
        
          
        
        127399.88000000
        PA
        USD
        15431.18000000
        0.004871268666
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-11-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HCAX4
        
          
        
        72614.67000000
        PA
        USD
        77488.50000000
        0.024461337504
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        317574OB2 OTC EPUT FN 2.0 99.375
        000000000
        
          
        
        -500000.00000000
        NC
        USD
        -346.05000000
        -0.00010924002
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            99.37500000
            USD
            2021-09-07
            XXXX
            1392.23000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        317515UC6 OTC EPUT FN 2.0 100.640625
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -2798.85000000
        -0.00088353258
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            100.64062500
            USD
            2021-09-07
            XXXX
            5287.09000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128C6N21
        
          
        
        54141.23000000
        PA
        USD
        60746.20000000
        0.019176178404
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SYT8
        
          
        
        521457.89000000
        PA
        USD
        558997.91000000
        0.176462785325
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296B6M9
        
          
        
        19362.18000000
        PA
        USD
        22650.10000000
        0.007150115702
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36241LCR5
        
          
        
        158041.69000000
        PA
        USD
        184885.40000000
        0.058364069107
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        317572CY9
        000000000
        
          
        
        -1500000.00000000
        NC
        USD
        -659.40000000
        -0.00020815741
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                Uniform Mortgage-Backed Security, TBA
                Uniform Mortgage-Backed Security, TBA
                
                  
                  
                
              
            
            1.00000000
            101.84375000
            USD
            2021-09-07
            XXXX
            3676.54000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WEX87
        
          
        
        1801473.62000000
        PA
        USD
        1932481.95000000
        0.610040111757
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCM Ltd Partnership
        549300VQTTD2PAP2Y421
        LCM XX LP
        50188WAE8
        
          
        
        143553.29000000
        PA
        USD
        143637.99000000
        0.045343210306
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-10-20
          Floating
          1.17400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292KZ75
        
          
        
        4458.43000000
        PA
        USD
        5238.59000000
        0.001653702395
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617G1A73
        
          
        
        103405.44000000
        PA
        USD
        112399.60000000
        0.035481968949
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31405PYH7
        
          
        
        47645.54000000
        PA
        USD
        56404.22000000
        0.017805515167
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        317U983X1 PIMCO
        000000000
        
          
        
        6200000.00000000
        NC
        USD
        3168.82000000
        0.001000323602
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    6200000.00000000
                    OU
                    Notional Amount
                    N/A
                    3168.82000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-09-13
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6200000.00000000
                  USD
                
              
            
            1.00000000
            0.01800000
            USD
            2021-09-09
            XXXX
            -114631.18000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412PXC0
        
          
        
        2597.05000000
        PA
        USD
        2908.94000000
        0.000918285463
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128CUNU6
        
          
        
        839.67000000
        PA
        USD
        928.96000000
        0.000293251309
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31392EVN7
        
          
        
        44127.70000000
        PA
        USD
        43284.26000000
        0.013663845505
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-25
          Floating
          0.48900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020687
        
          
        
        3250000.00000000
        PA
        USD
        3314285.00000000
        1.046243558339
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36178WPX1
        
          
        
        384330.67000000
        PA
        USD
        419559.81000000
        0.132445383710
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-11-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tralee CLO Ltd
        54930005YIOSJ9Z81114
        Tralee CLO V Ltd
        89300JAA6
        
          
        
        1028425.43000000
        PA
        USD
        1028516.96000000
        0.324679152228
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-10-20
          Floating
          1.24400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TG33
        
          
        
        819971.10000000
        PA
        USD
        864522.43000000
        0.272909850368
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-09-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202CF81
        
          
        
        3371.54000000
        PA
        USD
        3616.43000000
        0.001141623786
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-04-20
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617B0TG0
        
          
        
        143338.42000000
        PA
        USD
        156636.15000000
        0.049446430509
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-08-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291FQK7
        
          
        
        468005.32000000
        PA
        USD
        499345.08000000
        0.157631758686
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407CGX9
        
          
        
        855.58000000
        PA
        USD
        987.62000000
        0.000311768922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X1RR9
        
          
        
        226203.19000000
        PA
        USD
        237716.17000000
        0.075041528286
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022691
        
          
        
        28650000.00000000
        PA
        USD
        29775372.00000000
        9.399400218194
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A4S59
        
          
        
        12419.06000000
        PA
        USD
        72.83000000
        0.000022990756
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-04-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXAV2
        
          
        
        196852.88000000
        PA
        USD
        228324.83000000
        0.072076898213
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        31750IA31
        000000000
        
          
        
        -2500000.00000000
        NC
        USD
        -1341.75000000
        -0.00042355961
        N/A
        DIR
        
        US
        N
        
        2