0000869392-23-001667.txt : 20230727 0000869392-23-001667.hdr.sgml : 20230727 20230727164905 ACCESSION NUMBER: 0000869392-23-001667 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20230531 FILED AS OF DATE: 20230727 DATE AS OF CHANGE: 20230727 PERIOD START: 20230531 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM FUNDS TRUST CENTRAL INDEX KEY: 0001005942 IRS NUMBER: 043299786 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-07513 FILM NUMBER: 231119181 BUSINESS ADDRESS: STREET 1: 100 FEDERAL STREET CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 6177601000 MAIL ADDRESS: STREET 1: 100 FEDERAL STREET CITY: BOSTON STATE: MA ZIP: 02110 0001005942 S000048370 PUTNAM MORTGAGE OPPORTUNITIES FUND C000152757 CLASS I C000213253 Class Y Shares C000213254 Class A Shares C000213255 Class C Shares C000219743 Class R6 Shares NPORT-P 1 primary_doc.xml NPORT-P false 0001005942 XXXXXXXX S000048370 C000219743 C000213253 C000213254 C000152757 C000213255 Putnam Funds Trust 811-07513 0001005942 549300S9JYWEMKQCLW53 100 FEDERAL STREET BOSTON 02110 1-800-225-1581 Putnam Mortgage Opportunities Fund S000048370 549300SDR1EM41OFS298 2023-05-31 2023-05-31 N 1190575339.23 828889091.41 361686247.82 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2813644.84 USD N GSAA HOME EQUITY TRUST 2006-8 N/A 362348AS3 75268.09 PA USD 19103.89 0.005281895597 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.498 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 549300R1KUK063S4I339 17312EAE6 164282.22 PA USD 135604.85 0.037492398679 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.488 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2006-HE3 N/A 590212AD8 799840.4 PA USD 215016.06 0.059448226549 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.638 N N N N N N GSAA HOME EQUITY TRUST 2006-1 N/A 362341Z28 1066780.28 PA USD 341369.69 0.094382822697 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.318 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4 N/A 35563PMX4 370000 PA USD 312063.25 0.086280098257 Long ABS-MBS CORP US N 2 2059-02-25 Variable 4.5 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C52 N/A 95002MAY5 9868191.02 PA USD 655993.92 0.181370987687 Long ABS-MBS CORP US N 2 2052-08-15 Variable 1.603 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C59 N/A 95003CBU3 23864253.2 PA USD 1974151.25 0.545818720479 Long ABS-MBS CORP US N 2 2054-04-15 Variable 1.531 N N N N N N COMM 2014-CR14 MORTGAGE TRUST N/A 12630DAE4 1073000 PA USD 848108.86 0.234487450134 Long ABS-MBS CORP US N 2 2047-02-10 Variable 4.586 N N N N N N COMM 2014-CR14 MORTGAGE TRUST N/A 12630DBD5 650000 PA USD 561070.38 0.155126268522 Long ABS-MBS CORP US N 2 2047-02-10 Variable 4.586 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12 N/A 46639NAC5 625000 PA USD 485028.31 0.134101949666 Long ABS-MBS CORP US N 2 2045-07-15 Variable 4.048 N N N N N N GS MORTGAGE SECURITIES TRUST 2014-GC18 N/A 36252RBJ7 1880000 PA USD 1185380.98 0.327737365505 Long ABS-MBS CORP US N 2 2047-01-10 Variable 5.055 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C14 N/A 61690GAJ0 2109000 PA USD 2060097.56 0.569581390616 Long ABS-MBS CORP US N 2 2047-02-15 Variable 4.868 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 N/A 92930RAK8 456000 PA USD 417559.2 0.115447906166 Long ABS-MBS CORP US N 2 2045-11-15 Variable 4.719 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2012-C1 N/A 90269GAQ4 518908.74 PA USD 347668.86 0.096124434395 Long ABS-MBS CORP US N 2 2045-05-10 Variable 5 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2 N/A 90269CAV2 37000 PA USD 0.37 0.000000102299 Long ABS-MBS CORP US N 2 2063-05-10 Variable 5 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18 N/A 46641JAE6 1135000 PA USD 709076.5 0.196047404145 Long ABS-MBS CORP US N 2 2047-02-15 Variable 4.735 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2014-LC14 549300QGM7D5K3CV2643 96221TAL1 997250 PA USD 926890.02 0.256269080062 Long ABS-MBS CORP US N 2 2047-03-15 Variable 4.344 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6 N/A 46634SAR6 100000 PA USD 53710 0.014849887250 Long ABS-MBS CORP US N 2 2045-05-15 Variable 2.972 N N N N N N COMM 2014-CCRE16 MORTGAGE TRUST N/A 12591VAK7 1226000 PA USD 1113713.73 0.307922608812 Long ABS-MBS CORP US N 2 2047-04-10 Variable 4.916 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11 N/A 46639YAC1 643000 PA USD 325229.4 0.089920311309 Long ABS-MBS CORP US N 2 2046-04-15 Variable 3.25 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10 549300P1YQ48837ZOI22 61762MBE0 369000 PA USD 92914.2 0.025689171363 Long ABS-MBS CORP US N 2 2046-07-15 Variable 4.047 N N N N N N COMM 2014-CCRE17 MORTGAGE TRUST N/A 12631DAG8 1247000 PA USD 1110946.19 0.307157431806 Long ABS-MBS CORP US N 2 2047-05-10 Variable 4.844 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC21 N/A 17322MAZ9 1749000 PA USD 1614367.4 0.446344700616 Long ABS-MBS CORP US N 2 2047-05-10 Variable 4.328 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19 N/A 46641WAG2 2283000 PA USD 2118450.49 0.585714967812 Long ABS-MBS CORP US N 2 2047-04-15 Variable 4.627 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6 N/A 61761DAW2 1150000 PA USD 794880 0.219770589784 Long ABS-MBS CORP US N 2 2045-11-15 Variable 4.5 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25 N/A 46643PAN0 1500000 PA USD 1001172 0.276806764436 Long ABS-MBS CORP US N 2 2047-11-15 Variable 3.935 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC25 N/A 17322YAM2 239000 PA USD 183088.75 0.050620876824 Long ABS-MBS CORP US N 2 2047-10-10 Fixed 3.548 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25 N/A 46643PAQ3 100000 PA USD 58600.4 0.016201998377 Long ABS-MBS CORP US N 2 2047-11-15 Variable 3.332 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2014-C21 5493000F7E2NMQ4HIO61 92939FAY5 1151000 PA USD 949882.32 0.262626053859 Long ABS-MBS CORP US N 2 2047-08-15 Variable 4.234 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1 N/A 17324DAA2 1961000 PA USD 1524528.86 0.421505896115 Long ABS-MBS CORP US N 2 2048-09-15 Fixed 3.225 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C29 549300NYO16WLNMVJJ46 94989KBC6 2255000 PA USD 1886691.75 0.521637679445 Long ABS-MBS CORP US N 2 2048-06-15 Variable 4.218 N N N N N N COMM 2015-CCRE26 MORTGAGE TRUST N/A 12593QBK5 875000 PA USD 559999.83 0.154830279939 Long ABS-MBS CORP US N 2 2048-10-10 Variable 3.466 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25 N/A 61765TAM5 854000 PA USD 738330.99 0.204135765308 Long ABS-MBS CORP US N 2 2048-10-15 Variable 4.523 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C31 N/A 94989WAZ0 711000 PA USD 620154.89 0.171462114951 Long ABS-MBS CORP US N 2 2048-11-15 Variable 4.595 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C31 N/A 94989WBB2 491000 PA USD 367299.18 0.101551878794 Long ABS-MBS CORP US N 2 2048-11-15 Fixed 3.852 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 549300ZJL46M82UL2Z22 94989QBA7 2119000 PA USD 1844521.69 0.509978386272 Long ABS-MBS CORP US N 2 2048-09-15 Variable 4.453 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19 N/A 17322AAM4 2130000 PA USD 1962928.55 0.542715837782 Long ABS-MBS CORP US N 2 2047-03-11 Variable 5.087 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2015-UBS8 N/A 61691ABP7 2528000 PA USD 2184657.15 0.604019965693 Long ABS-MBS CORP US N 2 2048-12-15 Variable 4.315 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P3 N/A 29429CAG0 1630000 PA USD 1452807.59 0.401676203825 Long ABS-MBS CORP US N 2 2049-04-15 Variable 4.271 N N N N N N JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C2 N/A 46590LAE2 1101000 PA USD 649938.8 0.179696851599 Long ABS-MBS CORP US N 2 2049-06-15 Variable 3.329 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS5 549300SGFUCMB43V8P22 95000CBJ1 781000 PA USD 567232.41 0.156829963378 Long ABS-MBS CORP US N 2 2059-01-15 Variable 4.98 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33 549300JPCJUA5JJLRW54 95000LAJ2 2533000 PA USD 1979379.92 0.547264357418 Long ABS-MBS CORP US N 2 2059-03-15 Fixed 3.123 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2016-BNK2 N/A 61690YBZ4 1682000 PA USD 1277219.64 0.353129168637 Long ABS-MBS CORP US N 2 2049-11-15 Variable 3.886 N N N N N N COMM 2016-COR1 MORTGAGE TRUST N/A 12594MAL2 1501500 PA USD 1088287.2 0.300892612467 Long ABS-MBS CORP US N 2 2049-10-10 Variable 3.328 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16 549300PX4QZK7CUM8D08 94988XAC0 777000 PA USD 73871.49 0.020424190979 Long ABS-MBS CORP US N 2 2050-08-15 Fixed 3.938 N N N N N N CD 2017-CD3 MORTGAGE TRUST N/A 12515GAG2 888000 PA USD 688862.27 0.190458518717 Long ABS-MBS CORP US N 2 2050-02-10 Variable 3.984 N N N N N N CD 2017-CD3 MORTGAGE TRUST N/A 12515GAH0 615000 PA USD 382715.61 0.105814255396 Long ABS-MBS CORP US N 2 2050-02-10 Variable 4.546 N N N N N N CD 2017-CD3 MORTGAGE TRUST N/A 12515GAM9 686000 PA USD 311777.53 0.086201101612 Long ABS-MBS CORP US N 2 2050-02-10 Fixed 3.25 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14 N/A 46640LAS1 402000 PA USD 42534.74 0.011760120894 Long ABS-MBS CORP US N 2 2046-08-15 Variable 3.598 N N N N N N JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C5 N/A 46590TAL9 566000 PA USD 401805.66 0.111092324472 Long ABS-MBS CORP US N 2 2050-03-15 Variable 4.512 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-RB1 N/A 95000TAC0 2367000 PA USD 1427845.41 0.394774592235 Long ABS-MBS CORP US N 2 2050-03-15 Fixed 3.401 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P7 N/A 17325HBT0 373000 PA USD 282213.44 0.078027141397 Long ABS-MBS CORP US N 2 2050-04-14 Variable 4.405 N N N N N N GS MORTGAGE SECURITIES TRUST 2017-GS5 N/A 36252HAL5 3043000 PA USD 1867577.04 0.516352792305 Long ABS-MBS CORP US N 2 2050-03-10 Variable 3.509 N N N N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7 N/A 465968AM7 388000 PA USD 262823.05 0.072666033498 Long ABS-MBS CORP US N 2 2050-09-15 Variable 4.382 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2011-C3 N/A 61760RAS1 753000 PA USD 387487.63 0.107133636497 Long ABS-MBS CORP US N 2 2049-07-15 Variable 5.086 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2017-C3 N/A 90276GAY8 1796000 PA USD 1453951.8 0.401992558126 Long ABS-MBS CORP US N 2 2050-08-15 Variable 4.389 N N N N N N COMM 2017-COR2 MORTGAGE TRUST N/A 12595EAN5 1656000 PA USD 1126080 0.311341668860 Long ABS-MBS CORP US N 2 2050-09-10 Fixed 3 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2006-HQ10 549300T7A7LUR8384661 61750HAH9 24031.56 PA USD 20248.99 0.005598495968 Long ABS-MBS CORP US N 2 2041-11-12 Variable 5.448 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP9 N/A 46629PAQ1 585193.84 PA USD 552466.11 0.152747336491 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 5.337 N N N N N N CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2008-C1 N/A 22546NAH7 63742.27 PA USD 17847.84 0.004934619469 Long ABS-MBS CORP US N 2 2041-02-15 Variable 5.816 N N N N N N GS MORTGAGE SECURITIES TRUST 2010-C1 N/A 36249KAL4 397000 PA USD 314060.39 0.086832272969 Long ABS-MBS CORP US N 2 2043-08-10 Variable 6.357 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3 N/A 46635TBA9 450000 PA USD 314012.93 0.086819151099 Long ABS-MBS CORP US N 2 2046-02-15 Variable 5.526 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3 N/A 46635TBD3 242000 PA USD 98746.41 0.027301676687 Long ABS-MBS CORP US N 2 2046-02-15 Variable 5.526 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4 N/A 92936CAY5 806022 PA USD 594166.69 0.164276826554 Long ABS-MBS CORP US N 2 2044-06-15 Variable 4.846 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2012-C4 5493005SNWQW3UUOQX45 61760VAE3 770490.89 PA USD 708851.62 0.195985228709 Long ABS-MBS CORP US N 2 2045-03-15 Variable 5.164 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2012-C4 5493005SNWQW3UUOQX45 61760VAF0 392000 PA USD 282514.4 0.078110351638 Long ABS-MBS CORP US N 2 2045-03-15 Variable 5.164 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2 N/A 90269CAT7 24000 PA USD 239.93 0.000066336501 Long ABS-MBS CORP US N 2 2063-05-10 Variable 4.701 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6 N/A 61761DAH5 1385433.67 PA USD 1279833.14 0.353851756243 Long ABS-MBS CORP US N 2 2045-11-15 Variable 4.536 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6 N/A 61761DAS1 1303000 PA USD 919388.72 0.254195100185 Long ABS-MBS CORP US N 2 2045-11-15 Variable 4.522 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 N/A 92930RAJ1 81591.35 PA USD 75221.33 0.020797398423 Long ABS-MBS CORP US N 2 2045-11-15 Variable 4.719 N N N N N N COMM 2012-CCRE4 MORTGAGE TRUST N/A 12624QBA0 2345000 PA USD 1418797.93 0.392273120295 Long ABS-MBS CORP US N 2 2045-10-15 Fixed 3.703 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10 N/A 92890NAE9 406000 PA USD 242990.43 0.067182656644 Long ABS-MBS CORP US N 2 2045-12-15 Variable 4.392 N N N N N N GS MORTGAGE SECURITIES TRUST 2013-GC10 N/A 36192CAQ8 471000 PA USD 389668.66 0.107736653619 Long ABS-MBS CORP US N 2 2046-02-10 Variable 4.537 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10 N/A 92890NAW9 454270.17 PA USD 430524.56 0.119032604252 Long ABS-MBS CORP US N 2 2045-12-15 Fixed 3.241 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2013-C11 N/A 92937EAJ3 2068000 PA USD 1426799.44 0.394485399597 Long ABS-MBS CORP US N 2 2045-03-15 Variable 3.977 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C10 N/A 46639JAK6 1101000 PA USD 1029138.39 0.284538988198 Long ABS-MBS CORP US N 2 2047-12-15 Variable 4.093 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9 549300PFVBG5704L7K74 61762DAG6 2027000 PA USD 1667339.86 0.460990670795 Long ABS-MBS CORP US N 2 2046-05-15 Variable 3.903 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9 549300PFVBG5704L7K74 61762DAZ4 1700000 PA USD 1524822.14 0.421586982970 Long ABS-MBS CORP US N 2 2046-05-15 Variable 3.708 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9 549300PFVBG5704L7K74 61762DBB6 269000 PA USD 219025.56 0.060556784041 Long ABS-MBS CORP US N 2 2046-05-15 Variable 3.815 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11 N/A 46639YAX5 740000 PA USD 485888.14 0.134339677809 Long ABS-MBS CORP US N 2 2046-04-15 Variable 4.139 N N N N N N COMM 2013-CCRE7 MORTGAGE TRUST 549300FVY7JUBJ0PIH53 12625FBA3 1192208.51 PA USD 1072987.66 0.296662553931 Long ABS-MBS CORP US N 2 2046-03-10 Variable 4.26 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12 N/A 46639NAV3 438000 PA USD 423761.98 0.117162867694 Long ABS-MBS CORP US N 2 2045-07-15 Variable 4.048 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11 N/A 61762TAN6 932000 PA USD 49245.39 0.013615499704 Long ABS-MBS CORP US N 2 2046-08-15 Variable 4.351 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2013-C15 5493003CHVRASC16O965 92938CAL1 1324000 PA USD 333366.39 0.092170048491 Long ABS-MBS CORP US N 2 2046-08-15 Variable 4.501 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12 549300V2DF3KW9L1CV04 94988QAU5 381000 PA USD 136158.24 0.037645401455 Long ABS-MBS CORP US N 2 2046-07-15 Variable 4.254 N N N N N N GS MORTGAGE SECURITIES TRUST 2013-GC13 549300WF5YRKNHB1FX69 36198EBB0 739000 PA USD 321827.55 0.088979758545 Long ABS-MBS CORP US N 2 2046-07-10 Variable 4.007 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC15 N/A 17321JAH7 598000 PA USD 586242.12 0.162085819832 Long ABS-MBS CORP US N 2 2046-09-10 Variable 5.154 N N N N N N COMM 2013-CCRE12 MORTGAGE TRUST 549300MGZ5FI5VFL1177 12591KAG0 1542000 PA USD 1342459.34 0.371166818780 Long ABS-MBS CORP US N 2 2046-10-10 Fixed 4.3 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1 N/A 92938JAN2 883000 PA USD 842864.91 0.233037588540 Long ABS-MBS CORP US N 2 2046-03-15 Variable 5.024 N N N N N N COMM 2013-CCRE13 MORTGAGE TRUST N/A 12630BAE8 1860000 PA USD 1556192.06 0.430260223987 Long ABS-MBS CORP US N 2 2046-11-10 Variable 4.874 N N N N N N COMM 2013-CCRE13 MORTGAGE TRUST N/A 12630BBF4 656000 PA USD 625583.58 0.172963053965 Long ABS-MBS CORP US N 2 2046-11-10 Variable 4.874 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C17 N/A 46640UAN2 1500000 PA USD 1321081.95 0.365256339704 Long ABS-MBS CORP US N 2 2047-01-15 Variable 4.883 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC17 N/A 17321RAM8 1780298 PA USD 1567244.93 0.433316151622 Long ABS-MBS CORP US N 2 2046-11-10 Variable 5.11 N N N N N N READY CAPITAL MORTGAGE FINANCING 2020-FL4 LLC N/A 75575JAG0 1468000 PA USD 1416771.94 0.391712969055 Long ABS-MBS CORP US N 2 2035-02-25 Floating 9.888 N N N N N N BWAY 2022-26BW MORTGAGE TRUST N/A 12429EAN7 580000 PA USD 359181.24 0.099307408608 Long ABS-MBS CORP US N 2 2044-02-10 Variable 4.866 N N N N N N PFP 2021-8 LTD N/A 69357XAA9 871131.63 PA USD 847199.03 0.234235897855 Long ABS-MBS CORP KY N 2 2037-08-09 Floating 6.105 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27 N/A 17323CAM9 817000 PA USD 702132.33 0.194127461089 Long ABS-MBS CORP US N 2 2048-02-10 Variable 4.419 N N N N N N CSAIL 2015-C2 COMMERCIAL MORTGAGE TRUST 549300D5DIOOMKWXVZ20 12634NBA5 1355000 PA USD 816896.98 0.225857904447 Long ABS-MBS CORP US N 2 2057-06-15 Variable 4.176 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK N/A 35563GAB5 2059000 PA USD 1832455.85 0.506642389929 Long ABS-MBS CORP US N 2 2051-11-25 Floating 8.973 N N N N N N CSAIL 2015-C2 COMMERCIAL MORTGAGE TRUST 549300D5DIOOMKWXVZ20 12634NAZ1 1299000 PA USD 1061130.89 0.293384361832 Long ABS-MBS CORP US N 2 2057-06-15 Variable 4.176 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19 N/A 61764PBZ4 787000 PA USD 709387.4 0.196133362625 Long ABS-MBS CORP US N 2 2047-12-15 Fixed 4 N N N N N N CSMC 2022-NWPT N/A 12663MAA2 1041000 PA USD 1038770.18 0.287202011760 Long ABS-MBS CORP US N 2 2024-09-09 Floating 8.202 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2015-MS1 N/A 61765DAZ1 1181000 PA USD 1038147.42 0.287029829378 Long ABS-MBS CORP US N 2 2048-05-15 Variable 4.024 N N N N N N COMM 2015-LC19 MORTGAGE TRUST N/A 200474AG9 1070000 PA USD 821225.96 0.227054792641 Long ABS-MBS CORP US N 2 2048-02-10 Variable 4.214 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C24 N/A 61765LAE0 677000 PA USD 503159.94 0.139115032167 Long ABS-MBS CORP US N 2 2048-05-15 Variable 4.325 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27 N/A 17323CAS6 2047000 PA USD 1500623.15 0.414896380231 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9 549300PFVBG5704L7K74 61762DAL5 1500000 PA USD 729750 0.201763269795 Long ABS-MBS CORP US N 2 2046-05-15 Variable 3.903 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2017-C34 N/A 61767EAK0 691000 PA USD 565665.8 0.156396822774 Long ABS-MBS CORP US N 2 2052-11-15 Variable 4.168 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2017-C34 N/A 61767EAU8 663000 PA USD 386070.87 0.106741926829 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 2.7 N N N N N N BENCHMARK 2018-B1 MORTGAGE TRUST N/A 08162PAG6 2021000 PA USD 1255644.27 0.347163951510 Long ABS-MBS CORP US N 2 2051-01-15 Fixed 2.75 N N N N N N BENCHMARK 2018-B1 MORTGAGE TRUST N/A 08162PBB6 560000 PA USD 434848.12 0.120227993909 Long ABS-MBS CORP US N 2 2051-01-15 Variable 4.189 N N N N N N BENCHMARK 2018-B3 MORTGAGE TRUST N/A 08161BAA1 2459000 PA USD 1534677.88 0.424311924838 Long ABS-MBS CORP US N 2 2051-04-10 Variable 3.026 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10 549300P1YQ48837ZOI22 61762MBG5 1286000 PA USD 176116.54 0.048693181193 Long ABS-MBS CORP US N 2 2046-07-15 Variable 4.047 N N N N N N BANK 2018-BNK11 N/A 06540TAP5 609000 PA USD 349293.11 0.096573511463 Long ABS-MBS CORP US N 2 2061-03-15 Fixed 3 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2018-C11 N/A 90276XAC9 2527000 PA USD 1505823.89 0.416334295007 Long ABS-MBS CORP US N 2 2051-06-15 Variable 3 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2018-C11 N/A 90276XBA2 641000 PA USD 508605.04 0.140620508262 Long ABS-MBS CORP US N 2 2051-06-15 Variable 4.873 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C31 N/A 94989WAD9 783000 PA USD 476996.63 0.131881328880 Long ABS-MBS CORP US N 2 2048-11-15 Variable 4.595 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2018-H3 N/A 61767YBE9 1174000 PA USD 969678.21 0.268099275503 Long ABS-MBS CORP US N 2 2051-07-15 Variable 4.862 N N N N N N GS MORTGAGE SECURITIES TRUST 2014-GC24 N/A 36253GAS1 2089000 PA USD 954700.57 0.263958216757 Long ABS-MBS CORP US N 2 2047-09-10 Variable 4.525 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2018-L1 N/A 61691QAN8 2079000 PA USD 1392493.41 0.385000374881 Long ABS-MBS CORP US N 2 2051-10-15 Fixed 3 N N N N N N CSAIL 2018-C14 COMMERCIAL MORTGAGE TRUST N/A 12596GAG4 1765000 PA USD 1149960.33 0.317944167612 Long ABS-MBS CORP US N 2 2051-11-15 Variable 4.901 N N N N N N GS MORTGAGE SECURITIES TRUST 2019-GC38 N/A 36252SAA5 439000 PA USD 281076.42 0.077712775007 Long ABS-MBS CORP US N 2 2052-02-10 Fixed 3 N N N N N N COMM 2014-CCRE17 MORTGAGE TRUST N/A 12631DAJ2 1366000 PA USD 912884.14 0.252396696170 Long ABS-MBS CORP US N 2 2047-05-10 Variable 4.844 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C50 N/A 95001XAJ5 375000 PA USD 215424.19 0.059561067444 Long ABS-MBS CORP US N 2 2052-05-15 Fixed 3 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27 N/A 17323CAN7 631000 PA USD 499578.6 0.138124853519 Long ABS-MBS CORP US N 2 2048-02-10 Variable 4.419 N N N N N N BENCHMARK 2019-B11 MORTGAGE TRUST N/A 08162BAJ1 963000 PA USD 613189.29 0.169536246870 Long ABS-MBS CORP US N 2 2052-05-15 Fixed 3 N N N N N N BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C3 N/A 05550MAC8 1145000 PA USD 727762 0.201213622134 Long ABS-MBS CORP US N 2 2052-05-15 Fixed 3 N N N N N N CD 2019-CD8 MORTGAGE TRUST N/A 12515BAR9 507000 PA USD 317027.1 0.087652517040 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 3 N N N N N N BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C4 N/A 07335CAV6 638000 PA USD 375722.03 0.103880651328 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 3.25 N N N N N N BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C4 N/A 07335CAT1 771000 PA USD 483866.49 0.133780726504 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 3.25 N N N N N N CSAIL 2019-C17 COMMERCIAL MORTGAGE TRUST N/A 12597BAC3 594000 PA USD 321517.77 0.088894109726 Long ABS-MBS CORP US N 2 2052-09-15 Fixed 2.5 N N N N N N MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01 549300HG8ZEWVWVSN227 62547NAB5 1362937.07 PA USD 1296135.16 0.358358983183 Long ABS-MBS CORP US N 2 2049-10-25 Floating 8.388 N N N N N N BENCHMARK 2019-B13 MORTGAGE TRUST N/A 08162DAR9 1998000 PA USD 1176562.26 0.325299141754 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 2.5 N N N N N N CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF2 N/A 12528YAT0 313000 PA USD 181227.44 0.050106256760 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 2.5 N N N N N N BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C5 N/A 05492JAC6 1628000 PA USD 931220.56 0.257466399569 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 2.5 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C54 N/A 95001YAN4 311000 PA USD 174133.94 0.048145026539 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 2.5 N N N N N N COMM 2013-LC6 MORTGAGE TRUST N/A 20048EAG6 460000 PA USD 363400 0.100473822876 Long ABS-MBS CORP US N 2 2046-01-10 Fixed 3.5 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK N/A 35563FAB7 1364000 PA USD 1226147.34 0.339008559875 Long ABS-MBS CORP US N 2 2051-01-25 Floating 8.723 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC31 N/A 17323YAJ8 1541000 PA USD 1226525.05 0.339112990166 Long ABS-MBS CORP US N 2 2048-06-10 Variable 4.036 N N N N N N COMM 2014-UBS4 MORTGAGE TRUST 5493004GWEVMOU8S3L34 12591QAW2 324000 PA USD 261149.09 0.072203212473 Long ABS-MBS CORP US N 2 2047-08-10 Variable 4.649 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17 N/A 61763UAE2 2144500 PA USD 1753929.29 0.484931152503 Long ABS-MBS CORP US N 2 2047-08-15 Variable 4.727 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22 N/A 46642NBJ4 399000 PA USD 369098.1 0.102049249100 Long ABS-MBS CORP US N 2 2047-09-15 Variable 4.547 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22 N/A 46642NBK1 354000 PA USD 292740.3 0.080937636353 Long ABS-MBS CORP US N 2 2047-09-15 Variable 4.547 N N N N N N COMM 2014-CCRE19 MORTGAGE TRUST N/A 12592GAG8 452000 PA USD 386374.84 0.106825969284 Long ABS-MBS CORP US N 2 2047-08-10 Variable 4.697 N N N N N N COMM 2014-UBS6 MORTGAGE TRUST N/A 12592PBL6 334000 PA USD 288425.83 0.079744759923 Long ABS-MBS CORP US N 2 2047-12-10 Variable 4.435 N N N N N N COMM 2014-UBS3 MORTGAGE TRUST N/A 12591YBH7 301000 PA USD 278692.68 0.077053712072 Long ABS-MBS CORP US N 2 2047-06-10 Variable 4.734 N N N N N N COMM 2015-LC19 MORTGAGE TRUST N/A 200474AE4 2593000 PA USD 2213060.68 0.611873051115 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 2.867 N N N N N N COMM 2015-DC1 MORTGAGE TRUST N/A 12629NAJ4 1263000 PA USD 1129619.24 0.312320207586 Long ABS-MBS CORP US N 2 2048-02-10 Variable 4.035 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19 N/A 61764PAN2 574000 PA USD 454223.99 0.125585087279 Long ABS-MBS CORP US N 2 2047-12-15 Fixed 3.25 N N N N N N CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2 N/A 12527DAH3 100000 PA USD 45068.6 0.012460689416 Long ABS-MBS CORP US N 2 2047-12-15 Variable 5.25 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C12 N/A 61762XAE7 405000 PA USD 307198.94 0.084935200564 Long ABS-MBS CORP US N 2 2046-10-15 Variable 4.938 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C23 N/A 61690QAH2 500000 PA USD 448800 0.124085447734 Long ABS-MBS CORP US N 2 2050-07-15 Variable 4.139 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C23 N/A 61690QAS8 1242000 PA USD 1023425.26 0.282959406438 Long ABS-MBS CORP US N 2 2050-07-15 Variable 4.139 N N N N N N CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST 549300ZAGI6FKGY8O078 12635FAZ7 1168000 PA USD 917872.68 0.253775941312 Long ABS-MBS CORP US N 2 2048-08-15 Variable 4.355 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30 N/A 94989NAL1 1040000 PA USD 817818.66 0.226112733047 Long ABS-MBS CORP US N 2 2058-09-15 Variable 4.498 N N N N N N FREDDIE MAC STACR TRUST 2019-FTR1 549300MHCI0CUXMJQS62 35564PAC2 3300000 PA USD 3547500 0.980822472898 Long ABS-CBDO CORP US N 2 2048-01-25 Floating 13.488 N N N N N N FREDDIE MAC STACR REMIC TRUST 2021-DNA1 5493000IT1PBTE7DAT80 35564KBE8 1100000 PA USD 958375 0.264974133182 Long ABS-CBDO CORP US N 2 2051-01-25 Floating 9.723 N N N N N N FREDDIE MAC STACR TRUST 2019-HQA3 549300EUJICRX5L38Y52 35564XBE0 1000000 PA USD 1038750 0.287196432339 Long ABS-CBDO CORP US N 2 2049-09-25 Floating 12.638 N N N N N N FREDDIE MAC STACR REMIC TRUST 2020-HQA1 549300TCRXCIFPAC3B85 35565JBE0 800000 PA USD 740000 0.204597217743 Long ABS-CBDO CORP US N 2 2050-01-25 Floating 10.238 N N N N N N LHOME MORTGAGE TRUST 2021-RTL1 N/A 501894AA7 191167.81 PA USD 184476.94 0.051004687381 Long ABS-CBDO CORP US N 2 2026-02-25 Variable 2.09 N N N N N N FREDDIE MAC STACR REMIC TRUST 2020-HQA2 5493000ITBJ4KEFYWF83 35565LBE5 3000000 PA USD 3069721.5 0.848724970469 Long ABS-CBDO CORP US N 2 2050-03-25 Floating 12.738 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2022-R02 N/A 20754BAF8 2146000 PA USD 2080278.75 0.575161141055 Long ABS-CBDO CORP US N 2 2042-01-25 Floating 9.473 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2022-R02 N/A 20754BAB7 677000 PA USD 666845 0.184371123873 Long ABS-CBDO CORP US N 2 2042-01-25 Floating 7.973 N N N N N N FREDDIE MAC STACR REMIC TRUST 2022-HQA1 5493000IRODEKU3J3Q16 35564KTJ8 2759000 PA USD 2786590 0.770444001340 Long ABS-CBDO CORP US N 2 2042-03-25 Floating 10.223 N N N N N N FREDDIE MAC STACR REMIC TRUST 2022-HQA1 5493000IRODEKU3J3Q16 35564KUL1 2600000 PA USD 2520375 0.696840152257 Long ABS-CBDO CORP US N 2 2042-03-25 Floating 15.973 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2022-R04 N/A 20753YAF9 500000 PA USD 511650 0.141462387106 Long ABS-CBDO CORP US N 2 2042-03-25 Floating 10.223 N N N N N N FREDDIE MAC STACR REMIC TRUST 2022-DNA3 5493000IS4M3TZMRB410 35564KVE6 1940000 PA USD 1959400 0.541740254657 Long ABS-CBDO CORP US N 2 2042-04-25 Floating 9.323 N N N N N N HOME RE 2022-1 LTD N/A 43730GAE1 900000 PA USD 899968.5 0.248825744806 Long ABS-CBDO CORP BM N 2 2034-10-25 Floating 13.973 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2022-R05 N/A 20754DAF4 2540000 PA USD 2524309.91 0.697928086903 Long ABS-CBDO CORP US N 2 2042-04-25 Floating 9.473 N N N N N N NEWREZ WAREHOUSE SECURITIZATION TRUST 2021-1 N/A 65246PAF8 1083333.34 PA USD 1069233.76 0.295624665423 Long ABS-CBDO CORP US N 2 2024-05-07 Floating 10.388 N N N N N N FREDDIE MAC STACR REMIC TRUST 2022-DNA4 5493000IS4CDPWRMWB65 35564KXA2 2000000 PA USD 2089637.4 0.577748646125 Long ABS-CBDO CORP US N 2 2042-05-25 Floating 10.223 N N N N N N IMPERIAL FUND MORTGAGE TRUST 2022-NQM4 N/A 45276NAC5 1329857.92 PA USD 1243183.1 0.343718653251 Long ABS-CBDO CORP US N 2 2067-06-25 Variable 5.04 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2022-R06 N/A 20754NAR6 500000 PA USD 518750 0.143425414465 Long ABS-CBDO CORP US N 2 2042-05-25 Floating 15.573 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES S6XOOCT0IEG5ABCC6L87 35564KYW3 1471000 PA USD 1610583.34 0.445298473389 Long ABS-CBDO CORP US N 2 2042-06-25 Floating 11.723 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES S6XOOCT0IEG5ABCC6L87 35564KB32 800000 PA USD 820076.72 0.226737047633 Long ABS-CBDO CORP US N 2 2042-07-25 Floating 8.973 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2022-R09 N/A 20753DAF5 500000 PA USD 523610.1 0.144769148165 Long ABS-CBDO CORP US N 2 2042-09-25 Floating 11.731 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2022-R09 N/A 20753DAB4 1000000 PA USD 1041250.4 0.287887749749 Long ABS-CBDO CORP US N 2 2042-09-25 Floating 9.731 N N N N N N CSMC 2020-RPL2 TRUST N/A 22946BAP1 1902022.12 PA USD 1906827.01 0.527204731032 Long ABS-CBDO CORP US N 2 2060-02-25 Variable 3.482 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2023-R03 N/A 20753ACF9 850000 PA USD 865980 0.239428511651 Long ABS-CBDO CORP US N 2 2043-04-25 Floating 11.323 N N N N N N GSR MORTGAGE LOAN TRUST 2007-OA1 N/A 3622NAAE0 316720.53 PA USD 229208.94 0.063372312711 Long ABS-CBDO CORP US N 2 2037-05-25 Floating 5.448 N N N N N N MORGAN STANLEY RE-REMIC TRUST 2010-R4 N/A 61759FAU5 223166.03 PA USD 184638.16 0.051049261926 Long ABS-CBDO CORP US N 2 2037-02-26 Floating 2.702 N N N N N N FREDDIE MAC STACR TRUST 2019-DNA2 549300Y6KOVOWQ8OJC33 35564LBD8 677000 PA USD 722104.99 0.199649556585 Long ABS-CBDO CORP US N 2 2049-03-25 Floating 9.488 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2019-R03 N/A 20753MAE8 1291000 PA USD 1349616.69 0.373145702424 Long ABS-CBDO CORP US N 2 2031-09-25 Floating 9.238 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2 N/A 35563PKR9 244000 PA USD 216015.15 0.059724457676 Long ABS-CBDO CORP US N 2 2058-08-25 Variable 4.75 N N N N N N ALTERNATIVE LOAN TRUST 2006-OA19 N/A 12668RAA6 238311.44 PA USD 184854.11 0.051108968371 Long ABS-CBDO CORP US N 2 2047-02-20 Floating 5.328 N N N N N N OAKTOWN RE III LTD 2549008N2FD0KB1Y5E03 67400KAD2 159000 PA USD 158058.18 0.043700356581 Long ABS-CBDO CORP BM N 2 2029-07-25 Floating 8.638 N N N N N N OAKTOWN RE III LTD 2549008N2FD0KB1Y5E03 67400KAE0 191000 PA USD 193911.58 0.053613202373 Long ABS-CBDO CORP BM N 2 2029-07-25 Floating 9.488 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711XWW0 284000 PA USD 307458.97 0.085007094368 Long ABS-CBDO CORP US N 2 2030-05-25 Floating 9.588 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2019-R01 N/A 20754FAL6 862000 PA USD 907255 0.250840336194 Long ABS-CBDO CORP US N 2 2031-07-25 Floating 9.488 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711XR30 180000 PA USD 195276.26 0.053990512821 Long ABS-CBDO CORP US N 2 2030-12-25 Floating 9.638 N N N N N N FREDDIE MAC STACR TRUST 2019-HQA3 549300EUJICRX5L38Y52 35564XBD2 500000 PA USD 502272.05 0.138869545919 Long ABS-CBDO CORP US N 2 2049-09-25 Floating 8.138 N N N N N N FREDDIE MAC STACR TRUST 2019-DNA1 5493007222WHFWMBOC78 35563KBE9 439000 PA USD 507036.66 0.140186878284 Long ABS-CBDO CORP US N 2 2049-01-25 Floating 15.888 N N N N N N FREDDIE MAC STACR TRUST 2019-DNA2 549300Y6KOVOWQ8OJC33 35564LBE6 755000 PA USD 870629.61 0.240714048501 Long ABS-CBDO CORP US N 2 2049-03-25 Floating 15.638 N N N N N N STACR TRUST 2018-DNA3 549300BL200YC56BUV20 35563WBE3 818000 PA USD 860514.98 0.237917528020 Long ABS-CBDO CORP US N 2 2048-09-25 Floating 12.888 N N N N N N FREDDIE MAC STACR TRUST 2018-HQA2 5493005RUXPCBST1N217 35563XBE1 1728000 PA USD 2037385.44 0.563301881750 Long ABS-CBDO CORP US N 2 2048-10-25 Floating 16.138 N N N N N N FREDDIE MAC STACR TRUST 2019-HQA1 54930047IR7X5WWFY307 35563MBE5 2642000 PA USD 3122423.39 0.863296132717 Long ABS-CBDO CORP US N 2 2049-02-25 Floating 17.388 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711XDY7 1555841.48 PA USD 1649607.85 0.456088076321 Long ABS-CBDO CORP US N 2 2029-04-25 Floating 14.388 N N N N N N FREDDIE MAC STACR TRUST 2019-HQA1 54930047IR7X5WWFY307 35563MBD7 2950000 PA USD 3112081.26 0.860436712415 Long ABS-CBDO CORP US N 2 2049-02-25 Floating 9.538 N N N N N N FREDDIE MAC STACR TRUST 2019-HQA2 549300NKHCH87PYOHD44 35564MBD6 2518000 PA USD 2621575.16 0.724820248434 Long ABS-CBDO CORP US N 2 2049-04-25 Floating 9.238 N N N N N N EAGLE RE N/A 26982LAH3 404000 PA USD 393054.67 0.108672826896 Long ABS-CBDO CORP US N 2 2030-01-25 Floating 7.988 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1 N/A 35563PES4 910051.46 PA USD 839544.4 0.232119524881 Long ABS-CBDO CORP US N 2 2057-05-25 Variable 4.75 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2017-3 N/A 35563PCF4 400000 PA USD 365882.32 0.101160141478 Long ABS-CBDO CORP US N 2 2056-07-25 Variable 4.75 N N N N N N FREDDIE MAC STACR REMIC TRUST 2020-HQA2 5493000ITBJ4KEFYWF83 35565LAH9 767552.55 PA USD 784846.51 0.216996503110 Long ABS-CBDO CORP US N 2 2050-03-25 Floating 8.238 N N N N N N ARROYO MORTGAGE TRUST 2020-1 N/A 04285CAD3 442000 PA USD 381822.72 0.105567386734 Long ABS-CBDO CORP US N 2 2055-03-25 Fixed 4.277 N N N N N N FREDDIE MAC STACR REMIC TRUST 2020-DNA3 5493000ITGOA1OPGRQ72 35565WBE1 750000 PA USD 869531.25 0.240410370934 Long ABS-CBDO CORP US N 2 2050-06-25 Floating 14.488 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES N/A 12659LAD4 392000 PA USD 341453.21 0.094405914535 Long ABS-CBDO CORP US N 2 2065-04-25 Variable 3.388 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711XEJ9 597534.53 PA USD 627374.27 0.173458148819 Long ABS-CBDO CORP US N 2 2029-05-25 Floating 14.638 N N N N N N FREDDIE MAC STACR REMIC TRUST 2020-HQA2 5493000ITBJ4KEFYWF83 35565LBD7 2544000 PA USD 2625134.27 0.725804280871 Long ABS-CBDO CORP US N 2 2050-03-25 Floating 9.238 N N N N N N FREDDIE MAC STACR REMIC TRUST 2020-DNA5 5493000ITF7RKPWPZQ19 35566ABD0 1976000 PA USD 2114320 0.584572958674 Long ABS-CBDO CORP US N 2 2050-10-25 Floating 9.773 N N N N N N FREDDIE MAC STACR REMIC TRUST 2020-HQA3 5493000ITAM9GTFUKP51 35565MBD5 2462812.16 PA USD 2643520.26 0.730887689519 Long ABS-CBDO CORP US N 2 2050-07-25 Floating 10.888 N N N N N N MORTGAGEIT TRUST 2005-3 N/A 61915RAQ9 7566.8 PA USD 6954.77 0.001922873773 Long ABS-CBDO CORP US N 2 2035-08-25 Floating 6.083 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES S6XOOCT0IEG5ABCC6L87 3137G0FZ7 1271155.42 PA USD 1316465.5 0.363979971020 Long ABS-CBDO CORP US N 2 2027-12-25 Floating 12.688 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES S6XOOCT0IEG5ABCC6L87 3137G0GZ6 294991.76 PA USD 317539.87 0.087794289087 Long ABS-CBDO CORP US N 2 2028-04-25 Floating 14.488 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES S6XOOCT0IEG5ABCC6L87 3137G0HM4 248412.18 PA USD 269792.07 0.074592847150 Long ABS-CBDO CORP US N 2 2028-05-25 Floating 15.638 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES S6XOOCT0IEG5ABCC6L87 3137G0GM5 368998.75 PA USD 381023.57 0.105346435563 Long ABS-CBDO CORP US N 2 2028-03-25 Floating 13.938 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES S6XOOCT0IEG5ABCC6L87 3137G0HZ5 246251.93 PA USD 272933.06 0.075461276630 Long ABS-CBDO CORP US N 2 2028-07-25 Floating 15.138 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711XBQ6 26578.78 PA USD 29773.72 0.008231919289 Long ABS-CBDO CORP US N 2 2028-08-25 Floating 16.888 N N N N N N INDYMAC INDX MORTGAGE LOAN TRUST 2006-AR11 N/A 45661KAD2 23956.84 PA USD 21707.14 0.006001649256 Long ABS-CBDO CORP US N 2 2036-06-25 Variable 3.718 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711XCR3 111099.5 PA USD 125588.93 0.034723169807 Long ABS-CBDO CORP US N 2 2028-10-25 Floating 16.888 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711XCY8 814365.9 PA USD 928599.45 0.256741707930 Long ABS-CBDO CORP US N 2 2028-10-25 Floating 17.888 N N N N N N STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2007-AR1 N/A 86362XAP3 26878.85 PA USD 23088.14 0.006383471901 Long ABS-CBDO CORP US N 2 2037-01-25 Floating 5.318 N N N N N N STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7 N/A 86361HAB0 157003.47 PA USD 130018.45 0.035947855575 Long ABS-CBDO CORP US N 2 2036-08-25 Floating 5.258 N N N N N N STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7 N/A 86361HAA2 52212.42 PA USD 40203.56 0.011115589891 Long ABS-CBDO CORP US N 2 2036-08-25 Floating 5.558 N N N N N N BEAR STEARNS ALT-A TRUST 2005-8 N/A 07386HWZ0 306890.57 PA USD 251554.21 0.069550393889 Long ABS-CBDO CORP US N 2 2035-10-25 Variable 4.112 N N N N N N AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1 N/A 026932AC7 1469220.77 PA USD 783316.82 0.216573570248 Long ABS-CBDO CORP US N 2 2047-05-25 Floating 5.328 N N N N N N BEAR STEARNS MORTGAGE FUNDING TRUST 2006-AR2 N/A 07401AAX5 59984.53 PA USD 40801.6 0.011280937621 Long ABS-CBDO CORP US N 2 2046-09-25 Floating 5.598 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVR9 170714.08 PA USD 138705.19 0.038349589136 Long ABS-CBDO CORP US N 2 2035-09-25 Variable 4.175 N N N N N N ALTERNATIVE LOAN TRUST 2006-OA10 N/A 02146QAB9 72920.47 PA USD 61169.97 0.016912440097 Long ABS-CBDO CORP US N 2 2046-08-25 Floating 5.518 N N N N N N CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-4 5493000OPBL8EFF3O717 16678XAB0 873937.5 PA USD 722211.55 0.199679018584 Long ABS-CBDO CORP US N 2 2047-11-25 Floating 5.318 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711XLU6 1814000 PA USD 1980901.61 0.547685078418 Long ABS-CBDO CORP US N 2 2029-11-25 Floating 10.188 N N N N N N JP MORGAN ALTERNATIVE LOAN TRUST 2007-A2 N/A 466278AC2 156314.18 PA USD 63374.41 0.017521929679 Long ABS-CBDO CORP US N 2 2037-06-25 Floating 5.538 N N N N N N ALTERNATIVE LOAN TRUST 2006-OA10 N/A 02146QAC7 198633.35 PA USD 169500.33 0.046863913412 Long ABS-CBDO CORP US N 2 2046-08-25 Floating 5.518 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HYW5 107096.35 PA USD 129903 0.035915935644 Long ABS-CBDO CORP US N 2 2036-01-25 Floating 5.638 N N N N N N ALTERNATIVE LOAN TRUST 2006-OA10 N/A 02146QAD5 221885.88 PA USD 180850.15 0.050001942593 Long ABS-CBDO CORP US N 2 2046-08-25 Floating 5.518 N N N N N N CHL MORTGAGE PASS-THROUGH TRUST 2006-OA5 N/A 126694M96 29883.77 PA USD 24325.12 0.006725475504 Long ABS-CBDO CORP US N 2 2046-04-25 Floating 5.538 N N N N N N WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST N/A 92922F4W5 43014.74 PA USD 39579.95 0.010943172498 Long ABS-CBDO CORP US N 2 2045-10-25 Floating 5.998 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137ANL94 108771.15 PA USD 14184.33 0.003921722235 Long ABS-MBS USGSE US N 2 2041-12-15 Fixed 4.5 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137H9F46 14939854.79 PA USD 2318033.51 0.640896225381 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.5 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137BH6Q5 28788.73 PA USD 5603.24 0.001549199073 Long ABS-MBS USGSE US N 2 2044-11-15 Fixed 4 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137BG4Q9 133296.98 PA USD 19582.66 0.005414267232 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 4 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137BG5M7 99101.16 PA USD 6713.07 0.001856047898 Long ABS-MBS USGSE US N 2 2043-03-15 Fixed 4 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137BTKB6 257298.3 PA USD 41682.92 0.011524607378 Long ABS-MBS USGSE US N 2 2046-12-15 Fixed 4 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137BE6K5 65288.56 PA USD 3325.64 0.000919482015 Long ABS-MBS USGSE US N 2 2043-02-15 Fixed 4 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137ABAN1 67580.12 PA USD 1372.72 0.000379533369 Long ABS-MBS USGSE US N 2 2040-04-15 Floating 1.543 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137BEK52 85755.58 PA USD 16476.57 0.004555487000 Long ABS-MBS USGSE US N 2 2044-10-15 Fixed 4 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137BYWK2 48912.3 PA USD 1238.09 0.000342310499 Long ABS-MBS USGSE US N 2 2043-02-15 Fixed 4 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137FJK99 7060314.33 PA USD 892211.92 0.246681184418 Long ABS-MBS USGSE US N 2 2056-08-15 Floating .993 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137FQAD5 5093989.22 PA USD 568285.44 0.157121107984 Long ABS-MBS USGSE US N 2 2049-12-25 Floating .912 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137FTXU6 2258225.04 PA USD 256611.14 0.070948547684 Long ABS-MBS USGSE US N 2 2050-06-25 Floating .912 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137FUYM0 3331.7 PA USD 412.05 0.000113924708 Long ABS-MBS USGSE US N 2 2050-07-25 Floating .962 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137FQJT1 1809108.91 PA USD 237230.98 0.065590268203 Long ABS-MBS USGSE US N 2 2049-12-25 Floating .862 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3137H1EB8 6610338.63 PA USD 1531854.75 0.423531378158 Long ABS-MBS USGSE US N 2 2048-11-25 Fixed 4.5 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137FR6Y2 13350872.43 PA USD 2901258.06 0.802147739232 Long ABS-MBS USGSE US N 2 2050-01-25 Fixed 4 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137FXV62 8417530.74 PA USD 1668475.81 0.461304741349 Long ABS-MBS USGSE US N 2 2050-04-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137F8RM7 3593531.7 PA USD 630988.23 0.174457346334 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137FNKD1 1932906.04 PA USD 211666.94 0.058522252719 Long ABS-MBS USGSE US N 2 2049-09-25 Floating .912 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137F6RL3 1747811.56 PA USD 398359.81 0.110139606469 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 5 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137H4PS3 6737234.93 PA USD 1185888.09 0.327877572661 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 3 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137H3WP3 3911734.83 PA USD 449592.11 0.124304452467 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 3 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137FTLA3 2189041.47 PA USD 467736.58 0.129321085006 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 4.5 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137FTBB2 2915072.9 PA USD 627704.69 0.173549504241 Long ABS-MBS USGSE US N 2 2050-05-25 Fixed 4.5 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137H0SA7 5375489.25 PA USD 610118.03 0.168687096531 Long ABS-MBS USGSE US N 2 2041-06-25 Fixed 3 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137F6JS7 13584067.95 PA USD 2117756.19 0.585523005855 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.5 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137FXBF4 11636642.16 PA USD 1983508.71 0.548405896535 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137BT2F7 28962623.3 PA USD 3446659.33 0.952941769496 Long ABS-MBS USGSE US N 2 2046-11-15 Floating .893 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3137B1HN5 174030.07 PA USD 24985.51 0.006908061932 Long ABS-MBS USGSE US N 2 2043-03-15 Fixed 4 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BNB88 31980362.28 PA USD 1593671 0.440622503511 Long ABS-MBS USGSE US N 2 2052-08-25 Floating .327 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BAZZ0 6648611.41 PA USD 1542743.79 0.426542009628 Long ABS-MBS USGSE US N 2 2050-03-25 Fixed 4.5 N N N N N N FANNIE MAE INTEREST STRIP B1V7KEBTPIMZEU4LTD58 3136FGJ81 138669.79 PA USD 25577.96 0.007071864124 Long ABS-MBS USGSE US N 2 2040-05-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AAPB5 575364.39 PA USD 98724.99 0.027295754427 Long ABS-MBS USGSE US N 2 2042-10-25 Fixed 5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136ABN33 24329.94 PA USD 3123.96 0.000863720979 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136ARFT0 46663.22 PA USD 7974.37 0.002204775561 Long ABS-MBS USGSE US N 2 2046-02-25 Fixed 6 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136ATZK3 35519.15 PA USD 4864.35 0.001344908752 Long ABS-MBS USGSE US N 2 2046-10-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AP4N9 212235.79 PA USD 46248.51 0.012786914150 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 6 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AU4H1 412676.92 PA USD 93541.48 0.025862603448 Long ABS-MBS USGSE US N 2 2047-02-25 Fixed 6 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136A7RF1 288447.26 PA USD 33410.85 0.009237522909 Long ABS-MBS USGSE US N 2 2042-03-25 Fixed 4 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B1GP3 311386.26 PA USD 46352.34 0.012815621351 Long ABS-MBS USGSE US N 2 2047-10-25 Fixed 4 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AUDM0 893845.49 PA USD 75314.97 0.020823288265 Long ABS-MBS USGSE US N 2 2046-11-25 Floating .962 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AUCT6 2210109.97 PA USD 176173.83 0.048709020888 Long ABS-MBS USGSE US N 2 2046-11-25 Floating .962 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AUEP2 1828067.05 PA USD 136041.09 0.037613011504 Long ABS-MBS USGSE US N 2 2039-05-25 Floating .962 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136A2WA7 3344450.8 PA USD 339087.85 0.093751933352 Long ABS-MBS USGSE US N 2 2041-12-25 Floating .862 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B6HD8 10679050.67 PA USD 1210761.93 0.334754759767 Long ABS-MBS USGSE US N 2 2049-10-25 Floating .912 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B7TL5 3683200.05 PA USD 349904 0.096742411996 Long ABS-MBS USGSE US N 2 2049-11-25 Floating .862 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136ATFQ2 3573889.51 PA USD 363250.13 0.100432386409 Long ABS-MBS USGSE US N 2 2046-08-25 Floating .862 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BDZL5 3123207.73 PA USD 554871.27 0.153412321686 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BFWT6 2488534.32 PA USD 565643.85 0.156390753978 Long ABS-MBS USGSE US N 2 2051-04-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BHEL9 5745904.59 PA USD 995420.51 0.275216576798 Long ABS-MBS USGSE US N 2 2051-05-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BHDU0 2379672.91 PA USD 366238.8 0.101258702040 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BF4A8 2691243.95 PA USD 553911.83 0.153147053099 Long ABS-MBS USGSE US N 2 2051-04-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BF3U5 2223029.47 PA USD 413121.79 0.114221038950 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 4 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BGJ36 3521588.69 PA USD 832252.48 0.230103434957 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BKU26 2404335.59 PA USD 393931.87 0.108915357544 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 3 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BJDG7 3721530.76 PA USD 571103.51 0.157900255661 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BDQ84 24667512.44 PA USD 3415051.82 0.944202838948 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BDFP8 9455151.25 PA USD 1741638.86 0.481533060905 Long ABS-MBS USGSE US N 2 2050-05-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BL6T2 7933396.24 PA USD 1034168.97 0.285929856674 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 2.5 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 3136BNSV9 17358779.17 PA USD 1287210.76 0.355891540737 Long ABS-MBS USGSE US N 2 2052-07-25 Floating .427 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BFES8 7613913.29 PA USD 1537568.12 0.425111026274 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BGAW1 17172169.14 PA USD 2280464.06 0.630508921405 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BDYC6 11308857.19 PA USD 1861777.16 0.514749225668 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BDTS7 10636604.38 PA USD 2442497.29 0.675308310648 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BL6M7 15473759.28 PA USD 2190008.89 0.605499629361 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 01F022667 8000000 PA USD 6832812.8 1.889154713839 Short ABS-MBS USGSE US N 2 2053-06-01 Fixed 2.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 01F030660 8000000 PA USD 7088124.8 1.959744071753 Short ABS-MBS USGSE US N 2 2053-06-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 01F040669 5000000 PA USD 4723437.5 1.305948879303 Short ABS-MBS USGSE US N 2 2053-06-01 Fixed 4 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 01F020661 8000000 PA USD 6577812.8 1.818651618536 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 2 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 01F020661 8000000 PA USD 6577812.8 1.818651618536 Short ABS-MBS USGSE US N 2 2053-06-01 Fixed 2 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 01F050668 101000000 PA USD 99473162.8 27.502611282446 Short ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 01F042665 128000000 PA USD 123849996.8 34.242384814597 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 01F042665 78000000 PA USD 75471091.8 20.866453246395 Short ABS-MBS USGSE US N 2 2053-06-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 01F052664 74000000 PA USD 73950856.6 20.446134473104 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 01F060667 16000000 PA USD 16183124.8 4.474354470910 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 01F050668 403000000 PA USD 396907768.4 109.738142047781 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 01F032666 6000000 PA USD 5504531.4 1.521907850569 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 3617M6FK1 21987.32 PA USD 21094.47 0.005832256583 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376VQP5 20137930.18 PA USD 2038965.43 0.563738721693 Long ABS-MBS USGA US N 2 2040-02-20 Floating 1.102 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376WP82 15381.24 PA USD 2669.8 0.000738153584 Long ABS-MBS USGA US N 2 2040-03-20 Fixed 4.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376WM85 4799136.76 PA USD 982100.63 0.271533860057 Long ABS-MBS USGA US N 2 2040-03-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378FVC1 22223.45 PA USD 2207.68 0.000610385386 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375AX25 83603.35 PA USD 17034.18 0.004709656533 Long ABS-MBS USGA US N 2 2040-01-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375AXQ2 8061.78 PA USD 1593.17 0.000440483986 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379LL46 73384.71 PA USD 13590.85 0.003757635266 Long ABS-MBS USGA US N 2 2045-04-16 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379LX92 47377.97 PA USD 9229.87 0.002551899625 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RAQ9 104585.36 PA USD 4172.96 0.001153751359 Long ABS-MBS USGA US N 2 2065-04-20 Variable .075 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RAF3 102095.04 PA USD 4379.88 0.001210961165 Long ABS-MBS USGA US N 2 2065-04-20 Variable 1.75 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376REB8 6237238.35 PA USD 314980.54 0.087086678550 Long ABS-MBS USGA US N 2 2065-07-20 Variable .104 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RFK7 1280441.57 PA USD 68503.62 0.018940067645 Long ABS-MBS USGA US N 2 2065-08-20 Variable .087 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RFF8 93115.21 PA USD 3705.99 0.001024642220 Long ABS-MBS USGA US N 2 2065-08-20 Variable 1.769 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BKQ4 60114.61 PA USD 1575 0.000435460295 Long ABS-MBS USGA US N 2 2061-02-20 Floating 1.189 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RJD9 149996.86 PA USD 4964.9 0.001372709090 Long ABS-MBS USGA US N 2 2065-09-20 Variable 1.543 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RHG4 103711.28 PA USD 5206.31 0.001439454785 Long ABS-MBS USGA US N 2 2065-09-20 Variable 1.86 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RHE9 60714.97 PA USD 2155.38 0.000595925339 Long ABS-MBS USGA US N 2 2065-09-20 Variable 1.689 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RJH0 69633.59 PA USD 2708.75 0.000748922586 Long ABS-MBS USGA US N 2 2065-10-20 Variable .042 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RJK3 84349.5 PA USD 3711.38 0.001026132462 Long ABS-MBS USGA US N 2 2065-10-20 Variable 1.828 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RJY3 117888.71 PA USD 5151.74 0.001424367122 Long ABS-MBS USGA US N 2 2065-10-20 Variable 1.697 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RJW7 79958.11 PA USD 2937.74 0.000812234365 Long ABS-MBS USGA US N 2 2065-10-20 Variable .077 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379FY60 17694.71 PA USD 2265.19 0.000626285908 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UQB9 839920.23 PA USD 26487.72 0.007323397049 Long ABS-MBS USGA US N 2 2064-10-20 Variable .047 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379YFF0 30554.65 PA USD 5264.66 0.001455587552 Long ABS-MBS USGA US N 2 2040-01-20 Fixed 6 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RTH9 4545851.09 PA USD 215018.76 0.059448973052 Long ABS-MBS USGA US N 2 2066-04-20 Variable .105 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378A3Y5 30660.47 PA USD 3635.49 0.001005150188 Long ABS-MBS USGA US N 2 2038-04-20 Floating 1.452 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376WR56 21463.71 PA USD 3793.07 0.001048718336 Long ABS-MBS USGA US N 2 2040-03-20 Fixed 4.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379Q6W0 29081.11 PA USD 4596.27 0.001270789262 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379P5D5 23335.87 PA USD 3084.86 0.000852910504 Long ABS-MBS USGA US N 2 2045-02-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RWX0 12083368.34 PA USD 446081.71 0.123333887503 Long ABS-MBS USGA US N 2 2066-07-20 Variable .073 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RA63 142266.04 PA USD 5904.04 0.001632365078 Long ABS-MBS USGA US N 2 2066-10-20 Variable .026 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378JL26 94595.59 PA USD 17081.58 0.004722761814 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 4.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379EW99 679695.36 PA USD 143035.09 0.039546731694 Long ABS-MBS USGA US N 2 2044-09-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378PFQ6 658481.49 PA USD 71326.71 0.019720603266 Long ABS-MBS USGA US N 2 2043-12-20 Floating 1.552 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379P4V6 406416.56 PA USD 75743.85 0.020941866177 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379NRH7 446921.82 PA USD 83292.82 0.023029025986 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375USV3 3108622.47 PA USD 92406.91 0.025548914441 Long ABS-MBS USGA US N 2 2065-01-20 Variable 1.496 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375GE98 324532.8 PA USD 43876.15 0.012130997588 Long ABS-MBS USGA US N 2 2042-04-16 Fixed 4.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379CHL3 628938.23 PA USD 116227.78 0.032134973530 Long ABS-MBS USGA US N 2 2039-12-16 Fixed 4.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RF35 3019649.87 PA USD 114444.73 0.031641991005 Long ABS-MBS USGA US N 2 2066-10-20 Variable 1.625 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BZP0 307546.88 PA USD 5641.95 0.001559901720 Long ABS-MBS USGA US N 2 2062-10-20 Variable 1.256 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BZR6 307546.88 PA USD 5641.95 0.001559901720 Long ABS-MBS USGA US N 2 2062-10-20 Variable 1.256 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RX68 958750.55 PA USD 36803.56 0.010175548620 Long ABS-MBS USGA US N 2 2067-02-20 Variable .064 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RYA8 1149360.31 PA USD 58507.04 0.016176185949 Long ABS-MBS USGA US N 2 2066-06-20 Variable .078 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RCL8 169888.5 PA USD 7007.68 0.001937502474 Long ABS-MBS USGA US N 2 2065-06-20 Variable .066 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379T3W7 152411.54 PA USD 26874.44 0.007430318449 Long ABS-MBS USGA US N 2 2046-02-16 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375USS0 1084167.54 PA USD 32158.58 0.008891291885 Long ABS-MBS USGA US N 2 2064-12-20 Variable 1.609 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RV94 474833.75 PA USD 17331.43 0.004791841024 Long ABS-MBS USGA US N 2 2067-02-20 Variable 1.703 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376R2Q8 293728.77 PA USD 10691.73 0.002956078663 Long ABS-MBS USGA US N 2 2067-03-20 Variable .019 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RV78 686642.59 PA USD 22796.53 0.006302846773 Long ABS-MBS USGA US N 2 2067-02-20 Variable .015 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UZV5 302111.8 PA USD 8108.38 0.002241827011 Long ABS-MBS USGA US N 2 2067-04-20 Variable .014 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RQ82 377451.63 PA USD 21753.5 0.006014466995 Long ABS-MBS USGA US N 2 2067-01-20 Variable .117 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RJ80 228524.76 PA USD 17670.15 0.004885491253 Long ABS-MBS USGA US N 2 2066-09-20 Variable 2.151 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RR57 245877.64 PA USD 7775.59 0.002149816325 Long ABS-MBS USGA US N 2 2067-01-20 Variable 1.593 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376UHF9 46084.75 PA USD 1636.01 0.000452328506 Long ABS-MBS USGA US N 2 2043-12-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376R4R4 193008.89 PA USD 9967.21 0.002755761398 Long ABS-MBS USGA US N 2 2067-05-20 Variable 2.01 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378U8K6 2103347.44 PA USD 64517.32 0.017837924552 Long ABS-MBS USGA US N 2 2064-12-20 Variable .023 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UB25 3272080.18 PA USD 100452.86 0.027773480636 Long ABS-MBS USGA US N 2 2067-04-20 Variable .021 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UYG9 1781761.06 PA USD 62593.27 0.017305957961 Long ABS-MBS USGA US N 2 2067-01-20 Variable .03 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RT30 2843471.66 PA USD 127541.25 0.035262952564 Long ABS-MBS USGA US N 2 2067-02-20 Variable .037 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379T5K1 150126.92 PA USD 26904.4 0.007438601872 Long ABS-MBS USGA US N 2 2045-03-20 Fixed 4.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380BVQ5 32977 PA USD 1525.19 0.000421688690 Long ABS-MBS USGA US N 2 2039-05-20 Fixed 5.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UG46 355182.39 PA USD 18647.32 0.005155661879 Long ABS-MBS USGA US N 2 2067-08-20 Variable 1.134 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UK25 619787.37 PA USD 35079.97 0.009699005757 Long ABS-MBS USGA US N 2 2067-04-20 Variable 2.068 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380UMS9 304868.15 PA USD 64923.23 0.017950151655 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375U3K4 9118662.6 PA USD 475082.32 0.131352055231 Long ABS-MBS USGA US N 2 2068-01-20 Variable .027 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RK47 1982621.32 PA USD 60471.93 0.016719444094 Long ABS-MBS USGA US N 2 2066-12-20 Variable .023 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UN55 663746.61 PA USD 40375.5 0.011163128331 Long ABS-MBS USGA US N 2 2067-10-20 Variable .215 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379FE47 693606.75 PA USD 31885.17 0.008815698742 Long ABS-MBS USGA US N 2 2041-07-16 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UL81 1975137.85 PA USD 104929.2 0.029011111324 Long ABS-MBS USGA US N 2 2067-10-20 Variable .242 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375U6E5 2705713.93 PA USD 131480.79 0.036352167325 Long ABS-MBS USGA US N 2 2068-01-20 Variable .051 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UU57 2014994.95 PA USD 136347.84 0.037697822580 Long ABS-MBS USGA US N 2 2067-11-20 Variable .122 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375U7K0 1611785.71 PA USD 97911.98 0.027070971205 Long ABS-MBS USGA US N 2 2068-02-20 Variable .059 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380CFC2 529066.34 PA USD 84191.81 0.023277581193 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 6.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LAD5 1121936.64 PA USD 52415.48 0.014491974831 Long ABS-MBS USGA US N 2 2068-02-20 Variable .036 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379YFD5 302603.95 PA USD 48126.34 0.013306101708 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378FEC0 1419007.25 PA USD 184552.39 0.051025548003 Long ABS-MBS USGA US N 2 2043-01-20 Floating 1.602 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LNF6 6041110.09 PA USD 253656.12 0.070131535697 Long ABS-MBS USGA US N 2 2068-06-20 Variable 0 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LQD8 4642174.54 PA USD 222576.76 0.061538629500 Long ABS-MBS USGA US N 2 2068-11-20 Variable 0 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RF84 12525042.46 PA USD 734222.5 0.202999838790 Long ABS-MBS USGA US N 2 2066-09-20 Variable .138 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LSF1 20189443.41 PA USD 786520.15 0.217459235661 Long ABS-MBS USGA US N 2 2069-03-20 Variable 0 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379HTX3 2133956.3 PA USD 266573.82 0.073703056615 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378YZR3 2031131.69 PA USD 213296.04 0.058972670729 Long ABS-MBS USGA US N 2 2044-01-20 Floating .952 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381RNU9 153828.7 PA USD 15934.98 0.004405746720 Long ABS-MBS USGA US N 2 2049-02-20 Floating .902 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LWX7 10047437.57 PA USD 423037.31 0.116962508956 Long ABS-MBS USGA US N 2 2069-07-20 Variable 0 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LYU1 231156.26 PA USD 10722.21 0.002964505857 Long ABS-MBS USGA US N 2 2069-08-20 Variable 0 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381XAJ5 3454780.24 PA USD 311724.82 0.086186528207 Long ABS-MBS USGA US N 2 2049-07-20 Floating .952 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381XK39 2703037.61 PA USD 261654.04 0.072342822426 Long ABS-MBS USGA US N 2 2049-08-20 Floating .952 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LC27 13381661.48 PA USD 529674.53 0.146445858307 Long ABS-MBS USGA US N 2 2069-09-20 Variable .75 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380WG94 1597894.13 PA USD 250613.72 0.069290364649 Long ABS-MBS USGA US N 2 2045-05-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382AAJ4 3303873.47 PA USD 490165.97 0.135522423911 Long ABS-MBS USGA US N 2 2049-10-20 Floating .852 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381BTG9 14839808.76 PA USD 978997.02 0.270675765501 Long ABS-MBS USGA US N 2 2049-01-20 Floating .852 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382BDZ3 4070196.88 PA USD 428760.24 0.118544800247 Long ABS-MBS USGA US N 2 2043-09-16 Floating 1.045 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379EZ54 2431078.53 PA USD 350237.7 0.096834674282 Long ABS-MBS USGA US N 2 2044-09-16 Floating 1.095 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382DGP8 4739666.58 PA USD 499387.39 0.138071987257 Long ABS-MBS USGA US N 2 2050-01-20 Floating .902 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LY98 9187056.72 PA USD 400445.43 0.110716244373 Long ABS-MBS USGA US N 2 2070-02-20 Variable 0 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382BFR9 1630746.63 PA USD 264800.64 0.073212802974 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382EFD4 3792442.84 PA USD 342495.51 0.094694092481 Long ABS-MBS USGA US N 2 2044-05-20 Floating .852 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RZM1 4558678.1 PA USD 186550.23 0.051577916253 Long ABS-MBS USGA US N 2 2066-09-20 Variable .076 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382HLM0 1438322.3 PA USD 186437.49 0.051546745591 Long ABS-MBS USGA US N 2 2050-08-20 Floating 1.152 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382J3Q7 4799065.13 PA USD 637363.84 0.176220092371 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382LNV9 13466757.94 PA USD 1788520.12 0.494494919500 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382QAM2 10507717.03 PA USD 1337593.5 0.369821498070 Long ABS-MBS USGA US N 2 2051-03-20 Floating 1.152 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382PZ47 2935231.12 PA USD 376807.07 0.104180646146 Long ABS-MBS USGA US N 2 2051-03-20 Floating 1.152 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382PB43 2450506.96 PA USD 355035.57 0.098161202462 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382LDU2 2526340.96 PA USD 456620.97 0.126247810845 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382RRW0 3794658.18 PA USD 569451.83 0.157443594671 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382VCJ6 8323524.8 PA USD 1191133.02 0.329327705208 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381YEC4 1692532.86 PA USD 182095.21 0.050346180176 Long ABS-MBS USGA US N 2 2049-08-20 Floating .902 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380FYN0 1874847.79 PA USD 331795.19 0.091735638831 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382UZC8 2168475.37 PA USD 316216.84 0.087428494145 Long ABS-MBS USGA US N 2 2051-06-20 Floating 1.202 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382L2F7 3571394.77 PA USD 542707.01 0.150049113913 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RDU7 2866100.6 PA USD 172031.98 0.047563870907 Long ABS-MBS USGA US N 2 2065-07-20 Variable .136 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383AJX3 3119741.87 PA USD 476144.05 0.131645605237 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382DPH6 2696308.41 PA USD 427888.24 0.118303707310 Long ABS-MBS USGA US N 2 2047-03-16 Variable 3.958 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383CNQ9 3266505.03 PA USD 528595.64 0.146147563858 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UXD7 6925390.51 PA USD 224175.51 0.061980656260 Long ABS-MBS USGA US N 2 2066-05-20 Variable .021 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382LYL9 5735744.11 PA USD 809280.8 0.223752162234 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382YKW2 6348854.58 PA USD 326648.89 0.090312775774 Long ABS-MBS USGA US N 2 2072-01-20 Floating 0 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383CCY4 2258844.25 PA USD 416824.53 0.115244782602 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 5.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382YKN2 11008788.79 PA USD 488537.02 0.135072047374 Long ABS-MBS USGA US N 2 2071-12-20 Variable 0 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383AA95 3926206.77 PA USD 700042.67 0.193549706194 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383DW38 7801351.91 PA USD 1397985.88 0.386518947963 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 4.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383AJB1 8546741.5 PA USD 817581.29 0.226047104342 Long ABS-MBS USGA US N 2 2051-09-20 Floating 1.152 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383RBN6 4579720.91 PA USD 353426.68 0.097716372168 Long ABS-MBS USGA US N 2 2046-11-20 Floating .669 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382YRN5 26179386.3 PA USD 1381409.77 0.381935939872 Long ABS-MBS USGA US N 2 2072-04-20 Variable 0 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382YRQ8 20559567.27 PA USD 939954.84 0.259881277119 Long ABS-MBS USGA US N 2 2072-04-20 Variable 0 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383FHC0 10408032.39 PA USD 1506511.69 0.416524459827 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381XX50 14890675.9 PA USD 1562151.03 0.431907776261 Long ABS-MBS USGA US N 2 2049-08-20 Floating .902 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382FAN4 16919137.78 PA USD 1766679.45 0.488456351506 Long ABS-MBS USGA US N 2 2049-05-20 Floating .952 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383MBY3 13950016 PA USD 2335372.18 0.645690068139 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382KPP2 15252037.54 PA USD 2003869.12 0.554035198208 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382E4X2 8283790.86 PA USD 1369133.36 0.378541724562 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383CUP3 11607809.06 PA USD 2340119.22 0.647002542702 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383FD75 18055947.74 PA USD 2013870.13 0.556800304722 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382Q4H0 20525244.92 PA USD 2894451.57 0.800265862317 Long ABS-MBS USGA US N 2 2050-07-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382VGH6 13787023.89 PA USD 2023935.11 0.559583097837 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382WZF7 17483536.52 PA USD 2032072.99 0.561833081088 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382LAV3 15972866.55 PA USD 2169358.07 0.599790034339 Long ABS-MBS USGA US N 2 2050-11-20 Floating 1.152 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382DQA0 11676034.87 PA USD 2312051.06 0.639242181293 Long ABS-MBS USGA US N 2 2050-03-16 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383CFG0 11224593.86 PA USD 1515769.15 0.419083987610 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383VWQ7 28042990.53 PA USD 2202218.85 0.608875472395 Long ABS-MBS USGA US N 2 2053-02-20 Floating 2.069 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383HRQ4 37504748.75 PA USD 1579595 0.436730732650 Long ABS-MBS USGA US N 2 2053-01-20 Floating 1.319 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383VWY0 84543493.37 PA USD 3286383.13 0.908628168698 Long ABS-MBS USGA US N 2 2053-02-20 Floating .819 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383VYA0 34748995.01 PA USD 2258969.62 0.624566080025 Long ABS-MBS USGA US N 2 2053-02-20 Floating 2.069 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383CJB7 23083820.05 PA USD 3115456.99 0.861370043450 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382M4V8 18066501.84 PA USD 2536206.24 0.701217216659 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 21H030666 6000000 PA USD 5395684.2 1.491813479921 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 3 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 21H042661 8000000 PA USD 7768966.4 2.147985013759 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 4.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 21H040665 6000000 PA USD 5701533.6 1.576375555987 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 21H032662 1000000 PA USD 926764.4 0.256234348302 Short ABS-MBS USGA US N 2 2053-06-01 Fixed 3.5 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 1644 NC USD 179324437.5 49.580109440391 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short UNITED STATES OF AMERICA US TREASURY N/B 03.8750 11/30/2027 2023-10-04 179190518.99 USD -133918.51 N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 1750 NC USD 360199220.5 99.588862631918 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short UNITED STATES OF AMERICA US TREASURY N/B 02.8750 06/15/2025 2023-10-04 360477013.27 USD 277792.77 N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 1348 NC USD 162370812.5 44.892724973278 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short UNITED STATES OF AMERICA US TREASURY N/B 01.2500 08/15/2031 2023-09-29 161104029.5 USD -1266783 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 9961000 NC USD 197327.41 0.054557620366 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-08 131.49 USD 0 USD 9961000 USD -210041.06 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 6843000 NC USD 113456.94 0.031368884132 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-05-09 55.08 USD 0 USD 6843000 USD -121770.2 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 3245000 NC USD 40789.65 0.011277633652 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-10 42.83 USD 0 USD 3245000 USD 44392.16 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 9433000 NC USD 127251.17 0.035182750455 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-11 124.52 USD 0 USD 9433000 USD 137298.44 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 10757000 NC USD 74223.3 0.020521460367 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-05-11 40.34 USD 0 USD 10757000 USD -81188.32 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 8089000 NC USD 90839.47 0.025115544356 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-11 106.77 USD 0 USD 8089000 USD -99541.36 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 10799000 NC USD 149134.19 0.041233027492 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-05-12 86.94 USD 0 USD 10799000 USD -160172.01 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 15377000 NC USD 133011.05 0.036775257783 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-05-12 57.67 USD 0 USD 15377000 USD -143301.39 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 6770000 NC USD 114886.9 0.031764243372 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-12 89.36 USD 0 USD 6770000 USD -122082.18 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 15377000 NC USD 142852.33 0.039496201711 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-05-12 57.67 USD 0 USD 15377000 USD -153437.4 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 6770000 NC USD 117662.6 0.032531676476 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-12 89.36 USD 0 USD 6770000 USD -124876.68 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 17098000 NC USD 273738.98 0.075684099589 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-05-12 137.64 USD 0 USD 17098000 USD 291405.27 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 10078000 NC USD 214560.62 0.059322305256 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-15 133.03 USD 0 USD 10078000 USD -223924.59 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 9165000 NC USD 133625.7 0.036945197891 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-17 120.98 USD 0 USD 9165000 USD 140594.38 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 4118000 NC USD 51639.72 0.014277490591 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-05-17 33.15 USD 0 USD 4118000 USD -54750.27 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 3102000 NC USD 36262.38 0.010025921698 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-19 40.94 USD 0 USD 3102000 USD 38265.88 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 353000 NC USD 1902.67 0.000526055390 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-05-19 1.32 USD 0 USD 353000 USD -2034.87 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 2773000 NC USD 26953.56 0.007452193763 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-19 36.61 USD 0 USD 2773000 USD 28717.16 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 349000 NC USD 1183.11 0.000327109479 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-05-22 1.31 USD 0 USD 349000 USD -1273.93 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 2773000 NC USD 4603.18 0.001272699758 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-22 36.61 USD 0 USD 2773000 USD 5876.62 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 7169000 NC USD 24733.05 0.006838261103 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-05-22 26.88 USD 0 USD 7169000 USD 26551.7 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 3253000 NC USD 6213.23 0.001717850772 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-22 42.94 USD 0 USD 3253000 USD 7709.84 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 5977000 NC USD 3645.97 0.001008047727 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2030-05-23 68.14 USD 0 USD 5977000 USD -6168.95 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 3852000 NC USD 68218.92 0.018861353013 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-05-24 130.97 USD 0 USD 3852000 USD -66800.14 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 8739855 NC USD 223827.69 0.061884490038 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-08-07 297.16 USD 0 USD 8739855 USD -224124.85 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 6141000 NC USD 982.56 0.000271660868 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-05-26 49.43 USD 0 USD 6141000 USD -2585.21 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 49509000 NC USD 65846.97 0.018205549809 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-05-26 8238.04 USD 0 USD 49509000 USD -80851.75 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 35738000 NC USD 148312.7 0.041005899697 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-26 0 USD 24923.94 USD 35738000 USD -113679.57 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 10797000 NC USD 198556.83 0.054897533759 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-05-26 12884.82 USD 0 USD 10797000 USD 182422.18 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 12097000 NC USD 8467.9 0.002341228081 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-05-26 45.37 USD 0 USD 12097000 USD -10100.12 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 6856000 NC USD 40587.52 0.011221748199 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-26 90.5 USD 0 USD 6856000 USD 38658.4 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 6338000 NC USD 12295.72 0.003399554192 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-05-26 51.02 USD 0 USD 6338000 USD -10792.81 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 5079000 NC USD 56224.53 0.015545111361 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-30 67.04 USD 0 USD 5079000 USD -55854.96 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 2495000 NC USD 55214.35 0.015265814040 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-05-31 84.83 USD 0 USD 2495000 USD -55174.74 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 10890000 NC USD 23522.4 0.006503537290 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-06-01 40.84 USD 0 USD 10890000 USD 23481.56 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 7206000 NC USD 47703.72 0.013189254578 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-06-01 95.12 USD 0 USD 7206000 USD 47608.6 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 3325000 NC USD 15162 0.004192031102 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-06-01 43.89 USD 0 USD 3325000 USD 15118.11 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 2836000 NC USD 9784.2 0.002705162294 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-06-01 22.83 USD 0 USD 2836000 USD 9761.37 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 5571000 NC USD 4512.51 0.001247631069 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-01-06 44.84 USD 0 USD 5571000 USD 29373.88 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 98000 NC USD 2810.64 0.000777093411 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-03-03 1.3 USD 0 USD 98000 USD 2546.35 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 3959000 NC USD 45805.63 0.012664465480 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-03-15 52.25 USD 0 USD 3959000 USD 59413.54 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 280777000 NC USD 148811.81 0.041143894991 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-06-21 0 USD 1611697.25 USD 280777000 USD 1760509.06 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 18931000 NC USD 249131.96 0.068880683604 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-06-21 0 USD 402405.48 USD 18931000 USD 153273.52 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 21534000 NC USD 74938.32 0.020719151046 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-06-21 0 USD 321113.98 USD 21534000 USD 246175.66 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 29892000 NC USD 1934909.16 0.534968960435 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-06-21 0 USD 1194078.68 USD 29892000 USD -740830.48 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 2517000 NC USD 15907.44 0.004398132386 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-03-24 33.22 USD 0 USD 2517000 USD -23459.42 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 741000 NC USD 20236.71 0.005595100760 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-03-30 25.2 USD 0 USD 741000 USD 22658.21 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 5036000 NC USD 53029.08 0.014661624632 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-03-30 66.48 USD 0 USD 5036000 USD 67503.22 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 10302000 NC USD 31009.02 0.008573458401 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-03-31 82.93 USD 0 USD 10302000 USD 55966.14 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 13156000 NC USD 73015.8 0.020187607475 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-03-31 49.33 USD 0 USD 13156000 USD -91444.83 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 5140000 NC USD 44563.8 0.012321120935 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-03-31 67.85 USD 0 USD 5140000 USD -59084.63 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 6106000 NC USD 59289.26 0.016392456268 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-03 80.6 USD 0 USD 6106000 USD -75848.44 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 5309000 NC USD 62062.21 0.017159129045 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-04 70.07 USD 0 USD 5309000 USD -76409.71 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 11301000 NC USD 57183.06 0.015810128349 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-04-04 42.38 USD 0 USD 11301000 USD -71560.41 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 4357000 NC USD 59603.76 0.016479410085 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-04 57.51 USD 0 USD 4357000 USD -71537.23 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 5681000 NC USD 47947.64 0.013256694245 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-04-04 45.73 USD 0 USD 5681000 USD -62082.4 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 8401000 NC USD 55530.61 0.015353254467 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-04-05 31.5 USD 0 USD 8401000 USD -67263.04 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 4474000 NC USD 89435.26 0.024727304546 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-05 59.05 USD 0 USD 4474000 USD -102012.62 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 4336000 NC USD 184713.6 0.051070119783 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-04-05 147.43 USD 0 USD 4336000 USD -198404.02 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 4698000 NC USD 128067.48 0.035408446069 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-06 62.02 USD 0 USD 4698000 USD 141591.26 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 6311000 NC USD 107791.88 0.029802592896 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-04-06 50.8 USD 0 USD 6311000 USD -124919.84 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 7856000 NC USD 138108.48 0.038184609128 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-04-07 63.24 USD 0 USD 7856000 USD -159178.65 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 36236000 NC USD 411278.6 0.113711428753 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-04-07 135.88 USD 0 USD 36236000 USD 474959.74 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 11412000 NC USD 367580.52 0.101629664444 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-07 150.64 USD 0 USD 11412000 USD 400865.9 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 6840000 NC USD 122778 0.033945996216 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-04-07 55.06 USD 0 USD 6840000 USD -141212.03 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 4532000 NC USD 246268.88 0.068089091439 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-04-10 154.09 USD 0 USD 4532000 USD -259783.07 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 8884000 NC USD 86974.36 0.024046908204 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-04-10 33.32 USD 0 USD 8884000 USD -100743.46 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 4127000 NC USD 129216.37 0.035726094309 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-10 54.47 USD 0 USD 4127000 USD -140653.16 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 4350000 NC USD 230550 0.063743092636 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-04-11 147.9 USD 0 USD 4350000 USD 242924.04 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 12678000 NC USD 267252.24 0.073890628027 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-11 167.35 USD 0 USD 12678000 USD 299134.62 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 11403000 NC USD 461365.38 0.127559558258 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-04-13 387.7 USD 0 USD 11403000 USD 491542.55 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 5330000 NC USD 215598.5 0.059609261148 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-04-14 181.22 USD 0 USD 5330000 USD -229771.13 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 5785000 NC USD 126633.65 0.035012016841 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-14 76.36 USD 0 USD 5785000 USD -140585.28 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 209700 NC USD 2512.21 0.000694582671 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-04-19 1.97 USD 0 USD 209700 USD 2920.46 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 29576000 NC USD 154386.72 0.042685261309 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-04-18 110.91 USD 0 USD 29576000 USD 184344.67 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 15633000 NC USD 73162.44 0.020228150902 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-04-18 58.62 USD 0 USD 15633000 USD -88531.78 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 8689000 NC USD 107743.6 0.029789244310 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-18 114.69 USD 0 USD 8689000 USD -125803.96 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 7339000 NC USD 156614.26 0.043301137642 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-04-19 249.52 USD 0 USD 7339000 USD 172823.02 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 5460000 NC USD 32705.4 0.009042478169 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-19 72.07 USD 0 USD 5460000 USD 43164.6 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 5291000 NC USD 43386.2 0.011995534876 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-20 69.85 USD 0 USD 5291000 USD 53460.87 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 4530000 NC USD 33929.7 0.009380975971 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-20 59.8 USD 0 USD 4530000 USD -42629.99 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 30579000 NC USD 55653.78 0.015387308844 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-04-21 114.67 USD 0 USD 30579000 USD -78496.97 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 13704000 NC USD 50156.64 0.013867444588 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-21 180.89 USD 0 USD 13704000 USD -75170.8 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 10475000 NC USD 26397 0.007298314536 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-04-24 39.28 USD 0 USD 10475000 USD -34227.47 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 2203000 NC USD 44522.63 0.012309738141 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-04-25 74.9 USD 0 USD 2203000 USD -48868.77 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 4036000 NC USD 39794.96 0.011002619049 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-26 53.28 USD 0 USD 4036000 USD -46765.07 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 3559000 NC USD 44416.32 0.012280345263 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-26 46.97 USD 0 USD 3559000 USD -50674.77 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 8274000 NC USD 90269.34 0.024957913259 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2028-04-27 66.61 USD 0 USD 8274000 USD 103359.4 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 7244000 NC USD 147270.52 0.040717754929 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-28 95.62 USD 0 USD 7244000 USD -160008.21 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 7788000 NC USD 141819.48 0.039210636527 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-04-28 102.8 USD 0 USD 7788000 USD 155120.58 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 9901000 NC USD 131089.24 0.036243910514 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-01 130.7 USD 0 USD 9901000 USD 146114.36 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 21031200 NC USD 350590.1 0.096932106795 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-11 277.61 USD 0 USD 21031200 USD -359195.88 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 11447000 NC USD 177314.03 0.049024266493 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-02 151.1 USD 0 USD 11447000 USD 194438.57 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 4016000 NC USD 67589.28 0.018687268429 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-02 53.02 USD 0 USD 4016000 USD -73756.69 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 12621000 NC USD 171771.81 0.047491938396 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-03 166.6 USD 0 USD 12621000 USD -190181.26 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 3759000 NC USD 37514.82 0.010372199725 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-03 49.61 USD 0 USD 3759000 USD 42766.89 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 7038000 NC USD 37301.4 0.010313192781 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-03 92.9 USD 0 USD 7038000 USD 46581.87 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 3678000 NC USD 31005.54 0.008572496241 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2053-05-04 125.05 USD 0 USD 3678000 USD 36328.88 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 4361000 NC USD 75794.18 0.020955781553 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-04 57.57 USD 0 USD 4361000 USD -81965.9 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 14694000 NC USD 273749.22 0.075686930772 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-05 193.96 USD 0 USD 14694000 USD -294522.09 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 26955000 NC USD 211596.75 0.058502846397 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2025-05-05 101.08 USD 0 USD 26955000 USD -234002.99 N N N LCH Limited F226TOH6YD6XJB17KS62 N/A 17949000 NC USD 378723.9 0.104710616531 N/A DIR CORP US N 2 LCH Limited F226TOH6YD6XJB17KS62 Y 2033-05-05 236.92 USD 0 USD 17949000 USD -404495.46 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 199000 NC USD 90087.3 0.024907582343 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2072-12-16 0 USD 30980.8 USD 199000 USD -58913.03 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 1766000 NC USD 762558.8 0.210834336278 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2064-11-18 0 USD 284724.5 USD 1766000 USD -476117.36 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 1515000 NC USD 690840 0.191005326900 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2072-12-16 0 USD 280942.06 USD 1515000 USD -408425.02 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 225000 NC USD 104152.5 0.028796367191 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2059-11-17 68343.75 USD 0 USD 225000 USD 35590 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 1882122.13 NC USD 748708.18 0.207004879094 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2063-05-11 0 USD 963350.1 USD 1882122.13 USD 216471.76 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 1689000 NC USD 563788.2 0.155877698806 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2061-08-17 272676.59 USD 0 USD 1689000 USD 290126.36 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 888162.18 NC USD 353310.92 0.097684366527 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 0 USD 449674.33 USD 888162.18 USD 97226.9 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 930616.06 NC USD 370199.07 0.102353648288 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2063-05-11 0 USD 467596.17 USD 930616.06 USD 98301.87 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 1460000 NC USD 310250 0.085778765953 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2057-10-17 219000 USD 0 USD 1460000 USD 90398.33 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 607157.91 NC USD 241527.42 0.066778159650 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 0 USD 296784.61 USD 607157.91 USD 55847.48 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 542000 NC USD 168020 0.046454627737 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2064-11-18 0 USD 85453.58 USD 542000 USD -82250.25 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 1268000 NC USD 423258.4 0.117023636522 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2061-08-17 165118.98 USD 0 USD 1268000 USD 257399.75 N N N J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 N/A 124000 NC USD 26350 0.007285319848 N/A DCR CORP US N 2 J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 Y 2057-10-17 0 USD 19336.25 USD 124000 USD -6941.42 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 880000 NC USD 273328 0.075570470718 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2072-12-16 0 USD 138000.23 USD 880000 USD -134814.44 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 5419000 NC USD 1808862.2 0.500119153245 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2061-08-17 971288.65 USD 0 USD 5419000 USD 834412.47 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 1177000 NC USD 392882.6 0.108625252513 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2061-08-17 210200.97 USD 0 USD 1177000 USD 181995.05 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 1579000 NC USD 720024 0.199074198795 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2072-12-16 0 USD 408566.25 USD 1579000 USD -309922.61 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 3000 NC USD 637.5 0.000176257738 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2057-10-17 487.5 USD 0 USD 3000 USD 148.25 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 898000 NC USD 278380 0.076967261453 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2064-11-18 0 USD 152546.46 USD 898000 USD -125309.71 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 1215000 NC USD 375799.5 0.103902070445 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2065-04-17 0 USD 276187.2 USD 1215000 USD -98903.55 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 886000 NC USD 274039.8 0.075767271123 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2065-04-17 0 USD 201400.71 USD 886000 USD -72122.26 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 900000 NC USD 278370 0.076964496626 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2065-04-17 0 USD 216598.49 USD 900000 USD -61246.51 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 4796000 NC USD 1486760 0.411063458719 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2064-11-18 0 USD 1280991.05 USD 4796000 USD -202971.28 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 857000 NC USD 265070.1 0.073287304009 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2065-04-17 0 USD 222820 USD 857000 USD -41750.18 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 252000 NC USD 114912 0.031771183088 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2072-12-16 0 USD 25193.57 USD 252000 USD -89473.43 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 561000 NC USD 255816 0.070728705208 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2072-12-16 0 USD 52943.54 USD 561000 USD -202327.04 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 134000 NC USD 43389.2 0.011996364324 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2072-12-16 10154.24 USD 0 USD 134000 USD 33156.79 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 245000 NC USD 79331 0.021933651190 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2072-12-16 18565.59 USD 0 USD 245000 USD 60622.49 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 641000 NC USD 292296 0.080814795078 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2072-12-16 0 USD 61640.7 USD 641000 USD -230032.11 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 205000 NC USD 66358.5 0.018346979018 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2059-11-17 25079.55 USD 0 USD 205000 USD 41159.37 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 336000 NC USD 153216 0.042361577451 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2072-12-16 0 USD 30616.2 USD 336000 USD -122273.13 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 44000 NC USD 20064 0.005547349428 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2072-12-16 0 USD 4035.57 USD 44000 USD -15985.65 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 2006000 NC USD 914736 0.252908703473 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2072-12-16 0 USD 182893.39 USD 2006000 USD -729892.33 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 83000 NC USD 37848 0.010464318239 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2072-12-16 0 USD 7719.75 USD 83000 USD -30047.56 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 910000 NC USD 414960 0.114729272263 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2072-12-16 0 USD 83550.4 USD 910000 USD -330524.88 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 36000 NC USD 7650 0.002115092859 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2057-10-17 5625 USD 0 USD 36000 USD 2004 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 2000 NC USD 647.6 0.000179050214 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2072-12-16 123.26 USD 0 USD 2000 USD 523.17 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 6000 NC USD 1942.8 0.000537150641 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2072-12-16 365.73 USD 0 USD 6000 USD 1573.57 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 222000 NC USD 71861.4 0.019868435815 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2059-11-17 0 USD 24218.58 USD 222000 USD -47513.32 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 307000 NC USD 142110.3 0.039291043233 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2059-11-17 78285 USD 0 USD 307000 USD 63526.83 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 148000 NC USD 31450 0.008695381754 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2057-10-17 21182.5 USD 0 USD 148000 USD 10181.17 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 256000 NC USD 118502.4 0.032763866670 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2059-11-17 61721.95 USD 0 USD 256000 USD 56531.56 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 326000 NC USD 142396.8 0.039370255535 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2058-09-17 0 USD 68460 USD 326000 USD -73619.86 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 324000 NC USD 141523.2 0.039128720225 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2058-09-17 0 USD 66168.11 USD 324000 USD -75040.09 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 68000 NC USD 22018.4 0.006087707269 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2072-12-16 3428.94 USD 0 USD 68000 USD 18549.79 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 25000 NC USD 10802.5 0.002986704655 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2054-11-18 0 USD 2116.01 USD 25000 USD -8662.18 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 1268000 NC USD 586957.2 0.162283527101 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2059-11-17 286884.99 USD 0 USD 1268000 USD 298839.43 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 68000 NC USD 22018.4 0.006087707269 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2072-12-16 3462.59 USD 0 USD 68000 USD 18516.14 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 1000 NC USD 436.8 0.000120767655 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2058-09-17 0 USD 203.59 USD 1000 USD -232.24 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 112000 NC USD 23800 0.006580288895 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2057-10-17 14210 USD 0 USD 112000 USD 9524.67 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 736370.12 NC USD 349923.08 0.096747687287 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2057-10-17 263238.19 USD 0 USD 736370.12 USD 85968.97 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 2293.59 NC USD 341.06 0.000094297199 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 615 USD 0 USD 2293.59 USD -274.83 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 1146.79 NC USD 170.53 0.000047148599 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 304.68 USD 0 USD 1146.79 USD -134.6 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 764.53 NC USD 113.69 0.000031433321 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 201.25 USD 0 USD 764.53 USD -87.86 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 2293.59 NC USD 341.06 0.000094297199 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 588.75 USD 0 USD 2293.59 USD -248.58 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 764.53 NC USD 113.69 0.000031433321 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 197.5 USD 0 USD 764.53 USD -84.11 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 764.53 NC USD 113.69 0.000031433321 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 197.5 USD 0 USD 764.53 USD -84.11 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 1529.06 NC USD 227.37 0.000062863878 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 392.5 USD 0 USD 1529.06 USD -165.72 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 1911.32 NC USD 284.21 0.000078579156 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 487.5 USD 0 USD 1911.32 USD -204.03 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 1146.79 NC USD 170.53 0.000047148599 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 290.63 USD 0 USD 1146.79 USD -120.55 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 1146.79 NC USD 170.53 0.000047148599 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 290.62 USD 0 USD 1146.79 USD -120.54 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 1911.32 NC USD 284.21 0.000078579156 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2063-05-11 487.5 USD 0 USD 1911.32 USD -204.03 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 382.26 NC USD 56.84 0.000015715278 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2063-05-11 96.57 USD 0 USD 382.26 USD -39.88 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 307000 NC USD 95354.2 0.026363789216 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2072-12-16 0 USD 14984.07 USD 307000 USD -80191.05 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 215000 NC USD 66779 0.018463240005 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2072-12-16 0 USD 10637.31 USD 215000 USD -56016.27 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 215000 NC USD 66779 0.018463240005 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2072-12-16 0 USD 10493.72 USD 215000 USD -56159.86 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 202000 NC USD 42925 0.011868021043 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2057-10-17 27648.75 USD 0 USD 202000 USD 15158.42 N N N J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 N/A 102000 NC USD 31681.2 0.008759304561 N/A DCR CORP US N 2 J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 Y 2072-12-16 0 USD 6309.71 USD 102000 USD -25311.99 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 86006.48 NC USD 40870.28 0.011299926455 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2057-10-17 32734.46 USD 0 USD 86006.48 USD 8052.2 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 80000 NC USD 24800 0.006856771622 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2064-11-18 0 USD 4970.02 USD 80000 USD -19783.31 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 764.53 NC USD 113.69 0.000031433321 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 174.37 USD 0 USD 764.53 USD -60.98 N N N J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 N/A 78000 NC USD 16575 0.004582701195 N/A DCR CORP US N 2 J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 Y 2057-10-17 10822.5 USD 0 USD 78000 USD 5707 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 360000 NC USD 76500 0.021150928591 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2057-10-17 49050 USD 0 USD 360000 USD 27240 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 285000 NC USD 60562.5 0.016744485135 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2057-10-17 38653.12 USD 0 USD 285000 USD 21743.13 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 382.26 NC USD 56.84 0.000015715278 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 85.94 USD 0 USD 382.26 USD -29.25 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 200813.6 NC USD 79883.65 0.022086449369 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 0 USD 122656.8 USD 200813.6 USD 42968.39 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 229028.5 NC USD 108834.34 0.030090815080 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2057-10-17 85881.08 USD 0 USD 229028.5 USD 22730.59 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 452000 NC USD 204620.4 0.056574006126 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2072-12-16 0 USD 49557.4 USD 452000 USD -154623.56 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 629000 NC USD 133662.5 0.036955372455 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2057-10-17 88846.25 USD 0 USD 629000 USD 44449.33 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 245000 NC USD 52062.5 0.014394381958 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2057-10-17 33993.75 USD 0 USD 245000 USD 17925.83 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 122000 NC USD 39491.4 0.010918689952 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2059-11-17 0 USD 15137.94 USD 122000 USD -24282.29 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 97000 NC USD 20612.5 0.005699000204 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2057-10-17 13458.75 USD 0 USD 97000 USD 7097.17 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 826166.03 NC USD 328648.85 0.090865730168 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2063-05-11 0 USD 489541.8 USD 826166.03 USD 161696.17 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 193401.02 NC USD 76934.93 0.021271179223 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2063-05-11 0 USD 114988.19 USD 193401.02 USD 38241.29 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 944000 NC USD 427348.8 0.118154561468 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2072-12-16 0 USD 115506.03 USD 944000 USD -310924.99 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 314000 NC USD 142147.8 0.039301411336 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2072-12-16 0 USD 39632.64 USD 314000 USD -102209.88 N N N J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 N/A 1146.79 NC USD 170.53 0.000047148599 N/A DCR CORP US N 2 J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 Y 2063-05-11 234.45 USD 0 USD 1146.79 USD -64.37 N N N J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 N/A 593000 NC USD 191954.1 0.053071992965 N/A DCR CORP US N 2 J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 Y 2059-11-17 74773.49 USD 0 USD 593000 USD 116834.69 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 6000 NC USD 1267.2 0.000350358911 N/A DCR CORP US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Y 2047-01-17 0 USD 33.73 USD 6000 USD -1229.97 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 5000 NC USD 1056 0.000291965759 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2047-01-17 0 USD 369.57 USD 5000 USD -683.51 N N N CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A 21000 NC USD 4435.2 0.001226256189 N/A DCR CORP US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Y 2047-01-17 0 USD 1379.16 USD 21000 USD -3043.79 N N N CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A 3000 NC USD 247.8 0.000068512420 N/A DCR CORP US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Y 2047-01-17 0 USD 110.42 USD 3000 USD -136.21 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 57000 NC USD 12038.4 0.003328409657 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2047-01-17 0 USD 4855.52 USD 57000 USD -7149.63 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 52000 NC USD 10982.4 0.003036443897 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2047-01-17 0 USD 4227.48 USD 52000 USD -6724.59 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 37000 NC USD 7814.4 0.002160546619 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2047-01-17 0 USD 3815.8 USD 37000 USD -3977.02 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 206000 NC USD 43507.2 0.012028989286 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2047-01-17 0 USD 23195.6 USD 206000 USD -20191.43 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 340000 NC USD 142902 0.039509934608 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2047-01-17 63621.13 USD 0 USD 340000 USD 78950.31 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 180000 NC USD 75654 0.020917024204 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2047-01-17 34709.2 USD 0 USD 180000 USD 40769.8 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 57000 NC USD 24897.6 0.006883756336 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2058-09-17 9104.58 USD 0 USD 57000 USD 15737.6 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 3000 NC USD 247.8 0.000068512420 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2047-01-17 22.24 USD 0 USD 3000 USD 224.39 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 32000 NC USD 13977.6 0.003864564960 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2058-09-17 4843.63 USD 0 USD 32000 USD 9102.86 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 16000 NC USD 6988.8 0.001932282480 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2058-09-17 2305.02 USD 0 USD 16000 USD 4668.22 N N N CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A 335000 NC USD 140800.5 0.038928906158 N/A DCR CORP US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Y 2047-01-17 0 USD 44809.84 USD 335000 USD -95664.97 N N N CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A 223000 NC USD 103226.7 0.028540399482 N/A DCR CORP US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Y 2059-11-17 27718.66 USD 0 USD 223000 USD 75291.23 N N N CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A 424000 NC USD 196269.6 0.054265154172 N/A DCR CORP US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Y 2059-11-17 50420.95 USD 0 USD 424000 USD 145436.43 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 110000 NC USD 50919 0.014078223960 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2059-11-17 12061.32 USD 0 USD 110000 USD 38750.74 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 134000 NC USD 62028.6 0.017149836460 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2059-11-17 13984.65 USD 0 USD 134000 USD 47913.67 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 134000 NC USD 62028.6 0.017149836460 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2059-11-17 14053.47 USD 0 USD 134000 USD 47844.85 N N N MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A 134000 NC USD 56320.2 0.015571562463 N/A DCR CORP GB N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 Y 2047-01-17 0 USD 16216.47 USD 134000 USD -39973.45 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 52000 NC USD 22713.6 0.006279918061 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2058-09-17 6258.23 USD 0 USD 52000 USD 16404.81 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 39000 NC USD 17035.2 0.004709938546 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2058-09-17 4640.98 USD 0 USD 39000 USD 12356.3 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 29000 NC USD 12667.2 0.003502261995 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2058-09-17 3026.37 USD 0 USD 29000 USD 9612.64 N N N MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A 287000 NC USD 120626.1 0.033351033037 N/A DCR CORP GB N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 Y 2047-01-17 0 USD 27162.95 USD 287000 USD -93184.12 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 65000 NC USD 28392 0.007849897576 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2058-09-17 5559 USD 0 USD 65000 USD 22769.81 N N N J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 N/A 289000 NC USD 133778.1 0.036987333858 N/A DCR CORP US N 2 J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 Y 2059-11-17 0 USD 23188.84 USD 289000 USD -110308.29 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 298606.78 NC USD 141897.94 0.039232329362 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2057-10-17 38366.55 USD 0 USD 298606.78 USD 103241.08 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 56000 NC USD 24460.8 0.006762988681 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2058-09-17 3446.93 USD 0 USD 56000 USD 20959.43 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 41106.14 NC USD 16352.02 0.004521051076 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2063-05-11 0 USD 7415.31 USD 41106.14 USD -8896.75 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 163000 NC USD 70432.3 0.019473314350 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2054-11-18 8455.57 USD 0 USD 163000 USD 61818.26 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 509000 NC USD 219938.9 0.060809306775 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2054-11-18 25962.91 USD 0 USD 509000 USD 193481.13 N N N MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A 134774.23 NC USD 53613.19 0.014823120957 N/A DCR CORP GB N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 Y 2063-05-11 0 USD 22363.64 USD 134774.23 USD -31118.52 N N N MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A 335000 NC USD 155071.5 0.042874591150 N/A DCR CORP GB N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 Y 2059-11-17 19061.35 USD 0 USD 335000 USD 135684.46 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 49000 NC USD 21403.2 0.005917615096 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2058-09-17 1903 USD 0 USD 49000 USD 19452.56 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 72000 NC USD 31449.6 0.008695271161 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2058-09-17 2814.73 USD 0 USD 72000 USD 28564.87 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 177228.11 NC USD 70501.34 0.019492402718 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2063-05-11 0 USD 37727.66 USD 177228.11 USD -32601.37 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 1183000 NC USD 497214.9 0.137471331298 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2047-01-17 0 USD 60372.76 USD 1183000 USD -435692 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 196000 NC USD 41395.2 0.011445057767 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2047-01-17 988.64 USD 0 USD 196000 USD 40292.23 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 941000 NC USD 411028.8 0.113642363368 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2058-09-17 33197.18 USD 0 USD 941000 USD 376916.76 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 295829.44 NC USD 117680.95 0.032536749934 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2063-05-11 0 USD 71327.11 USD 295829.44 USD -46066.23 N N N J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 N/A 90000 NC USD 19008 0.005255383669 N/A DCR CORP US N 2 J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 Y 2047-01-17 0 USD 21128.65 USD 90000 USD 2173.15 N N N J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 N/A 2139000 NC USD 899021.7 0.248563970961 N/A DCR CORP US N 2 J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 Y 2047-01-17 1047372.6 USD 0 USD 2139000 USD -150430.48 N N N J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 N/A 1274964.22 NC USD 507180.77 0.140226722209 N/A DCR CORP US N 2 J.P. MORGAN SECURITIES, LLC ZBUT11V806EZRVTWT807 Y 2063-05-11 0 USD 973999.66 USD 1274964.22 USD 468058.44 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 647000 NC USD 279568.7 0.077295916470 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2054-11-18 0 USD 365555 USD 647000 USD 86615.33 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 139000 NC USD 44994.3 0.012440146749 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2059-11-17 41411.4 USD 0 USD 139000 USD 3501.82 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 4000 NC USD 971.2 0.000268520024 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2058-09-17 946.36 USD 0 USD 4000 USD 22.51 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 1016871.57 NC USD 404511.51 0.111840445258 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2063-05-11 0 USD 754500 USD 1016871.57 USD 350977.12 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 28287.6 NC USD 4206.37 0.001162988647 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2063-05-11 0 USD 8833.75 USD 28287.6 USD 4638.38 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 278000 NC USD 58713.6 0.016233296221 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2047-01-17 60812.5 USD 0 USD 278000 USD -2261.07 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 655000 NC USD 286104 0.079102814034 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2058-09-17 0 USD 264865.62 USD 655000 USD -20601.57 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 102000 NC USD 44553.6 0.012318300811 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2058-09-17 0 USD 40856.67 USD 102000 USD -3597.76 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 2000 NC USD 647.4 0.000178994917 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2059-11-17 433.65 USD 0 USD 2000 USD 212.58 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 51000 NC USD 16508.7 0.004564370390 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2059-11-17 11028.43 USD 0 USD 51000 USD 5450.52 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 113000 NC USD 36589.4 0.010116337080 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2072-12-16 0 USD 10634.72 USD 113000 USD -25888.76 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 42049.13 NC USD 6252.71 0.001728766310 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2063-05-11 11103.13 USD 0 USD 42049.13 USD -4866.77 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 2097000 NC USD 678798.9 0.187676170740 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2059-11-17 360552.03 USD 0 USD 2097000 USD 317023.62 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 410000 NC USD 132758 0.036705293829 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2072-12-16 0 USD 35955.55 USD 410000 USD -96563.28 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 28976.46 NC USD 11526.84 0.003186972153 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2063-05-11 0 USD 18060 USD 28976.46 USD 6561.33 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 6116.24 NC USD 909.48 0.000251455510 N/A DCR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2063-05-11 1060 USD 0 USD 6116.24 USD -152.9 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 123000 NC USD 41057.4 0.011351661902 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2061-08-17 8467.75 USD 0 USD 123000 USD 32517.9 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 1339000 NC USD 284537.5 0.078669703843 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2057-10-17 208302.2 USD 0 USD 1339000 USD 75454.22 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 684000 NC USD 145350 0.040186764323 N/A DCR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2057-10-17 107261.8 USD 0 USD 684000 USD 37689.2 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 N/A 30000 NC USD 9711 0.002684923759 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2059-11-17 3824.3 USD 0 USD 30000 USD 5869.2 N N N State Street Institutional U.S. Government Money Market Fund, Premier Class N/A N/A 1648000 NS USD 1648000 0.455643533569 Long STIV RF US N 1 N N N PUTNAM SHORT TERM INVESTMENT FUND 5493003MK0Q7JP8CPP42 74676P664 20223800 NS USD 20223800 5.591531367835 Long STIV PF US N 2 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 18652000 NC USD -259449.32 -0.071733255429 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-17 0 USD 0 USD 18652000 USD 1 2.68 USD 2025-12-15 XXXX -259449.32 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 18652000 NC USD 66774.16 0.018461901829 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-17 0 USD 0 USD 18652000 USD 1 3.18 USD 2025-12-15 XXXX 66774.16 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 16579900 NC USD -241569.14 -0.066789694509 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-31 0 USD 0 USD 16579900 USD 1 3.343 USD 2025-12-29 XXXX -241569.14 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 8413600 NC USD -74796.9 -0.020680050859 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2036-01-07 0 USD 0 USD 8413600 USD 1 3.187 USD 2026-01-05 XXXX -74796.9 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 8413600 NC USD -65457.81 -0.018097953791 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2036-01-07 0 USD 0 USD 8413600 USD 1 3.187 USD 2026-01-05 XXXX -65457.81 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 2936000 NC USD -22988.88 -0.006356028226 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2028-07-17 0 USD 0 USD 2936000 USD 1 3.166 USD 2023-07-13 XXXX -22988.88 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 2936000 NC USD 18173.84 0.005024752837 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2028-07-17 0 USD 0 USD 2936000 USD 1 3.166 USD 2023-07-13 XXXX 18173.84 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 52817300 NC USD 366023.89 0.101199283137 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2033-07-31 0 USD 0 USD 52817300 USD 1 3.123 USD 2023-07-27 XXXX 366023.89 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 52817300 NC USD -565145.11 -0.156252860983 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2033-07-31 0 USD 0 USD 52817300 USD 1 3.123 USD 2023-07-27 XXXX -565145.11 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 19228900 NC USD 49610.56 0.013716462901 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-17 0 USD 0 USD 19228900 USD 1 3.17 USD 2025-12-15 XXXX 49610.56 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 19228900 NC USD -282087.96 -0.077992448344 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-17 0 USD 0 USD 19228900 USD 1 2.67 USD 2025-12-15 XXXX -282087.96 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 16579900 NC USD -21388.07 -0.005913431912 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-31 0 USD 0 USD 16579900 USD 1 3.343 USD 2025-12-29 XXXX -21388.07 N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912796YT0 4785000 PA USD 4678585.91 1.293548189404 Long DBT UST US N 2 2023-11-02 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912797FK8 11300000 PA USD 11024982.53 3.048217231496 Long DBT UST US N 2 2023-11-16 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912797FC6 8800000 PA USD 8610855.89 2.380752915517 Long DBT UST US N 2 2023-10-26 Fixed 0 N N N N N N 2023-07-27 Putnam Investments Inc Janet C. Smith NPORT Principal Financial Officer