Transamerica

03/31/2021*


Transamerica PIMCO Total Return VP

Security Description % of Total Net Assets
Uniform Mortgage-Backed Security, 2.00%, TBA 12.18%
U.S. Treasury Bond, 3.12%, due 08/15/2044 2.68%
U.S. Treasury Bill, 0.05%, due 09/16/2021 2.36%
U.S. Treasury Bond, 3.37%, due 05/15/2044 2.36%
U.S. Treasury Note, 2.25%, due 08/15/2027 1.96%
Uniform Mortgage-Backed Security, 2.00%, TBA 1.89%
Brazil Letras do Tesouro Nacional, Zero Coupon, due 10/01/2021 1.82%
U.S. Treasury Note, 1.87%, due 07/31/2022 1.57%
U.S. Treasury Bond, 1.37%, due 08/15/2050 1.36%
Hawksmoor Mortgages, Series 2019-1A, Class A, 1.09%, due 05/25/2053 1.36%
Towd Point Mortgage Funding, Series 2019-A13A, Class A1, 0.95%, due 07/20/2045 1.33%
U.S. Treasury Note, 2.62%, due 02/15/2029 1.16%
U.S. Treasury Bond, 3.00%, due 05/15/2045 1.14%
Uniform Mortgage-Backed Security, 3.50%, TBA 1.11%
U.S. Treasury Note, 1.75%, due 06/30/2024 0.96%
U.S. Treasury Bond, 1.37%, due 11/15/2040 0.91%
AT&T Mobility II LLC, Series A, 7.00% 0.88%
Uniform Mortgage-Backed Security, 2.50%, TBA 0.84%
U.S. Treasury Note, 1.87%, due 08/31/2022 0.79%
U.S. Treasury Bond, 1.62%, due 11/15/2050 0.74%
U.S. Treasury Note, 2.25%, due 10/31/2024 0.73%
U.S. Treasury Bond, 2.87%, due 05/15/2043 0.71%
Bayer US Finance II LLC, 3.87%, due 12/15/2023 0.70%
Towd Point Mortgage Funding, Series 2019-GR4A, Class A1, 1.05%, due 10/20/2051 0.70%
U.S. Treasury Bond, 2.87%, due 08/15/2045 0.60%
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE10, Class 21A3, 0.34%, due 12/25/2036 0.58%
Goldman Sachs Group, Inc., 3.75%, due 05/22/2025 0.55%
Japan Finance Organization for Municipalities, 3.37%, due 09/27/2023 0.53%
U.S. Treasury Bond, 2.75%, due 08/15/2042 0.49%
Federal Home Loan Bank Discount Notes, 0.02%, due 06/16/2021 0.47%
Japan Bank for International Cooperation, 2.87%, due 07/21/2027 0.43%
Government National Mortgage Association, 0.89%, due 09/20/2066 0.42%
Deutsche Bank AG, 3.70%, due 05/30/2024 0.41%
Qatar Government International Bond, 5.10%, due 04/23/2048 0.41%
Mizuho Financial Group, Inc., 3.92%, due 09/11/2024 0.41%
Hilton USA Trust, Series 2016-SFP, Class A, 2.82%, due 11/05/2035 0.41%
Japan Finance Organization for Municipalities, 2.62%, due 04/20/2022 0.41%
Qatar Government International Bond, 4.50%, due 04/23/2028 0.40%
American Tower Corp., 3.37%, due 05/15/2024 0.39%
Evergreen Credit Card Trust, Series 2019-2, Class A, 1.90%, due 09/16/2024 0.39%
Daimler Finance North America LLC, 2.55%, due 08/15/2022 0.39%
Cooperatieve Rabobank UA, 4.37%, due 08/04/2025 0.39%
Banque Federative du Credit Mutuel SA, 1.18%, due 07/20/2023 0.38%
Tralee CLO, Ltd., Series 2018-5A, Class A1, 1.33%, due 10/20/2028 0.37%
CIFC Funding, Ltd., Series 2015-5A, Class A1R, 1.07%, due 10/25/2027 0.36%
Countrywide Asset-Backed Certificates, Series 2006-24, Class 1A, 0.24%, due 06/25/2047 0.36%
Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB, 2.84%, due 10/10/2049 0.36%
Government National Mortgage Association, 0.71%, due 08/20/2065 0.36%
Marriott International, Inc., 4.15%, due 12/01/2023 0.36%
U.S. Treasury Bond, 1.87%, due 02/15/2041 0.36%
Ashford Hospitality Trust, Series 2018-AHT1, Class A, 1.10%, due 06/15/2035 0.35%
VMware, Inc., 2.95%, due 08/21/2022 0.35%
U.S. Treasury Bill, 0.05%, due 09/16/2021 0.34%
UniCredit SpA, 6.57%, due 01/14/2022 0.34%
U.S. Treasury Bond, 3.75%, due 11/15/2043 0.34%
Banco Santander SA, 3.84%, due 04/12/2023 0.34%
AIB Group PLC, 4.75%, due 10/12/2023 0.34%
Lloyds Bank PLC, Series MTN, 7.50%, due 04/02/2032 0.34%
Credit Suisse Group AG, 4.20%, due 06/12/2024 0.34%
Dell International LLC / EMC Corp., 5.45%, due 06/15/2023 0.34%
DBGS Mortgage Trust, Series 2019-1735, Class A, 3.84%, due 04/10/2037 0.34%
Barclays PLC, 7.75%, due 09/15/2023 0.34%
Simon Property Group, LP, 2.00%, due 09/13/2024 0.33%
Societe Generale SA, 4.25%, due 09/14/2023 0.33%
Volkswagen Group of America Finance LLC, 3.35%, due 05/13/2025 0.33%
PayPal Holdings, Inc., 2.85%, due 10/01/2029 0.33%
Synchrony Bank, 3.65%, due 05/24/2021 0.33%
NatWest Markets PLC, Series MTN, 0.62%, due 03/02/2022 0.32%
Boston Properties, LP, 3.40%, due 06/21/2029 0.32%
Daimler Finance North America LLC, 3.35%, due 05/04/2021 0.32%
AbbVie, Inc., 2.95%, due 11/21/2026 0.32%
JPMorgan Chase & Co., 3.90%, due 07/15/2025 0.32%
Israel Government International Bond, 2.75%, due 07/03/2030 0.32%
Credit Suisse Group AG, 1.42%, due 06/12/2024 0.32%
Government National Mortgage Association, 0.71%, due 07/20/2065 0.31%
Capital One Financial Corp., 4.25%, due 04/30/2025 0.31%
Boeing Co., 1.43%, due 02/04/2024 0.31%
Sound Point CLO XII, Ltd., Series 2016-2A, Class AR2, 1.27%, due 10/20/2028 0.31%
Welltower, Inc., 4.25%, due 04/15/2028 0.31%
UniCredit SpA, 7.83%, due 12/04/2023 0.31%
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, due 03/01/2025 0.31%
General Motors Financial Co., Inc., 4.20%, due 11/06/2021 0.31%
AT&T, Inc., 2.75%, due 06/01/2031 0.31%
Tennessee Gas Pipeline Co. LLC, 2.90%, due 03/01/2030 0.31%
Service Properties Trust, 4.35%, due 10/01/2024 0.31%
Anheuser-Busch InBev Worldwide, Inc., 4.50%, due 06/01/2050 0.30%
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A1, 3.90%, due 08/10/2035 0.30%
Deutsche Bank AG, 3.37%, due 05/12/2021 0.30%
Aqueduct European CLO DAC, Series 2017-1A, Class AR, 0.64%, due 07/20/2030 0.30%
Bank of America Corp., Series MTN, 1.19%, due 10/24/2026 0.30%
OneMain Finance Corp., 6.87%, due 03/15/2025 0.30%
Boston Gas Co., 3.00%, due 08/01/2029 0.30%
GLP Capital, LP / GLP Financing II, Inc., 4.00%, due 01/15/2030 0.30%
Nissan Motor Acceptance Corp., Series MTN, 2.60%, due 09/28/2022 0.30%
AT&T, Inc., 2.25%, due 02/01/2032 0.30%
Government National Mortgage Association, 0.88%, due 10/20/2066 0.30%
Broadcom, Inc., 5.00%, due 04/15/2030 0.28%
Shell International Finance BV, 2.75%, due 04/06/2030 0.28%
HCA, Inc., 5.37%, due 09/01/2026 0.28%
Gallatin CLO IX, Ltd., Series 2018-1A, Class A, 1.27%, due 01/21/2028 0.28%
Boeing Co., 2.75%, due 02/01/2026 0.28%
Unibail-Rodamco-Westfield SE, Series MTN, 1.00%, due 03/14/2025 0.28%
Broadcom, Inc., 3.45%, due 09/15/2026 0.28%
Nissan Motor Co., Ltd., 4.81%, due 09/17/2030 0.28%
Walt Disney Co., 3.60%, due 01/13/2051 0.28%
Structured Asset Investment Loan Trust, Series 2005-9, Class M1, 0.73%, due 11/25/2035 0.28%
Barings CLO BV, Series 2016-1A, Class A1R, 0.68%, due 07/27/2030 0.28%
NextEra Energy Capital Holdings, Inc., Series MTN, 2.20%, due 12/02/2026 0.28%
RASC Trust, Series 2005-KS11, Class M2, 0.73%, due 12/25/2035 0.27%
Broadcom, Inc., 4.11%, due 09/15/2028 0.27%
U.S. Treasury Note, 1.75%, due 09/30/2022 0.27%
Israel Government Bond - FRN, 0.05%, due 11/30/2021 0.27%
RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2B, 0.33%, due 06/12/2044 0.27%
GE Capital Funding LLC, 3.45%, due 05/15/2025 0.27%
Barclays Bank PLC, 10.17%, due 06/12/2021 0.27%
State Board of Administration Finance Corp., Series A, 1.25%, due 07/01/2025 0.26%
UBS Group AG, 4.25%, due 03/23/2028 0.26%
Venture XXIV CLO, Ltd., Series 2016-24A, Class ARR, 1.12%, due 10/20/2028 0.26%
Venture XXVII CLO, Ltd., Series 2017-27A, Class AR, 1.23%, due 07/20/2030 0.26%
Bain Capital Credit CLO, Ltd., Series 2017-2A, Class AR, 1.46%, due 07/25/2030 0.26%
Hyundai Capital America, 0.80%, due 04/03/2023 0.26%
Deutsche Bank AG, 5.00%, due 02/14/2022 0.26%
Mitsubishi UFJ Financial Group, Inc., 3.40%, due 03/07/2024 0.26%
Mizuho Financial Group, Inc., 1.24%, due 07/10/2024 0.26%
Omega Healthcare Investors, Inc., 3.37%, due 02/01/2031 0.26%
Ford Motor Credit Co. LLC, 4.37%, due 08/06/2023 0.26%
Volkswagen Group of America Finance LLC, 1.05%, due 09/24/2021 0.26%
DAE Funding LLC, 1.62%, due 02/15/2024 0.26%
Great-West Lifeco US Finance, LP, 0.90%, due 08/12/2025 0.26%
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR, 1.14%, due 10/15/2027 0.26%
Natwest Group PLC, 4.51%, due 06/25/2024 0.26%
Level 3 Financing, Inc., 3.40%, due 03/01/2027 0.26%
COMM Mortgage Trust, Series 2016-787S, Class A, 3.54%, due 02/10/2036 0.25%
Imperial Brands Finance PLC, 4.25%, due 07/21/2025 0.25%
Israel Government Bond - FRN, 0.05%, due 11/30/2021 0.25%
Bank of Israel Treasury Bill, 0.00%, due 03/02/2022 0.25%
Kimco Realty Corp., 1.90%, due 03/01/2028 0.25%
Chevron Corp., 2.23%, due 05/11/2030 0.25%
Aviation Capital Group LLC, 5.50%, due 12/15/2024 0.25%
Nissan Motor Co., Ltd., 3.20%, due 09/17/2028 0.25%
Piedmont Operating Partnership, LP, 3.15%, due 08/15/2030 0.25%
American Tower Corp., 2.40%, due 03/15/2025 0.25%
Pacific Gas & Electric Co., 3.15%, due 01/01/2026 0.25%
Nutrition & Biosciences, Inc., 1.23%, due 10/01/2025 0.25%
BNP Paribas SA, 1.90%, due 09/30/2028 0.25%
Anthem, Inc., 2.55%, due 03/15/2031 0.25%
LCM XV, LP, Series 15A, Class AR2, Zero Coupon, due 07/20/2030 0.25%
Sumitomo Mitsui Financial Group, Inc., 1.47%, due 07/08/2025 0.25%
Steele Creek CLO, Ltd., Series 2015-1A, Class AR2, 1.04%, due 05/21/2029 0.25%
MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A, 0.95%, due 07/15/2036 0.25%
National Fuel Gas Co., 2.95%, due 03/01/2031 0.25%
Option One Mortgage Loan Trust, Series 2007-5, Class 1A1, 0.32%, due 05/25/2037 0.25%
Appalachian Power Co., 2.70%, due 04/01/2031 0.25%
Standard Chartered PLC, 1.45%, due 01/14/2027 0.25%
Barclays PLC, 1.84%, due 01/10/2023 0.25%
Syngenta Finance NV, 4.44%, due 04/24/2023 0.25%
Delta Air Lines Pass-Through Trust, 6.82%, due 02/10/2024 0.25%
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB, 3.55%, due 12/15/2047 0.25%
Israel Government Bond, 5.50%, due 01/31/2022 0.25%
Motorola Solutions, Inc., 2.30%, due 11/15/2030 0.25%
Ambac LSNI LLC, 6.00%, due 02/12/2023 0.25%
Alternative Loan Trust, Series 2005-76, Class 1A2, 2.25%, due 01/25/2036 0.25%
BNP Paribas SA, 4.62%, due 02/25/2031 0.24%
Cordatus CLO PLC, Series 11A, Class AR , 0.65%, due 10/15/2031 0.24%
Natwest Group PLC, 3.49%, due 05/15/2023 0.24%
7-Eleven, Inc., 1.80%, due 02/10/2031 0.24%
Jersey Central Power & Light Co., 4.70%, due 04/01/2024 0.24%
Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC1, Class A1, 0.26%, due 12/25/2036 0.24%
Bank of America Corp., Series MTN, 0.98%, due 09/25/2025 0.24%
Swap Agreement, Pay, 12-Month GBP-SONIA 0.24%
Sound Point CLO XVI, Ltd., Series 2017-2A, Class AR, 1.18%, due 07/25/2030 0.24%
T-Mobile USA, Inc., 2.55%, due 02/15/2031 0.24%
Venture XVI CLO, Ltd., Series 2014-16A, Class ARR, 1.09%, due 01/15/2028 0.23%
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class ASB, 3.06%, due 02/15/2048 0.23%
TICP CLO III, Ltd., Series 2018-3R, Class A, 1.06%, due 04/20/2028 0.23%
Dell International LLC / EMC Corp., 5.30%, due 10/01/2029 0.23%
Government National Mortgage Association, 0.91%, due 06/20/2066 0.23%
Government National Mortgage Association, 0.73%, due 09/20/2065 0.22%
Imperial Brands Finance PLC, 3.50%, due 07/26/2026 0.22%
Deutsche Bank AG, 3.30%, due 11/16/2022 0.22%
Microchip Technology, Inc., 3.92%, due 06/01/2021 0.22%
First Franklin Mortgage Loan Trust, Series 2006-FF14, Class A6, 0.41%, due 10/25/2036 0.22%
IndyMac INDX Mortgage Loan Trust, Series 2006-AR35, Class 2A1A, 0.27%, due 01/25/2037 0.22%
Government National Mortgage Association, 0.71%, due 09/20/2065 0.22%
Alexandria Real Estate Equities, Inc., 4.30%, due 01/15/2026 0.22%
Government National Mortgage Association, 3.00%, due 11/15/2049 0.21%
Peru Government International Bond, 8.20%, due 08/12/2026 0.21%
GS Mortgage Securities Trust, Series 2016-GS3, Class AAB, 2.77%, due 10/10/2049 0.21%
TICP CLO I, Ltd., Series 2015-1A, Class AR, 1.02%, due 07/20/2027 0.21%
Teva Pharmaceutical Finance II BV, 3.25%, due 04/15/2022 0.21%
BCAP LLC Trust, Series 2009-RR3, Class 2A2, 3.34%, due 05/26/2037 0.21%
Barclays PLC, 7.87%, due 09/15/2022 0.21%
U.S. Treasury Bill, 0.02%, due 09/16/2021 0.21%
Citigroup, Inc., 1.62%, due 09/01/2023 0.21%
Government National Mortgage Association, 0.71%, due 08/20/2065 0.20%
Pacific Gas & Electric Co., 1.57%, due 11/15/2021 0.20%
Anchorage Capital CLO 16, Ltd., Series 2020-16A, Class A, 1.60%, due 10/20/2031 0.20%
Pacific Gas & Electric Co., 1.75%, due 06/16/2022 0.20%
Federal Home Loan Bank Discount Notes, 0.01%, due 05/14/2021 0.20%
Boardwalk Pipelines, LP, 3.40%, due 02/15/2031 0.20%
Ford Motor Credit Co. LLC, Series MTN, 4.53%, due 03/06/2025 0.20%
Bayer US Finance II LLC, 4.25%, due 12/15/2025 0.20%
Government National Mortgage Association, 1.24%, due 09/20/2067 0.20%
BBVA USA, 2.50%, due 08/27/2024 0.20%
Edison International, 3.55%, due 11/15/2024 0.20%
U.S. Treasury Bond, 4.50%, due 08/15/2039 0.20%
Aircastle, Ltd., 2.85%, due 01/26/2028 0.20%
Uniform Mortgage-Backed Security, 2.00%, TBA 0.20%
Deutsche Bank AG, 4.25%, due 10/14/2021 0.20%
Marriott Ownership Resorts, Inc. / ILG LLC, 6.50%, due 09/15/2026 0.20%
Spirit AeroSystems, Inc., 3.95%, due 06/15/2023 0.20%
Wyndham Hotels & Resorts, Inc., Term Loan B, 1.85%, due 05/30/2025 0.20%
Mitsubishi UFJ Lease & Finance Co., Ltd., Series MTN, 2.25%, due 09/07/2021 0.20%
Nomura Holdings, Inc., 2.67%, due 07/16/2030 0.19%
General Motors Financial Co., Inc., 1.07%, due 04/09/2021 0.19%
U.S. Treasury Bill, 0.01%, due 05/18/2021 0.19%
Government National Mortgage Association, 0.69%, due 06/20/2065 0.19%
Aviation Capital Group LLC, 3.87%, due 05/01/2023 0.19%
CBL & Associates, LP, 5.95%, due 12/15/2026 0.19%
Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates, Series 2004-OPT1, Class M3, 1.05%, due 10/25/2034 0.19%
One New York Plaza Trust, Series 2020-1NYP, Class A, 1.05%, due 01/15/2026 0.19%
Peru Government International Bond, 5.94%, due 02/12/2029 0.19%
KVK CLO, Ltd., Series 2013-1A, Class AR, 1.13%, due 01/14/2028 0.19%
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.46%, due 07/23/2022 0.19%
Electronic Arts, Inc., 1.85%, due 02/15/2031 0.19%
Government National Mortgage Association, 0.71%, due 04/20/2065 0.19%
Natwest Group PLC, 8.62%, due 08/15/2021 0.18%
Aurium CLO II DAC, Series 2A, Class AR, 0.68%, due 10/13/2029 0.18%
Cooperatieve Rabobank UA, 6.62%, due 06/29/2021 0.18%
Lloyds Banking Group PLC, 7.62%, due 06/27/2023 0.18%
Government National Mortgage Association, 0.71%, due 07/20/2065 0.18%
Monarch Grove CLO Trust, Series 2018-1A, Class A1, 1.09%, due 01/25/2028 0.18%
Credit Suisse Group Funding Guernsey, Ltd., 3.45%, due 04/16/2021 0.18%
Charter Communications Operating LLC / Charter Communications Operating Capital, 1.85%, due 02/01/2024 0.17%
Option One Mortgage Loan Trust, Series 2007-2, Class 1A1, 0.24%, due 03/25/2037 0.17%
Federal National Mortgage Association, 4.00%, due 02/01/2048 0.17%
Peru Government International Bond, 8.20%, due 08/12/2026 0.17%
JetBlue Pass-Through Trust, 2.75%, due 11/15/2033 0.16%
New York State Urban Development Corp., 1.77%, due 03/15/2028 0.16%
Wachovia Mortgage Loan Trust, Series 2005-WMC1, Class M2, 0.79%, due 10/25/2035 0.16%
Takeda Pharmaceutical Co., Ltd., 2.05%, due 03/31/2030 0.16%
ACRES Commercial Realty Corp., Series 2020-RSO9, Class A, 2.60%, due 04/17/2037 0.16%
FirstEnergy Corp., 4.40%, due 07/15/2027 0.16%
Countrywide Asset-Backed Certificates, Series 2007-2, Class 2A3, 0.24%, due 08/25/2037 0.16%
Government National Mortgage Association, 0.71%, due 10/20/2065 0.15%
Florida Power & Light Co., 3.70%, due 12/01/2047 0.15%
Teva Pharmaceutical Finance II BV, 1.25%, due 03/31/2023 0.15%
U.S. Treasury Bill, 0.06%, due 08/19/2021 0.15%
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A, 1.23%, due 05/15/2028 0.15%
Peru Government International Bond, 6.35%, due 08/12/2028 0.14%
Chesapeake Funding II LLC, Series 2018-2A, Class A1, 3.23%, due 08/15/2030 0.14%
Uniform Mortgage-Backed Security, 5.00%, TBA 0.14%
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A, 3.43%, due 12/16/2024 0.14%
Government National Mortgage Association, 0.86%, due 08/20/2067 0.14%
Octagon Investment Partners XXIII, Ltd., Series 2015-1A, Class A1R, 1.09%, due 07/15/2027 0.14%
SLM Student Loan Trust, Series 2003-11, Class A6, 0.73%, due 12/15/2025 0.14%
Volkswagen Bank GmbH, Series MTN, 1.87%, due 01/31/2024 0.13%
CIT Mortgage Loan Trust, Series 2007-1, Class 1A, 1.45%, due 10/25/2037 0.13%
Venture XX CLO, Ltd., Series 2015-20A, Class AR, 1.06%, due 04/15/2027 0.13%
American Airlines Pass-Through Trust, 3.35%, due 04/15/2031 0.13%
Countrywide Asset-Backed Certificates, Series 2006-20, Class 1A, 0.24%, due 04/25/2047 0.13%
Alternative Loan Trust, Series 2005-80CB, Class 1A1, 6.00%, due 02/25/2036 0.13%
Master Asset-Backed Securities Trust, Series 2007-HE2, Class A1, 1.25%, due 08/25/2037 0.13%
Brandywine Operating Partnership, LP, 3.95%, due 11/15/2027 0.13%
U.S. Treasury Bond, 4.25%, due 05/15/2039 0.12%
U.S. Treasury Bill, 0.09%, due 05/20/2021 0.12%
Regeneron Pharmaceuticals, Inc., 1.75%, due 09/15/2030 0.12%
Home Equity Asset Trust, Series 2004-4, Class M1, 0.88%, due 10/25/2034 0.12%
Choice Hotels International, Inc., 3.70%, due 12/01/2029 0.12%
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-9, Class MV4, 1.68%, due 11/25/2034 0.12%
Expedia Group, Inc., 2.95%, due 03/15/2031 0.12%
Citigroup Mortgage Loan Trust, Inc., Series 2007-FS1, Class 1A1, 4.41%, due 10/25/2037 0.12%
UBS Group AG, 4.12%, due 09/24/2025 0.12%
Alternative Loan Trust, Series 2005-J12, Class 2A1, 0.64%, due 08/25/2035 0.12%
Time Warner Cable LLC, 4.00%, due 09/01/2021 0.11%
Molson Coors Beverage Co., 2.10%, due 07/15/2021 0.11%
American International Group, Inc., 3.75%, due 07/10/2025 0.11%
State of Illinois, 6.63%, due 02/01/2035 0.11%
IndyMac INDX Mortgage Loan Trust, Series 2006-R1, Class A3, 2.98%, due 12/25/2035 0.11%
GSAMP Trust, Series 2005-HE1, Class M2, 1.42%, due 12/25/2034 0.11%
Government National Mortgage Association, 1.06%, due 12/20/2066 0.11%
General Motors Financial Co., Inc., Series MTN, 0.01%, due 03/26/2022 0.11%
Alabama Power Co., 1.45%, due 09/15/2030 0.10%
Federal Realty Investment Trust, 3.50%, due 06/01/2030 0.10%
Brazil Letras do Tesouro Nacional, Zero Coupon, due 01/01/2022 0.10%
Government National Mortgage Association, 4.00%, due 09/15/2049 0.10%
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W4, Class A2D, 0.86%, due 02/25/2036 0.10%
Pacific Gas & Electric Co., 3.40%, due 08/15/2024 0.10%
GSR Mortgage Loan Trust, Series 2005-8F, Class 2A6, 5.50%, due 11/25/2035 0.10%
Federal Home Loan Bank Discount Notes, 0.01%, due 06/30/2021 0.10%
Reperforming Loan Trust REMIC, Series 2006-R1, Class AF1, 0.45%, due 01/25/2036 0.10%
GS Mortgage Securities Trust, Series 2016-GS3, Class WMA, 3.60%, due 10/10/2049 0.10%
Wells Fargo & Co., 1.44%, due 10/31/2023 0.10%
Bayer US Finance II LLC, 3.50%, due 06/25/2021 0.09%
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 3A3, 3.18%, due 02/25/2037 0.09%
OCP CLO, Ltd., Series 2015-9A, Class A1R, 1.04%, due 07/15/2027 0.09%
Federal Home Loan Mortgage Corp., 3.50%, due 08/01/2049 0.09%
Federal National Mortgage Association, 3.00%, due 08/01/2049 0.09%
Adams Mill CLO, Ltd., Series 2014-1A, Class A1R, 1.34%, due 07/15/2026 0.09%
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-8, Class 1A2, 3.18%, due 09/25/2036 0.09%
Federal National Mortgage Association, 2.79%, due 01/01/2036 0.09%
Pacific Gas & Electric Co., 3.45%, due 07/01/2025 0.09%
WaMu Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A3, 0.35%, due 04/25/2037 0.09%
Enel Finance International NV, 4.25%, due 09/14/2023 0.09%
Eurosail PLC, Series 2007-3X, Class A3C, 1.03%, due 06/13/2045 0.09%
Federal National Mortgage Association, 5.00%, due 08/01/2026 0.09%
Pacific Gas & Electric Co., 4.25%, due 08/01/2023 0.09%
Bear Stearns Alt-A Trust, Series 2006-6, Class 31A1, 3.21%, due 11/25/2036 0.08%
Digital Realty Trust, LP, 3.70%, due 08/15/2027 0.08%
American Home Mortgage Assets Trust, Series 2007-1, Class A1, 0.95%, due 02/25/2047 0.08%
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY4, Class 2A2, 3.09%, due 04/25/2037 0.08%
Continental Airlines Pass-Through Trust, 4.15%, due 10/11/2025 0.08%
Banc of America Funding Trust, Series 2005-D, Class A1, 3.12%, due 05/25/2035 0.08%
Banco Bilbao Vizcaya Argentaria SA, 0.87%, due 09/18/2023 0.08%
RALI Trust, Series 2007-QO2, Class A1, 0.25%, due 02/25/2047 0.08%
Swap Agreement, Receive, Markit iTraxx® Europe Crossover - Series 35 0.08%
Banco Bilbao Vizcaya Argentaria SA, 1.12%, due 09/18/2025 0.07%
Evergy, Inc., 2.45%, due 09/15/2024 0.07%
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2, 6.50%, due 04/25/2037 0.07%
Bear Stearns Asset-Backed Securities Trust, Series 2004-1, Class M1, 1.08%, due 06/25/2034 0.07%
Benefit Street Partners CLO VII, Ltd., Series 2015-VIIA, Class A1AR, 1.00%, due 07/18/2027 0.07%
Alternative Loan Trust, Series 2006-OA12, Class A1B, 0.30%, due 09/20/2046 0.07%
U.S. Treasury Bond, 4.62%, due 02/15/2040 0.07%
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.07%
Federal Home Loan Mortgage Corp., 4.00%, due 04/01/2048 0.07%
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C, 0.35%, due 03/25/2037 0.07%
Business Mortgage Finance 7 PLC, Series 7X, Class A1, 2.05%, due 02/15/2041 0.07%
Structured Asset Securities Corp. Trust, Series 2005-5, Class 2A2, 5.50%, due 04/25/2035 0.07%
MPT Operating Partnership, LP / MPT Finance Corp., 2.55%, due 12/05/2023 0.07%
U.S. Treasury Bond, 2.75%, due 11/15/2042 0.07%
Alternative Loan Trust, Series 2006-OA21, Class A1, 0.30%, due 03/20/2047 0.06%
Alexandria Real Estate Equities, Inc., 3.37%, due 08/15/2031 0.06%
Countrywide Asset-Backed Certificates, Series 2006-24, Class 2A3, 0.25%, due 06/25/2047 0.06%
Federal National Mortgage Association, 3.50%, due 05/01/2049 0.06%
Hudson Pacific Properties, LP, 4.65%, due 04/01/2029 0.06%
Kuwait International Government Bond, 2.75%, due 03/20/2022 0.06%
Federal Home Loan Mortgage Corp., 5.00%, due 08/01/2024 0.06%
Expedia Group, Inc., 3.80%, due 02/15/2028 0.06%
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 0.68%, due 10/25/2045 0.06%
Bear Stearns Alt-A Trust, Series 2005-8, Class 21A1, 2.54%, due 10/25/2035 0.06%
JPMorgan Chase & Co., 3.55%, due 04/23/2024 0.06%
Tayarra, Ltd., 3.62%, due 02/15/2022 0.05%
Swaption Purchased, PUT, 5-Year , Exercise Rate 0.01%, Expiration Date 03/15/2022 0.05%
Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-A, Class 1A, 0.32%, due 04/25/2037 0.05%
RALI Trust, Series 2005-QA13, Class 2A1, 3.99%, due 12/25/2035 0.05%
Santander Drive Auto Receivables Trust, Series 2020-2, Class A2A, 0.62%, due 05/15/2023 0.05%
U.S. Treasury Bond, 4.37%, due 11/15/2039 0.05%
Pacific Gas & Electric Co., 3.50%, due 06/15/2025 0.05%
ING Groep NV, 4.62%, due 01/06/2026 0.05%
Swap Agreement, Receive, Markit iTraxx® Europe Crossover - Series 34 0.05%
Ford Motor Credit Co. LLC, Series MTN, 1.74%, due 07/19/2024 0.04%
Voya CLO, Ltd., Series 2014-3A, Class A1R, 0.93%, due 07/25/2026 0.04%
Ford Motor Credit Co. LLC, Series MTN, Zero Coupon, due 12/01/2021 0.04%
Peru Government International Bond, 6.95%, due 08/12/2031 0.04%
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE9, Class M2, 1.03%, due 11/25/2034 0.04%
Sabra Health Care, LP, 3.90%, due 10/15/2029 0.04%
Swap Agreement, Receive, AES Corp., 2.45%, 01/15/2031 0.04%
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC, 3.36%, due 03/20/2023 0.04%
Barclays Bank PLC, 7.62%, due 11/21/2022 0.04%
Textron, Inc., 2.45%, due 03/15/2031 0.04%
Odebrecht Offshore Drilling Finance, Ltd., 7.72%, due 12/01/2026 0.04%
Futures Contracts, Short, 5-Year U.S. Treasury Note 0.03%
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC6, Class M3, 0.87%, due 07/25/2035 0.03%
Alternative Loan Trust, Series 2007-HY4, Class 1A1, 2.82%, due 06/25/2037 0.03%
Government National Mortgage Association, 4.00%, due 07/15/2049 0.03%
Morgan Stanley Mortgage Loan Trust, Series 2007-14AR, Class 1A3, 3.97%, due 10/25/2037 0.03%
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 3A1, 2.93%, due 09/25/2035 0.03%
CSMC Trust, Series 2008-3R, Class 1A2, 3.32%, due 07/26/2037 0.02%
Alternative Loan Trust, Series 2007-9T1, Class 1A10, 6.00%, due 05/25/2037 0.02%
RASC Trust, Series 2006-KS9, Class AI3, 0.26%, due 11/25/2036 0.02%
Halcyon Loan Advisors Funding, Ltd., Series 2014-3A, Class AR, 1.32%, due 10/22/2025 0.02%
Federal Home Loan Mortgage Corp., 5.00%, due 06/01/2026 0.02%
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 1.45%, due 10/25/2044 0.02%
Federal National Mortgage Association, 4.00%, due 10/01/2047 0.02%
RASC Trust, Series 2006-EMX1, Class M1, 0.72%, due 01/25/2036 0.02%
Bear Stearns Alt-A Trust, Series 2006-R1, Class 2E21, 3.19%, due 08/25/2036 0.02%
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AQ1, Class M2, 1.08%, due 03/25/2035 0.02%
Soundview Home Loan Trust, Series 2007-WMC1, Class 3A1, 0.21%, due 02/25/2037 0.02%
Odebrecht Offshore Drilling Finance, Ltd., 6.72%, due 12/01/2022 0.02%
U.S. Small Business Administration, Series 2008-20L, Class 1, 6.22%, due 12/01/2028 0.02%
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 1A1, 3.01%, due 09/25/2036 0.02%
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A, 2.78%, due 09/25/2033 0.02%
Federal Home Loan Mortgage Corp., 4.00%, due 12/01/2047 0.02%
Ford Motor Credit Co. LLC, Series MTN, 3.25%, due 09/15/2025 0.02%
Ford Motor Credit Co. LLC, 2.33%, due 11/25/2025 0.02%
Sequoia Mortgage Trust, Series 2004-12, Class A1, 0.65%, due 01/20/2035 0.02%
Bear Stearns Alt-A Trust, Series 2006-6, Class 32A1, 3.25%, due 11/25/2036 0.02%
Pacific Gas & Electric Co., 3.30%, due 12/01/2027 0.01%
NACC Reperforming Loan Trust REMIC, Series 2004-R1, Class A1, 6.50%, due 03/25/2034 0.01%
Federal National Mortgage Association, 5.00%, due 09/01/2024 0.01%
Banco Espirito Santo SA, Series MTN, 2.62%, due 05/08/2017 0.01%
Swap Agreement, Pay, 12-Month GBP-SONIA 0.01%
Alternative Loan Trust, Series 2005-56, Class 5A2, 1.64%, due 11/25/2035 0.01%
RFMSI Trust, Series 2005-SA4, Class 1A21, 3.21%, due 09/25/2035 0.01%
Federal National Mortgage Association, 5.00%, due 02/01/2025 0.01%
Reperforming Loan Trust REMIC, Series 2003-R4, Class 2A, 4.82%, due 01/25/2034 0.01%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Interest Only STRIPS, 1.21%, due 08/25/2022 0.01%
Sprint Corp., 7.12%, due 06/15/2024 0.01%
Reperforming Loan Trust REMIC, Series 2005-R2, Class 1AF1, 0.44%, due 06/25/2035 0.01%
Bear Stearns Alt-A Trust, Series 2006-8, Class 3A1, 0.42%, due 02/25/2034 0.01%
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 1.65%, due 07/25/2044 0.01%
U.S. Treasury Note, 2.00%, due 10/31/2022 0.01%
Bear Stearns ARM Trust, Series 2003-5, Class 2A1, 2.94%, due 08/25/2033 0.01%
Federal National Mortgage Association, 5.00%, due 09/01/2025 0.01%
Federal National Mortgage Association, 1.63%, due 08/01/2035 0.01%
Mountain Hawk III CLO, Ltd., Series 2014-3A, Class AR, 1.42%, due 04/18/2025 0.01%
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1, 2.94%, due 02/25/2037 0.01%
Federal Home Loan Mortgage Corp., 3.50%, due 03/01/2048 0.01%
HarborView Mortgage Loan Trust, Series 2006-7, Class 2A1A, 0.51%, due 09/19/2046 0.01%
GSR Mortgage Loan Trust, Series 2004-12, Class 1A1, 0.44%, due 12/25/2034 0.01%
Government National Mortgage Association, 4.00%, due 12/15/2049 0.01%
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.01%
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE6, Class M2, 1.11%, due 06/25/2035 0.01%
Swap Agreement, Pay, BRL-CDI 0.01%
Federal National Mortgage Association, 5.00%, due 09/01/2026 0.01%
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1, 2.75%, due 01/26/2036 0.01%
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-1, Class 1A1, 2.79%, due 02/25/2035 0.01%
Federal National Mortgage Association, 2.29%, due 09/01/2035 0.01%
Banco Espirito Santo SA, Series MTN, 4.00%, due 01/21/2019 0.01%
Banc of America Funding Trust, Series 2006-D, Class 5A1, 3.14%, due 05/20/2036 0.01%
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR15, Class 2A1, 3.21%, due 06/25/2033 0.01%
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 2A1, 2.88%, due 12/26/2046 0.01%
Federal National Mortgage Association, 5.00%, due 01/01/2023 0.01%
RALI Trust, Series 2005-QO3, Class A1, 0.90%, due 10/25/2045 0.01%
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.01%
Federal National Mortgage Association, 5.00%, due 04/01/2023 0.01%
HCA, Inc., 5.87%, due 02/01/2029 0.01%
Alternative Loan Trust, Series 2005-14, Class 2A1, 0.52%, due 05/25/2035 0.01%
Federal Home Loan Mortgage Corp., 2.45%, due 09/01/2035 0.01%
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A, 0.66%, due 02/25/2036 0.01%
Federal National Mortgage Association, 5.00%, due 02/01/2024 0.01%
Federal National Mortgage Association, 5.00%, due 02/01/2023 0.01%
Ameriquest Mortgage Securities Trust, Series 2006-R1, Class M1, 0.49%, due 03/25/2036 0.00%**
Reperforming Loan Trust REMIC, Series 2004-R1, Class 2A, 6.50%, due 11/25/2034 0.00%**
Swap Agreement, Pay, BRL-CDI 0.00%**
U.S. Small Business Administration, Series 2004-20C, Class 1, 4.34%, due 03/01/2024 0.00%**
Federal National Mortgage Association, 4.00%, due 12/01/2040 0.00%**
Federal National Mortgage Association, 4.00%, due 12/01/2040 0.00%**
Bear Stearns ARM Trust, Series 2006-4, Class 1A1, 3.05%, due 10/25/2036 0.00%**
Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A1, 2.22%, due 09/25/2035 0.00%**
Federal National Mortgage Association, 5.00%, due 03/01/2023 0.00%**
Swap Agreement, Receive, Tesco PLC, 6.00%, 12/14/2029 0.00%**
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR7, Class 2A, 1.23%, due 07/25/2046 0.00%**
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, 2.92%, due 09/25/2035 0.00%**
Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 0.00%**
Swap Agreement, Pay, BRL-CDI 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Federal National Mortgage Association, 5.00%, due 07/01/2024 0.00%**
Federal Home Loan Mortgage Corp., 5.00%, due 04/01/2023 0.00%**
Bear Stearns Asset-Backed Securities Trust, Series 2006-SD3, Class 21A1, 3.08%, due 07/25/2036 0.00%**
Federal National Mortgage Association, 5.00%, due 03/01/2027 0.00%**
Soundview Home Loan Trust, Series 2005-3, Class M3, 0.93%, due 06/25/2035 0.00%**
Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 0.00%**
Swap Agreement, Pay, BRL-CDI 0.00%**
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-AR1, Class 2A1, 1.97%, due 08/25/2035 0.00%**
Adjustable Rate Mortgage Trust, Series 2005-10, Class 1A21, 2.82%, due 01/25/2036 0.00%**
Federal National Mortgage Association, 1.57%, due 06/01/2043 0.00%**
Swap Agreement, Pay, BRL-CDI 0.00%**
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 0.61%, due 07/19/2035 0.00%**
Adjustable Rate Mortgage Trust, Series 2005-5, Class 2A1, 3.20%, due 09/25/2035 0.00%**
Federal National Mortgage Association, 2.12%, due 05/01/2035 0.00%**
Adjustable Rate Mortgage Trust, Series 2005-4, Class 1A1, 2.14%, due 08/25/2035 0.00%**
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 6.50%, due 07/25/2043 0.00%**
Government National Mortgage Association, 0.81%, due 10/20/2065 0.00%**
Bear Stearns ARM Trust, Series 2003-8, Class 4A1, 2.77%, due 01/25/2034 0.00%**
Federal National Mortgage Association, 5.00%, due 09/01/2026 0.00%**
Bear Stearns ARM Trust, Series 2004-10, Class 22A1, 4.33%, due 01/25/2035 0.00%**
Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A2, 2.29%, due 09/25/2035 0.00%**
Swap Agreement, Pay, BRL-CDI 0.00%**
CHL Mortgage Pass-Through Trust, Series 2005-HY10, Class 5A1, 2.90%, due 02/20/2036 0.00%**
Swap Agreement, Pay, BRL-CDI 0.00%**
Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 0.00%**
Federal National Mortgage Association, 5.00%, due 12/01/2023 0.00%**
Banc of America Funding Trust, Series 2006-J, Class 4A1, 3.37%, due 01/20/2047 0.00%**
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1, 0.61%, due 07/19/2035 0.00%**
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1, 2.96%, due 01/25/2035 0.00%**
Federal National Mortgage Association, 5.50%, due 01/01/2025 0.00%**
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 3A1, 2.55%, due 09/25/2034 0.00%**
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17, Class 3A1, 2.97%, due 08/25/2035 0.00%**
Federal National Mortgage Association, 5.00%, due 09/01/2026 0.00%**
Federal Home Loan Mortgage Corp., 2.01%, due 09/01/2035 0.00%**
Federal National Mortgage Association, 5.00%, due 06/01/2037 0.00%**
Bear Stearns ARM Trust, Series 2003-9, Class 2A1, 2.87%, due 02/25/2034 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A2, 0.61%, due 07/19/2035 0.00%**
Federal National Mortgage Association, 5.00%, due 05/01/2037 0.00%**
Bear Stearns ARM Trust, Series 2003-8, Class 2A1, 2.32%, due 01/25/2034 0.00%**
Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.25%, due 12/25/2033 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 2A1, 3.26%, due 08/25/2035 0.00%**
BCAP LLC Trust, Series 2013-RR12, Class 1A3, 0.61%, due 05/26/2035 0.00%**
Federal National Mortgage Association, 1.85%, due 08/01/2036 0.00%**
MASTR Alternative Loan Trust, Series 2006-2, Class 2A1, 0.50%, due 03/25/2036 0.00%**
Federal Home Loan Mortgage Corp. REMIC, 0.45%, due 12/15/2029 0.00%**
CHL Mortgage Pass-Through Trust, Series 2004-12, Class 11A1, 3.11%, due 08/25/2034 0.00%**
U.S. Small Business Administration, Series 2003-20I, Class 1, 5.13%, due 09/01/2023 0.00%**
Alternative Loan Trust, Series 2005-62, Class 2A1, 1.25%, due 12/25/2035 0.00%**
Federal National Mortgage Association, 2.82%, due 01/01/2028 0.00%**
Federal National Mortgage Association, 5.00%, due 12/01/2022 0.00%**
Structured Asset Mortgage Investments Trust, Series 2002-AR3, Class A1, 0.77%, due 09/19/2032 0.00%**
Federal National Mortgage Association, 2.15%, due 08/01/2035 0.00%**
Sequoia Mortgage Trust, Series 2010, Class 2A1, 0.87%, due 10/20/2027 0.00%**
Bear Stearns Asset-Backed Securities Trust, Series 2002-2, Class A1, 0.76%, due 10/25/2032 0.00%**
Federal National Mortgage Association, 5.50%, due 09/01/2027 0.00%**
Federal Home Loan Mortgage Corp., 2.95%, due 08/01/2023 0.00%**
Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC4, Class A2C, 0.27%, due 05/25/2037 0.00%**
Federal National Mortgage Association, 1.71%, due 12/01/2034 0.00%**
Federal National Mortgage Association, 2.32%, due 10/01/2035 0.00%**
RFMSI Trust, Series 2003-S9, Class A1, 6.50%, due 03/25/2032 0.00%**
Odebrecht Oil & Gas Finance, Ltd., Zero Coupon, due 04/26/2021 0.00%**
Federal National Mortgage Association, 2.53%, due 07/01/2032 0.00%**
Federal National Mortgage Association, 5.00%, due 01/01/2023 0.00%**
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1, 3.01%, due 01/25/2036 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Home Equity Asset Trust, Series 2002-1, Class A4, 0.70%, due 11/25/2032 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Federal Home Loan Mortgage Corp., 5.00%, due 07/01/2025 0.00%**
Swap Agreement, Pay, BRL-CDI 0.00%**
Federal National Mortgage Association, 5.00%, due 06/01/2023 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Swaption Written, CALL, 5-Year, Exercise Rate 1.02%, Expiration Date 04/07/2021 0.00%**
Swaption Written, CALL, 5-Year, Exercise Rate 1.02%, Expiration Date 04/07/2021 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Swaption Written, PUT, 5-Year, Exercise Rate 99.9%, Expiration Date 04/07/2021 0.00%**
Swap Agreement, Receive, BRL-CDI 0.00%**
Swaption Written, PUT, 5-Year, Exercise Rate 1.04%, Expiration Date 06/07/2021 0.00%**
Swaption Written, CALL, 5-Year, Exercise Rate 1.01%, Expiration Date 06/07/2021 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swaption Written, PUT, 5-Year, Exercise Rate 1.00%, Expiration Date 04/07/2021 0.00%**
Swaption Written, PUT, 5-Year, Exercise Rate 1.02%, Expiration Date 05/06/2021 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swaption Written, PUT, 5-Year, Exercise Rate 98.5%, Expiration Date 06/07/2021 0.00%**
Option Written, CALL, USD vs BRL, Exercise Price $6.25, Expiration Date 05/27/2021 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, BRL-CDI 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Futures Contracts, Short, German Euro BUXL 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, Home Equity ABS Index - Series 6-2 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, Republic of South Africa Government International Bond, 5.50%, 03/09/2020 -0.01%**
Swaption Written, PUT, 5-Year, Exercise Rate 1.01%, Expiration Date 05/06/2021 -0.01%**
Swap Agreement, Receive, 6-Month JPY-LIBOR -0.01%**
Swap Agreement, Receive, BRL-CDI -0.01%**
Swap Agreement, Receive, 6-Month JPY-LIBOR -0.01%**
Swap Agreement, Receive, 6-Month JPY-LIBOR -0.01%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.01%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.01%**
Swap Agreement, Receive, BRL-CDI -0.01%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.01%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.01%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.01%**
Futures Contracts, Long, U.S. Treasury Ultra Bond -0.02%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.02%**
Swap Agreement, Receive, BRL-CDI -0.02%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.02%**
Futures Contracts, Long, 30-Year U.S. Treasury Bond -0.02%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.02%**
Swap Agreement, Receive, 6-Month JPY-LIBOR -0.02%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.03%**
Swap Agreement, Receive, 6-Month JPY-LIBOR -0.04%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.04%**
Swaption Written, PUT, 5-Year , Exercise Rate 0.01%, Expiration Date 03/15/2022 -0.05%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.08%**
Futures Contracts, Long, 10-Year U.S. Treasury Note -0.21%**
Uniform Mortgage-Backed Security -0.26%**
Net Other Assets (Liabilities) -12.15%**