Transamerica

08/31/2020*


Transamerica PIMCO Total Return VP

Security Description % of Total Net Assets
Uniform Mortgage-Backed Security, 2.50%, TBA 9.38%
Uniform Mortgage-Backed Security, 3.00%, TBA 7.50%
Uniform Mortgage-Backed Security, 2.00%, TBA 7.38%
Uniform Mortgage-Backed Security, 3.50%, TBA 4.52%
U.S. Treasury Bond, 3.12%, due 08/15/2044 3.10%
U.S. Treasury Bond, 3.37%, due 05/15/2044 2.73%
Government National Mortgage Association, 4.50%, TBA 2.52%
U.S. Treasury Note, 2.25%, due 08/15/2027 2.01%
U.S. Treasury Bond, 1.37%, due 08/15/2050 1.55%
U.S. Treasury Note, 1.87%, due 07/31/2022 1.54%
Hawksmoor Mortgages, Series 2019-1A, Class A, 1.11%, due 05/25/2053 1.36%
U.S. Treasury Bond, 3.00%, due 05/15/2045 1.33%
Towd Point Mortgage Funding, Series 2019-A13A, Class A1, 0.96%, due 07/20/2045 1.31%
U.S. Treasury Note, 2.62%, due 02/15/2029 1.22%
Government National Mortgage Association, 4.50%, TBA 1.02%
U.S. Treasury Note, 1.75%, due 06/30/2024 0.95%
U.S. Treasury Bond, 2.87%, due 05/15/2043 0.82%
U.S. Treasury Note, 1.87%, due 08/31/2022 0.77%
Towd Point Mortgage Funding, Series 2019-GR4A, Class A1, 1.10%, due 10/20/2051 0.72%
U.S. Treasury Note, 2.25%, due 10/31/2024 0.72%
U.S. Treasury Bond, 2.87%, due 08/15/2045 0.70%
Bayer US Finance II LLC, 3.87%, due 12/15/2023 0.69%
Ford Motor Credit Co. LLC, Series MTN, 1.22%, due 09/24/2020 0.66%
Federal National Mortgage Association, 4.00%, due 08/01/2048 0.58%
U.S. Treasury Bond, 2.75%, due 08/15/2042 0.56%
Goldman Sachs Group, Inc., 3.75%, due 05/22/2025 0.55%
Washington Prime Group, LP, 6.45%, due 08/15/2024 0.55%
Japan Finance Organization for Municipalities, 3.37%, due 09/27/2023 0.52%
Government National Mortgage Association, 5.00%, due 08/20/2049 0.52%
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE10, Class 21A3, 0.41%, due 12/25/2036 0.48%
Uniform Mortgage-Backed Security, 3.00%, TBA 0.48%
NXP BV / NXP Funding LLC, 4.12%, due 06/01/2021 0.48%
Qatar Government International Bond, 5.10%, due 04/23/2048 0.45%
Government National Mortgage Association, 0.94%, due 09/20/2066 0.44%
Japan Bank for International Cooperation, 2.87%, due 07/21/2027 0.44%
Federal National Mortgage Association, 4.50%, due 12/01/2047 0.41%
Mizuho Financial Group, Inc., 3.92%, due 09/11/2024 0.40%
Deutsche Bank AG, 3.70%, due 05/30/2024 0.40%
Qatar Government International Bond, 4.50%, due 04/23/2028 0.40%
Japan Finance Organization for Municipalities, 2.62%, due 04/20/2022 0.40%
U.S. Treasury Bond, 3.75%, due 11/15/2043 0.39%
Hilton USA Trust, Series 2016-SFP, Class A, 2.82%, due 11/05/2035 0.39%
American Tower Corp., 3.37%, due 05/15/2024 0.39%
Cooperatieve Rabobank UA, 4.37%, due 08/04/2025 0.39%
Santander PLC, 3.75%, due 11/15/2021 0.39%
Evergreen Credit Card Trust, Series 2019-2, Class A, 1.90%, due 09/15/2024 0.38%
Daimler Finance North America LLC, 3.40%, due 02/22/2022 0.38%
Daimler Finance North America LLC, 2.55%, due 08/15/2022 0.38%
Deutsche Bank AG, 3.15%, due 01/22/2021 0.38%
Government National Mortgage Association, 0.76%, due 08/20/2065 0.37%
Banque Federative du Credit Mutuel SA, 1.23%, due 07/20/2023 0.37%
CIFC Funding, Ltd., Series 2015-5A, Class A1R, 1.10%, due 10/25/2027 0.37%
Countrywide Asset-Backed Certificates, Series 2006-24, Class 1A, 0.31%, due 06/25/2047 0.36%
Tralee CLO, Ltd., Series 2018-5A, Class A1, 1.38%, due 10/20/2028 0.36%
Lloyds Bank PLC, Series MTN, 7.50%, due 04/02/2032 0.36%
Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB, 2.84%, due 10/10/2049 0.35%
UniCredit SpA, 6.57%, due 01/14/2022 0.34%
PayPal Holdings, Inc., 2.85%, due 10/01/2029 0.34%
Government National Mortgage Association, 0.76%, due 07/20/2065 0.34%
Marriott International, Inc., 4.15%, due 12/01/2023 0.34%
VMware, Inc., 2.95%, due 08/21/2022 0.34%
CenterPoint Energy Resources Corp., 3.55%, due 04/01/2023 0.34%
Duke Energy Corp., 3.05%, due 08/15/2022 0.34%
DBGS Mortgage Trust, Series 2019-1735, Class A, 3.84%, due 04/10/2037 0.34%
Banco Santander SA, 3.84%, due 04/12/2023 0.33%
Credit Suisse Group AG, 4.20%, due 06/12/2024 0.33%
AIB Group PLC, 4.75%, due 10/12/2023 0.33%
Dell International LLC / EMC Corp., 5.45%, due 06/15/2023 0.33%
Volkswagen Group of America Finance LLC, 3.35%, due 05/13/2025 0.33%
Boston Properties, LP, 3.40%, due 06/21/2029 0.33%
Barings Euro CLO, Series 2016-1A, Class A1R, 0.68%, due 07/27/2030 0.33%
Ashford Hospitality Trust, Series 2018-AHT1, Class A, 1.16%, due 06/15/2035 0.32%
Societe Generale SA, 4.25%, due 09/14/2023 0.32%
AbbVie, Inc., 2.95%, due 11/21/2026 0.32%
Israel Government International Bond, 2.75%, due 07/03/2030 0.32%
Simon Property Group, LP, 2.00%, due 09/13/2024 0.32%
Synchrony Bank, 3.65%, due 05/24/2021 0.32%
JPMorgan Chase & Co., 3.90%, due 07/15/2025 0.32%
NextEra Energy Capital Holdings, Inc., 3.20%, due 02/25/2022 0.32%
NatWest Markets PLC, Series MTN, 0.62%, due 03/02/2022 0.32%
Daimler Finance North America LLC, 3.35%, due 05/04/2021 0.32%
RASC Trust, Series 2005-KS11, Class M2, 0.59%, due 12/25/2035 0.32%
AT&T, Inc., 2.75%, due 06/01/2031 0.32%
BMW Finance NV, 2.25%, due 08/12/2022 0.32%
Anheuser-Busch InBev Worldwide, Inc., 4.50%, due 06/01/2050 0.32%
NextEra Energy Capital Holdings, Inc., 1.95%, due 09/01/2022 0.32%
Barclays PLC, 7.75%, due 09/15/2023 0.32%
Government National Mortgage Association, 0.93%, due 10/20/2066 0.31%
Capital One Financial Corp., 4.25%, due 04/30/2025 0.31%
Boston Gas Co., 3.00%, due 08/01/2029 0.31%
Tennessee Gas Pipeline Co. LLC, 2.90%, due 03/01/2030 0.31%
Jackson National Life Global Funding, 2.37%, due 09/15/2022 0.31%
Volkswagen Group of America Finance LLC, 1.02%, due 11/13/2020 0.31%
AT&T, Inc., 2.25%, due 02/01/2032 0.31%
Welltower, Inc., 4.25%, due 04/15/2028 0.31%
Government National Mortgage Association, 3.00%, due 11/15/2049 0.31%
UniCredit SpA, 7.83%, due 12/04/2023 0.30%
Credit Suisse Group AG, 1.55%, due 06/12/2024 0.30%
General Motors Financial Co., Inc., 4.20%, due 11/06/2021 0.30%
Gallatin CLO IX, Ltd., Series 2018-1A, Class A, 1.32%, due 01/21/2028 0.30%
Ford Motor Credit Co. LLC, 5.75%, due 02/01/2021 0.30%
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A1, 3.90%, due 08/10/2035 0.30%
Ford Motor Credit Co. LLC, 3.20%, due 01/15/2021 0.30%
Deutsche Bank AG, 3.37%, due 05/12/2021 0.30%
Walt Disney Co., 3.60%, due 01/13/2051 0.29%
Shell International Finance BV, 2.75%, due 04/06/2030 0.29%
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR, 1.17%, due 10/15/2027 0.29%
GLP Capital, LP / GLP Financing II, Inc., 4.00%, due 01/15/2030 0.29%
Broadcom, Inc., 5.00%, due 04/15/2030 0.29%
OneMain Finance Corp., 6.87%, due 03/15/2025 0.29%
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A, 3.43%, due 12/16/2024 0.29%
Nissan Motor Acceptance Corp., Series MTN, 2.60%, due 09/28/2022 0.28%
AvalonBay Communities, Inc., Series MTN, 3.45%, due 06/01/2025 0.28%
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, due 03/01/2025 0.28%
RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2B, 0.46%, due 06/12/2044 0.28%
Service Properties Trust, 4.35%, due 10/01/2024 0.28%
Broadcom, Inc., 3.45%, due 09/15/2026 0.28%
TICP CLO I, Ltd., Series 2015-1A, Class AR, 1.07%, due 07/20/2027 0.27%
HCA, Inc., 5.37%, due 09/01/2026 0.27%
GS Mortgage Securities Trust, Series 2016-RENT, Class A, 3.20%, due 02/10/2029 0.27%
Unibail-Rodamco-Westfield SE, Series MTN, 1.00%, due 03/14/2025 0.27%
Barclays Bank PLC, 10.17%, due 06/12/2021 0.27%
Broadcom, Inc., 4.11%, due 09/15/2028 0.27%
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A, 1.29%, due 05/15/2028 0.27%
Venture XVI CLO, Ltd., Series 2014-16A, Class ARR, 1.12%, due 01/15/2028 0.27%
U.S. Treasury Note, 1.75%, due 09/30/2022 0.26%
Structured Asset Investment Loan Trust, Series 2005-9, Class M1, 0.59%, due 11/25/2035 0.26%
Chevron Corp., 2.23%, due 05/11/2030 0.26%
NextEra Energy Capital Holdings, Inc., Series MTN, 2.20%, due 12/02/2026 0.26%
UBS Group AG, 4.25%, due 03/23/2028 0.26%
Government National Mortgage Association, 5.00%, due 08/20/2048 0.26%
Government National Mortgage Association, 4.00%, due 06/20/2047 0.26%
Allstate Corp., 0.93%, due 03/29/2023 0.26%
Adani Ports & Special Economic Zone, Ltd., 4.20%, due 08/04/2027 0.26%
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB, 3.55%, due 12/15/2047 0.26%
Wells Fargo & Co., Series MTN, 2.62%, due 07/22/2022 0.26%
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class ASB, 3.06%, due 02/15/2048 0.26%
Federal National Mortgage Association, 4.00%, due 11/01/2048 0.26%
Lloyds Banking Group PLC, 4.05%, due 08/16/2023 0.26%
Lloyds Banking Group PLC, 2.85%, due 03/17/2023 0.26%
Reckitt Benckiser Treasury Services PLC, 2.37%, due 06/24/2022 0.26%
Deutsche Bank AG, 5.00%, due 02/14/2022 0.26%
Option One Mortgage Loan Trust, Series 2007-5, Class 1A1, 0.39%, due 05/25/2037 0.25%
Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC1, Class A1, 0.33%, due 12/25/2036 0.25%
Mitsubishi UFJ Financial Group, Inc., 3.40%, due 03/07/2024 0.25%
Wells Fargo Bank NA, 3.55%, due 08/14/2023 0.25%
GE Capital Funding LLC, 3.45%, due 05/15/2025 0.25%
Great-West Lifeco US Finance, LP, 0.90%, due 08/12/2025 0.25%
Motorola Solutions, Inc., 2.30%, due 11/15/2030 0.25%
Level 3 Financing, Inc., 3.40%, due 03/01/2027 0.25%
Canadian Imperial Bank of Commerce, 0.95%, due 06/23/2023 0.25%
Mizuho Financial Group, Inc., 1.24%, due 07/10/2024 0.25%
COMM Mortgage Trust, Series 2016-787S, Class A, 3.54%, due 02/10/2036 0.25%
Natwest Group PLC, 4.51%, due 06/25/2024 0.25%
Imperial Brands Finance PLC, 4.25%, due 07/21/2025 0.25%
American Tower Corp., 2.40%, due 03/15/2025 0.25%
Kimco Realty Corp., 1.90%, due 03/01/2028 0.25%
Delta Air Lines Pass-Through Trust, 6.82%, due 02/10/2024 0.25%
Piedmont Operating Partnership, LP, 3.15%, due 08/15/2030 0.25%
Volkswagen Group of America Finance LLC, 1.15%, due 09/24/2021 0.25%
Credit Suisse Group Funding Guernsey, Ltd., 2.56%, due 04/16/2021 0.25%
TICP CLO III, Ltd., Series 2018-3R, Class A, 1.11%, due 04/20/2028 0.25%
Barclays PLC, 2.35%, due 08/10/2021 0.24%
Pacific Gas & Electric Co., 3.15%, due 01/01/2026 0.24%
Syngenta Finance NV, 4.44%, due 04/24/2023 0.24%
Jersey Central Power & Light Co., 4.70%, due 04/01/2024 0.24%
Barclays PLC, 1.89%, due 01/10/2023 0.24%
Mitsubishi UFJ Financial Group, Inc., 3.45%, due 03/02/2023 0.24%
Ambac LSNI LLC, 6.00%, due 02/12/2023 0.24%
Natwest Group PLC, 3.49%, due 05/15/2023 0.24%
Government National Mortgage Association, 0.96%, due 06/20/2066 0.24%
KVK CLO, Ltd., Series 2013-1A, Class AR, 1.16%, due 01/14/2028 0.24%
Alternative Loan Trust, Series 2005-76, Class 1A2, 3.17%, due 01/25/2036 0.24%
Government National Mortgage Association, 0.78%, due 09/20/2065 0.24%
Federal National Mortgage Association, 4.00%, due 02/01/2048 0.23%
U.S. Treasury Bond, 4.50%, due 08/15/2039 0.22%
Peru Government International Bond, 8.20%, due 08/12/2026 0.22%
JT International Financial Services BV, Series MTN, 3.50%, due 09/28/2023 0.22%
Imperial Brands Finance PLC, 3.50%, due 07/26/2026 0.22%
Federal National Mortgage Association, 4.00%, due 09/01/2048 0.22%
Alexandria Real Estate Equities, Inc., 4.30%, due 01/15/2026 0.22%
Venture XII CLO, Ltd., Series 2012-12A, Class ARR, 1.05%, due 02/28/2026 0.22%
Monarch Grove CLO Trust, Series 2018-1A, Class A1, 1.12%, due 01/25/2028 0.22%
Government National Mortgage Association, 0.76%, due 09/20/2065 0.22%
Microchip Technology, Inc., 3.92%, due 06/01/2021 0.22%
Government National Mortgage Association, 2.91%, due 09/20/2067 0.21%
Deutsche Bank AG, 3.30%, due 11/16/2022 0.21%
GS Mortgage Securities Trust, Series 2016-GS3, Class AAB, 2.77%, due 10/10/2049 0.21%
Government National Mortgage Association, 0.76%, due 08/20/2065 0.21%
Teva Pharmaceutical Finance II BV, 3.25%, due 04/15/2022 0.21%
IndyMac INDX Mortgage Loan Trust, Series 2006-AR35, Class 2A1A, 0.34%, due 01/25/2037 0.21%
BCAP LLC Trust, Series 2009-RR3, Class 2A2, 3.39%, due 05/26/2037 0.20%
Crown Castle International Corp., 5.25%, due 01/15/2023 0.20%
Peru Government International Bond, 5.94%, due 02/12/2029 0.20%
Federal National Mortgage Association, 3.50%, due 04/01/2045 0.20%
Citigroup, Inc., 1.67%, due 09/01/2023 0.20%
Bayer US Finance II LLC, 4.25%, due 12/15/2025 0.20%
Nomura Holdings, Inc., 2.67%, due 07/16/2030 0.20%
Government National Mortgage Association, 0.76%, due 04/20/2065 0.20%
AbbVie, Inc., 3.37%, due 11/14/2021 0.20%
Boardwalk Pipelines, LP, 3.40%, due 02/15/2031 0.20%
Pacific Gas & Electric Co., 1.75%, due 06/16/2022 0.20%
Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates, Series 2004-OPT1, Class M3, 1.12%, due 10/25/2034 0.20%
Aurium CLO II DAC, Series 2A, Class AR, 0.68%, due 10/13/2029 0.20%
Chesapeake Funding II LLC, Series 2018-2A, Class A1, 3.23%, due 08/15/2030 0.19%
Deutsche Bank AG, 4.25%, due 10/14/2021 0.19%
Government National Mortgage Association, 4.00%, TBA 0.19%
Government National Mortgage Association, 0.74%, due 06/20/2065 0.19%
Barclays PLC, 7.87%, due 09/15/2022 0.19%
Mitsubishi UFJ Lease & Finance Co., Ltd., Series MTN, 2.25%, due 09/07/2021 0.19%
Marriott Ownership Resorts, Inc. / ILG LLC, 6.50%, due 09/15/2026 0.19%
Edison International, 3.55%, due 11/15/2024 0.19%
Government National Mortgage Association, 5.00%, due 04/20/2049 0.19%
BBVA USA, 2.50%, due 08/27/2024 0.19%
General Motors Financial Co., Inc., 1.11%, due 04/09/2021 0.19%
T-Mobile USA, Inc., 2.55%, due 02/15/2031 0.19%
Wyndham Hotels & Resorts, Inc., Term Loan B, 1.90%, due 05/30/2025 0.19%
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.46%, due 07/23/2022 0.19%
Uniform Mortgage-Backed Security, 5.00%, TBA 0.18%
Federal Home Loan Mortgage Corp. REMIC, 0.56%, due 06/15/2041 0.18%
Natwest Group PLC, 8.62%, due 08/15/2021 0.18%
Cooperatieve Rabobank UA, 6.62%, due 06/29/2021 0.18%
SLM Student Loan Trust, Series 2003-11, Class A6, 0.86%, due 12/15/2025 0.18%
Countrywide Asset-Backed Certificates, Series 2007-2, Class 2A3, 0.31%, due 08/25/2037 0.18%
Government National Mortgage Association, 0.76%, due 07/20/2065 0.18%
Octagon Investment Partners XXIII, Ltd., Series 2015-1A, Class A1R, 1.12%, due 07/15/2027 0.18%
Aviation Capital Group LLC, 3.87%, due 05/01/2023 0.18%
Federal National Mortgage Association, 4.00%, due 09/01/2048 0.18%
Keurig Dr. Pepper, Inc., 4.05%, due 05/25/2023 0.17%
Latam Airlines Pass-Through Trust, 4.20%, due 08/15/2029 0.17%
Credit Suisse Group Funding Guernsey, Ltd., 3.45%, due 04/16/2021 0.17%
BAT Capital Corp., 3.55%, due 08/15/2027 0.17%
Option One Mortgage Loan Trust, Series 2007-2, Class 1A1, 0.31%, due 03/25/2037 0.17%
Government National Mortgage Association, 0.76%, due 10/20/2065 0.17%
Florida Power & Light Co., 3.70%, due 12/01/2047 0.17%
Venture XX CLO, Ltd., Series 2015-20A, Class AR, 1.09%, due 04/15/2027 0.17%
Charter Communications Operating LLC / Charter Communications Operating Capital, 1.90%, due 02/01/2024 0.16%
New York State Urban Development Corp., 1.77%, due 03/15/2028 0.16%
Spirit AeroSystems, Inc., 3.95%, due 06/15/2023 0.16%
Government National Mortgage Association, 4.50%, due 06/20/2048 0.16%
Takeda Pharmaceutical Co., Ltd., 2.05%, due 03/31/2030 0.16%
Wachovia Mortgage Loan Trust, Series 2005-WMC1, Class M2, 0.86%, due 10/25/2035 0.16%
Lloyds Banking Group PLC, 7.62%, due 06/27/2023 0.16%
Goldman Sachs Group, Inc., 1.00%, due 02/23/2023 0.16%
Swap Agreement, Receive, 3-Month USD-LIBOR 0.16%
Barclays Bank PLC, 7.62%, due 11/21/2022 0.16%
NTT Finance Corp., Series MTN, 1.90%, due 07/21/2021 0.16%
JetBlue Pass-Through Trust, 2.75%, due 11/15/2033 0.16%
FirstEnergy Corp., 3.90%, due 07/15/2027 0.16%
CIT Mortgage Loan Trust, Series 2007-1, Class 1A, 1.52%, due 10/25/2037 0.15%
OCP CLO, Ltd., Series 2015-9A, Class A1R, 1.07%, due 07/15/2027 0.15%
Peru Government International Bond, 6.35%, due 08/12/2028 0.15%
Federal National Mortgage Association, 4.00%, due 12/01/2048 0.15%
Government National Mortgage Association, 4.00%, due 03/20/2048 0.15%
Teva Pharmaceutical Finance II BV, 1.25%, due 03/31/2023 0.14%
Government National Mortgage Association, 0.91%, due 08/20/2067 0.14%
Countrywide Asset-Backed Certificates, Series 2006-20, Class 1A, 0.31%, due 04/25/2047 0.14%
U.S. Treasury Bond, 4.25%, due 05/15/2039 0.14%
Alternative Loan Trust, Series 2005-80CB, Class 1A1, 6.00%, due 02/25/2036 0.14%
Federal National Mortgage Association, 3.00%, due 08/01/2049 0.14%
AbbVie, Inc., 3.75%, due 11/14/2023 0.14%
Federal Home Loan Mortgage Corp., 4.00%, due 01/01/2049 0.14%
Campbell Soup Co., 3.30%, due 03/15/2021 0.13%
CBL & Associates, LP, 5.95%, due 12/15/2026 0.13%
Volkswagen Bank GmbH, Series MTN, 1.87%, due 01/31/2024 0.13%
Home Equity Asset Trust, Series 2004-4, Class M1, 0.95%, due 10/25/2034 0.13%
Master Asset-Backed Securities Trust, Series 2007-HE2, Class A1, 1.32%, due 08/25/2037 0.13%
Citigroup Mortgage Loan Trust, Inc., Series 2007-FS1, Class 1A1, 4.39%, due 10/25/2037 0.13%
Regeneron Pharmaceuticals, Inc., 1.75%, due 09/15/2030 0.13%
Benefit Street Partners CLO VII, Ltd., Series 2015-VIIA, Class A1AR, 1.05%, due 07/18/2027 0.12%
GSR Mortgage Loan Trust, Series 2005-8F, Class 2A6, 5.50%, due 11/25/2035 0.12%
Brandywine Operating Partnership, LP, 3.95%, due 11/15/2027 0.12%
Federal National Mortgage Association REMIC, 0.62%, due 09/25/2046 0.12%
Government National Mortgage Association, 1.11%, due 12/20/2066 0.12%
UBS Group AG, 4.12%, due 09/24/2025 0.12%
Choice Hotels International, Inc., 3.70%, due 12/01/2029 0.12%
Federal Home Loan Mortgage Corp., 3.50%, due 08/01/2049 0.11%
Santander Drive Auto Receivables Trust, Series 2020-2, Class A2A, 0.62%, due 05/15/2023 0.11%
Alternative Loan Trust, Series 2005-J12, Class 2A1, 0.71%, due 08/25/2035 0.11%
American International Group, Inc., 3.75%, due 07/10/2025 0.11%
Time Warner Cable LLC, 4.00%, due 09/01/2021 0.11%
Aircastle, Ltd., 5.12%, due 03/15/2021 0.11%
Molson Coors Beverage Co., 2.10%, due 07/15/2021 0.11%
Alabama Power Co., 1.45%, due 09/15/2030 0.11%
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-9, Class MV4, 1.75%, due 11/25/2034 0.11%
IndyMac INDX Mortgage Loan Trust, Series 2006-R1, Class A3, 3.30%, due 12/25/2035 0.11%
GSAMP Trust, Series 2005-HE1, Class M2, 1.49%, due 12/25/2034 0.11%
Adams Mill CLO, Ltd., Series 2014-1A, Class A1R, 1.37%, due 07/15/2026 0.11%
Federal National Mortgage Association, 4.00%, due 10/01/2048 0.11%
Federal Home Loan Mortgage Corp., 4.00%, due 04/01/2048 0.11%
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC, 3.36%, due 03/20/2023 0.10%
Federal Realty Investment Trust, 3.50%, due 06/01/2030 0.10%
Reperforming Loan REMIC Trust, Series 2006-R1, Class AF1, 0.51%, due 01/25/2036 0.10%
Federal National Mortgage Association, 3.34%, due 01/01/2036 0.10%
General Motors Financial Co., Inc., Series MTN, 0.15%, due 03/26/2022 0.10%
State of Illinois, 6.63%, due 02/01/2035 0.10%
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W4, Class A2D, 0.55%, due 02/25/2036 0.10%
Voya CLO, Ltd., Series 2014-3A, Class A1R, 0.96%, due 07/25/2026 0.10%
Pacific Gas & Electric Co., 3.40%, due 08/15/2024 0.10%
Bayer US Finance II LLC, 3.50%, due 06/25/2021 0.09%
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-8, Class 1A2, 3.66%, due 09/25/2036 0.09%
Wells Fargo & Co., 1.49%, due 10/31/2023 0.09%
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 3A3, 3.65%, due 02/25/2037 0.09%
Eurosail PLC, Series 2007-3X, Class A3C, 1.14%, due 06/13/2045 0.09%
WaMu Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A3, 0.42%, due 04/25/2037 0.09%
Federal Home Loan Mortgage Corp., 5.00%, due 08/01/2024 0.09%
Federal National Mortgage Association, 4.00%, due 03/01/2049 0.09%
Cent CLO 19, Ltd., Series 2013-19A, Class A1A, 1.59%, due 10/29/2025 0.09%
Federal National Mortgage Association, 3.50%, due 05/01/2049 0.09%
Enel Finance International NV, 4.25%, due 09/14/2023 0.09%
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.09%
Pacific Gas & Electric Co., 3.45%, due 07/01/2025 0.09%
Countrywide Asset-Backed Certificates, Series 2006-24, Class 2A3, 0.32%, due 06/25/2047 0.09%
Bear Stearns Alt-A Trust, Series 2006-6, Class 31A1, 3.37%, due 11/25/2036 0.08%
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY4, Class 2A2, 3.17%, due 04/25/2037 0.08%
Digital Realty Trust, LP, 3.70%, due 08/15/2027 0.08%
Banc of America Funding Trust, Series 2005-D, Class A1, 3.79%, due 05/25/2035 0.08%
Pacific Gas & Electric Co., 4.25%, due 08/01/2023 0.08%
Tayarra, Ltd., 3.62%, due 02/15/2022 0.08%
U.S. Treasury Bond, 4.62%, due 02/15/2040 0.08%
BP Capital Markets America, Inc., 3.79%, due 02/06/2024 0.08%
American Home Mortgage Assets Trust, Series 2007-1, Class A1, 1.87%, due 02/25/2047 0.08%
Structured Asset Securities Corp. Trust, Series 2005-5, Class 2A2, 5.50%, due 04/25/2035 0.08%
Business Mortgage Finance 7 PLC, Series 7X, Class A1, 2.07%, due 02/15/2041 0.08%
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC6, Class M3, 0.94%, due 07/25/2035 0.08%
Bear Stearns Asset-Backed Securities Trust, Series 2004-1, Class M1, 1.15%, due 06/25/2034 0.08%
Alternative Loan Trust, Series 2006-OA12, Class A1B, 0.34%, due 09/20/2046 0.08%
GS Mortgage Securities Trust, Series 2016-GS3, Class WMA, 3.72%, due 10/10/2049 0.08%
U.S. Treasury Bond, 2.75%, due 11/15/2042 0.08%
RALI Trust, Series 2007-QO2, Class A1, 0.32%, due 02/25/2047 0.07%
Evergy, Inc., 2.45%, due 09/15/2024 0.07%
CVS Health Corp., 3.50%, due 07/20/2022 0.07%
U.S. Treasury Bond, 4.37%, due 05/15/2040 0.07%
Continental Airlines Pass-Through Trust, 4.15%, due 10/11/2025 0.07%
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2, 6.50%, due 04/25/2037 0.07%
Alexandria Real Estate Equities, Inc., 3.37%, due 08/15/2031 0.07%
Halcyon Loan Advisors Funding, Ltd., Series 2014-3A, Class AR, 1.35%, due 10/22/2025 0.07%
Alternative Loan Trust, Series 2006-OA21, Class A1, 0.34%, due 03/20/2047 0.07%
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C, 0.42%, due 03/25/2037 0.07%
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 0.46%, due 10/25/2045 0.07%
Bear Stearns Alt-A Trust, Series 2005-8, Class 21A1, 3.14%, due 10/25/2035 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%
MPT Operating Partnership, LP / MPT Finance Corp., 2.55%, due 12/05/2023 0.06%
Federal Home Loan Mortgage Corp., 4.00%, due 10/01/2048 0.06%
AbbVie, Inc., 5.00%, due 12/15/2021 0.06%
U.S. Treasury Bond, 4.37%, due 11/15/2039 0.06%
Emera US Finance, LP, 2.70%, due 06/15/2021 0.06%
Federal Home Loan Mortgage Corp., 4.00%, due 09/01/2048 0.06%
RALI Trust, Series 2005-QA13, Class 2A1, 4.38%, due 12/25/2035 0.06%
Expedia Group, Inc., 3.80%, due 02/15/2028 0.05%
JPMorgan Chase & Co., 3.55%, due 04/23/2024 0.05%
Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-A, Class 1A, 0.39%, due 04/25/2037 0.05%
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE9, Class M2, 1.10%, due 11/25/2034 0.05%
Federal National Mortgage Association, 5.00%, due 08/01/2026 0.05%
ING Groep NV, 4.62%, due 01/06/2026 0.05%
Pacific Gas & Electric Co., 3.50%, due 06/15/2025 0.05%
Uniform Mortgage-Backed Security, 5.00%, TBA 0.05%
Mountain Hawk III CLO, Ltd., Series 2014-3A, Class AR, 1.47%, due 04/18/2025 0.05%
Ford Motor Credit Co. LLC, Series MTN, Zero Coupon, due 12/01/2021 0.04%
RASC Trust, Series 2006-EMX1, Class M1, 0.58%, due 01/25/2036 0.04%
Federal Home Loan Mortgage Corp., 4.00%, due 08/01/2048 0.04%
Sabra Health Care, LP, 3.90%, due 10/15/2029 0.04%
Government National Mortgage Association, 4.00%, due 04/20/2048 0.04%
Government National Mortgage Association, 4.00%, due 01/20/2045 0.04%
Textron, Inc., 2.45%, due 03/15/2031 0.04%
Alternative Loan Trust, Series 2007-HY4, Class 1A1, 2.93%, due 06/25/2037 0.04%
RASC Trust, Series 2006-KS9, Class AI3, 0.33%, due 11/25/2036 0.04%
Federal Home Loan Mortgage Corp., 5.00%, due 06/01/2026 0.03%
Federal National Mortgage Association, 4.00%, due 10/01/2047 0.03%
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 3A1, 3.19%, due 09/25/2035 0.03%
Kentucky State Property & Building Commission, Series C, 4.40%, due 11/01/2020 0.03%
Morgan Stanley Mortgage Loan Trust, Series 2007-14AR, Class 1A3, 4.02%, due 10/25/2037 0.03%
Federal Home Loan Mortgage Corp., 4.00%, due 12/01/2047 0.03%
Odebrecht Offshore Drilling Finance, Ltd., 6.72%, due 12/01/2022 0.03%
CSMC Trust, Series 2008-3R, Class 1A2, 3.29%, due 07/26/2037 0.03%
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AQ1, Class M2, 0.82%, due 03/25/2035 0.02%
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 2.37%, due 10/25/2044 0.02%
Government National Mortgage Association, 4.00%, due 10/20/2044 0.02%
Alternative Loan Trust, Series 2007-9T1, Class 1A10, 6.00%, due 05/25/2037 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 2003-AR9, Class 2A, 3.01%, due 09/25/2033 0.02%
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 1A1, 3.30%, due 09/25/2036 0.02%
Soundview Home Loan Trust, Series 2006-OPT2, Class A3, 0.35%, due 05/25/2036 0.02%
Bear Stearns Alt-A Trust, Series 2006-R1, Class 2E21, 3.42%, due 08/25/2036 0.02%
Soundview Home Loan Trust, Series 2007-WMC1, Class 3A1, 0.28%, due 02/25/2037 0.02%
Odebrecht Offshore Drilling Finance, Ltd., 7.72%, due 12/01/2026 0.02%
Federal National Mortgage Association, 5.00%, due 09/01/2024 0.02%
Sequoia Mortgage Trust, Series 2004-12, Class A1, 0.69%, due 01/20/2035 0.02%
Bear Stearns Alt-A Trust, Series 2006-6, Class 32A1, 3.48%, due 11/25/2036 0.02%
Federal National Mortgage Association, 4.00%, due 11/01/2048 0.02%
NACC Reperforming Loan REMIC Trust, Series 2004-R1, Class A1, 6.50%, due 03/25/2034 0.01%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Interest Only STRIPS, 1.35%, due 08/25/2022 0.01%
AbbVie, Inc., 3.45%, due 03/15/2022 0.01%
Pacific Gas & Electric Co., 3.30%, due 12/01/2027 0.01%
SoFi Professional Loan Program LLC, Series 2018-A, Class A2A, 2.39%, due 02/25/2042 0.01%
Federal National Mortgage Association, 5.00%, due 09/01/2025 0.01%
SoFi Professional Loan Program Trust, Series 2018-B, Class A1FX, 2.64%, due 08/25/2047 0.01%
Federal National Mortgage Association, 5.00%, due 09/01/2026 0.01%
Alternative Loan Trust, Series 2005-56, Class 5A2, 0.94%, due 11/25/2035 0.01%
Reperforming Loan REMIC Trust, Series 2003-R4, Class 2A, 4.92%, due 01/25/2034 0.01%
RFMSI Trust, Series 2005-SA4, Class 1A21, 3.48%, due 09/25/2035 0.01%
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 2.57%, due 07/25/2044 0.01%
Federal Home Loan Mortgage Corp., 3.50%, due 03/01/2048 0.01%
Banco Espirito Santo SA, Series MTN, 2.62%, due 05/08/2017 0.01%
Reperforming Loan REMIC Trust, Series 2005-R2, Class 1AF1, 0.51%, due 06/25/2035 0.01%
Sprint Corp., 7.12%, due 06/15/2024 0.01%
Bear Stearns Alt-A Trust, Series 2006-8, Class 3A1, 0.33%, due 02/25/2034 0.01%
Government National Mortgage Association, 0.53%, due 10/20/2066 0.01%
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1, 3.49%, due 02/25/2037 0.01%
Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC4, Class A2C, 0.34%, due 05/25/2037 0.01%
U.S. Treasury Note, 2.00%, due 10/31/2022 0.01%
Federal National Mortgage Association, 2.77%, due 08/01/2035 0.01%
Federal National Mortgage Association, 5.00%, due 02/01/2024 0.01%
Federal National Mortgage Association, 3.60%, due 09/01/2035 0.01%
Bear Stearns ARM Trust, Series 2003-5, Class 2A1, 3.11%, due 08/25/2033 0.01%
Federal National Mortgage Association, 5.00%, due 04/01/2023 0.01%
HarborView Mortgage Loan Trust, Series 2006-7, Class 2A1A, 0.36%, due 09/19/2046 0.01%
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE6, Class M2, 1.18%, due 06/25/2035 0.01%
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.01%
B&M CLO, Ltd., Series 2014-1A, Class A1R, 1.00%, due 04/16/2026 0.01%
GSR Mortgage Loan Trust, Series 2004-12, Class 1A1, 0.51%, due 12/25/2034 0.01%
Federal National Mortgage Association, 5.00%, due 02/01/2023 0.01%
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-1, Class 1A1, 3.12%, due 02/25/2035 0.01%
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1, 3.25%, due 01/26/2036 0.01%
U.S. Small Business Administration, Series 2004-20C, Class 1, 4.34%, due 03/01/2024 0.01%
Government National Mortgage Association, 5.00%, due 10/20/2049 0.01%
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR15, Class 2A1, 3.56%, due 06/25/2033 0.01%
Federal Home Loan Mortgage Corp., 3.87%, due 09/01/2035 0.01%
Banc of America Funding Trust, Series 2006-D, Class 5A1, 3.56%, due 05/20/2036 0.01%
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 2A1, 2.89%, due 12/26/2046 0.01%
RALI Trust, Series 2005-QO3, Class A1, 0.97%, due 10/25/2045 0.01%
Ameriquest Mortgage Securities Trust, Series 2006-R1, Class M1, 0.56%, due 03/25/2036 0.01%
Federal National Mortgage Association, 4.00%, due 12/01/2040 0.01%
Swap Agreement, Receive, Tesco PLC, 6.00%, 12/14/2029 0.01%
Federal National Mortgage Association, 4.00%, due 12/01/2040 0.01%
Banco Espirito Santo SA, Series MTN, 4.00%, due 01/21/2019 0.01%
HCA, Inc., 5.87%, due 02/01/2029 0.01%
Alternative Loan Trust, Series 2005-14, Class 2A1, 0.38%, due 05/25/2035 0.01%
Federal National Mortgage Association, 5.00%, due 09/01/2026 0.01%
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A, 0.45%, due 02/25/2036 0.01%
Reperforming Loan REMIC Trust, Series 2004-R1, Class 2A, 6.50%, due 11/25/2034 0.01%
Service Properties Trust, 4.25%, due 02/15/2021 0.01%
Government National Mortgage Association, 0.86%, due 10/20/2065 0.01%
Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A1, 3.84%, due 09/25/2035 0.00%**
Bear Stearns ARM Trust, Series 2006-4, Class 1A1, 3.76%, due 10/25/2036 0.00%**
Federal Home Loan Mortgage Corp., 5.00%, due 04/01/2023 0.00%**
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR7, Class 2A, 2.15%, due 07/25/2046 0.00%**
Federal National Mortgage Association, 5.00%, due 07/01/2024 0.00%**
Adjustable Rate Mortgage Trust, Series 2005-10, Class 1A21, 3.19%, due 01/25/2036 0.00%**
Soundview Home Loan Trust, Series 2005-3, Class M3, 1.00%, due 06/25/2035 0.00%**
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, 3.79%, due 09/25/2035 0.00%**
Federal National Mortgage Association, 5.00%, due 03/01/2027 0.00%**
Bear Stearns Asset-Backed Securities Trust, Series 2006-SD3, Class 21A1, 3.54%, due 07/25/2036 0.00%**
Federal National Mortgage Association, 5.00%, due 09/01/2026 0.00%**
Adjustable Rate Mortgage Trust, Series 2005-5, Class 2A1, 3.82%, due 09/25/2035 0.00%**
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-AR1, Class 2A1, 2.37%, due 08/25/2035 0.00%**
Federal National Mortgage Association, 2.52%, due 06/01/2043 0.00%**
CHL Mortgage Pass-Through Trust, Series 2005-HY10, Class 5A1, 3.43%, due 02/20/2036 0.00%**
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 0.41%, due 07/19/2035 0.00%**
Futures Contracts, Long, 10-Year U.S. Treasury Note 0.00%**
Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A2, 2.29%, due 09/25/2035 0.00%**
Bear Stearns ARM Trust, Series 2004-10, Class 22A1, 4.37%, due 01/25/2035 0.00%**
Adjustable Rate Mortgage Trust, Series 2005-4, Class 1A1, 2.57%, due 08/25/2035 0.00%**
Bear Stearns ARM Trust, Series 2003-8, Class 4A1, 3.73%, due 01/25/2034 0.00%**
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 6.50%, due 07/25/2043 0.00%**
Federal National Mortgage Association, 3.12%, due 05/01/2035 0.00%**
ABFC Trust, Series 2004-OPT4, Class A1, 0.79%, due 04/25/2034 0.00%**
Federal National Mortgage Association, 5.50%, due 01/01/2025 0.00%**
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1, 3.15%, due 01/25/2035 0.00%**
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1, 0.41%, due 07/19/2035 0.00%**
Banc of America Funding Trust, Series 2006-J, Class 4A1, 4.20%, due 01/20/2047 0.00%**
Federal National Mortgage Association, 4.50%, due 07/01/2041 0.00%**
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 3A1, 3.25%, due 09/25/2034 0.00%**
Federal National Mortgage Association, 2.10%, due 08/01/2036 0.00%**
Futures Contracts, Short, 30-Year U.S. Treasury Bond 0.00%**
Federal National Mortgage Association, 4.00%, due 03/01/2041 0.00%**
Federal Home Loan Mortgage Corp., 3.12%, due 09/01/2035 0.00%**
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17, Class 3A1, 3.32%, due 08/25/2035 0.00%**
Bear Stearns ARM Trust, Series 2003-9, Class 2A1, 3.88%, due 02/25/2034 0.00%**
BCAP LLC Trust, Series 2013-RR12, Class 1A3, 0.67%, due 05/26/2035 0.00%**
Federal National Mortgage Association, 5.00%, due 06/01/2037 0.00%**
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A2, 0.41%, due 07/19/2035 0.00%**
Bear Stearns ARM Trust, Series 2003-8, Class 2A1, 4.07%, due 01/25/2034 0.00%**
Federal Home Loan Mortgage Corp., 5.00%, due 07/01/2025 0.00%**
Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.25%, due 12/25/2033 0.00%**
Federal National Mortgage Association, 5.00%, due 05/01/2037 0.00%**
U.S. Small Business Administration, Series 2003-20I, Class 1, 5.13%, due 09/01/2023 0.00%**
First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 2A1, 3.11%, due 08/25/2035 0.00%**
Futures Contracts, Long, German Euro BUXL 0.00%**
Federal National Mortgage Association, 5.00%, due 12/01/2022 0.00%**
Federal Home Loan Mortgage Corp. REMIC, 0.51%, due 12/15/2029 0.00%**
CHL Mortgage Pass-Through Trust, Series 2004-12, Class 11A1, 3.01%, due 08/25/2034 0.00%**
MASTR Alternative Loan Trust, Series 2006-2, Class 2A1, 0.57%, due 03/25/2036 0.00%**
Federal National Mortgage Association, 3.62%, due 01/01/2028 0.00%**
Alternative Loan Trust, Series 2005-62, Class 2A1, 2.17%, due 12/25/2035 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Structured Asset Mortgage Investments Trust, Series 2002-AR3, Class A1, 0.82%, due 09/19/2032 0.00%**
Federal National Mortgage Association, 5.50%, due 09/01/2027 0.00%**
Federal National Mortgage Association, 2.77%, due 08/01/2035 0.00%**
Sequoia Mortgage Trust, Series 2010, Class 2A1, 0.91%, due 10/20/2027 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Bear Stearns Asset-Backed Securities Trust, Series 2002-2, Class A1, 0.83%, due 10/25/2032 0.00%**
Federal Home Loan Mortgage Corp., 2.95%, due 08/01/2023 0.00%**
Federal National Mortgage Association, 3.47%, due 12/01/2034 0.00%**
Federal National Mortgage Association, 4.17%, due 10/01/2035 0.00%**
RFMSI Trust, Series 2003-S9, Class A1, 6.50%, due 03/25/2032 0.00%**
Federal National Mortgage Association, 2.53%, due 07/01/2032 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Federal National Mortgage Association, 5.00%, due 01/01/2023 0.00%**
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1, 3.80%, due 01/25/2036 0.00%**
Odebrecht Oil & Gas Finance, Ltd., Zero Coupon, due 10/01/2020 0.00%**
Home Equity Asset Trust, Series 2002-1, Class A4, 0.77%, due 11/25/2032 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%**
Swap Agreement, Pay, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Option Written, PUT, EUR vs. USD , Exercise Price EUR 1.15, Expiration Date 09/28/2020 0.00%**
Option Written, CALL, Federal National Mortgage Association, 2.00%, TBA, Exercise Price $103.60, Expiration Date 10/07/2020 0.00%**
Option Written, PUT, Federal National Mortgage Association, 2.00%, TBA, Exercise Price $101.60, Expiration Date 10/07/2020 0.00%**
Option Written, PUT, Federal National Mortgage Association, 2.00%, TBA, Exercise Price $101.84, Expiration Date 10/07/2020 0.00%**
Swap Agreement, Receive, Boeing Co., 8.75%, 08/15/2021 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%**
Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 0.00%**
Swaption Written, PUT, 5-Year, Exercise Rate 1.02%, Expiration Date 11/05/2020 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 1.02%, Expiration Date 10/07/2020 0.00%**
Swaption Written, CALL, 5-Year, Exercise Rate 1.02%, Expiration Date 11/05/2020 0.00%**
Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Futures Contracts, Long, U.S. Treasury Ultra Bond 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Futures Contracts, Short, 5-Year U.S. Treasury Note 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR -0.01%**
Swap Agreement, Receive, 6-Month JPY-LIBOR -0.01%**
Swap Agreement, Receive, Home Equity ABS Index - Series 6-2 -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, Republic of South Africa Government International Bond, 5.50%, 03/09/2020 -0.02%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.02%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -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, Pay, 6-Month JPY-LIBOR -0.03%**
Swap Agreement, Pay, 12-Month GBP-SONIA -0.05%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.06%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.08%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.09%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.10%**
Uniform Mortgage-Backed Security -3.62%**
Net Other Assets (Liabilities) -23.90%**