Transamerica

10/31/2019*


Transamerica PIMCO Total Return VP

Security Description % of Total Net Assets
Uniform Mortgage-Backed Security, 3.50%, TBA 8.61%
Uniform Mortgage-Backed Security, 3.00%, TBA 8.21%
Government National Mortgage Association, 4.00%, TBA 7.95%
Government National Mortgage Association, 4.00%, TBA 4.74%
Government National Mortgage Association, 3.50%, TBA 3.66%
U.S. Treasury Note, 2.25%, due 08/15/2027 3.21%
Government National Mortgage Association, 5.00%, TBA 2.81%
U.S. Treasury Inflation-Indexed Note, 0.75%, due 07/15/2028 2.58%
U.S. Treasury Note, 2.12%, due 09/30/2024 2.56%
U.S. Treasury Bond, 3.12%, due 08/15/2044 2.46%
Government National Mortgage Association, 3.50%, TBA 1.99%
U.S. Treasury Inflation-Indexed Bond, 0.87%, due 01/15/2029 1.80%
U.S. Treasury Bond, 3.37%, due 05/15/2044 1.67%
U.S. Treasury Bond, 3.00%, due 05/15/2045 1.65%
Brazil Letras do Tesouro Nacional, Zero Coupon, due 04/01/2020 1.63%
Government National Mortgage Association, 4.50%, due 06/20/2049 1.48%
Hawksmoor Mortgages, Series 2019-1A, Class A, Zero Coupon, due 05/25/2053 1.25%
U.S. Treasury Note, 1.87%, due 07/31/2022 1.24%
Government National Mortgage Association, 5.00%, TBA 1.16%
Uniform Mortgage-Backed Security, 4.00%, TBA 1.14%
Towd Point Mortgage Funding, Series 2019-A13A, Class A1, Zero Coupon, due 07/20/2045 1.13%
U.S. Treasury Inflation-Indexed Note, 0.12%, due 04/15/2022 1.12%
U.S. Treasury Bond, 3.00%, due 11/15/2044 1.09%
U.S. Treasury Note, 2.62%, due 02/15/2029 1.08%
Federal National Mortgage Association, 4.00%, due 08/01/2048 0.83%
Washington Prime Group, LP, 6.45%, due 08/15/2024 0.83%
Spain Government Bond, Series MTN, 0.60%, due 10/31/2029 0.76%
U.S. Treasury Note, 1.75%, due 06/30/2024 0.75%
U.S. Treasury Bond, 2.75%, due 11/15/2042 0.74%
U.S. Treasury Bond, 3.62%, due 08/15/2043 0.71%
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1, 1.82%, due 10/20/2051 0.68%
JPMorgan Chase Bank NA, 3.08%, due 04/26/2021 0.65%
Bank of America Corp., 3.00%, due 12/20/2023 0.63%
Government National Mortgage Association, 3.00%, TBA 0.62%
U.S. Treasury Note, 1.87%, due 08/31/2022 0.62%
Government National Mortgage Association, 4.50%, TBA 0.62%
U.S. Treasury Bond, 3.75%, due 11/15/2043 0.61%
U.S. Treasury Inflation-Indexed Bond, 1.00%, due 02/15/2048 0.61%
U.S. Treasury Bond, 2.87%, due 05/15/2043 0.59%
U.S. Treasury Note, 2.25%, due 10/31/2024 0.57%
Government National Mortgage Association, 4.50%, TBA 0.56%
UniCredit SpA, 7.83%, due 12/04/2023 0.55%
U.S. Treasury Inflation-Indexed Bond, 0.75%, due 02/15/2042 0.55%
Ford Motor Credit Co. LLC, Series MTN, 3.06%, due 09/24/2020 0.55%
Bayer Finance II LLC, 3.87%, due 12/15/2023 0.55%
Brazil Letras do Tesouro Nacional, Zero Coupon, due 01/01/2020 0.54%
U.S. Treasury Bond, 2.87%, due 08/15/2045 0.52%
Spain Government Bond, 1.40%, due 07/30/2028 0.51%
Barclays Bank PLC, 2.37%, due 10/15/2020 0.51%
U.S. Treasury Inflation-Indexed Note, 0.62%, due 01/15/2026 0.48%
Federal National Mortgage Association, 4.50%, due 12/01/2047 0.46%
U.S. Treasury Inflation-Indexed Bond, 0.87%, due 02/15/2047 0.45%
U.S. Treasury Bond, 3.62%, due 02/15/2044 0.45%
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE10, Class 21A3, 2.06%, due 12/25/2036 0.44%
Goldman Sachs Group, Inc., 3.75%, due 05/22/2025 0.43%
Uniform Mortgage-Backed Security, 5.00%, TBA 0.43%
UBS Group AG, 3.00%, due 04/15/2021 0.42%
Trillium Credit Card Trust II, Series 2018-1A, Class A, 2.05%, due 02/27/2023 0.42%
Japan Finance Organization for Municipalities, 3.37%, due 09/27/2023 0.42%
U.S. Treasury Bond, 2.75%, due 08/15/2042 0.40%
NXP BV / NXP Funding LLC, 4.12%, due 06/01/2021 0.40%
Government National Mortgage Association, 2.86%, due 09/20/2066 0.39%
Federal National Mortgage Association, 4.00%, due 11/01/2048 0.38%
Citibank, NA, 3.05%, due 05/01/2020 0.36%
Ally Financial, Inc., 8.00%, due 03/15/2020 0.35%
Spain Government Bond, 1.45%, due 04/30/2029 0.35%
Japan Bank for International Cooperation, 2.87%, due 07/21/2027 0.34%
Government National Mortgage Association, 5.00%, due 08/20/2048 0.34%
Tyson Foods, Inc., 2.60%, due 08/21/2020 0.33%
Qatar Government International Bond, 5.10%, due 04/23/2048 0.33%
American Express Co., 3.40%, due 02/27/2023 0.33%
Hilton Trust, Series 2016-SFP, Class A, 2.82%, due 11/05/2035 0.33%
Government National Mortgage Association, 2.68%, due 08/20/2065 0.33%
Bank of America Corp., 2.93%, due 04/24/2023 0.32%
Japan Finance Organization for Municipalities, 2.62%, due 04/20/2022 0.32%
Citigroup, Inc., 2.75%, due 04/25/2022 0.32%
Mizuho Financial Group, Inc., 3.92%, due 09/11/2024 0.32%
Countrywide Asset-Backed Certificates, Series 2006-24, Class 1A, 1.96%, due 06/25/2047 0.32%
General Motors Financial Co., Inc., 2.91%, due 04/13/2020 0.32%
AbbVie, Inc., 3.37%, due 11/14/2021 0.32%
Wells Fargo Bank NA, 3.55%, due 08/14/2023 0.32%
Santander PLC, 3.75%, due 11/15/2021 0.32%
Qatar Government International Bond, 4.50%, due 04/23/2028 0.32%
Toronto-Dominion Bank, 3.35%, due 10/22/2021 0.32%
Deutsche Bank AG, 3.70%, due 05/30/2024 0.31%
Deutsche Bank AG, 3.15%, due 01/22/2021 0.31%
Daimler Finance North America LLC, 3.40%, due 02/22/2022 0.31%
CIFC Funding, Ltd., Series 2015-5A, Class A1R, 2.79%, due 10/25/2027 0.31%
U.S. Treasury Inflation-Indexed Note, 0.37%, due 01/15/2027 0.31%
Lloyds Bank PLC, Series MTN, 7.50%, due 04/02/2032 0.31%
Kraft Heinz Foods Co., 3.37%, due 06/15/2021 0.31%
Lloyds Bank PLC, 2.25%, due 08/14/2022 0.31%
CVS Health Corp., 2.80%, due 07/20/2020 0.31%
American Tower Corp., 3.37%, due 05/15/2024 0.31%
Mississippi Power Co., 2.74%, due 03/27/2020 0.31%
Evergreen Credit Card Trust, Series 2019-2, Class A, 1.90%, due 09/16/2024 0.31%
Banque Federative du Credit Mutuel SA, 2.92%, due 07/20/2023 0.31%
Daimler Finance North America LLC, 2.55%, due 08/15/2022 0.30%
Cooperatieve Rabobank UA, 4.37%, due 08/04/2025 0.30%
Government National Mortgage Association, 2.68%, due 07/20/2065 0.30%
Government National Mortgage Association, 4.00%, due 06/20/2047 0.30%
AT&T, Inc., 2.88%, due 06/01/2021 0.30%
Sumitomo Mitsui Banking Corp., 2.37%, due 10/16/2020 0.30%
Federal National Mortgage Association, 4.00%, due 09/01/2048 0.30%
Tralee CLO, Ltd., Series 2018-5A, Class A1, 3.07%, due 10/20/2028 0.30%
Morgan Stanley, Series MTN, 2.72%, due 07/22/2025 0.29%
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.30%, due 01/23/2023 0.29%
JPMorgan Chase & Co., 3.90%, due 07/15/2025 0.29%
Volkswagen Group of America Finance LLC, 4.75%, due 11/13/2028 0.29%
Svenska Handelsbanken AB, 3.90%, due 11/20/2023 0.29%
JPMorgan Chase & Co., 2.40%, due 06/07/2021 0.29%
UniCredit SpA, 6.57%, due 01/14/2022 0.29%
Marriott International, Inc., 4.15%, due 12/01/2023 0.28%
Ashford Hospitality Trust, Series 2018-AHT1, Class A, 2.91%, due 05/15/2035 0.28%
Volkswagen Group of America Finance LLC, 4.62%, due 11/13/2025 0.28%
CIFC Funding, Ltd., Series 2015-2A, Class AR, 2.78%, due 04/15/2027 0.28%
Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB, 2.84%, due 10/10/2049 0.28%
Government National Mortgage Association, 2.85%, due 10/20/2066 0.28%
Government National Mortgage Association, 4.00%, due 06/20/2049 0.28%
United Technologies Corp., 3.65%, due 08/16/2023 0.28%
Duke Energy Corp., 3.05%, due 08/15/2022 0.27%
Venture XII CLO, Ltd., Series 2012-12A, Class ARR, 2.94%, due 02/28/2026 0.27%
VMware, Inc., 2.95%, due 08/21/2022 0.27%
Government National Mortgage Association, 3.00%, TBA 0.27%
Credit Suisse Group Funding Guernsey, Ltd., 3.75%, due 03/26/2025 0.27%
CenterPoint Energy Resources Corp., 3.55%, due 04/01/2023 0.27%
Svenska Handelsbanken AB, Series MTN, 3.35%, due 05/24/2021 0.27%
DBGS Mortgage Trust, Series 2019-1735, Class A, 3.84%, due 04/10/2037 0.27%
Japan Government Twenty Year Bond, 0.30%, due 06/20/2039 0.27%
Mondelez International, Inc., 3.62%, due 05/07/2023 0.27%
Goldman Sachs Group, Inc., 2.89%, due 02/23/2023 0.27%
RASC Trust, Series 2005-KS11, Class M2, 2.24%, due 12/25/2035 0.27%
Sumitomo Mitsui Banking Corp., 2.51%, due 01/17/2020 0.27%
Banco Santander SA, 3.84%, due 04/12/2023 0.27%
Keurig Dr. Pepper, Inc., 4.05%, due 05/25/2023 0.27%
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR, 2.88%, due 10/15/2027 0.27%
Credit Suisse Group AG, 4.20%, due 06/12/2024 0.27%
AT&T, Inc., 2.95%, due 07/15/2021 0.27%
AIB Group PLC, 4.75%, due 10/12/2023 0.27%
Dell International LLC / EMC Corp., 5.45%, due 06/15/2023 0.27%
General Motors Financial Co., Inc., 3.20%, due 07/13/2020 0.27%
Synchrony Bank, 3.65%, due 05/24/2021 0.27%
TICP CLO I, Ltd., Series 2015-1A, Class AR, 2.76%, due 07/20/2027 0.27%
Federal National Mortgage Association, 4.00%, due 02/01/2048 0.27%
Capital One Financial Corp., 2.38%, due 10/30/2020 0.27%
Chase Issuance Trust, Series 2017-A1, Class A, 2.22%, due 01/15/2022 0.26%
Deutsche Bank AG, 2.70%, due 07/13/2020 0.26%
Venture XVI CLO, Ltd., Series 2014-16A, Class ARR, 2.85%, due 01/15/2028 0.26%
KVK CLO, Ltd., Series 2013-1A, Class AR, 2.90%, due 01/14/2028 0.26%
Federal National Mortgage Association, 4.00%, due 09/01/2048 0.26%
Standard Chartered PLC, 4.24%, due 01/20/2023 0.26%
Daimler Finance North America LLC, 3.35%, due 05/04/2021 0.26%
Capital One Financial Corp., 2.40%, due 10/30/2020 0.26%
Skandinaviska Enskilda Banken AB, 3.25%, due 05/17/2021 0.26%
Barclays PLC, 7.75%, due 09/15/2023 0.26%
Citigroup, Inc., 2.70%, due 10/27/2022 0.26%
Societe Generale SA, 4.25%, due 09/14/2023 0.26%
NextEra Energy Capital Holdings, Inc., 3.20%, due 02/25/2022 0.26%
Regions Bank, 3.37%, due 08/13/2021 0.26%
Boston Properties, LP, 3.40%, due 06/21/2029 0.26%
Ford Motor Credit Co. LLC, 5.59%, due 01/07/2022 0.26%
AT&T, Inc., 3.31%, due 06/12/2024 0.26%
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A, 3.43%, due 12/16/2024 0.26%
Citigroup Commercial Mortgage Trust, Series 2017-1500, Class A, 2.76%, due 07/15/2032 0.26%
Simon Property Group, LP, 2.00%, due 09/13/2024 0.26%
American Express Co., 3.37%, due 05/17/2021 0.25%
PayPal Holdings, Inc., 2.85%, due 10/01/2029 0.25%
Volkswagen Group of America Finance LLC, 2.94%, due 11/13/2020 0.25%
Ford Motor Credit Co. LLC, 5.75%, due 02/01/2021 0.25%
BMW Finance NV, 2.25%, due 08/12/2022 0.25%
Skandinaviska Enskilda Banken AB, 2.55%, due 05/17/2021 0.25%
Barings Euro CLO, Series 2016-1A, Class A1R, 0.68%, due 07/27/2030 0.25%
NextEra Energy Capital Holdings, Inc., 1.95%, due 09/01/2022 0.25%
Delta Air Lines Pass-Through Trust, 6.82%, due 02/10/2024 0.25%
Gallatin CLO IX, Ltd., Series 2018-1A, Class A, 3.01%, due 01/21/2028 0.25%
Credit Suisse Group AG, 3.37%, due 06/12/2024 0.25%
Service Properties Trust, 4.35%, due 10/01/2024 0.25%
RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2B, 2.28%, due 06/12/2044 0.25%
General Motors Financial Co., Inc., 4.20%, due 11/06/2021 0.25%
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A, 3.04%, due 05/15/2028 0.25%
Wabtec Corp., 3.41%, due 09/15/2021 0.25%
McDonald's Corp., Series MTN, 2.36%, due 10/28/2021 0.25%
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, due 03/01/2025 0.25%
Natwest Markets PLC, Series MTN, 0.62%, due 03/02/2022 0.25%
Capital One Financial Corp., 4.25%, due 04/30/2025 0.25%
Jackson National Life Global Funding, 2.37%, due 09/15/2022 0.25%
Ford Motor Credit Co. LLC, 3.20%, due 01/15/2021 0.25%
Welltower, Inc., 4.25%, due 04/15/2028 0.25%
HSBC Holdings PLC, 2.78%, due 09/11/2021 0.25%
Deutsche Bank AG, 3.37%, due 05/12/2021 0.24%
Government National Mortgage Association, 4.50%, due 04/20/2049 0.24%
Boston Gas Co., 3.00%, due 08/01/2029 0.24%
Credit Suisse Group AG, 2.59%, due 09/11/2025 0.24%
Springleaf Finance Corp., 6.87%, due 03/15/2025 0.24%
Chesapeake Funding II LLC, Series 2018-2A, Class A1, 3.23%, due 08/15/2030 0.24%
Imperial Brands Finance PLC, 2.95%, due 07/21/2020 0.24%
Barclays Bank PLC, 10.17%, due 06/12/2021 0.23%
HSBC Holdings PLC, Series MTN, 4.75%, due 07/04/2029 0.23%
GLP Capital, LP / GLP Financing II, Inc., 4.00%, due 01/15/2030 0.23%
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class ASB, 3.06%, due 02/15/2048 0.23%
Nissan Motor Acceptance Corp., Series MTN, 2.60%, due 09/28/2022 0.23%
Government National Mortgage Association, 5.00%, due 04/20/2049 0.23%
Sumitomo Mitsui Financial Group, Inc., 3.78%, due 03/09/2021 0.23%
Ambac LSNI LLC, 7.10%, due 02/12/2023 0.23%
GS Mortgage Securities Corp. Trust, Series 2016-RENT, Class A, 3.20%, due 02/10/2029 0.23%
Broadcom Corp. / Broadcom Cayman Finance, Ltd., 3.00%, due 01/15/2022 0.23%
Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC1, Class A1, 1.98%, due 12/25/2036 0.23%
Structured Asset Investment Loan Trust, Series 2005-9, Class M1, 2.24%, due 11/25/2035 0.23%
Intesa Sanpaolo SpA, 4.00%, due 09/23/2029 0.23%
Spain Government Bond, 1.85%, due 07/30/2035 0.22%
Option One Mortgage Loan Trust, Series 2007-5, Class 1A1, 2.04%, due 05/25/2037 0.22%
Credit Suisse Group Funding Guernsey, Ltd., 3.80%, due 06/09/2023 0.22%
AvalonBay Communities, Inc., Series MTN, 3.45%, due 06/01/2025 0.22%
OCP CLO, Ltd., Series 2015-9A, Class A1R, 2.80%, due 07/15/2027 0.22%
CVS Health Corp., 3.70%, due 03/09/2023 0.22%
Federal National Mortgage Association, 4.00%, due 12/01/2048 0.22%
Wells Fargo Bank NA, 2.46%, due 10/22/2021 0.22%
HCA, Inc., 5.37%, due 09/01/2026 0.22%
Government National Mortgage Association, 4.50%, due 06/20/2048 0.22%
Sasol Financing LLC, 5.87%, due 03/27/2024 0.22%
Unibail-Rodamco-Westfield SE, Series MTN, 1.00%, due 03/14/2025 0.22%
Federal Home Loan Mortgage Corp., 4.00%, due 01/01/2049 0.22%
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 4.12%, due 07/03/2023 0.21%
Monarch Grove CLO Trust, Series 2018-1A, Class A1, 2.81%, due 01/25/2028 0.21%
U.S. Treasury Note, 1.75%, due 09/30/2022 0.21%
IndyMac INDX Mortgage Loan Trust, Series 2006-AR35, Class 2A1A, 1.99%, due 01/25/2037 0.21%
Allstate Corp., 2.73%, due 03/29/2023 0.21%
Government National Mortgage Association, 2.88%, due 06/20/2066 0.21%
Government National Mortgage Association, 2.70%, due 09/20/2065 0.21%
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB, 3.55%, due 12/15/2047 0.21%
Aviation Capital Group LLC, 4.12%, due 08/01/2025 0.21%
Deutsche Bank AG, 5.00%, due 02/14/2022 0.21%
Wells Fargo & Co., Series MTN, 2.62%, due 07/22/2022 0.21%
TICP CLO III, Ltd., Series 2018-3R, Class A, 2.80%, due 04/20/2028 0.21%
Lloyds Banking Group PLC, 2.85%, due 03/17/2023 0.21%
Credit Suisse Group Funding Guernsey, Ltd., 4.29%, due 04/16/2021 0.21%
Reckitt Benckiser Treasury Services PLC, 2.37%, due 06/24/2022 0.21%
Volkswagen Group of America Finance LLC, 2.97%, due 09/24/2021 0.21%
Federal National Mortgage Association, 3.50%, due 04/01/2045 0.20%
AT&T, Inc., 2.65%, due 01/15/2020 0.20%
UBS Group AG, 4.25%, due 03/23/2028 0.20%
Broadcom, Inc., 3.12%, due 10/15/2022 0.20%
Lloyds Banking Group PLC, 4.05%, due 08/16/2023 0.20%
Air Lease Corp., Series MTN, 4.25%, due 02/01/2024 0.20%
Mitsubishi UFJ Financial Group, Inc., 3.40%, due 03/07/2024 0.20%
Royal Bank of Scotland Group PLC, 4.51%, due 06/25/2024 0.20%
Barclays PLC, 4.29%, due 08/10/2021 0.20%
Enbridge, Inc., 2.81%, due 06/15/2020 0.20%
U.S. Treasury Bond, 3.12%, due 02/15/2043 0.20%
Barclays PLC, 3.63%, due 01/10/2023 0.20%
DXC Technology Co., 3.08%, due 03/01/2021 0.20%
BAT International Finance PLC, 2.75%, due 06/15/2020 0.20%
Syngenta Finance NV, 4.44%, due 04/24/2023 0.20%
Government National Mortgage Association, 5.00%, due 05/20/2049 0.19%
Broadcom Corp. / Broadcom Cayman Finance, Ltd., 3.62%, due 01/15/2024 0.19%
SLM Student Loan Trust, Series 2003-11, Class A6, 2.66%, due 12/15/2025 0.19%
Jersey Central Power & Light Co., 4.70%, due 04/01/2024 0.19%
Government National Mortgage Association, 2.68%, due 09/20/2065 0.19%
Royal Bank of Scotland Group PLC, 3.49%, due 05/15/2023 0.19%
Mitsubishi UFJ Financial Group, Inc., 3.45%, due 03/02/2023 0.19%
Government National Mortgage Association, 2.91%, due 09/20/2067 0.19%
Venture XX CLO, Ltd., Series 2015-20A, Class AR, 2.82%, due 04/15/2027 0.19%
Goldman Sachs Group, Inc., 2.70%, due 10/31/2022 0.19%
Government National Mortgage Association, 4.00%, due 03/20/2048 0.18%
Government National Mortgage Association, 2.68%, due 08/20/2065 0.18%
Latam Airlines Pass-Through Trust, 4.20%, due 08/15/2029 0.18%
Federal Home Loan Mortgage Corp. REMIC, 2.32%, due 06/15/2041 0.18%
CBL & Associates, LP, 5.95%, due 12/15/2026 0.18%
Microchip Technology, Inc., 3.92%, due 06/01/2021 0.18%
JT International Financial Services BV, Series MTN, 3.50%, due 09/28/2023 0.18%
Government National Mortgage Association, 2.68%, due 04/20/2065 0.18%
Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificate, Series 2004-OPT1, Class M3, 2.76%, due 10/25/2034 0.18%
GS Mortgage Securities Trust, Series 2016-GS3, Class AAB, 2.77%, due 10/10/2049 0.17%
Deutsche Bank AG, 3.30%, due 11/16/2022 0.17%
Alexandria Real Estate Equities, Inc., 4.30%, due 01/15/2026 0.17%
Progress Energy, Inc., 4.40%, due 01/15/2021 0.17%
Government National Mortgage Association, 2.66%, due 06/20/2065 0.17%
Countrywide Asset-Backed Certificates, Series 2007-2, Class 2A3, 1.96%, due 08/25/2037 0.17%
BBCMS Trust, Series 2015-STP, Class A, 3.32%, due 09/10/2028 0.17%
Citigroup, Inc., 3.56%, due 09/01/2023 0.17%
Royal Bank of Scotland Group PLC, 3.87%, due 09/12/2023 0.17%
Bank of America Corp., 4.10%, due 07/24/2023 0.17%
Crown Castle International Corp., 5.25%, due 01/15/2023 0.17%
U.S. Treasury Bond, 4.50%, due 08/15/2039 0.17%
Marriott Ownership Resorts, Inc. / ILG LLC, 6.50%, due 09/15/2026 0.16%
UBS AG, 2.45%, due 12/01/2020 0.16%
Benefit Street Partners CLO VII, Ltd., Series 2015-VIIA, Class A1AR, 2.78%, due 07/18/2027 0.16%
Federal National Mortgage Association, 4.50%, due 11/01/2048 0.16%
Government National Mortgage Association, 2.68%, due 10/20/2065 0.16%
Wyndham Hotels & Resorts, Inc., Term Loan B, 3.53%, due 05/30/2025 0.16%
Federal Home Loan Mortgage Corp., 4.00%, due 11/01/2048 0.16%
WEA Finance LLC / Westfield UK & Europe Finance PLC, 3.25%, due 10/05/2020 0.16%
Deutsche Bank AG, 4.25%, due 10/14/2021 0.16%
Pernod Ricard SA, 4.45%, due 01/15/2022 0.16%
Government National Mortgage Association, 4.00%, TBA 0.16%
Barclays PLC, 7.87%, due 09/15/2022 0.16%
Voya CLO, Ltd., Series 2014-3A, Class A1R, 2.65%, due 07/25/2026 0.16%
Teva Pharmaceutical Finance II BV, 3.25%, due 04/15/2022 0.16%
Government National Mortgage Association, 2.68%, due 07/20/2065 0.16%
Santander PLC, 2.12%, due 11/03/2020 0.16%
Wells Fargo Bank NA, 3.62%, due 10/22/2021 0.16%
Federal National Mortgage Association, 4.00%, due 10/01/2048 0.16%
CIT Mortgage Loan Trust, Series 2007-1, Class 1A, 3.17%, due 10/25/2037 0.16%
General Motors Financial Co., Inc., 2.86%, due 04/09/2021 0.16%
Option One Mortgage Loan Trust, Series 2007-2, Class 1A1, 1.96%, due 03/25/2037 0.15%
Royal Bank of Scotland Group PLC, 8.62%, due 08/15/2021 0.15%
Mitsubishi UFJ Lease & Finance Co., Ltd., Series MTN, 2.25%, due 09/07/2021 0.15%
Bayer Finance II LLC, 4.25%, due 12/15/2025 0.15%
Octagon Investment Partners XXIII, Ltd., Series 2015-1A, Class A1R, 2.85%, due 07/15/2027 0.15%
Banco Bilbao Vizcaya Argentaria SA, 6.75%, due 02/18/2020 0.15%
Aviation Capital Group LLC, 3.87%, due 05/01/2023 0.15%
Aurium CLO, Series 2A, Class AR, 0.68%, due 10/13/2029 0.15%
Wells Fargo & Co., 2.10%, due 07/26/2021 0.15%
BBVA, 2.50%, due 08/27/2024 0.15%
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.46%, due 07/23/2022 0.15%
U.S. Treasury Inflation-Indexed Bond, 1.37%, due 02/15/2044 0.15%
Cooperatieve Rabobank UA, 6.62%, due 06/29/2021 0.15%
Celgene Corp., 2.25%, due 08/15/2021 0.14%
Credit Suisse Group Funding Guernsey, Ltd., 3.45%, due 04/16/2021 0.14%
Citigroup, Inc., 2.90%, due 12/08/2021 0.14%
Countrywide Asset-Backed Certificates, Series 2006-20, Class 1A, 1.96%, due 04/25/2047 0.14%
Cooperatieve Rabobank UA, 2.36%, due 04/26/2021 0.14%
Federal Home Loan Mortgage Corp., 4.00%, due 04/01/2048 0.14%
ING Bank NV, 2.62%, due 12/05/2022 0.14%
JetBlue Pass-Through Trust, 2.75%, due 11/15/2033 0.14%
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC, 3.36%, due 03/20/2023 0.14%
Lloyds Banking Group PLC, 7.62%, due 06/27/2023 0.14%
Charter Communications Operating LLC / Charter Communications Operating Capital, 3.55%, due 02/01/2024 0.14%
Alternative Loan Trust, Series 2005-80CB, Class 1A1, 6.00%, due 02/25/2036 0.14%
Home Equity Asset Trust, Series 2004-4, Class M1, 2.60%, due 10/25/2034 0.13%
Government National Mortgage Association, 2.83%, due 08/20/2067 0.13%
Barclays Bank PLC, 7.62%, due 11/21/2022 0.13%
BAT Capital Corp., 3.55%, due 08/15/2027 0.13%
Sofi Professional Loan Program Trust, Series 2018-B, Class A1FX, 2.64%, due 08/25/2047 0.13%
NTT Finance Corp., Series MTN, 1.90%, due 07/21/2021 0.13%
Federal National Mortgage Association REMIC, 2.55%, due 09/25/2046 0.13%
Florida Power & Light Co., 3.70%, due 12/01/2047 0.13%
FirstEnergy Corp., 3.90%, due 07/15/2027 0.13%
Petroleos Mexicanos, 6.84%, due 01/23/2030 0.13%
Halcyon Loan Advisors Funding, Ltd., Series 2014-3A, Class AR, 3.05%, due 10/22/2025 0.12%
Federal National Mortgage Association, 3.00%, due 08/01/2049 0.12%
Cent CLO 19, Ltd., Series 2013-19A, Class A1A, 3.25%, due 10/29/2025 0.12%
Adams Mill CLO, Ltd., Series 2014-1A, Class A1R, 3.10%, due 07/15/2026 0.12%
Citigroup Mortgage Loan Trust, Inc., Series 2007-FS1, Class 1A1, 4.59%, due 10/25/2037 0.12%
Metropolitan Water District of Southern California, Series A, 6.94%, due 07/01/2040 0.12%
Celgene Corp., 3.25%, due 08/15/2022 0.12%
GSR Mortgage Loan Trust, Series 2005-8F, Class 2A6, 5.50%, due 11/25/2035 0.12%
Tayarra, Ltd., 3.62%, due 02/15/2022 0.12%
Petrobras Global Finance BV, 5.09%, due 01/15/2030 0.12%
Federal Home Loan Mortgage Corp., 3.50%, due 08/01/2049 0.11%
Campbell Soup Co., 3.30%, due 03/15/2021 0.11%
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC6, Class M3, 2.58%, due 07/25/2035 0.11%
Master Asset-Backed Securities Trust, Series 2007-HE2, Class A1, 2.97%, due 08/25/2037 0.11%
Conagra Brands, Inc., 3.80%, due 10/22/2021 0.11%
AbbVie, Inc., 3.75%, due 11/14/2023 0.11%
Sofi Professional Loan Program LLC, Series 2018-A, Class A2A, 2.39%, due 02/25/2042 0.11%
Government National Mortgage Association, 3.03%, due 12/20/2066 0.10%
IndyMac INDX Mortgage Loan Trust, Series 2006-R1, Class A3, 3.72%, due 12/25/2035 0.10%
Teva Pharmaceutical Finance II BV, 1.25%, due 03/31/2023 0.10%
U.S. Treasury Bond, 4.25%, due 05/15/2039 0.10%
Morgan Stanley, 3.14%, due 01/20/2022 0.10%
Volkswagen Bank GmbH, Series MTN, 1.87%, due 01/31/2024 0.10%
Reperforming Loan REMIC Trust, Series 2006-R1, Class AF1, 2.16%, due 01/25/2036 0.10%
Federal National Mortgage Association, 4.69%, due 01/01/2036 0.10%
Bear Stearns Alt-A Trust, Series 2006-6, Class 31A1, 4.02%, due 11/25/2036 0.10%
Westlake Automobile Receivables Trust, Series 2018-3A, Class A2A, 2.98%, due 01/18/2022 0.10%
Futures Contracts, Short, Euro OAT 0.10%
Alternative Loan Trust, Series 2005-J12, Class 2A1, 2.36%, due 08/25/2035 0.10%
Brandywine Operating Partnership, LP, 3.95%, due 11/15/2027 0.10%
Federal National Mortgage Association, 3.50%, due 05/01/2049 0.10%
Countrywide Asset-Backed Certificates, Series 2006-24, Class 2A3, 1.97%, due 06/25/2047 0.10%
Mondelez International Holdings BV, 2.00%, due 10/28/2021 0.10%
GSAMP Trust, Series 2005-HE1, Class M2, 3.14%, due 12/25/2034 0.10%
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.09%
Aircastle, Ltd., 5.12%, due 03/15/2021 0.09%
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-9, Class MV4, 3.39%, due 11/25/2034 0.09%
Time Warner Cable LLC, 4.00%, due 09/01/2021 0.09%
Banc of America Funding Trust, Series 2005-D, Class A1, 4.77%, due 05/25/2035 0.09%
Molson Coors Brewing Co., 2.10%, due 07/15/2021 0.09%
General Electric Co., Series MTN, 4.65%, due 10/17/2021 0.09%
UBS Group AG, 4.12%, due 09/24/2025 0.09%
American International Group, Inc., 3.75%, due 07/10/2025 0.09%
State of Illinois, 6.63%, due 02/01/2035 0.09%
Mountain Hawk III CLO, Ltd., Series 2014-3A, Class AR, 3.20%, due 04/18/2025 0.09%
Business Mortgage Finance 7 PLC, Series 7X, Class A1, 2.76%, due 02/15/2041 0.09%
Federal Home Loan Mortgage Corp., 4.00%, due 10/01/2048 0.09%
Swap Agreement, Receive, 3-Month USD-LIBOR 0.09%
Tobacco Settlement Finance Authority, Series A, 7.46%, due 06/01/2047 0.08%
WaMu Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A3, 2.07%, due 04/25/2037 0.08%
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W4, Class A2D, 2.20%, due 02/25/2036 0.08%
Federal Home Loan Mortgage Corp., 4.00%, due 09/01/2048 0.08%
Eurosail PLC, Series 2007-3X, Class A3C, 1.73%, due 06/13/2045 0.08%
AT&T, Inc., 3.40%, due 06/15/2022 0.08%
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-8, Class 1A2, 3.71%, due 09/25/2036 0.08%
American Home Mortgage Assets Trust, Series 2007-1, Class A1, 3.08%, due 02/25/2047 0.08%
General Motors Financial Co., Inc., Series MTN, 0.14%, due 03/26/2022 0.08%
Alternative Loan Trust, Series 2006-OA12, Class A1B, 2.03%, due 09/20/2046 0.08%
BOC Aviation, Ltd., Series MTN, 4.00%, due 01/25/2024 0.08%
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY4, Class 2A2, 3.48%, due 04/25/2037 0.08%
Government National Mortgage Association, 5.00%, due 06/20/2049 0.08%
GS Mortgage Securities Trust, Series 2016-GS3, Class WMA, 3.60%, due 10/10/2049 0.08%
U.S. Treasury Inflation-Indexed Bond, 1.00%, due 02/15/2049 0.08%
Bayer Finance II LLC, 3.50%, due 06/25/2021 0.08%
Wells Fargo & Co., 3.15%, due 10/31/2023 0.08%
Bear Stearns Asset-Backed Securities Trust, Series 2004-1, Class M1, 2.79%, due 06/25/2034 0.08%
Zimmer Biomet Holdings, Inc., 2.70%, due 04/01/2020 0.08%
General Electric Co., 0.37%, due 05/17/2022 0.08%
RALI Trust, Series 2007-QO2, Class A1, 1.97%, due 02/25/2047 0.07%
Service Properties Trust, 4.25%, due 02/15/2021 0.07%
Morgan Stanley, 3.73%, due 04/24/2024 0.07%
Air Lease Corp., 3.87%, due 04/01/2021 0.07%
Avolon Holdings Funding, Ltd., 5.50%, due 01/15/2023 0.07%
Southern Co., 2.75%, due 06/15/2020 0.07%
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 2.11%, due 10/25/2045 0.07%
Ally Auto Receivables Trust, Series 2018-3, Class A2, 2.72%, due 05/17/2021 0.07%
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2, 6.50%, due 04/25/2037 0.07%
Continental Airlines Pass-Through Trust, 4.15%, due 10/11/2025 0.07%
Spirit AeroSystems, Inc., 3.95%, due 06/15/2023 0.07%
Alternative Loan Trust, Series 2006-OA21, Class A1, 2.03%, due 03/20/2047 0.07%
BP Capital Markets America, Inc., 3.79%, due 02/06/2024 0.06%
Digital Realty Trust, LP, 3.70%, due 08/15/2027 0.06%
Bear Stearns Alt-A Trust, Series 2005-8, Class 21A1, 4.22%, due 10/25/2035 0.06%
Federal Home Loan Mortgage Corp., 4.00%, due 08/01/2048 0.06%
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C, 2.07%, due 03/25/2037 0.06%
U.S. Treasury Bond, 4.62%, due 02/15/2040 0.06%
Wachovia Mortgage Loan Trust, Series 2005-WMC1, Class M2, 2.51%, due 10/25/2035 0.06%
CVS Health Corp., 3.50%, due 07/20/2022 0.06%
Navient Private Education Loan Trust, Series 2018-BA, Class A1, 2.27%, due 12/15/2059 0.06%
RALI Trust, Series 2005-QA13, Class 2A1, 4.77%, due 12/25/2035 0.06%
Evergy, Inc., 2.45%, due 09/15/2024 0.06%
Soundview Home Loan Trust, Series 2006-OPT2, Class A3, 2.00%, due 05/25/2036 0.05%
Volkswagen International Finance NV, 4.00%, due 08/12/2020 0.05%
B&M CLO, Ltd., Series 2014-1A, Class A1R, 2.73%, due 04/16/2026 0.05%
U.S. Treasury Bond, 4.37%, due 05/15/2040 0.05%
RASC Trust, Series 2006-EMX1, Class M1, 2.23%, due 01/25/2036 0.05%
Alexandria Real Estate Equities, Inc., 3.37%, due 08/15/2031 0.05%
Hudson Pacific Properties, LP, 4.65%, due 04/01/2029 0.05%
Kuwait International Government Bond, 2.75%, due 03/20/2022 0.05%
Government National Mortgage Association, 4.00%, due 04/20/2048 0.05%
Nationwide Building Society, 2.35%, due 01/21/2020 0.05%
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE9, Class M2, 2.75%, due 11/25/2034 0.05%
Allergan Sales LLC, 5.00%, due 12/15/2021 0.05%
Expedia Group, Inc., 3.80%, due 02/15/2028 0.05%
U.S. Treasury Inflation-Indexed Bond, 0.75%, due 02/15/2045 0.05%
Emera Finance, LP, 2.70%, due 06/15/2021 0.05%
Daimler Finance North America LLC, 2.25%, due 03/02/2020 0.05%
Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-A, Class 1A, 2.04%, due 04/25/2037 0.04%
Citigroup, Inc., 3.48%, due 03/30/2021 0.04%
RASC Trust, Series 2006-KS9, Class AI3, 1.98%, due 11/25/2036 0.04%
U.S. Treasury Bond, 4.37%, due 11/15/2039 0.04%
Aviation Capital Group LLC, 2.87%, due 01/20/2022 0.04%
Alternative Loan Trust, Series 2007-HY4, Class 1A1, 3.94%, due 06/25/2037 0.04%
Government National Mortgage Association, 2.45%, due 10/20/2066 0.04%
HCP, Inc., 4.00%, due 12/01/2022 0.04%
Altice Financing SA, 6.62%, due 02/15/2023 0.04%
Government National Mortgage Association, 4.00%, due 01/20/2045 0.04%
ING Groep NV, 4.62%, due 01/06/2026 0.04%
SLM Student Loan Trust, Series 2005-3, Class A5, 2.02%, due 10/25/2024 0.03%
Odebrecht Offshore Drilling Finance, Ltd., 7.72%, due 12/01/2026 0.03%
Shire Acquisitions Investments Ireland DAC, 2.40%, due 09/23/2021 0.03%
Sabra Health Care, LP / Sabra Capital Corp., 3.90%, due 10/15/2029 0.03%
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR2, Class 1A1, 5.03%, due 03/25/2035 0.03%
Ford Motor Credit Co. LLC, Series MTN, Zero Coupon, due 12/01/2021 0.03%
Morgan Stanley Mortgage Loan Trust, Series 2007-14AR, Class 1A3, 4.21%, due 10/25/2037 0.03%
Federal Home Loan Mortgage Corp., 4.00%, due 12/01/2047 0.03%
ZF North America Capital, Inc., 4.50%, due 04/29/2022 0.03%
Federal National Mortgage Association, 4.00%, due 10/01/2047 0.03%
Swap Agreement, Pay, 6-Month GBP-LIBOR 0.03%
Odebrecht Offshore Drilling Finance, Ltd., 6.72%, due 12/01/2022 0.03%
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 3A1, 4.18%, due 09/25/2035 0.03%
JPMorgan Chase & Co., 2.55%, due 10/29/2020 0.03%
Futures Contracts, Short, German Euro BOBL 0.03%
Constellation Brands, Inc., 4.25%, due 05/01/2023 0.03%
Centene Corp., 5.37%, due 06/01/2026 0.03%
CSMC Trust, Series 2008-3R, Class 1A2, 3.99%, due 07/26/2037 0.03%
Navient Student Loan Trust, Series 2017-3A, Class A1, 2.12%, due 07/26/2066 0.03%
Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE3, Class 1A2, 2.02%, due 04/25/2037 0.03%
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A, 4.40%, due 09/25/2033 0.03%
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AQ1, Class M2, 2.47%, due 03/25/2035 0.02%
Government National Mortgage Association, 4.00%, due 10/20/2044 0.02%
Futures Contracts, Long, Euro-BTP Italy Government Bond 0.02%
Alternative Loan Trust, Series 2007-9T1, Class 1A10, 6.00%, due 05/25/2037 0.02%
Kentucky State Property & Building Commission, Series C, 4.40%, due 11/01/2020 0.02%
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 3.58%, due 10/25/2044 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, 3.72%, due 09/25/2036 0.02%
AmeriCredit Automobile Receivables Trust, Series 2018-1, Class A2B, 2.10%, due 07/19/2021 0.02%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Interest Only STRIPS, 1.24%, due 08/25/2022 0.02%
Discovery Communications LLC, 2.80%, due 06/15/2020 0.02%
Kentucky State Property & Building Commission, Series C, 4.30%, due 11/01/2019 0.02%
GSAMP Trust, Series 2007-HS1, Class A1, 2.67%, due 02/25/2047 0.02%
Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC4, Class A2C, 1.99%, due 05/25/2037 0.02%
Bear Stearns Alt-A Trust, Series 2006-6, Class 32A1, 3.82%, due 11/25/2036 0.02%
Soundview Home Loan Trust, Series 2007-WMC1, Class 3A1, 1.93%, due 02/25/2037 0.02%
Bear Stearns Alt-A Trust, Series 2006-R1, Class 2E21, 3.87%, due 08/25/2036 0.02%
CVS Health Corp., 4.00%, due 12/05/2023 0.02%
Sequoia Mortgage Trust, Series 2004-12, Class A1, 2.38%, due 01/20/2035 0.02%
General Electric Co., Series MTN, 2.20%, due 01/09/2020 0.02%
Federal Home Loan Mortgage Corp., 3.50%, due 03/01/2048 0.01%
NACC Reperforming Loan REMIC Trust, Series 2004-R1, Class A1, 6.50%, due 03/25/2034 0.01%
Banco Espirito Santo SA, Series MTN, 2.62%, due 05/08/2017 0.01%
Government National Mortgage Association, 2.78%, due 10/20/2065 0.01%
RFMSI Trust, Series 2005-SA4, Class 1A21, 4.33%, due 09/25/2035 0.01%
Alternative Loan Trust, Series 2005-56, Class 5A2, 2.59%, due 11/25/2035 0.01%
Allergan Funding SCS, 3.45%, due 03/15/2022 0.01%
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 3.78%, due 07/25/2044 0.01%
Federal Home Loan Mortgage Corp., 4.15%, due 09/01/2035 0.01%
Reperforming Loan REMIC Trust, Series 2003-R4, Class 2A, 4.94%, due 01/25/2034 0.01%
Reperforming Loan REMIC Trust, Series 2005-R2, Class 1AF1, 2.16%, due 06/25/2035 0.01%
Bear Stearns Alt-A Trust, Series 2006-8, Class 3A1, 1.98%, due 02/25/2034 0.01%
Federal National Mortgage Association, 4.10%, due 09/01/2035 0.01%
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1, 3.87%, due 02/25/2037 0.01%
HarborView Mortgage Loan Trust, Series 2006-7, Class 2A1A, 2.04%, due 09/19/2046 0.01%
Futures Contracts, Short, 3-Month EURIBOR 0.01%
Futures Contracts, Short, 3-Month EURIBOR 0.01%
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE6, Class M2, 2.82%, due 06/25/2035 0.01%
Bear Stearns ARM Trust, Series 2003-5, Class 2A1, 4.47%, due 08/25/2033 0.01%
Federal National Mortgage Association, 3.75%, due 08/01/2035 0.01%
Sprint Corp., 7.12%, due 06/15/2024 0.01%
Federal National Mortgage Association, 4.08%, due 05/01/2035 0.01%
Banc of America Funding Trust, Series 2006-D, Class 5A1, 4.35%, due 05/20/2036 0.01%
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.01%
GSR Mortgage Loan Trust, Series 2004-12, Class 1A1, 2.16%, due 12/25/2034 0.01%
U.S. Treasury Note, 2.00%, due 10/31/2022 0.01%
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1, 4.08%, due 01/26/2036 0.01%
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-1, Class 1A1, 4.16%, due 02/25/2035 0.01%
U.S. Small Business Administration, Series 2004-20C, Class 1, 4.34%, due 03/01/2024 0.01%
Swap Agreement, Receive, Tesco PLC, 6.00%, 12/14/2029 0.01%
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR15, Class 2A1, 4.12%, due 06/25/2033 0.01%
RALI Trust, Series 2005-QO3, Class A1, 2.62%, due 10/25/2045 0.01%
Banco Espirito Santo SA, Series MTN, 4.00%, due 01/21/2019 0.01%
Ameriquest Mortgage Securities Trust, Series 2006-R1, Class M1, 2.21%, due 03/25/2036 0.01%
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 2A1, 3.65%, due 12/26/2046 0.01%
Reperforming Loan REMIC Trust, Series 2004-R1, Class 2A, 6.50%, due 11/25/2034 0.01%
Alternative Loan Trust, Series 2005-14, Class 2A1, 2.03%, due 05/25/2035 0.01%
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A, 2.10%, due 02/25/2036 0.01%
Bear Stearns ARM Trust, Series 2006-4, Class 1A1, 4.65%, due 10/25/2036 0.01%
Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A1, 3.84%, due 09/25/2035 0.01%
Federal National Mortgage Association, 4.00%, due 12/01/2040 0.00%**
Government National Mortgage Association, 2.45%, due 06/20/2061 0.00%**
Federal National Mortgage Association, 4.00%, due 12/01/2040 0.00%**
ABFC Trust, Series 2004-OPT4, Class A1, 2.44%, due 04/25/2034 0.00%**
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR7, Class 2A, 3.36%, due 07/25/2046 0.00%**
Federal National Mortgage Association, 5.00%, due 07/01/2024 0.00%**
HCA, Inc., 5.87%, due 02/01/2029 0.00%**
Adjustable Rate Mortgage Trust, Series 2005-10, Class 1A21, 4.27%, due 01/25/2036 0.00%**
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, 4.43%, due 09/25/2035 0.00%**
Futures Contracts, Short, 10-Year Australia Treasury Bond 0.00%**
Soundview Home Loan Trust, Series 2005-3, Class M3, 2.64%, due 06/25/2035 0.00%**
Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A2, 4.55%, due 09/25/2035 0.00%**
Swap Agreement, Receive, MetLife, Inc., 4.75%, 02/08/2021 0.00%**
Bear Stearns Asset-Backed Securities Trust, Series 2006-SD3, Class 21A1, 4.32%, due 07/25/2036 0.00%**
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 2.09%, due 07/19/2035 0.00%**
Adjustable Rate Mortgage Trust, Series 2005-4, Class 1A1, 3.12%, due 08/25/2035 0.00%**
Federal National Mortgage Association, 5.50%, due 01/01/2025 0.00%**
Federal National Mortgage Association, 3.64%, due 06/01/2043 0.00%**
Adjustable Rate Mortgage Trust, Series 2005-5, Class 2A1, 4.48%, due 09/25/2035 0.00%**
CHL Mortgage Pass-Through Trust, Series 2005-HY10, Class 5A1, 3.82%, due 02/20/2036 0.00%**
Bear Stearns ARM Trust, Series 2004-10, Class 22A1, 4.60%, due 01/25/2035 0.00%**
Futures Contracts, Short, German Euro Schatz 0.00%**
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-AR1, Class 2A1, 3.39%, due 08/25/2035 0.00%**
Bear Stearns ARM Trust, Series 2003-8, Class 4A1, 4.55%, due 01/25/2034 0.00%**
Futures Contracts, Long, 10-Year U.S. Treasury Note 0.00%**
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1, 4.03%, due 01/25/2035 0.00%**
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, 6.50%, due 07/25/2043 0.00%**
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 3A1, 4.21%, due 09/25/2034 0.00%**
Federal National Mortgage Association, 4.10%, due 08/01/2036 0.00%**
Banc of America Funding Trust, Series 2006-J, Class 4A1, 4.59%, due 01/20/2047 0.00%**
Federal National Mortgage Association, 4.50%, due 07/01/2041 0.00%**
BCAP LLC Trust, Series 2013-RR12, Class 1A3, 2.51%, due 05/26/2035 0.00%**
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1, 2.09%, due 07/19/2035 0.00%**
Bear Stearns ARM Trust, Series 2003-9, Class 2A1, 4.57%, due 02/25/2034 0.00%**
Federal Home Loan Mortgage Corp., 3.75%, due 09/01/2035 0.00%**
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17, Class 3A1, 4.26%, due 08/25/2035 0.00%**
Federal National Mortgage Association, 4.00%, due 03/01/2041 0.00%**
MASTR Alternative Loan Trust, Series 2006-2, Class 2A1, 2.22%, due 03/25/2036 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Government National Mortgage Association, 2.76%, due 03/20/2062 0.00%**
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A2, 2.09%, due 07/19/2035 0.00%**
Apidos CLO XVI, Series 2013-16A, Class A1R, 2.94%, due 01/19/2025 0.00%**
Futures Contracts, Long, Euro-BTP Italy Government Bond 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 06/01/2037 0.00%**
Federal National Mortgage Association, 5.00%, due 12/01/2022 0.00%**
U.S. Small Business Administration, Series 2003-20I, Class 1, 5.13%, due 09/01/2023 0.00%**
Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 0.00%**
Bear Stearns ARM Trust, Series 2003-8, Class 2A1, 4.88%, due 01/25/2034 0.00%**
CHL Mortgage Pass-Through Trust, Series 2004-12, Class 11A1, 3.80%, due 08/25/2034 0.00%**
First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 2A1, 4.58%, due 08/25/2035 0.00%**
Federal National Mortgage Association, 5.00%, due 05/01/2037 0.00%**
Swap Agreement, Receive, Brazil Government International Bond, 4.25%, 01/07/2025 0.00%**
Federal Home Loan Mortgage Corp. REMIC, 2.27%, due 12/15/2029 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Federal National Mortgage Association, 4.72%, due 01/01/2028 0.00%**
Alternative Loan Trust, Series 2005-62, Class 2A1, 3.38%, due 12/25/2035 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Federal National Mortgage Association, 5.50%, due 09/01/2027 0.00%**
Structured Asset Mortgage Investments Trust, Series 2002-AR3, Class A1, 2.50%, due 09/19/2032 0.00%**
Sequoia Mortgage Trust, Series 2010, Class 2A1, 2.60%, due 10/20/2027 0.00%**
Federal Home Loan Mortgage Corp., 4.66%, due 08/01/2023 0.00%**
Federal National Mortgage Association, 4.07%, due 08/01/2035 0.00%**
Bear Stearns Asset-Backed Securities Trust, Series 2002-2, Class A1, 2.48%, due 10/25/2032 0.00%**
Odebrecht Oil & Gas Finance, Ltd., Zero Coupon, due 12/02/2019 0.00%**
Federal National Mortgage Association, 4.23%, due 12/01/2034 0.00%**
Federal National Mortgage Association, 4.17%, due 10/01/2035 0.00%**
Federal National Mortgage Association, 5.00%, due 01/01/2023 0.00%**
Federal National Mortgage Association, 4.53%, due 07/01/2032 0.00%**
RFMSI Trust, Series 2003-S9, Class A1, 6.50%, due 03/25/2032 0.00%**
Swap Agreement, Receive, Petrobras International Finance Co. SA, 8.38%, 12/10/2018 0.00%**
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1, 4.35%, due 01/25/2036 0.00%**
Swap Agreement, Receive, Petrobras International Finance Co. SA, 8.38%, 12/10/2018 0.00%**
Swap Agreement, Receive, Petrobras Global Finance BV, 8.38%, 12/10/2018 0.00%**
Swap Agreement, Receive, General Electric Co., 2.70%, 10/09/2022 0.00%**
Home Equity Asset Trust, Series 2002-1, Class A4, 2.42%, due 11/25/2032 0.00%**
Option Purchased, PUT, 10-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, 5-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, 5-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, 5-Year U.S. Treasury Note Futures 0.00%**
CHL Mortgage Pass-Through Trust, Series 2006-OA5, Class 2A2, 2.12%, due 04/25/2046 0.00%**
Option Purchased, PUT, 10-Year U.S. Treasury Note Futures 0.00%**
Swap Agreement, Receive, Petrobras Global Finance BV, 8.38%, 12/10/2018 0.00%**
Federal National Mortgage Association, 5.00%, due 06/01/2023 0.00%**
Option Purchased, PUT, 10-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, 5-Year U.S. Treasury Note Futures 0.00%**
Swap Agreement, Receive, Petrobras Global Finance BV, 8.38%, 12/10/2018 0.00%**
Option Purchased, CALL, U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, 10-Year U.S. Treasury Note Futures 0.00%**
Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 4A, 2.07%, due 11/25/2035 0.00%**
Option Purchased, PUT, 2-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, 5-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, 2-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, 5-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, CALL, 30-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, CALL, U.S. Treasury Note Futures 0.00%**
Option Purchased, CALL, U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, 5-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, CALL, 30-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, CALL, U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, 5-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, CALL, USD vs. JPY 0.00%**
Option Purchased, CALL, U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, 5-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, PUT, 10-Year U.S. Treasury Note Futures 0.00%**
Option Purchased, CALL, U.S. Treasury Note Futures 0.00%**
Swaption Purchased, PUT, 30-Year 0.00%**
Option Purchased, PUT, 5-Year U.S. Treasury Note Futures 0.00%**
Swaption Purchased, PUT, 30-Year 0.00%**
Swaption Written, PUT, 5-Year 0.00%**
Swaption Written, PUT, 5-Year 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Futures Contracts, Long, OTC Call Options Exercise Price EUR 112.90 on German Euro Bund Futures 0.00%**
Futures Contracts, Long, OTC Call Options Exercise Price EUR 192.00 on German Euro Bund Futures 0.00%**
Futures Contracts, Long, OTC Call Options Exercise Price EUR 200.00 on German Euro Bund Futures 0.00%**
Futures Contracts, Long, OTC Put Options Exercise Price EUR 101.00 on German Euro Bund Futures 0.00%**
Futures Contracts, Long, OTC Call Options Exercise Price EUR 185.50 on German Euro Bund Futures 0.00%**
Futures Contracts, Long, OTC Put Options Exercise Price EUR 100.00 on German Euro Bund Futures 0.00%**
Futures Contracts, Long, OTC Call Options Exercise Price EUR 192.00 on German Euro Bund Futures 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Futures Contracts, Long, OTC Put Options Exercise Price EUR 110.00 on German Euro Bund Futures 0.00%**
Futures Contracts, Long, OTC Call Options Exercise Price EUR 139.00 on German Euro Bund Futures 0.00%**
Option Written, CALL, Federal National Mortgage Association, 3.00%, TBA 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Option Written, CALL, Federal National Mortgage Association, 3.00%, TBA 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Futures Contracts, Short, 3-Year Australia Treasury Bond 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%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Option Written, PUT, 10-Year U.S. Treasury Note Futures 0.00%**
Futures Contracts, Long, 2-Year U.S. Treasury Note 0.00%**
Swap Agreement, Receive, 6-Month JPY-LIBOR 0.00%**
Futures Contracts, Short, U.K. Gilt 0.00%**
Swap Agreement, Pay, North America Investment Grade Index - Series 31 -0.01%**
Swap Agreement, Receive, Republic of South Africa Government International Bond, 5.50%, 03/09/2020 -0.01%**
Swap Agreement, Pay, 6-Month GBP-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, Pay, 6-Month JPY-LIBOR -0.01%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.01%**
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%**
Futures Contracts, Long, German Euro BUXL -0.03%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.03%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.03%**
Futures Contracts, Long, German Euro Bund -0.04%**
Futures Contracts, Short, 30-Year U.S. Treasury Bond -0.05%**
Swap Agreement, Pay, 6-Month GBP-LIBOR -0.05%**
Futures Contracts, Long, 5-Year U.S. Treasury Note -0.08%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.09%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.10%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.10%**
Swap Agreement, Pay, 6-Month JPY-LIBOR -0.11%**
Uniform Mortgage-Backed Security -0.62%**
Uniform Mortgage-Backed Security, 3.50%, TBA -6.94%**
Net Other Assets (Liabilities) -53.29%**