Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Returns before sales charge do not reflect the current maximum sales charges as indicated below. Had the sales charge been reflected, returns would be lower. Returns at public offering price (after sales charge) for class A and class M shares reflect the current maximum initial sales charges of 5.75% and 3.50% for equity funds and 4.00% and 3.25% for income funds (2.25% for class A of Putnam Floating Rate Income Fund, Short-Term Municipal Income, Short Duration Bond Fund, and Fixed Income Absolute Return Fund), respectively. Class B share returns reflect the applicable contingent deferred sales charge (CDSC), which is 5% in the first year, declining to 1% in the sixth year, and is eliminated thereafter (except for Putnam Floating Rate Income Fund, Putnam Short Duration Bond Fund, Putnam Fixed Income Absolute Return Fund, and Putnam Short-Term Municipal Income Fund, which is 1% in the first year, declining to 0.5% in the second year, and is eliminated thereafter). Class C shares reflect a 1% CDSC the first year that is eliminated thereafter. Performance for class B, C, M, N, R, and Y shares prior to their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and, except for class Y shares, the higher operating expenses for such shares (with the exception of Putnam Tax-Free High Yield Fund and Putnam Strategic Intermediate Municipal Fund, which are based on the historical performance of class B shares). Performance for class A, C, R6, and Y shares of Putnam Mortgage Opportunities Fund before their inception is derived from the historical performance of class I shares, which have been adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares. Returns at public offering price (after sales charge) for class N shares reflect the current maximum initial sales charge of 1.50%. Class R5/R6 shares, available to qualified employee-benefit plans only, are sold without an initial sales charge and have no CDSC. Class Y shares are generally only available for corporate and institutional clients and have no initial sales charge. Performance for class R5/R6 shares before their inception are derived from the historical performance of class Y shares, which have not been adjusted for the lower expenses; had they, returns would have been higher. Class A shares of Putnam money market funds have no initial sales charge. For a portion of the period, some funds had expenses limitations or had been sold on a limited basis with limited assets and expenses, without which returns would be lower.
Prior to April 30, 2018, the fund was known as Putnam Absolute Return 700 Fund.
Multi-Asset Absolute Return Fund (Class A) (PDMAX)
Seeks positive returns with a similar level of volatility
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Highlights
Objective
The fund seeks positive total return.
Strategy and process
- Targeting positive returns:The fund seeks positive returns with a similar level of volatility over a full market cycle.
- Global flexibility:The strategy dynamically combines efficient beta and uncorrelated alpha strategies to create a well-diversified portfolio.
- Diversification potential:Less influenced by traditional market risks, the fund can be an effective choice to improve portfolio efficiency.
Fund price |
Yesterday’s close | 52-week high | 52-week low |
|---|---|---|---|
| Net asset value |
$10.24
-1.25% | $-0.13 |
$11.36
01/28/20 |
$10.19
11/10/20 |
Consistency of positive performance over five years
Performance shown does not reflect the effects of any sales charges. Click on the dots to see specific returns in each five-year period as of the date revealed. Note that returns of 0.00% are counted as positive periods. For complete fund performance, please click on the performance tab.
6.55%
Best 5-year annualized return
(for period ending 03/31/14)
-0.41%
Worst 5-year annualized return
(for period ending 06/30/20)
3.22%
Average 5-year annualized return
Fund facts as of 12/31/20
Total net assets
$739.68M
$739.68M
Turnover (fiscal year end)
416%
416%
Dividend frequency
Annually
Annually
Number of holdings
656
656
Fiscal year-end
October
October
CUSIP / Fund code
746764315 / 0061
746764315 / 0061
Inception date
12/23/08
12/23/08
Category
Absolute Return
Absolute Return
Open to new investors
Ticker
PDMAX
PDMAX
Management team
Chief Investment Officer, Global Asset Allocation
Co-Head of Global Asset Allocation
Co-Head of Global Asset Allocation
Portfolio Manager
Literature
Performance
Total return (%) as of 12/31/20
Annual performance as of 12/31/20
Annualized Total return (%) as of 12/31/20
| Annualized performance | 1 yr. | 3 yrs. | 5 yrs. | 10 yrs. |
|---|---|---|---|---|
| Before sales charge | -7.80% | -4.08% | -0.11% | 1.74% |
| After sales charge | -13.10% | -5.96% | -1.28% | 1.14% |
| ICE BofA U.S. Treasury Bill Index | 0.74% | 1.65% | 1.23% | 0.66% |
Performance snapshot
| Before sales charge | After sales charge | ||
|---|---|---|---|
| 1 mt. as of 12/31/20 | 1.36% | -4.46% | |
| YTD as of 01/27/21 | -1.54% | -7.20% | |
Volatility as of 12/31/20
| Standard deviation (3 yrs.) | 5.58% |
|---|
Fixed income statistics as of 12/31/20
| Average effective duration | 4.68 yrs. |
|---|
Morningstar Ratings™ as of 12/31/20
| Time period | Funds in category | Morningstar Rating™ |
|---|---|---|
| Overall | 244 | |
| 3 yrs. | 244 | |
| 5 yrs. | 189 | |
| 10 yrs. | 58 |
Lipper rankings are based on total return without sales charge relative to all share classes of funds with similar objectives as determined by Lipper. Past performance is not indicative of future results.
The Morningstar RatingTM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.
The up-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen. The ratio is calculated by dividing the manager’s returns by the returns of the index during the up-market, and multiplying that factor by 100. The down-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has dropped. The ratio is calculated by dividing the manager’s returns by the returns of the index during the down-market and multiplying that factor by 100.
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** FundVisualizer comparison based on Putnam fund versus the largest fund in its Morningstar category.
Holdings
| Fnma Fn30 Tba Umbs 03.5000 01/01/2051 | 11.24% |
|---|---|
| Fnma Fn30 Tba Umbs 04.0000 01/01/2051 | 7.04% |
| Citi Commod F3-F0 4x Levered Index 3x Note 1/25/2021 | 2.76% |
| Baml Commodity Mlbx4sx6 Er Strategy 3x 144a Note 1/12/2021 | 2.68% |
| Fnma Fn30 Tba Umbs 02.0000 02/01/2051 | 2.51% |
| Citi Cross-Asset Trend 10% Vol Index | 2.20% |
| Technology Select Sect Spdr Sedol 2369709 | 1.79% |
| Comm Serv Select Sector Spdr Sedol Bfxhc51 | 1.75% |
| Consumer Discretionary Selt Sedol 2424341 | 1.73% |
| Materials Select Sector Spdr Sedol 2436841 | 1.68% |
| Top 10 holdings, percent of portfolio | 35.38% |
| Top 10 holdings as of 12/31/20 | |
|---|---|
| Fnma Fn30 Tba Umbs 03.5000 01/01/2051 | |
| Fnma Fn30 Tba Umbs 04.0000 01/01/2051 | |
| Citi Commod F3-F0 4x Levered Index 3x Note 1/25/2021 | |
| Baml Commodity Mlbx4sx6 Er Strategy 3x 144a Note 1/12/2021 | |
| Fnma Fn30 Tba Umbs 02.0000 02/01/2051 | |
| Citi Cross-Asset Trend 10% Vol Index | |
| Technology Select Sect Spdr Sedol 2369709 | |
| Comm Serv Select Sector Spdr Sedol Bfxhc51 | |
| Consumer Discretionary Selt Sedol 2424341 | |
| Materials Select Sector Spdr Sedol 2436841 | |
| Holdings represent 35.38% of portfolio | |
| Top 10 holdings as of 11/30/20 | |
|---|---|
| Fnma Fn30 Tba Umbs 02.0000 01/01/2051 | |
| Fnma Fn30 Tba Umbs 03.5000 01/01/2051 | |
| Fnma Fn30 Tba Umbs 04.0000 01/01/2051 | |
| Fnma Fn30 Tba Umbs 03.5000 12/01/2050 | |
| Baml Commodity Mlbx4sx6 Er Strategy 3x 144a Note 1/12/2021 | |
| Citi Commod F3-F0 4x Levered Index 3x Note 1/25/2021 | |
| Citi Cross-Asset Trend 10% Vol Index | |
| Fnma Fn30 Tba Umbs 04.0000 12/01/2050 | |
| Technology Select Sect Spdr Sedol 2369709 | |
| Comm Serv Select Sector Spdr Sedol Bfxhc51 | |
| Holdings represent 35.05% of portfolio | |
| Top 10 holdings as of 10/31/20 | |
|---|---|
| Fnma Fn30 Tba Umbs 02.0000 12/01/2050 | |
| Fnma Fn30 Tba Umbs 03.5000 12/01/2050 | |
| Fnma Fn30 Tba Umbs 03.5000 11/01/2050 | |
| Fnma Fn30 Tba Umbs 04.0000 11/01/2050 | |
| Fnma Fn30 Tba Umbs 04.0000 12/01/2050 | |
| Citi Commod F3-F0 4x Levered Index 3x Note 1/25/2021 | |
| Baml Commodity Mlbx4sx6 Er Strategy 3x 144a Note 1/12/2021 | |
| Fnma Fn30 Tba Umbs 02.5000 12/01/2050 | |
| Materials Select Sector Spdr Sedol 2436841 | |
| Consumer Staples Spdr Sedol 2369389 | |
| Holdings represent 34.52% of portfolio | |
| Top 10 holdings as of 09/30/20 | |
|---|---|
| Fnma Fn30 Tba Umbs 03.5000 10/01/2050 | |
| Fnma Fn30 Tba Umbs 02.0000 11/01/2050 | |
| Fnma Fn30 Tba Umbs 04.0000 10/01/2050 | |
| Fnma Fn30 Tba Umbs 03.5000 11/01/2050 | |
| Fnma Fn30 Tba Umbs 02.5000 11/01/2050 | |
| Baml Commodity Mlbx4sx6 Er Strategy 3x 144a Note 1/12/2021 | |
| Citi Commod F3-F0 4x Levered Index 3x Note 1/25/2021 | |
| Alibaba Group Holding | |
| Materials Select Sector Spdr Sedol 2436841 | |
| Consumer Staples Spdr Sedol 2369389 | |
| Holdings represent 34.11% of portfolio | |
| US 10YR NOTE (CBT)MAR21 TYH1 | 58.95% |
|---|---|
| UBSPUSER R US0001M P 05/22/23 UB | 38.28% |
| GSGLPWDL R US0001M P 12/15/25 GS | 25.53% |
| MLFCF15 R US0003M P 06/20/23 BA | 25.05% |
| CGPUTQL2 R US0003M P 06/10/21 CI | 20.15% |
| JPCMPTFL R US0001M P 12/10/21 JP | 18.95% |
| US 10YR ULTRA FUT MAR21 UXYH1 | 12.28% |
| REPO TRIPA MORTG 0.06 01/04/2021 | 12.17% |
| FNMA FN30 TBA UMBS 03.5000 01/01/2051 | 11.29% |
| FNMA FN30 TBA UMBS 04.0000 01/01/2051 | 7.07% |
| GSISXT27 R 0.2 P 12/15/25 GS | 4.65% |
| GSVIUS85 R 0.45 P 12/15/25 GS | 4.00% |
| GSGLPHCL R US0001M P 12/15/25 GS | 3.27% |
| CITI COMMOD F3-F0 4X LEVERED INDEX 3X NOTE 1/25/2021 | 2.75% |
| BAML COMMODITY MLBX4SX6 ER STRATEGY 3X 144A NOTE 1/12/2021 | 2.70% |
| TREASURY BILL 00.0000 02/23/2021 | 2.42% |
| GSVIVV69 R 0.3 P 12/15/25 GS | 2.28% |
| CITI CROSS-ASSET TREND 10% VOL INDEX | 2.21% |
| TREASURY BILL 00.0000 02/16/2021 | 2.12% |
| FNMA FN30 TBA UMBS 02.5000 01/01/2051 | 2.00% |
| FNMA FN30 TBA UMBS 02.0000 02/01/2051 | 1.82% |
| TECHNOLOGY SELECT SECT SPDR SEDOL 2369709 | 1.80% |
| COMM SERV SELECT SECTOR SPDR SEDOL BFXHC51 | 1.76% |
| CONSUMER DISCRETIONARY SELT SEDOL 2424341 | 1.74% |
| MATERIALS SELECT SECTOR SPDR SEDOL 2436841 | 1.69% |
| HEALTH CARE SELECT SECTOR SEDOL 2371823 | 1.67% |
| CONSUMER STAPLES SPDR SEDOL 2369389 | 1.67% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 1.39% |
| TREASURY BILL 00.0000 03/25/2021 | 1.28% |
| GSVICUB3 R 0.45 P 12/15/25 GS | 1.24% |
| TREASURY BILL 00.0000 03/04/2021 | 1.23% |
| SAMSUNG ELECTRONICS CO LTD SEDOL 6771720 | 1.07% |
| ALIBABA GROUP HOLDING LTD SEDOL BK6YZP5 | 0.90% |
| FNMA FN30 TBA UMBS 03.0000 01/01/2051 | 0.85% |
| GSVIVVOL R 0.3 P 12/15/25 GS | 0.83% |
| GNMA GII30 TBA 04.0000 01/01/2051 | 0.72% |
| FNMA FN30 TBA UMBS 02.0000 01/01/2051 | 0.70% |
| TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382 | 0.70% |
| CASH MGMT BILL 00.0000 05/11/2021 | 0.68% |
| FHLB 313385CG9 GDC 02/24/2021 | 0.68% |
| OLD LINE FUNDING LLC 67984XH58 DCP 03/29/2021 | 0.68% |
| SKANDINAVISKA ENSKILDA BANKEN 83050TPJ4 DCP 02/18/2021 | 0.68% |
| SUMITOMO MITSUI TRUST BANK LT 86564YP30 DCP 02/03/2021 | 0.68% |
| TENCENT HOLDINGS LTD SEDOL BMMV2K8 | 0.62% |
| ALPINE SECURITIZATION LLC 02088WQ94 DCP 03/09/2021 | 0.57% |
| BPCE SA 05571BQK2 DCP 03/19/2021 | 0.57% |
| COMMONWEALTH BANK OF AUSTRALI 20272DPB0 DCP 02/11/2021 | 0.57% |
| MATCHPOINT FINANCE PLC 57666AQ21 DCP 03/02/2021 | 0.57% |
| ATLANTIC ASSET SECURITIZATION 04821TNL5 DCP 01/20/2021 | 0.54% |
| AUSTRALIA & NEW ZEALAND BANKI 05253AQH6 DCP 03/17/2021 | 0.54% |
| CASH MGMT BILL 00.0000 05/25/2021 | 0.54% |
| CHARIOT FUNDING LLC 15963TPG8 DCP 02/16/2021 | 0.54% |
| FAIRWAY FINANCE CO LLC 30601VP88 DCP 02/08/2021 | 0.54% |
| FHLB 313385HA7 GDC 06/18/2021 | 0.54% |
| FMS WERTMANAGEMENT 34411GQS8 DCP 03/26/2021 | 0.54% |
| LIBERTY STREET FUNDING LLC 53127TP56 DCP 02/05/2021 | 0.54% |
| NATIONWIDE BUILDING SOCIETY 6385E0NK5 DCP 01/19/2021 | 0.54% |
| NRW BANK 62939LNU9 DCP 01/28/2021 | 0.54% |
| SHEFFIELD RECEIVABLES CO LLC 82124LNB4 DCP 01/11/2021 | 0.54% |
| WESTPAC BANKING CORP/NY 9612C0Q36 DCP 03/03/2021 | 0.54% |
| BEDFORD ROW FUNDING CORP 07644AQW7 DCP 03/30/2021 | 0.54% |
| LLOYDS BANK PLC 53943RQV4 DCP 03/29/2021 | 0.54% |
| FNMA FN30 TBA UMBS 05.5000 01/01/2051 | 0.45% |
| S&P GSCI INDEX ER **INVERSE** | 0.41% |
| CAS 2016-C02 1B 12.3980 09/25/2028 | 0.36% |
| JD.COM INC-ADR SEDOL BMM27D9 | 0.36% |
| INFOSYS LTD SEDOL 6205122 | 0.34% |
| LG ELECTRONICS INC SEDOL 6520739 | 0.33% |
| PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 | 0.32% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.30% |
| FNMA FN30 TBA UMBS 04.5000 01/01/2051 | 0.29% |
| BF0101 03.5000 06/01/2056 | 0.29% |
| SANY HEAVY INDUSTRY CO LTD 144A/REGS WARRANT 12/16/2021 | 0.28% |
| VALE SA-SP ADR SEDOL 2857334 | 0.28% |
| UNITED MICROELECTRONICS CORP SEDOL 6916628 | 0.27% |
| TATA CONSULTANCY SVS LTD SEDOL B01NPJ1 | 0.27% |
| KWEICHOW MOUTAI CO LTD 144A/REGS WARRANT 10/01/2021 | 0.27% |
| SOUTHERN COPPER CORP SEDOL 2823777 | 0.26% |
| SHENZHEN MINDRAY BIO-MEDICAL ELEC CO 144A/REGS WARRANT 12/10 | 0.26% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.26% |
| MSC 2006-HQ10 B 05.4480 11/12/2041 | 0.25% |
| YUM CHINA HOLDINGS INC SEDOL BYW4289 | 0.25% |
| TREASURY BILL 00.0000 03/18/2021 | 0.24% |
| KB FINANCIAL GROUP INC SEDOL B3DF0Y6 | 0.24% |
| HANA FINANCIAL GROUP SEDOL B0RNRF5 | 0.23% |
| NETEASE INC-ADR SEDOL 2606440 | 0.23% |
| COUNTRY GARDEN SERVICES HOLD SEDOL BDQZP48 | 0.23% |
| CDX CDX.EM.34 100.0 12/20/2025 | 0.21% |
| FNR 2017-74 SA IO 05.6020 10/25/2047 | 0.21% |
| FNR 2017-8 SB IO 05.9520 02/25/2047 | 0.20% |
| ADVANCED INFO SERVICE-FOR RG SEDOL 6412591 | 0.20% |
| MMC NORILSK NICKEL PJSC-ADR SEDOL BYSW6D0 | 0.20% |
| IVORY COAST REGS 06.1250 06/15/2033 | 0.20% |
| JPMBB 2014-C18 D P/P 144A 04.7942 02/15/2047 | 0.20% |
| MWST 2019-1 A 00.9480 06/25/2052 | 0.20% |
| MBX.FN30.500.09 R USL1M P 01/12/40 BC | 0.20% |
| DR REDDYS LABS SEDOL 6410959 | 0.19% |
| GLOBALWAFERS CO LTD SEDOL BS7JP33 | 0.19% |
| REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033 | 0.19% |
| POLY DEVELOPMENTS AND HOLD 144A/REGS WARRANT 07/29/2021 | 0.19% |
| FHS 315 PO PO 00.0000 09/15/2043 | 0.19% |
| CHAROEN POKPHAND FOOD-FORGN SEDOL B5L2DG6 | 0.18% |
| ANHUI CONCH CEMENT CO LTD-H SEDOL 6080396 | 0.18% |
| STACR 2016-DNA1 B 10.1501 07/25/2028 | 0.18% |
| GNR 2015-H20 CI IO 02.1982 08/20/2065 | 0.17% |
| ANGLO AMERICAN PLATINUM LTD SEDOL 6761000 | 0.17% |
| FHR 3852 NT 05.8414 05/15/2041 | 0.17% |
| SPST 2020-2 A 00.9780 03/26/2021 | 0.17% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | 0.16% |
| HINDUSTAN UNILEVER LTD SEDOL 6261674 | 0.16% |
| GNR 2017-H11 NI IO 02.3586 05/20/2067 | 0.16% |
| BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4 | 0.16% |
| REPUBLIC OF INDONESIA REGS 05.8750 01/15/2024 | 0.16% |
| GNR 2016-H02 BI IO 01.8152 11/20/2065 | 0.15% |
| MSBAM 2013-C10 D P/P 144A 04.0816 07/15/2046 | 0.15% |
| GNR 2015-H25 BI IO 01.9420 10/20/2065 | 0.15% |
| FNMA FN30 AL6919 UMBS 05.5000 01/01/2038 | 0.14% |
| GNR 2015-H10 CI IO 01.8054 04/20/2065 | 0.14% |
| LUKOIL PJSC-SPON ADR SEDOL BYZDW27 | 0.14% |
| GNR 2015-H19 NI IO 01.9115 07/20/2065 | 0.14% |
| REALTEK SEMICONDUCTOR CORP SEDOL 6051422 | 0.14% |
| SHRP 2020-1 NOTE 03.1065 07/25/2024 | 0.14% |
| WIPRO LTD SEDOL 6206051 | 0.13% |
| CAS 2015-C04 1M2 05.8480 04/25/2028 | 0.13% |
| FUBON FINANCIAL HOLDING CO SEDOL 6411673 | 0.13% |
| HUNDSUN TECHNOLOGIES INC 144A/REGS WARRANT 07/29/2021 | 0.13% |
| ZHONGSHENG GROUP HOLDINGS SEDOL B633D97 | 0.13% |
| BANK OF SHANGHAI 144A/REGS WARRANT 11/30/2021 | 0.12% |
| GNR 2015-H09 BI IO 01.6887 03/20/2065 | 0.12% |
| GNR 2015-H25 AI IO 01.6175 09/20/2065 | 0.12% |
| CHAILEASE HOLDING CO LTD SEDOL B58J1S8 | 0.12% |
| GNR 2015-H15 JI IO 01.9590 06/20/2065 | 0.12% |
| CHINA MINSHENG BANKING COR-H SEDOL B57JY24 | 0.11% |
| JPMBB 2013-C14 E P/P 144A 04.7018 08/15/2046 | 0.11% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.11% |
| BAML COMMODITY MLBX4SX6 ER STRATEGY 3X NOTE 9/2/2021 | 0.11% |
| GNR 2015-H24 HI IO 02.0447 09/20/2065 | 0.11% |
| FNR 2015-28 IO IO 05.5000 05/25/2045 | 0.11% |
| GNR 2015-H16 XI IO 02.4638 07/20/2065 | 0.11% |
| GNR 2014-H21 AI IO 01.6368 10/20/2064 | 0.11% |
| GNR 2015-H22 GI IO 02.5994 09/20/2065 | 0.11% |
| MRAIT 2020-2 A2 | 0.11% |
| MRAIT 2020-12 A1X 07/15/2021 | 0.10% |
| GNR 2016-H03 AI IO 03.1888 01/20/2066 | 0.10% |
| PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 | 0.10% |
| QUANTA COMPUTER INC SEDOL 6141011 | 0.10% |
| GNR 2014-2 IC IO 05.0000 01/16/2044 | 0.10% |
| KIA MOTORS CORP SEDOL 6490928 | 0.10% |
| JIANGSU HENGLI HYDRAULIC C-A 144A/REGS WARRANT 03/23/2022 | 0.10% |
| PARADE TECHNOLOGIES LTD SEDOL B6RV676 | 0.10% |
| GRUPO FINANCIERO GALICIA-ADR SEDOL 2613570 | 0.10% |
| SUOFEIYA HOME COLLECTION C-A 144A/REGS WARRANT 10/28/2021 | 0.10% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS | 0.10% |
| GNR 2015-H09 AI IO 03.2292 04/20/2065 | 0.10% |
| GNR 2015-H25 EI IO 01.8597 10/20/2065 | 0.10% |
| TREASURY BILL 00.0000 01/19/2021 | 0.10% |
| BSCMS 2007-T26 AJ 05.4318 01/12/2045 | 0.09% |
| SAMI 2007-AR1 2A1 00.3280 01/25/2037 | 0.09% |
| TOP GLOVE CORP BHD SEDOL B05L892 | 0.09% |
| FOSHAN HAITIAN FLAVOURING & FOOD 144A/REGS WARRANT 03/12/202 | 0.09% |
| GNR 2016-H23 NI IO 02.3708 10/20/2066 | 0.09% |
| DAELIM INDUSTRIAL CO LTD SEDOL 6249584 | 0.09% |
| DINO POLSKA SA SEDOL BD0YVN2 | 0.09% |
| DOMINICAN REPUBLIC REGS 05.9500 01/25/2027 | 0.09% |
| KUMBA IRON ORE LTD SEDOL B1G4262 | 0.09% |
| COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 | 0.09% |
| GNR 2015-H26 GI IO 01.8020 10/20/2065 | 0.09% |
| GNR 2015-H26 EI IO 01.7238 10/20/2065 | 0.09% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.09% |
| CMLTI 2007-AMC3 A2D 00.4980 03/25/2037 | 0.09% |
| RISESUN REAL ESTATE DEV-A 144A/REGS WARRANT 11/02/2021 | 0.09% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.08% |
| FNR 2016-3 NI IO 06.0000 02/25/2046 | 0.08% |
| BSCMS 2005-PWR7 D 05.2636 02/11/2041 | 0.08% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | 0.08% |
| RADIANT OPTO-ELECTRONICS COR SEDOL 6520278 | 0.08% |
| GNR 2015-53 MI IO 04.0000 04/16/2045 | 0.08% |
| GNR 2016-H08 GI IO 01.4302 04/20/2066 | 0.08% |
| CHINA FEIHE LTD SEDOL BK0SBL1 | 0.08% |
| FNR 2011-4 CS 12.6040 05/25/2040 | 0.08% |
| GNR 2018-91 SJ IO 06.0984 07/20/2048 | 0.08% |
| NIEN MADE ENTERPRISE CO LTD SEDOL BSZLN15 | 0.08% |
| GNR 2017-H02 BI IO 02.1856 01/20/2067 | 0.08% |
| HYUNDAI MOBIS CO LTD SEDOL 6449544 | 0.08% |
| GNR 2015-H14 BI IO 01.5605 05/20/2065 | 0.08% |
| GNR 2016-H07 HI IO 02.6867 02/20/2066 | 0.08% |
| TECH MAHINDRA LTD SEDOL BWFGD63 | 0.08% |
| ARAB REP OF EGYPT P/P 144A 07.0529 01/15/2032 | 0.08% |
| GNR 2016-H04 KI IO 02.8081 02/20/2066 | 0.08% |
| BSCMS 2005-PWR7 C 05.2350 02/11/2041 | 0.07% |
| GNR 2015-80 IA IO 04.5000 06/20/2045 | 0.07% |
| GNR 2017-H14 DI IO 01.7128 06/20/2067 | 0.07% |
| MSBAM 2013-C11 F P/P 144A 04.3521 08/15/2046 | 0.07% |
| SPST 2020-13 A 01.6433 10/10/2021 | 0.07% |
| SPST 2020-15 A 01.5133 12/10/2021 | 0.07% |
| CHINA RESOURCES CEMENT SEDOL B41XC98 | 0.07% |
| GNR 2016-150 I IO 05.0000 11/20/2046 | 0.07% |
| REPUBLIC OF SOUTH AFRICA USD 04.8500 09/27/2027 | 0.07% |
| HYPERA SA SEDOL B2QY968 | 0.07% |
| FNR 2018-58 IO IO 05.5000 08/25/2048 | 0.07% |
| MRAIT 2020-11 A1X 01.9000 04/23/2021 | 0.07% |
| GNR 2015-H24 BI IO 01.6113 08/20/2065 | 0.07% |
| HELLENIC TELECOMMUN ORGANIZA SEDOL 5051605 | 0.07% |
| SPY 20211015 P 275.00BANKAM | 0.07% |
| CIA DE TRANSMISSAO DE ENE-PF SEDOL 2440972 | 0.06% |
| HARTALEGA HOLDINGS BHD SEDOL B2QPJK5 | 0.06% |
| SINOTRUK HONG KONG LTD SEDOL B296ZH4 | 0.06% |
| SPST 2020-WL1 A 01.2980 06/25/2051 | 0.06% |
| WAMU 2005-AR14 1A2 02.8991 12/25/2035 | 0.06% |
| AUD/USD 01/20/2021 GSFX | 0.06% |
| SCRT 2019-4 M 04.5000 02/25/2059 | 0.06% |
| FHLMC FR30 ZA4291 UMBS 03.5000 08/01/2043 | 0.06% |
| FNMA FN30 AB7936 UMBS 03.0000 02/01/2043 | 0.06% |
| FNMA FN30 AU1625 UMBS 03.5000 07/01/2043 | 0.06% |
| GNR 2015-H26 DI IO 01.8842 10/20/2065 | 0.06% |
| CAS 2017-C06 2B1 04.5980 02/25/2030 | 0.06% |
| MWST 2020-1 A 01.0480 10/25/2053 | 0.06% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.06% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CS | 0.06% |
| AUD/USD 01/20/2021 MSCIL | 0.06% |
| GSMS 2014-GC24 D P/P 144A 04.5315 09/10/2047 | 0.06% |
| LITE-ON TECHNOLOGY CORP SEDOL 6519481 | 0.06% |
| VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 | 0.06% |
| GNR 2016-H16 DI IO 02.6424 06/20/2066 | 0.06% |
| SEEGENE INC SEDOL B679Q36 | 0.06% |
| WBCMT 2005-C21 E P/P 144A 05.0999 10/15/2044 | 0.06% |
| AUD/USD 01/20/2021 RBSF | 0.06% |
| FNMA FN30 AR6852 UMBS 03.0000 02/01/2043 | 0.06% |
| GNR 2015-H10 EI IO 01.6186 04/20/2065 | 0.06% |
| WFCM 2013-LC12 D P/P 144A 04.2746 07/15/2046 | 0.06% |
| FHR 4568 MI IO 04.0000 04/15/2046 | 0.06% |
| LOGAN GROUP CO LTD SEDOL BH6X937 | 0.06% |
| MSC 2011-C3 G P/P 144A 05.2443 07/15/2049 | 0.06% |
| SHANDONG BUCHANG PHARMACEUTICALS CO LTD 144A/REGS WARRANT 12 | 0.05% |
| WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3 | 0.05% |
| BANCO MACRO SA-ADR SEDOL B0Y62M9 | 0.05% |
| CTBC FINANCIAL HOLDING CO LT SEDOL 6527666 | 0.05% |
| FNR 2012-124 UI IO 04.0000 11/25/2042 | 0.05% |
| UNITED MEXICAN STATES USD 02.6590 05/24/2031 | 0.05% |
| GNR 2014-104 IO IO 04.0000 03/20/2042 | 0.05% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS | 0.05% |
| DOMINICAN REPUBLIC REGS 06.8750 01/29/2026 | 0.05% |
| WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 | 0.05% |
| COM7 PCL-F SEDOL BZ2YN49 | 0.05% |
| FHLMC FR30 ZA4202 UMBS 03.0000 03/01/2043 | 0.05% |
| REPUBLIC OF GHANA REGS 08.1250 03/26/2032 | 0.05% |
| FNMA FN30 AO5471 UMBS 03.5000 06/01/2042 | 0.05% |
| BSCMS 2006-PW11 B P/P 144A 05.5182 03/11/2039 | 0.05% |
| CAS 2017-C05 1B1 03.7480 01/25/2030 | 0.05% |
| ECOPETROL SA-SPONSORED ADR SEDOL B3D6J19 | 0.05% |
| IHEARTMEDIA INC - CLASS A SEDOL BJVR9Y9 | 0.05% |
| REP OF INDONESIA P/P 144A 04.7500 01/08/2026 | 0.05% |
| SPY 20210917 P 270.00JPMCB | 0.05% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.05% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.05% |
| MEITUAN-CLASS B SEDOL BGJW376 | 0.05% |
| PRESIDENT CHAIN STORE CORP SEDOL 6704986 | 0.05% |
| TISCO FINANCIAL-FOREIGN SEDOL B3KFW76 | 0.05% |
| MONGOLIA INTL BOND REGS 05.1250 12/05/2022 | 0.04% |
| SPY 20210820 P 275.00CITI | 0.04% |
| FHR 3747 SA IO 06.3414 10/15/2040 | 0.04% |
| GNR 2016-49 IO IO 04.5000 11/16/2045 | 0.04% |
| GNR 2016-H11 HI IO 02.1024 01/20/2066 | 0.04% |
| NZD/USD 01/20/2021 MSCIL | 0.04% |
| ORION CORP/REPUBLIC OF KOREA SEDOL BDVLJ72 | 0.04% |
| PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 | 0.04% |
| REPUBLIC OF KENYA REGS 08.0000 05/22/2032 | 0.04% |
| SAMSUNG ENGINEERING CO LTD SEDOL 6765239 | 0.04% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.04% |
| GNR 2015-H18 IA IO 01.8339 06/20/2065 | 0.04% |
| ZOOMLION HEAVY INDUSTRY - H SEDOL B544N70 | 0.04% |
| BURSA MALAYSIA BHD SEDOL B06FV38 | 0.04% |
| GNR 2016-H04 HI IO 02.3831 07/20/2065 | 0.04% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.04% |
| CHINA SHENHUA ENERGY CO-H SEDOL B09N7M0 | 0.04% |
| FENG TAY ENTERPRISE CO LTD SEDOL 6336055 | 0.04% |
| GNR 2018-127 IC IO 05.0000 10/20/2044 | 0.04% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.04% |
| SEAZEN HOLDINGS CO 144A/REGS WARRANT 05/06/2021 | 0.04% |
| SYNNEX TECHNOLOGY INTL CORP SEDOL 6868439 | 0.04% |
| MBX.FN30.500.10 R USL1M P 01/12/41 GS | 0.04% |
| PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 | 0.04% |
| UNITED INTEGRATED SERVICES SEDOL 6105136 | 0.04% |
| ARAB REP OF EGYPT P/P 144A 05.7500 05/29/2024 | 0.04% |
| COMM 2014-CR17 D P/P 144A 04.8470 05/10/2047 | 0.04% |
| TAISHIN FINANCIAL HOLDING SEDOL 6451680 | 0.04% |
| CWALT 2006-OA10 1A1 01.5694 08/25/2046 | 0.04% |
| FHR 4389 IA IO 04.0000 09/15/2044 | 0.04% |
| GNR 2015-167 BI IO 04.5000 04/16/2045 | 0.04% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.04% |
| WFRBS 2013-C15 D P/P 144A 04.4900 08/15/2046 | 0.04% |
| CAS 2017-C03 1B1 04.9980 10/25/2029 | 0.04% |
| JPMCC 2012-C6 G P/P 144A 02.9720 05/15/2045 | 0.04% |
| MARFRIG GLOBAL FOODS SA SEDOL B1YWHR4 | 0.04% |
| MWST 2020-2 A 00.9531 11/25/2053 | 0.04% |
| FHR 4134 PI IO 03.0000 11/15/2042 | 0.04% |
| JPMCC 2012-C6 F P/P 144A 05.1519 05/15/2045 | 0.04% |
| PEGATRON CORP SEDOL B4PLX17 | 0.04% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML | 0.04% |
| FHR 4158 TI IO 03.0000 12/15/2042 | 0.04% |
| GNR 2015-187 JI IO 04.0000 03/20/2045 | 0.04% |
| PLDT INC SEDOL BDGN274 | 0.04% |
| GNR 2011-H08 GI IO 01.2588 03/20/2061 | 0.03% |
| IVORY COAST P/P 144A 05.2500 03/22/2030 | 0.03% |
| DOMINICAN REPUBLIC REGS 06.5000 02/15/2048 | 0.03% |
| PETROLEOS MEXICANOS USD 07.6900 01/23/2050 | 0.03% |
| PRET 2020-RPL1 03.8194 05/27/2060 | 0.03% |
| AUD/USD 01/20/2021 HSBCB | 0.03% |
| FNR 2014-47 IP IO 04.0000 03/25/2044 | 0.03% |
| FNR 2017-48 LI IO 04.0000 05/25/2047 | 0.03% |
| GNR 2014-163 NI IO 05.0000 02/20/2044 | 0.03% |
| GNR 2017-99 AI IO 04.0000 01/20/2047 | 0.03% |
| ARAB REPUBLIC OF EGYPT REGS 07.6003 03/01/2029 | 0.03% |
| FHR 4193 PI IO 04.0000 03/15/2043 | 0.03% |
| HAITIAN INTERNATIONAL HLDGS SEDOL B1L2RC2 | 0.03% |
| JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 | 0.03% |
| CAD/USD 01/20/2021 GSFX | 0.03% |
| CWHL 2005-3 1A1 00.7680 04/25/2035 | 0.03% |
| FHR 4136 IW IO 03.5000 10/15/2042 | 0.03% |
| IOS.FN30.400.14 R USL1M P 01/12/45 GS | 0.03% |
| FHR 4530 HI IO 04.0000 11/15/2045 | 0.03% |
| INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979 | 0.03% |
| GNR 2015-H26 CI IO 00.5197 08/20/2065 | 0.03% |
| GNR 2018-127 IB IO 04.5000 06/20/2045 | 0.03% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.03% |
| TOFAS OTOMOBIL FAB SEDOL B03MY33 | 0.03% |
| HENGAN INTL GROUP CO LTD SEDOL 6136233 | 0.03% |
| SPY 20210716 P 255.00CITI | 0.03% |
| AHM 2007-1 GA1C 00.3380 05/25/2047 | 0.03% |
| AUD/USD 01/20/2021 CSI-FX | 0.03% |
| BACM 2005-1 C 05.4820 11/10/2042 | 0.03% |
| CHINA YUHUA EDUCAT SEDOL BYWPGC4 | 0.03% |
| COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 | 0.03% |
| GNR 2012-145 IO IO 03.5000 12/20/2042 | 0.03% |
| LUENMEI QUANTUM CO LTD 144A/REGS WARRANT 12/02/2021 | 0.03% |
| RALI 2006-QO10 A1 00.3080 01/25/2037 | 0.03% |
| CAD/USD 01/20/2021 MSCIL | 0.02% |
| CLP/USD 01/20/2021 CITI | 0.02% |
| FNR 2013-21 AI IO 03.5000 03/25/2033 | 0.02% |
| GNR 2011-17 S IO 05.8984 02/20/2041 | 0.02% |
| WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 | 0.02% |
| BIM BIRLESIK MAGAZALAR AS SEDOL B0D0006 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| KT CORP SEDOL 6505316 | 0.02% |
| SIME DARBY BERHAD SEDOL B29TTR1 | 0.02% |
| STACR 2018-DNA2 B1 03.8480 12/25/2030 | 0.02% |
| STACR 2018-HQA2 B2 11.1480 10/25/2048 | 0.02% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 0.02% |
| UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 | 0.02% |
| AUD/USD 01/20/2021 JPMCB | 0.02% |
| HONG LEONG BANK BERHAD SEDOL 6436892 | 0.02% |
| NICE INFORMATION SERVICE CO SEDOL 6248332 | 0.02% |
| SEK/USD 03/17/2021 GSFX | 0.02% |
| AUD/USD 01/20/2021 TDBK | 0.02% |
| FHR 4150 DI IO 03.0000 01/15/2043 | 0.02% |
| FNR 2012-151 PI IO 03.0000 01/25/2043 | 0.02% |
| GNR 2011-H15 AI IO 01.5378 06/20/2061 | 0.02% |
| GNR 2012-47 CI IO 04.0000 03/20/2042 | 0.02% |
| GNR 2012-8 PI IO 04.0000 05/20/2041 | 0.02% |
| MHL 2004-1 M2 01.1530 11/25/2034 | 0.02% |
| SPY 20210618 P 250.00JPMCB | 0.02% |
| DIALOG GROUP BHD SEDOL B00MRS2 | 0.02% |
| FAR EASTONE TELECOMM CO LTD SEDOL 6421854 | 0.02% |
| RALI 2006-QO5 1A1 00.5780 05/25/2046 | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML | 0.02% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.02% |
| COMMERCIAL INTL BANK-GDR REG SEDOL 5668287 | 0.02% |
| GNR 2013-6 AI IO 03.5000 08/20/2039 | 0.02% |
| GNR 2017-132 IB IO 05.5000 09/20/2047 | 0.02% |
| GNR 2017-57 AI IO 04.0000 06/20/2045 | 0.02% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.02% |
| NZD/USD 01/20/2021 BCAP-FX | 0.02% |
| PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 | 0.02% |
| PETRONAS GAS BHD SEDOL 6703972 | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.02% |
| FHR 4206 IP IO 03.0000 12/15/2041 | 0.02% |
| GNR 2013-79 XI IO 03.5000 11/20/2039 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| PRESS METAL ALUMINIUM HOLDIN SEDOL BF0J5S4 | 0.02% |
| PROVINCIA DE BUENOS 34.1871 05/31/2022 | 0.02% |
| WFRBS 2012-C10 E P/P 144A 04.4272 12/15/2045 | 0.02% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML | 0.02% |
| FNR 2012-104 QI IO 04.5000 05/25/2042 | 0.02% |
| GNR 2010-20 UI IO 05.0000 02/20/2040 | 0.02% |
| GNR 2013-151 IB IO 04.5000 02/20/2040 | 0.02% |
| GSAA 2007-6 1A1 00.2680 05/25/2047 | 0.02% |
| PETROLEOS MEXICANOS USD 05.9500 01/28/2031 | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| FHR 2990 LB 16.5402 06/15/2034 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| NZD/USD 01/20/2021 PSBS | 0.02% |
| PTT EXPLORATION & PROD-FOR SEDOL B1359J0 | 0.02% |
| CAD/USD 01/20/2021 UBS | 0.02% |
| FNR 2012-22 CI IO 04.0000 03/25/2041 | 0.02% |
| FNR 2017-2 KI IO 04.0000 02/25/2047 | 0.02% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.02% |
| JPY/USD 02/17/2021 UBS | 0.02% |
| MSC 2007-HQ11 C 05.5580 02/12/2044 | 0.02% |
| SAMI 2007-AR7 1A1 00.9980 05/25/2047 | 0.02% |
| BBVA ARGENTINA SA-ADR SEDOL BKT4TC7 | 0.02% |
| FEDERAL GRID CO UNIFIED ENER SEDOL B39RR67 | 0.02% |
| GNR 2015-24 IA IO 03.5000 02/20/2045 | 0.02% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.02% |
| KRW/USD 02/17/2021 HSBCB | 0.02% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.02% |
| PROVINCIA DE BUENOS AIRE REGS 07.8750 06/15/2027 | 0.02% |
| SHANGHAI PUDONG DEV BANK 144A/REGS WARRANT 11/10/2021 | 0.02% |
| 0.25 R ISWP FWD US0003M P 03/17/2023 | 0.01% |
| CELLTRION INC SEDOL B0C5YV1 | 0.01% |
| CLEAR CHANNEL OUTDOOR HOLDIN SEDOL BJHVCH9 | 0.01% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.01% |
| FNR 2014-10 IO IO 03.5000 08/25/2042 | 0.01% |
| GBP/USD 03/17/2021 MSCIL | 0.01% |
| GNR 2018-127 IE IO 03.5000 01/20/2046 | 0.01% |
| IOS.FN30.400.13 R USL1M P 01/12/44 JP | 0.01% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.01% |
| KRW/USD 02/17/2021 JPMCB | 0.01% |
| PROVINCIA DE BUENOS AIRE REGS 06.5000 02/15/2023 | 0.01% |
| QUALITAS CONTROLADORA SAB CV SEDOL BYMXF65 | 0.01% |
| STACR 2019-DNA1 M2 02.7980 01/25/2049 | 0.01% |
| TECO ELECTRIC & MACHINERY SEDOL 6879851 | 0.01% |
| BACM 2008-1 C P/P 144A 06.5669 02/10/2051 | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.01% |
| ELECTRICITY GEN PUB CO-FOR R SEDOL 6304643 | 0.01% |
| FNR 2017-113 IO IO 05.0000 01/25/2038 | 0.01% |
| FRONTKEN CORP BHD SEDOL B18TLC4 | 0.01% |
| GCAT 2020-NQM2 A3 02.9350 04/25/2065 | 0.01% |
| GNMA GII30 BN1509 05.0000 05/20/2049 | 0.01% |
| GNR 2010-35 AI IO 04.5000 03/20/2040 | 0.01% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 0.01% |
| GNR 2012-50 PI IO 04.0000 12/20/2041 | 0.01% |
| GNR 2013-129 SN IO 05.9984 09/20/2043 | 0.01% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.01% |
| GNR 2013-99 VS IO 05.9469 07/16/2043 | 0.01% |
| GNR 2017-160 AI IO 04.5000 10/20/2047 | 0.01% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.01% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.01% |
| SEK/USD 03/17/2021 MSCIL | 0.01% |
| SPY 20210521 P 235.00BANKAM | 0.01% |
| CNH/USD 02/18/2021 GSFX | 0.01% |
| GNR 2010-35 QI IO 04.5000 03/20/2040 | 0.01% |
| GNR 2013-24 PI IO 04.0000 11/20/2042 | 0.01% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.01% |
| JPY/USD 02/17/2021 MSCIL | 0.01% |
| RUENTEX DEVELOPMENT CO LTD SEDOL 6748423 | 0.01% |
| STACR 2019-DNA3 B2 08.2980 07/25/2049 | 0.01% |
| 0.30 R ISWP FWD SES3M P 03/17/2031 | 0.01% |
| BANK BTPN SYARIAH TBK PT SEDOL BFNBJ41 | 0.01% |
| CAS 2017-C06 2M2 02.9480 02/25/2030 | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.01% |
| FHR 4183 MI IO 03.0000 02/15/2042 | 0.01% |
| GNR 2010-35 UI IO 05.0000 03/20/2040 | 0.01% |
| GNR 2015-96 NI IO 03.5000 01/20/2039 | 0.01% |
| 0.70 R ISWP FWD SOFRRATE P 03/17/2031 | 0.01% |
| 0.90 R ISWP FWD US0003M P 03/17/2031 | 0.01% |
| CAD/USD 01/20/2021 HSBCB | 0.01% |
| CAD/USD 01/20/2021 WPAC | 0.01% |
| CAS 2015-C03 2M2 05.1480 07/25/2025 | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS | 0.01% |
| FHR 4355 DI IO 04.0000 03/15/2044 | 0.01% |
| FNR 2013-6 BI IO 03.0000 12/25/2042 | 0.01% |
| GBP/USD 03/17/2021 RBSF | 0.01% |
| GNMA GII30 BP7527 03.5000 10/20/2049 | 0.01% |
| GNR 2013-100 MI IO 03.5000 02/20/2043 | 0.01% |
| REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 | 0.01% |
| SEK/USD 03/17/2021 BANKAM | 0.01% |
| SEK/USD 03/17/2021 UBS | 0.01% |
| STEARNS HLDG LLC CLASS B WTS | 0.01% |
| CAS 2015-C02 2M2 04.1480 05/25/2025 | 0.01% |
| CAS 2015-C04 2M2 05.6980 04/25/2028 | 0.01% |
| FHR 4369 IA IO 03.5000 07/15/2044 | 0.01% |
| FNR 2005-74 NK 26.7600 05/25/2035 | 0.01% |
| GNR 2009-121 BI IO 04.5000 12/16/2039 | 0.01% |
| GNR 2015-24 IC IO 03.5000 11/20/2037 | 0.01% |
| GNR 2015-36 GI IO 03.5000 06/16/2041 | 0.01% |
| JPY/USD 02/17/2021 RBSF | 0.01% |
| MSBAM 2013-C11 E P/P 144A 04.3521 08/15/2046 | 0.01% |
| PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 | 0.01% |
| PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 | 0.01% |
| PUREGOLD PRICE CLUB INC SEDOL B725S29 | 0.01% |
| CHINA BIOLOGIC PRODUCTS HOLD SEDOL BF0G7L2 | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.01% |
| FNR 2005-122 SE 22.5820 11/25/2035 | 0.01% |
| FNR 2013-35 IP IO 03.0000 06/25/2042 | 0.01% |
| JPY/USD 02/17/2021 HSBCB | 0.01% |
| KWG GROUP HOLDINGS LTD SEDOL B1YBF00 | 0.01% |
| MISC BHD SEDOL 6557997 | 0.01% |
| NZD/USD 01/20/2021 CSI-FX | 0.01% |
| STACR 2019-DNA2 B2 10.6480 03/25/2049 | 0.01% |
| CAD/USD 01/20/2021 CITI | 0.01% |
| FHR 4213 GI IO 04.0000 11/15/2041 | 0.01% |
| FNR 2012-136 PI IO 03.5000 11/25/2042 | 0.01% |
| FNR 2013-31 NI IO 03.0000 06/25/2041 | 0.01% |
| GNMA GII30 BN1507 05.0000 05/20/2049 | 0.01% |
| GNMA GII30 BN1508 05.0000 05/20/2049 | 0.01% |
| GNR 2012-106 QI IO 04.0000 07/20/2042 | 0.01% |
| GNR 2015-124 NI IO 03.5000 06/20/2039 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 CS | 0.01% |
| JPY/USD 02/17/2021 BCAP-FX | 0.01% |
| NOK/USD 03/17/2021 TDBK | 0.01% |
| WFRBS 2011-C4 E P/P 144A 05.1930 06/15/2044 | 0.01% |
| CAD/USD 01/20/2021 RBSF | 0.01% |
| CAS 2015-C02 1M2 04.1480 05/25/2025 | 0.01% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.01% |
| EUR/USD 03/17/2021 BANKAM | 0.01% |
| FNMA FN30 BO0212 UMBS 04.5000 05/01/2049 | 0.01% |
| GBP/USD 03/17/2021 HSBCB | 0.01% |
| GNR 2013-157 IA IO 03.5000 04/20/2040 | 0.01% |
| GNR 2013-37 LI IO 03.5000 01/20/2042 | 0.01% |
| GNR 2014-63 PI IO 04.0000 07/20/2043 | 0.01% |
| GNR 2015-99 LI IO 04.0000 07/20/2045 | 0.01% |
| JPY/USD 02/17/2021 TDBK | 0.01% |
| SWPTN 3MX5Y P 0.418 USD 01/13/2021 BC | 0.01% |
| ADVANZ PHARMA CORP LTD SEDOL BG0RYR7 | 0.00% |
| CAS 2015-C01 2M2 04.6980 02/25/2025 | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.00% |
| EUR/USD 03/17/2021 HSBCB | 0.00% |
| EUR/USD 03/17/2021 UBS | 0.00% |
| FNMA FN30 BN9825 UMBS 05.0000 05/01/2049 | 0.00% |
| FNMA FN30 BO0182 UMBS 05.0000 05/01/2049 | 0.00% |
| FNR 2015-10 AI IO 03.5000 08/25/2043 | 0.00% |
| FNR 2015-73 PI IO 03.5000 10/25/2045 | 0.00% |
| GNMA GII30 BN1510 05.5000 05/20/2049 | 0.00% |
| GNMA GII30 BN1511 05.5000 05/20/2049 | 0.00% |
| GNR 2010-134 ES IO 05.8484 11/20/2039 | 0.00% |
| GNR 2013-183 AI IO 03.5000 10/20/2039 | 0.00% |
| GNR 2014-133 AI IO 04.0000 10/20/2036 | 0.00% |
| GNR 2018-127 IA IO 03.5000 04/20/2042 | 0.00% |
| GNR 2020-15 CS IO 05.8984 02/20/2050 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 BC | 0.00% |
| PETROLEOS MEXICANOS USD 06.5000 03/13/2027 | 0.00% |
| SEK/USD 03/17/2021 SSBT | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG | 0.00% |
| FHR 4073 AS IO 05.8914 08/15/2038 | 0.00% |
| FNMA FN30 BO3442 UMBS 05.0000 08/01/2049 | 0.00% |
| FNR 2013-23 PI IO 03.0000 10/25/2041 | 0.00% |
| FNW 1998-W2 X IO 00.3188 06/25/2028 | 0.00% |
| GBP/USD 03/17/2021 BCAP-FX | 0.00% |
| GNMA GII30 BP7627 03.5000 11/20/2049 | 0.00% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.00% |
| GNR 2014-108 IP IO 04.5000 12/20/2042 | 0.00% |
| GNR 2019-78 SJ IO 05.8984 06/20/2049 | 0.00% |
| GNR 2019-99 KS IO 05.8984 08/20/2049 | 0.00% |
| NOK/USD 03/17/2021 GSFX | 0.00% |
| TXU TCEH RIGHTS | 0.00% |
| 2.2225 R ISWP FWD US0003M P 06/05/2029 | 0.00% |
| GNR 2012-141 WI IO 03.5000 11/20/2041 | 0.00% |
| KWG LIVING GROUP HOLDINGS LT SEDOL BLPJPQ9 | 0.00% |
| -0.33 R ISWP FWD CHL6M P 03/17/2031 | 0.00% |
| AUD/USD 01/20/2021 WPAC | 0.00% |
| CAD/USD 01/20/2021 PSBS | 0.00% |
| EUR/USD 03/17/2021 RBSF | 0.00% |
| FHR 4097 PI IO 03.5000 11/15/2040 | 0.00% |
| FHR 4501 BI IO 03.5000 10/15/2043 | 0.00% |
| FNMA FN30 BN3050 UMBS 05.0000 01/01/2049 | 0.00% |
| GBP/USD 03/17/2021 GSFX | 0.00% |
| GNR 2013-102 IP IO 03.5000 06/20/2043 | 0.00% |
| JPY/USD 02/17/2021 CITI | 0.00% |
| NOK/USD 03/17/2021 HSBCB | 0.00% |
| SEK/USD 03/17/2021 JPMCB | 0.00% |
| SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA | 0.00% |
| SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS | 0.00% |
| 0.45 R ISWP FWD US0003M P 03/17/2026 | 0.00% |
| 1.275 R ISWP FWD US0003M P 03/07/2050 | 0.00% |
| FHR 3175 MO PO 00.0000 06/15/2036 | 0.00% |
| FHR 3206 EO PO 00.0000 08/15/2036 | 0.00% |
| FHR 4663 KI IO 03.5000 11/15/2042 | 0.00% |
| FNR 2008-36 OV PO 00.0000 01/25/2036 | 0.00% |
| FNW 1998-W5 X IO 00.5698 07/25/2028 | 0.00% |
| FSPC T-48 AIO2 IO 00.2120 07/25/2033 | 0.00% |
| FSPC T-59 1AX IO 00.2862 10/25/2043 | 0.00% |
| GBP/USD 03/17/2021 JPMCB | 0.00% |
| GBP/USD 03/17/2021 WPAC | 0.00% |
| GNR 2015-118 EI IO 03.5000 07/20/2039 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 CS | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 GS | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| JPY/USD 02/17/2021 JPMCB | 0.00% |
| NOK/USD 03/17/2021 JPMCB | 0.00% |
| NOK/USD 03/17/2021 MSCIL | 0.00% |
| STACR 2019-DNA2 M2 02.5980 03/25/2049 | 0.00% |
| 1.20 R ISWP FWD CDOR03 P 03/17/2031 | 0.00% |
| BACM 2007-1 XW IO 00.4249 01/15/2049 | 0.00% |
| CHC GROUP LLC SEDOL BYXD3K4 | 0.00% |
| CHF/USD 03/17/2021 CITI | 0.00% |
| CHF/USD 03/17/2021 JPMCB | 0.00% |
| CHF/USD 03/17/2021 MSCIL | 0.00% |
| CHF/USD 03/17/2021 RBSF | 0.00% |
| CHF/USD 03/17/2021 UBS | 0.00% |
| CSFB 2003-C3 AX IO P/P 144A 01.7316 05/15/2038 | 0.00% |
| EUR/USD 03/17/2021 WPAC | 0.00% |
| FHR 3996 IK IO 04.0000 03/15/2039 | 0.00% |
| FNR 2012-101 PI IO 03.5000 08/25/2040 | 0.00% |
| FNS 397 2 IO 05.0000 09/25/2039 | 0.00% |
| FSPC T-8 A9 IO 00.4361 11/15/2028 | 0.00% |
| GLOW ENERGY PCL - FOREIGN SEDOL B074GX9 | 0.00% |
| GNR 2011-116 IB IO 05.0000 10/20/2040 | 0.00% |
| GNR 2015-82 GI IO 03.5000 12/20/2038 | 0.00% |
| GSMPS 1999-2 IO IO 00.4313 09/19/2027 | 0.00% |
| GSMS 2006-GG8 X IO P/P 144A 01.0461 11/10/2039 | 0.00% |
| HKD/USD 02/17/2021 BANKAM | 0.00% |
| HKD/USD 02/17/2021 CITI | 0.00% |
| HKD/USD 02/17/2021 GSFX | 0.00% |
| HKD/USD 02/17/2021 HSBCB | 0.00% |
| HKD/USD 02/17/2021 SSBT | 0.00% |
| HKD/USD 02/17/2021 TDBK | 0.00% |
| HKD/USD 02/17/2021 UBS | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| JPMCC 2007-LDPX X IO 00.0517 01/15/2049 | 0.00% |
| LBUBS 2007-C2 XW IO 00.1475 02/15/2040 | 0.00% |
| MLCFC 2006-4 XC IO P/P 144A 00.5430 12/12/2049 | 0.00% |
| SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA | 0.00% |
| WBCMT 2006-C29 IO IO 00.2655 11/15/2048 | 0.00% |
| -0.30 R ISWP FWD EUR006M P 03/17/2031 | -0.00% |
| 1.16 R ISWP US0003M P 10/16/2050 | -0.00% |
| 2.3075 R ISWP FWD US0003M P 06/22/2052 | -0.00% |
| CHF/USD 03/17/2021 CSI-FX | -0.00% |
| CHF/USD 03/17/2021 SSBT | -0.00% |
| CHF/USD 03/17/2021 TDBK | -0.00% |
| CNH/USD 02/18/2021 JPMCB | -0.00% |
| CNH/USD 02/18/2021 WPAC | -0.00% |
| EUR/USD 03/17/2021 GSFX | -0.00% |
| EUR/USD 03/17/2021 MSCIL | -0.00% |
| GBP/USD 03/17/2021 TDBK | -0.00% |
| JPY/USD 02/17/2021 BANKAM | -0.00% |
| NOK/USD 03/17/2021 SSBT | -0.00% |
| CHF/USD 03/17/2021 GSFX | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.00% |
| EUR/USD 03/17/2021 CSI-FX | -0.00% |
| JPY/USD 02/17/2021 GSFX | -0.00% |
| JPY/USD 02/17/2021 WPAC | -0.00% |
| NZD/USD 01/20/2021 UBS | -0.00% |
| SEK/USD 03/17/2021 HSBCB | -0.00% |
| SEK/USD 03/17/2021 TDBK | -0.00% |
| SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS | -0.00% |
| TWD/USD 02/17/2021 JPMCB | -0.00% |
| 0.12 R ISWP FWD SONIA P 03/17/2031 | -0.00% |
| 0.90 R ISWP FWD NFIX3MID P 03/17/2031 | -0.00% |
| CHF/USD 03/17/2021 HSBCB | -0.00% |
| INR/USD 02/17/2021 HSBCB | -0.00% |
| INR/USD 02/17/2021 JPMCB | -0.00% |
| SEK/USD 03/17/2021 CITI | -0.00% |
| SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA | -0.00% |
| SWPTN 3MX5Y R 0.418 USD 01/13/2021 BC | -0.00% |
| 1.20 R ISWP FWD NOKOIB6M P 03/17/2031 | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.00% |
| CNH/USD 02/18/2021 BANKAM | -0.00% |
| EUR/USD 03/17/2021 CITI | -0.00% |
| GBP/USD 03/17/2021 CITI | -0.00% |
| MXN/USD 01/20/2021 BANKAM | -0.00% |
| NZD/USD 01/20/2021 HSBCB | -0.00% |
| 0.90 R ISWP FWD AUDBB6M P 03/17/2031 | -0.00% |
| CAD/USD 01/20/2021 CSI-FX | -0.00% |
| EUR/USD 03/17/2021 BCAP-FX | -0.00% |
| GBP/USD 03/17/2021 CSI-FX | -0.00% |
| NOK/USD 03/17/2021 RBSF | -0.00% |
| SEK/USD 03/17/2021 RBSF | -0.00% |
| TWD/USD 02/17/2021 GSFX | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| GBP/USD 03/17/2021 UBS | -0.01% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.01% |
| NZD/USD 01/20/2021 TDBK | -0.01% |
| 2.184 R ISWP FWD US0003M P 12/07/2030 | -0.01% |
| EUR/USD 03/17/2021 TDBK | -0.01% |
| SEK/USD 03/17/2021 BCAP-FX | -0.01% |
| 1.27 R ISWP FWD US0003M P 01/27/2047 | -0.01% |
| CAD/USD 01/20/2021 JPMCB | -0.01% |
| GBP/USD 03/17/2021 SSBT | -0.01% |
| JPY/USD 02/17/2021 SSBT | -0.01% |
| AUD/USD 01/20/2021 BANKAM | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| EUR/USD 03/17/2021 JPMCB | -0.01% |
| IOS.FN30.400.10 P USL1M R 01/12/41 CS | -0.01% |
| AUD/USD 01/20/2021 CITI | -0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| NZD/USD 01/20/2021 JPMCB | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| IOS.FN30.350.12 P USL1M R 01/12/43 BC | -0.01% |
| NZD/USD 01/20/2021 BANKAM | -0.01% |
| SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.01% |
| CNH/USD 02/18/2021 HSBCB | -0.01% |
| IOS.FN30.400.13 P USL1M R 01/12/44 JP | -0.01% |
| NZD/USD 01/20/2021 WPAC | -0.01% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | -0.02% |
| CAD/USD 01/20/2021 BANKAM | -0.02% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.02% |
| 1.25 R ISWP FWD US0003M P 03/17/2051 | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| EUR/USD 03/17/2021 SSBT | -0.02% |
| AUD/USD 01/20/2021 PSBS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| CAD/USD 01/20/2021 TDBK | -0.02% |
| 215600 KS P US0001M R 12/15/25 GS | -0.02% |
| IOS.FN30.400.14 P USL1M R 01/12/45 JP | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| IOS.FN30.350.12 P USL1M R 01/12/43 GS | -0.03% |
| IOS.FN30.300.13 P USL1M R 01/12/44 GS | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG | -0.03% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.03% |
| NZD/USD 01/20/2021 CITI | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.05% |
| NZD/USD 01/20/2021 RBSF | -0.05% |
| AUD/USD 01/20/2021 UBS | -0.06% |
| NZD/USD 01/20/2021 GSFX | -0.06% |
| EBIX US P R 07/05/22 CI | -0.06% |
| IOS.FN30.400.14 P US0001M R 01/12/45 JP | -0.06% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.07% |
| SWI US P US0001M R 07/05/22 CI | -0.07% |
| OSIS US P R 07/05/22 CI | -0.07% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.07% |
| ZYXI US P US0001M R 07/05/22 CI | -0.08% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.09% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG | -0.10% |
| MBX.FN30.600.08 P USL1M R 01/12/39 BC | -0.10% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.12% |
| PBH US P US0001M R 07/05/22 CI | -0.13% |
| BGS US P R 07/05/22 CI | -0.14% |
| ACIW US P R 07/05/22 CI | -0.14% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.14% |
| BRKR US P US0001M R 07/05/22 CI | -0.16% |
| WDFC US P US0001M R 07/05/22 CI | -0.16% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.17% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.18% |
| PDCO US P R 07/05/22 CI | -0.18% |
| QLYS US P US0001M R 07/05/22 CI | -0.18% |
| BEAT US P US0001M R 07/05/22 CI | -0.19% |
| OTEX US P US0001M R 12/15/25 GS | -0.19% |
| SVMK US P US0001M R 07/05/22 CI | -0.19% |
| TPIC US P US0001M R 07/05/22 CI | -0.19% |
| DY US P R 07/05/22 CI | -0.20% |
| XP US P US0001M R 07/05/22 CI | -0.21% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.21% |
| STOR US P US0001M R 07/05/22 CI | -0.26% |
| VRT US P US0001M R 07/05/22 CI | -0.27% |
| PB US P US0001M R 07/05/22 CI | -0.31% |
| SKX US P US0001M R 07/05/22 CI | -0.32% |
| OSK US P US0001M R 07/05/22 CI | -0.33% |
| CDX CDX.NA.HY.35 500.0 12/20/2025 | -0.41% |
| ELAN US P US0001M R 07/05/22 CI | -0.46% |
| BYND US P US0001M R 07/05/22 CI | -0.47% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.50% |
| BHC US P R 07/05/22 CI | -0.53% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.54% |
| FNMA FN30 TBA UMBS 01.5000 01/01/2051 | -0.55% |
| HZNP US P US0001M R 07/05/22 CI | -0.55% |
| LUMN US P US0001M R 07/05/22 CI | -0.61% |
| AAXN US P US0001M R 07/05/22 CI | -0.62% |
| WAB US P R 07/05/22 CI | -0.67% |
| TSLA US P R 07/05/22 CI | -0.68% |
| RL US P US0001M R 07/05/22 CI | -0.74% |
| RH US P US0001M R 07/05/22 CI | -0.89% |
| MIDD US P US0001M R 07/05/22 CI | -0.92% |
| EVBG US P US0001M R 07/05/22 CI | -0.94% |
| PLUG US P US0001M R 07/05/22 CI | -1.01% |
| AAP US P US0001M R 07/05/22 CI | -1.05% |
| MSCI EAFE MAR21 MFSH1 | -1.17% |
| ILMN US P US0001M R 07/05/22 CI | -1.17% |
| STX US P US0001M R 12/15/25 GS | -1.19% |
| FSLR US P US0001M R 07/05/22 CI | -1.22% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -1.38% |
| CTXS US P US0001M R 07/05/22 CI | -1.39% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -1.69% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -1.83% |
| S&P500 EMINI FUT MAR21 ESH1 | -2.41% |
| NDUEEGF P US0001M R 11/02/21 CS | -7.24% |
| NDUEEGF P US0001M R 11/02/21 UB | -7.24% |
| RU10INTR P US0003M R 06/20/23 BA | -25.24% |
| GSGLPWDS P US0001M R 12/15/25 GS | -25.71% |
| SPTR P US0001M R 05/22/23 UB | -38.30% |
| US 2YR NOTE (CBT) MAR21 TUH1 | -41.44% |
| US 10YR NOTE (CBT)MAR21 TYH1 | 55.02% |
|---|---|
| UBSPUSER R US0001M P 05/22/23 UB | 43.79% |
| GSGLPWDL R US0001M P 12/15/25 GS | 23.44% |
| MLFCF15 R US0003M P 06/20/23 BA | 23.01% |
| JPCMPTFL R US0001M P 11/23/21 JP | 21.42% |
| CGPUTQL2 R US0003M P 06/10/21 CI | 20.00% |
| REPO TRIPA MORTG 0.09 12/01/2020 | 16.15% |
| FNMA FN30 TBA UMBS 03.5000 01/01/2051 | 6.68% |
| FNMA FN30 TBA UMBS 02.0000 01/01/2051 | 6.55% |
| FNMA FN30 TBA UMBS 04.0000 01/01/2051 | 4.96% |
| GSISXT27 R 0.2 P 12/15/20 GS | 4.31% |
| FNMA FN30 TBA UMBS 03.5000 12/01/2050 | 4.08% |
| GSVIUS85 R 0.45 P 12/15/20 GS | 3.75% |
| GSGLPHCL R US0001M P 12/15/25 GS | 3.04% |
| BAML COMMODITY MLBX4SX6 ER STRATEGY 3X 144A NOTE 1/12/2021 | 2.57% |
| CITI COMMOD F3-F0 4X LEVERED INDEX 3X NOTE 1/25/2021 | 2.50% |
| CASH MGMT BILL 00.0000 02/23/2021 | 2.31% |
| CASH MGMT BILL 00.0000 02/16/2021 | 2.02% |
| GSVIVV69 R 0.3 P 12/15/20 GS | 2.01% |
| TREASURY BILL 00.0000 12/15/2020 | 1.94% |
| CITI CROSS-ASSET TREND 10% VOL INDEX | 1.84% |
| FNMA FN30 TBA UMBS 04.0000 12/01/2050 | 1.79% |
| TECHNOLOGY SELECT SECT SPDR SEDOL 2369709 | 1.63% |
| COMM SERV SELECT SECTOR SPDR SEDOL BFXHC51 | 1.62% |
| CONSUMER DISCRETIONARY SELT SEDOL 2424341 | 1.62% |
| CONSUMER STAPLES SPDR SEDOL 2369389 | 1.58% |
| MATERIALS SELECT SECTOR SPDR SEDOL 2436841 | 1.58% |
| HEALTH CARE SELECT SECTOR SEDOL 2371823 | 1.54% |
| TREASURY BILL 00.0000 12/08/2020 | 1.46% |
| FNMA FN30 TBA UMBS 01.5000 12/01/2050 | 1.44% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 1.37% |
| TREASURY BILL 00.0000 03/04/2021 | 1.17% |
| GSVICUB3 R 0.45 P 12/15/20 GS | 1.16% |
| FED HOME LN DISCOUNT NT 313384S83 GDC 12/11/2020 | 1.10% |
| FNMA FN30 TBA UMBS 02.5000 01/01/2051 | 1.08% |
| ALIBABA GROUP HOLDING LTD SEDOL BK6YZP5 | 0.97% |
| TREASURY BILL 00.0000 12/10/2020 | 0.85% |
| SAMSUNG ELECTRONICS CO LTD SEDOL 6771720 | 0.83% |
| FNMA FN30 TBA UMBS 02.5000 12/01/2050 | 0.81% |
| FNMA FN30 TBA UMBS 02.0000 12/01/2050 | 0.80% |
| GSVIVVOL R 0.3 P 12/15/20 GS | 0.73% |
| GNMA GII30 TBA 04.0000 12/01/2050 | 0.69% |
| ATLANTIC ASSET SECURITIZATION 04821TMF9 DCP 12/15/2020 | 0.64% |
| AUSTRALIA & NEW ZEALAND BANKI 05253AMG2 DCP 12/16/2020 | 0.64% |
| CRC FUNDING LLC 12619TM84 DCP 12/08/2020 | 0.64% |
| FED HOME LN DISCOUNT NT 313384R76 GDC 12/02/2020 | 0.64% |
| FHLB 313385CG9 GDC 02/24/2021 | 0.64% |
| LIBERTY STREET FUNDING LLC 53127TM83 DCP 12/08/2020 | 0.64% |
| NESTLE FINANCE INTERNATIONAL 64106GMH3 DCP 12/17/2020 | 0.64% |
| OLD LINE FUNDING LLC 67984XGX8 DCP 12/21/2020 | 0.64% |
| SKANDINAVISKA ENSKILDA BANKEN 83050TPJ4 DCP 02/18/2021 | 0.64% |
| SOCIETE GENERALE SA 83369BM94 DCP 12/09/2020 | 0.64% |
| SUMITOMO MITSUI TRUST BANK LT 86564YP30 DCP 02/03/2021 | 0.64% |
| MITSUBISHI UFJ TRUST & BANKIN 60682YMF8 DCP 12/15/2020 | 0.61% |
| TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382 | 0.60% |
| TENCENT HOLDINGS LTD SEDOL BMMV2K8 | 0.59% |
| NATIONWIDE BUILDING SOCIETY 6385E0M91 DCP 12/09/2020 | 0.58% |
| TREASURY BILL 00.0000 12/03/2020 | 0.57% |
| BPCE SA 05571BQK2 DCP 03/19/2021 | 0.55% |
| FNMA FN30 TBA UMBS 03.0000 12/01/2050 | 0.54% |
| S&P GSCI INDEX ER **INVERSE** | 0.53% |
| CHARIOT FUNDING LLC 15963TMJ5 DCP 12/18/2020 | 0.52% |
| MANHATTAN ASSET FUNDING CO LL 56274LMF8 DCP 12/15/2020 | 0.52% |
| TORONTO-DOMINION BANK/THE 89119AMM7 DCP 12/21/2020 | 0.48% |
| FNMA FN30 TBA UMBS 05.5000 12/01/2050 | 0.43% |
| CAS 2016-C02 1B 12.4001 09/25/2028 | 0.34% |
| JD.COM INC-ADR SEDOL BMM27D9 | 0.33% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.31% |
| PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 | 0.29% |
| FNMA FN30 TBA UMBS 04.5000 12/01/2050 | 0.28% |
| INFOSYS LTD SEDOL 6205122 | 0.28% |
| BF0101 03.5000 06/01/2056 | 0.28% |
| FNMA FN30 TBA UMBS 03.0000 01/01/2051 | 0.27% |
| CDX CDX.EM.34 100.0 12/20/2025 | 0.26% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.25% |
| TATA CONSULTANCY SVS LTD SEDOL B01NPJ1 | 0.24% |
| MSC 2006-HQ10 B 05.4480 11/12/2041 | 0.24% |
| SANY HEAVY INDUSTRY CO LTD 144A REGS WARRANT 12/21/2020 | 0.24% |
| KB FINANCIAL GROUP INC SEDOL B3DF0Y6 | 0.23% |
| YUM CHINA HOLDINGS INC SEDOL BYW4289 | 0.23% |
| VALE SA-SP ADR SEDOL 2857334 | 0.23% |
| SOUTHERN COPPER CORP SEDOL 2823777 | 0.22% |
| UNITED MICROELECTRONICS CORP SEDOL 6916628 | 0.22% |
| KWEICHOW MOUTAI CO LTD 144A/REGS WARRANT 10/01/2021 | 0.22% |
| HANA FINANCIAL GROUP SEDOL B0RNRF5 | 0.21% |
| NETEASE INC-ADR SEDOL 2606440 | 0.21% |
| FNR 2017-8 SB IO 05.9499 02/25/2047 | 0.20% |
| FNR 2017-74 SA IO 05.5999 10/25/2047 | 0.20% |
| LG ELECTRONICS INC SEDOL 6520739 | 0.20% |
| POLY DEVELOPMENTS AND HOLD 144A/REGS WARRANT 07/29/2021 | 0.20% |
| ADVANCED INFO SERVICE-FOR RG SEDOL 6412591 | 0.19% |
| MBX.FN30.500.09 R USL1M P 01/12/40 BC | 0.19% |
| SHENZHEN MINDRAY BIO-MEDICAL ELEC CO 144A/REGS WARRANT 12/10 | 0.19% |
| CHAROEN POKPHAND FOOD-FORGN SEDOL B5L2DG6 | 0.19% |
| IVORY COAST REGS 06.1250 06/15/2033 | 0.19% |
| MWST 2019-1 A 00.9501 06/25/2052 | 0.19% |
| FHS 315 PO PO 00.0000 09/15/2043 | 0.18% |
| JPMBB 2014-C18 D P/P 144A 04.9705 02/15/2047 | 0.18% |
| COUNTRY GARDEN SERVICES HOLD SEDOL BDQZP48 | 0.18% |
| REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033 | 0.18% |
| ANHUI CONCH CEMENT CO LTD-H SEDOL 6080396 | 0.17% |
| FHR 3852 NT 05.8591 05/15/2041 | 0.17% |
| MSBAM 2013-C10 D P/P 144A 04.2178 07/15/2046 | 0.17% |
| MMC NORILSK NICKEL PJSC-ADR SEDOL BYSW6D0 | 0.17% |
| DR REDDYS LABS SEDOL 6410959 | 0.17% |
| STACR 2016-DNA1 B 10.1493 07/25/2028 | 0.17% |
| GNR 2015-H20 CI IO 02.1878 08/20/2065 | 0.17% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | 0.16% |
| SPST 2020-2 A 00.9755 03/26/2021 | 0.16% |
| GNR 2017-H11 NI IO 02.3832 05/20/2067 | 0.15% |
| REPUBLIC OF INDONESIA REGS 05.8750 01/15/2024 | 0.15% |
| GNR 2015-H25 BI IO 01.9291 10/20/2065 | 0.15% |
| GNR 2016-H02 BI IO 02.2958 11/20/2065 | 0.14% |
| GLOBALWAFERS CO LTD SEDOL BS7JP33 | 0.14% |
| FNMA FN30 AL6919 UMBS 05.5000 01/01/2038 | 0.14% |
| GNR 2015-H19 NI IO 01.9068 07/20/2065 | 0.14% |
| GNR 2015-H10 CI IO 01.8005 04/20/2065 | 0.14% |
| HINDUSTAN UNILEVER LTD SEDOL 6261674 | 0.13% |
| JPMBB 2013-C14 E P/P 144A 04.8585 08/15/2046 | 0.13% |
| SHRP 2020-1 NOTE 03.1091 07/25/2024 | 0.13% |
| LUKOIL PJSC-SPON ADR SEDOL BYZDW27 | 0.13% |
| ZHONGSHENG GROUP HOLDINGS SEDOL B633D97 | 0.13% |
| BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4 | 0.13% |
| CAS 2015-C04 1M2 05.8501 04/25/2028 | 0.12% |
| REALTEK SEMICONDUCTOR CORP SEDOL 6051422 | 0.12% |
| ANGLO AMERICAN PLATINUM LTD SEDOL 6761000 | 0.12% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.12% |
| BANK OF SHANGHAI 144A/REGS WARRANT 12/02/2020 | 0.12% |
| GNR 2015-H09 BI IO 01.6840 03/20/2065 | 0.12% |
| CNOOC LTD SEDOL B00G0S5 | 0.12% |
| GNR 2015-H25 AI IO 01.6134 09/20/2065 | 0.12% |
| FUBON FINANCIAL HOLDING CO SEDOL 6411673 | 0.11% |
| GNR 2015-H24 HI IO 02.0446 09/20/2065 | 0.11% |
| GNR 2015-H15 JI IO 01.9543 06/20/2065 | 0.11% |
| WIPRO LTD SEDOL 6206051 | 0.11% |
| GNR 2014-H21 AI IO 01.6213 10/20/2064 | 0.11% |
| GNR 2015-H16 XI IO 02.4469 07/20/2065 | 0.11% |
| BAML COMMODITY MLBX4SX6 ER STRATEGY 3X NOTE 9/2/2021 | 0.11% |
| FNR 2015-28 IO IO 05.5000 05/25/2045 | 0.10% |
| CHINA MINSHENG BANKING COR-H SEDOL B57JY24 | 0.10% |
| GNR 2015-H22 GI IO 02.5948 09/20/2065 | 0.10% |
| GNR 2016-H03 AI IO 03.2736 01/20/2066 | 0.10% |
| HUNDSUN TECHNOLOGIES INC 144A/REGS WARRANT 07/29/2021 | 0.10% |
| TOP GLOVE CORP BHD SEDOL B05L892 | 0.10% |
| CHAILEASE HOLDING CO LTD SEDOL B58J1S8 | 0.10% |
| MRAIT 2020-2 A2 | 0.10% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS | 0.10% |
| GNR 2014-2 IC IO 05.0000 01/16/2044 | 0.10% |
| WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 | 0.10% |
| GNR 2015-H09 AI IO 03.2161 04/20/2065 | 0.10% |
| PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 | 0.10% |
| SUOFEIYA HOME COLLECTION C-A 144A/REGS WARRANT 10/28/2021 | 0.10% |
| GNR 2015-H26 EI IO 01.7168 10/20/2065 | 0.10% |
| GNR 2016-H23 NI IO 02.3557 10/20/2066 | 0.09% |
| GNR 2015-H25 EI IO 01.8479 10/20/2065 | 0.09% |
| SAMI 2007-AR1 2A1 00.3301 01/25/2037 | 0.09% |
| GNR 2015-H26 GI IO 01.7978 10/20/2065 | 0.09% |
| RISESUN REAL ESTATE DEV-A 144A/REGS WARRANT 11/02/2021 | 0.09% |
| BSCMS 2007-T26 AJ 05.5411 01/12/2045 | 0.09% |
| GRUPO FINANCIERO GALICIA-ADR SEDOL 2613570 | 0.09% |
| QUANTA COMPUTER INC SEDOL 6141011 | 0.09% |
| TREASURY BILL 00.0000 01/19/2021 | 0.09% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.09% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.08% |
| KIA MOTORS CORP SEDOL 6490928 | 0.08% |
| PARADE TECHNOLOGIES LTD SEDOL B6RV676 | 0.08% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | 0.08% |
| CMLTI 2007-AMC3 A2D 00.5001 03/25/2037 | 0.08% |
| DOMINICAN REPUBLIC REGS 05.9500 01/25/2027 | 0.08% |
| DAELIM INDUSTRIAL CO LTD SEDOL 6249584 | 0.08% |
| COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 | 0.08% |
| FNR 2016-3 NI IO 06.0000 02/25/2046 | 0.08% |
| GNR 2016-H04 KI IO 02.8379 02/20/2066 | 0.08% |
| GNR 2016-H08 GI IO 01.4265 04/20/2066 | 0.08% |
| RADIANT OPTO-ELECTRONICS COR SEDOL 6520278 | 0.08% |
| BSCMS 2005-PWR7 D 05.3040 02/11/2041 | 0.08% |
| CHINA FEIHE LTD SEDOL BK0SBL1 | 0.08% |
| GNR 2015-53 MI IO 04.0000 04/16/2045 | 0.08% |
| FNR 2011-4 CS 12.5997 05/25/2040 | 0.08% |
| GNR 2018-91 SJ IO 06.1035 07/20/2048 | 0.08% |
| CHINA RESOURCES CEMENT SEDOL B41XC98 | 0.08% |
| GNR 2017-H02 BI IO 02.3147 01/20/2067 | 0.08% |
| DINO POLSKA SA SEDOL BD0YVN2 | 0.08% |
| NIEN MADE ENTERPRISE CO LTD SEDOL BSZLN15 | 0.08% |
| SPY 20211015 P 275.00BANKAM | 0.08% |
| STACR 2018-HQA2 B1 04.4001 10/25/2048 | 0.08% |
| GNR 2015-H14 BI IO 01.5575 05/20/2065 | 0.08% |
| JIANGSU HENGLI HYDRAULIC C-A 144A/REGS WARRANT 03/23/2022 | 0.07% |
| GNR 2016-150 I IO 05.0000 11/20/2046 | 0.07% |
| GNR 2016-H07 HI IO 03.0162 02/20/2066 | 0.07% |
| GNR 2017-H14 DI IO 01.7088 06/20/2067 | 0.07% |
| HARTALEGA HOLDINGS BHD SEDOL B2QPJK5 | 0.07% |
| GNR 2015-80 IA IO 04.5000 06/20/2045 | 0.07% |
| SPST 2020-13 A 01.6501 10/10/2021 | 0.07% |
| BSCMS 2005-PWR7 C 05.2350 02/11/2041 | 0.07% |
| FOSHAN HAITIAN FLAVOURING & FOOD 144A/REGS WARRANT 03/12/202 | 0.07% |
| HYUNDAI MOBIS CO LTD SEDOL 6449544 | 0.07% |
| SPST 2020-15 A 01.5201 12/10/2021 | 0.07% |
| ARAB REP OF EGYPT P/P 144A 07.0529 01/15/2032 | 0.07% |
| KUMBA IRON ORE LTD SEDOL B1G4262 | 0.07% |
| MSBAM 2013-C11 F P/P 144A 04.4973 08/15/2046 | 0.07% |
| GNR 2015-H24 BI IO 01.6067 08/20/2065 | 0.07% |
| REPUBLIC OF SOUTH AFRICA USD 04.8500 09/27/2027 | 0.07% |
| FNR 2018-58 IO IO 05.5000 08/25/2048 | 0.07% |
| HELLENIC TELECOMMUN ORGANIZA SEDOL 5051605 | 0.07% |
| MRAIT 2020-11 A1X 01.9000 04/23/2021 | 0.07% |
| TECH MAHINDRA LTD SEDOL BWFGD63 | 0.06% |
| GNR 2015-H26 DI IO 01.8686 10/20/2065 | 0.06% |
| WAMU 2005-AR14 1A2 02.9174 12/25/2035 | 0.06% |
| SPST 2020-WL1 A 01.3001 06/25/2051 | 0.06% |
| FHLMC FR30 ZA4291 UMBS 03.5000 08/01/2043 | 0.06% |
| FNMA FN30 AB7936 UMBS 03.0000 02/01/2043 | 0.06% |
| FNMA FN30 AU1625 UMBS 03.5000 07/01/2043 | 0.06% |
| HYPERA SA SEDOL B2QY968 | 0.06% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CS | 0.06% |
| SCRT 2019-4 M 04.5000 02/25/2059 | 0.06% |
| SINOTRUK HONG KONG LTD SEDOL B296ZH4 | 0.06% |
| CIA DE TRANSMISSAO DE ENE-PF SEDOL 2440972 | 0.06% |
| MWST 2020-1 A 01.0501 10/25/2053 | 0.06% |
| CAS 2017-C06 2B1 04.6001 02/25/2030 | 0.06% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.06% |
| GNR 2016-H16 DI IO 02.6407 06/20/2066 | 0.06% |
| GSMS 2014-GC24 D P/P 144A 04.6645 09/10/2047 | 0.06% |
| FHR 4568 MI IO 04.0000 04/15/2046 | 0.06% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS | 0.06% |
| FNMA FN30 AR6852 UMBS 03.0000 02/01/2043 | 0.06% |
| GNR 2015-H10 EI IO 01.6140 04/20/2065 | 0.06% |
| VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 | 0.06% |
| WBCMT 2005-C21 E P/P 144A 05.2692 10/15/2044 | 0.06% |
| SHANDONG BUCHANG PHARMACEUTICALS CO LTD 144A/REGS WARRANT 12 | 0.05% |
| SPY 20210820 P 275.00CITI | 0.05% |
| WFCM 2013-LC12 D P/P 144A 04.4100 07/15/2046 | 0.05% |
| LOGAN GROUP CO LTD SEDOL BH6X937 | 0.05% |
| SPY 20210917 P 270.00JPMCB | 0.05% |
| BANCO MACRO SA-ADR SEDOL B0Y62M9 | 0.05% |
| LITE-ON TECHNOLOGY CORP SEDOL 6519481 | 0.05% |
| MSC 2011-C3 G P/P 144A 05.4191 07/15/2049 | 0.05% |
| FNR 2012-124 UI IO 04.0000 11/25/2042 | 0.05% |
| GNR 2014-104 IO IO 04.0000 03/20/2042 | 0.05% |
| SEEGENE INC SEDOL B679Q36 | 0.05% |
| 0.45 R ISWP FWD SOFRRATE P 12/16/2030 | 0.05% |
| COM7 PCL-F SEDOL BZ2YN49 | 0.05% |
| FHLMC FR30 ZA4202 UMBS 03.0000 03/01/2043 | 0.05% |
| UNITED MEXICAN STATES USD 02.6590 05/24/2031 | 0.05% |
| CTBC FINANCIAL HOLDING CO LT SEDOL 6527666 | 0.05% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.05% |
| WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3 | 0.05% |
| DOMINICAN REPUBLIC REGS 06.8750 01/29/2026 | 0.05% |
| FNMA FN30 AO5471 UMBS 03.5000 06/01/2042 | 0.05% |
| BSCMS 2006-PW11 B P/P 144A 05.7021 03/11/2039 | 0.04% |
| REP OF INDONESIA P/P 144A 04.7500 01/08/2026 | 0.04% |
| REPUBLIC OF GHANA REGS 08.1250 03/26/2032 | 0.04% |
| CAS 2017-C05 1B1 03.7501 01/25/2030 | 0.04% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.04% |
| GNR 2016-H11 HI IO 02.1025 01/20/2066 | 0.04% |
| FHR 3747 SA IO 06.3591 10/15/2040 | 0.04% |
| MEITUAN-CLASS B SEDOL BGJW376 | 0.04% |
| MONGOLIA INTL BOND REGS 05.1250 12/05/2022 | 0.04% |
| SAMSUNG ENGINEERING CO LTD SEDOL 6765239 | 0.04% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.04% |
| GNR 2016-49 IO IO 04.5000 11/16/2045 | 0.04% |
| PRESIDENT CHAIN STORE CORP SEDOL 6704986 | 0.04% |
| GNR 2015-H18 IA IO 01.8317 06/20/2065 | 0.04% |
| GNR 2016-H04 HI IO 02.3822 07/20/2065 | 0.04% |
| IHEARTMEDIA INC - CLASS A SEDOL BJVR9Y9 | 0.04% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.04% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.04% |
| REPUBLIC OF KENYA REGS 08.0000 05/22/2032 | 0.04% |
| 0.70 R ISWP FWD US0003M P 12/16/2030 | 0.04% |
| ECOPETROL SA-SPONSORED ADR SEDOL B3D6J19 | 0.04% |
| GNR 2018-127 IC IO 05.0000 10/20/2044 | 0.04% |
| ORION CORP/REPUBLIC OF KOREA SEDOL BDVLJ72 | 0.04% |
| SEAZEN HOLDINGS CO 144A/REGS WARRANT 05/06/2021 | 0.04% |
| BURSA MALAYSIA BHD SEDOL B06FV38 | 0.04% |
| CHINA SHENHUA ENERGY CO-H SEDOL B09N7M0 | 0.04% |
| MBX.FN30.500.10 R USL1M P 01/12/41 GS | 0.04% |
| UNITED INTEGRATED SERVICES SEDOL 6105136 | 0.04% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML | 0.04% |
| TISCO FINANCIAL-FOREIGN SEDOL B3KFW76 | 0.04% |
| ARAB REP OF EGYPT P/P 144A 05.7500 05/29/2024 | 0.04% |
| CWALT 2006-OA10 1A1 01.7034 08/25/2046 | 0.04% |
| FHR 4389 IA IO 04.0000 09/15/2044 | 0.04% |
| GNR 2015-167 BI IO 04.5000 04/16/2045 | 0.04% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.04% |
| PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 | 0.04% |
| SYNNEX TECHNOLOGY INTL CORP SEDOL 6868439 | 0.04% |
| TAISHIN FINANCIAL HOLDING SEDOL 6451680 | 0.04% |
| CAS 2017-C03 1B1 05.0001 10/25/2029 | 0.04% |
| FENG TAY ENTERPRISE CO LTD SEDOL 6336055 | 0.04% |
| FHR 4134 PI IO 03.0000 11/15/2042 | 0.04% |
| FHR 4158 TI IO 03.0000 12/15/2042 | 0.04% |
| WFRBS 2013-C15 D P/P 144A 04.6431 08/15/2046 | 0.04% |
| ZOOMLION HEAVY INDUSTRY - H SEDOL B544N70 | 0.04% |
| GNR 2015-187 JI IO 04.0000 03/20/2045 | 0.03% |
| MARFRIG GLOBAL FOODS SA SEDOL B1YWHR4 | 0.03% |
| PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 | 0.03% |
| COMM 2014-CR17 D P/P 144A 05.0086 05/10/2047 | 0.03% |
| MSBAM 2013-C11 E P/P 144A 04.4973 08/15/2046 | 0.03% |
| PEGATRON CORP SEDOL B4PLX17 | 0.03% |
| PLDT INC SEDOL BDGN274 | 0.03% |
| SPY 20210716 P 255.00CITI | 0.03% |
| FNR 2014-47 IP IO 04.0000 03/25/2044 | 0.03% |
| GNR 2011-H08 GI IO 01.2525 03/20/2061 | 0.03% |
| JPMCC 2012-C6 F P/P 144A 05.3237 05/15/2045 | 0.03% |
| JPMCC 2012-C6 G P/P 144A 02.9720 05/15/2045 | 0.03% |
| GNR 2014-163 NI IO 05.0000 02/20/2044 | 0.03% |
| GNR 2017-99 AI IO 04.0000 01/20/2047 | 0.03% |
| IOS.FN30.400.14 R USL1M P 01/12/45 GS | 0.03% |
| IVORY COAST P/P 144A 05.2500 03/22/2030 | 0.03% |
| PRET 2020-RPL1 03.8194 05/27/2060 | 0.03% |
| COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 | 0.03% |
| DOMINICAN REPUBLIC REGS 06.5000 02/15/2048 | 0.03% |
| FNR 2017-48 LI IO 04.0000 05/25/2047 | 0.03% |
| LUENMEI QUANTUM CO LTD 144A/REGS WARRANT 12/02/2021 | 0.03% |
| ARAB REPUBLIC OF EGYPT REGS 07.6003 03/01/2029 | 0.03% |
| CWHL 2005-3 1A1 00.7701 04/25/2035 | 0.03% |
| FHR 4136 IW IO 03.5000 10/15/2042 | 0.03% |
| FHR 4193 PI IO 04.0000 03/15/2043 | 0.03% |
| FHR 4530 HI IO 04.0000 11/15/2045 | 0.03% |
| INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979 | 0.03% |
| JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 | 0.03% |
| PETROLEOS MEXICANOS USD 07.6900 01/23/2050 | 0.03% |
| GNR 2015-H26 CI IO 00.5141 08/20/2065 | 0.03% |
| GNR 2018-127 IB IO 04.5000 06/20/2045 | 0.03% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 0.03% |
| CHINA YUHUA EDUCAT SEDOL BYWPGC4 | 0.03% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.03% |
| SPY 20210618 P 250.00JPMCB | 0.03% |
| RALI 2006-QO10 A1 00.3101 01/25/2037 | 0.03% |
| AHM 2007-1 GA1C 00.3401 05/25/2047 | 0.02% |
| GNR 2011-17 S IO 05.9035 02/20/2041 | 0.02% |
| GNR 2012-145 IO IO 03.5000 12/20/2042 | 0.02% |
| HENGAN INTL GROUP CO LTD SEDOL 6136233 | 0.02% |
| NZD/USD 01/20/2021 MSCIL | 0.02% |
| BACM 2005-1 C 05.6647 11/10/2042 | 0.02% |
| FNR 2013-21 AI IO 03.5000 03/25/2033 | 0.02% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.02% |
| HAITIAN INTERNATIONAL HLDGS SEDOL B1L2RC2 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| KT CORP SEDOL 6505316 | 0.02% |
| SIME DARBY BERHAD SEDOL B29TTR1 | 0.02% |
| STACR 2018-DNA2 B1 03.8501 12/25/2030 | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.02% |
| GNR 2011-H15 AI IO 01.5312 06/20/2061 | 0.02% |
| MHL 2004-1 M2 01.1551 11/25/2034 | 0.02% |
| NZD/USD 01/20/2021 UBS | 0.02% |
| TOFAS OTOMOBIL FAB SEDOL B03MY33 | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML | 0.02% |
| DIALOG GROUP BHD SEDOL B00MRS2 | 0.02% |
| FHR 4150 DI IO 03.0000 01/15/2043 | 0.02% |
| GNR 2012-47 CI IO 04.0000 03/20/2042 | 0.02% |
| GNR 2012-8 PI IO 04.0000 05/20/2041 | 0.02% |
| RALI 2006-QO5 1A1 00.5801 05/25/2046 | 0.02% |
| STACR 2018-HQA2 B2 11.1501 10/25/2048 | 0.02% |
| UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 | 0.02% |
| WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 | 0.02% |
| BIM BIRLESIK MAGAZALAR AS SEDOL B0D0006 | 0.02% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML | 0.02% |
| COMMERCIAL INTL BANK-GDR REG SEDOL 5668287 | 0.02% |
| FAR EASTONE TELECOMM CO LTD SEDOL 6421854 | 0.02% |
| FNR 2012-151 PI IO 03.0000 01/25/2043 | 0.02% |
| GNR 2013-6 AI IO 03.5000 08/20/2039 | 0.02% |
| HONG LEONG BANK BERHAD SEDOL 6436892 | 0.02% |
| PETRONAS GAS BHD SEDOL 6703972 | 0.02% |
| FHR 4206 IP IO 03.0000 12/15/2041 | 0.02% |
| GNR 2013-79 XI IO 03.5000 11/20/2039 | 0.02% |
| GNR 2017-132 IB IO 05.5000 09/20/2047 | 0.02% |
| GNR 2017-57 AI IO 04.0000 06/20/2045 | 0.02% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.02% |
| PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| NICE INFORMATION SERVICE CO SEDOL 6248332 | 0.02% |
| NZD/USD 01/20/2021 BCAP-FX | 0.02% |
| WFRBS 2012-C10 E P/P 144A 04.5750 12/15/2045 | 0.02% |
| FHR 2990 LB 16.5856 06/15/2034 | 0.02% |
| FNR 2012-104 QI IO 04.5000 05/25/2042 | 0.02% |
| GNR 2010-20 UI IO 05.0000 02/20/2040 | 0.02% |
| GNR 2013-151 IB IO 04.5000 02/20/2040 | 0.02% |
| GSAA 2007-6 1A1 00.2701 05/25/2047 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| PROVINCIA DE BUENOS 34.1871 05/31/2022 | 0.02% |
| SPY 20210521 P 235.00BANKAM | 0.02% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.02% |
| PETROLEOS MEXICANOS USD 05.9500 01/28/2031 | 0.02% |
| PTT EXPLORATION & PROD-FOR SEDOL B1359J0 | 0.02% |
| FNR 2012-22 CI IO 04.0000 03/25/2041 | 0.02% |
| FNR 2017-2 KI IO 04.0000 02/25/2047 | 0.02% |
| GNR 2015-24 IA IO 03.5000 02/20/2045 | 0.02% |
| GNR 2018-127 IE IO 03.5000 01/20/2046 | 0.02% |
| KRW/USD 02/17/2021 JPMCB | 0.02% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.02% |
| MSC 2007-HQ11 C 05.5580 02/12/2044 | 0.02% |
| PRESS METAL ALUMINIUM HOLDIN SEDOL BF0J5S4 | 0.02% |
| SAMI 2007-AR7 1A1 01.0001 05/25/2047 | 0.02% |
| SHANGHAI PUDONG DEV BANK 144A/REGS WARRANT 11/10/2021 | 0.02% |
| BBVA ARGENTINA SA-ADR SEDOL BKT4TC7 | 0.01% |
| CLP/USD 01/20/2021 CITI | 0.01% |
| ELECTRICITY GEN PUB CO-FOR R SEDOL 6304643 | 0.01% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.01% |
| GBP/USD 12/16/2020 SSBT | 0.01% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.01% |
| KRW/USD 02/17/2021 HSBCB | 0.01% |
| SEK/USD 12/16/2020 GSFX | 0.01% |
| TECO ELECTRIC & MACHINERY SEDOL 6879851 | 0.01% |
| AUD/USD 01/20/2021 HSBCB | 0.01% |
| CELLTRION INC SEDOL B0C5YV1 | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.01% |
| FEDERAL GRID CO UNIFIED ENER SEDOL B39RR67 | 0.01% |
| FNR 2014-10 IO IO 03.5000 08/25/2042 | 0.01% |
| FNR 2017-113 IO IO 05.0000 01/25/2038 | 0.01% |
| GBP/USD 12/16/2020 MSCIL | 0.01% |
| GCAT 2020-NQM2 A3 02.9350 04/25/2065 | 0.01% |
| GNMA GII30 BN1509 05.0000 05/20/2049 | 0.01% |
| GNR 2010-35 AI IO 04.5000 03/20/2040 | 0.01% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 0.01% |
| GNR 2012-50 PI IO 04.0000 12/20/2041 | 0.01% |
| GNR 2013-129 SN IO 06.0035 09/20/2043 | 0.01% |
| GNR 2013-99 VS IO 05.9591 07/16/2043 | 0.01% |
| GNR 2017-160 AI IO 04.5000 10/20/2047 | 0.01% |
| IOS.FN30.400.13 R USL1M P 01/12/44 JP | 0.01% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.01% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.01% |
| NZD/USD 01/20/2021 PSBS | 0.01% |
| PROVINCIA DE BUENOS AIRE REGS 07.8750 06/15/2027 | 0.01% |
| STACR 2019-DNA1 M2 02.8001 01/25/2049 | 0.01% |
| BANK BTPN SYARIAH TBK PT SEDOL BFNBJ41 | 0.01% |
| CAD/USD 01/20/2021 MSCIL | 0.01% |
| CLEAR CHANNEL OUTDOOR HOLDIN SEDOL BJHVCH9 | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.01% |
| FRONTKEN CORP BHD SEDOL B18TLC4 | 0.01% |
| GNR 2013-24 PI IO 04.0000 11/20/2042 | 0.01% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.01% |
| GNR 2015-96 NI IO 03.5000 01/20/2039 | 0.01% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.01% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.01% |
| PROVINCIA DE BUENOS AIRE REGS 06.5000 02/15/2023 | 0.01% |
| QUALITAS CONTROLADORA SAB CV SEDOL BYMXF65 | 0.01% |
| RUENTEX DEVELOPMENT CO LTD SEDOL 6748423 | 0.01% |
| SEK/USD 12/16/2020 UBS | 0.01% |
| AUD/USD 01/20/2021 CSI-FX | 0.01% |
| BACM 2008-1 C P/P 144A 06.7858 02/10/2051 | 0.01% |
| CAS 2015-C03 2M2 05.1501 07/25/2025 | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.01% |
| FHR 4183 MI IO 03.0000 02/15/2042 | 0.01% |
| FHR 4355 DI IO 04.0000 03/15/2044 | 0.01% |
| GNR 2010-35 QI IO 04.5000 03/20/2040 | 0.01% |
| GNR 2010-35 UI IO 05.0000 03/20/2040 | 0.01% |
| GNR 2013-100 MI IO 03.5000 02/20/2043 | 0.01% |
| SEK/USD 12/16/2020 SSBT | 0.01% |
| STACR 2019-DNA3 B2 08.3001 07/25/2049 | 0.01% |
| CAS 2015-C02 2M2 04.1501 05/25/2025 | 0.01% |
| CAS 2017-C06 2M2 02.9501 02/25/2030 | 0.01% |
| FNR 2013-6 BI IO 03.0000 12/25/2042 | 0.01% |
| GBP/USD 12/16/2020 WPAC | 0.01% |
| GNMA GII30 BP7527 03.5000 10/20/2049 | 0.01% |
| CAD/USD 01/20/2021 HSBCB | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.01% |
| FNR 2005-74 NK 26.7494 05/25/2035 | 0.01% |
| GNR 2015-36 GI IO 03.5000 06/16/2041 | 0.01% |
| PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 | 0.01% |
| PUREGOLD PRICE CLUB INC SEDOL B725S29 | 0.01% |
| REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 | 0.01% |
| STEARNS HLDG LLC CLASS B WTS | 0.01% |
| SWPTN 3MX5Y P 0.418 USD 01/13/2021 BC | 0.01% |
| CAD/USD 01/20/2021 GSFX | 0.01% |
| CAS 2015-C04 2M2 05.7001 04/25/2028 | 0.01% |
| CHINA BIOLOGIC PRODUCTS HOLD SEDOL BF0G7L2 | 0.01% |
| EUR/USD 12/16/2020 HSBCB | 0.01% |
| FHR 4213 GI IO 04.0000 11/15/2041 | 0.01% |
| FHR 4369 IA IO 03.5000 07/15/2044 | 0.01% |
| FNR 2005-122 SE 22.5745 11/25/2035 | 0.01% |
| FNR 2013-35 IP IO 03.0000 06/25/2042 | 0.01% |
| GNR 2009-121 BI IO 04.5000 12/16/2039 | 0.01% |
| GNR 2015-24 IC IO 03.5000 11/20/2037 | 0.01% |
| KWG GROUP HOLDINGS LTD SEDOL B1YBF00 | 0.01% |
| STACR 2019-DNA2 B2 10.6501 03/25/2049 | 0.01% |
| 0.35 R ISWP FWD US0003M P 12/16/2025 | 0.01% |
| CAD/USD 01/20/2021 UBS | 0.01% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.01% |
| EUR/USD 12/16/2020 BANKAM | 0.01% |
| FNMA FN30 BO0212 UMBS 04.5000 05/01/2049 | 0.01% |
| FNR 2013-31 NI IO 03.0000 06/25/2041 | 0.01% |
| GNMA GII30 BN1508 05.0000 05/20/2049 | 0.01% |
| GNR 2012-106 QI IO 04.0000 07/20/2042 | 0.01% |
| GNR 2013-157 IA IO 03.5000 04/20/2040 | 0.01% |
| GNR 2015-124 NI IO 03.5000 06/20/2039 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 CS | 0.01% |
| MISC BHD SEDOL 6557997 | 0.01% |
| PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 | 0.01% |
| WFRBS 2011-C4 E P/P 144A 05.3828 06/15/2044 | 0.01% |
| AUD/USD 01/20/2021 TDBK | 0.01% |
| CAS 2015-C01 2M2 04.7001 02/25/2025 | 0.01% |
| CAS 2015-C02 1M2 04.1501 05/25/2025 | 0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML | 0.01% |
| FNR 2012-136 PI IO 03.5000 11/25/2042 | 0.01% |
| GNMA GII30 BN1507 05.0000 05/20/2049 | 0.01% |
| GNR 2013-183 AI IO 03.5000 10/20/2039 | 0.01% |
| GNR 2013-37 LI IO 03.5000 01/20/2042 | 0.01% |
| GNR 2014-63 PI IO 04.0000 07/20/2043 | 0.01% |
| GNR 2015-99 LI IO 04.0000 07/20/2045 | 0.01% |
| NOK/USD 12/16/2020 GSFX | 0.01% |
| NOK/USD 12/16/2020 HSBCB | 0.01% |
| ADVANZ PHARMA CORP LTD SEDOL BG0RYR7 | 0.00% |
| CAD/USD 01/20/2021 RBSF | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.00% |
| EUR/USD 12/16/2020 RBSF | 0.00% |
| FHR 4073 AS IO 05.9091 08/15/2038 | 0.00% |
| FNMA FN30 BN9825 UMBS 05.0000 05/01/2049 | 0.00% |
| FNMA FN30 BO0182 UMBS 05.0000 05/01/2049 | 0.00% |
| FNR 2013-23 PI IO 03.0000 10/25/2041 | 0.00% |
| FNR 2015-10 AI IO 03.5000 08/25/2043 | 0.00% |
| FNR 2015-73 PI IO 03.5000 10/25/2045 | 0.00% |
| GBP/USD 12/16/2020 RBSF | 0.00% |
| GNMA GII30 BN1510 05.5000 05/20/2049 | 0.00% |
| GNMA GII30 BN1511 05.5000 05/20/2049 | 0.00% |
| GNR 2010-134 ES IO 05.8535 11/20/2039 | 0.00% |
| GNR 2014-133 AI IO 04.0000 10/20/2036 | 0.00% |
| GNR 2018-127 IA IO 03.5000 04/20/2042 | 0.00% |
| GNR 2020-15 CS IO 05.9035 02/20/2050 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| NZD/USD 01/20/2021 CSI-FX | 0.00% |
| PETROLEOS MEXICANOS USD 06.5000 03/13/2027 | 0.00% |
| STACR 2019-HQA1 M2 02.5001 02/25/2049 | 0.00% |
| 0.30 R ISWP FWD SES3M P 12/16/2030 | 0.00% |
| CAD/USD 01/20/2021 WPAC | 0.00% |
| EUR/USD 12/16/2020 UBS | 0.00% |
| FNMA FN30 BO3442 UMBS 05.0000 08/01/2049 | 0.00% |
| FNW 1998-W2 X IO 00.6026 06/25/2028 | 0.00% |
| GBP/USD 12/16/2020 JPMCB | 0.00% |
| GNMA GII30 BP7627 03.5000 11/20/2049 | 0.00% |
| GNR 2012-141 WI IO 03.5000 11/20/2041 | 0.00% |
| GNR 2014-108 IP IO 04.5000 12/20/2042 | 0.00% |
| GNR 2019-78 SJ IO 05.9035 06/20/2049 | 0.00% |
| GNR 2019-99 KS IO 05.9035 08/20/2049 | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 BC | 0.00% |
| 2.2225 R ISWP FWD US0003M P 06/05/2029 | 0.00% |
| EUR/USD 12/16/2020 MSCIL | 0.00% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.00% |
| KWG LIVING GROUP HOLDINGS LT SEDOL BLPJPQ9 | 0.00% |
| SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS | 0.00% |
| TXU TCEH RIGHTS | 0.00% |
| 0.25 R ISWP FWD US0003M P 12/16/2022 | 0.00% |
| 1.2965 R ISWP US0003M P 11/17/2050 | 0.00% |
| CAD/USD 01/20/2021 CITI | 0.00% |
| CAD/USD 01/20/2021 PSBS | 0.00% |
| FHR 4097 PI IO 03.5000 11/15/2040 | 0.00% |
| FHR 4501 BI IO 03.5000 10/15/2043 | 0.00% |
| FNMA FN30 BN3050 UMBS 05.0000 01/01/2049 | 0.00% |
| GBP/USD 12/16/2020 TDBK | 0.00% |
| GBP/USD 12/16/2020 UBS | 0.00% |
| GNR 2013-102 IP IO 03.5000 06/20/2043 | 0.00% |
| JPY/USD 02/17/2021 HSBCB | 0.00% |
| JPY/USD 02/17/2021 RBSF | 0.00% |
| JPY/USD 02/17/2021 UBS | 0.00% |
| NZD/USD 01/20/2021 JPMCB | 0.00% |
| 0.2575 R ISWP US0003M P 11/16/2022 | 0.00% |
| 0.97 R ISWP US0003M P 11/12/2030 | 0.00% |
| 1.15 R ISWP FWD US0003M P 12/16/2050 | 0.00% |
| AUD/USD 01/20/2021 MSCIL | 0.00% |
| CHC GROUP LLC SEDOL BYXD3K4 | 0.00% |
| EUR/USD 12/16/2020 WPAC | 0.00% |
| FHR 3175 MO PO 00.0000 06/15/2036 | 0.00% |
| FHR 3206 EO PO 00.0000 08/15/2036 | 0.00% |
| FHR 4663 KI IO 03.5000 11/15/2042 | 0.00% |
| FNR 2008-36 OV PO 00.0000 01/25/2036 | 0.00% |
| FNW 1998-W5 X IO 00.5698 07/25/2028 | 0.00% |
| FSPC T-48 AIO2 IO 00.2120 07/25/2033 | 0.00% |
| FSPC T-59 1AX IO 00.2837 10/25/2043 | 0.00% |
| GBP/USD 12/16/2020 CSI-FX | 0.00% |
| GBP/USD 12/16/2020 GSFX | 0.00% |
| GBP/USD 12/16/2020 HSBCB | 0.00% |
| GNR 2015-118 EI IO 03.5000 07/20/2039 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 CS | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 GS | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| JPY/USD 02/17/2021 BCAP-FX | 0.00% |
| NOK/USD 12/16/2020 JPMCB | 0.00% |
| SEK/USD 12/16/2020 BANKAM | 0.00% |
| SEK/USD 12/16/2020 HSBCB | 0.00% |
| SEK/USD 12/16/2020 JPMCB | 0.00% |
| SEK/USD 12/16/2020 MSCIL | 0.00% |
| STACR 2019-DNA2 M2 02.6001 03/25/2049 | 0.00% |
| SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA | 0.00% |
| -0.30 R ISWP FWD CHL6M P 12/16/2030 | 0.00% |
| 0.2325 R ISWP US0003M P 11/06/2022 | 0.00% |
| 0.2345 R ISWP US0003M P 10/23/2022 | 0.00% |
| 0.2365 R ISWP US0003M P 11/04/2022 | 0.00% |
| 0.8025 R ISWP US0003M P 11/06/2030 | 0.00% |
| 0.838 R ISWP US0003M P 10/23/2030 | 0.00% |
| 0.8425 R ISWP US0003M P 10/23/2030 | 0.00% |
| 0.8454 R ISWP US0003M P 11/03/2030 | 0.00% |
| 0.853 R ISWP US0003M P 11/04/2030 | 0.00% |
| 0.9245 R ISWP US0003M P 11/16/2030 | 0.00% |
| 1.05 R ISWP FWD CDOR03 P 12/16/2030 | 0.00% |
| 1.16 R ISWP US0003M P 10/16/2050 | 0.00% |
| 1.2445 R ISWP US0003M P 11/24/2050 | 0.00% |
| 1.275 R ISWP FWD US0003M P 03/07/2050 | 0.00% |
| AUD/USD 01/20/2021 CITI | 0.00% |
| BACM 2007-1 XW IO 00.6235 01/15/2049 | 0.00% |
| CHF/USD 12/16/2020 CITI | 0.00% |
| CHF/USD 12/16/2020 JPMCB | 0.00% |
| CHF/USD 12/16/2020 MSCIL | 0.00% |
| CHF/USD 12/16/2020 TDBK | 0.00% |
| CSFB 2003-C3 AX IO P/P 144A 01.9335 05/15/2038 | 0.00% |
| EUR/CHF CALL 1.10 20201209 CSI-FX | 0.00% |
| EUR/CHF CALL 1.12 20201209 CSI-FX | 0.00% |
| FHR 3996 IK IO 04.0000 03/15/2039 | 0.00% |
| FNR 2012-101 PI IO 03.5000 08/25/2040 | 0.00% |
| FNS 397 2 IO 05.0000 09/25/2039 | 0.00% |
| FSPC T-8 A9 IO 00.4383 11/15/2028 | 0.00% |
| GBP/USD 12/16/2020 BCAP-FX | 0.00% |
| GBP/USD PUT 1.20 20201218 BANKAM | 0.00% |
| GBP/USD PUT 1.23 20201218 BANKAM | 0.00% |
| GLOW ENERGY PCL - FOREIGN SEDOL B074GX9 | 0.00% |
| GNR 2011-116 IB IO 05.0000 10/20/2040 | 0.00% |
| GNR 2015-82 GI IO 03.5000 12/20/2038 | 0.00% |
| GSMPS 1999-2 IO IO 00.4313 09/19/2027 | 0.00% |
| GSMS 2006-GG8 X IO P/P 144A 01.2699 11/10/2039 | 0.00% |
| HKD/USD 02/17/2021 BANKAM | 0.00% |
| HKD/USD 02/17/2021 CITI | 0.00% |
| HKD/USD 02/17/2021 GSFX | 0.00% |
| HKD/USD 02/17/2021 HSBCB | 0.00% |
| HKD/USD 02/17/2021 TDBK | 0.00% |
| HKD/USD 02/17/2021 UBS | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| JPMCC 2007-LDPX X IO 00.1264 01/15/2049 | 0.00% |
| JPY/USD 02/17/2021 CITI | 0.00% |
| JPY/USD 02/17/2021 MSCIL | 0.00% |
| JPY/USD 02/17/2021 TDBK | 0.00% |
| JPY/USD 02/17/2021 WPAC | 0.00% |
| LBUBS 2007-C2 XW IO 00.3514 02/15/2040 | 0.00% |
| MLCFC 2006-4 XC IO P/P 144A 00.7405 12/12/2049 | 0.00% |
| NOK/USD 12/16/2020 MSCIL | 0.00% |
| SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA | 0.00% |
| WBCMT 2006-C29 IO IO 00.4582 11/15/2048 | 0.00% |
| 0.7805 R ISWP US0003M P 10/30/2030 | -0.00% |
| 2.3075 R ISWP FWD US0003M P 06/22/2052 | -0.00% |
| CHF/USD 12/16/2020 GSFX | -0.00% |
| CHF/USD 12/16/2020 RBSF | -0.00% |
| CNH/USD 02/18/2021 BANKAM | -0.00% |
| CNH/USD 02/18/2021 JPMCB | -0.00% |
| CNH/USD 02/18/2021 WPAC | -0.00% |
| EUR/USD 12/16/2020 GSFX | -0.00% |
| EUR/USD 12/16/2020 TDBK | -0.00% |
| GBP/USD 12/16/2020 CITI | -0.00% |
| HKD/USD 02/17/2021 SSBT | -0.00% |
| JPY/USD 02/17/2021 GSFX | -0.00% |
| JPY/USD 02/17/2021 JPMCB | -0.00% |
| JPY/USD 02/17/2021 SSBT | -0.00% |
| NZD/USD 01/20/2021 HSBCB | -0.00% |
| -0.15 R ISWP FWD EUR006M P 12/16/2030 | -0.00% |
| 0.8855 R ISWP US0003M P 11/27/2030 | -0.00% |
| 0.921 R ISWP US0003M P 11/16/2030 | -0.00% |
| CHF/USD 12/16/2020 HSBCB | -0.00% |
| CNH/USD 02/18/2021 GSFX | -0.00% |
| CNH/USD 02/18/2021 HSBCB | -0.00% |
| NZD/USD 01/20/2021 WPAC | -0.00% |
| SEK/USD 12/16/2020 TDBK | -0.00% |
| SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS | -0.00% |
| SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA | -0.00% |
| TWD/USD 02/17/2021 JPMCB | -0.00% |
| 0.97164 R ISWP US0003M P 11/12/2030 | -0.00% |
| 0.9745 R ISWP US0003M P 11/12/2030 | -0.00% |
| 0.977 R ISWP US0003M P 11/12/2030 | -0.00% |
| 0.97881 R ISWP US0003M P 11/12/2030 | -0.00% |
| 1.192 R ISWP US0003M P 11/09/2050 | -0.00% |
| AUD/USD 01/20/2021 JPMCB | -0.00% |
| AUD/USD 01/20/2021 WPAC | -0.00% |
| CAD/USD 01/20/2021 CSI-FX | -0.00% |
| CHF/USD 12/16/2020 SSBT | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.00% |
| INR/USD 02/17/2021 HSBCB | -0.00% |
| INR/USD 02/17/2021 JPMCB | -0.00% |
| JPY/USD 02/17/2021 BANKAM | -0.00% |
| SEK/USD 12/16/2020 CITI | -0.00% |
| 0.20 R ISWP FWD SONIA P 12/16/2030 | -0.00% |
| 1.27 R ISWP FWD US0003M P 01/27/2047 | -0.00% |
| AUD/USD 01/20/2021 GSFX | -0.00% |
| AUD/USD 01/20/2021 RBSF | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.00% |
| EUR/USD 12/16/2020 BCAP-FX | -0.00% |
| EUR/USD 12/16/2020 CSI-FX | -0.00% |
| MXN/USD 01/20/2021 BANKAM | -0.00% |
| NZD/USD 01/20/2021 TDBK | -0.00% |
| 0.7505 R ISWP US0003M P 10/16/2030 | -0.00% |
| 0.85 R ISWP FWD AUDBB6M P 12/16/2030 | -0.00% |
| CAD/USD 01/20/2021 JPMCB | -0.00% |
| SEK/USD 12/16/2020 RBSF | -0.00% |
| SWPTN 3MX5Y R 0.418 USD 01/13/2021 BC | -0.00% |
| 0.95 R ISWP FWD NOKOIB6M P 12/16/2030 | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| EUR/USD 12/16/2020 JPMCB | -0.01% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.01% |
| SEK/USD 12/16/2020 BCAP-FX | -0.01% |
| TWD/USD 02/17/2021 GSFX | -0.01% |
| 0.60 R ISWP FWD NFIX3MID P 12/16/2030 | -0.01% |
| 2.184 R ISWP FWD US0003M P 12/07/2030 | -0.01% |
| AUD/USD 01/20/2021 BANKAM | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CAD/USD 01/20/2021 BANKAM | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| IOS.FN30.400.10 P USL1M R 01/12/41 CS | -0.01% |
| NZD/USD 01/20/2021 BANKAM | -0.01% |
| SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA | -0.01% |
| CAD/USD 01/20/2021 TDBK | -0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| EUR/USD 12/16/2020 SSBT | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| IOS.FN30.350.12 P USL1M R 01/12/43 BC | -0.01% |
| NOK/USD 12/16/2020 SSBT | -0.01% |
| IOS.FN30.400.13 P USL1M R 01/12/44 JP | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.01% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.02% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | -0.02% |
| NZD/USD 01/20/2021 GSFX | -0.02% |
| NZD/USD 01/20/2021 RBSF | -0.02% |
| EUR/USD 12/16/2020 CITI | -0.02% |
| AUD/USD 01/20/2021 PSBS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| NZD/USD 01/20/2021 CITI | -0.02% |
| 215600 KS P US0001M R 12/15/25 GS | -0.02% |
| AUD/USD 01/20/2021 UBS | -0.02% |
| IOS.FN30.400.14 P USL1M R 01/12/45 JP | -0.02% |
| IOS.FN30.350.12 P USL1M R 01/12/43 GS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| IOS.FN30.300.13 P USL1M R 01/12/44 GS | -0.03% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.03% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.05% |
| EBIX US P R 07/05/22 CI | -0.06% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.07% |
| IOS.FN30.400.14 P US0001M R 01/12/45 JP | -0.07% |
| OSIS US P R 07/05/22 CI | -0.07% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.08% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.08% |
| MBX.FN30.600.08 P USL1M R 01/12/39 BC | -0.10% |
| ZYXI US P US0001M R 07/05/22 CI | -0.10% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG | -0.10% |
| SWI US P US0001M R 07/05/22 CI | -0.11% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.12% |
| ACIW US P R 07/05/22 CI | -0.13% |
| EPC US P US0001M R 07/05/22 CI | -0.14% |
| PBH US P US0001M R 07/05/22 CI | -0.14% |
| BGS US P R 07/05/22 CI | -0.14% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.15% |
| BEAT US P US0001M R 07/05/22 CI | -0.15% |
| QLYS US P US0001M R 07/05/22 CI | -0.16% |
| PS US P US0001M R 07/05/22 CI | -0.16% |
| BRKR US P US0001M R 07/05/22 CI | -0.16% |
| TPIC US P US0001M R 07/05/22 CI | -0.16% |
| WDFC US P US0001M R 07/05/22 CI | -0.16% |
| SVMK US P US0001M R 07/05/22 CI | -0.17% |
| DY US P R 07/05/22 CI | -0.17% |
| PDCO US P R 07/05/22 CI | -0.18% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.18% |
| OTEX US P US0001M R 12/15/25 GS | -0.20% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.20% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.22% |
| XP US P US0001M R 07/05/22 CI | -0.23% |
| CMPR US P US0001M R 07/05/22 CI | -0.25% |
| ENR US P R 07/05/22 CI | -0.26% |
| STOR US P US0001M R 07/05/22 CI | -0.26% |
| PB US P US0001M R 07/05/22 CI | -0.30% |
| VRT US P US0001M R 07/05/22 CI | -0.30% |
| SKX US P US0001M R 07/05/22 CI | -0.32% |
| OSK US P US0001M R 07/05/22 CI | -0.33% |
| CDX CDX.NA.HY.35 500.0 12/20/2025 | -0.46% |
| ELAN US P US0001M R 07/05/22 CI | -0.49% |
| BHC US P R 07/05/22 CI | -0.51% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.52% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.56% |
| BYND US P US0001M R 07/05/22 CI | -0.56% |
| HZNP US P US0001M R 07/05/22 CI | -0.57% |
| TSLA US P R 07/05/22 CI | -0.61% |
| RL US P US0001M R 07/05/22 CI | -0.63% |
| LUMN US P US0001M R 07/05/22 CI | -0.66% |
| AAXN US P US0001M R 07/05/22 CI | -0.69% |
| WAB US P R 07/05/22 CI | -0.71% |
| EVBG US P US0001M R 07/05/22 CI | -0.88% |
| MIDD US P US0001M R 07/05/22 CI | -1.01% |
| FIVE US P US0001M R 07/05/22 CI | -1.02% |
| AAP US P US0001M R 07/05/22 CI | -1.02% |
| MSCI EAFE DEC20 MFSZ0 | -1.06% |
| PLUG US P US0001M R 07/05/22 CI | -1.08% |
| ILMN US P US0001M R 07/05/22 CI | -1.11% |
| RH US P US0001M R 07/05/22 CI | -1.19% |
| STX US P US0001M R 12/15/25 GS | -1.22% |
| FSLR US P US0001M R 07/05/22 CI | -1.29% |
| CTXS US P US0001M R 07/05/22 CI | -1.41% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -1.42% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -1.64% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -1.90% |
| US 10YR ULTRA FUT MAR21 UXYH1 | -2.60% |
| NDUEEGF P US0001M R 11/02/21 CS | -6.42% |
| NDUEEGF P US0001M R 11/02/21 UB | -6.42% |
| S&P500 EMINI FUT DEC20 ESZ0 | -10.75% |
| RU10INTR P US0003M R 06/20/23 BA | -23.11% |
| GSGLPWDS P US0001M R 12/15/25 GS | -23.55% |
| US 2YR NOTE (CBT) MAR21 TUH1 | -39.52% |
| SPTR P US0001M R 05/22/23 UB | -44.10% |
| US 10YR NOTE (CBT)DEC20 TYZ0 | 71.56% |
|---|---|
| UBSPUSER R US0001M P 05/22/23 UB | 38.22% |
| CGPUTQL2 R US0003M P 06/10/21 CI | 37.50% |
| GSGLPWDL R US0001M P 12/15/25 GS | 34.89% |
| MLFCF15 R US0003M P 06/20/23 BA | 32.71% |
| GSGLPW2L R US0001M P 12/15/25 GS | 26.85% |
| JPCMPTFL R US0001M P 10/29/21 JP | 19.98% |
| FNMA FN30 TBA UMBS 03.5000 11/01/2050 | 7.82% |
| FNMA FN30 TBA UMBS 02.0000 12/01/2050 | 7.23% |
| FNMA FN30 TBA UMBS 04.0000 11/01/2050 | 6.57% |
| GSISXT27 R 0.2 P 12/15/20 GS | 4.24% |
| GSVIUS85 R 0.45 P 12/15/20 GS | 3.52% |
| TREASURY BILL 00.0000 11/17/2020 | 3.08% |
| GSGLPHCL R US0001M P 12/15/25 GS | 2.74% |
| FNMA FN30 TBA UMBS 03.5000 12/01/2050 | 2.65% |
| GSVIUS85 R 0.45 P 12/15/25 GS | 2.52% |
| CITI COMMOD F3-F0 4X LEVERED INDEX 3X NOTE 1/25/2021 | 2.33% |
| BAML COMMODITY MLBX4SX6 ER STRATEGY 3X 144A NOTE 1/12/2021 | 2.20% |
| TREASURY BILL 00.0000 12/15/2020 | 1.88% |
| GSVIVV69 R 0.3 P 12/15/20 GS | 1.84% |
| MATERIALS SELECT SECTOR SPDR SEDOL 2436841 | 1.83% |
| TREASURY BILL 00.0000 11/19/2020 | 1.78% |
| CONSUMER STAPLES SPDR SEDOL 2369389 | 1.77% |
| CITI CROSS-ASSET TREND 10% VOL INDEX | 1.75% |
| CONSUMER DISCRETIONARY SELT SEDOL 2424341 | 1.70% |
| COMM SERV SELECT SECTOR SPDR SEDOL BFXHC51 | 1.68% |
| TECHNOLOGY SELECT SECT SPDR SEDOL 2369709 | 1.66% |
| HEALTH CARE SELECT SECTOR SEDOL 2371823 | 1.63% |
| SAMSUNG ELECTRONICS CO LTD SEDOL 6771720 | 1.61% |
| FNMA FN30 TBA UMBS 02.5000 12/01/2050 | 1.57% |
| ALIBABA GROUP HOLDING LTD SEDOL BK6YZP5 | 1.50% |
| TENCENT HOLDINGS LTD SEDOL BMMV2K8 | 1.46% |
| TREASURY BILL 00.0000 12/08/2020 | 1.42% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 1.36% |
| TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382 | 1.21% |
| ALIBABA GROUP HOLDING-SP ADR SEDOL BP41ZD1 | 1.14% |
| FNMA FN30 TBA UMBS 01.5000 12/01/2050 | 1.14% |
| GSVICUB3 R 0.45 P 12/15/20 GS | 1.08% |
| FED HOME LN DISCOUNT NT 313384S83 GDC 12/11/2020 | 1.07% |
| GSVICUB3 R 0.45 P 12/15/25 GS | 0.93% |
| TREASURY BILL 00.0000 12/10/2020 | 0.83% |
| FNMA FN30 TBA UMBS 03.0000 11/01/2050 | 0.79% |
| S&P GSCI INDEX ER **INVERSE** | 0.77% |
| JD.COM INC-ADR SEDOL BMM27D9 | 0.74% |
| GNMA GII30 TBA 04.0000 11/01/2050 | 0.67% |
| GSVIVVOL R 0.3 P 12/15/20 GS | 0.66% |
| AUSTRALIA & NEW ZEALAND BANKI 05253AMG2 DCP 12/16/2020 | 0.63% |
| CRC FUNDING LLC 12619TM84 DCP 12/08/2020 | 0.63% |
| FED HOME LN DISCOUNT NT 313384R76 GDC 12/02/2020 | 0.63% |
| LIBERTY STREET FUNDING LLC 53127TM83 DCP 12/08/2020 | 0.63% |
| MANHATTAN ASSET FUNDING CO LL 56274LLG7 DCP 11/16/2020 | 0.63% |
| NESTLE FINANCE INTERNATIONAL 64106GMH3 DCP 12/17/2020 | 0.63% |
| OLD LINE FUNDING LLC 67984XGX8 DCP 12/21/2020 | 0.63% |
| INFOSYS LTD SEDOL 6205122 | 0.63% |
| PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 | 0.60% |
| NATIONWIDE BUILDING SOCIETY 6385E0L27 DCP 11/02/2020 | 0.60% |
| NATIONWIDE BUILDING SOCIETY 6385E0M91 DCP 12/09/2020 | 0.56% |
| TATA CONSULTANCY SVS LTD SEDOL B01NPJ1 | 0.56% |
| TREASURY BILL 00.0000 12/03/2020 | 0.55% |
| NRW BANK 62939LLC1 DCP 11/12/2020 | 0.53% |
| FNMA FN30 TBA UMBS 02.5000 11/01/2050 | 0.52% |
| YUM CHINA HOLDINGS INC SEDOL BYW4289 | 0.52% |
| BARCLAYS BANK PLC CCP 06742VUJ8 DCP 11/19/2020 | 0.50% |
| FMS WERTMANAGEMENT 34411GL61 DCP 11/06/2020 | 0.50% |
| KWEICHOW MOUTAI CO LTD 144A/REGS WARRANT 10/01/2021 | 0.48% |
| SHENZHEN MINDRAY BIO-MEDICAL ELEC CO LTD 144A/REGS | 0.48% |
| KB FINANCIAL GROUP INC SEDOL B3DF0Y6 | 0.48% |
| COUNTRY GARDEN SERVICES HOLD SEDOL BDQZP48 | 0.47% |
| NETEASE INC-ADR SEDOL 2606440 | 0.47% |
| SOUTHERN COPPER CORP SEDOL 2823777 | 0.47% |
| SANY HEAVY INDUSTRY CO LTD 144A REGS WARRANT 12/21/2020 | 0.46% |
| CDX CDX.EM.34 100.0 12/20/2025 | 0.46% |
| AES CORP/THE 05.5000 04/15/2025 | 0.46% |
| LG ELECTRONICS INC SEDOL 6520739 | 0.45% |
| HANA FINANCIAL GROUP SEDOL B0RNRF5 | 0.44% |
| NRG ENERGY INC. 07.2500 05/15/2026 | 0.44% |
| ADVANCED INFO SERVICE-FOR RG SEDOL 6412591 | 0.43% |
| FNMA FN30 TBA UMBS 05.5000 11/01/2050 | 0.42% |
| POLY DEVELOPMENTS AND HOLD 144A/REGS WARRANT 07/29/2021 | 0.40% |
| ANHUI CONCH CEMENT CO LTD-H SEDOL 6080396 | 0.40% |
| DR REDDYS LABS SEDOL 6410959 | 0.40% |
| VALE SA-SP ADR SEDOL 2857334 | 0.39% |
| UNITED MICROELECTRONICS CORP SEDOL 6916628 | 0.39% |
| MIZUHO BANK LTD/NEW YORK NY 60689FLG1 DCP 11/16/2020 | 0.38% |
| CHAROEN POKPHAND FOOD-FORGN SEDOL B5L2DG6 | 0.37% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.36% |
| MMC NORILSK NICKEL PJSC-ADR SEDOL BYSW6D0 | 0.34% |
| CEMEX P/P 144A 05.7000 01/11/2025 | 0.33% |
| CAS 2016-C02 1B 12.3993 09/25/2028 | 0.33% |
| AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 | 0.32% |
| HINDUSTAN UNILEVER LTD SEDOL 6261674 | 0.31% |
| SCIENTIFIC GAMES TLB5 L+275 02.8978 08/14/2024 | 0.30% |
| TOP GLOVE CORP BHD SEDOL B05L892 | 0.29% |
| ZHONGSHENG GROUP HOLDINGS SEDOL B633D97 | 0.29% |
| REALTEK SEMICONDUCTOR CORP SEDOL 6051422 | 0.28% |
| BF0101 03.5000 06/01/2056 | 0.27% |
| FNMA FN30 TBA UMBS 04.5000 11/01/2050 | 0.27% |
| BANK OF SHANGHAI 144A/REGS WARRANT 12/02/2020 | 0.27% |
| ANGLO AMERICAN PLATINUM LTD SEDOL 6761000 | 0.26% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.26% |
| CNOOC LTD SEDOL B00G0S5 | 0.26% |
| ICAHN ENTERPRISES/FI 06.2500 02/01/2022 | 0.25% |
| WIPRO LTD SEDOL 6206051 | 0.25% |
| FUBON FINANCIAL HOLDING CO SEDOL 6411673 | 0.25% |
| HUNDSUN TECHNOLOGIES INC 144A/REGS WARRANT 07/29/2021 | 0.25% |
| CHINA MINSHENG BANKING COR-H SEDOL B57JY24 | 0.24% |
| GLOBALWAFERS CO LTD SEDOL BS7JP33 | 0.24% |
| VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 | 0.24% |
| LUKOIL PJSC-SPON ADR SEDOL BYZDW27 | 0.24% |
| MSC 2006-HQ10 B 05.4480 11/12/2041 | 0.23% |
| SUOFEIYA HOME COLLECTION C-A 144A/REGS WARRANT 10/28/2021 | 0.23% |
| BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4 | 0.23% |
| CHAILEASE HOLDING CO LTD SEDOL B58J1S8 | 0.21% |
| PARADE TECHNOLOGIES LTD SEDOL B6RV676 | 0.21% |
| HARTALEGA HOLDINGS BHD SEDOL B2QPJK5 | 0.21% |
| RISESUN REAL ESTATE DEV-A 144A/REGS WARRANT 11/02/2021 | 0.20% |
| FNR 2017-8 SB IO 05.9508 02/25/2047 | 0.20% |
| FNR 2017-74 SA IO 05.6008 10/25/2047 | 0.20% |
| QUANTA COMPUTER INC SEDOL 6141011 | 0.20% |
| CHINA RESOURCES CEMENT SEDOL B41XC98 | 0.19% |
| MBX.FN30.500.09 R USL1M P 01/12/40 BC | 0.19% |
| PPD TL L+250 03.5000 08/18/2022 | 0.19% |
| DAELIM INDUSTRIAL CO LTD SEDOL 6249584 | 0.18% |
| FHS 315 PO PO 00.0000 09/15/2043 | 0.18% |
| MWST 2019-1 A 00.9493 06/25/2052 | 0.18% |
| RADIANT OPTO-ELECTRONICS COR SEDOL 6520278 | 0.18% |
| CHINA FEIHE LTD SEDOL BK0SBL1 | 0.18% |
| JPMBB 2014-C18 D P/P 144A 04.8102 02/15/2047 | 0.18% |
| FHR 3852 NT 05.8516 05/15/2041 | 0.17% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | 0.17% |
| KIA MOTORS CORP SEDOL 6490928 | 0.17% |
| NIEN MADE ENTERPRISE CO LTD SEDOL BSZLN15 | 0.17% |
| MSBAM 2013-C10 D P/P 144A 04.0818 07/15/2046 | 0.17% |
| IVORY COAST REGS 06.1250 06/15/2033 | 0.17% |
| GNR 2015-H20 CI IO 02.1903 08/20/2065 | 0.16% |
| SEEGENE INC SEDOL B679Q36 | 0.16% |
| STACR 2016-DNA1 B 10.1481 07/25/2028 | 0.16% |
| FOSHAN HAITIAN FLAVOURING & FOOD 144A/REGS WARRANT 03/12/202 | 0.16% |
| REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033 | 0.16% |
| SPY 20211015 P 275.00BANKAM | 0.16% |
| GNR 2017-H11 NI IO 02.4258 05/20/2067 | 0.16% |
| GRUPO FINANCIERO GALICIA-ADR SEDOL 2613570 | 0.15% |
| SPST 2020-2 A 00.9793 03/26/2021 | 0.15% |
| TALBOTS TLB L+700 07.2204 11/28/2022 | 0.15% |
| HYUNDAI MOBIS CO LTD SEDOL 6449544 | 0.15% |
| GNR 2015-H25 BI IO 02.1340 10/20/2065 | 0.15% |
| DINO POLSKA SA SEDOL BD0YVN2 | 0.15% |
| SINOTRUK HONG KONG LTD SEDOL B296ZH4 | 0.15% |
| REPUBLIC OF INDONESIA REGS 05.8750 01/15/2024 | 0.14% |
| JIANGSU HENGLI HYDRAULIC C-A 144A/REGS WARRANT 03/23/2022 | 0.14% |
| GNR 2016-H02 BI IO 03.0518 11/20/2065 | 0.14% |
| KUMBA IRON ORE LTD SEDOL B1G4262 | 0.14% |
| TECH MAHINDRA LTD SEDOL BWFGD63 | 0.14% |
| ORTHO-CLINICAL TLB L+325 03.3903 06/30/2025 | 0.14% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.14% |
| FNMA FN30 AL6919 UMBS 05.5000 01/01/2038 | 0.14% |
| GNR 2015-H19 NI IO 01.9238 07/20/2065 | 0.14% |
| GNR 2015-H10 CI IO 01.8161 04/20/2065 | 0.13% |
| JPMBB 2013-C14 E P/P 144A 04.7018 08/15/2046 | 0.13% |
| SHRP 2020-1 NOTE 03.1250 07/25/2024 | 0.13% |
| SPY 20210820 P 275.00CITI | 0.12% |
| SHANDONG BUCHANG PHARMACEUTICALS CO LTD 144A/REGS WARRANT 12 | 0.12% |
| DIAMOND RESORTS TLB L+375 04.7500 09/02/2023 | 0.12% |
| HELLENIC TELECOMMUN ORGANIZA SEDOL 5051605 | 0.12% |
| CAS 2015-C04 1M2 05.8493 04/25/2028 | 0.12% |
| GNR 2015-H09 BI IO 01.7011 03/20/2065 | 0.12% |
| UNIVISION TLB L+375 04.7500 03/24/2026 | 0.12% |
| LITE-ON TECHNOLOGY CORP SEDOL 6519481 | 0.12% |
| LOGAN GROUP CO LTD SEDOL BH6X937 | 0.12% |
| GNR 2015-H24 HI IO 02.0454 09/20/2065 | 0.12% |
| HYPERA SA SEDOL B2QY968 | 0.12% |
| COM7 PCL-F SEDOL BZ2YN49 | 0.11% |
| GNR 2015-H25 AI IO 01.6310 09/20/2065 | 0.11% |
| SPY 20210917 P 270.00JPMCB | 0.11% |
| CROWN CASTLE INTL CORP 03.1500 07/15/2023 | 0.11% |
| GNR 2015-H15 JI IO 01.9701 06/20/2065 | 0.11% |
| GNR 2015-H16 XI IO 02.4464 07/20/2065 | 0.11% |
| CIA DE TRANSMISSAO DE ENE-PF SEDOL 2440972 | 0.11% |
| GOLDEN NUGGET TL L+250 04.0811 10/04/2023 | 0.11% |
| WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3 | 0.11% |
| TRANSDIGM INC TLF L+225 03.9094 12/09/2025 | 0.11% |
| FNR 2015-28 IO IO 05.5000 05/25/2045 | 0.11% |
| GNR 2014-H21 AI IO 02.2587 10/20/2064 | 0.11% |
| CTBC FINANCIAL HOLDING CO LT SEDOL 6527666 | 0.11% |
| GNR 2016-H03 AI IO 03.3229 01/20/2066 | 0.10% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS | 0.10% |
| GNR 2015-H22 GI IO 02.5963 09/20/2065 | 0.10% |
| PRESIDENT CHAIN STORE CORP SEDOL 6704986 | 0.10% |
| MEITUAN-CLASS B SEDOL BGJW376 | 0.10% |
| GNR 2015-H26 EI IO 01.7317 10/20/2065 | 0.10% |
| MRAIT 2020-2 A2 | 0.10% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | 0.10% |
| GNR 2014-2 IC IO 05.0000 01/16/2044 | 0.10% |
| GNR 2015-H09 AI IO 03.2229 04/20/2065 | 0.10% |
| WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 | 0.10% |
| GNR 2015-H25 EI IO 01.8655 10/20/2065 | 0.09% |
| GNR 2016-H23 NI IO 02.6167 10/20/2066 | 0.09% |
| SAMI 2007-AR1 2A1 00.3293 01/25/2037 | 0.09% |
| GNR 2015-H26 GI IO 01.8147 10/20/2065 | 0.09% |
| BANCO MACRO SA-ADR SEDOL B0Y62M9 | 0.09% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.09% |
| PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 | 0.09% |
| BSCMS 2007-T26 AJ 05.4320 01/12/2045 | 0.09% |
| BURSA MALAYSIA BHD SEDOL B06FV38 | 0.09% |
| CASH MGMT BILL 00.0000 01/19/2021 | 0.09% |
| BAML COMMODITY MLBX4SX6 ER STRATEGY 3X NOTE 9/2/2021 | 0.09% |
| ALLY FINANCIAL INC 05.7500 11/20/2025 | 0.09% |
| CHINA SHENHUA ENERGY CO-H SEDOL B09N7M0 | 0.09% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.09% |
| SAMSUNG ENGINEERING CO LTD SEDOL 6765239 | 0.09% |
| SPY 20210716 P 255.00CITI | 0.09% |
| ORION CORP/REPUBLIC OF KOREA SEDOL BDVLJ72 | 0.08% |
| SEAZEN HOLDINGS CO 144A/REGS WARRANT 05/06/2021 | 0.08% |
| CMLTI 2007-AMC3 A2D 00.4993 03/25/2037 | 0.08% |
| FNR 2016-3 NI IO 06.0000 02/25/2046 | 0.08% |
| FENG TAY ENTERPRISE CO LTD SEDOL 6336055 | 0.08% |
| GNR 2016-H04 KI IO 03.0194 02/20/2066 | 0.08% |
| GNR 2016-H08 GI IO 01.4431 04/20/2066 | 0.08% |
| FNR 2011-4 CS 12.6015 05/25/2040 | 0.08% |
| SPY 20210618 P 250.00JPMCB | 0.08% |
| SYNNEX TECHNOLOGY INTL CORP SEDOL 6868439 | 0.08% |
| TAISHIN FINANCIAL HOLDING SEDOL 6451680 | 0.08% |
| DOMINICAN REPUBLIC REGS 05.9500 01/25/2027 | 0.08% |
| GNR 2015-53 MI IO 04.0000 04/16/2045 | 0.08% |
| GNR 2018-91 SJ IO 06.0986 07/20/2048 | 0.08% |
| COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 | 0.08% |
| UNITED INTEGRATED SERVICES SEDOL 6105136 | 0.08% |
| BSCMS 2005-PWR7 D 05.2638 02/11/2041 | 0.08% |
| GNR 2017-H02 BI IO 02.3519 01/20/2067 | 0.08% |
| ECOPETROL SA-SPONSORED ADR SEDOL B3D6J19 | 0.08% |
| GNR 2015-H14 BI IO 01.5760 05/20/2065 | 0.08% |
| PLDT INC SEDOL BDGN274 | 0.08% |
| TISCO FINANCIAL-FOREIGN SEDOL B3KFW76 | 0.08% |
| GNR 2016-150 I IO 05.0000 11/20/2046 | 0.07% |
| GNR 2015-80 IA IO 04.5000 06/20/2045 | 0.07% |
| GNR 2016-H07 HI IO 03.0927 02/20/2066 | 0.07% |
| PEGATRON CORP SEDOL B4PLX17 | 0.07% |
| VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 | 0.07% |
| GNR 2017-H14 DI IO 01.7264 06/20/2067 | 0.07% |
| STACR 2018-HQA2 B1 04.3993 10/25/2048 | 0.07% |
| ZOOMLION HEAVY INDUSTRY - H SEDOL B544N70 | 0.07% |
| GNR 2015-H24 BI IO 01.6220 08/20/2065 | 0.07% |
| MARFRIG GLOBAL FOODS SA SEDOL B1YWHR4 | 0.07% |
| SPST 2020-13 A 01.6493 10/10/2021 | 0.07% |
| BSCMS 2005-PWR7 C 05.2350 02/11/2041 | 0.07% |
| SPST 2020-15 A 00.0000 12/10/2021 | 0.07% |
| FNR 2018-58 IO IO 05.5000 08/25/2048 | 0.07% |
| MSBAM 2013-C11 F P/P 144A 04.3524 08/15/2046 | 0.07% |
| LUENMEI QUANTUM CO LTD 144A/REGS WARRANT 12/02/2021 | 0.07% |
| WAMU 2005-AR14 1A2 03.3725 12/25/2035 | 0.06% |
| GNR 2015-H26 DI IO 02.8367 10/20/2065 | 0.06% |
| REPUBLIC OF SOUTH AFRICA USD 04.8500 09/27/2027 | 0.06% |
| ARAB REP OF EGYPT P/P 144A 07.0529 01/15/2032 | 0.06% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS | 0.06% |
| FHLMC FR30 ZA4291 UMBS 03.5000 08/01/2043 | 0.06% |
| FHR 4568 MI IO 04.0000 04/15/2046 | 0.06% |
| FNMA FN30 AB7936 UMBS 03.0000 02/01/2043 | 0.06% |
| FNMA FN30 AU1625 UMBS 03.5000 07/01/2043 | 0.06% |
| SPST 2020-WL1 A 01.2993 06/25/2051 | 0.06% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.06% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CS | 0.06% |
| RACKSPACE HOSTING INC L+300 04.0000 11/03/2023 | 0.06% |
| HENGAN INTL GROUP CO LTD SEDOL 6136233 | 0.06% |
| INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979 | 0.06% |
| SPY 20210521 P 235.00BANKAM | 0.06% |
| GNR 2016-H16 DI IO 02.6445 06/20/2066 | 0.06% |
| MWST 2020-1 A 01.0493 10/25/2053 | 0.06% |
| SCRT 2019-4 M 04.5000 02/25/2059 | 0.06% |
| 0.45 R ISWP FWD SOFRRATE P 12/16/2030 | 0.06% |
| GSMS 2014-GC24 D P/P 144A 04.5316 09/10/2047 | 0.06% |
| CAS 2017-C06 2B1 04.5993 02/25/2030 | 0.06% |
| FNMA FN30 AR6852 UMBS 03.0000 02/01/2043 | 0.06% |
| GNR 2015-H10 EI IO 01.6288 04/20/2065 | 0.06% |
| SIME DARBY BERHAD SEDOL B29TTR1 | 0.06% |
| WBCMT 2005-C21 E P/P 144A 05.0989 10/15/2044 | 0.06% |
| CHINA YUHUA EDUCAT SEDOL BYWPGC4 | 0.05% |
| HAITIAN INTERNATIONAL HLDGS SEDOL B1L2RC2 | 0.05% |
| WFCM 2013-LC12 D P/P 144A 04.2751 07/15/2046 | 0.05% |
| 0.70 R ISWP FWD US0003M P 12/16/2030 | 0.05% |
| GNR 2014-104 IO IO 04.0000 03/20/2042 | 0.05% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.05% |
| FNR 2012-124 UI IO 04.0000 11/25/2042 | 0.05% |
| UNITED MEXICAN STATES USD 03.2500 04/16/2030 | 0.05% |
| DIALOG GROUP BHD SEDOL B00MRS2 | 0.05% |
| FHLMC FR30 ZA4202 UMBS 03.0000 03/01/2043 | 0.05% |
| MSC 2011-C3 G P/P 144A 05.2443 07/15/2049 | 0.05% |
| FNMA FN30 AO5471 UMBS 03.5000 06/01/2042 | 0.05% |
| COMMERCIAL INTL BANK-GDR REG SEDOL 5668287 | 0.05% |
| KT CORP SEDOL 6505316 | 0.05% |
| FAR EASTONE TELECOMM CO LTD SEDOL 6421854 | 0.05% |
| TOFAS OTOMOBIL FAB SEDOL B03MY33 | 0.05% |
| TOWNSQUARE MEDIA INC P/P 144A 06.5000 04/01/2023 | 0.05% |
| WELBILT TLB L+250 02.6478 10/23/2025 | 0.05% |
| DOMINICAN REPUBLIC REGS 06.8750 01/29/2026 | 0.04% |
| BSCMS 2006-PW11 B P/P 144A 05.5182 03/11/2039 | 0.04% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.04% |
| GNR 2016-H11 HI IO 02.1025 01/20/2066 | 0.04% |
| REP OF INDONESIA P/P 144A 04.7500 01/08/2026 | 0.04% |
| BIM BIRLESIK MAGAZALAR AS SEDOL B0D0006 | 0.04% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML | 0.04% |
| FHR 3747 SA IO 06.3516 10/15/2040 | 0.04% |
| WFRBS 2013-C15 D P/P 144A 04.4935 08/15/2046 | 0.04% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.04% |
| GNR 2015-H18 IA IO 01.8573 06/20/2065 | 0.04% |
| GNR 2016-49 IO IO 04.5000 11/16/2045 | 0.04% |
| CAS 2017-C05 1B1 03.7493 01/25/2030 | 0.04% |
| GNR 2016-H04 HI IO 02.3831 07/20/2065 | 0.04% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.04% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.04% |
| GNR 2018-127 IC IO 05.0000 10/20/2044 | 0.04% |
| HONG LEONG BANK BERHAD SEDOL 6436892 | 0.04% |
| PETRONAS GAS BHD SEDOL 6703972 | 0.04% |
| MBX.FN30.500.10 R USL1M P 01/12/41 GS | 0.04% |
| STATE OF QATAR P/P 144A 03.7500 04/16/2030 | 0.04% |
| FHR 4389 IA IO 04.0000 09/15/2044 | 0.04% |
| NICE INFORMATION SERVICE CO SEDOL 6248332 | 0.04% |
| GNR 2015-167 BI IO 04.5000 04/16/2045 | 0.04% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.04% |
| REPUBLIC OF KENYA REGS 08.0000 05/22/2032 | 0.04% |
| CWALT 2006-OA10 1A1 01.8425 08/25/2046 | 0.04% |
| GNR 2015-187 JI IO 04.0000 03/20/2045 | 0.04% |
| ARAB REP OF EGYPT P/P 144A 05.7500 05/29/2024 | 0.04% |
| FHR 4134 PI IO 03.0000 11/15/2042 | 0.04% |
| FHR 4158 TI IO 03.0000 12/15/2042 | 0.04% |
| USD/MXN PUT 20.50 20210416 GSFX | 0.04% |
| CAS 2017-C03 1B1 04.9993 10/25/2029 | 0.03% |
| IOS.FN30.400.14 R USL1M P 01/12/45 GS | 0.03% |
| SHANGHAI PUDONG DEV BANK 144A/REGS WARRANT | 0.03% |
| IHEARTCOMMUNICATIONS INC 08.3750 05/01/2027 | 0.03% |
| PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 | 0.03% |
| TECO ELECTRIC & MACHINERY SEDOL 6879851 | 0.03% |
| COMM 2014-CR17 D P/P 144A 04.8471 05/10/2047 | 0.03% |
| FNR 2017-48 LI IO 04.0000 05/25/2047 | 0.03% |
| GNR 2011-H08 GI IO 01.2704 03/20/2061 | 0.03% |
| PTT EXPLORATION & PROD-FOR SEDOL B1359J0 | 0.03% |
| EUR/USD 12/16/2020 JPMCB | 0.03% |
| GNR 2014-163 NI IO 05.0000 02/20/2044 | 0.03% |
| GNR 2017-99 AI IO 04.0000 01/20/2047 | 0.03% |
| MSBAM 2013-C11 E P/P 144A 04.3524 08/15/2046 | 0.03% |
| PRET 2020-RPL1 03.8194 05/27/2060 | 0.03% |
| PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 | 0.03% |
| TRANSDIGM INC TLE L+225 05/30/2025 | 0.03% |
| CPG INTL TL L+375 04.7500 05/05/2024 | 0.03% |
| CWHL 2005-3 1A1 00.7693 04/25/2035 | 0.03% |
| FHR 4136 IW IO 03.5000 10/15/2042 | 0.03% |
| FHR 4530 HI IO 04.0000 11/15/2045 | 0.03% |
| FNR 2014-47 IP IO 04.0000 03/25/2044 | 0.03% |
| GNR 2018-127 IB IO 04.5000 06/20/2045 | 0.03% |
| JPMCC 2012-C6 F P/P 144A 05.1521 05/15/2045 | 0.03% |
| JPMCC 2012-C6 G P/P 144A 02.9720 05/15/2045 | 0.03% |
| PRESS METAL ALUMINIUM HOLDIN SEDOL BF0J5S4 | 0.03% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.03% |
| COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 | 0.03% |
| FEDERAL GRID CO UNIFIED ENER SEDOL B39RR67 | 0.03% |
| FHR 4193 PI IO 04.0000 03/15/2043 | 0.03% |
| FRONTKEN CORP BHD SEDOL B18TLC4 | 0.03% |
| GNR 2015-H26 CI IO 00.5349 08/20/2065 | 0.03% |
| JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 | 0.03% |
| BBVA ARGENTINA SA-ADR SEDOL BKT4TC7 | 0.03% |
| DOMINICAN REPUBLIC REGS 06.5000 02/15/2048 | 0.03% |
| IHEARTMEDIA INC - CLASS A SEDOL BJVR9Y9 | 0.03% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.03% |
| IVORY COAST P/P 144A 05.2500 03/22/2030 | 0.03% |
| USD/CNH PUT 6.65 20210415 MSCIL | 0.03% |
| ARAB REPUBLIC OF EGYPT REGS 07.6003 03/01/2029 | 0.03% |
| GBP/USD 12/16/2020 SSBT | 0.03% |
| GNR 2012-145 IO IO 03.5000 12/20/2042 | 0.03% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 0.03% |
| AHM 2007-1 GA1C 00.3393 05/25/2047 | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.02% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML | 0.02% |
| ELECTRICITY GEN PUB CO-FOR R SEDOL 6304643 | 0.02% |
| GNR 2011-17 S IO 05.8986 02/20/2041 | 0.02% |
| OASIS PETROLEUM INC 06.8750 03/15/2022 | 0.02% |
| PETROLEOS MEXICANOS USD 07.6900 01/23/2050 | 0.02% |
| RALI 2006-QO10 A1 00.3093 01/25/2037 | 0.02% |
| BACM 2005-1 C 05.4820 11/10/2042 | 0.02% |
| BANK BTPN SYARIAH TBK PT SEDOL BFNBJ41 | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML | 0.02% |
| FNR 2013-21 AI IO 03.5000 03/25/2033 | 0.02% |
| QUALITAS CONTROLADORA SAB CV SEDOL BYMXF65 | 0.02% |
| RUENTEX DEVELOPMENT CO LTD SEDOL 6748423 | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| GNR 2011-H15 AI IO 01.5445 06/20/2061 | 0.02% |
| GNR 2012-8 PI IO 04.0000 05/20/2041 | 0.02% |
| FHR 4150 DI IO 03.0000 01/15/2043 | 0.02% |
| GNR 2012-47 CI IO 04.0000 03/20/2042 | 0.02% |
| GNR 2013-6 AI IO 03.5000 08/20/2039 | 0.02% |
| MHL 2004-1 M2 01.1543 11/25/2034 | 0.02% |
| STACR 2018-DNA2 B1 03.8493 12/25/2030 | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| FNR 2012-151 PI IO 03.0000 01/25/2043 | 0.02% |
| GNR 2013-79 XI IO 03.5000 11/20/2039 | 0.02% |
| IHEARTCOMMUNICATIONS INC 06.3750 05/01/2026 | 0.02% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.02% |
| RALI 2006-QO5 1A1 00.3643 05/25/2046 | 0.02% |
| REYNOLDS GROUP TL L+300 04.4628 02/05/2023 | 0.02% |
| CELLTRION INC SEDOL B0C5YV1 | 0.02% |
| EUR/USD 12/16/2020 BCAP-FX | 0.02% |
| FHR 4206 IP IO 03.0000 12/15/2041 | 0.02% |
| GNR 2017-132 IB IO 05.5000 09/20/2047 | 0.02% |
| GNR 2017-57 AI IO 04.0000 06/20/2045 | 0.02% |
| PROVINCIA DE BUENOS 34.0648 05/31/2022 | 0.02% |
| PUREGOLD PRICE CLUB INC SEDOL B725S29 | 0.02% |
| UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 | 0.02% |
| GNR 2013-151 IB IO 04.5000 02/20/2040 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 | 0.02% |
| STACR 2018-HQA2 B2 11.1493 10/25/2048 | 0.02% |
| WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 | 0.02% |
| CHINA BIOLOGIC PRODUCTS HOLD SEDOL BF0G7L2 | 0.02% |
| FNR 2012-104 QI IO 04.5000 05/25/2042 | 0.02% |
| FNR 2012-22 CI IO 04.0000 03/25/2041 | 0.02% |
| GNR 2010-20 UI IO 05.0000 02/20/2040 | 0.02% |
| GSAA 2007-6 1A1 00.2693 05/25/2047 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| KWG GROUP HOLDINGS LTD SEDOL B1YBF00 | 0.02% |
| SWPTN 3MX5Y P 0.418 USD 01/13/2021 BC | 0.02% |
| WFRBS 2012-C10 E P/P 144A 04.4277 12/15/2045 | 0.02% |
| ENDO DAC/ENDO FI P/P 144A 09.5000 07/31/2027 | 0.02% |
| FHR 2990 LB 16.5664 06/15/2034 | 0.02% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.02% |
| GNR 2018-127 IE IO 03.5000 01/20/2046 | 0.02% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.02% |
| FNR 2017-2 KI IO 04.0000 02/25/2047 | 0.02% |
| GNR 2015-24 IA IO 03.5000 02/20/2045 | 0.02% |
| MSC 2007-HQ11 C 05.5580 02/12/2044 | 0.02% |
| SAMI 2007-AR7 1A1 00.9993 05/25/2047 | 0.02% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.01% |
| ENDO DAC/ENDO FI P/P 144A 06.0000 06/30/2028 | 0.01% |
| EUR/USD 12/16/2020 SSBT | 0.01% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.01% |
| FNR 2014-10 IO IO 03.5000 08/25/2042 | 0.01% |
| IOS.FN30.400.13 R USL1M P 01/12/44 JP | 0.01% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.01% |
| MISC BHD SEDOL 6557997 | 0.01% |
| PETROLEOS MEXICANOS USD 05.9500 01/28/2031 | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.01% |
| FNR 2017-113 IO IO 05.0000 01/25/2038 | 0.01% |
| GCAT 2020-NQM2 A3 02.9350 04/25/2065 | 0.01% |
| GNR 2010-35 AI IO 04.5000 03/20/2040 | 0.01% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 0.01% |
| GNR 2012-50 PI IO 04.0000 12/20/2041 | 0.01% |
| GNR 2013-129 SN IO 05.9986 09/20/2043 | 0.01% |
| GNR 2013-99 VS IO 05.9543 07/16/2043 | 0.01% |
| GNR 2015-96 NI IO 03.5000 01/20/2039 | 0.01% |
| GNR 2017-160 AI IO 04.5000 10/20/2047 | 0.01% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.01% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.01% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.01% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.01% |
| STACR 2019-DNA1 M2 02.7993 01/25/2049 | 0.01% |
| WESTPORTS HOLDINGS BHD SEDOL BDFM1K8 | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS | 0.01% |
| GBP/USD 12/16/2020 UBS | 0.01% |
| GNMA GII30 BN1509 05.0000 05/20/2049 | 0.01% |
| GNR 2013-100 MI IO 03.5000 02/20/2043 | 0.01% |
| GNR 2013-24 PI IO 04.0000 11/20/2042 | 0.01% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.01% |
| AUD/USD PUT 0.695 20201118 BANKAM | 0.01% |
| BACM 2008-1 C P/P 144A 06.5669 02/10/2051 | 0.01% |
| CAS 2015-C03 2M2 05.1493 07/25/2025 | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.01% |
| FHR 4183 MI IO 03.0000 02/15/2042 | 0.01% |
| FHR 4355 DI IO 04.0000 03/15/2044 | 0.01% |
| GNR 2010-35 QI IO 04.5000 03/20/2040 | 0.01% |
| GNR 2010-35 UI IO 05.0000 03/20/2040 | 0.01% |
| PROVINCIA DE BUENOS AIRE REGS 07.8750 06/15/2027 | 0.01% |
| 0.35 R ISWP FWD US0003M P 12/16/2025 | 0.01% |
| CAS 2015-C02 2M2 04.1493 05/25/2025 | 0.01% |
| CAS 2017-C06 2M2 02.9493 02/25/2030 | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.01% |
| FNR 2013-6 BI IO 03.0000 12/25/2042 | 0.01% |
| GNMA GII30 BP7527 03.5000 10/20/2049 | 0.01% |
| GNR 2015-36 GI IO 03.5000 06/16/2041 | 0.01% |
| PROVINCIA DE BUENOS AIRE REGS 06.5000 02/15/2023 | 0.01% |
| STACR 2019-DNA3 B2 08.2993 07/25/2049 | 0.01% |
| AUD/USD 01/20/2021 SSBT | 0.01% |
| AUD/USD 01/20/2021 UBS | 0.01% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.01% |
| EUR/USD CALL 1.23 20210215 BANKAM | 0.01% |
| EUR/USD CALL 1.23 20210215 UBS | 0.01% |
| FHR 4369 IA IO 03.5000 07/15/2044 | 0.01% |
| FNR 2005-74 NK 26.7538 05/25/2035 | 0.01% |
| FNR 2013-35 IP IO 03.0000 06/25/2042 | 0.01% |
| GNR 2015-24 IC IO 03.5000 11/20/2037 | 0.01% |
| NOK/USD 12/16/2020 JPMCB | 0.01% |
| REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 | 0.01% |
| STEARNS HLDG LLC CLASS B WTS | 0.01% |
| AUD/USD CALL 0.76 20210311 HSBCB | 0.01% |
| CAS 2015-C04 2M2 05.6993 04/25/2028 | 0.01% |
| CLP/USD 01/20/2021 CITI | 0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML | 0.01% |
| EUR/USD 12/16/2020 TDBK | 0.01% |
| FHR 4213 GI IO 04.0000 11/15/2041 | 0.01% |
| FNR 2005-122 SE 22.5776 11/25/2035 | 0.01% |
| GNR 2009-121 BI IO 04.5000 12/16/2039 | 0.01% |
| GNR 2013-157 IA IO 03.5000 04/20/2040 | 0.01% |
| GNR 2015-124 NI IO 03.5000 06/20/2039 | 0.01% |
| KRW/USD 02/17/2021 JPMCB | 0.01% |
| PAR PHARMA INC P/P 144A 07.5000 04/01/2027 | 0.01% |
| PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 | 0.01% |
| PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 | 0.01% |
| USD/CAD PUT 1.285 20210127 GSFX | 0.01% |
| 0.85 R ISWP FWD AUDBB6M P 12/16/2030 | 0.01% |
| CLEAR CHANNEL OUTDOOR HOLDIN SEDOL BJHVCH9 | 0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG | 0.01% |
| EUR/USD CALL 1.23 20210301 MSCIL | 0.01% |
| FNMA FN30 BO0212 UMBS 04.5000 05/01/2049 | 0.01% |
| FNR 2012-136 PI IO 03.5000 11/25/2042 | 0.01% |
| FNR 2013-31 NI IO 03.0000 06/25/2041 | 0.01% |
| GNR 2012-106 QI IO 04.0000 07/20/2042 | 0.01% |
| GNR 2015-99 LI IO 04.0000 07/20/2045 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 CS | 0.01% |
| JPY/USD 11/18/2020 UBS | 0.01% |
| KRW/USD 02/17/2021 HSBCB | 0.01% |
| STACR 2019-DNA2 B2 10.6493 03/25/2049 | 0.01% |
| CAS 2015-C01 2M2 04.6993 02/25/2025 | 0.01% |
| EUR/USD 12/16/2020 CSI-FX | 0.01% |
| EUR/USD CALL 1.22 20210127 BANKAM | 0.01% |
| FHR 4073 AS IO 05.9016 08/15/2038 | 0.01% |
| GBP/USD 12/16/2020 CITI | 0.01% |
| GBP/USD 12/16/2020 MSCIL | 0.01% |
| GBP/USD PUT 1.23 20201218 BANKAM | 0.01% |
| GNMA GII30 BN1507 05.0000 05/20/2049 | 0.01% |
| GNMA GII30 BN1508 05.0000 05/20/2049 | 0.01% |
| GNMA GII30 BN1510 05.5000 05/20/2049 | 0.01% |
| GNR 2010-134 ES IO 05.8486 11/20/2039 | 0.01% |
| GNR 2013-183 AI IO 03.5000 10/20/2039 | 0.01% |
| GNR 2013-37 LI IO 03.5000 01/20/2042 | 0.01% |
| GNR 2014-63 PI IO 04.0000 07/20/2043 | 0.01% |
| SEK/USD 12/16/2020 BCAP-FX | 0.01% |
| WFRBS 2011-C4 E P/P 144A 05.2205 06/15/2044 | 0.01% |
| ADVANZ PHARMA CORP LTD SEDOL BG0RYR7 | 0.00% |
| AUD/USD 01/20/2021 RBSF | 0.00% |
| CAS 2015-C02 1M2 04.1493 05/25/2025 | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.00% |
| FNMA FN30 BN9825 UMBS 05.0000 05/01/2049 | 0.00% |
| FNMA FN30 BO0182 UMBS 05.0000 05/01/2049 | 0.00% |
| FNR 2013-23 PI IO 03.0000 10/25/2041 | 0.00% |
| FNR 2015-10 AI IO 03.5000 08/25/2043 | 0.00% |
| FNR 2015-73 PI IO 03.5000 10/25/2045 | 0.00% |
| GNMA GII30 BN1511 05.5000 05/20/2049 | 0.00% |
| GNMA GII30 BP7627 03.5000 11/20/2049 | 0.00% |
| GNR 2012-141 WI IO 03.5000 11/20/2041 | 0.00% |
| GNR 2014-133 AI IO 04.0000 10/20/2036 | 0.00% |
| GNR 2018-127 IA IO 03.5000 04/20/2042 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| KWG LIVING GROUP HOLDINGS LT SEDOL BLPJPQ9 | 0.00% |
| STACR 2019-HQA1 M2 02.4993 02/25/2049 | 0.00% |
| FHR 4097 PI IO 03.5000 11/15/2040 | 0.00% |
| FNMA FN30 BO3442 UMBS 05.0000 08/01/2049 | 0.00% |
| GBP/USD 12/16/2020 GSFX | 0.00% |
| GBP/USD 12/16/2020 JPMCB | 0.00% |
| GNR 2014-108 IP IO 04.5000 12/20/2042 | 0.00% |
| GNR 2019-78 SJ IO 05.8986 06/20/2049 | 0.00% |
| GNR 2020-15 CS IO 05.8986 02/20/2050 | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 BC | 0.00% |
| PETROLEOS MEXICANOS USD 06.5000 03/13/2027 | 0.00% |
| SEK/USD 12/16/2020 RBSF | 0.00% |
| TWD/USD 02/17/2021 JPMCB | 0.00% |
| TXU TCEH RIGHTS | 0.00% |
| 2.2225 R ISWP FWD US0003M P 06/05/2029 | 0.00% |
| AUD/USD 01/20/2021 GSFX | 0.00% |
| EUR/USD 12/16/2020 GSFX | 0.00% |
| FNW 1998-W2 X IO 00.0000 06/25/2028 | 0.00% |
| GBP/USD 12/16/2020 TDBK | 0.00% |
| GBP/USD 12/16/2020 WPAC | 0.00% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.00% |
| GNR 2019-99 KS IO 05.8986 08/20/2049 | 0.00% |
| JPY/USD 11/18/2020 BCAP-FX | 0.00% |
| JPY/USD 11/18/2020 HSBCB | 0.00% |
| SEK/USD 12/16/2020 CITI | 0.00% |
| SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS | 0.00% |
| 0.8425 R ISWP US0003M P 10/23/2030 | 0.00% |
| CAD/USD 01/20/2021 TDBK | 0.00% |
| CHC GRP LLC P/P CV 00.0000 10/01/2021 | 0.00% |
| FHR 4501 BI IO 03.5000 10/15/2043 | 0.00% |
| FNMA FN30 BN3050 UMBS 05.0000 01/01/2049 | 0.00% |
| GBP/USD 12/16/2020 CSI-FX | 0.00% |
| GNR 2013-102 IP IO 03.5000 06/20/2043 | 0.00% |
| GNR 2015-118 EI IO 03.5000 07/20/2039 | 0.00% |
| JPY/USD 11/18/2020 MSCIL | 0.00% |
| TWD/USD 02/17/2021 GSFX | 0.00% |
| 0.60 R ISWP FWD NFIX3MID P 12/16/2030 | 0.00% |
| 0.838 R ISWP US0003M P 10/23/2030 | 0.00% |
| 1.15 R ISWP FWD US0003M P 12/16/2050 | 0.00% |
| CAD/USD 01/20/2021 BANKAM | 0.00% |
| CAD/USD 01/20/2021 CSI-FX | 0.00% |
| CAD/USD 01/20/2021 JPMCB | 0.00% |
| CHF/USD 12/16/2020 TDBK | 0.00% |
| EUR/CHF CALL 1.10 20201209 CSI-FX | 0.00% |
| FHR 3175 MO PO 00.0000 06/15/2036 | 0.00% |
| FHR 3206 EO PO 00.0000 08/15/2036 | 0.00% |
| FHR 4663 KI IO 03.5000 11/15/2042 | 0.00% |
| FNR 2008-36 OV PO 00.0000 01/25/2036 | 0.00% |
| FNR 2012-101 PI IO 03.5000 08/25/2040 | 0.00% |
| FNW 1998-W5 X IO 00.7814 07/25/2028 | 0.00% |
| FSPC T-48 AIO2 IO 00.2120 07/25/2033 | 0.00% |
| FSPC T-59 1AX IO 00.2839 10/25/2043 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 CS | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 GS | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| JPY/USD 11/18/2020 RBSF | 0.00% |
| NZD/USD 01/20/2021 CITI | 0.00% |
| NZD/USD 01/20/2021 RBSF | 0.00% |
| SEK/USD 12/16/2020 TDBK | 0.00% |
| STACR 2019-DNA2 M2 02.5993 03/25/2049 | 0.00% |
| SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA | 0.00% |
| -0.30 R ISWP FWD CHL6M P 12/16/2030 | 0.00% |
| 0.20 R ISWP FWD SONIA P 12/16/2030 | 0.00% |
| 0.2345 R ISWP US0003M P 10/23/2022 | 0.00% |
| 0.25 R ISWP FWD US0003M P 12/16/2022 | 0.00% |
| 0.30 R ISWP FWD SES3M P 12/16/2030 | 0.00% |
| 1.05 R ISWP FWD CDOR03 P 12/16/2030 | 0.00% |
| 1.275 R ISWP FWD US0003M P 03/07/2050 | 0.00% |
| AUD/USD 01/20/2021 CSI-FX | 0.00% |
| AUD/USD 01/20/2021 JPMCB | 0.00% |
| BACM 2007-1 XW IO 00.4255 01/15/2049 | 0.00% |
| CAD/USD 01/20/2021 BCAP-FX | 0.00% |
| CAD/USD 01/20/2021 CITI | 0.00% |
| CHC GROUP LLC P/P SEDOL BYXD3K4 | 0.00% |
| CHF/USD 12/16/2020 CITI | 0.00% |
| CHF/USD 12/16/2020 JPMCB | 0.00% |
| CHF/USD 12/16/2020 RBSF | 0.00% |
| CSFB 2003-C3 AX IO P/P 144A 02.1725 05/15/2038 | 0.00% |
| EUR/CHF CALL 1.12 20201209 CSI-FX | 0.00% |
| EUR/USD 12/16/2020 RBSF | 0.00% |
| EUR/USD 12/16/2020 WPAC | 0.00% |
| FHR 3996 IK IO 04.0000 03/15/2039 | 0.00% |
| FNS 397 2 IO 05.0000 09/25/2039 | 0.00% |
| FSPC T-8 A9 IO 00.4365 11/15/2028 | 0.00% |
| GLOW ENERGY PCL - FOREIGN SEDOL B074GX9 | 0.00% |
| GNR 2011-116 IB IO 05.0000 10/20/2040 | 0.00% |
| GNR 2015-82 GI IO 03.5000 12/20/2038 | 0.00% |
| GREE ELECTRIC 144A/REGS WARRANT 09/20/2021 | 0.00% |
| GSMPS 1999-2 IO IO 00.4313 09/19/2027 | 0.00% |
| GSMS 2006-GG8 X IO P/P 144A 01.0461 11/10/2039 | 0.00% |
| HKD/USD 11/18/2020 BANKAM | 0.00% |
| HKD/USD 11/18/2020 CITI | 0.00% |
| HKD/USD 11/18/2020 GSFX | 0.00% |
| HKD/USD 11/18/2020 HSBCB | 0.00% |
| HKD/USD 11/18/2020 SSBT | 0.00% |
| HKD/USD 11/18/2020 TDBK | 0.00% |
| HKD/USD 11/18/2020 UBS | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| JPMCC 2007-LDPX X IO 00.0517 01/15/2049 | 0.00% |
| JPY/USD 11/18/2020 CITI | 0.00% |
| LBUBS 2007-C2 XW IO 00.1645 02/15/2040 | 0.00% |
| MLCFC 2006-4 XC IO P/P 144A 00.5457 12/12/2049 | 0.00% |
| NZD/USD 01/20/2021 CSI-FX | 0.00% |
| NZD/USD 01/20/2021 GSFX | 0.00% |
| NZD/USD 01/20/2021 HSBCB | 0.00% |
| NZD/USD 01/20/2021 JPMCB | 0.00% |
| NZD/USD 01/20/2021 SSBT | 0.00% |
| NZD/USD 01/20/2021 TDBK | 0.00% |
| NZD/USD 01/20/2021 WPAC | 0.00% |
| SEK/USD 12/16/2020 HSBCB | 0.00% |
| SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA | 0.00% |
| WBCMT 2006-C29 IO IO 00.2657 11/15/2048 | 0.00% |
| 0.95 R ISWP FWD NOKOIB6M P 12/16/2030 | -0.00% |
| 1.16 R ISWP US0003M P 10/16/2050 | -0.00% |
| 2.3075 R ISWP FWD US0003M P 06/22/2052 | -0.00% |
| AUD/USD 01/20/2021 WPAC | -0.00% |
| CAD/USD 01/20/2021 GSFX | -0.00% |
| CAD/USD 01/20/2021 MSCIL | -0.00% |
| CAD/USD 01/20/2021 RBSF | -0.00% |
| CAD/USD 01/20/2021 SSBT | -0.00% |
| CAD/USD 01/20/2021 UBS | -0.00% |
| CAD/USD 01/20/2021 WPAC | -0.00% |
| CHF/USD 12/16/2020 GSFX | -0.00% |
| CHF/USD 12/16/2020 HSBCB | -0.00% |
| CHF/USD 12/16/2020 MSCIL | -0.00% |
| CNH/USD 02/18/2021 JPMCB | -0.00% |
| CNH/USD 02/18/2021 WPAC | -0.00% |
| EUR/USD 12/16/2020 MSCIL | -0.00% |
| GBP/USD 12/16/2020 RBSF | -0.00% |
| JPY/USD 11/18/2020 WPAC | -0.00% |
| NOK/USD 12/16/2020 GSFX | -0.00% |
| NZD/USD 01/20/2021 BCAP-FX | -0.00% |
| SEK/USD 12/16/2020 JPMCB | -0.00% |
| SEK/USD 12/16/2020 SSBT | -0.00% |
| 0.7805 R ISWP US0003M P 10/30/2030 | -0.00% |
| AUD/USD CALL 0.80 20210311 HSBCB | -0.00% |
| AUD/USD PUT 0.675 20201118 BANKAM | -0.00% |
| CHF/USD 12/16/2020 SSBT | -0.00% |
| NOK/USD 12/16/2020 HSBCB | -0.00% |
| NZD/USD 01/20/2021 UBS | -0.00% |
| SEK/USD 12/16/2020 BANKAM | -0.00% |
| SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS | -0.00% |
| SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA | -0.00% |
| AUD/USD 01/20/2021 MSCIL | -0.00% |
| CAD/USD 01/20/2021 HSBCB | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.00% |
| EUR/USD CALL 1.27 20210215 BANKAM | -0.00% |
| EUR/USD CALL 1.27 20210215 UBS | -0.00% |
| EUR/USD CALL 1.27 20210301 MSCIL | -0.00% |
| GBP/USD 12/16/2020 BCAP-FX | -0.00% |
| GBP/USD 12/16/2020 HSBCB | -0.00% |
| GBP/USD PUT 1.20 20201218 BANKAM | -0.00% |
| INR/USD 02/17/2021 HSBCB | -0.00% |
| INR/USD 02/17/2021 JPMCB | -0.00% |
| JPY/USD 11/18/2020 GSFX | -0.00% |
| NOK/USD 12/16/2020 SSBT | -0.00% |
| NZD/USD 01/20/2021 BANKAM | -0.00% |
| SEK/USD 12/16/2020 MSCIL | -0.00% |
| USD/CAD PUT 1.26 20210127 GSFX | -0.00% |
| JPY/USD 11/18/2020 JPMCB | -0.00% |
| NOK/USD 12/16/2020 MSCIL | -0.00% |
| NZD/USD 01/20/2021 MSCIL | -0.00% |
| 1.27 R ISWP FWD US0003M P 01/27/2047 | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.00% |
| EUR/USD 12/16/2020 BANKAM | -0.00% |
| EUR/USD 12/16/2020 CITI | -0.00% |
| JPY/USD 11/18/2020 BANKAM | -0.00% |
| 2.184 R ISWP FWD US0003M P 12/07/2030 | -0.01% |
| AUD/USD 01/20/2021 TDBK | -0.01% |
| EUR/USD 12/16/2020 HSBCB | -0.01% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.01% |
| SEK/USD 12/16/2020 UBS | -0.01% |
| -0.15 R ISWP FWD EUR006M P 12/16/2030 | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| JPY/USD 11/18/2020 SSBT | -0.01% |
| 0.7505 R ISWP US0003M P 10/16/2030 | -0.01% |
| SWPTN 3MX5Y R 0.418 USD 01/13/2021 BC | -0.01% |
| AUD/USD 01/20/2021 BANKAM | -0.01% |
| SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| IOS.FN30.400.10 P USL1M R 01/12/41 CS | -0.01% |
| USD/CNH PUT 6.50 20210415 MSCIL | -0.01% |
| SEK/USD 12/16/2020 GSFX | -0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| EUR/USD 12/16/2020 UBS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| IOS.FN30.350.12 P USL1M R 01/12/43 BC | -0.01% |
| AUD/USD 01/20/2021 HSBCB | -0.01% |
| IOS.FN30.400.13 P USL1M R 01/12/44 JP | -0.01% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | -0.01% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.02% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.02% |
| USD/MXN PUT 19.00 20210416 GSFX | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| IOS.FN30.400.14 P USL1M R 01/12/45 JP | -0.03% |
| IOS.FN30.350.12 P USL1M R 01/12/43 GS | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| IOS.FN30.300.13 P USL1M R 01/12/44 GS | -0.03% |
| EBIX US P R 07/05/22 CI | -0.03% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.03% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC | -0.05% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.05% |
| OSIS US P R 07/05/22 CI | -0.06% |
| CTB US P R 07/05/22 CI | -0.07% |
| IOS.FN30.400.14 P US0001M R 01/12/45 JP | -0.07% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.08% |
| CDX CDX.NA.HY.35 500.0 12/20/2025 | -0.08% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.08% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.08% |
| ZYXI US P US0001M R 07/05/22 CI | -0.09% |
| MBX.FN30.600.08 P USL1M R 01/12/39 BC | -0.10% |
| SWI US P US0001M R 07/05/22 CI | -0.10% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG | -0.10% |
| EPC US P US0001M R 07/05/22 CI | -0.10% |
| ACIW US P R 07/05/22 CI | -0.11% |
| BEAT US P US0001M R 07/05/22 CI | -0.11% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.12% |
| TPIC US P US0001M R 07/05/22 CI | -0.13% |
| PBH US P US0001M R 07/05/22 CI | -0.13% |
| BRKR US P US0001M R 07/05/22 CI | -0.13% |
| BGS US P R 07/05/22 CI | -0.14% |
| QLYS US P US0001M R 07/05/22 CI | -0.14% |
| PS US P US0001M R 07/05/22 CI | -0.15% |
| WDFC US P US0001M R 07/05/22 CI | -0.15% |
| OTEX US P US0001M R 12/15/25 GS | -0.16% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.16% |
| SVMK US P US0001M R 07/05/22 CI | -0.16% |
| DY US P R 07/05/22 CI | -0.17% |
| CNMD US P US0001M R 07/05/22 CI | -0.18% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.20% |
| CMPR US P US0001M R 07/05/22 CI | -0.20% |
| STOR US P US0001M R 07/05/22 CI | -0.20% |
| XP US P US0001M R 07/05/22 CI | -0.22% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.23% |
| ENR US P R 07/05/22 CI | -0.24% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.25% |
| PB US P US0001M R 07/05/22 CI | -0.26% |
| OSK US P US0001M R 07/05/22 CI | -0.27% |
| VRT US P US0001M R 07/05/22 CI | -0.28% |
| SKX US P US0001M R 07/05/22 CI | -0.30% |
| HBI US P R 07/05/22 CI | -0.30% |
| GWRE US P US0001M R 07/05/22 CI | -0.44% |
| BHC US P R 07/05/22 CI | -0.44% |
| XRAY US P US0001M R 07/05/22 CI | -0.48% |
| RL US P US0001M R 07/05/22 CI | -0.48% |
| ELAN US P US0001M R 07/05/22 CI | -0.48% |
| AAXN US P US0001M R 07/05/22 CI | -0.53% |
| LUMN US P US0001M R 07/05/22 CI | -0.53% |
| WAB US P R 07/05/22 CI | -0.56% |
| BYND US P US0001M R 07/05/22 CI | -0.56% |
| PLUG US P US0001M R 07/05/22 CI | -0.56% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.57% |
| HZNP US P US0001M R 07/05/22 CI | -0.59% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.61% |
| TSLA US P R 07/05/22 CI | -0.63% |
| EVBG US P US0001M R 07/05/22 CI | -0.70% |
| FIVE US P US0001M R 07/05/22 CI | -0.84% |
| RH US P US0001M R 07/05/22 CI | -0.86% |
| MSCI EAFE DEC20 MFSZ0 | -0.91% |
| STX US P US0001M R 12/15/25 GS | -0.96% |
| ILMN US P US0001M R 07/05/22 CI | -0.98% |
| AAP US P US0001M R 07/05/22 CI | -0.99% |
| MIDD US P US0001M R 07/05/22 CI | -1.00% |
| FSLR US P US0001M R 07/05/22 CI | -1.17% |
| CTXS US P US0001M R 07/05/22 CI | -1.25% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -1.55% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -1.63% |
| NDUEEGF P US0001M R 12/14/20 GS | -1.92% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -2.06% |
| US 10YR ULTRA FUT DEC20 UXYZ0 | -2.53% |
| NDUEEGF P US0003M R 09/17/21 CI | -4.50% |
| S&P500 EMINI FUT DEC20 ESZ0 | -7.11% |
| NDUEEGF P US0003M R 03/19/21 CI | -9.48% |
| NDUEEGF P US0001M R 08/18/21 UB | -12.92% |
| RU10INTR P US0003M R 06/10/21 CI | -17.47% |
| GSGLPW2S P US0001M R 12/15/25 GS | -26.91% |
| RU10INTR P US0003M R 06/20/23 BA | -32.80% |
| GSGLPWDS P US0001M R 12/15/25 GS | -34.18% |
| SPTR P US0001M R 05/22/23 UB | -38.68% |
| US 2YR NOTE (CBT) DEC20 TUZ0 | -39.65% |
| US 10YR NOTE (CBT)DEC20 TYZ0 | 67.84% |
|---|---|
| CGPUTQL2 R US0003M P 06/10/21 CI | 40.82% |
| UBSPUSER R US0001M P 05/22/23 UB | 36.78% |
| GSGLPWDL R US0001M P 12/15/25 GS | 33.17% |
| GSGLPW2L R US0001M P 12/15/25 GS | 32.73% |
| MLFCF15 R US0003M P 06/20/23 BA | 31.11% |
| JPCMPTFL R US0001M P 08/27/21 JP | 16.83% |
| FNMA FN30 TBA UMBS 03.5000 10/01/2050 | 8.35% |
| FNMA FN30 TBA UMBS 02.0000 11/01/2050 | 5.77% |
| FNMA FN30 TBA UMBS 04.0000 10/01/2050 | 4.72% |
| GSISXT27 R 0.2 P 12/15/20 GS | 3.99% |
| GSVIUS85 R 0.45 P 12/15/20 GS | 3.24% |
| TREASURY BILL 00.0000 11/17/2020 | 2.86% |
| GSGLPHCL R US0001M P 12/15/25 GS | 2.66% |
| FNMA FN30 TBA UMBS 02.5000 11/01/2050 | 2.56% |
| BAML COMMODITY MLBX4SX6 ER STRATEGY 3X 144A NOTE 1/12/2021 | 2.40% |
| CITI COMMOD F3-F0 4X LEVERED INDEX 3X NOTE 1/25/2021 | 2.38% |
| GSVIUS85 R 0.45 P 12/15/25 GS | 2.31% |
| ALIBABA GROUP HOLDING-SP ADR SEDOL BP41ZD1 | 2.05% |
| CASH MGMT BILL 00.0000 12/15/2020 | 1.75% |
| MATERIALS SELECT SECTOR SPDR SEDOL 2436841 | 1.71% |
| CONSUMER STAPLES SPDR SEDOL 2369389 | 1.69% |
| GSVIVV69 R 0.3 P 12/15/20 GS | 1.69% |
| TREASURY BILL 00.0000 11/19/2020 | 1.66% |
| CONSUMER DISCRETIONARY SELT SEDOL 2424341 | 1.63% |
| TECHNOLOGY SELECT SECT SPDR SEDOL 2369709 | 1.62% |
| S&P GSCI ER INDEX | 1.61% |
| CITI CROSS-ASSET TREND 10% VOL INDEX | 1.57% |
| HEALTH CARE SELECT SECTOR SEDOL 2371823 | 1.57% |
| COMM SERV SELECT SECTOR SPDR SEDOL BFXHC51 | 1.56% |
| SAMSUNG ELECTRONICS CO LTD SEDOL 6771720 | 1.51% |
| FNMA FN30 TBA UMBS 04.0000 11/01/2050 | 1.37% |
| FNMA FN30 TBA UMBS 03.5000 11/01/2050 | 1.35% |
| CASH MGMT BILL 00.0000 12/08/2020 | 1.32% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 1.30% |
| TENCENT HOLDINGS LTD SEDOL BMMV2K8 | 1.15% |
| TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382 | 1.15% |
| FNMA FN30 TBA UMBS 02.5000 10/01/2050 | 1.10% |
| TREASURY BILL 00.0000 10/22/2020 | 1.01% |
| GSVICUB3 R 0.45 P 12/15/20 GS | 1.00% |
| FED HOME LN DISCOUNT NT 313384S83 GDC 12/11/2020 | 0.99% |
| GSVICUB3 R 0.45 P 12/15/25 GS | 0.86% |
| TREASURY BILL 00.0000 12/10/2020 | 0.77% |
| S&P GSCI ER INDEX | 0.73% |
| JD.COM INC-ADR SEDOL BMM27D9 | 0.68% |
| TREASURY BILL 00.0000 10/27/2020 | 0.63% |
| GNMA GII30 TBA 04.0000 10/01/2050 | 0.62% |
| GSVIVVOL R 0.3 P 12/15/20 GS | 0.60% |
| INFOSYS LTD SEDOL 6205122 | 0.59% |
| AUSTRALIA & NEW ZEALAND BANKI 05253AMG2 DCP 12/16/2020 | 0.58% |
| CHARIOT FUNDING LLC 15963TKD0 DCP 10/13/2020 | 0.58% |
| MANHATTAN ASSET FUNDING CO LL 56274LKG8 DCP 10/16/2020 | 0.58% |
| NESTLE FINANCE INTERNATIONAL 64106GMH3 DCP 12/17/2020 | 0.58% |
| NRW BANK 62939LKD0 DCP 10/13/2020 | 0.58% |
| REGENCY MARKETS NO. 1 LLC 7588R0K97 DCP 10/09/2020 | 0.58% |
| VICTORY RECEIVABLES CORP 92646KKP6 DCP 10/23/2020 | 0.58% |
| CRC FUNDING LLC 12619TM84 DCP 12/08/2020 | 0.58% |
| LIBERTY STREET FUNDING LLC 53127TM83 DCP 12/08/2020 | 0.58% |
| OLD LINE FUNDING LLC 67984XGX8 DCP 12/21/2020 | 0.58% |
| SUMITOMO MITSUI TRUST BANK LT 86564YKL5 DCP 10/20/2020 | 0.55% |
| BPCE SA 05571BKU6 DCP 10/28/2020 | 0.55% |
| NATIONWIDE BUILDING SOCIETY 6385E0L27 DCP 11/02/2020 | 0.55% |
| PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 | 0.52% |
| TREASURY BILL 00.0000 12/03/2020 | 0.51% |
| KWEICHOW MOUTAI CO LTD 144A/REGS WARRANT 10/01/2021 | 0.50% |
| YUM CHINA HOLDINGS INC SEDOL BYW4289 | 0.49% |
| FNMA FN30 TBA UMBS 03.0000 10/01/2050 | 0.49% |
| CDX CDX.EM.34 100.0 12/20/2025 | 0.48% |
| NETEASE INC-ADR SEDOL 2606440 | 0.47% |
| SHENZHEN MINDRAY BIO-MEDICAL ELEC CO LTD 144A/REGS | 0.47% |
| BARCLAYS BANK PLC CCP 06742VUJ8 DCP 11/19/2020 | 0.47% |
| FMS WERTMANAGEMENT 34411GL61 DCP 11/06/2020 | 0.47% |
| SKANDINAVISKA ENSKILDA BANKEN 83050TK18 DCP 10/01/2020 | 0.47% |
| TATA CONSULTANCY SVS LTD SEDOL B01NPJ1 | 0.47% |
| LG ELECTRONICS INC SEDOL 6520739 | 0.44% |
| AES CORP/THE 05.5000 04/15/2025 | 0.42% |
| HANA FINANCIAL GROUP SEDOL B0RNRF5 | 0.41% |
| NRG ENERGY INC. 07.2500 05/15/2026 | 0.41% |
| UNITED MICROELECTRONICS CORP SEDOL 6916628 | 0.41% |
| SOUTHERN COPPER CORP SEDOL 2823777 | 0.40% |
| ANHUI CONCH CEMENT CO LTD-H SEDOL 6080396 | 0.40% |
| SANY HEAVY INDUSTRY CO LTD 144A REGS WARRANT 12/21/2020 | 0.40% |
| FNMA FN30 TBA UMBS 05.5000 10/01/2050 | 0.39% |
| DR REDDYS LABS SEDOL 6410959 | 0.38% |
| POLY DEVELOPMENTS AND HOLD 144A/REGS WARRANT 07/29/2021 | 0.36% |
| SEEGENE INC SEDOL B679Q36 | 0.36% |
| FNMA FN30 TBA UMBS 01.5000 10/01/2050 | 0.35% |
| MIZUHO BANK LTD/NEW YORK NY 60689FLG1 DCP 11/16/2020 | 0.35% |
| VALE SA-SP ADR SEDOL 2857334 | 0.35% |
| CHAROEN POKPHAND FOOD-FORGN SEDOL B5L2DG6 | 0.34% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.34% |
| CDX CDX.NA.HY.34 500.0 06/20/2025 | 0.33% |
| CEMEX P/P 144A 05.7000 01/11/2025 | 0.31% |
| MMC NORILSK NICKEL PJSC-ADR SEDOL BYSW6D0 | 0.31% |
| SHANGHAI PUDONG DEV BANK 144A/REGS WARRANT | 0.30% |
| HINDUSTAN UNILEVER LTD SEDOL 6261674 | 0.30% |
| CAS 2016-C02 1B 12.3981 09/25/2028 | 0.30% |
| AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 | 0.29% |
| SCIENTIFIC GAMES TLB5 L+275 03.4712 08/14/2024 | 0.29% |
| BB SEGURIDADE PARTICIPACOES SEDOL B9N3SQ0 | 0.28% |
| FUBON FINANCIAL HOLDING CO SEDOL 6411673 | 0.28% |
| ANGLO AMERICAN PLATINUM LTD SEDOL 6761000 | 0.28% |
| KB FINANCIAL GROUP INC SEDOL B3DF0Y6 | 0.26% |
| RADIANT OPTO-ELECTRONICS COR SEDOL 6520278 | 0.26% |
| BF0101 03.5000 06/01/2056 | 0.26% |
| FNMA FN30 TBA UMBS 04.5000 10/01/2050 | 0.25% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.25% |
| REALTEK SEMICONDUCTOR CORP SEDOL 6051422 | 0.25% |
| ZHONGSHENG GROUP HOLDINGS SEDOL B633D97 | 0.25% |
| FNMA FN30 TBA UMBS 03.0000 11/01/2050 | 0.24% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.24% |
| BANK OF SHANGHAI 144A/REGS WARRANT 12/02/2020 | 0.24% |
| CHINA MOBILE LTD SEDOL 6073556 | 0.24% |
| LUKOIL PJSC-SPON ADR SEDOL BYZDW27 | 0.24% |
| CNOOC LTD SEDOL B00G0S5 | 0.24% |
| ICAHN ENTERPRISES/FI 06.2500 02/01/2022 | 0.24% |
| HUNDSUN TECHNOLOGIES INC 144A/REGS WARRANT 07/29/2021 | 0.23% |
| VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 | 0.22% |
| HARTALEGA HOLDINGS BHD SEDOL B2QPJK5 | 0.22% |
| MSC 2006-HQ10 B 05.4480 11/12/2041 | 0.21% |
| CHAILEASE HOLDING CO LTD SEDOL B58J1S8 | 0.21% |
| CHINA MINSHENG BANKING COR-H SEDOL B57JY24 | 0.21% |
| WIPRO LTD SEDOL 6206051 | 0.21% |
| PTT EXPLORATION & PROD-FOR SEDOL B1359J0 | 0.20% |
| GREE ELECTRIC 144A/REGS WARRANT 09/20/2021 | 0.20% |
| CHINA RESOURCES CEMENT SEDOL B41XC98 | 0.20% |
| COUNTRY GARDEN SERVICES HOLD SEDOL BDQZP48 | 0.19% |
| FNR 2017-74 SA IO 05.6019 10/25/2047 | 0.19% |
| GRUPO FINANCIERO GALICIA-ADR SEDOL 2613570 | 0.19% |
| FNR 2017-8 SB IO 05.9519 02/25/2047 | 0.19% |
| PARADE TECHNOLOGIES LTD SEDOL B6RV676 | 0.19% |
| WEICHAI POWER CO LTD-H SEDOL 6743956 | 0.18% |
| MBX.FN30.500.09 R USL1M P 01/12/40 BC | 0.18% |
| MSBAM 2013-C10 D P/P 144A 04.2180 07/15/2046 | 0.18% |
| PPD TL L+250 03.5000 08/18/2022 | 0.18% |
| QUANTA COMPUTER INC SEDOL 6141011 | 0.18% |
| GLOBALWAFERS CO LTD SEDOL BS7JP33 | 0.17% |
| NIEN MADE ENTERPRISE CO LTD SEDOL BSZLN15 | 0.17% |
| FHS 315 PO PO 00.0000 09/15/2043 | 0.17% |
| ADVANCED INFO SERVICE-FOR RG SEDOL 6412591 | 0.17% |
| MWST 2019-1 A 00.9481 06/25/2052 | 0.17% |
| FHR 3852 NT 05.8476 05/15/2041 | 0.17% |
| TECH MAHINDRA LTD SEDOL BWFGD63 | 0.17% |
| JPMBB 2014-C18 D P/P 144A 04.9705 02/15/2047 | 0.16% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | 0.16% |
| KUMBA IRON ORE LTD SEDOL B1G4262 | 0.16% |
| CHINA FEIHE LTD SEDOL BK0SBL1 | 0.16% |
| DAELIM INDUSTRIAL CO LTD SEDOL 6249584 | 0.16% |
| SPST 2019-11 A 00.9011 10/24/2020 | 0.15% |
| GNR 2015-H20 CI IO 02.1811 08/20/2065 | 0.15% |
| STACR 2016-DNA1 B 10.1751 07/25/2028 | 0.15% |
| GNR 2017-H11 NI IO 02.4713 05/20/2067 | 0.15% |
| ALIBABA GROUP HOLDING LTD SEDOL BK6YZP5 | 0.14% |
| REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033 | 0.14% |
| IVORY COAST REGS 06.1250 06/15/2033 | 0.14% |
| SPST 2020-2 A 00.9748 03/26/2021 | 0.14% |
| FOSHAN HAITIAN FLAVOURING & FOOD 144A/REGS WARRANT 03/12/202 | 0.14% |
| GNR 2015-H25 BI IO 03.0807 10/20/2065 | 0.14% |
| KIA MOTORS CORP SEDOL 6490928 | 0.14% |
| TALBOTS TLB L+700 07.2204 11/28/2022 | 0.14% |
| MRAIT 2020-2 A 01.3051 07/21/2021 | 0.14% |
| REPUBLIC OF INDONESIA REGS 05.8750 01/15/2024 | 0.14% |
| GNR 2016-H02 BI IO 03.2416 11/20/2065 | 0.13% |
| BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4 | 0.13% |
| BANCO MACRO SA-ADR SEDOL B0Y62M9 | 0.13% |
| FNMA FN30 AL6919 UMBS 05.5000 01/01/2038 | 0.13% |
| GNR 2015-H19 NI IO 01.9210 07/20/2065 | 0.13% |
| SINOTRUK HONG KONG LTD SEDOL B296ZH4 | 0.13% |
| SPY 20210820 P 275.00CITI | 0.13% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.13% |
| ORTHO-CLINICAL TLB L+325 03.4056 06/30/2025 | 0.13% |
| GNR 2015-H10 CI IO 01.8130 04/20/2065 | 0.13% |
| HYUNDAI MOBIS CO LTD SEDOL 6449544 | 0.13% |
| JPMBB 2013-C14 E P/P 144A 04.8585 08/15/2046 | 0.12% |
| SHRP 2020-1 NOTE 03.1250 07/25/2024 | 0.12% |
| DINO POLSKA SA SEDOL BD0YVN2 | 0.12% |
| LOGAN GROUP CO LTD SEDOL BH6X937 | 0.12% |
| DIAMOND RESORTS TLB L+375 04.7500 09/02/2023 | 0.11% |
| QUALICORP CONS E CORR SEG SA SEDOL B4LHBQ0 | 0.11% |
| HCL TECHNOLOGIES LTD SEDOL 6294896 | 0.11% |
| GNR 2015-H09 BI IO 01.6975 03/20/2065 | 0.11% |
| HYPERA SA SEDOL B2QY968 | 0.11% |
| UNIVISION TLB L+375 04.7500 03/24/2026 | 0.11% |
| GNR 2015-H24 HI IO 02.0442 09/20/2065 | 0.11% |
| GNR 2015-H25 AI IO 01.6269 09/20/2065 | 0.11% |
| CAS 2015-C04 1M2 05.8481 04/25/2028 | 0.11% |
| HELLENIC TELECOMMUN ORGANIZA SEDOL 5051605 | 0.11% |
| GNR 2015-H15 JI IO 01.9663 06/20/2065 | 0.10% |
| GNR 2015-H16 XI IO 02.4328 07/20/2065 | 0.10% |
| CROWN CASTLE INTL CORP 03.1500 07/15/2023 | 0.10% |
| LITE-ON TECHNOLOGY CORP SEDOL 6519481 | 0.10% |
| GOLDEN NUGGET TL L+250 04.0811 10/04/2023 | 0.10% |
| FNR 2015-28 IO IO 05.5000 05/25/2045 | 0.10% |
| GNR 2014-H21 AI IO 02.9114 10/20/2064 | 0.10% |
| WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3 | 0.10% |
| BAML COMMODITY MLBX4SX6 ER STRATEGY 3X NOTE 9/2/2021 | 0.10% |
| GNR 2016-H03 AI IO 03.3207 01/20/2066 | 0.10% |
| SPY 20210917 P 270.00JPMCB | 0.10% |
| TRANSDIGM INC TLF L+225 03.9094 12/09/2025 | 0.10% |
| GNR 2015-H22 GI IO 02.5968 09/20/2065 | 0.10% |
| SYNNEX TECHNOLOGY INTL CORP SEDOL 6868439 | 0.10% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS | 0.10% |
| COM7 PCL-F SEDOL BZ2YN49 | 0.10% |
| GNR 2015-H09 AI IO 03.2194 04/20/2065 | 0.10% |
| GNR 2015-H26 EI IO 01.7280 10/20/2065 | 0.09% |
| ELECTRICITY GEN PUB CO-FOR R SEDOL 6304643 | 0.09% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | 0.09% |
| CTBC FINANCIAL HOLDING CO LT SEDOL 6527666 | 0.09% |
| GNR 2014-2 IC IO 05.0000 01/16/2044 | 0.09% |
| GNR 2016-H23 NI IO 03.3469 10/20/2066 | 0.09% |
| GNR 2015-H25 EI IO 01.8619 10/20/2065 | 0.09% |
| SAMI 2007-AR1 2A1 00.3281 01/25/2037 | 0.09% |
| PRESIDENT CHAIN STORE CORP SEDOL 6704986 | 0.09% |
| WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 | 0.09% |
| SPY 20210716 P 255.00CITI | 0.09% |
| ORION CORP/REPUBLIC OF KOREA SEDOL BDVLJ72 | 0.08% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.08% |
| PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 | 0.08% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.08% |
| GNR 2015-H26 GI IO 01.8107 10/20/2065 | 0.08% |
| SEAZEN HOLDINGS CO 144A/REGS WARRANT 05/06/2021 | 0.08% |
| GNR 2016-H04 KI IO 03.0408 02/20/2066 | 0.08% |
| ALLY FINANCIAL INC 05.7500 11/20/2025 | 0.08% |
| CHINA SHENHUA ENERGY CO-H SEDOL B09N7M0 | 0.08% |
| FNR 2016-3 NI IO 06.0000 02/25/2046 | 0.08% |
| GNR 2016-H08 GI IO 01.4407 04/20/2066 | 0.08% |
| FNR 2011-4 CS 12.6037 05/25/2040 | 0.08% |
| GNR 2018-91 SJ IO 06.0938 07/20/2048 | 0.08% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.08% |
| GNR 2015-53 MI IO 04.0000 04/16/2045 | 0.08% |
| INTER RAO UES PJSC SEDOL B39RRN4 | 0.08% |
| BSCMS 2007-T26 AJ 05.5414 01/12/2045 | 0.07% |
| CMLTI 2007-AMC3 A2D 00.4981 03/25/2037 | 0.07% |
| AUROBINDO PHARMA LTD SEDOL 6702634 | 0.07% |
| GNR 2017-H02 BI IO 02.3727 01/20/2067 | 0.07% |
| DOMINICAN REPUBLIC REGS 05.9500 01/25/2027 | 0.07% |
| ECOPETROL SA-SPONSORED ADR SEDOL B3D6J19 | 0.07% |
| GNR 2015-H14 BI IO 01.5722 05/20/2065 | 0.07% |
| BURSA MALAYSIA BHD SEDOL B06FV38 | 0.07% |
| BSCMS 2005-PWR7 D 05.3040 02/11/2041 | 0.07% |
| COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 | 0.07% |
| GNR 2016-150 I IO 05.0000 11/20/2046 | 0.07% |
| GNR 2015-80 IA IO 04.5000 06/20/2045 | 0.07% |
| GNR 2017-H14 DI IO 01.7215 06/20/2067 | 0.07% |
| MARFRIG GLOBAL FOODS SA SEDOL B1YWHR4 | 0.07% |
| SPY 20210618 P 250.00JPMCB | 0.07% |
| VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 | 0.07% |
| GNR 2016-H07 HI IO 03.0840 02/20/2066 | 0.07% |
| ZOOMLION HEAVY INDUSTRY - H SEDOL B544N70 | 0.07% |
| CIA SANEAMENTO BASICO DE SP SEDOL B1YCHL8 | 0.06% |
| GNR 2015-H24 BI IO 01.6199 08/20/2065 | 0.06% |
| SAMSUNG ENGINEERING CO LTD SEDOL 6765239 | 0.06% |
| STACR 2018-HQA2 B1 04.3981 10/25/2048 | 0.06% |
| SPST 2020-13 A 01.6511 10/10/2021 | 0.06% |
| UNITED INTEGRATED SERVICES SEDOL 6105136 | 0.06% |
| BSCMS 2005-PWR7 C 05.2350 02/11/2041 | 0.06% |
| FENG TAY ENTERPRISE CO LTD SEDOL 6336055 | 0.06% |
| FNR 2018-58 IO IO 05.5000 08/25/2048 | 0.06% |
| PLDT INC SEDOL BDGN274 | 0.06% |
| GNR 2015-H26 DI IO 03.3745 10/20/2065 | 0.06% |
| MEITUAN DIANPING SEDOL BGJW376 | 0.06% |
| MSBAM 2013-C11 F P/P 144A 04.4975 08/15/2046 | 0.06% |
| WAMU 2005-AR14 1A2 03.6837 12/25/2035 | 0.06% |
| FHR 4568 MI IO 04.0000 04/15/2046 | 0.06% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS | 0.06% |
| FHLMC FR30 ZA4291 UMBS 03.5000 08/01/2043 | 0.06% |
| FNMA FN30 AU1625 UMBS 03.5000 07/01/2043 | 0.06% |
| ARAB REP OF EGYPT P/P 144A 07.0529 01/15/2032 | 0.06% |
| FNMA FN30 AB7936 UMBS 03.0000 02/01/2043 | 0.06% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CS | 0.06% |
| MISC BHD SEDOL 6557997 | 0.06% |
| REPUBLIC OF SOUTH AFRICA USD 04.8500 09/27/2027 | 0.06% |
| PETRONAS GAS BHD SEDOL 6703972 | 0.06% |
| SPST 2020-WL1 A 01.2981 06/25/2051 | 0.06% |
| RACKSPACE HOSTING INC L+300 04.0000 11/03/2023 | 0.06% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.05% |
| GNR 2016-H16 DI IO 02.6453 06/20/2066 | 0.05% |
| INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979 | 0.05% |
| SCRT 2019-4 M 04.5000 02/25/2059 | 0.05% |
| FNMA FN30 AR6852 UMBS 03.0000 02/01/2043 | 0.05% |
| GNR 2015-H10 EI IO 01.6262 04/20/2065 | 0.05% |
| HENGAN INTL GROUP CO LTD SEDOL 6136233 | 0.05% |
| MSBAM 2013-C11 E P/P 144A 04.4975 08/15/2046 | 0.05% |
| VIPSHOP HOLDINGS LTD - ADR SEDOL B3N0H17 | 0.05% |
| GSMS 2014-GC24 D P/P 144A 04.6645 09/10/2047 | 0.05% |
| CAS 2017-C06 2B1 04.5981 02/25/2030 | 0.05% |
| CIA DE TRANSMISSAO DE ENE-PF SEDOL 2440972 | 0.05% |
| CHINA YUHUA EDUCAT SEDOL BYWPGC4 | 0.05% |
| FNR 2012-124 UI IO 04.0000 11/25/2042 | 0.05% |
| GNR 2014-104 IO IO 04.0000 03/20/2042 | 0.05% |
| WBCMT 2005-C21 E P/P 144A 05.2694 10/15/2044 | 0.05% |
| WFCM 2013-LC12 D P/P 144A 04.4105 07/15/2046 | 0.05% |
| FHLMC FR30 ZA4202 UMBS 03.0000 03/01/2043 | 0.05% |
| SIME DARBY BERHAD SEDOL B29TTR1 | 0.05% |
| TOFAS OTOMOBIL FAB SEDOL B03MY33 | 0.05% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.05% |
| AIR MEDICAL TLB L+325 04.2500 04/28/2022 | 0.05% |
| FNMA FN30 AO5471 UMBS 03.5000 06/01/2042 | 0.05% |
| TAISHIN FINANCIAL HOLDING SEDOL 6451680 | 0.05% |
| UNITED MEXICAN STATES USD 03.2500 04/16/2030 | 0.05% |
| SPY 20210521 P 235.00BANKAM | 0.04% |
| MSC 2011-C3 G P/P 144A 05.4192 07/15/2049 | 0.04% |
| COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 | 0.04% |
| TOWNSQUARE MEDIA INC P/P 144A 06.5000 04/01/2023 | 0.04% |
| WELBILT TLB L+250 02.6466 10/23/2025 | 0.04% |
| BIM BIRLESIK MAGAZALAR AS SEDOL B0D0006 | 0.04% |
| DOMINICAN REPUBLIC REGS 06.8750 01/29/2026 | 0.04% |
| FHR 3747 SA IO 06.3476 10/15/2040 | 0.04% |
| GNR 2016-H11 HI IO 02.1025 01/20/2066 | 0.04% |
| KT CORP SEDOL 6505316 | 0.04% |
| REP OF INDONESIA P/P 144A 04.7500 01/08/2026 | 0.04% |
| BSCMS 2006-PW11 B P/P 144A 05.7021 03/11/2039 | 0.04% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML | 0.04% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.04% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.04% |
| GNR 2015-H18 IA IO 01.8571 06/20/2065 | 0.04% |
| GNR 2016-49 IO IO 04.5000 11/16/2045 | 0.04% |
| SUN ART RETAIL GROUP LTD SEDOL B3MPN59 | 0.04% |
| WFRBS 2013-C15 D P/P 144A 04.6435 08/15/2046 | 0.04% |
| GNR 2016-H04 HI IO 02.3843 07/20/2065 | 0.04% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.04% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.04% |
| CAS 2017-C05 1B1 03.7481 01/25/2030 | 0.04% |
| REYNOLDS GROUP TL L+300 04.4628 02/05/2023 | 0.04% |
| BBVA ARGENTINA SA-ADR SEDOL BKT4TC7 | 0.04% |
| FHR 4389 IA IO 04.0000 09/15/2044 | 0.04% |
| GNR 2018-127 IC IO 05.0000 10/20/2044 | 0.04% |
| MBX.FN30.500.10 R USL1M P 01/12/41 GS | 0.04% |
| STATE OF QATAR P/P 144A 03.7500 04/16/2030 | 0.04% |
| GNR 2015-167 BI IO 04.5000 04/16/2045 | 0.04% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.03% |
| PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 | 0.03% |
| FHR 4134 PI IO 03.0000 11/15/2042 | 0.03% |
| FHR 4158 TI IO 03.0000 12/15/2042 | 0.03% |
| PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 | 0.03% |
| ARAB REP OF EGYPT P/P 144A 05.7500 05/29/2024 | 0.03% |
| CWALT 2006-OA10 1A1 01.9793 08/25/2046 | 0.03% |
| NICE INFORMATION SERVICE CO SEDOL 6248332 | 0.03% |
| REPUBLIC OF KENYA REGS 08.0000 05/22/2032 | 0.03% |
| CAS 2017-C03 1B1 04.9981 10/25/2029 | 0.03% |
| FHR 4530 HI IO 04.0000 11/15/2045 | 0.03% |
| GNR 2015-187 JI IO 04.0000 03/20/2045 | 0.03% |
| IHEARTCOMMUNICATIONS INC 08.3750 05/01/2027 | 0.03% |
| IOS.FN30.400.14 R USL1M P 01/12/45 GS | 0.03% |
| FNR 2017-48 LI IO 04.0000 05/25/2047 | 0.03% |
| GNR 2011-H08 GI IO 01.2671 03/20/2061 | 0.03% |
| GNR 2014-163 NI IO 05.0000 02/20/2044 | 0.03% |
| TECO ELECTRIC & MACHINERY SEDOL 6879851 | 0.03% |
| COMM 2014-CR17 D P/P 144A 05.0087 05/10/2047 | 0.03% |
| FEDERAL GRID CO UNIFIED ENER SEDOL B39RR67 | 0.03% |
| FNR 2014-47 IP IO 04.0000 03/25/2044 | 0.03% |
| GNR 2018-127 IB IO 04.5000 06/20/2045 | 0.03% |
| IOS.FN30.350.14 R USL1M P 01/12/45 CS | 0.03% |
| PRET 2020-RPL1 03.8194 05/27/2060 | 0.03% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 0.03% |
| GBP/USD 12/16/2020 SSBT | 0.03% |
| GNR 2017-99 AI IO 04.0000 01/20/2047 | 0.03% |
| OASIS PETROLEUM INC 06.8750 03/15/2022 | 0.03% |
| TRANSDIGM INC TLE L+225 05/30/2025 | 0.03% |
| CWHL 2005-3 1A1 00.7681 04/25/2035 | 0.03% |
| FHR 4136 IW IO 03.5000 10/15/2042 | 0.03% |
| GNR 2015-H26 CI IO 00.5460 08/20/2065 | 0.03% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.03% |
| CPG INTL TL L+375 04.7500 05/05/2024 | 0.03% |
| FHR 4193 PI IO 04.0000 03/15/2043 | 0.03% |
| JPMCC 2012-C6 F P/P 144A 05.3239 05/15/2045 | 0.03% |
| JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 | 0.03% |
| SPY 20210416 P 225.00BANKAM | 0.03% |
| USD/CNH PUT 6.75 20210301 GSFX | 0.03% |
| DOMINICAN REPUBLIC REGS 06.5000 02/15/2048 | 0.02% |
| IHEARTMEDIA INC - CLASS A SEDOL BJVR9Y9 | 0.02% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.02% |
| JPMCC 2012-C6 G P/P 144A 02.9720 05/15/2045 | 0.02% |
| ARAB REPUBLIC OF EGYPT REGS 07.6003 03/01/2029 | 0.02% |
| GNR 2011-17 S IO 05.8938 02/20/2041 | 0.02% |
| GNR 2012-145 IO IO 03.5000 12/20/2042 | 0.02% |
| IVORY COAST P/P 144A 05.2500 03/22/2030 | 0.02% |
| PETROLEOS MEXICANOS P/P 144A 07.6900 01/23/2050 | 0.02% |
| RALI 2006-QO10 A1 00.3081 01/25/2037 | 0.02% |
| AHM 2007-1 GA1C 00.3651 05/25/2047 | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.02% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML | 0.02% |
| FNR 2013-21 AI IO 03.5000 03/25/2033 | 0.02% |
| AUD/USD 10/21/2020 HSBCB | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML | 0.02% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.02% |
| BACM 2005-1 C 05.6647 11/10/2042 | 0.02% |
| GNR 2011-H15 AI IO 01.5417 06/20/2061 | 0.02% |
| GNR 2012-8 PI IO 04.0000 05/20/2041 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| QUALITAS CONTROLADORA SAB CV SEDOL BYMXF65 | 0.02% |
| WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 | 0.02% |
| FHR 4150 DI IO 03.0000 01/15/2043 | 0.02% |
| GNR 2012-47 CI IO 04.0000 03/20/2042 | 0.02% |
| GNR 2013-6 AI IO 03.5000 08/20/2039 | 0.02% |
| GNR 2018-127 IE IO 03.5000 01/20/2046 | 0.02% |
| KWG GROUP HOLDINGS LTD SEDOL B1YBF00 | 0.02% |
| MHL 2004-1 M2 01.1531 11/25/2034 | 0.02% |
| STACR 2018-DNA2 B1 03.8481 12/25/2030 | 0.02% |
| BANK BTPN SYARIAH TBK PT SEDOL BFNBJ41 | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| GNR 2013-79 XI IO 03.5000 11/20/2039 | 0.02% |
| HONG LEONG BANK BERHAD SEDOL 6436892 | 0.02% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.02% |
| PUREGOLD PRICE CLUB INC SEDOL B725S29 | 0.02% |
| RALI 2006-QO5 1A1 00.3631 05/25/2046 | 0.02% |
| RUENTEX DEVELOPMENT CO LTD SEDOL 6748423 | 0.02% |
| WESTPORTS HOLDINGS BHD SEDOL BDFM1K8 | 0.02% |
| 3.312 R ISWP US0003M P 11/08/2048 | 0.02% |
| CELLTRION INC SEDOL B0C5YV1 | 0.02% |
| FHR 4206 IP IO 03.0000 12/15/2041 | 0.02% |
| GNR 2017-132 IB IO 05.5000 09/20/2047 | 0.02% |
| IHEARTCOMMUNICATIONS INC 06.3750 05/01/2026 | 0.02% |
| PROVINCIA DE BUENOS 33.5560 05/31/2022 | 0.02% |
| USD/JPY PUT 105.00 20201124 BANKAM | 0.02% |
| USD/JPY PUT 105.00 20201124 GSFX | 0.02% |
| FNR 2012-151 PI IO 03.0000 01/25/2043 | 0.02% |
| GNR 2013-151 IB IO 04.5000 02/20/2040 | 0.02% |
| GNR 2017-57 AI IO 04.0000 06/20/2045 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| STACR 2018-HQA2 B2 11.1481 10/25/2048 | 0.02% |
| UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 | 0.02% |
| AUD/USD CALL 0.76 20210311 HSBCB | 0.02% |
| EUR/USD 12/16/2020 JPMCB | 0.02% |
| EUR/USD CALL 1.23 20210215 BANKAM | 0.02% |
| EUR/USD CALL 1.23 20210215 UBS | 0.02% |
| FHR 2990 LB 16.5562 06/15/2034 | 0.02% |
| FNR 2012-104 QI IO 04.5000 05/25/2042 | 0.02% |
| FNR 2012-22 CI IO 04.0000 03/25/2041 | 0.02% |
| GNR 2010-20 UI IO 05.0000 02/20/2040 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 | 0.02% |
| USD/MXN PUT 21.00 20201130 GSFX | 0.02% |
| WFRBS 2012-C10 E P/P 144A 04.5755 12/15/2045 | 0.02% |
| CHINA BIOLOGIC PRODUCTS HOLD SEDOL BF0G7L2 | 0.02% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.02% |
| GNR 2015-24 IA IO 03.5000 02/20/2045 | 0.02% |
| GSAA 2007-6 1A1 00.2681 05/25/2047 | 0.02% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.02% |
| ENDO DAC/ENDO FI P/P 144A 09.5000 07/31/2027 | 0.01% |
| FHR 4355 DI IO 04.0000 03/15/2044 | 0.01% |
| FNR 2017-2 KI IO 04.0000 02/25/2047 | 0.01% |
| IOS.FN30.400.13 R USL1M P 01/12/44 JP | 0.01% |
| NZD/USD 10/21/2020 SSBT | 0.01% |
| SAMI 2007-AR7 1A1 00.9981 05/25/2047 | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.01% |
| ENDO DAC/ENDO FI P/P 144A 06.0000 06/30/2028 | 0.01% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.01% |
| FNR 2014-10 IO IO 03.5000 08/25/2042 | 0.01% |
| FNR 2017-113 IO IO 05.0000 01/25/2038 | 0.01% |
| GBP/USD 12/16/2020 UBS | 0.01% |
| GNR 2010-35 AI IO 04.5000 03/20/2040 | 0.01% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 0.01% |
| GNR 2013-100 MI IO 03.5000 02/20/2043 | 0.01% |
| GNR 2015-96 NI IO 03.5000 01/20/2039 | 0.01% |
| GNR 2017-160 AI IO 04.5000 10/20/2047 | 0.01% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.01% |
| MSC 2007-HQ11 C 05.5580 02/12/2044 | 0.01% |
| PETROLEOS MEXICANOS P/P 144A 05.9500 01/28/2031 | 0.01% |
| CAS 2015-C03 2M2 05.1481 07/25/2025 | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.01% |
| EUR/USD CALL 1.22 20210127 BANKAM | 0.01% |
| EUR/USD CALL 1.23 20210301 MSCIL | 0.01% |
| GBP/USD PUT 1.23 20201218 BANKAM | 0.01% |
| GCAT 2020-NQM2 A3 02.9350 04/25/2065 | 0.01% |
| GNMA GII30 BN1509 05.0000 05/20/2049 | 0.01% |
| GNR 2012-50 PI IO 04.0000 12/20/2041 | 0.01% |
| GNR 2013-129 SN IO 05.9938 09/20/2043 | 0.01% |
| GNR 2013-99 VS IO 05.9479 07/16/2043 | 0.01% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.01% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.01% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.01% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.01% |
| PROVINCIA DE BUENOS AIRE REGS 06.5000 02/15/2023 | 0.01% |
| PROVINCIA DE BUENOS AIRE REGS 07.8750 06/15/2027 | 0.01% |
| STACR 2019-DNA1 M2 02.7981 01/25/2049 | 0.01% |
| 0.70 R ISWP FWD US0003M P 12/16/2030 | 0.01% |
| AUD/USD 10/21/2020 WPAC | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS | 0.01% |
| EUR/USD 12/16/2020 BCAP-FX | 0.01% |
| GNR 2010-35 QI IO 04.5000 03/20/2040 | 0.01% |
| GNR 2013-24 PI IO 04.0000 11/20/2042 | 0.01% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.01% |
| BACM 2008-1 C P/P 144A 06.7858 02/10/2051 | 0.01% |
| CAS 2015-C02 2M2 04.1481 05/25/2025 | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.01% |
| EUR/CHF CALL 1.10 20201209 CSI-FX | 0.01% |
| FHR 4183 MI IO 03.0000 02/15/2042 | 0.01% |
| GNMA GII30 BP7527 03.5000 10/20/2049 | 0.01% |
| GNR 2010-35 UI IO 05.0000 03/20/2040 | 0.01% |
| GNR 2015-36 GI IO 03.5000 06/16/2041 | 0.01% |
| HAITIAN INTERNATIONAL HLDGS SEDOL B1L2RC2 | 0.01% |
| TRANSMISSORA ALIANCA DE-UNIT SEDOL B1G8KX7 | 0.01% |
| CAS 2017-C06 2M2 02.9481 02/25/2030 | 0.01% |
| GNR 2015-24 IC IO 03.5000 11/20/2037 | 0.01% |
| NZD/USD 10/21/2020 RBSF | 0.01% |
| STACR 2019-DNA3 B2 08.2981 07/25/2049 | 0.01% |
| AUD/USD 10/21/2020 TDBK | 0.01% |
| CAS 2015-C04 2M2 05.6981 04/25/2028 | 0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML | 0.01% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.01% |
| FHR 4369 IA IO 03.5000 07/15/2044 | 0.01% |
| FNR 2005-74 NK 26.7594 05/25/2035 | 0.01% |
| FNR 2013-35 IP IO 03.0000 06/25/2042 | 0.01% |
| GNR 2009-121 BI IO 04.5000 12/16/2039 | 0.01% |
| GNR 2013-157 IA IO 03.5000 04/20/2040 | 0.01% |
| GNR 2015-124 NI IO 03.5000 06/20/2039 | 0.01% |
| PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 | 0.01% |
| SEK/USD 12/16/2020 BCAP-FX | 0.01% |
| STEARNS HLDG LLC CLASS B WTS | 0.01% |
| 0.85 R ISWP FWD AUDBB6M P 12/16/2030 | 0.01% |
| AUD/USD 10/21/2020 SSBT | 0.01% |
| CAS 2015-C01 2M2 04.6981 02/25/2025 | 0.01% |
| CLEAR CHANNEL OUTDOOR HOLDIN SEDOL BJHVCH9 | 0.01% |
| FHR 4097 PI IO 03.5000 11/15/2040 | 0.01% |
| FHR 4213 GI IO 04.0000 11/15/2041 | 0.01% |
| FNMA FN30 BO0212 UMBS 04.5000 05/01/2049 | 0.01% |
| FNR 2005-122 SE 22.5815 11/25/2035 | 0.01% |
| FNR 2013-31 NI IO 03.0000 06/25/2041 | 0.01% |
| FNR 2013-6 BI IO 03.0000 12/25/2042 | 0.01% |
| GNR 2010-134 ES IO 05.8438 11/20/2039 | 0.01% |
| GNR 2013-183 AI IO 03.5000 10/20/2039 | 0.01% |
| GNR 2015-99 LI IO 04.0000 07/20/2045 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 CS | 0.01% |
| PAR PHARMA INC P/P 144A 07.5000 04/01/2027 | 0.01% |
| REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 | 0.01% |
| STACR 2019-DNA2 B2 10.6481 03/25/2049 | 0.01% |
| AUD/USD 10/21/2020 BANKAM | 0.01% |
| CAD/USD 10/21/2020 HSBCB | 0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG | 0.01% |
| EUR/USD 12/16/2020 SSBT | 0.01% |
| FHR 4073 AS IO 05.8976 08/15/2038 | 0.01% |
| FNR 2012-136 PI IO 03.5000 11/25/2042 | 0.01% |
| GBP/USD 12/16/2020 CITI | 0.01% |
| GNMA GII30 BN1507 05.0000 05/20/2049 | 0.01% |
| GNMA GII30 BN1508 05.0000 05/20/2049 | 0.01% |
| GNR 2012-106 QI IO 04.0000 07/20/2042 | 0.01% |
| GNR 2012-141 WI IO 03.5000 11/20/2041 | 0.01% |
| GNR 2013-37 LI IO 03.5000 01/20/2042 | 0.01% |
| GNR 2014-63 PI IO 04.0000 07/20/2043 | 0.01% |
| PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 | 0.01% |
| WFRBS 2011-C4 E P/P 144A 05.3897 06/15/2044 | 0.01% |
| ADVANZ PHARMA CORP LTD SEDOL BG0RYR7 | 0.00% |
| CAS 2015-C02 1M2 04.1481 05/25/2025 | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.00% |
| FNMA FN30 BN9825 UMBS 05.0000 05/01/2049 | 0.00% |
| FNMA FN30 BO0182 UMBS 05.0000 05/01/2049 | 0.00% |
| FNR 2013-23 PI IO 03.0000 10/25/2041 | 0.00% |
| FNR 2015-10 AI IO 03.5000 08/25/2043 | 0.00% |
| FNR 2015-73 PI IO 03.5000 10/25/2045 | 0.00% |
| GBP/USD 12/16/2020 JPMCB | 0.00% |
| GBP/USD 12/16/2020 MSCIL | 0.00% |
| GNMA GII30 BN1510 05.5000 05/20/2049 | 0.00% |
| GNMA GII30 BN1511 05.5000 05/20/2049 | 0.00% |
| GNR 2014-133 AI IO 04.0000 10/20/2036 | 0.00% |
| GNR 2018-127 IA IO 03.5000 04/20/2042 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| NOK/USD 12/16/2020 JPMCB | 0.00% |
| NZD/USD 10/21/2020 UBS | 0.00% |
| SEK/USD 12/16/2020 RBSF | 0.00% |
| STACR 2019-HQA1 M2 02.4981 02/25/2049 | 0.00% |
| 2.2225 R ISWP FWD US0003M P 06/05/2029 | 0.00% |
| CAD/USD 10/21/2020 RBSF | 0.00% |
| EUR/USD 12/16/2020 TDBK | 0.00% |
| FNMA FN30 BO3442 UMBS 05.0000 08/01/2049 | 0.00% |
| GBP/USD 12/16/2020 GSFX | 0.00% |
| GNMA GII30 BP7627 03.5000 11/20/2049 | 0.00% |
| GNR 2014-108 IP IO 04.5000 12/20/2042 | 0.00% |
| GNR 2019-78 SJ IO 05.8938 06/20/2049 | 0.00% |
| GNR 2020-15 CS IO 05.8938 02/20/2050 | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 BC | 0.00% |
| PETROLEOS MEXICANOS USD 06.5000 03/13/2027 | 0.00% |
| SEK/USD 12/16/2020 CITI | 0.00% |
| AUD/USD 03/15/2021 UBS | 0.00% |
| AUD/USD 10/21/2020 RBSF | 0.00% |
| CAD/USD 10/21/2020 GSFX | 0.00% |
| EUR/USD 12/16/2020 CSI-FX | 0.00% |
| FNW 1998-W2 X IO 00.0000 06/25/2028 | 0.00% |
| GBP/USD 12/16/2020 TDBK | 0.00% |
| GBP/USD 12/16/2020 WPAC | 0.00% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.00% |
| GNR 2015-118 EI IO 03.5000 07/20/2039 | 0.00% |
| GNR 2019-99 KS IO 05.8938 08/20/2049 | 0.00% |
| NZD/USD 10/21/2020 BCAP-FX | 0.00% |
| SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS | 0.00% |
| TXU TCEH RIGHTS | 0.00% |
| 0.815 R ISWP US0003M P 07/30/2050 | 0.00% |
| CHC GRP LLC P/P CV 00.0000 10/01/2021 | 0.00% |
| EUR/USD 12/16/2020 GSFX | 0.00% |
| FHR 4501 BI IO 03.5000 10/15/2043 | 0.00% |
| FNMA FN30 BN3050 UMBS 05.0000 01/01/2049 | 0.00% |
| GBP/USD 12/16/2020 CSI-FX | 0.00% |
| GNR 2013-102 IP IO 03.5000 06/20/2043 | 0.00% |
| NOK/USD 12/16/2020 GSFX | 0.00% |
| NZD/USD 10/21/2020 BANKAM | 0.00% |
| SWPTN 2MX5Y P 0.359 USD 10/13/2020 BC | 0.00% |
| -0.30 R ISWP FWD CHL6M P 12/16/2030 | 0.00% |
| 0.25 R ISWP FWD US0003M P 12/16/2022 | 0.00% |
| 0.35 R ISWP FWD US0003M P 12/16/2025 | 0.00% |
| 0.60 R ISWP FWD NFIX3MID P 12/16/2030 | 0.00% |
| 0.95 R ISWP FWD NOKOIB6M P 12/16/2030 | 0.00% |
| CAD/USD 10/21/2020 MSCIL | 0.00% |
| CHF/USD 12/16/2020 JPMCB | 0.00% |
| CHF/USD 12/16/2020 TDBK | 0.00% |
| EUR/USD CALL 1.21 20201028 BANKAM | 0.00% |
| FHR 3175 MO PO 00.0000 06/15/2036 | 0.00% |
| FHR 3206 EO PO 00.0000 08/15/2036 | 0.00% |
| FHR 4663 KI IO 03.5000 11/15/2042 | 0.00% |
| FNR 2008-36 OV PO 00.0000 01/25/2036 | 0.00% |
| FNR 2012-101 PI IO 03.5000 08/25/2040 | 0.00% |
| FNW 1998-W5 X IO 07.8761 07/25/2028 | 0.00% |
| FSPC T-48 AIO2 IO 00.2120 07/25/2033 | 0.00% |
| FSPC T-59 1AX IO 00.2841 10/25/2043 | 0.00% |
| GNR 2015-82 GI IO 03.5000 12/20/2038 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 CS | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 GS | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| JPY/USD 11/18/2020 MSCIL | 0.00% |
| JPY/USD 11/18/2020 UBS | 0.00% |
| MXN/USD 10/21/2020 BANKAM | 0.00% |
| MXN/USD 10/21/2020 UBS | 0.00% |
| NZD/USD 10/21/2020 HSBCB | 0.00% |
| NZD/USD 10/21/2020 MSCIL | 0.00% |
| SEK/USD 12/16/2020 TDBK | 0.00% |
| STACR 2019-DNA2 M2 02.5981 03/25/2049 | 0.00% |
| 0.30 R ISWP FWD SES3M P 12/16/2030 | 0.00% |
| 1.08 R ISWP FWD US0003M P 12/16/2050 | 0.00% |
| 1.275 R ISWP FWD US0003M P 03/07/2050 | 0.00% |
| AUD/USD 10/21/2020 CSI-FX | 0.00% |
| AUD/USD 10/21/2020 JPMCB | 0.00% |
| BACM 2007-1 XW IO 00.6240 01/15/2049 | 0.00% |
| CAD/USD 10/21/2020 BCAP-FX | 0.00% |
| CAD/USD 10/21/2020 CITI | 0.00% |
| CAD/USD 10/21/2020 UBS | 0.00% |
| CHC GROUP LLC P/P SEDOL BYXD3K4 | 0.00% |
| CHF/USD 12/16/2020 CITI | 0.00% |
| CHF/USD 12/16/2020 HSBCB | 0.00% |
| CSFB 2003-C3 AX IO P/P 144A 02.3861 05/15/2038 | 0.00% |
| EUR/USD 12/16/2020 RBSF | 0.00% |
| EUR/USD 12/16/2020 WPAC | 0.00% |
| EUR/USD CALL 1.24 20201028 BANKAM | 0.00% |
| EUR/USD CALL 1.24 20201028 MSCIL | 0.00% |
| FHR 3996 IK IO 04.0000 03/15/2039 | 0.00% |
| FNS 397 2 IO 05.0000 09/25/2039 | 0.00% |
| FSPC T-8 A9 IO 00.4342 11/15/2028 | 0.00% |
| GLOW ENERGY PCL - FOREIGN SEDOL B074GX9 | 0.00% |
| GNR 2011-116 IB IO 05.0000 10/20/2040 | 0.00% |
| GNR 2014-162 DI IO 04.0000 11/20/2038 | 0.00% |
| GSMPS 1999-2 IO IO 00.8396 09/19/2027 | 0.00% |
| GSMS 2006-GG8 X IO P/P 144A 01.2699 11/10/2039 | 0.00% |
| HKD/USD 11/18/2020 BANKAM | 0.00% |
| HKD/USD 11/18/2020 GSFX | 0.00% |
| HKD/USD 11/18/2020 HSBCB | 0.00% |
| HKD/USD 11/18/2020 SSBT | 0.00% |
| HKD/USD 11/18/2020 TDBK | 0.00% |
| HKD/USD 11/18/2020 UBS | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| JPMCC 2007-LDPX X IO 00.1268 01/15/2049 | 0.00% |
| JPY/USD 11/18/2020 BANKAM | 0.00% |
| JPY/USD 11/18/2020 BCAP-FX | 0.00% |
| JPY/USD 11/18/2020 CITI | 0.00% |
| JPY/USD 11/18/2020 GSFX | 0.00% |
| JPY/USD 11/18/2020 HSBCB | 0.00% |
| JPY/USD 11/18/2020 RBSF | 0.00% |
| JPY/USD 11/18/2020 SSBT | 0.00% |
| JPY/USD 11/18/2020 WPAC | 0.00% |
| LBUBS 2007-C2 XW IO 00.3586 02/15/2040 | 0.00% |
| MLCFC 2006-4 XC IO P/P 144A 00.7433 12/12/2049 | 0.00% |
| NZD/USD 10/21/2020 CSI-FX | 0.00% |
| NZD/USD 10/21/2020 JPMCB | 0.00% |
| NZD/USD 10/21/2020 TDBK | 0.00% |
| SEK/USD 12/16/2020 HSBCB | 0.00% |
| SEK/USD 12/16/2020 JPMCB | 0.00% |
| SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA | 0.00% |
| SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA | 0.00% |
| WBCMT 2006-C29 IO IO 00.4585 11/15/2048 | 0.00% |
| 0.20 R ISWP FWD SONIA P 12/16/2030 | -0.00% |
| 1.05 R ISWP FWD CDOR03 P 12/16/2030 | -0.00% |
| 1.27 R ISWP FWD US0003M P 01/27/2047 | -0.00% |
| 2.3075 R ISWP FWD US0003M P 06/22/2052 | -0.00% |
| CHF/USD 12/16/2020 MSCIL | -0.00% |
| CHF/USD 12/16/2020 SSBT | -0.00% |
| EUR/USD 12/16/2020 HSBCB | -0.00% |
| EUR/USD 12/16/2020 MSCIL | -0.00% |
| EUR/USD CALL 1.21 20201028 MSCIL | -0.00% |
| NZD/USD 10/21/2020 WPAC | -0.00% |
| SEK/USD 12/16/2020 SSBT | -0.00% |
| SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA | -0.00% |
| EUR/USD 12/16/2020 UBS | -0.00% |
| GBP/USD 12/16/2020 RBSF | -0.00% |
| JPY/USD 11/18/2020 JPMCB | -0.00% |
| SEK/USD 12/16/2020 BANKAM | -0.00% |
| SEK/USD 12/16/2020 MSCIL | -0.00% |
| SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS | -0.00% |
| AUD/USD 10/21/2020 MSCIL | -0.00% |
| CAD/USD 10/21/2020 CSI-FX | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.00% |
| EUR/CHF CALL 1.12 20201209 CSI-FX | -0.00% |
| EUR/USD 12/16/2020 BANKAM | -0.00% |
| GBP/USD 12/16/2020 BCAP-FX | -0.00% |
| GBP/USD 12/16/2020 HSBCB | -0.00% |
| NOK/USD 12/16/2020 MSCIL | -0.00% |
| NZD/USD 10/21/2020 CITI | -0.00% |
| NZD/USD 10/21/2020 GSFX | -0.00% |
| USD/JPY PUT 100.00 20201124 BANKAM | -0.00% |
| USD/JPY PUT 100.00 20201124 GSFX | -0.00% |
| AUD/USD CALL 0.80 20210311 HSBCB | -0.00% |
| CAD/USD 10/21/2020 WPAC | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.00% |
| EUR/USD 12/16/2020 CITI | -0.00% |
| EUR/USD CALL 1.26 20210127 BANKAM | -0.00% |
| SWPTN 2MX5Y R 0.359 USD 10/13/2020 BC | -0.00% |
| USD/MXN PUT 20.00 20201130 GSFX | -0.00% |
| EUR/USD CALL 1.27 20210301 MSCIL | -0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.00% |
| NOK/USD 12/16/2020 SSBT | -0.00% |
| CAD/USD 10/21/2020 JPMCB | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| IOS.FN30.350.14 P USL1M R 01/12/45 JP | -0.01% |
| -0.15 R ISWP FWD EUR006M P 12/16/2030 | -0.01% |
| 2.184 R ISWP FWD US0003M P 12/07/2030 | -0.01% |
| CAD/USD 10/21/2020 BANKAM | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| EUR/USD CALL 1.27 20210215 BANKAM | -0.01% |
| EUR/USD CALL 1.27 20210215 UBS | -0.01% |
| GBP/USD PUT 1.20 20201218 BANKAM | -0.01% |
| SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA | -0.01% |
| AUD/USD 10/21/2020 GSFX | -0.01% |
| CLP/USD 10/21/2020 CITI | -0.01% |
| SEK/USD 12/16/2020 UBS | -0.01% |
| CAD/USD 10/21/2020 TDBK | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC | -0.01% |
| IOS.FN30.400.10 P USL1M R 01/12/41 CS | -0.01% |
| USD/CNH PUT 6.60 20210301 GSFX | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| IOS.FN30.350.12 P USL1M R 01/12/43 BC | -0.01% |
| AUD/USD 10/21/2020 UBS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | -0.01% |
| IOS.FN30.400.13 P USL1M R 01/12/44 JP | -0.01% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.01% |
| SEK/USD 12/16/2020 GSFX | -0.02% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| IOS.FN30.400.14 P USL1M R 01/12/45 JP | -0.02% |
| IOS.FN30.350.12 P USL1M R 01/12/43 GS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| IOS.FN30.300.13 P USL1M R 01/12/44 GS | -0.03% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.03% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG | -0.03% |
| EBIX US P R 07/05/22 CI | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| CAD/USD 10/21/2020 SSBT | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.04% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.05% |
| CTB US P R 07/05/22 CI | -0.06% |
| IOS.FN30.400.14 P US0001M R 01/12/45 JP | -0.07% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.07% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.08% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.08% |
| TGI US P R 07/05/22 CI | -0.08% |
| SWI US P US0001M R 07/05/22 CI | -0.09% |
| MBX.FN30.600.08 P USL1M R 01/12/39 BC | -0.09% |
| ACIW US P R 07/05/22 CI | -0.09% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG | -0.10% |
| EPC US P US0001M R 07/05/22 CI | -0.10% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.11% |
| ZYXI US P US0001M R 07/05/22 CI | -0.11% |
| BEAT US P US0001M R 07/05/22 CI | -0.11% |
| BRKR US P US0001M R 07/05/22 CI | -0.12% |
| ORA US P US0001M R 12/15/25 GS | -0.13% |
| BGS US P R 07/05/22 CI | -0.13% |
| DY US P R 07/05/22 CI | -0.13% |
| PBH US P US0001M R 07/05/22 CI | -0.13% |
| QLYS US P US0001M R 07/05/22 CI | -0.15% |
| PS US P US0001M R 07/05/22 CI | -0.15% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.16% |
| OTEX US P US0001M R 12/15/25 GS | -0.17% |
| CMPR US P US0001M R 07/05/22 CI | -0.19% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.19% |
| ENR US P R 07/05/22 CI | -0.22% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.22% |
| PB US P US0001M R 07/05/22 CI | -0.23% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.24% |
| VRT US P US0001M R 07/05/22 CI | -0.26% |
| SKX US P US0001M R 07/05/22 CI | -0.26% |
| OSK US P US0001M R 07/05/22 CI | -0.27% |
| HBI US P R 07/05/22 CI | -0.28% |
| CDX CDX.NA.HY.35 500.0 12/20/2025 | -0.37% |
| ICLR US P R 07/05/22 CI | -0.38% |
| BHC US P R 07/05/22 CI | -0.39% |
| XRAY US P US0001M R 07/05/22 CI | -0.41% |
| GWRE US P US0001M R 07/05/22 CI | -0.44% |
| AAXN US P US0001M R 07/05/22 CI | -0.45% |
| RL US P US0001M R 07/05/22 CI | -0.45% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.54% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.58% |
| TSLA US P R 07/05/22 CI | -0.65% |
| FIVE US P US0001M R 07/05/22 CI | -0.75% |
| IQV US P R 07/05/22 CI | -0.75% |
| EVBG US P US0001M R 07/05/22 CI | -0.78% |
| FSLR US P US0001M R 07/05/22 CI | -0.83% |
| MIDD US P US0001M R 07/05/22 CI | -0.84% |
| MSCI EAFE DEC20 MFSZ0 | -0.88% |
| RH US P US0001M R 07/05/22 CI | -0.91% |
| STX US P US0001M R 12/15/25 GS | -0.92% |
| AAP US P US0001M R 07/05/22 CI | -0.96% |
| ILMN US P US0001M R 07/05/22 CI | -0.96% |
| PLAN US P US0001M R 07/05/22 CI | -0.98% |
| CTXS US P US0001M R 07/05/22 CI | -1.41% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -1.48% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -1.54% |
| NDUEEGF P US0001M R 12/14/20 GS | -1.75% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -1.98% |
| US 10YR ULTRA FUT DEC20 UXYZ0 | -2.38% |
| NDUEEGF P US0003M R 09/17/21 CI | -4.10% |
| NDUEEGF P US0003M R 03/19/21 CI | -8.64% |
| NDUEEGF P US0001M R 08/18/21 UB | -11.78% |
| S&P500 EMINI FUT DEC20 ESZ0 | -11.93% |
| RU10INTR P US0003M R 06/10/21 CI | -20.97% |
| RU10INTR P US0003M R 06/20/23 BA | -31.20% |
| GSGLPWDS P US0001M R 12/15/25 GS | -32.61% |
| GSGLPW2S P US0001M R 12/15/25 GS | -32.76% |
| US 2YR NOTE (CBT) DEC20 TUZ0 | -36.82% |
| SPTR P US0001M R 05/22/23 UB | -36.89% |
Portfolio composition as of 12/31/20
| U.S. Treasury/agency | 31.28% |
|---|---|
| U.S. stocks | 29.90% |
| Agency pass-through | 25.46% |
| Commercial MBS | 14.72% |
| Agency CMO | 6.81% |
| Net cash | 5.60% |
| Residential MBS (non-agency) | 1.34% |
| Asset-backed securities (ABS) | 1.08% |
| Emerging-market stocks | -0.38% |
| International stocks | -1.53% |
| Commodities | -2.63% |
| High-yield corporate bonds | -4.78% |
| Emerging-market bonds | -6.87% |
Fixed income statistics as of 12/31/20
| Average effective maturity | 8.70 yrs. |
|---|---|
| Average effective duration | 4.68 yrs. |
| Average yield to maturity | 6.06% |
| Average coupon | 2.50% |
Maturity detail as of 12/31/20
| 0 - 1 yr. | 60.44% |
|---|---|
| 1 - 5 yrs. | 58.42% |
| 5 - 10 yrs. | -20.03% |
| 10 - 15 yrs. | 1.05% |
| Over 15 yrs. | 0.12% |
Fund characteristics will vary over time.
Due to rounding, percentages may not equal 100%.
Consider these risks before investing: Allocation of assets among asset classes may hurt performance. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions, investor sentiment and market perceptions, government actions, geopolitical events or changes, and factors related to a specific issuer, asset class, geography, industry or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund's efforts to produce lower-volatility returns may not be successful. The fund may not achieve its goal, and it is not intended to be a complete investment program. Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund's other service providers, may experience disruptions or operating errors that could have a negative effect on the fund. You can lose money by investing in the fund. The fund’s prospectus lists additional risks.
Expenses
Expense ratio |
Class A | Class B | Class C | Class R | Class R6 | Class Y |
|---|---|---|---|---|---|---|
| Total expense ratio | 0.96% | 1.71% | 1.71% | 1.21% | 0.61% | 0.71% |
| What you pay† | 0.93% | 1.68% | 1.68% | 1.18% | 0.58% | 0.68% |
† The fund's expense ratio is taken from the most recent prospectus and is subject to change. What you pay reflects Putnam Management's decision to contractually limit expenses through 02/28/21
Sales charge
| Breakpoint | Class A | Class B | Class C | Class R | Class R6 | Class Y |
|---|---|---|---|---|---|---|
| $0-$49,999 | 5.75% / 5.00% | 0.00% / 4.00% | 0.00% / 1.00% | -- | -- | -- |
| $50,000-$99,999 | 4.50% / 3.75% | 0.00% / 4.00% | 0.00% / 1.00% | -- | -- | -- |
| $100,000-$249,999 | 3.50% / 2.75% | -- | 0.00% / 1.00% | -- | -- | -- |
| $250,000-$499,999 | 2.50% / 2.00% | -- | 0.00% / 1.00% | -- | -- | -- |
| $500,000-$999,999 | 0.00% / 1.00% | -- | -- | -- | -- | -- |
| $1M-$4M | 0.00% / 1.00% | -- | -- | -- | -- | -- |
| $4M-$50M | 0.00% / 0.50% | -- | -- | -- | -- | -- |
| $50M+ | 0.00% / 0.25% | -- | -- | -- | -- | -- |
CDSC
| Class A (sales for $500,000+) | Class B | Class C | Class R | Class R6 | Class Y | |
|---|---|---|---|---|---|---|
| 0 to 9 mts. | 1.00% | 5.00% | 1.00% | -- | -- | -- |
| 9 to 12 mts. | 1.00% | 5.00% | 1.00% | -- | -- | -- |
| 2 yrs. | 0.00% | 4.00% | 0.00% | -- | -- | -- |
| 3 yrs. | 0.00% | 3.00% | 0.00% | -- | -- | -- |
| 4 yrs. | 0.00% | 3.00% | 0.00% | -- | -- | -- |
| 5 yrs. | 0.00% | 2.00% | 0.00% | -- | -- | -- |
| 6 yrs. | 0.00% | 1.00% | 0.00% | -- | -- | -- |
| 7+ yrs. | 0.00% | 0.00% | 0.00% | -- | -- | -- |
Trail commissions
| Class A | Class B | Class C | Class R | Class R6 | Class Y | |
|---|---|---|---|---|---|---|
| 0.25% | 0.25% | 1.00% | 0.50% | 0.00% | 0.00% | |
| NA | NA | NA | NA | NA | NA | |
| NA | NA | NA | NA | NA | NA |
For sales and trail commission information on purchases over $500,000 and participant-directed qualified retirement plans, see a Putnam fund prospectus and the statement of additional information.
The ICE BofA U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar denominated U.S. Treasury Bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion. You cannot invest directly in an index.
Each fund seeks to earn a positive total return that exceeds the rate of inflation by a targeted amount over a reasonable period of time regardless of market conditions. There can be no assurance that a fund will meet its objective. The fund is not intended to outperform stocks and bonds during strong market rallies. Consult your financial advisor to determine which fund fits into your investment goals and time horizon.
Consider these risks before investing: Allocation of assets among asset classes may hurt performance. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions, investor sentiment and market perceptions, government actions, geopolitical events or changes, and factors related to a specific issuer, asset class, geography, industry or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund's efforts to produce lower-volatility returns may not be successful. The fund may not achieve its goal, and it is not intended to be a complete investment program. Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund's other service providers, may experience disruptions or operating errors that could have a negative effect on the fund. You can lose money by investing in the fund. The fund’s prospectus lists additional risks.