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MassMutual Strategic Bond Fund

MASSMUTUAL SELECT FUNDS

Assets: $589M Net: $511M Series: S000003673 EDGAR ↗
+213
New
-84
Exited
1454
Positions
Period:
vs
Compare:
← All Funds
# Name Ticker Since Shares Shares Δ Value Val Δ% % Port Cat
1 US TREASURY FRN 91282CCQ2 Sep 2021 59,675,000 — $59.8M +0.1% 11.69% DBT
2 US TREASURY FRN 91282CBY6 Sep 2021 54,600,000 — $54.7M +0.1% 10.69% DBT
3 US TREASURY FRN 91282CDE8 — 21,040,000 +15,640,000 $21.1M +290.2% 4.12% DBT
4 Repurchase Agreement 85748R009 Dec 2021 13,932,842 +13,135,944 $13.9M +1648.4% 2.73% RA
5 US TREASURY N/B 912810TB4 — 14,362,000 +7,147,000 $12.6M +75.8% 2.46% DBT
6 SWS074344 CDS USD R F 5.00000 99S1RA298 — 5,990,000 New $6.3M — 1.23% DCR
7 US TREASURY N/B 91282CEF4 — 6,010,000 New $6.0M — 1.18% DBT
8 US TREASURY FRN 91282CBK6 Sep 2021 5,600,000 -29,875,000 $5.6M -84.2% 1.10% DBT
9 US TREASURY N/B 91282CDK4 — 5,370,000 -3,090,000 $5.1M -39.9% 1.00% DBT
10 WF RBS COMMERCIAL MORTGAGE TRU 96221TAQ0 Sep 2021 5,000,000 — $4.8M -4.0% 0.94% ABS-O
11 US TREASURY N/B 91282CDJ7 — 5,020,000 -8,920,000 $4.6M -66.5% 0.90% DBT
12 COMMONWEALTH BANK AUST 2027A0KG3 Sep 2021 4,560,000 -280,000 $4.5M -6.7% 0.88% DBT
13 BANK OF NOVA SCOTIA 064159YN0 Sep 2021 4,440,000 -380,000 $4.4M -8.2% 0.87% DBT
14 DELL INT LLC / EMC CORP 24703TAG1 Sep 2021 3,770,000 -320,000 $4.1M -14.4% 0.80% DBT
15 INDONESIA GOVERNMENT ACI1Q75B0 Dec 2021 58,983,000,000 — $4.0M -3.3% 0.79% DBT
16 GRACECHURCH MORTGAGE FINANCE P 38406JAJ7 Sep 2021 4,500,000 — $3.9M -9.6% 0.76% ABS-O
17 CAPITAL ONE FINANCIAL CO 14040HCL7 — 3,920,000 New $3.9M — 0.76% DBT
18 US TREASURY N/B 912810SU3 Dec 2021 4,340,000 — $3.8M -11.4% 0.74% DBT
19 BANK OF MONTREAL 06367WYH0 Sep 2021 3,770,000 -320,000 $3.8M -8.1% 0.74% DBT
20 MEX BONOS DESARR FIX RT ACI0SZJH0 Dec 2021 76,980,000 — $3.7M -1.0% 0.72% DBT
21 FNMA TBA 30 YR 3.5 01F032666 — 3,700,000 New $3.7M — 0.72% ABS-MBS
22 ATHENE GLOBAL FUNDING 04685A2X8 Sep 2021 3,560,000 -300,000 $3.5M -9.1% 0.69% DBT
23 TACO BELL FUNDING, LLC 87342RAJ3 Sep 2021 3,990,000 -10,000 $3.5M -11.2% 0.68% ABS-O
24 CANADIAN IMPERIAL BANK 13607GKW3 Sep 2021 3,360,000 — $3.4M -0.3% 0.66% DBT
25 NATIONAL AUSTRALIA BANK 6325C0EA5 — 3,190,000 New $3.2M — 0.62% DBT
26 US TREASURY N/B 912810SX7 Dec 2021 2,910,000 — $2.9M -11.0% 0.56% DBT
27 FNMA TBA 30 YR 2.5 01F022642 — 2,600,000 New $2.5M — 0.49% ABS-MBS
28 CREDIT SUISSE MORTGAGE TRUST 12597HAA4 Dec 2021 2,500,000 — $2.5M +0.1% 0.48% ABS-O
29 DELTA AIR LINES/SKYMILES DAL504 Dec 2021 2,410,000 — $2.4M -7.6% 0.48% DBT
30 State Street Navigator Securities Lending Trust 638995910 — 2,385,545 New $2.4M — 0.47% STIV
31 HERTZ VEHICLE FINANCING LLC 42806MAG4 Sep 2021 2,500,000 — $2.3M -6.2% 0.46% ABS-O
32 US TREASURY N/B 912810TD0 — 2,355,000 New $2.3M — 0.44% DBT
33 PETROLEOS MEXICANOS 71654QDD1 Sep 2021 2,470,000 — $2.2M -9.5% 0.42% DBT
34 US TREASURY N/B 912810TC2 — 2,370,000 -690,000 $2.1M -30.6% 0.42% DBT
35 AES CORP/THE 00130HCC7 Sep 2021 2,080,000 — $2.1M -7.0% 0.40% DBT
36 CREDIT SUISSE MORTGAGE TRUST 12649AAS8 Dec 2021 2,440,000 — $1.9M -2.9% 0.37% ABS-O
37 US TREASURY N/B 912810RD2 Dec 2021 1,560,000 — $1.8M -10.5% 0.36% DBT
38 DELTA AIR LINES INC 247361ZX9 Dec 2021 1,670,000 — $1.8M -6.0% 0.35% DBT
39 BOEING CO 097023CW3 Dec 2021 1,510,000 -200,000 $1.7M -25.0% 0.34% DBT
40 AES PANAMA GENERATION HL 00109AAB3 Sep 2021 1,730,000 — $1.6M -8.5% 0.32% DBT
41 MEX BONOS DESARR FIX RT ACI01W4Q2 Dec 2021 34,785,600 — $1.6M -1.1% 0.32% DBT
42 WELLS FARGO + COMPANY 95000U2M4 Dec 2021 1,350,000 — $1.6M -13.4% 0.31% DBT
43 US TREASURY N/B 912810SZ2 Sep 2021 1,760,000 +60,000 $1.6M -8.2% 0.31% DBT
44 US TREASURY N/B 912810SL3 Dec 2021 1,730,000 — $1.6M -11.1% 0.31% DBT
45 FREDDIE MAC STACR 3137G0MX4 Dec 2021 1,450,000 — $1.5M -1.6% 0.30% ABS-O
46 GOLUB CAPITAL BDC 38173MAB8 Sep 2021 1,570,000 -300,000 $1.4M -21.5% 0.28% DBT
47 MEX BONOS DESARR FIX RT P9767G6N6 Dec 2021 28,500,000 — $1.4M -2.1% 0.28% DBT
48 FNMA TBA 30 YR 3 01F030645 — 1,400,000 New $1.4M — 0.27% ABS-MBS
49 BLUE OWL FINANCE LLC 09581JAA4 Sep 2021 1,610,000 — $1.4M -13.4% 0.27% DBT
50 FED HM LN PC POOL G60985 31335BCW4 Dec 2021 1,311,879 -68,724 $1.3M -10.5% 0.26% ABS-MBS
51 BWS058263 IRS USD R V 00MSOFR 99S1NXPO4 Sep 2021 17,179,000 — $1.2M +224.8% 0.24% DIR
52 ABU DHABI GOVT INT L 29135LAF7 Dec 2021 1,330,000 — $1.2M -10.3% 0.24% DBT
53 GS MORTGAGE SECURITIES TRUST 36255TAA0 Dec 2021 1,267,996 -26,681 $1.2M -1.8% 0.23% ABS-O
54 FORD CREDIT FLOORPLAN MASTER O 34528PAK2 Dec 2021 1,100,000 — $1.1M -7.3% 0.22% ABS-O
55 ASSET BACKED SECURITIES CORP H 04541GGM8 Dec 2021 1,226,152 -11,253 $1.1M -1.3% 0.22% ABS-O
56 BOEING CO 097023CX1 Dec 2021 940,000 +30,000 $1.1M -14.4% 0.21% DBT
57 LEGACY MORTGAGE ASSET TRUST 52475FAF0 Dec 2021 1,057,521 -99,840 $1.1M -8.9% 0.21% ABS-O
58 NOTA DO TESOURO NACIONAL ACI1J1NR6 — 5,316,000 -4,892,000 $1.0M -40.3% 0.21% DBT
59 GS MORTGAGE SECURITIES CORP. 36249UAC2 Dec 2021 1,220,000 — $1.0M -1.9% 0.21% ABS-O
60 CREDIT SUISSE MORTGAGE TRUST 12651QAS8 Dec 2021 1,160,000 — $1.0M -4.0% 0.20% ABS-O
61 FNMA POOL MA2773 31418CCK8 Dec 2021 1,019,236 -73,392 $1.0M -10.8% 0.20% ABS-MBS
62 ENTERPRISE PRODUCTS OPER 29379VBT9 Dec 2021 980,000 — $1.0M -7.4% 0.20% DBT
63 US TREASURY N/B 91282CBG5 — 1,010,000 New $998K — 0.20% DBT
64 GOVERNMENT NATIONAL MORTGAGE A 38375UQY9 Dec 2021 972,380 -57,933 $977K -5.7% 0.19% ABS-O
65 READYCAP COMMERCIAL MORTGAGE T 75575WAA4 — 979,863 -84 $971K -0.9% 0.19% ABS-CBDO
66 BWS036004 IRS USD R V 12MSOFR 99S1GSWF4 Dec 2021 3,470,000 — $968K +52.4% 0.19% DIR
67 PETROBRAS GLOBAL FINANCE 71647NAY5 Dec 2021 900,000 — $945K -3.7% 0.18% DBT
68 MAGNOLIA FINANCE X DAC 2019 1 55960WAB7 Dec 2021 955,000 -5,000 $934K +0.3% 0.18% DBT
69 REPUBLIC OF INDONESIA Y20721BM0 Dec 2021 830,000 — $918K -11.0% 0.18% DBT
70 INTESA SANPAOLO SPA 46115HAT4 Dec 2021 900,000 — $908K -5.9% 0.18% DBT
71 BANK OF AMERICA CORP 06051GHG7 Dec 2021 890,000 +290,000 $905K +37.7% 0.18% DBT
72 FED HM LN PC POOL RB5125 3133KYVS5 Sep 2021 958,162 -19,576 $900K -9.1% 0.18% ABS-MBS
73 WESTERN MIDSTREAM OPERAT 958667AC1 Dec 2021 900,000 — $896K -9.6% 0.18% DBT
74 MORGAN STANLEY CAPITAL I TRUST 61768HBA3 Dec 2021 850,000 — $879K -7.0% 0.17% ABS-O
75 FED HM LN PC POOL Q19985 3132JBRF2 Dec 2021 841,863 -42,408 $878K -9.1% 0.17% ABS-MBS
76 JPMORGAN CHASE + CO 46647PAX4 Dec 2021 830,000 +280,000 $867K +38.8% 0.17% DBT
77 RBSSP RESECURITIZATION TRUST 74927DAM8 Dec 2021 860,224 -78,791 $843K -10.3% 0.16% ABS-O
78 DIVIDEND SOLAR LOANS LLC 255388AA8 Dec 2021 842,417 -46,453 $835K -9.9% 0.16% ABS-O
79 UNITED MEXICAN STATES 91086QBB3 Dec 2021 830,000 +200,000 $817K +19.2% 0.16% DBT
80 TEVA PHARMACEUTICALS NE 88167AAE1 Dec 2021 900,000 — $816K -3.6% 0.16% DBT
81 US TREASURY N/B 91282CCS8 Sep 2021 890,000 -750,000 $809K -49.5% 0.16% DBT
82 CIGNA CORP 125523AH3 Dec 2021 760,000 +20,000 $801K -4.8% 0.16% DBT
83 US TREASURY N/B 91282CCB5 Dec 2021 850,000 -1,040,000 $801K -58.2% 0.16% DBT
84 GNMA II TBA 30 YR 3 21H030666 — 800,000 New $787K — 0.15% ABS-MBS
85 ARBOR REALTY COLLATERALIZED LO 03880RAA7 — 790,000 — $783K -1.0% 0.15% ABS-CBDO
86 ARBOR REALTY COLLATERALIZED LO 03880KAA2 Sep 2021 790,000 — $781K -1.0% 0.15% ABS-CBDO
87 HGI CRE CLO LTD 40390JAA0 Sep 2021 790,000 — $779K -1.1% 0.15% ABS-CBDO
88 PFP III 69357XAA9 Sep 2021 790,000 — $779K -1.1% 0.15% ABS-CBDO
89 FREDDIE MAC STACR 35566CAH8 Dec 2021 780,000 — $773K -1.4% 0.15% ABS-O
90 CCO HLDGS LLC/CAP CORP 1248EPCN1 Dec 2021 840,000 +10,000 $770K -9.9% 0.15% DBT
91 STATE OF QATAR 74727PBB6 Dec 2021 640,000 — $758K -9.6% 0.15% DBT
92 FED HM LN PC POOL SD7548 3132DVL52 — 788,897 New $758K — 0.15% ABS-MBS
93 STRIP PRINC 912803FJ7 Dec 2021 1,450,000 — $752K -12.5% 0.15% DBT
94 MORGAN STANLEY 6174468P7 Dec 2021 750,000 — $746K -8.8% 0.15% DBT
95 STRUCTURED ASSET INVESTMENT LO 86358ELT1 Dec 2021 764,051 -87,579 $746K -10.4% 0.15% ABS-O
96 BOEING CO 097023CR4 Sep 2021 860,000 — $745K -17.0% 0.15% DBT
97 SANDS CHINA LTD 80007RAF2 Dec 2021 750,000 — $743K -5.5% 0.15% DBT
98 OCCIDENTAL PETROLEUM COR 674599DL6 Dec 2021 630,000 — $740K -9.4% 0.14% DBT
99 WELLS FARGO COMMERCIAL MORTGAG 95000GBD5 Dec 2021 780,000 — $728K -6.9% 0.14% ABS-O
100 CITIGROUP MORTGAGE LOAN TRUST 17312VAV0 Dec 2021 1,585,262 -31,110 $728K +7.1% 0.14% ABS-O
101 BOEING CO 097023CV5 Dec 2021 640,000 -130,000 $720K -27.4% 0.14% DBT
102 FNMA POOL BM1565 3140J5W39 Dec 2021 722,594 -36,949 $720K -10.5% 0.14% ABS-MBS
103 REPUBLIC OF INDONESIA 455780CD6 Dec 2021 700,000 +300,000 $717K +66.3% 0.14% DBT
104 FNMA POOL CB0470 3140QKQY7 Dec 2021 736,996 -18,462 $715K -8.5% 0.14% ABS-MBS
105 FED REPUBLIC OF BRAZIL 105756BR0 Dec 2021 730,000 -170,000 $708K -22.9% 0.14% DBT
106 NEW RESIDENTIAL MORTGAGE LOAN 64829VAD8 Dec 2021 730,000 — $706K -8.8% 0.14% ABS-O
107 SWS074161 CDS USD R F 1.00000 99S1R3ZO5 — 44,169,000 New $698K — 0.14% DCR
108 CITIGROUP INC 172967JC6 Dec 2021 670,000 — $690K -7.0% 0.13% DBT
109 USQ RAIL I LLC 90352WAD6 Dec 2021 739,757 -8,869 $684K -8.4% 0.13% ABS-O
110 TOWD POINT MORTGAGE TRUST 89173UAF4 Dec 2021 740,000 — $682K -12.4% 0.13% ABS-O
111 FNMA POOL MA4305 31418DYB2 — 729,986 New $680K — 0.13% ABS-MBS
112 GNMA II POOL MA4511 36179TAL9 Dec 2021 653,950 -84,030 $675K -14.1% 0.13% ABS-MBS
113 ECOPETROL SA 279158AJ8 Dec 2021 770,000 — $675K -8.4% 0.13% DBT
114 FED HM LN PC POOL G67701 3132XCRW7 Dec 2021 658,479 -34,159 $656K -10.6% 0.13% ABS-MBS
115 GNMA POOL AB9108 36178WDM8 Dec 2021 604,097 -30,694 $610K -9.1% 0.12% ABS-MBS
116 CREDIT SUISSE MORTGAGE TRUST 12657PAA3 Dec 2021 605,825 -110,045 $610K -15.5% 0.12% ABS-O
117 CVS HEALTH CORP 126650CX6 Dec 2021 578,000 — $606K -6.7% 0.12% DBT
118 LAS VEGAS SANDS CORP 517834AG2 Dec 2021 630,000 — $602K -6.2% 0.12% DBT
119 GNMA II TBA 30 YR 3.5 21H032662 — 600,000 New $600K — 0.12% ABS-MBS
120 MICROSOFT CORP 594918BR4 Dec 2021 600,000 — $594K -5.4% 0.12% DBT
121 ABBVIE INC 00287YBX6 Dec 2021 600,000 +30,000 $592K -2.9% 0.12% DBT
122 BWS036087 IRS USD R V 00MSOFR 99S1H9R38 Dec 2021 2,400,000 — $591K +67.5% 0.12% DIR
123 BANCO SANTANDER SA 05971KAE9 Dec 2021 600,000 — $585K -5.7% 0.11% DBT
124 REPUBLIC OF ARGENTINA 040114HT0 Dec 2021 1,927,319 — $585K -5.1% 0.11% DBT
125 US TREASURY N/B 912810SS8 Dec 2021 710,000 — $583K -11.6% 0.11% DBT
126 REPUBLIC OF PERU 715638AU6 Dec 2021 460,000 — $580K -7.4% 0.11% DBT
127 FED HM LN PC POOL G67713 3132XCSA4 Dec 2021 558,794 -50,762 $578K -12.5% 0.11% ABS-MBS
128 CONSECO FINANCIAL CORP 393505MR0 Dec 2021 549,849 -67,064 $573K -12.3% 0.11% ABS-O
129 FIRSTENERGY CORP FE.GS Dec 2021 460,000 — $568K -8.5% 0.11% DBT
130 SMB PRIVATE EDUCATION LOAN TRU 78448YAD3 Dec 2021 600,000 — $566K -4.8% 0.11% ABS-O
131 BANK OF AMERICA CORP 06051GHD4 Dec 2021 570,000 — $565K -7.2% 0.11% DBT
132 FNMA POOL BU0051 3140M1BV5 Sep 2021 587,476 -5,770 $562K -7.5% 0.11% ABS-MBS
133 FED HM LN PC POOL 841076 31288QFR6 — 563,275 -59,117 $558K -12.6% 0.11% ABS-MBS
134 REPUBLIC OF POLAND 857524AC6 Dec 2021 540,000 — $554K -3.0% 0.11% DBT
135 INSTAR LEASING III, LLC 45783NAA5 Dec 2021 595,240 -7,362 $554K -7.4% 0.11% ABS-O
136 ABBVIE INC 00287YBZ1 Dec 2021 550,000 — $547K -4.3% 0.11% DBT
137 OCCIDENTAL PETROLEUM COR 674599CL7 Dec 2021 590,000 — $543K -6.1% 0.11% DBT
138 BARCLAYS PLC 06738EBK0 Dec 2021 510,000 — $529K -8.6% 0.10% DBT
139 VERIZON COMMUNICATIONS 92343VGJ7 Dec 2021 570,000 — $529K -8.1% 0.10% DBT
140 PETROBRAS GLOBAL FINANCE 71647NBJ7 Dec 2021 610,000 — $523K -7.5% 0.10% DBT
141 FREEPORT MCMORAN INC 35671DBC8 Dec 2021 466,000 +40,000 $522K -2.5% 0.10% DBT
142 UBS GROUP AG 90352JAF0 Dec 2021 500,000 — $522K -3.2% 0.10% DBT
143 FNMA POOL MA2832 31418CEE0 Dec 2021 518,139 -36,044 $520K -10.6% 0.10% ABS-MBS
144 FREMF MORTGAGE TRUST 302986AC8 Dec 2021 506,574 -108,559 $514K -16.5% 0.10% ABS-O
145 SOUTHERN COPPER CORP 84265VAG0 Dec 2021 450,000 — $511K -9.8% 0.10% DBT
146 CITIGROUP INC C53776 — 510,000 New $507K — 0.10% DBT
147 GOLDMAN SACHS GROUP INC 38141GWZ3 Dec 2021 490,000 — $503K -7.7% 0.10% DBT
148 APACHE CORP 037411BC8 Dec 2021 570,000 — $499K -13.6% 0.10% DBT
149 FNMA POOL BF0141 3140FXEP3 Dec 2021 451,391 -29,394 $498K -9.3% 0.10% ABS-MBS
150 CITIGROUP INC 172967KA8 Dec 2021 480,000 — $496K -7.4% 0.10% DBT
151 FNMA POOL FS1074 3140XGFQ7 — 500,000 New $496K — 0.10% ABS-MBS
152 BANK OF AMERICA CORP 06051GJA8 Dec 2021 480,000 — $495K -14.5% 0.10% DBT
153 IHEARTCOMMUNICATIONS INC 45174UAF5 Dec 2021 495,927 — $492K -0.0% 0.10% LON
154 GENESEE + WYOMING INC NEW 55316HAB1 Dec 2021 496,290 -2,532 $490K -1.0% 0.10% LON
155 NEXSTAR BROADCASTING INC 65336RAW8 Dec 2021 492,275 — $490K -0.2% 0.10% LON
156 CAESARS RESORT COLLECTION LLC 12769LAB5 Dec 2021 492,470 -2,572 $489K -0.5% 0.10% LON
157 LEVEL 3 FINANCING INC 52729KAP1 Dec 2021 498,362 — $489K -0.6% 0.10% LON
158 FNMA POOL BF0222 3140FXG89 Dec 2021 454,512 -30,963 $487K -10.1% 0.10% ABS-MBS
159 PHOENIX GUARANTOR INC 71913BAE2 Dec 2021 492,427 — $486K -0.5% 0.10% LON
160 HSBC HOLDINGS PLC 404280CG2 Dec 2021 510,000 — $486K -5.4% 0.09% DBT
161 MCAFEE LLC 55910RAB9 Dec 2021 488,775 — $484K -0.6% 0.09% LON
162 JAZZ FINANCING LUX SARL G5080AAF9 Dec 2021 486,325 -1,225 $484K -1.0% 0.09% LON
163 WAMU MORTGAGE PASS THROUGH CER 92925CDB5 Dec 2021 506,053 -34,389 $484K -8.2% 0.09% ABS-O
164 WELLS FARGO COMMERCIAL MORTGAG 95002MAY5 Dec 2021 5,589,618 -103,308 $483K -9.5% 0.09% ABS-O
165 PRIME SECURITY SERV BOROWR LLC 03765VAK6 Dec 2021 486,297 — $482K -0.7% 0.09% LON
166 API GROUP DE INC 00186XAB9 Dec 2021 486,314 -5,489 $480K -2.2% 0.09% LON
167 UNITED AIRLINES, INC. 90932RAJ3 Dec 2021 486,201 -1,225 $480K -1.7% 0.09% LON
168 DEVON ENERGY CORPORATION 25179MAU7 Dec 2021 440,000 — $480K -10.1% 0.09% DBT
169 COOPERATIEVE RABOBANK UA 21684AAC0 Dec 2021 470,000 — $478K -6.1% 0.09% DBT
170 GOVERNMENT NATIONAL MORTGAGE A 38380QAW2 Dec 2021 460,606 -36,008 $478K -9.3% 0.09% ABS-O
171 AMAZON.COM INC 023135BC9 Dec 2021 470,000 — $478K -5.9% 0.09% DBT
172 FNMA TBA 30 YR 2.5 01F022659 — 500,000 New $476K — 0.09% ABS-MBS
173 PRIME MORTGAGE TRUST 74159UAD9 Dec 2021 532,247 -23,025 $474K -3.4% 0.09% ABS-O
174 APPLE INC 037833BZ2 Dec 2021 480,000 — $474K -5.4% 0.09% DBT
175 TRITON WATER HOLDINGS, INC. 89678QAB2 Dec 2021 486,325 -1,335 $474K -1.7% 0.09% LON
176 PROSUS NV 74365PAF5 Sep 2021 570,000 — $474K -14.9% 0.09% DBT
177 HORIZON THERAPEUTICS USA INC 44055UAD7 Dec 2021 476,400 -1,200 $471K -0.9% 0.09% LON
178 VERIZON COMMUNICATIONS 92343VER1 Dec 2021 440,000 — $465K -7.0% 0.09% DBT
179 FNMA POOL FM3123 3140X6PH8 Dec 2021 468,497 -30,259 $458K -10.8% 0.09% ABS-MBS
180 STATION CASINOS LLC 85769EAZ4 Dec 2021 465,094 -1,201 $458K -0.8% 0.09% LON
181 FED REPUBLIC OF BRAZIL 105756BW9 Dec 2021 510,000 — $454K -4.9% 0.09% DBT
182 CREDIT SUISSE GROUP AG 225401AQ1 Dec 2021 480,000 — $451K -6.7% 0.09% DBT
183 GNMA II POOL MA4720 36179TG58 Dec 2021 435,984 -59,805 $450K -14.7% 0.09% ABS-MBS
184 PACIFIC GAS + ELECTRIC PCG500 Dec 2021 450,000 — $449K -0.1% 0.09% DBT
185 FNMA POOL FM3773 3140X7FP9 Dec 2021 441,148 -42,570 $448K -13.0% 0.09% ABS-MBS
186 FREDDIE MAC STACR 35565KAH1 Dec 2021 447,955 -89,999 $447K -17.2% 0.09% ABS-O
187 PFCA HOME EQUITY INVESTMENT TR 717060AH0 Dec 2021 449,000 -48,530 $447K -9.6% 0.09% ABS-O
188 FED HM LN PC POOL RA1293 3133KGNJ3 Dec 2021 449,516 -20,957 $445K -10.3% 0.09% ABS-MBS
189 VERIZON COMMUNICATIONS 92343VFU3 Dec 2021 530,000 — $443K -12.3% 0.09% DBT
190 WILLIAMS COS INC 969457BD1 Dec 2021 350,000 — $439K -7.5% 0.09% DBT
191 RACKSPACE TECHNOLOGY GLOBAL 936RLKII5 Dec 2021 445,500 -1,125 $436K -1.5% 0.09% LON
192 ORBIA ADVANCE CORP SAB 68560EAB4 Dec 2021 490,000 — $434K -9.5% 0.08% DBT
193 CMG MEDIA CORPORATION 88145LAE4 Dec 2021 439,784 -1,113 $433K -1.4% 0.08% LON
194 MAGALLANES INC 55903VAL7 — 430,000 New $432K — 0.08% DBT
195 BROADCOM INC 11135FBP5 Sep 2021 490,000 — $432K -12.5% 0.08% DBT
196 FNMA POOL FM3469 3140X62B6 Dec 2021 424,459 -43,277 $432K -13.3% 0.08% ABS-MBS
197 GOLDMAN SACHS GROUP INC 38141GWL4 Dec 2021 430,000 +290,000 $431K +185.8% 0.08% DBT
198 FANNIEMAE ACES 3136B57A7 Dec 2021 434,699 -25,482 $429K -11.5% 0.08% ABS-O
199 FNMA POOL BF0148 3140FXEW8 Dec 2021 407,610 -22,301 $427K -9.9% 0.08% ABS-MBS
200 FED HM LN PC POOL SD0552 3132DMTH8 Dec 2021 457,870 -9,229 $426K -8.7% 0.08% ABS-MBS
201 CITIGROUP INC 172967MP3 Dec 2021 410,000 — $426K -9.2% 0.08% DBT
202 ENERGY TRANSFER LP 29278NAQ6 Dec 2021 430,000 — $423K -7.2% 0.08% DBT
203 TEVA PHARMACEUTICALS NE 88167AAD3 Dec 2021 420,000 — $416K -1.3% 0.08% DBT
204 FED HM LN PC POOL QB9087 3133AGCY3 Dec 2021 445,045 -15,823 $416K -9.9% 0.08% ABS-MBS
205 FNMA POOL FM5423 3140X9AZ8 Dec 2021 430,723 -13,962 $413K -9.5% 0.08% ABS-MBS
206 DELTA AIR LINES INC 247361ZZ4 Dec 2021 380,000 — $413K -7.7% 0.08% DBT
207 TEVA PHARMACEUTICALS NE 88167AAN1 Dec 2021 390,000 — $410K -1.7% 0.08% DBT
208 BNP PARIBAS 09659W2F0 Dec 2021 400,000 — $408K -9.1% 0.08% DBT
209 AMERICAN TRANSMISSION SY 030288AC8 — 440,000 +40,000 $407K +0.7% 0.08% DBT
210 STATE OF QATAR 74727PBA8 Dec 2021 380,000 — $406K -5.2% 0.08% DBT
211 SUZANO AUSTRIA GMBH 86964WAJ1 Dec 2021 430,000 — $405K -7.4% 0.08% DBT
212 SAXON ASSET SECURITIES TRUST 80556AAD9 Dec 2021 440,000 — $404K -1.1% 0.08% ABS-O
213 NISSAN MOTOR CO 654744AB7 Dec 2021 410,000 — $402K -6.4% 0.08% DBT
214 FNMA POOL AS7738 3138WHS45 Dec 2021 405,074 -26,198 $402K -11.8% 0.08% ABS-MBS
215 FED HM LN PC POOL ZA6680 31329QM57 Dec 2021 387,640 -37,039 $400K -12.8% 0.08% ABS-MBS
216 ZAYO GROUP HOLDINGS INC 98919XAB7 Dec 2021 410,000 -20,000 $399K -6.0% 0.08% LON
217 ACCREDITED MORTGAGE LOAN TRUST 00437NAE2 Dec 2021 420,000 — $395K -1.1% 0.08% ABS-O
218 BANK OF AMERICA CORP 06051GFH7 Dec 2021 380,000 — $390K -4.4% 0.08% DBT
219 VANGUARD GROUP INC 935QKPII8 Dec 2021 450,000 — $387K -12.2% 0.08% DBT
220 ANHEUSER BUSCH INBEV WOR 035240AT7 Dec 2021 360,000 — $384K -13.7% 0.08% DBT
221 WELLS FARGO + COMPANY 94974BGL8 Dec 2021 370,000 — $384K -6.9% 0.08% DBT
222 LLOYDS BANKING GROUP PLC LYG466 Dec 2021 370,000 — $382K -9.2% 0.07% DBT
223 GLOBAL MEDICAL RESPONSE INC 00169QAF6 Dec 2021 384,940 -972 $382K -0.6% 0.07% LON
224 CHARTER COMM OPT LLC/CAP 161175BR4 Dec 2021 360,000 — $381K -7.5% 0.07% DBT
225 FNMA POOL AS6328 3138WGA61 Dec 2021 374,172 -42,897 $379K -14.4% 0.07% ABS-MBS
226 CASTLELAKE AVIATION ONE DSGNTD 14855NAB2 — 388,050 -975 $377K -2.5% 0.07% LON
227 EL PASO NATURAL GAS 283695BK9 Dec 2021 289,000 — $375K -9.3% 0.07% DBT
228 CLARIOS GLOBAL LP C8000CAG8 Dec 2021 380,344 — $375K -0.7% 0.07% LON
229 GOLDMAN SACHS GROUP INC 38141GXJ8 Dec 2021 370,000 — $373K -4.7% 0.07% DBT
230 MONDELEZ INTERNATIONAL 609207AU9 Dec 2021 390,000 — $373K -4.5% 0.07% DBT
231 FANNIE MAE CAS 30711XY32 Dec 2021 370,000 — $371K -4.4% 0.07% ABS-O
232 FNMA POOL BL5850 3140HXQC7 Dec 2021 384,590 -2,104 $370K -7.3% 0.07% ABS-MBS
233 HARBOR FREIGHT TOOLS USA INC 41151PAP0 Sep 2021 375,423 -950 $367K -2.2% 0.07% LON
234 ALTERRA MOUNTAIN COMPANY 46124CAJ6 Sep 2021 368,552 -926 $365K -0.9% 0.07% LON
235 GS MORTGAGE SECURITIES TRUST 36264YAA8 Dec 2021 370,000 — $364K -1.6% 0.07% ABS-O
236 FNMA POOL CA9390 3140QHNG6 — 379,515 New $363K — 0.07% ABS-MBS
237 FREDDIE MAC STACR 35565HBD6 Dec 2021 380,000 — $363K -4.3% 0.07% ABS-O
238 SOLIS IV BV N8137FAB6 — 370,000 New $362K — 0.07% LON
239 SLM STUDENT LOAN TRUST 78442GHH2 Dec 2021 364,422 -15,057 $361K -4.9% 0.07% ABS-O
240 REPUBLIC OF COLOMBIA 195325DZ5 Dec 2021 430,000 — $359K -7.0% 0.07% DBT
241 TEVA PHARMACEUTICALS NE 88167AAL5 Dec 2021 350,000 — $359K -2.1% 0.07% DBT
242 QATAR ENERGY 74730DAD5 Dec 2021 390,000 — $358K -10.8% 0.07% DBT
243 FNMA POOL CB0114 3140QKDU9 Dec 2021 368,583 -8,087 $357K -8.3% 0.07% ABS-MBS
244 DP WORLD PLC 23330JAB7 Dec 2021 330,000 — $356K -12.0% 0.07% DBT
245 CREDIT SUISSE MORTGAGE TRUST 12650BAS2 Dec 2021 717,784 -28,968 $355K -2.5% 0.07% ABS-O
246 BX TRUST 056059AS7 Dec 2021 357,000 — $354K -0.5% 0.07% ABS-O
247 MORGAN STANLEY 61744YAP3 Dec 2021 350,000 — $353K -7.3% 0.07% DBT
248 T MOBILE USA INC 87264ABB0 Dec 2021 350,000 — $353K -4.9% 0.07% DBT
249 FORD MOTOR CREDIT CO LLC 345397B51 Dec 2021 390,000 — $352K -9.9% 0.07% DBT
250 CITIGROUP COMMERCIAL MORTGAGE 17322VAW6 Dec 2021 350,000 — $351K -4.6% 0.07% ABS-O
251 INTESA SANPAOLO SPA 46115HBC0 Dec 2021 350,000 — $351K -1.9% 0.07% DBT
252 WELLS FARGO + COMPANY 95000U2U6 — 360,000 New $350K — 0.07% DBT
253 UBS GROUP AG 90352JAC7 Dec 2021 340,000 — $347K -7.8% 0.07% DBT
254 ATHENAHEALTH INC 04686RAB9 — 350,580 New $346K — 0.07% LON
255 QATAR ENERGY 74730DAE3 Dec 2021 380,000 — $346K -10.0% 0.07% DBT
256 WELLS FARGO + COMPANY 949746SH5 Dec 2021 350,000 — $346K -6.1% 0.07% DBT
257 REPUBLIC OF COLOMBIA 195325EA9 Dec 2021 440,000 — $344K -6.3% 0.07% DBT
258 MILEAGE PLUS HLDINGS LLC 599191AA1 Dec 2021 330,000 — $344K -2.3% 0.07% DBT
259 JANE STREET GROUP LLC 47077DAG5 Dec 2021 349,219 -1,768 $344K -1.2% 0.07% LON
260 REPUBLIC OF PANAMA 698299BM5 Dec 2021 350,000 — $343K -11.1% 0.07% DBT
261 EXXON MOBIL CORPORATION 30231GBH4 Dec 2021 340,000 — $342K -4.3% 0.07% DBT
262 GRIFOLS WORLDWIDE OPERATIONS U 39843PAG8 Dec 2021 347,795 -120,000 $342K -25.9% 0.07% LON
263 FNMA POOL BR3290 3140L1UQ6 Dec 2021 364,925 -8,611 $340K -9.0% 0.07% ABS-MBS
264 SINOPEC GRP OVERSEA 2014 82937WAE5 Dec 2021 330,000 — $339K -3.9% 0.07% DBT
265 BP CAPITAL MARKETS PLC 05565QDA3 Dec 2021 330,000 — $337K -4.2% 0.07% DBT
266 HSBC HOLDINGS PLC 404280AU3 Dec 2021 330,000 — $334K -5.9% 0.07% DBT
267 KUWAIT INTL BOND 501499AB3 Dec 2021 320,000 — $333K -4.5% 0.07% DBT
268 BANK OF AMERICA CORP 06051GJB6 Dec 2021 360,000 — $332K -8.8% 0.06% DBT
269 JOHNSON + JOHNSON 478160CF9 Dec 2021 320,000 — $331K -10.1% 0.06% DBT
270 FED HM LN PC POOL RA3882 3133KKJ34 Dec 2021 352,960 -8,095 $329K -8.9% 0.06% ABS-MBS
271 JPMORGAN CHASE + CO 46647PBK1 Dec 2021 340,000 — $328K -4.9% 0.06% DBT
272 ANHEUSER BUSCH CO/INBEV 03522AAG5 Dec 2021 320,000 — $327K -4.8% 0.06% DBT
273 CITIGROUP INC 172967JM4 Dec 2021 320,000 — $326K -4.7% 0.06% DBT
274 GOLDMAN SACHS GROUP INC 38148LAF3 Dec 2021 290,000 — $324K -14.3% 0.06% DBT
275 FED HM LN PC POOL ZS9316 3132AAK52 Dec 2021 315,615 -22,074 $323K -10.8% 0.06% ABS-MBS
276 IBM CORP 459200JY8 Dec 2021 320,000 — $322K -3.6% 0.06% DBT
277 DELTA AIR LINES/SKYMILES 830867AA5 Dec 2021 320,000 — $322K -4.3% 0.06% DBT
278 BOEING CO 097023CP8 Dec 2021 360,000 — $322K -11.5% 0.06% DBT
279 JPMORGAN CHASE + CO 46647PAV8 Dec 2021 310,000 — $321K -7.5% 0.06% DBT
280 FANNIE MAE 31397UUU1 Dec 2021 295,127 -23,806 $321K -10.9% 0.06% ABS-O
281 FNMA POOL AD5481 31418TCT2 Dec 2021 303,230 -13,828 $321K -8.2% 0.06% ABS-MBS
282 ORACLE CORP 68389XCE3 Dec 2021 350,000 — $319K -9.4% 0.06% DBT
283 REPUBLIC OF KENYA 491798AL8 Dec 2021 370,000 — $317K -12.5% 0.06% DBT
284 CREDIT SUISSE GROUP AG 225401AU2 Dec 2021 350,000 — $316K -11.5% 0.06% DBT
285 GOVERNMENT NATIONAL MORTGAGE A 38380LCX9 Dec 2021 314,937 -23,622 $315K -7.2% 0.06% ABS-O
286 CHEVRON USA INC 166756AR7 Dec 2021 300,000 — $313K -5.9% 0.06% DBT
287 SHOPS AT CRYSTALS TRUST 2016 C 82510WAA8 Dec 2021 320,000 — $313K -5.1% 0.06% ABS-O
288 FNMA POOL MA2523 31418BYV2 Dec 2021 309,317 -25,299 $310K -11.8% 0.06% ABS-MBS
289 FIRST FRANKLIN MTG LOAN ASSET 32028GAB1 Dec 2021 329,120 -12,088 $310K -4.5% 0.06% ABS-O
290 DANONE SA 23636TAD2 Dec 2021 310,000 — $310K -2.5% 0.06% DBT
291 FNMA POOL BR2664 3140L06A0 Dec 2021 331,516 -17,890 $310K -11.5% 0.06% ABS-MBS
292 MAGALLANES INC 55903VAQ6 — 300,000 New $307K — 0.06% DBT
293 JPMORGAN CHASE + CO 46625HJY7 Dec 2021 300,000 — $307K -3.6% 0.06% DBT
294 STATE OF ISRAEL 46513JB34 Dec 2021 310,000 — $307K -6.9% 0.06% DBT
295 AMWINS GROUP INC 03234TAW8 Dec 2021 306,126 -775 $301K -1.2% 0.06% LON
296 MICROSOFT CORP 594918BY9 Dec 2021 290,000 — $299K -5.5% 0.06% DBT
297 FRONERI INTERNATIONAL PLC G3679YAC6 Dec 2021 304,575 -775 $299K -0.8% 0.06% LON
298 ENERGY TRANSFER LP 29279FAA7 Dec 2021 260,000 — $298K -12.5% 0.06% DBT
299 SCIENTIFIC GAMES INTL INC 80875AAP6 Dec 2021 299,309 -779 $298K -0.3% 0.06% LON
300 NISSAN MOTOR CO 654744AC5 Dec 2021 300,000 — $296K -8.6% 0.06% DBT
301 GNMA II TBA 30 YR 3 21H030658 — 300,000 New $296K — 0.06% ABS-MBS
302 OCCIDENTAL PETROLEUM COR 674599CR4 Dec 2021 300,000 — $295K -4.7% 0.06% DBT
303 FNMA POOL CB2680 3140QM6S8 — 292,224 New $294K — 0.06% ABS-MBS
304 BP CAP MARKETS AMERICA 10373QBG4 Dec 2021 340,000 — $294K -11.8% 0.06% DBT
305 ROYAL BANK OF CANADA 78015K7H1 Dec 2021 310,000 — $293K -4.7% 0.06% DBT
306 RELIANCE INDUSTRIES LTD 759470BD8 — 330,000 New $292K — 0.06% DBT
307 JP MORGAN MORTGAGE TRUST 46649TAA4 Dec 2021 292,715 -53,535 $292K -17.0% 0.06% ABS-O
308 NORTHROP GRUMMAN CORP 666807BN1 Dec 2021 290,000 — $291K -6.5% 0.06% DBT
309 BP CAP MARKETS AMERICA 10373QAT7 Dec 2021 290,000 — $290K -5.6% 0.06% DBT
310 PETROBRAS GLOBAL FINANCE 71647NAS8 Dec 2021 260,000 — $289K -4.5% 0.06% DBT
311 BANC OF AMERICA MERRILL LYNCH 059427AA2 Dec 2021 708,576 — $289K +0.0% 0.06% ABS-O
312 VERIZON COMMUNICATIONS 92343VCQ5 Dec 2021 270,000 — $287K -8.8% 0.06% DBT
313 FED HM LN PC POOL RA6599 3133KNKL6 — 285,910 New $287K — 0.06% ABS-MBS
314 FNMA POOL FS0605 3140XFU74 — 298,583 New $286K — 0.06% ABS-MBS
315 ALI GROUP NORTH AMERICA CORP. 936MWEII8 — 290,000 — $285K -0.9% 0.06% LON
316 US TREASURY N/B 912810SY5 Dec 2021 300,000 — $284K -9.8% 0.06% DBT
317 FNMA POOL CB2869 3140QNFK3 — 296,389 New $284K — 0.06% ABS-MBS
318 TORONTO DOMINION BANK 89114QCH9 Dec 2021 300,000 — $283K -4.8% 0.06% DBT
319 HILTON WORLDWIDE FINANCE LLC 43289DAH6 Dec 2021 286,204 -210,000 $283K -42.5% 0.06% LON
320 OCCIDENTAL PETROLEUM COR 674599DF9 Dec 2021 240,000 — $283K -7.6% 0.06% DBT
321 COMCAST CORP 20030NBS9 Dec 2021 280,000 — $283K -5.4% 0.06% DBT
322 COLLEGE AVE STUDENT LOANS 19421UAB0 Dec 2021 289,133 -12,649 $282K -7.9% 0.06% ABS-O
323 CHARTER COMM OPT LLC/CAP 161175AY0 Dec 2021 270,000 — $280K -5.7% 0.05% DBT
324 ORACLE CORP 68389XCC7 Dec 2021 300,000 -20,000 $280K -11.8% 0.05% DBT
325 FNMA POOL MA2707 31418CAH7 Dec 2021 278,494 -18,801 $280K -10.4% 0.05% ABS-MBS
326 DEERFIELD DAKOTA HOLDING LLC 24440EAB3 Dec 2021 280,925 -210,179 $279K -43.2% 0.05% LON
327 JPMORGAN CHASE + CO 46647PBL9 Dec 2021 300,000 — $278K -8.4% 0.05% DBT
328 FNMA POOL FS1015 3140XGDV8 — 298,572 New $278K — 0.05% ABS-MBS
329 DEERE + COMPANY 244199BK0 Dec 2021 260,000 — $277K -10.0% 0.05% DBT
330 TENCENT HOLDINGS LTD 88032WBC9 Dec 2021 320,000 -200,000 $277K -49.4% 0.05% DBT
331 BANK OF AMERICA CORP 06051GFF1 Dec 2021 270,000 — $277K -3.4% 0.05% DBT
332 NIKE INC 654106AK9 Dec 2021 280,000 — $276K -7.2% 0.05% DBT
333 BOEING CO 097023CD5 Dec 2021 290,000 — $276K -7.5% 0.05% DBT
334 WELLS FARGO + COMPANY 94974BGQ7 Dec 2021 250,000 — $276K -12.4% 0.05% DBT
335 UNITED AIRLINES INC 90932LAH0 Dec 2021 290,000 +20,000 $276K -1.0% 0.05% DBT
336 BANK OF AMERICA CORP 06051GFM6 Dec 2021 270,000 — $275K -4.6% 0.05% DBT
337 BANK OF AMERICA CORP 06051GHQ5 Dec 2021 270,000 — $274K -7.8% 0.05% DBT
338 PERATON CORP 71360HAB3 Dec 2021 276,093 -209,461 $274K -43.6% 0.05% LON
339 CONTINENTAL RESOURCES 212015AT8 — 250,000 — $273K -7.1% 0.05% DBT
340 PETROLEOS MEXICANOS 706451BG5 Dec 2021 303,000 — $272K -6.7% 0.05% DBT
341 NEW RESIDENTIAL MORTGAGE LOAN 64829NAA2 Dec 2021 269,109 -26,935 $271K -13.1% 0.05% ABS-O
342 GLENCORE FUNDING LLC 378272AN8 Dec 2021 270,000 — $271K -6.9% 0.05% DBT
343 BANK OF AMERICA CORP 06051GGR4 Dec 2021 270,000 — $271K -6.8% 0.05% DBT
344 FANNIE MAE 3136BAS21 Dec 2021 310,677 +1,548 $269K -6.6% 0.05% ABS-O
345 US BANCORP 91159HHZ6 Dec 2021 280,000 — $268K -4.7% 0.05% DBT
346 GOLDMAN SACHS GROUP INC 38141GVR2 Dec 2021 260,000 — $267K -6.0% 0.05% DBT
347 BNP PARIBAS 05581KAC5 Dec 2021 260,000 — $266K -7.7% 0.05% DBT
348 CHANGE HEALTHCARE HLDGS INC 15911AAC7 Dec 2021 268,015 -200,000 $266K -43.1% 0.05% LON
349 ABN AMRO BANK NV 00080QAF2 Dec 2021 260,000 — $266K -6.1% 0.05% DBT
350 FANNIE MAE 3136ABQH9 Dec 2021 248,148 -14,888 $266K -9.9% 0.05% ABS-O
351 SANDS CHINA LTD LVS512 Dec 2021 280,000 — $265K -5.9% 0.05% DBT
352 DUKE ENERGY OHIO INC 26442EAF7 Dec 2021 260,000 — $265K -6.0% 0.05% DBT
353 JPMDB COMMERCIAL MORTGAGE SECU 46648KAW6 Dec 2021 7,516,279 -15,847 $261K -11.1% 0.05% ABS-O
354 PAYPAL HOLDINGS INC 70450YAG8 Dec 2021 270,000 — $260K -5.0% 0.05% DBT
355 FED HM LN PC POOL QB9290 3133AGKB4 Dec 2021 278,350 -9,502 $260K -9.9% 0.05% ABS-MBS
356 ALTRIA GROUP INC 02209SBE2 Dec 2021 240,000 — $259K -10.5% 0.05% DBT
357 ABBVIE INC 00287YBV0 Dec 2021 260,000 — $258K -5.8% 0.05% DBT
358 GSK CONSUMER HEALTHCARE 36264FAC5 — 260,000 New $258K — 0.05% DBT
359 PCI GAMING AUTHORITY 70455DAG9 Dec 2021 258,892 — $257K -0.4% 0.05% LON
360 SOTERA HEALTH HOLDINGS LLC 83600VAE1 Dec 2021 260,000 -230,000 $256K -47.4% 0.05% LON
361 SPIRIT LOYALTY KY LTD/IP SAVE50 Dec 2021 240,000 — $256K -3.2% 0.05% DBT
362 AT+T INC 00206RKG6 Dec 2021 280,000 — $256K -6.8% 0.05% DBT
363 PFIZER INC 717081EX7 Dec 2021 270,000 — $255K -4.3% 0.05% DBT
364 CREDIT AGRICOLE LONDON 22535WAG2 Dec 2021 270,000 — $255K -5.7% 0.05% DBT
365 SMALL BUSINESS ADMINISTRATION 831641FL4 Dec 2021 250,430 -35,864 $255K -15.6% 0.05% ABS-O
366 FORD MOTOR CREDIT CO LLC 345397C27 — 250,000 New $255K — 0.05% DBT
367 PFIZER INC 717081EY5 Dec 2021 280,000 — $254K -7.6% 0.05% DBT
368 CSC HOLDINGS LLC 126307AZ0 — 250,000 New $253K — 0.05% DBT
369 COMCAST CORP 20030NDR9 Sep 2021 300,000 +40,000 $253K +0.1% 0.05% DBT
370 UNION PACIFIC CORP 907818FQ6 — 270,000 — $252K -11.2% 0.05% DBT
371 ANHEUSER BUSCH INBEV WOR 035240AQ3 Dec 2021 230,000 — $249K -6.9% 0.05% DBT
372 FNMA POOL FM7675 3140XBQ52 Dec 2021 258,551 -22,487 $249K -13.9% 0.05% ABS-MBS
373 WILLIAMS COMPANIES INC 969457BB5 Dec 2021 200,000 — $249K -8.2% 0.05% DBT
374 DANSKE BANK A/S 23636AAT8 Dec 2021 240,000 — $248K -4.2% 0.05% DBT
375 CREDIT SUISSE GROUP AG 225401AP3 Dec 2021 250,000 — $246K -10.7% 0.05% DBT
376 FNMA POOL FM0068 3140X3CE6 Dec 2021 237,074 -11,378 $246K -8.9% 0.05% ABS-MBS
377 COMCAST CORP 20030NCU3 Dec 2021 230,000 +40,000 $245K +11.5% 0.05% DBT
378 VERIZON COMMUNICATIONS 92343VFR0 Dec 2021 280,000 — $244K -8.0% 0.05% DBT
379 FED HM LN PC POOL 841081 31288QFW5 — 241,721 -31,373 $242K -14.1% 0.05% ABS-MBS
380 EATON CORP 278062AC8 Dec 2021 240,000 — $241K -1.3% 0.05% DBT
381 NVIDIA CORP 67066GAG9 Dec 2021 240,000 — $241K -10.9% 0.05% DBT
382 FIRST QUANTUM MINERALS L 335934AT2 — 230,000 New $241K — 0.05% DBT
383 GNMA II POOL BC4732 3617B8HH4 Dec 2021 236,122 -21,537 $241K -11.7% 0.05% ABS-MBS
384 GNMA II POOL MA5193 36179TXW0 Dec 2021 230,395 -37,900 $240K -15.9% 0.05% ABS-MBS
385 BARCLAYS BANK PLC BCS498 Dec 2021 240,000 — $240K -0.3% 0.05% DBT
386 FREDDIE MAC 3137FEXL9 Dec 2021 242,713 -33,259 $240K -16.3% 0.05% ABS-O
387 NATIONAL SECS CLEARING 637639AB1 Dec 2021 250,000 — $240K -4.7% 0.05% DBT
388 Currency Forward Contract N/A Dec 2021 5,703,271 +5,172,159 $240K +1031.4% 0.05% DFE
389 FNMA POOL FM4577 3140X8CP0 Dec 2021 249,572 -12,325 $239K -11.0% 0.05% ABS-MBS
390 GNMA II POOL MA5138 36179TV77 Dec 2021 229,204 -35,041 $239K -15.1% 0.05% ABS-MBS
391 ANGLO AMERICAN CAPITAL 034863AR1 Dec 2021 230,000 — $239K -6.7% 0.05% DBT
392 METLIFE CAPITAL TRUST IV 591560AA5 Dec 2021 200,000 — $238K -12.6% 0.05% DBT
393 WESTERN MIDSTREAM OPERAT 958667AB3 Dec 2021 240,000 — $238K -5.0% 0.05% DBT
394 AT+T INC 00206RJX1 Dec 2021 250,000 — $238K -6.4% 0.05% DBT
395 OFFICE CHERIFIEN DES PHO 67091TAD7 Dec 2021 260,000 — $235K -6.7% 0.05% DBT
396 COCA COLA CO/THE 191216CU2 Dec 2021 250,000 — $235K -5.6% 0.05% DBT
397 PROSUS NV 74365PAD0 Dec 2021 310,000 — $234K -21.7% 0.05% DBT
398 EQUATE PETROCHEMICAL BV 29441WAC9 Dec 2021 230,000 — $233K -6.8% 0.05% DBT
399 COTERRA ENERGY INC 127097AE3 — 230,000 — $232K -6.2% 0.05% DBT
400 PROVINCIA DE BUENOS AIRE ACI208T77 Sep 2021 540,019 — $230K +0.2% 0.04% DBT
401 FNMA POOL 890604 31410LNV0 Dec 2021 216,421 -13,953 $230K -9.2% 0.04% ABS-MBS
402 COTERRA ENERGY INC 127097AH6 — 220,000 — $229K -6.8% 0.04% DBT
403 FNMA POOL CA2047 3140Q9HZ9 Dec 2021 216,489 -19,437 $228K -11.2% 0.04% ABS-MBS
404 REPUBLIC SERVICES INC 760759AU4 Dec 2021 230,000 — $228K -3.8% 0.04% DBT
405 FNMA POOL MA2579 31418B2M7 Dec 2021 226,319 -18,526 $227K -11.8% 0.04% ABS-MBS
406 SMALL BUSINESS ADMINISTRATION 83162CC68 Dec 2021 226,331 -10,782 $226K -9.4% 0.04% ABS-O
407 FNMA POOL CA5379 3140QC6R2 Dec 2021 213,273 -21,175 $225K -12.0% 0.04% ABS-MBS
408 WESTERN MIDSTREAM OPERAT 958667AA5 Dec 2021 230,000 — $224K -17.5% 0.04% DBT
409 BAT CAPITAL CORP 05526DBF1 Dec 2021 250,000 — $223K -15.0% 0.04% DBT
410 WELLS FARGO + COMPANY 95000U2L6 Dec 2021 210,000 — $222K -9.1% 0.04% DBT
411 VERIZON COMMUNICATIONS 92343VFT6 Dec 2021 260,000 — $221K -10.6% 0.04% DBT
412 FNMA POOL FM3347 3140X6WH0 Dec 2021 217,955 -23,304 $221K -13.8% 0.04% ABS-MBS
413 WEA FINANCE LLC/WESTFIEL 92890HAC6 Dec 2021 220,000 — $220K -4.8% 0.04% DBT
414 Currency Forward Contract N/A Dec 2021 12,434,948 New $219K — 0.04% DFE
415 AMAZON.COM INC 023135AQ9 Dec 2021 180,000 — $219K -11.2% 0.04% DBT
416 BNP PARIBAS 09659T2A8 Dec 2021 220,000 — $219K -8.4% 0.04% DBT
417 WELLS FARGO + COMPANY 95000U2S1 Dec 2021 230,000 — $218K -6.9% 0.04% DBT
418 BOEING CO 097023DG7 Dec 2021 230,000 — $218K -5.4% 0.04% DBT
419 EXXON MOBIL CORPORATION 30231GAW2 Dec 2021 200,000 — $216K -8.0% 0.04% DBT
420 SHELL INTERNATIONAL FIN 822582CH3 Dec 2021 230,000 — $216K -12.2% 0.04% DBT
421 BOEING CO 097023CQ6 Dec 2021 240,000 — $214K -14.7% 0.04% DBT
422 GNMA II POOL MA5265 36179TZ65 Dec 2021 204,895 -30,643 $213K -14.8% 0.04% ABS-MBS
423 MPLX LP 55336VAN0 Dec 2021 210,000 — $212K -12.9% 0.04% DBT
424 FNMA POOL AN8048 3138LL5J0 Dec 2021 210,000 — $212K -6.0% 0.04% ABS-MBS
425 T MOBILE USA INC 87264ABS3 Dec 2021 230,000 — $210K -7.3% 0.04% DBT
426 VALE OVERSEAS LIMITED 91911TAH6 Dec 2021 174,000 — $210K -9.2% 0.04% DBT
427 VIRGIN MEDIA SECURED FIN 92769XAP0 — 210,000 New $208K — 0.04% DBT
428 BRISTOL MYERS SQUIBB CO 110122CM8 Dec 2021 206,000 — $208K -3.7% 0.04% DBT
429 AT+T INC 00206RKD3 Dec 2021 240,000 — $207K -11.4% 0.04% DBT
430 BRISTOL MYERS SQUIBB CO 110122CN6 Dec 2021 204,000 -106,000 $207K -37.8% 0.04% DBT
431 HOME DEPOT INC 437076CD2 Dec 2021 220,000 — $207K -14.0% 0.04% DBT
432 FNMA POOL AL9546 3138ERTC4 Dec 2021 202,602 -16,494 $205K -12.2% 0.04% ABS-MBS
433 HSBC HOLDINGS PLC 404280DC0 — 200,000 New $205K — 0.04% DBT
434 EOG RESOURCES INC 26875PAN1 Dec 2021 200,000 — $205K -9.5% 0.04% DBT
435 INTESA SANPAOLO SPA 46115HAW7 Dec 2021 200,000 — $205K -7.6% 0.04% DBT
436 FORD MOTOR CREDIT CO LLC 345397A60 Dec 2021 200,000 — $204K -6.2% 0.04% DBT
437 NATWEST GROUP PLC 780097BJ9 Dec 2021 200,000 — $203K -2.9% 0.04% DBT
438 VISA INC 92826CAD4 Dec 2021 200,000 — $203K -5.0% 0.04% DBT
439 FNMA TBA 30 YR 4 01F040669 — 200,000 New $203K — 0.04% ABS-MBS
440 MPLX LP 55336VAS9 Dec 2021 190,000 — $203K -6.7% 0.04% DBT
441 VIRGIN MEDIA BRISTOL LLC G9368PBC7 Dec 2021 203,954 -290,000 $201K -58.9% 0.04% LON
442 BANCO SANTANDER SA 05964HAH8 Dec 2021 200,000 — $201K -0.5% 0.04% DBT
443 BWS053264 IRS USD R V 03MLIBOR 99S1MXWO7 Sep 2021 1,535,000 — $201K +1084.4% 0.04% DIR
444 GOLDMAN SACHS GROUP INC 38145GAH3 Dec 2021 200,000 — $201K -5.8% 0.04% DBT
445 NISSAN MOTOR CO 654744AA9 Dec 2021 200,000 — $200K -2.7% 0.04% DBT
446 OCCIDENTAL PETROLEUM COR 674599DE2 Dec 2021 160,000 — $200K -6.6% 0.04% DBT
447 FORD MOTOR CREDI 345397B69 Dec 2021 220,000 — $199K -13.6% 0.04% DBT
448 NORTHROP GRUMMAN CORP 666807BU5 Dec 2021 160,000 — $199K -11.4% 0.04% DBT
449 CITIGROUP INC 172967JU6 Dec 2021 181,000 — $199K -13.1% 0.04% DBT
450 GNMA POOL 784571 3622A3CG3 Dec 2021 192,607 -14,284 $199K -10.2% 0.04% ABS-MBS
451 FHLMC MULTIFAMILY STRUCTURED P 3137H14D5 Dec 2021 4,000,000 — $199K -7.5% 0.04% ABS-O
452 ALTRIA GROUP INC 02209SBC6 Dec 2021 192,000 — $199K -6.0% 0.04% DBT
453 VERIZON COMMUNICATIONS 92343VDU5 Dec 2021 170,000 — $198K -10.5% 0.04% DBT
454 T MOBILE USA INC 87264ACE3 Dec 2021 210,000 — $198K -9.4% 0.04% DBT
455 REPUBLIC OF NIGERIA 65412JAD5 Dec 2021 210,000 — $198K -4.1% 0.04% DBT
456 CLOUDERA, INC. 74339VAB4 — 200,000 — $197K -1.0% 0.04% LON
457 VOC ESCROW LTD 91832VAA2 Dec 2021 210,000 — $196K -5.7% 0.04% DBT
458 FORD MOTOR CREDIT CO LLC 345397A86 Dec 2021 200,000 — $196K -9.3% 0.04% DBT
459 EXXON MOBIL CORPORATION 30231GBK7 Dec 2021 190,000 — $195K -6.3% 0.04% DBT
460 GNMA II POOL BS8420 3617MKK99 Dec 2021 188,577 -35,545 $194K -18.8% 0.04% ABS-MBS
461 MCDONALD S CORP 58013MFQ2 Dec 2021 190,000 — $194K -7.9% 0.04% DBT
462 WELLS FARGO + COMPANY 95000U2N2 Dec 2021 200,000 — $193K -5.1% 0.04% DBT
463 CHARTER COMM OPT LLC/CAP 161175BK9 Dec 2021 190,000 — $192K -7.7% 0.04% DBT
464 KAZMUNAYGAS NATIONAL CO 48667QAQ8 Dec 2021 200,000 — $192K -17.6% 0.04% DBT
465 FNMA POOL CB3031 3140QNLM2 — 199,672 New $191K — 0.04% ABS-MBS
466 BNP PARIBAS 09659W2L7 Dec 2021 200,000 — $190K -5.7% 0.04% DBT
467 FNMA POOL FS0392 3140XFNJ6 — 198,821 New $190K — 0.04% ABS-MBS
468 FED HM LN PC POOL RA6562 3133KNJF1 — 197,068 New $190K — 0.04% ABS-MBS
469 GOVERNMENT NATIONAL MORTGAGE A 38376R6U5 Dec 2021 3,125,692 -259,877 $190K -13.5% 0.04% ABS-O
470 COMCAST CORP 20030NCT6 Dec 2021 180,000 — $189K -7.4% 0.04% DBT
471 GSAA HOME EQUITY TRUST 362334GT5 Dec 2021 328,244 -17,115 $189K -9.5% 0.04% ABS-O
472 VMED O2 UK FINAN 92858RAB6 — 200,000 New $188K — 0.04% DBT
473 FORD MOTOR CREDIT CO LLC 345397B36 Dec 2021 200,000 — $188K -12.4% 0.04% DBT
474 ALTICE FRANCE SA ALLVF5 — 210,000 New $188K — 0.04% DBT
475 SOUTHERN NATURAL GAS 843452AZ6 Dec 2021 148,000 — $188K -8.8% 0.04% DBT
476 CREDIT SUISSE MORTGAGE TRUST 12649AAC3 Dec 2021 190,000 — $188K -5.9% 0.04% ABS-O
477 PHILIP MORRIS INTL INC 718172CQ0 Dec 2021 190,000 — $188K -1.6% 0.04% DBT
478 SHELL INTERNATIONAL FIN 822582BQ4 Dec 2021 180,000 — $188K -10.7% 0.04% DBT
479 FNMA POOL FS1112 3140XGGW3 — 200,000 New $187K — 0.04% ABS-MBS
480 AERCAP IRELAND CAP/GLOBA 00774MAQ8 Dec 2021 190,000 — $187K -4.7% 0.04% DBT
481 WELLS FARGO + COMPANY 94974BGT1 Dec 2021 180,000 — $187K -12.8% 0.04% DBT
482 MERCK + CO INC 58933YAY1 Dec 2021 200,000 — $187K -4.9% 0.04% DBT
483 GNMA II POOL MA7590 36179WNF1 — 188,181 -7,699 $186K -8.3% 0.04% ABS-MBS
484 FNMA POOL BD8104 3140FGAE9 Dec 2021 187,123 -6,585 $186K -9.1% 0.04% ABS-MBS
485 FNMA POOL FM8577 3140XCQ76 — 187,699 New $186K — 0.04% ABS-MBS
486 FNMA POOL FM8864 3140XCZ68 — 193,758 -3,220 $186K -8.3% 0.04% ABS-MBS
487 TENCENT HOLDINGS LTD 88032WBB1 Dec 2021 210,000 — $185K -15.1% 0.04% DBT
488 VERSCEND HOLDING CORP 92531HAD9 Dec 2021 185,814 -320,468 $185K -63.4% 0.04% LON
489 VERIZON COMMUNICATIONS 92343VDC5 Dec 2021 180,000 — $185K -11.8% 0.04% DBT
490 US TREASURY N/B 91282CAT8 Dec 2021 200,000 — $185K -4.5% 0.04% DBT
491 FED HM LN PC POOL QC5830 3133AQPP6 — 192,158 New $184K — 0.04% ABS-MBS
492 FNMA POOL FS0349 3140XFL74 — 197,900 New $184K — 0.04% ABS-MBS
493 FANNIE MAE CAS 20753KAB8 Dec 2021 184,158 -81,703 $184K -31.0% 0.04% ABS-O
494 GOVERNMENT NATIONAL MORTGAGE A 38378KYP8 Dec 2021 187,704 -18,475 $184K -12.9% 0.04% ABS-O
495 ABBVIE INC 00287YCX5 Dec 2021 180,000 — $184K -4.3% 0.04% DBT
496 MCDONALD S CORP 58013MFP4 Dec 2021 180,000 — $183K -6.2% 0.04% DBT
497 CITIGROUP INC 172967ME8 Dec 2021 180,000 — $183K -8.1% 0.04% DBT
498 OFFICE CHERIFIEN DES PHO 67091TAE5 Dec 2021 220,000 — $183K -12.0% 0.04% DBT
499 COMCAST CORP 20030NDG3 Dec 2021 180,000 — $182K -7.3% 0.04% DBT
500 CHARTER COMM OPT LLC/CAP 161175BA1 Dec 2021 160,000 — $182K -16.8% 0.04% DBT
501 FNMA POOL BR7222 3140L6AY0 Dec 2021 190,119 -3,883 $182K -8.6% 0.04% ABS-MBS
502 FED HM LN PC POOL QC0297 3133AJKJ1 Dec 2021 194,816 -1,607 $181K -7.7% 0.04% ABS-MBS
503 WF RBS COMMERCIAL MORTGAGE TRU 92939KBR8 Dec 2021 190,000 — $181K -3.9% 0.04% ABS-O
504 FNMA POOL FM7900 3140XBX62 Sep 2021 187,808 -5,450 $180K -9.4% 0.04% ABS-MBS
505 FNMA POOL FM7304 3140XBDJ6 Dec 2021 187,753 -2,914 $180K -8.1% 0.04% ABS-MBS
506 FNMA POOL CB0100 3140QKDE5 Dec 2021 183,018 -5,595 $178K -9.3% 0.03% ABS-MBS
507 CARGILL INC 141781BL7 Dec 2021 180,000 — $178K -2.0% 0.03% DBT
508 VISA INC 92826CAF9 Dec 2021 160,000 — $178K -12.0% 0.03% DBT
509 COSTCO WHOLESALE CORP 22160KAN5 Dec 2021 190,000 — $177K -6.2% 0.03% DBT
510 PETROLEOS MEXICANOS 71654QBR2 Dec 2021 220,000 — $176K -7.9% 0.03% DBT
511 DELTA AIR LINES INC 247361ZU5 Dec 2021 180,000 — $176K -4.1% 0.03% DBT
512 FNMA POOL FM6871 3140XAT51 Dec 2021 183,678 -7,083 $176K -10.5% 0.03% ABS-MBS
513 BANK OF AMERICA CORP 060505EH3 Dec 2021 170,000 — $176K -4.0% 0.03% DBT
514 BERKSHIRE HATHAWAY FIN 084664CR0 Dec 2021 160,000 — $175K -11.2% 0.03% DBT
515 BENCHMARK MORTGAGE TRUST 08163JAG9 Sep 2021 2,515,647 -2,217 $174K -7.1% 0.03% ABS-O
516 BWS061002 IRS USD R V 12MUSCPI 99S1OK166 — 3,480,000 — $174K -552.4% 0.03% DIR
517 INTEL CORP 458140BT6 Sep 2021 190,000 — $174K -7.6% 0.03% DBT
518 GOVERNMENT NATIONAL MORTGAGE A 38380R4L1 Dec 2021 2,417,256 -49,104 $173K -7.8% 0.03% ABS-O
519 GNMA POOL BS8439 3617MKLU1 Dec 2021 171,313 -31,043 $173K -19.0% 0.03% ABS-MBS
520 STRUCTURED ASSET MORTGAGE INVE 86359LQM4 Dec 2021 176,720 -1,047 $172K -0.8% 0.03% ABS-O
521 FNMA POOL FM6460 3140XAFA5 Dec 2021 179,105 -8,118 $172K -10.5% 0.03% ABS-MBS
522 WILLIAMS COMPANIES INC 96949LAD7 Dec 2021 170,000 — $172K -6.3% 0.03% DBT
523 NVIDIA CORP 67066GAJ3 Dec 2021 170,000 — $172K -15.7% 0.03% DBT
524 NVIDIA CORP 67066GAH7 Dec 2021 170,000 — $172K -11.7% 0.03% DBT
525 FNMA POOL BQ9224 3140KVHA1 Dec 2021 184,278 -2,596 $172K -8.1% 0.03% ABS-MBS
526 PIONEER NATURAL RESOURCE 723787AR8 Dec 2021 190,000 — $171K -6.3% 0.03% DBT
527 FANNIE MAE 3136BCD80 Dec 2021 1,167,710 -36,051 $171K +5.8% 0.03% ABS-O
528 GNMA II POOL BD0384 3617BFM90 Dec 2021 167,311 -14,364 $171K -11.3% 0.03% ABS-MBS
529 BOEING CO 097023CY9 Dec 2021 160,000 — $171K -8.5% 0.03% DBT
530 UBS COMMERCIAL MORTGAGE TRUST 90276EAE7 Dec 2021 170,000 — $170K -6.1% 0.03% ABS-O
531 SPRINT SPECTRUM / SPEC I 85208NAD2 Dec 2021 165,000 -13,750 $169K -9.9% 0.03% DBT
532 FNMA POOL BQ9453 3140KVQF0 Dec 2021 180,143 -5,522 $168K -9.6% 0.03% ABS-MBS
533 GOLDMAN SACHS GROUP INC 38141GGM0 Dec 2021 130,000 — $168K -11.3% 0.03% DBT
534 RAYTHEON TECH CORP 913017CY3 Dec 2021 160,000 — $168K -6.5% 0.03% DBT
535 PETROLEOS MEXICANOS 71654QCB6 Dec 2021 160,000 — $167K -4.9% 0.03% DBT
536 FED HM LN PC POOL QB5092 3133ABUR9 Dec 2021 173,329 -9,286 $167K -11.3% 0.03% ABS-MBS
537 FED HM LN PC POOL QB8934 3133AF4T5 Dec 2021 174,050 -4,406 $167K -8.7% 0.03% ABS-MBS
538 ENERGY TRANSFER LP 29278NAP8 Dec 2021 170,000 — $166K -5.1% 0.03% DBT
539 FED HM LN PC POOL ZT1257 3132ADME5 Dec 2021 165,821 -7,242 $166K -10.0% 0.03% ABS-MBS
540 WF RBS COMMERCIAL MORTGAGE TRU 92939KAK4 Dec 2021 190,000 — $166K -3.2% 0.03% ABS-O
541 BAT CAPITAL CORP 05526DBB0 Dec 2021 170,000 — $166K -7.1% 0.03% DBT
542 BANK 06541FBB4 Dec 2021 3,301,180 -285,221 $165K -12.1% 0.03% ABS-O
543 BWS063123 IRS USD R V 00MSOFR 99S1ORFF6 — 2,942,000 — $165K -3161.2% 0.03% DIR
544 GNMA POOL 783669 3622A2CE0 Dec 2021 162,861 -10,049 $165K -10.0% 0.03% ABS-MBS
545 CINTAS CORPORATION NO. 2 17252MAN0 Dec 2021 160,000 — $164K -6.3% 0.03% DBT
546 BANK OF NY MELLON CORP 06406RAN7 Dec 2021 170,000 — $164K -4.4% 0.03% DBT
547 1011778 BC UNLIMITED LBLTY CO C6901LAH0 Dec 2021 167,773 -331,946 $164K -66.7% 0.03% LON
548 CIGNA CORP 125523AF7 Dec 2021 161,000 — $163K -2.4% 0.03% DBT
549 JPMBB COMMERCIAL MORTGAGE SECU 46644YBA7 Dec 2021 160,000 — $162K -5.3% 0.03% ABS-O
550 DEVON ENERGY CORPORATION 25179MAL7 Dec 2021 140,000 — $162K -8.1% 0.03% DBT
551 TELEFONICA EMISIONES SAU 87938WAU7 Dec 2021 150,000 — $162K -13.5% 0.03% DBT
552 FED HM LN PC POOL SD0573 3132DMT62 Dec 2021 171,570 -11,811 $161K -12.7% 0.03% ABS-MBS
553 NORTHROP GRUMMAN CORP 666807BM3 Dec 2021 160,000 — $161K -3.7% 0.03% DBT
554 TENNESSEE GAS PIPELINE 880451AZ2 Dec 2021 170,000 — $160K -7.6% 0.03% DBT
555 II VI INCORPORATED 943ZRCII0 — 160,000 — $159K -0.5% 0.03% LON
556 JPMORGAN CHASE + CO 46625HLL2 Dec 2021 140,000 — $159K -13.3% 0.03% DBT
557 DIAMONDBACK ENERGY INC 25278XAN9 Dec 2021 160,000 +60,000 $158K +49.4% 0.03% DBT
558 AT+T INC 00206RKJ0 — 180,000 — $158K -13.3% 0.03% DBT
559 FED HM LN PC POOL C09071 31292SCG3 Dec 2021 152,055 -19,244 $158K -14.5% 0.03% ABS-MBS
560 AERCAP IRELAND CAP/GLOBA 00774MAV7 — 170,000 — $157K -8.3% 0.03% DBT
561 GOVERNMENT NATIONAL MORTGAGE A 38382LXR7 Dec 2021 1,403,049 -54,803 $157K +2.4% 0.03% ABS-O
562 CITIGROUP INC 172967MS7 Dec 2021 170,000 — $156K -9.3% 0.03% DBT
563 ENERGY TRANSFER LP 29273VAL4 Dec 2021 160,000 +10,000 $156K +3.7% 0.03% DBT
564 GNMA II POOL MA4654 36179TE35 Dec 2021 147,604 -18,581 $156K -13.0% 0.03% ABS-MBS
565 SMALL BUSINESS ADMINISTRATION 83162CB51 Dec 2021 155,127 — $155K -5.4% 0.03% ABS-O
566 FNMA POOL AP5333 3138M84T7 Dec 2021 149,086 -1,132 $155K -4.5% 0.03% ABS-MBS
567 SHELL INTERNATIONAL FIN 822582CG5 Dec 2021 160,000 — $155K -7.2% 0.03% DBT
568 CHENIERE ENERGY PARTNERS 16411QAL5 Sep 2021 170,000 — $155K -9.9% 0.03% DBT
569 FNMA POOL FM5713 3140X9K38 Dec 2021 161,159 -7,758 $154K -10.6% 0.03% ABS-MBS
570 FNMA POOL CA4979 3140QCQ90 Dec 2021 156,437 -13,811 $154K -13.2% 0.03% ABS-MBS
571 HCA INC HCA391 Dec 2021 150,000 — $154K -2.1% 0.03% DBT
572 T MOBILE USA INC 87264ABT1 Dec 2021 170,000 — $153K -8.8% 0.03% DBT
573 PROSUS NV 74365PAE8 Dec 2021 210,000 — $153K -22.2% 0.03% DBT
574 PEPSICO INC 713448EZ7 Dec 2021 170,000 — $153K -7.4% 0.03% DBT
575 CVS HEALTH CORP 126650DJ6 Dec 2021 150,000 — $153K -7.3% 0.03% DBT
576 AT+T INC 00206RLJ9 Sep 2021 173,000 — $152K -12.5% 0.03% DBT
577 CITIGROUP INC 172967KU4 Dec 2021 150,000 — $152K -7.5% 0.03% DBT
578 GOVERNMENT NATIONAL MORTGAGE A 38380QGQ9 Dec 2021 150,958 -12,275 $152K -7.8% 0.03% ABS-O
579 3M COMPANY 88579YBP5 Dec 2021 150,000 — $151K -14.3% 0.03% DBT
580 FED HM LN PC POOL 841077 31288QFS4 — 150,063 -18,869 $149K -14.2% 0.03% ABS-MBS
581 BANK OF AMERICA CORP 06051GFC8 Dec 2021 130,000 — $148K -13.3% 0.03% DBT
582 FED HM LN PC POOL Q41209 3132WEKX9 Dec 2021 146,018 -14,478 $148K -13.8% 0.03% ABS-MBS
583 FREDDIE MAC 3137FEXM7 Dec 2021 150,023 -20,810 $148K -16.4% 0.03% ABS-O
584 JP MORGAN MORTGAGE TRUST 46649KAA3 Dec 2021 147,882 -28,705 $148K -17.3% 0.03% ABS-O
585 AERCAP IRELAND CAP/GLOBA 00774MAW5 — 160,000 — $147K -9.4% 0.03% DBT
586 JPMORGAN CHASE + CO 46647PCR5 — 160,000 — $146K -9.3% 0.03% DBT
587 MCDONALD S CORP 58013MFR0 Dec 2021 140,000 — $146K -14.1% 0.03% DBT
588 UNION PACIFIC CORP 907818FL7 Dec 2021 150,000 — $146K -14.5% 0.03% DBT
589 KINDER MORGAN INC 49456BAP6 Dec 2021 140,000 — $145K -6.9% 0.03% DBT
590 GOLDMAN SACHS GROUP INC 38141GVS0 Dec 2021 130,000 — $145K -13.8% 0.03% DBT
591 ABBOTT LABORATORIES 002824BF6 Dec 2021 139,000 — $144K -6.0% 0.03% DBT
592 AERCAP IRELAND CAP/GLOBA 00774MAX3 — 160,000 — $144K -11.7% 0.03% DBT
593 GOVERNMENT NATIONAL MORTGAGE A 38380QBN1 Dec 2021 140,777 -6,658 $144K -6.5% 0.03% ABS-O
594 GENERAL ELECTRIC CO 36962GXZ2 Dec 2021 114,000 — $144K -7.7% 0.03% DBT
595 BOEING CO 097023BU8 Dec 2021 150,000 — $144K -6.2% 0.03% DBT
596 ANTHEM INC 036752AB9 Dec 2021 140,000 — $143K -6.9% 0.03% DBT
597 FHLMC MULTIFAMILY STRUCTURED P 3137FTZS9 Dec 2021 1,296,666 -516 $143K -8.2% 0.03% ABS-O
598 APACHE CORP 037411BA2 Dec 2021 150,000 — $143K -13.6% 0.03% DBT
599 WELLS FARGO + COMPANY 95000U2G7 Dec 2021 150,000 — $143K -8.7% 0.03% DBT
600 BWS051383 IRS USD R V 03MLIBOR 99S1L9U05 Dec 2021 2,365,000 -3,910,000 $142K +445.8% 0.03% DIR
601 T MOBILE USA INC 87264ABF1 — 140,000 New $141K — 0.03% DBT
602 BEAR STEARNS ASSET BACKED SECU 073879Z43 Dec 2021 658,360 -16,373 $140K -30.9% 0.03% ABS-O
603 CHARTER COMM OPT LLC/CAP 161175CJ1 — 140,000 New $140K — 0.03% DBT
604 TIME WARNER CABLE LLC 88732JAU2 Dec 2021 120,000 — $139K -15.0% 0.03% DBT
605 FED HM LN PC POOL ZT1493 3132ADUS5 Dec 2021 139,990 -7,149 $139K -10.5% 0.03% ABS-MBS
606 MARS INC 571676AA3 Dec 2021 140,000 — $139K -4.6% 0.03% DBT
607 WELLS FARGO COMMERCIAL MORTGAG 94988QAQ4 Dec 2021 140,000 — $137K -1.3% 0.03% ABS-O
608 OTIS WORLDWIDE CORP 68902VAH0 Dec 2021 140,000 — $136K -4.2% 0.03% DBT
609 CVS HEALTH CORP 126650CZ1 Dec 2021 120,000 +20,000 $136K +3.8% 0.03% DBT
610 VERIZON COMMUNICATIONS 92343VES9 Dec 2021 130,000 — $135K -6.2% 0.03% DBT
611 GENERAL MOTORS CO 37045VAW0 Dec 2021 130,000 — $135K -3.3% 0.03% DBT
612 BWS063107 IRS USD R V 00MSOFR 99S1OQT97 — 2,290,000 — $135K +132803.2% 0.03% DIR
613 ANHEUSER BUSCH INBEV WOR 03523TBV9 Dec 2021 110,000 +30,000 $134K +20.7% 0.03% DBT
614 3M COMPANY 88579YBJ9 Dec 2021 140,000 — $133K -7.4% 0.03% DBT
615 GILEAD SCIENCES INC 375558AW3 Dec 2021 130,000 — $132K -3.2% 0.03% DBT
616 GLENCORE FUNDING LLC 378272AF5 Dec 2021 130,000 — $132K -2.3% 0.03% DBT
617 ANHEUSER BUSCH INBEV WOR 035240AV2 Dec 2021 130,000 — $132K -7.5% 0.03% DBT
618 ABBVIE INC 00287YAQ2 Dec 2021 130,000 — $132K -4.7% 0.03% DBT
619 GLENCORE FUNDING LLC 378272AT5 Dec 2021 130,000 — $132K -3.6% 0.03% DBT
620 CONTINENTAL RESOURCES 212015AS0 — 130,000 — $132K -6.2% 0.03% DBT
621 EXXON MOBIL CORPORATION 30231GAT9 Dec 2021 130,000 — $131K -4.5% 0.03% DBT
622 SHELL INTERNATIONAL FIN 822582BT8 Dec 2021 130,000 — $130K -5.5% 0.03% DBT
623 DEVON ENERGY CORPORATION 25179MAV5 Dec 2021 120,000 — $130K -5.3% 0.03% DBT
624 ALTRIA GROUP INC 02209SBF9 Dec 2021 120,000 — $130K -13.6% 0.03% DBT
625 STRUCTURED ADJUSTABLE RATE MOR 86361BAA5 Dec 2021 169,758 -12,318 $130K -6.7% 0.03% ABS-O
626 WELLS FARGO + COMPANY 94974BFP0 Dec 2021 110,000 — $128K -12.4% 0.02% DBT
627 NIKE INC 654106AL7 Dec 2021 130,000 — $127K -10.7% 0.02% DBT
628 ALPHABET INC 02079KAF4 Dec 2021 160,000 — $126K -12.0% 0.02% DBT
629 PACIFIC GAS + ELECTRIC 694308JF5 Dec 2021 140,000 — $126K -6.8% 0.02% DBT
630 CVS HEALTH CORP 126650DR8 Sep 2021 140,000 — $125K -8.9% 0.02% DBT
631 FREDDIE MAC 3137F86B4 Dec 2021 743,791 -11,237 $125K +11.7% 0.02% ABS-O
632 FNMA POOL MA1213 31418AK31 Dec 2021 121,890 -11,188 $125K -13.0% 0.02% ABS-MBS
633 JP MORGAN MORTGAGE TRUST 46649CAA1 Dec 2021 124,741 -18,877 $124K -14.6% 0.02% ABS-O
634 FNMA POOL BM1948 3140J6EW3 Dec 2021 111,250 -7,770 $123K -10.7% 0.02% ABS-MBS
635 FREEPORT MCMORAN INC 35671DCH6 Dec 2021 120,000 — $123K -4.7% 0.02% DBT
636 GENERAL MOTORS CO 37045VAT7 Dec 2021 110,000 — $122K -19.0% 0.02% DBT
637 CVS HEALTH CORP 126650DK3 Dec 2021 120,000 — $122K -11.5% 0.02% DBT
638 BP CAP MARKETS AMERICA 10373QBL3 Dec 2021 120,000 — $122K -7.9% 0.02% DBT
639 CAMERON LNG LLC 133434AB6 Dec 2021 130,000 — $122K -10.2% 0.02% DBT
640 BANK OF AMERICA CORP 06051GKK4 — 130,000 New $122K — 0.02% DBT
641 CHUBB INA HOLDINGS INC 00440EAV9 Dec 2021 120,000 — $122K -5.4% 0.02% DBT
642 FNMA POOL BP7009 3140KEYF9 Dec 2021 123,757 -13,240 $122K -14.9% 0.02% ABS-MBS
643 FNMA POOL FM3278 3140X6UC3 Dec 2021 120,124 -11,693 $122K -13.0% 0.02% ABS-MBS
644 ABBOTT LABORATORIES 002824BH2 Dec 2021 100,000 — $122K -11.3% 0.02% DBT
645 ALTRIA GROUP INC 02209SBL6 Dec 2021 140,000 — $122K -8.5% 0.02% DBT
646 COMCAST CORP 20030NDK4 Dec 2021 120,000 — $122K -5.8% 0.02% DBT
647 TIME WARNER CABLE LLC 88732JAN8 Dec 2021 100,000 — $121K -14.3% 0.02% DBT
648 CENTENE CORP 15135BAT8 — 120,000 New $121K — 0.02% DBT
649 FNMA POOL BF0338 3140FXLU4 Dec 2021 113,320 -9,933 $121K -11.8% 0.02% ABS-MBS
650 VERIZON COMMUNICATIONS 92343VFD1 Dec 2021 120,000 — $121K -13.2% 0.02% DBT
651 ANTHEM INC 036752AC7 Dec 2021 120,000 — $121K -4.6% 0.02% DBT
652 APACHE CORP 037411AW5 Dec 2021 120,000 — $121K -10.8% 0.02% DBT
653 CREDIT SUISSE MORTGAGE TRUST 12649AAQ2 Dec 2021 140,000 — $121K -4.1% 0.02% ABS-O
654 UNION PACIFIC CORP 907818FG8 Dec 2021 120,000 — $120K -15.2% 0.02% DBT
655 UNITEDHEALTH GROUP INC 91324PDL3 Dec 2021 110,000 — $120K -12.1% 0.02% DBT
656 FREDDIE MAC 3137FGSM8 Dec 2021 120,785 -16,479 $120K -15.6% 0.02% ABS-O
657 HALLIBURTON CO 406216BK6 Dec 2021 110,000 — $119K -9.4% 0.02% DBT
658 FANNIE MAE 3136BDR26 Dec 2021 791,040 -25,348 $119K +11.1% 0.02% ABS-O
659 BHP BILLITON FIN USA LTD 055451AV0 Dec 2021 100,000 — $119K -10.5% 0.02% DBT
660 FANNIEMAE ACES 3136BBBW1 Dec 2021 1,276,975 -11,232 $118K -3.9% 0.02% ABS-O
661 T MOBILE USA INC 87264ACB9 Dec 2021 130,000 — $118K -9.0% 0.02% DBT
662 CANADIAN IMPERIAL BANK 13607GRK2 Dec 2021 120,000 — $118K -2.0% 0.02% DBT
663 BWS053223 IRS USD R V 00MSOFR 99S1NKCO6 Sep 2021 1,137,000 — $117K -912.4% 0.02% DIR
664 NXP BV/NXP FDG/NXP USA 62954HAE8 Dec 2021 120,000 — $117K -6.0% 0.02% DBT
665 HOME DEPOT INC 437076CC4 Dec 2021 120,000 — $116K -11.3% 0.02% DBT
666 UNITEDHEALTH GROUP INC 91324PDP4 Dec 2021 110,000 — $116K -6.3% 0.02% DBT
667 FANNIE MAE CAS 20753WAF3 Dec 2021 115,302 -51,773 $115K -31.2% 0.02% ABS-O
668 MICROSOFT CORP 594918CC6 Dec 2021 133,000 — $115K -11.5% 0.02% DBT
669 DISH DBS CORP 25470XBE4 — 120,000 +70,000 $114K +125.0% 0.02% DBT
670 DISH DBS CORP 25470XBF1 — 120,000 New $114K — 0.02% DBT
671 MCDONALD S CORP 58013MFF6 Dec 2021 110,000 — $114K -6.1% 0.02% DBT
672 BANK OF NOVA SCOTIA 064159VL7 Dec 2021 120,000 — $113K -5.2% 0.02% DBT
673 GUARDIAN LIFE GLOB FUND 40139LAG8 Dec 2021 120,000 — $113K -4.9% 0.02% DBT
674 CVS HEALTH CORP 126650CN8 Dec 2021 100,000 — $113K -13.3% 0.02% DBT
675 REYNOLDS AMERICAN INC 761713BB1 Dec 2021 110,000 — $113K -16.0% 0.02% DBT
676 JOHNSON + JOHNSON 478160CN2 Dec 2021 120,000 — $112K -4.4% 0.02% DBT
677 OCCIDENTAL PETROLEUM COR 674599CN3 Dec 2021 120,000 — $112K -6.5% 0.02% DBT
678 DCERT BUYER INC 24022KAB5 Dec 2021 112,562 -125,287 $112K -53.0% 0.02% LON
679 SHELL INTERNATIONAL FIN 822582AY8 Dec 2021 100,000 — $111K -11.1% 0.02% DBT
680 MPLX LP 55336VAT7 Dec 2021 100,000 — $111K -13.6% 0.02% DBT
681 TEVA PHARMACEUT FIN BV 88165FAG7 Dec 2021 110,000 — $109K -0.7% 0.02% DBT
682 VFH PARENT LLC 944YMTII0 — 110,000 New $109K — 0.02% LON
683 AMAZON.COM INC 023135BJ4 Dec 2021 100,000 — $109K -10.6% 0.02% DBT
684 TARGET CORP 87612EBL9 Dec 2021 110,000 — $108K -4.4% 0.02% DBT
685 FED HM LN PC POOL Q49177 3132WPFT9 Dec 2021 102,487 -54,429 $108K -36.7% 0.02% ABS-MBS
686 BWS053009 IRS USD R V 00MFEDL 99S1MQZO9 Dec 2021 1,725,000 +790,000 $108K -302.0% 0.02% DIR
687 FNMA POOL AE0469 31419AQX8 Dec 2021 97,180 -10,323 $108K -13.7% 0.02% ABS-MBS
688 MERCK + CO INC 58933YAZ8 Dec 2021 120,000 — $107K -7.4% 0.02% DBT
689 AT+T INC 00206RMM1 Sep 2021 120,000 +40,000 $107K +35.9% 0.02% DBT
690 GNMA II POOL MA3597 36179R7J2 Dec 2021 103,736 -10,743 $106K -12.2% 0.02% ABS-MBS
691 CHEVRON CORP 166764BX7 Dec 2021 110,000 — $106K -5.4% 0.02% DBT
692 FNMA POOL AS6541 3138WGHT4 Dec 2021 102,942 -6,120 $105K -10.8% 0.02% ABS-MBS
693 FED HM LN PC POOL RA3175 3133KJQ47 Dec 2021 106,144 -8,600 $104K -12.9% 0.02% ABS-MBS
694 UNITEDHEALTH GROUP INC 91324PDW9 Dec 2021 110,000 — $104K -5.5% 0.02% DBT
695 PRINCIPAL LFE GLB FND II 74256LEE5 Dec 2021 110,000 — $103K -5.0% 0.02% DBT
696 CIGNA CORP 125523AG5 Dec 2021 100,000 — $103K -5.7% 0.02% DBT
697 BWS063248 IRS USD R V 00MUSCPI 99S1P1795 — 3,530,000 — $103K -643.0% 0.02% DIR
698 CHARTER COMM OPT LLC/CAP 161175BM5 Dec 2021 100,000 — $103K -13.9% 0.02% DBT
699 LENNAR CORP 526057BZ6 Dec 2021 100,000 — $103K -3.4% 0.02% DBT
700 MPT OPER PARTNERSP/FINL 55342UAM6 — 110,000 New $102K — 0.02% DBT
701 GOLDMAN SACHS GROUP INC 38141GVM3 Dec 2021 100,000 — $102K -3.7% 0.02% DBT
702 AT+T INC 00206RBK7 Dec 2021 101,000 — $102K -10.6% 0.02% DBT
703 FOX CORP 35137LAJ4 Dec 2021 90,000 — $102K -12.4% 0.02% DBT
704 RAYTHEON TECH CORP 75513EAD3 Dec 2021 110,000 — $102K -7.2% 0.02% DBT
705 BP CAP MARKETS AMERICA 10373QAZ3 Dec 2021 100,000 — $102K -6.0% 0.02% DBT
706 FANNIEMAE GRANTOR TRUST 3136AV6R5 Dec 2021 99,486 -52 $101K -4.2% 0.02% ABS-O
707 GOLDMAN SACHS GROUP INC 38141GFD1 Dec 2021 80,000 — $101K -11.3% 0.02% DBT
708 PROCTER + GAMBLE CO/THE 742718FH7 Dec 2021 100,000 — $100K -7.7% 0.02% DBT
709 NVR INC NVR389 Dec 2021 100,000 — $100K -1.1% 0.02% DBT
710 MICROSOFT CORP 594918CE2 Dec 2021 107,000 — $100K -12.0% 0.02% DBT
711 GNMA II TBA 30 YR 3.5 21H032654 — 100,000 New $100K — 0.02% ABS-MBS
712 WORKDAY INC WDAY53 — 100,000 New $100K — 0.02% DBT
713 TEXAS INSTRUMENTS INC 882508BJ2 Dec 2021 110,000 — $100K -7.3% 0.02% DBT
714 CINTAS CORPORATION NO. 2 17252MAM2 Dec 2021 100,000 — $100K -0.4% 0.02% DBT
715 RUSSIA GOVT BOND OFZ SU2622 Dec 2021 269,798,000 — $100K -97.0% 0.02% DBT
716 COSTCO WHOLESALE CORP 22160KAP0 Dec 2021 110,000 — $98K -7.7% 0.02% DBT
717 FNMA POOL FS0240 3140XFHS3 — 99,085 New $98K — 0.02% ABS-MBS
718 FNMA POOL FS0034 3140XFBC4 — 98,398 New $98K — 0.02% ABS-MBS
719 BARRICK NA FINANCE LLC 06849RAK8 Dec 2021 80,000 — $98K -10.5% 0.02% DBT
720 FNMA POOL FS0331 3140XFLM1 — 99,430 New $98K — 0.02% ABS-MBS
721 BARRICK NA FINANCE LLC 06849RAG7 Dec 2021 80,000 — $97K -10.7% 0.02% DBT
722 FED HM LN PC POOL QC9154 3133AUE38 — 98,794 New $97K — 0.02% ABS-MBS
723 GNMA II POOL 783298 36241LUX2 Dec 2021 91,375 -6,258 $97K -9.3% 0.02% ABS-MBS
724 FNMA POOL MA1217 31418AK72 Dec 2021 92,750 -8,782 $97K -12.4% 0.02% ABS-MBS
725 FNMA POOL 974965 31414STW3 Dec 2021 90,251 -6,452 $97K -10.6% 0.02% ABS-MBS
726 ABBVIE INC 00287YCY3 Dec 2021 90,000 — $97K -11.0% 0.02% DBT
727 FED HM LN PC POOL SD0809 3132DM3S2 — 98,442 New $97K — 0.02% ABS-MBS
728 GOVERNMENT NATIONAL MORTGAGE A 38382KQ97 Dec 2021 725,639 -14,511 $96K -1.3% 0.02% ABS-O
729 FNMA POOL FS1104 3140XGGN3 — 100,000 New $96K — 0.02% ABS-MBS
730 FED HM LN PC POOL QD8675 3133B6T83 — 100,000 New $96K — 0.02% ABS-MBS
731 BANK OF AMERICA CORP 06051GHS1 Dec 2021 90,000 — $96K -14.3% 0.02% DBT
732 FED HM LN PC POOL SD0926 3132DNA37 — 100,000 New $96K — 0.02% ABS-MBS
733 FNMA POOL BV3089 3140MGNF4 — 99,810 New $96K — 0.02% ABS-MBS
734 FNMA POOL CB3044 3140QNL26 — 99,825 New $96K — 0.02% ABS-MBS
735 FED HM LN PC POOL SD0849 3132DM5J0 — 99,573 New $95K — 0.02% ABS-MBS
736 FNMA POOL FS0366 3140XFMQ1 — 98,927 New $95K — 0.02% ABS-MBS
737 FNMA POOL FS0424 3140XFPJ4 — 99,508 New $95K — 0.02% ABS-MBS
738 FED HM LN PC POOL QD6079 3133B3XG7 — 99,443 New $95K — 0.02% ABS-MBS
739 FNMA POOL FS0523 3140XFSM4 — 99,542 New $95K — 0.02% ABS-MBS
740 FNMA POOL BU2599 3140M33H1 — 99,114 New $95K — 0.02% ABS-MBS
741 CHARTER COMM OPT LLC/CAP 161175BT0 Dec 2021 100,000 — $95K -15.5% 0.02% DBT
742 FNMA POOL FS0434 3140XFPU9 — 98,224 New $95K — 0.02% ABS-MBS
743 FNMA POOL AY6181 3138YK2P7 Dec 2021 92,009 -8,240 $94K -12.6% 0.02% ABS-MBS
744 NEW YORK LIFE GLOBAL FDG 64952WDQ3 Dec 2021 100,000 — $93K -5.2% 0.02% DBT
745 LAS VEGAS SANDS CORP 517834AH0 Dec 2021 100,000 — $93K -6.5% 0.02% DBT
746 MPLX LP 55336VAG5 Dec 2021 90,000 — $93K -4.5% 0.02% DBT
747 FNMA POOL BF0104 3140FXDJ8 Dec 2021 89,228 -4,812 $93K -10.3% 0.02% ABS-MBS
748 ABBOTT LABORATORIES 002824BG4 Dec 2021 80,000 — $93K -9.1% 0.02% DBT
749 FHLMC MULTIFAMILY STRUCTURED P 3137FNWZ9 Dec 2021 2,157,163 -27,215 $93K -11.4% 0.02% ABS-O
750 FNMA POOL AD8685 31418WUK4 Dec 2021 88,062 -2,752 $93K -6.9% 0.02% ABS-MBS
751 GOVERNMENT NATIONAL MORTGAGE A 38375BJE3 Dec 2021 92,766 -7,146 $93K -7.5% 0.02% ABS-O
752 FNMA POOL FS1014 3140XGDU0 — 99,758 New $93K — 0.02% ABS-MBS
753 FNMA POOL FS0024 3140XFA27 — 96,285 New $93K — 0.02% ABS-MBS
754 FNMA POOL BT3303 3140LRU55 Sep 2021 96,637 -2,402 $93K -8.8% 0.02% ABS-MBS
755 CONOCOPHILLIPS HLDG CO 208251AE8 Dec 2021 75,000 — $93K -6.1% 0.02% DBT
756 FED HM LN PC POOL QB9901 3133AHAA5 — 96,788 New $93K — 0.02% ABS-MBS
757 FNMA POOL FM9335 3140XDLR5 — 96,899 -2,732 $93K -9.0% 0.02% ABS-MBS
758 UNITEDHEALTH GROUP INC 91324PDV1 Dec 2021 90,000 — $93K -14.4% 0.02% DBT
759 LOCKHEED MARTIN CORP 539830BH1 Dec 2021 90,000 — $92K -5.4% 0.02% DBT
760 UNITEDHEALTH GROUP INC 91324PDX7 Dec 2021 100,000 — $92K -7.2% 0.02% DBT
761 FNMA POOL FS0037 3140XFBF7 — 93,076 New $92K — 0.02% ABS-MBS
762 GOLDMAN SACHS GROUP INC 38141EC23 Dec 2021 90,000 — $92K -3.6% 0.02% DBT
763 FED HM LN PC POOL SD0745 3132DMZJ7 — 98,210 New $91K — 0.02% ABS-MBS
764 DELTA AIR LINES INC 247361ZP6 Dec 2021 90,000 — $91K -1.6% 0.02% DBT
765 FNMA POOL FM7676 3140XBQ60 Dec 2021 94,462 -1,670 $91K -8.3% 0.02% ABS-MBS
766 FNMA POOL BF0191 3140FXF98 Dec 2021 87,071 -7,060 $91K -12.8% 0.02% ABS-MBS
767 HCA INC 404119BV0 Dec 2021 80,000 — $90K -14.1% 0.02% DBT
768 FED HM LN PC POOL QC6551 3133ARH40 Sep 2021 93,904 -4,286 $90K -10.6% 0.02% ABS-MBS
769 FNMA POOL CB0101 3140QKDF2 Dec 2021 92,621 -2,472 $90K -8.8% 0.02% ABS-MBS
770 GLENCORE FUNDING LLC 378272AQ1 Dec 2021 90,000 — $90K -7.3% 0.02% DBT
771 FNMA POOL CB1273 3140QLMX1 — 96,248 New $90K — 0.02% ABS-MBS
772 BALL CORP 058498AX4 Sep 2021 100,000 — $89K -9.6% 0.02% DBT
773 WESTERN MIDSTREAM OPERAT 958667AD9 Dec 2021 90,000 — $89K -0.9% 0.02% DBT
774 BANK OF MONTREAL 06368BGS1 Dec 2021 90,000 — $89K -7.8% 0.02% DBT
775 NVIDIA CORP 67066GAF1 Dec 2021 90,000 — $89K -7.4% 0.02% DBT
776 RAYTHEON TECH CORP 913017BT5 Dec 2021 80,000 — $88K -11.4% 0.02% DBT
777 FED HM LN PC POOL QC0885 3133AJ6W8 Dec 2021 94,162 -714 $88K -7.4% 0.02% ABS-MBS
778 MEDTRONIC INC 585055BS4 Dec 2021 86,000 — $88K -4.2% 0.02% DBT
779 FNMA POOL BL2454 3140HTWQ8 Dec 2021 86,648 -325 $88K -6.8% 0.02% ABS-MBS
780 FNMA POOL CA9358 3140QHMG7 Dec 2021 90,222 -2,969 $88K -9.3% 0.02% ABS-MBS
781 FNMA POOL BR5649 3140L4H36 Dec 2021 93,900 -1,754 $88K -8.5% 0.02% ABS-MBS
782 FNMA POOL FM8576 3140XCQ68 Sep 2021 88,083 -6,802 $87K -11.9% 0.02% ABS-MBS
783 AVOLON TLB BORROWER 1 (US) LLC 05400KAH3 Sep 2021 88,352 -223 $87K -1.6% 0.02% LON
784 GNMA POOL AA5649 36178DH20 Dec 2021 86,132 -6,181 $87K -10.9% 0.02% ABS-MBS
785 BWS063222 IRS USD R V 00MSOFR 99S1P15L0 — 4,000,000 — $87K -605.3% 0.02% DIR
786 UNITEDHEALTH GROUP INC 91324PAR3 Dec 2021 70,000 — $87K -10.8% 0.02% DBT
787 FED HM LN PC POOL QB9090 3133AGC31 Dec 2021 93,155 -3,106 $87K -9.9% 0.02% ABS-MBS
788 FNMA POOL FM6343 3140XABM3 Dec 2021 92,781 -2,554 $87K -9.2% 0.02% ABS-MBS
789 BOEING CO 097023CM5 Dec 2021 90,000 — $86K -5.6% 0.02% DBT
790 FED HM LN PC POOL QC0165 3133AJFE8 Dec 2021 89,302 -2,628 $86K -9.0% 0.02% ABS-MBS
791 FNMA POOL BR6462 3140L5FC5 Dec 2021 92,416 -3,986 $86K -10.7% 0.02% ABS-MBS
792 FNMA POOL BQ5876 3140KRQ69 Dec 2021 89,539 -3,295 $86K -9.9% 0.02% ABS-MBS
793 FREDDIE MAC 3137FVQG0 Dec 2021 520,272 -13,576 $86K +14.4% 0.02% ABS-O
794 FNMA POOL BR5633 3140L4HK8 Dec 2021 91,801 -2,615 $86K -9.3% 0.02% ABS-MBS
795 GNMA POOL AB2892 36178NF95 Dec 2021 84,558 -5,905 $85K -10.7% 0.02% ABS-MBS
796 ENERGY TRANSFER LP 29278NAG8 Dec 2021 80,000 — $85K -6.9% 0.02% DBT
797 WELLS FARGO + COMPANY 94974BGE4 Dec 2021 80,000 — $85K -12.4% 0.02% DBT
798 FNMA POOL BR5458 3140L4B40 Dec 2021 91,168 -2,560 $85K -9.5% 0.02% ABS-MBS
799 FNMA POOL CA8377 3140QGJX6 Dec 2021 88,959 -2,220 $85K -7.7% 0.02% ABS-MBS
800 FHLMC MULTIFAMILY STRUCTURED P 3137FF3Z8 Dec 2021 2,998,066 -713 $85K -7.9% 0.02% ABS-O
801 FNMA POOL FM6418 3140XADY5 Dec 2021 90,288 -2,453 $84K -9.1% 0.02% ABS-MBS
802 FNMA POOL AS6562 3138WGJG0 Dec 2021 82,445 -5,214 $84K -10.8% 0.02% ABS-MBS
803 FNMA POOL BR4753 3140L3H79 Dec 2021 89,675 -2,533 $84K -9.3% 0.02% ABS-MBS
804 FNMA POOL BR5577 3140L4FT1 Dec 2021 89,740 -3,868 $84K -10.6% 0.02% ABS-MBS
805 FNMA POOL BR8518 3140L7PC0 Dec 2021 89,514 -3,442 $84K -10.2% 0.02% ABS-MBS
806 FNMA POOL BR5587 3140L4F53 Dec 2021 89,567 -1,968 $84K -8.8% 0.02% ABS-MBS
807 FNMA POOL BR4080 3140L2RA3 Dec 2021 89,374 -1,781 $83K -8.6% 0.02% ABS-MBS
808 FED HM LN PC POOL QK0701 3133D3X67 Dec 2021 86,023 -6,090 $83K -12.4% 0.02% ABS-MBS
809 FED HM LN PC POOL QC0161 3133AJFA6 Dec 2021 89,090 -2,156 $83K -8.9% 0.02% ABS-MBS
810 FNMA POOL BR0001 3140KXAB2 Sep 2021 86,620 -2,628 $83K -9.2% 0.02% ABS-MBS
811 FNMA POOL BC9096 3140F5DA8 Dec 2021 81,931 -7,549 $83K -12.7% 0.02% ABS-MBS
812 FNMA POOL BR7744 3140L6TA2 Dec 2021 88,804 -2,834 $83K -9.5% 0.02% ABS-MBS
813 FNMA POOL AT9637 3138WXV79 Dec 2021 79,690 -6,819 $83K -11.9% 0.02% ABS-MBS
814 ANHEUSER BUSCH INBEV WOR 035240AL4 Dec 2021 80,000 — $83K -6.9% 0.02% DBT
815 FNMA POOL BR8478 3140L7M41 Dec 2021 88,455 -4,577 $83K -11.2% 0.02% ABS-MBS
816 BECTON DICKINSON AND CO 075887BV0 Dec 2021 82,000 — $83K -3.6% 0.02% DBT
817 FANNIE MAE 3136ABQF3 Dec 2021 73,555 -4,082 $83K -5.1% 0.02% ABS-O
818 FNMA POOL BR5487 3140L4CZ0 Dec 2021 87,585 -3,103 $82K -9.9% 0.02% ABS-MBS
819 FNMA POOL BR7745 3140L6TB0 Dec 2021 87,276 -5,561 $82K -12.3% 0.02% ABS-MBS
820 ALPHABET INC 02079KAJ6 Dec 2021 90,000 — $81K -6.7% 0.02% DBT
821 FORD MOTOR COMPANY 345370CQ1 Dec 2021 90,000 — $81K -18.1% 0.02% DBT
822 FNMA POOL BR3286 3140L1UL7 Dec 2021 87,276 -4,139 $81K -11.0% 0.02% ABS-MBS
823 FNMA POOL BR2641 3140L05B9 Dec 2021 86,908 -3,300 $81K -10.1% 0.02% ABS-MBS
824 FED HM LN PC POOL QC1164 3133AKJH4 Dec 2021 86,592 -6,545 $81K -13.3% 0.02% ABS-MBS
825 FNMA POOL BR5589 3140L4F79 Dec 2021 86,847 -4,388 $81K -11.3% 0.02% ABS-MBS
826 FNMA POOL BR2644 3140L05E3 Dec 2021 86,439 -3,236 $81K -10.1% 0.02% ABS-MBS
827 FED HM LN PC POOL QB9482 3133AGRB7 Dec 2021 86,371 -5,652 $81K -12.5% 0.02% ABS-MBS
828 COMCAST CORP 20030NDH1 Dec 2021 80,000 +40,000 $80K +79.2% 0.02% DBT
829 MAGALLANES INC 55903VAJ2 — 80,000 New $80K — 0.02% DBT
830 FNMA POOL BR3500 3140L13J2 Dec 2021 86,342 -2,861 $80K -9.8% 0.02% ABS-MBS
831 CHARTER COMM OPT LLC/CAP 161175CL6 — 80,000 New $80K — 0.02% DBT
832 FED HM LN PC POOL QB5093 3133ABUS7 Dec 2021 83,636 -2,999 $80K -9.8% 0.02% ABS-MBS
833 PHILIP MORRIS INTL INC 718172AP4 Dec 2021 80,000 — $80K -13.7% 0.02% DBT
834 BWS053322 IRS USD R V 03MLIBOR 99S1N07I9 Sep 2021 594,000 -143,000 $80K +388.3% 0.02% DIR
835 INTEL CORP 458140BW9 Sep 2021 90,000 — $80K -13.3% 0.02% DBT
836 WORKDAY INC WDAY53 — 80,000 New $80K — 0.02% DBT
837 FNMA POOL BR3257 3140L1TP0 Dec 2021 85,383 -4,229 $80K -11.1% 0.02% ABS-MBS
838 FNMA POOL BR3256 3140L1TN5 Dec 2021 85,295 -4,272 $80K -11.2% 0.02% ABS-MBS
839 FED HM LN PC POOL QC0041 3133AJBJ1 Dec 2021 85,338 -4,604 $80K -11.5% 0.02% ABS-MBS
840 MARS INC 571676AB1 Dec 2021 80,000 — $79K -8.0% 0.02% DBT
841 FED HM LN PC POOL ZS8669 3132A9T23 Dec 2021 78,409 -7,844 $79K -12.4% 0.02% ABS-MBS
842 FED HM LN PC POOL QB8602 3133AFRX1 Dec 2021 84,554 -7,499 $79K -14.3% 0.02% ABS-MBS
843 AMAZON.COM INC 023135BM7 Dec 2021 70,000 — $79K -12.1% 0.02% DBT
844 CITIGROUP INC 172967MD0 Dec 2021 70,000 — $79K -12.4% 0.02% DBT
845 FNMA POOL BR4722 3140L3G88 Dec 2021 84,644 -6,229 $79K -13.1% 0.02% ABS-MBS
846 AIR LEASE CORP 00914AAH5 Dec 2021 80,000 — $79K -5.5% 0.02% DBT
847 UNITED AIRLINES INC 90932LAG2 Dec 2021 80,000 +70,000 $79K +655.2% 0.02% DBT
848 BOEING CO 097023CH6 Dec 2021 80,000 — $78K -6.1% 0.02% DBT
849 FANNIE MAE 3136AX4N2 Dec 2021 507,289 -46,449 $78K -31.4% 0.02% ABS-O
850 OCCIDENTAL PETROLEUM COR 674599CF0 Dec 2021 80,000 — $78K -6.5% 0.02% DBT
851 MICROSOFT CORP 594918CF9 Dec 2021 83,000 — $77K -13.2% 0.02% DBT
852 FED HM LN PC POOL QC0160 3133AJE90 Dec 2021 82,921 -8,521 $77K -15.5% 0.02% ABS-MBS
853 FNMA POOL BR4756 3140L3JA0 Dec 2021 82,847 -5,388 $77K -12.4% 0.02% ABS-MBS
854 US TREASURY N/B 912810TF5 — 80,000 New $77K — 0.02% DBT
855 HONEYWELL INTERNATIONAL 438516CB0 Dec 2021 80,000 — $77K -4.0% 0.02% DBT
856 FNMA POOL AP9766 3138MDZ88 Dec 2021 72,961 -6,118 $76K -11.4% 0.01% ABS-MBS
857 VENTURE GLOBAL CALCASIEU VNGB53 — 80,000 New $76K — 0.01% DBT
858 FNMA POOL AL9397 3138ERNP1 Dec 2021 76,844 -4,194 $76K -10.7% 0.01% ABS-MBS
859 FNMA POOL BR2643 3140L05D5 Dec 2021 81,547 -4,148 $76K -11.3% 0.01% ABS-MBS
860 FNMA POOL AS8740 3138WJWA2 Dec 2021 74,340 -8,547 $76K -14.5% 0.01% ABS-MBS
861 CITIGROUP INC 172967EW7 Dec 2021 50,000 — $76K -10.8% 0.01% DBT
862 T MOBILE USA INC 87264ABW4 Dec 2021 80,000 — $75K -9.4% 0.01% DBT
863 UNITED RENTALS NORTH AM 911365BP8 — 80,000 New $75K — 0.01% DBT
864 HUMANA INC 444859BB7 Dec 2021 70,000 — $75K -13.7% 0.01% DBT
865 AMAZON.COM INC 023135BZ8 Dec 2021 80,000 — $75K -8.2% 0.01% DBT
866 GOVERNMENT NATIONAL MORTGAGE A 38375BLC4 Dec 2021 73,881 -3,428 $74K -5.0% 0.01% ABS-O
867 FNMA POOL BQ1528 3140KLVW9 Dec 2021 79,064 -2,811 $74K -9.8% 0.01% ABS-MBS
868 WALMART INC 931142ES8 Sep 2021 80,000 — $74K -7.5% 0.01% DBT
869 MORGAN STANLEY REREMIC TRUST 61690TAP8 Dec 2021 74,159 -121,430 $73K -61.9% 0.01% ABS-O
870 VODAFONE GROUP PLC 92857WBK5 Dec 2021 70,000 — $73K -7.0% 0.01% DBT
871 FOUR SEASONS HLDGS INC 35100DAR7 Dec 2021 73,559 -330,000 $73K -81.8% 0.01% LON
872 EOG RESOURCES INC 26875PAP6 Dec 2021 70,000 — $73K -5.2% 0.01% DBT
873 FNMA POOL BQ0254 3140KKH80 Dec 2021 77,562 -4,099 $73K -11.3% 0.01% ABS-MBS
874 JPMORGAN CHASE + CO 46625HNJ5 Dec 2021 70,000 — $72K -7.8% 0.01% DBT
875 FRESENIUS MED CARE II 35802XAJ2 Dec 2021 70,000 — $72K -4.1% 0.01% DBT
876 UNION PACIFIC CORP 907818ES3 Dec 2021 70,000 — $72K -5.1% 0.01% DBT
877 WATERFALL COMMERCIAL MORTGAGE 94132LAA5 Dec 2021 72,915 -4,236 $72K -7.2% 0.01% ABS-O
878 MPLX LP 55336VAM2 Dec 2021 70,000 — $71K -9.1% 0.01% DBT
879 CHARTER COMM OPT LLC/CAP 161175BC7 Dec 2021 60,000 — $71K -17.4% 0.01% DBT
880 FNMA POOL AL4324 3138ELYW7 Dec 2021 62,400 -4,198 $71K -10.5% 0.01% ABS-MBS
881 GNMA II POOL BM7534 3617JYLP6 Dec 2021 70,333 -15,995 $71K -22.6% 0.01% ABS-MBS
882 INTL LEASE FINANCE CORP AER389 Dec 2021 70,000 — $71K -1.8% 0.01% DBT
883 SUZANO AUSTRIA G 86964WAK8 Dec 2021 80,000 — $71K -8.5% 0.01% DBT
884 GNMA II POOL MA5818 36179UPB2 Dec 2021 68,168 -12,062 $71K -16.8% 0.01% ABS-MBS
885 JPMORGAN CHASE + CO 46647PBN5 Dec 2021 80,000 — $71K -14.7% 0.01% DBT
886 ARCELORMITTAL 03938LAP9 Dec 2021 60,000 — $70K -14.8% 0.01% DBT
887 BOEING CO 097023BY0 Dec 2021 80,000 — $70K -13.7% 0.01% DBT
888 CENTENE CORP 15135BAR2 — 70,000 New $70K — 0.01% DBT
889 CALIFORNIA ST 13063BWB4 Dec 2021 70,000 — $70K -1.0% 0.01% DBT
890 EQT CORP 26884LAF6 Dec 2021 70,000 — $70K -6.9% 0.01% DBT
891 JPMORGAN CHASE + CO 46647PAM8 Dec 2021 70,000 — $70K -7.0% 0.01% DBT
892 CON EDISON CO OF NY INC 209111FX6 Dec 2021 70,000 — $70K -7.4% 0.01% DBT
893 FREDDIE MAC REFERENCE REMIC 31396NRF5 Dec 2021 63,761 -4,878 $69K -11.2% 0.01% ABS-O
894 FNMA POOL MA2110 31418BKY1 Dec 2021 68,101 -7,419 $69K -13.9% 0.01% ABS-MBS
895 FANNIE MAE 3136BBMQ2 Dec 2021 426,972 -7,587 $69K +10.6% 0.01% ABS-O
896 GOLDMAN SACHS GROUP INC 38141GYK4 Sep 2021 80,000 — $69K -13.6% 0.01% DBT
897 TRANSCONT GAS PIPE LINE 893574AH6 Dec 2021 60,000 — $69K -6.0% 0.01% DBT
898 COCA COLA CO/THE 191216CX6 Dec 2021 80,000 — $68K -12.9% 0.01% DBT
899 CVS PASS THROUGH TRUST CVS381 Dec 2021 63,928 -2,287 $68K -8.9% 0.01% DBT
900 US TREASURY N/B 91282CAW1 Dec 2021 70,000 — $68K -2.3% 0.01% DBT
901 HOME DEPOT INC 437076CB6 Dec 2021 70,000 — $68K -7.7% 0.01% DBT
902 FANNIE MAE 3136A5J49 Dec 2021 61,391 -4,780 $68K -9.8% 0.01% ABS-O
903 HCA INC 404119CA5 — 70,000 New $67K — 0.01% DBT
904 BANK OF MONTREAL 06367WB85 Dec 2021 70,000 — $67K -5.2% 0.01% DBT
905 FNMA POOL AS7844 3138WHWE8 Dec 2021 67,654 -5,792 $67K -13.2% 0.01% ABS-MBS
906 T MOBILE USA INC 87264ABV6 — 70,000 New $67K — 0.01% DBT
907 GNMA II POOL 784106 3622A2R38 Dec 2021 65,186 -6,580 $67K -12.1% 0.01% ABS-MBS
908 WALT DISNEY COMPANY/THE 254687EH5 Dec 2021 50,000 — $67K -10.3% 0.01% DBT
909 LOCKHEED MARTIN CORP 539830BK4 Dec 2021 60,000 — $66K -9.7% 0.01% DBT
910 T MOBILE USA INC 87264ABR5 Dec 2021 70,000 — $66K -5.8% 0.01% DBT
911 CONTINENTAL RESOURCES 212015AU5 — 70,000 — $65K -5.9% 0.01% DBT
912 CCO HLDGS LLC/CAP CORP 1248EPCQ4 — 70,000 New $65K — 0.01% DBT
913 EOG RESOURCES INC 26875PAU5 Dec 2021 60,000 — $65K -6.4% 0.01% DBT
914 GOVERNMENT NATIONAL MORTGAGE A 38380QGU0 Dec 2021 64,272 -5,751 $65K -8.6% 0.01% ABS-O
915 PACIFIC GAS + ELECTRIC 694308JJ7 Dec 2021 80,000 — $64K -14.1% 0.01% DBT
916 HCA INC 404119BT5 Dec 2021 60,000 — $63K -6.1% 0.01% DBT
917 FNMA POOL FM6015 3140X9VH5 Dec 2021 62,314 -4,290 $63K -10.8% 0.01% ABS-MBS
918 FNMA POOL AT9653 3138WXWP8 Dec 2021 60,515 -4,601 $63K -11.6% 0.01% ABS-MBS
919 CVS PASS THROUGH TRUST CVS360 Dec 2021 58,450 -1,781 $63K -8.8% 0.01% DBT
920 FNMA POOL FM5754 3140X9MC6 Dec 2021 61,470 -5,677 $63K -12.6% 0.01% ABS-MBS
921 ALTRIA GROUP INC 02209SBG7 Dec 2021 56,000 — $62K -14.8% 0.01% DBT
922 US 5YR FUTR OPTN MAY22C 115 FVK2C115 — 144 New $62K — 0.01% DIR
923 FHLMC MULTIFAMILY STRUCTURED P 3137FPJQ9 Dec 2021 1,569,748 -1,933 $62K -4.0% 0.01% ABS-O
924 T MOBILE USA INC 87264ABX2 Dec 2021 70,000 — $61K -9.9% 0.01% DBT
925 SALESFORCE INC 79466LAE4 Dec 2021 60,000 — $61K -1.8% 0.01% DBT
926 MCDONALD S CORP 58013MFN9 Dec 2021 60,000 — $61K -4.5% 0.01% DBT
927 COMMSCOPE INC COMM47 — 60,000 New $61K — 0.01% DBT
928 GNMA II POOL 004747 36202FHY5 Dec 2021 57,057 -3,904 $61K -10.5% 0.01% ABS-MBS
929 FANNIE MAE 3136A54N3 Dec 2021 53,796 -3,620 $60K -10.7% 0.01% ABS-O
930 CITIGROUP INC 172967HQ7 Dec 2021 60,000 — $60K -4.2% 0.01% DBT
931 BWS060863 IRS USD R V 00MSOFR 99S1OI5I1 — 980,000 — $60K +1443.3% 0.01% DIR
932 DEERE + COMPANY 244199BJ3 Dec 2021 60,000 — $60K -7.1% 0.01% DBT
933 GOVERNMENT NATIONAL MORTGAGE A 38378BT58 Dec 2021 2,912,486 -166,253 $60K -7.4% 0.01% ABS-O
934 CVS PASS THROUGH TRUST CVS330 Dec 2021 53,508 -1,278 $60K -7.7% 0.01% DBT
935 SOUTHWESTERN ENERGY CO 845467AT6 — 60,000 +10,000 $60K +13.8% 0.01% DBT
936 GNMA II POOL 784825 3622AAHA5 Dec 2021 59,965 -24,629 $60K -31.4% 0.01% ABS-MBS
937 MAGALLANES INC 55903VAG8 — 60,000 New $60K — 0.01% DBT
938 3M COMPANY 88579YBN0 Dec 2021 60,000 — $60K -7.4% 0.01% DBT
939 FNMA POOL AE2266 31419CQU0 Dec 2021 55,619 -2,145 $60K -7.8% 0.01% ABS-MBS
940 GNMA II POOL MA1995 36179QGC9 Dec 2021 58,089 -4,645 $60K -11.0% 0.01% ABS-MBS
941 UNITED RENTALS NORTH AM 911365BM5 Dec 2021 60,000 — $59K -4.4% 0.01% DBT
942 ENERGY TRANSFER LP 29273VAM2 — 60,000 New $59K — 0.01% DBT
943 FANNIE MAE 3136BBEL2 Dec 2021 352,271 -7,369 $59K +9.8% 0.01% ABS-O
944 ATHENAHEALTH INC 04686RAC7 — 59,420 New $59K — 0.01% DBT
945 FNMA POOL MA1253 31418AMB1 Dec 2021 55,516 -5,412 $58K -12.5% 0.01% ABS-MBS
946 TIME WARNER CABLE LLC 88732JAJ7 Dec 2021 50,000 +40,000 $58K +338.7% 0.01% DBT
947 GOVERNMENT NATIONAL MORTGAGE A 38382HM98 Dec 2021 437,824 -15,652 $57K -1.0% 0.01% ABS-O
948 L3HARRIS TECH INC 413875AT2 Dec 2021 50,000 — $56K -14.2% 0.01% DBT
949 UNITEDHEALTH GROUP INC 91324PDQ2 Dec 2021 50,000 — $56K -12.1% 0.01% DBT
950 GENERAL DYNAMICS CORP 369550BJ6 Dec 2021 50,000 -10,000 $56K -26.9% 0.01% DBT
951 GNMA II POOL BS1728 3617MB4M8 Dec 2021 54,448 -6,924 $56K -14.4% 0.01% ABS-MBS
952 FED HM LN PC POOL ZS8673 3132A9T64 Dec 2021 55,279 -4,741 $56K -11.2% 0.01% ABS-MBS
953 FNMA POOL MA1591 31418AXV5 Dec 2021 52,237 -5,544 $56K -12.1% 0.01% ABS-MBS
954 ANHEUSER BUSCH CO/INBEV 03522AAJ9 Dec 2021 50,000 — $56K -12.3% 0.01% DBT
955 TEACHERS INSUR + ANNUITY 878091BD8 Dec 2021 50,000 — $55K -14.3% 0.01% DBT
956 BANK OF AMERICA CORP 06051GKD0 — 60,000 — $55K -9.7% 0.01% DBT
957 FHLMC MULTIFAMILY STRUCTURED P 3137FMU26 Dec 2021 996,936 -389 $54K -6.3% 0.01% ABS-O
958 GNMA II POOL MA5331 36179T4Q5 Dec 2021 51,956 -7,895 $54K -15.0% 0.01% ABS-MBS
959 GNMA II POOL BM9743 3617K1ZG1 Dec 2021 52,287 -8,152 $54K -16.5% 0.01% ABS-MBS
960 LOWE S COS INC 548661DU8 Dec 2021 50,000 — $54K -7.9% 0.01% DBT
961 FNMA POOL MA1711 31418A3V8 Dec 2021 49,982 -5,398 $53K -12.5% 0.01% ABS-MBS
962 Currency Forward Contract N/A Dec 2021 292,792 New $53K — 0.01% DFE
963 FNMA POOL BF0183 3140FXFZ0 Dec 2021 50,948 -1,708 $53K -8.6% 0.01% ABS-MBS
964 COMCAST CORP 20030NAK7 Dec 2021 41,000 — $53K -10.1% 0.01% DBT
965 MASTERCARD INC 57636QAQ7 Dec 2021 50,000 — $53K -12.5% 0.01% DBT
966 GNMA POOL AB9109 36178WDN6 Dec 2021 52,231 -1,898 $53K -7.8% 0.01% ABS-MBS
967 ENERGY TRANSFER LP 29278NAF0 Dec 2021 50,000 — $52K -6.8% 0.01% DBT
968 REGIONALCARE HOSPITAL PARTNERS 75915TAD4 Dec 2021 52,800 -162,877 $52K -75.6% 0.01% LON
969 CALIFORNIA ST 13063CFT2 Dec 2021 50,000 — $52K -3.1% 0.01% DBT
970 CITADEL SECURITIES LP 17288YAD4 Dec 2021 52,704 -400,133 $52K -88.4% 0.01% LON
971 AT+T INC 00206RLV2 — 60,000 — $52K -14.0% 0.01% DBT
972 WELLS FARGO + COMPANY 949746RN3 Dec 2021 50,000 — $52K -4.4% 0.01% DBT
973 HCA INC 404119BN8 Dec 2021 50,000 — $52K -3.5% 0.01% DBT
974 HUMANA INC 444859BM3 Dec 2021 50,000 — $52K -4.9% 0.01% DBT
975 NORTHEAST OH REGL SWR DIST 663903ED0 Dec 2021 50,000 — $52K -2.7% 0.01% DBT
976 FNMA POOL MA1629 31418AY36 Dec 2021 48,592 -2,783 $52K -8.1% 0.01% ABS-MBS
977 GOVERNMENT NATIONAL MORTGAGE A 38375BLE0 Dec 2021 51,600 -5,094 $52K -9.5% 0.01% ABS-O
978 SALESFORCE INC 79466LAF1 Dec 2021 50,000 — $52K -6.8% 0.01% DBT
979 BANK OF AMERICA CORP 06051GFU8 Dec 2021 50,000 — $52K -6.1% 0.01% DBT
980 BANK OF AMERICA CORP 06051GFL8 Dec 2021 50,000 — $52K -6.6% 0.01% DBT
981 CON EDISON CO OF NY INC 209111FY4 Dec 2021 50,000 — $51K -10.4% 0.01% DBT
982 FNMA POOL FM0071 3140X3CH9 Dec 2021 50,407 -3,198 $51K -10.4% 0.01% ABS-MBS
983 PARK AEROSPACE HOLDINGS AVOL44 Dec 2021 50,000 — $51K -4.5% 0.01% DBT
984 COMCAST CORP 20030NCK5 Dec 2021 50,000 — $51K -11.5% 0.01% DBT
985 SANTANDER HOLDINGS USA 80282KAE6 Dec 2021 50,000 — $51K -5.5% 0.01% DBT
986 GENERAL DYNAMICS CORP 369550BG2 Dec 2021 50,000 — $51K -4.5% 0.01% DBT
987 T MOBILE USA INC 87264ABL8 Dec 2021 60,000 — $51K -13.6% 0.01% DBT
988 CITIGROUP INC 172967GD7 Dec 2021 50,000 — $50K -2.1% 0.01% DBT
989 FNMA POOL BC2817 3140EXDX8 Dec 2021 50,791 -4,303 $50K -13.2% 0.01% ABS-MBS
990 T MOBILE USA INC 87264ABD6 Dec 2021 50,000 — $50K -7.1% 0.01% DBT
991 WORKDAY INC 98138HAG6 — 50,000 New $50K — 0.01% DBT
992 AMAZON.COM INC 023135BT2 Dec 2021 60,000 — $50K -12.7% 0.01% DBT
993 GNMA II POOL BS1742 3617MB5B1 Dec 2021 48,664 -8,373 $50K -17.6% 0.01% ABS-MBS
994 FNMA POOL AW0318 3138XPK85 Dec 2021 47,059 -287 $50K -3.7% 0.01% ABS-MBS
995 GOLDMAN SACHS GROUP INC 38141GZR8 — 50,000 New $50K — 0.01% DBT
996 FNMA POOL AM8674 3138L9T85 Dec 2021 50,000 — $50K -4.6% 0.01% ABS-MBS
997 CHARTER COMM OPT LLC/CAP 161175CE2 Sep 2021 60,000 — $50K -14.9% 0.01% DBT
998 MOLSON COORS BEVERAGE 60871RAG5 Dec 2021 50,000 — $49K -5.6% 0.01% DBT
999 FNMA POOL AT9657 3138WXWT0 Dec 2021 47,449 -2,606 $49K -8.8% 0.01% ABS-MBS
1000 ENERGY TRANSFER LP 29273VAN0 — 50,000 New $49K — 0.01% DBT
1001 FNMA POOL BF0301 3140FXKP6 Dec 2021 45,798 -4,469 $49K -12.6% 0.01% ABS-MBS
1002 EOG RESOURCES INC 26875PAT8 Dec 2021 40,000 — $49K -9.8% 0.01% DBT
1003 FANNIE MAE 3136BDYC6 Dec 2021 277,744 -5,314 $49K +6.9% 0.01% ABS-O
1004 MOLSON COORS BEVERAGE 60871RAH3 Dec 2021 50,000 — $48K -12.8% 0.01% DBT
1005 FREDDIE MAC 3137FXC89 Dec 2021 363,119 -6,191 $48K +6.2% 0.01% ABS-O
1006 UNION PACIFIC CORP 907818FJ2 Dec 2021 50,000 — $48K -6.2% 0.01% DBT
1007 COUNTRYWIDE ALTERNATIVE LOAN T 02147FAQ9 Dec 2021 43,138 -1,265 $48K -19.6% 0.01% ABS-O
1008 FNMA POOL 890827 31410LVU3 Dec 2021 46,638 -2,367 $48K -9.2% 0.01% ABS-MBS
1009 BWS069120 IRS USD R V 00MSOFR 99S1QDTF0 — 580,000 New $47K — 0.01% DIR
1010 FNMA POOL AS4347 3138WDZM6 Dec 2021 45,547 -4,191 $47K -12.6% 0.01% ABS-MBS
1011 HERSHEY COMPANY 427866BF4 Dec 2021 50,000 — $47K -4.5% 0.01% DBT
1012 ALPHABET INC 02079KAH0 Dec 2021 50,000 — $47K -4.4% 0.01% DBT
1013 AT+T INC 00206RBA9 — 40,000 — $47K -11.5% 0.01% DBT
1014 FNMA POOL MA2749 31418CBT0 Dec 2021 47,597 -3,675 $47K -11.8% 0.01% ABS-MBS
1015 ENTERPRISE PRODUCTS OPER 29379VAV5 Dec 2021 40,000 — $46K -10.8% 0.01% DBT
1016 AT+T INC 04650NAB0 — 40,000 — $46K -9.9% 0.01% DBT
1017 FREDDIE MAC 3137FW3E8 Dec 2021 273,598 -5,944 $46K +17.6% 0.01% ABS-O
1018 FNMA POOL MA2320 31418BSJ6 Dec 2021 45,422 -4,000 $46K -12.3% 0.01% ABS-MBS
1019 FNMA POOL MA0734 31417YY84 Dec 2021 43,565 -3,285 $45K -10.9% 0.01% ABS-MBS
1020 US 5YR FUTR OPTN MAY22C 114.5 FVK2C114.5 — 66 New $45K — 0.01% DIR
1021 EXELON CORP 30161NAC5 Dec 2021 40,000 — $45K -11.1% 0.01% DBT
1022 GNMA POOL AB9207 36178WGQ6 Dec 2021 44,773 -3,305 $45K -11.0% 0.01% ABS-MBS
1023 GOVERNMENT NATIONAL MORTGAGE A 38382EDP9 Dec 2021 315,668 -22,199 $44K -8.6% 0.01% ABS-O
1024 GOVERNMENT NATIONAL MORTGAGE A 38379XGR5 Dec 2021 243,607 -15,827 $44K -6.7% 0.01% ABS-O
1025 FNMA POOL AQ7082 3138MN2Q2 Dec 2021 42,565 -4,881 $44K -13.7% 0.01% ABS-MBS
1026 GILEAD SCIENCES INC 375558BD4 Dec 2021 40,000 — $44K -12.9% 0.01% DBT
1027 GNMA II POOL BM9734 3617K1Y72 Dec 2021 43,001 -7,694 $44K -18.1% 0.01% ABS-MBS
1028 FREDDIE MAC 3137H24R2 — 291,745 -3,440 $43K +13.3% 0.01% ABS-O
1029 CITIGROUP INC 172967KR1 Dec 2021 40,000 — $43K -12.9% 0.01% DBT
1030 FREDDIEMAC STRIP 31325WSM5 Dec 2021 241,807 -15,831 $43K -9.7% 0.01% ABS-MBS
1031 BWS060988 IRS USD R V 00MSOFR 99S1OJTO0 — 3,490,000 — $43K -218.8% 0.01% DIR
1032 US 10YR FUT OPTN MAY22C 123.2 TYK2C123.2 — 40 New $42K — 0.01% DIR
1033 GLP CAPITAL LP / FIN II 361841AH2 Dec 2021 40,000 — $42K -6.2% 0.01% DBT
1034 LENNAR CORP 526057CD4 Dec 2021 40,000 — $42K -7.9% 0.01% DBT
1035 FNMA POOL AP7399 3138MBGH3 Dec 2021 40,024 -427 $42K -4.8% 0.01% ABS-MBS
1036 HOME DEPOT INC 437076BS0 Dec 2021 40,000 — $42K -11.2% 0.01% DBT
1037 EATON CORP 278062AE4 Dec 2021 40,000 — $42K -11.3% 0.01% DBT
1038 HCA INC 404119BU2 Dec 2021 40,000 — $41K -6.2% 0.01% DBT
1039 FNMA POOL AB9683 31417GXM3 Dec 2021 39,585 -3,477 $41K -11.6% 0.01% ABS-MBS
1040 FNMA POOL AE0758 31419AZY6 Dec 2021 35,171 -2,367 $41K -10.6% 0.01% ABS-MBS
1041 FED HM LN PC POOL Q56002 3132XYU47 Dec 2021 38,711 -165 $41K -3.4% 0.01% ABS-MBS
1042 INTEL CORP 458140AS9 Dec 2021 40,000 — $41K -5.1% 0.01% DBT
1043 PACIFIC GAS + ELECTRIC 694308JH1 Dec 2021 50,000 — $41K -11.9% 0.01% DBT
1044 FNMA POOL CA0907 3140Q8AH8 Dec 2021 40,441 -2,516 $41K -10.9% 0.01% ABS-MBS
1045 GENERAL MOTORS CO 37045VAP5 Dec 2021 40,000 — $41K -15.8% 0.01% DBT
1046 AETNA INC 00817YAV0 Dec 2021 40,000 — $40K -2.0% 0.01% DBT
1047 VERIZON COMMUNICATIONS 92343VBG8 Dec 2021 40,000 — $40K -11.0% 0.01% DBT
1048 NIKE INC 654106AM5 Dec 2021 40,000 — $40K -12.5% 0.01% DBT
1049 FNMA POOL AQ7003 3138MNX96 Dec 2021 37,077 -454 $39K -4.9% 0.01% ABS-MBS
1050 REPUBLIC OF ARGENTINA 040114HV5 Dec 2021 110,000 — $38K -0.9% 0.01% DBT
1051 GOVERNMENT NATIONAL MORTGAGE A 38378MVC6 Dec 2021 380,660 -47,542 $38K -12.2% 0.01% ABS-O
1052 FNMA POOL BC1509 3140EVVB0 Dec 2021 38,666 -1,975 $38K -10.4% 0.01% ABS-MBS
1053 MCDONALD S CORP 58013MFK5 Dec 2021 40,000 — $38K -13.6% 0.01% DBT
1054 CAMERON LNG LLC 133434AA8 Dec 2021 40,000 — $38K -8.7% 0.01% DBT
1055 OCCIDENTAL PETROLEUM COR 674599CJ2 Dec 2021 40,000 — $38K -7.3% 0.01% DBT
1056 IMM EUR FUT OPT JUN23C 98.5 EDM3C98.5 — 132 New $38K — 0.01% DIR
1057 FNMA POOL AL3026 3138EKLG8 Dec 2021 36,854 -2,668 $38K -10.9% 0.01% ABS-MBS
1058 Currency Forward Contract N/A Dec 2021 470,548 New $38K — 0.01% DFE
1059 Currency Forward Contract N/A Dec 2021 775,006 New $38K — 0.01% DFE
1060 VERIZON COMMUNICATIONS 92343VGK4 — 40,000 New $38K — 0.01% DBT
1061 VERIZON COMMUNICATIONS 92343VDV3 Dec 2021 30,000 — $37K -10.9% 0.01% DBT
1062 ENTERPRISE PRODUCTS OPER 29379VBR3 — 40,000 New $37K — 0.01% DBT
1063 PIONEER NATURAL RESOURCE 723787AT4 Dec 2021 40,000 — $37K -4.4% 0.01% DBT
1064 FANNIE MAE 3136AHGQ7 Dec 2021 245,710 -20,591 $37K -19.8% 0.01% ABS-O
1065 FNMA POOL 915154 31411UWP2 Dec 2021 34,474 -408 $37K -5.3% 0.01% ABS-MBS
1066 JOHNSON + JOHNSON 478160CP7 Dec 2021 40,000 — $37K -6.3% 0.01% DBT
1067 FANNIE MAE 3136AETS6 Dec 2021 186,486 -22,553 $36K -9.5% 0.01% ABS-O
1068 FNMA POOL MA2138 31418BLU8 Dec 2021 35,710 -3,036 $36K -12.0% 0.01% ABS-MBS
1069 WALMART INC 931142ET6 Sep 2021 40,000 — $36K -8.3% 0.01% DBT
1070 GOLDMAN SACHS GROUP INC 38141GYC2 Dec 2021 40,000 — $36K -12.9% 0.01% DBT
1071 PHILIP MORRIS INTL INC 718172CP2 Dec 2021 40,000 — $36K -8.1% 0.01% DBT
1072 GENERAL MOTORS FINL CO 37045XDS2 — 40,000 New $36K — 0.01% DBT
1073 GOVERNMENT NATIONAL MORTGAGE A 38382KS87 Dec 2021 269,740 -7,013 $36K -1.7% 0.01% ABS-O
1074 FNMA POOL AR1202 3138NXKQ9 Dec 2021 35,994 -1,471 $36K -10.0% 0.01% ABS-MBS
1075 HUMANA INC 444859BR2 — 40,000 New $35K — 0.01% DBT
1076 GNMA II POOL BS1757 3617MB5S4 Dec 2021 33,971 -16,638 $35K -35.2% 0.01% ABS-MBS
1077 GNMA POOL 782034 36241KHK7 Dec 2021 31,498 -1,778 $34K -9.1% 0.01% ABS-MBS
1078 PACIFIC GAS + ELECTRIC 694308JG3 Dec 2021 40,000 — $34K -9.5% 0.01% DBT
1079 GNMA POOL 604706 36200MYB3 Dec 2021 31,276 -602 $34K -5.7% 0.01% ABS-MBS
1080 AT+T INC 00206RKE1 — 40,000 — $34K -13.4% 0.01% DBT
1081 FNMA POOL AD6914 31418UVG6 Dec 2021 32,020 -2,256 $34K -10.3% 0.01% ABS-MBS
1082 GOVERNMENT NATIONAL MORTGAGE A 38378B2G3 Dec 2021 2,369,093 -21,250 $33K -6.3% 0.01% ABS-O
1083 DEVON ENERGY CORPORATION DVN532 — 32,000 — $33K -1.7% 0.01% DBT
1084 KINDER MORGAN ENER PART 494550BU9 Dec 2021 30,000 — $33K -11.5% 0.01% DBT
1085 FNMA POOL AQ4555 3138MLBZ6 Dec 2021 31,218 -1,832 $33K -9.1% 0.01% ABS-MBS
1086 GOVERNMENT NATIONAL MORTGAGE A 38379RPH0 Dec 2021 883,586 -83,472 $32K -17.0% 0.01% ABS-O
1087 RUSSIA GOVT BOND OFZ SU2623 Dec 2021 86,260,000 — $32K -97.1% 0.01% DBT
1088 DEVON ENERGY CORPORATION DVN532 — 30,000 — $32K -3.0% 0.01% DBT
1089 Currency Forward Contract N/A Dec 2021 179,510 New $32K — 0.01% DFE
1090 FREDDIE MAC 3137FVQ54 Dec 2021 220,784 -4,320 $32K +11.7% 0.01% ABS-O
1091 GSR MORTGAGE LOAN TRUST 362341MC0 Dec 2021 48,473 -1,915 $32K -8.3% 0.01% ABS-O
1092 HOME DEPOT INC 437076BW1 Dec 2021 30,000 — $31K -6.9% 0.01% DBT
1093 SCHLUMBERGER HLDGS CORP 806851AK7 Dec 2021 31,000 — $31K -6.4% 0.01% DBT
1094 ANHEUSER BUSCH INBEV WOR 035240AS9 Dec 2021 30,000 — $31K -11.5% 0.01% DBT
1095 FLAGSTAR MORTGAGE TRUST 33851HAD5 Dec 2021 31,257 -23,296 $31K -42.9% 0.01% ABS-O
1096 CVS HEALTH CORP 126650DL1 Dec 2021 30,000 — $31K -14.5% 0.01% DBT
1097 IMM EUR FUT OPT DEC22C 98.375 EDZ2C98.37 — 120 New $31K — 0.01% DIR
1098 MPT OPER PARTNERSP/FINL 55342UAH7 — 30,000 New $31K — 0.01% DBT
1099 FNMA POOL AQ4078 3138MKQ82 Dec 2021 29,221 -944 $30K -7.9% 0.01% ABS-MBS
1100 JPMBB COMMERCIAL MORTGAGE SECU 46640UAJ1 Dec 2021 30,000 — $30K -3.7% 0.01% ABS-O
1101 ROYAL BANK OF CANADA RY4977 Dec 2021 30,000 — $30K -1.6% 0.01% DBT
1102 FNMA POOL AS4271 3138WDW98 Dec 2021 27,560 -2,209 $30K -10.6% 0.01% ABS-MBS
1103 FNMA POOL AT8394 3138WWKG3 Dec 2021 28,495 -792 $30K -7.4% 0.01% ABS-MBS
1104 BWS049569 IRS USD R V 03MLIBOR 99S1KSAX4 Dec 2021 614,000 — $30K -160.5% 0.01% DIR
1105 FNMA POOL MA1547 31418AWH7 Dec 2021 27,769 -1,525 $29K -9.1% 0.01% ABS-MBS
1106 FNMA POOL AQ7306 3138MPDL6 Dec 2021 28,959 -2,678 $29K -14.2% 0.01% ABS-MBS
1107 TEACHERS INSUR + ANNUITY 878091BC0 Dec 2021 22,000 — $29K -12.4% 0.01% DBT
1108 COMCAST CORP 20030NCY5 Dec 2021 30,000 — $28K -10.3% 0.01% DBT
1109 FNMA POOL AP4903 3138M8NV1 Dec 2021 27,319 -273 $28K -4.7% 0.01% ABS-MBS
1110 FNMA POOL AL3508 3138EK3S2 Dec 2021 27,223 -2,260 $28K -12.2% 0.01% ABS-MBS
1111 CCO HLDGS LLC/CAP CORP 1248EPCE1 Dec 2021 30,000 — $28K -8.3% 0.01% DBT
1112 COMCAST CORP 20030NBU4 Dec 2021 30,000 — $28K -11.7% 0.01% DBT
1113 FED HM LN PC POOL Q19615 3132JBDV2 Dec 2021 26,662 -1,504 $28K -9.9% 0.01% ABS-MBS
1114 DEVON ENERGY CORPORATION DVN532 — 26,000 — $28K -2.2% 0.01% DBT
1115 FED HM LN PC POOL Q19135 3132JASZ9 Dec 2021 26,372 -2,321 $27K -12.5% 0.01% ABS-MBS
1116 VERTIV GROUP CORPORATION 92535UAB0 — 30,000 New $27K — 0.01% DBT
1117 SPRINT CAPITAL CORP 852060AT9 — 20,000 New $27K — 0.01% DBT
1118 FANNIE MAE 3136BDEF1 Dec 2021 186,896 -2,736 $27K +10.8% 0.01% ABS-O
1119 UNITEDHEALTH GROUP INC 91324PEA6 Dec 2021 30,000 — $27K -14.3% 0.01% DBT
1120 FNMA POOL 983077 31415LCN5 Dec 2021 24,814 -2,022 $27K -11.5% 0.01% ABS-MBS
1121 FREDDIE MAC 3137AJYN8 Dec 2021 153,267 -12,086 $26K -20.1% 0.01% ABS-O
1122 CVS HEALTH CORP 126650DQ0 — 30,000 New $26K — 0.01% DBT
1123 AMGEN INC 031162CF5 Dec 2021 24,000 — $26K -14.3% 0.01% DBT
1124 FNMA POOL AS0070 3138W9CG3 Dec 2021 25,172 -236 $26K -5.0% 0.01% ABS-MBS
1125 FED HM LN PC POOL G07335 3128M9PU0 Dec 2021 22,557 -2,313 $26K -13.3% 0.01% ABS-MBS
1126 TIME WARNER ENTERTAINMEN 88731EAJ9 Dec 2021 20,000 — $26K -10.4% 0.01% DBT
1127 FNMA POOL MA1664 31418AZ68 Dec 2021 24,006 -2,270 $26K -11.2% 0.01% ABS-MBS
1128 GNMA II POOL MA2678 36179Q6P1 Dec 2021 24,792 -2,323 $25K -11.7% 0.00% ABS-MBS
1129 WALT DISNEY COMPANY/THE 254687DZ6 Dec 2021 20,000 — $25K -9.9% 0.00% DBT
1130 FANNIE MAE 3136BCAY6 Dec 2021 167,562 -6,488 $25K -7.0% 0.00% ABS-O
1131 COMCAST CORP 20030NDL2 Mar 2022 30,000 New $25K — 0.00% DBT
1132 GOVERNMENT NATIONAL MORTGAGE A 38382KG64 Dec 2021 183,326 -4,453 $25K +0.2% 0.00% ABS-O
1133 CITIGROUP INC 172967BL4 Dec 2021 20,000 — $24K -9.0% 0.00% DBT
1134 GOVERNMENT NATIONAL MORTGAGE A 38382JZK5 Dec 2021 180,638 -4,750 $24K -0.0% 0.00% ABS-O
1135 FNMA POOL 310088 31374CND4 Dec 2021 22,085 -798 $24K -7.6% 0.00% ABS-MBS
1136 GOVERNMENT NATIONAL MORTGAGE A 38380AK63 Dec 2021 109,238 -2,858 $24K -17.8% 0.00% ABS-O
1137 FREDDIE MAC 3137F6P92 Dec 2021 162,710 -7,778 $24K +1.2% 0.00% ABS-O
1138 GOVERNMENT NATIONAL MORTGAGE A 38382HS35 Dec 2021 179,162 -6,114 $23K -2.4% 0.00% ABS-O
1139 INTEL CORP 458140BM1 Dec 2021 20,000 -60,000 $23K -78.2% 0.00% DBT
1140 BARRICK GOLD CORP 067901AH1 Dec 2021 20,000 — $23K -10.9% 0.00% DBT
1141 FANNIE MAE 3136AARL1 Dec 2021 136,743 -9,230 $23K -26.7% 0.00% ABS-O
1142 FNMA POOL AL4741 3138EMHT1 Dec 2021 21,666 -2,052 $23K -11.2% 0.00% ABS-MBS
1143 TECK RESOURCES LIMITED 878742AS4 Dec 2021 20,000 — $23K -10.5% 0.00% DBT
1144 GOVERNMENT NATIONAL MORTGAGE A 38382HY87 Dec 2021 173,998 -6,929 $23K -0.7% 0.00% ABS-O
1145 KKR GROUP FIN CO II 48249DAA9 Dec 2021 20,000 — $23K -14.8% 0.00% DBT
1146 GNMA II POOL MA4068 36179SQV2 Dec 2021 22,703 -2,319 $23K -13.3% 0.00% ABS-MBS
1147 FNMA POOL AO6086 3138LWXQ9 Dec 2021 21,753 -199 $23K -4.6% 0.00% ABS-MBS
1148 ABBVIE INC 00287YBD0 — 20,000 New $23K — 0.00% DBT
1149 CIGNA CORP 125523AK6 — 20,000 New $22K — 0.00% DBT
1150 RUSSIA GOVT BOND OFZ SU2622 Dec 2021 60,500,000 — $22K -97.0% 0.00% DBT
1151 EXXON MOBIL CORPORATION 30231GBG6 Dec 2021 20,000 — $22K -9.6% 0.00% DBT
1152 FANNIE MAE 3136A1QW8 Dec 2021 154,414 -10,789 $22K -25.3% 0.00% ABS-O
1153 GENERAL DYNAMICS CORP 369550BH0 Dec 2021 20,000 — $22K -10.8% 0.00% DBT
1154 KINDER MORGAN INC 49456BAQ4 Dec 2021 20,000 — $22K -12.3% 0.00% DBT
1155 COMCAST CORP 20030NBH3 Dec 2021 20,000 — $22K -7.8% 0.00% DBT
1156 BECTON DICKINSON AND CO 075887BG3 Dec 2021 20,000 — $21K -14.6% 0.00% DBT
1157 GENERAL MOTORS CO 37045VAV2 Dec 2021 20,000 — $21K -6.5% 0.00% DBT
1158 ANHEUSER BUSCH INBEV WOR 035240AN0 — 20,000 New $21K — 0.00% DBT
1159 HALLIBURTON CO 406216BJ9 Dec 2021 20,000 — $21K -8.7% 0.00% DBT
1160 FED HM LN PC POOL 840698 31347AX33 Dec 2021 21,858 -2,231 $21K -11.5% 0.00% ABS-MBS
1161 EQT CORP 26884LAH2 Dec 2021 20,000 — $21K -6.3% 0.00% DBT
1162 FANNIE MAE 3136AYSU8 Dec 2021 149,079 -11,811 $21K -28.5% 0.00% ABS-O
1163 ABBVIE INC 00287YCB3 Dec 2021 20,000 — $21K -13.4% 0.00% DBT
1164 MEDTRONIC INC 585055BU9 Dec 2021 18,000 — $21K -12.3% 0.00% DBT
1165 XPO LOGISTICS INC XPO497 — 20,000 New $21K — 0.00% DBT
1166 ENERGY TRANSFER LP 86765BAP4 Dec 2021 20,000 — $21K -10.4% 0.00% DBT
1167 MDC HOLDINGS INC 552676AQ1 Dec 2021 20,000 — $21K -18.8% 0.00% DBT
1168 FNMA POOL MA1177 31418AJX7 Dec 2021 19,987 -1,544 $20K -11.8% 0.00% ABS-MBS
1169 MAGALLANES INC 55903VAN3 — 20,000 New $20K — 0.00% DBT
1170 COMCAST CORP 20030NBZ3 — 20,000 New $20K — 0.00% DBT
1171 SOUTHWESTERN ENERGY CO 845467AS8 — 20,000 New $20K — 0.00% DBT
1172 COMMONSPIRIT HEALTH CAHH39 Dec 2021 20,000 — $20K -12.6% 0.00% DBT
1173 MOLSON COORS BEVERAGE TAP384 Dec 2021 20,000 — $20K -0.7% 0.00% DBT
1174 WESTERN MIDSTREAM OPERAT 958254AL8 Dec 2021 20,000 — $20K -17.4% 0.00% DBT
1175 FED HM LN PC POOL Q19236 3132JAV69 Dec 2021 18,775 -149 $20K -5.1% 0.00% ABS-MBS
1176 FNMA POOL AQ4080 3138MKRA6 Dec 2021 18,667 -2,333 $19K -14.9% 0.00% ABS-MBS
1177 BRISTOL MYERS SQUIBB CO 110122CP1 Dec 2021 19,000 -41,000 $19K -70.6% 0.00% DBT
1178 APACHE CORP 037411AR6 Dec 2021 17,000 — $19K -8.0% 0.00% DBT
1179 CHEVRON CORP 166764CA6 Dec 2021 20,000 — $19K -11.0% 0.00% DBT
1180 UNITED RENTALS NORTH AM 911363AM1 — 20,000 New $19K — 0.00% DBT
1181 CTR PARTNERSHIP/CARETRST CTREV5 — 20,000 New $19K — 0.00% DBT
1182 UNITEDHEALTH GROUP INC 91324PED0 — 20,000 New $19K — 0.00% DBT
1183 H+E EQUIPMENT SERVICES 404030AJ7 — 20,000 New $19K — 0.00% DBT
1184 COMCAST CORP 20030NCZ2 Mar 2022 20,000 New $19K — 0.00% DBT
1185 GOVERNMENT NATIONAL MORTGAGE A 38375BZC9 Dec 2021 400,361 -33,436 $18K -8.8% 0.00% ABS-O
1186 ORACLE CORP 68389XBV6 — 20,000 New $18K — 0.00% DBT
1187 CARRIER GLOBAL CORP 14448CAS3 Dec 2021 20,000 — $18K -14.3% 0.00% DBT
1188 CITIGROUP INC C41223 Dec 2021 16,000 — $18K -13.0% 0.00% DBT
1189 BWS073262 IRS USD R V 00MSOFR 99S1QRV09 — 226,000 New $18K — 0.00% DIR
1190 FNMA POOL AQ3599 3138MJ7M5 Dec 2021 16,757 -132 $17K -4.5% 0.00% ABS-MBS
1191 US TREASURY N/B 912810SA7 Dec 2021 16,000 — $17K -10.6% 0.00% DBT
1192 US TREASURY N/B 912810TA6 Sep 2021 20,000 — $17K -10.3% 0.00% DBT
1193 FREDDIEMAC STRIP 31325VKQ6 Dec 2021 102,115 -8,963 $17K -17.1% 0.00% ABS-MBS
1194 ENERGY TRANSFER LP 29273VAH3 — 20,000 New $17K — 0.00% DBT
1195 BWS074104 IRS USD R V 00MSOFR 99S1R0QL7 — 1,542,000 New $17K — 0.00% DIR
1196 FNMA POOL AP0692 3138M3XW9 Dec 2021 16,303 -180 $17K -4.8% 0.00% ABS-MBS
1197 T MOBILE USA INC 87264ABN4 Dec 2021 20,000 — $17K -14.3% 0.00% DBT
1198 FNMA POOL AP2530 3138M5Y45 Dec 2021 15,961 -155 $17K -4.7% 0.00% ABS-MBS
1199 PARK AEROSPACE HOLDINGS 70014LAA8 Dec 2021 16,000 — $16K -1.5% 0.00% DBT
1200 Currency Forward Contract N/A Dec 2021 699,267 New $16K — 0.00% DFE
1201 FNMA POOL MA0776 31417Y2J5 Dec 2021 14,733 -1,222 $15K -11.5% 0.00% ABS-MBS
1202 MICROSOFT CORP 594918CD4 Dec 2021 17,000 — $15K -13.9% 0.00% DBT
1203 FNMA POOL AK8441 3138EDLX7 Dec 2021 13,871 -2,673 $14K -19.3% 0.00% ABS-MBS
1204 GNMA II POOL 783368 36241LW51 Dec 2021 13,557 -951 $14K -9.5% 0.00% ABS-MBS
1205 Currency Forward Contract N/A Dec 2021 1,602,096 New $14K — 0.00% DFE
1206 FANNIE MAE 3136AAXW0 Dec 2021 74,385 -5,944 $14K -12.1% 0.00% ABS-O
1207 FREDDIE MAC 3137B2DY3 Dec 2021 96,701 -8,551 $13K -2.9% 0.00% ABS-O
1208 FNMA POOL 995072 31416BMV7 Dec 2021 12,053 -887 $13K -11.3% 0.00% ABS-MBS
1209 FNMA POOL MA0706 31417YYC5 Dec 2021 12,267 -1,099 $13K -12.1% 0.00% ABS-MBS
1210 FREDDIE MAC 3137F9CW9 Dec 2021 87,043 -3,470 $12K -3.6% 0.00% ABS-O
1211 GOVERNMENT NATIONAL MORTGAGE A 38382EDT1 Dec 2021 84,087 -2,883 $12K -4.5% 0.00% ABS-O
1212 FED HM LN PC POOL G06669 3128M8W67 Dec 2021 10,292 -527 $12K -9.1% 0.00% ABS-MBS
1213 GENERAL MOTORS CO 37045VAK6 — 10,000 New $12K — 0.00% DBT
1214 FNMA POOL MA0939 31418ABH0 Dec 2021 11,040 -1,248 $12K -13.9% 0.00% ABS-MBS
1215 HARBORVIEW MORTGAGE LOAN TRUST 41161PJ38 Dec 2021 27,376 -70 $11K -5.8% 0.00% ABS-O
1216 HUMANA INC 444859BG6 Dec 2021 10,000 — $11K -11.0% 0.00% DBT
1217 FANNIE MAE 3136ATQK3 Dec 2021 87,823 -6,065 $11K -25.8% 0.00% ABS-O
1218 FNMA POOL MA0913 31418AAP3 Dec 2021 10,815 -665 $11K -9.7% 0.00% ABS-MBS
1219 GNMA POOL 658029 36294SA64 Dec 2021 10,177 -830 $11K -10.9% 0.00% ABS-MBS
1220 FED HM LN PC POOL G07509 3128M9VA7 Dec 2021 9,675 -520 $11K -9.4% 0.00% ABS-MBS
1221 FANNIE MAE 3136A5LM6 Dec 2021 68,485 -6,337 $11K -21.4% 0.00% ABS-O
1222 GOVERNMENT NATIONAL MORTGAGE A 38376R5X0 Dec 2021 119,322 -13,643 $11K -16.0% 0.00% ABS-O
1223 WELLS FARGO + COMPANY 94974BGU8 Dec 2021 10,000 — $11K -13.2% 0.00% DBT
1224 FANNIEMAE STRIP 3136FLFM3 Dec 2021 66,454 -6,004 $11K -1.8% 0.00% ABS-MBS
1225 FNMA POOL AO2711 3138LTAM0 Dec 2021 10,386 -83 $11K -4.5% 0.00% ABS-MBS
1226 FNMA POOL AL5562 3138ENFC8 Dec 2021 10,102 -892 $11K -10.9% 0.00% ABS-MBS
1227 FNMA POOL 935520 31412UYR5 Dec 2021 10,148 -820 $11K -11.2% 0.00% ABS-MBS
1228 FNMA POOL AP9229 3138MDHF2 Dec 2021 10,273 -2,674 $11K -23.7% 0.00% ABS-MBS
1229 BRIGHTHOUSE FINANCIAL IN 10922NAF0 Dec 2021 11,000 — $11K -11.8% 0.00% DBT
1230 GOVERNMENT NATIONAL MORTGAGE A 38379VHX5 Dec 2021 67,971 -3,722 $11K -24.2% 0.00% ABS-O
1231 GILEAD SCIENCES INC 375558BA0 Dec 2021 10,000 — $11K -12.9% 0.00% DBT
1232 DEVON ENERGY CORPORATION 25179MAN3 Dec 2021 10,000 — $11K -8.9% 0.00% DBT
1233 MORGAN STANLEY 6174468G7 Dec 2021 10,000 — $10K -8.3% 0.00% DBT
1234 FREEPORT MCMORAN INC 35671DBL8 Dec 2021 10,000 — $10K -3.8% 0.00% DBT
1235 HUDBAY MINERALS INC 443628AH5 — 10,000 New $10K — 0.00% DBT
1236 GLP CAPITAL LP / FIN II 361841AJ8 Dec 2021 10,000 — $10K -6.0% 0.00% DBT
1237 GENERAL MOTORS FINL CO 37045XAL0 Dec 2021 10,000 — $10K -2.7% 0.00% DBT
1238 ALLIED UNIVERSAL ALUV48 — 10,000 New $10K — 0.00% DBT
1239 EQM MIDSTREAM PARTNERS L EQT464 — 10,000 New $10K — 0.00% DBT
1240 PARK AEROSPACE HOLDINGS 70014LAC4 Dec 2021 10,000 — $10K -2.4% 0.00% DBT
1241 GLAXOSMITHKLINE CAPITAL 377373AD7 Dec 2021 10,000 — $10K -0.7% 0.00% DBT
1242 DIAMONDBACK ENERGY INC 25278XAM1 Dec 2021 10,000 — $10K -5.2% 0.00% DBT
1243 MPT OPER PARTNERSP/FINL 55342UAJ3 — 10,000 New $10K — 0.00% DBT
1244 TALLGRASS NRG PRTNR/FIN TEP509 — 10,000 New $10K — 0.00% DBT
1245 TENET HEALTHCARE CORP 88033GDN7 — 10,000 New $10K — 0.00% DBT
1246 OPEN TEXT HOLDINGS INC OPTX49 — 10,000 New $10K — 0.00% DBT
1247 JPMBB COMMERCIAL MORTGAGE SECU 46641WAX5 Dec 2021 1,045,478 -22,931 $9K -18.8% 0.00% ABS-O
1248 MORGAN STANLEY 6174468L6 Dec 2021 10,000 — $9K -8.4% 0.00% DBT
1249 BUILDERS FIRSTSOURCE INC 12008RAP2 — 10,000 New $9K — 0.00% DBT
1250 ADT SEC CORP 00109LAA1 — 10,000 New $9K — 0.00% DBT
1251 CENTENE CORP 15135BAW1 — 10,000 New $9K — 0.00% DBT
1252 ENTERPRISE PRODUCTS OPER 29379VBY8 Dec 2021 10,000 — $9K -13.2% 0.00% DBT
1253 AT+T INC 00206RMN9 — 10,000 — $9K -12.8% 0.00% DBT
1254 CENTENE CORP 15135BAZ4 — 10,000 New $9K — 0.00% DBT
1255 COCA COLA CO/THE 191216CW8 Dec 2021 10,000 — $9K -11.7% 0.00% DBT
1256 GOVERNMENT NATIONAL MORTGAGE A 38379FFB0 Dec 2021 53,791 -3,361 $9K -5.5% 0.00% ABS-O
1257 FNMA POOL 937948 31412XP99 Dec 2021 7,837 -77 $9K -5.7% 0.00% ABS-MBS
1258 FANNIEMAE STRIP 3136FLFG6 Dec 2021 58,527 -4,877 $9K +9.9% 0.00% ABS-MBS
1259 ILFC E CAPITAL TRUST II 44965UAA2 Dec 2021 10,000 — $8K -5.0% 0.00% DBT
1260 FNMA POOL AA0856 31416H5S0 Dec 2021 7,209 -66 $8K -4.9% 0.00% ABS-MBS
1261 FANNIEMAE STRIP 3136FLFR2 Dec 2021 44,488 -4,428 $7K -2.5% 0.00% ABS-MBS
1262 FANNIE MAE 3136A35F4 Dec 2021 6,791 -1,134 $7K -12.9% 0.00% ABS-O
1263 PRIME MORTGAGE TRUST 74159UAA5 Dec 2021 7,364 -223 $7K -3.0% 0.00% ABS-O
1264 GOVERNMENT NATIONAL MORTGAGE A 38379GZ83 Dec 2021 42,440 -3,643 $7K +4.1% 0.00% ABS-O
1265 GOLDMAN SACHS CAPITAL II 381427AA1 Dec 2021 8,000 — $6K -18.4% 0.00% DBT
1266 FNMA POOL AA3495 31416L3D6 Dec 2021 5,734 -616 $6K -13.3% 0.00% ABS-MBS
1267 EUR 1Y MIDCV OP JUN22C 97.875 0EM2C97.87 — 132 New $6K — 0.00% DIR
1268 FED HM LN PC POOL G06875 3128M86L3 Dec 2021 5,120 -275 $6K -9.5% 0.00% ABS-MBS
1269 CVS PASS THROUGH TRUST CVS330 Dec 2021 5,142 -248 $5K -7.7% 0.00% DBT
1270 GOVERNMENT NATIONAL MORTGAGE A 38378XW72 Dec 2021 380,038 -209,234 $5K -43.6% 0.00% ABS-O
1271 FANNIE MAE 3136A65Y6 Dec 2021 38,772 -2,845 $5K -27.2% 0.00% ABS-O
1272 AMBAC ASSURANCE CORP AMBC37 Dec 2021 4,362 — $5K -16.1% 0.00% DBT
1273 GOVERNMENT NATIONAL MORTGAGE A 38375UM72 Dec 2021 64,172 -5,997 $5K -19.2% 0.00% ABS-O
1274 FANNIE MAE 31395NQ59 Dec 2021 67,568 -6,402 $4K -13.7% 0.00% ABS-O
1275 GNMA POOL 636251 36291RZQ8 Dec 2021 3,752 -52 $4K -5.3% 0.00% ABS-MBS
1276 ML CFC COMMERCIAL MORTGAGE TRU 60688CAJ5 Dec 2021 4,147 -440 $4K -9.0% 0.00% ABS-O
1277 FANNIE MAE 3136A03E5 Dec 2021 73,919 -11,278 $4K -29.5% 0.00% ABS-O
1278 FED HM LN PC POOL U92272 3132HCMV2 Dec 2021 3,587 -398 $4K -12.7% 0.00% ABS-MBS
1279 FREDDIE MAC 31398W2M5 Dec 2021 23,887 -1,015 $4K -25.5% 0.00% ABS-O
1280 FANNIE MAE 31396L4S6 Dec 2021 59,156 -3,669 $3K -10.7% 0.00% ABS-O
1281 FNMA POOL AL4341 3138ELZF3 Dec 2021 2,947 -188 $3K -8.7% 0.00% ABS-MBS
1282 FANNIEMAE STRIP 3136FLEV4 Dec 2021 51,191 -5,988 $2K -17.0% 0.00% ABS-MBS
1283 FANNIE MAE 31396L4U1 Dec 2021 43,420 -2,019 $2K -15.5% 0.00% ABS-O
1284 HALLIBURTON CO 406216BG5 Dec 2021 2,000 -3,000 $2K -62.0% 0.00% DBT
1285 Currency Forward Contract N/A Dec 2021 343,080 New $2K — 0.00% DFE
1286 FNMA POOL 867557 31409CZW8 Dec 2021 1,608 -57 $2K -7.1% 0.00% ABS-MBS
1287 FANNIE MAE 31395BT78 Dec 2021 32,498 -2,850 $1K -13.8% 0.00% ABS-O
1288 Currency Forward Contract N/A Dec 2021 314,850 New $1K — 0.00% DFE
1289 FNMA POOL 993117 31415YG29 Dec 2021 1,063 -14 $1K -5.2% 0.00% ABS-MBS
1290 FANNIE MAE 31394UEC2 Dec 2021 23,922 -1,033 $926 -10.4% 0.00% ABS-O
1291 Currency Forward Contract N/A Dec 2021 215,411 New $773 — 0.00% DFE
1292 GNMA POOL 487588 36210BUM5 Dec 2021 695 -37 $743 -8.1% 0.00% ABS-MBS
1293 GOVERNMENT NATIONAL MORTGAGE A 38378UGA9 Dec 2021 21,221 -1,621 $334 -48.6% 0.00% ABS-O
1294 GOVERNMENT NATIONAL MORTGAGE A 38374YVW0 Dec 2021 8,443 -2,069 $305 -34.6% 0.00% ABS-O
1295 GNMA POOL 595077 36200ACN7 Dec 2021 230 -7 $249 -6.7% 0.00% ABS-MBS
1296 Currency Forward Contract N/A Dec 2021 48,101 New $221 — 0.00% DFE
1297 GNMA POOL 596620 36200BYR2 Dec 2021 191 -3 $208 -5.5% 0.00% ABS-MBS
1298 Currency Forward Contract N/A Dec 2021 35,553 New $199 — 0.00% DFE
1299 Currency Forward Contract N/A Dec 2021 240,507 New $129 — 0.00% DFE
1300 Currency Forward Contract N/A Dec 2021 10,457 New $58 — 0.00% DFE
1301 FREDDIE MAC 31397RCW4 Dec 2021 8,140 -788 $57 -10.9% 0.00% ABS-O
1302 FNMA POOL 481473 31382F2E8 Dec 2021 12 -1 $13 -7.9% 0.00% ABS-MBS
1303 Currency Forward Contract N/A Dec 2021 4,183 New $12 — 0.00% DFE
1304 Currency Forward Contract N/A Dec 2021 53,680 New $8 — 0.00% DFE
1305 FREMF MORTGAGE TRUST 30290QAE8 Dec 2021 358,632 -2,421,357 $2 -99.7% 0.00% ABS-O
1306 3 MONTH SOFR FUT JUN22 SFRM2 — 57 New $0 — 0.00% DIR
1307 3MO EURO EURIBOR JUN22 ERM2 — -55 New $0 — 0.00% DIR
1308 90DAY EUR FUTR DEC22 EDZ2 — 413 +82 $0 — 0.00% DIR
1309 90DAY EUR FUTR DEC23 EDZ3 Dec 2021 184 -290 $0 — 0.00% DIR
1310 90DAY EUR FUTR JUN23 EDM3 Sep 2021 82 — $0 — 0.00% DIR
1311 90DAY EUR FUTR MAR25 EDH5 — -91 New $0 — 0.00% DIR
1312 AUST 10Y BOND FUT JUN22 XMM2 — 36 New $0 — 0.00% DIR
1313 EURO-BOBL FUTURE JUN22 OEM2 — 9 New $0 — 0.00% DIR
1314 EURO-BUXL 30Y BND JUN22 UBM2 — -2 New $0 — 0.00% DIR
1315 EURO-OAT FUTURE JUN22 OATM2 — 15 New $0 — 0.00% DIR
1316 JPN 10Y BOND(OSE) JUN22 JBM2 — -4 New $0 — 0.00% DIR
1317 US 10YR NOTE (CBT)JUN22 TYM2 — -1,121 New $0 — 0.00% DIR
1318 US LONG BOND(CBT) JUN22 USM2 — 55 New $0 — 0.00% DIR
1319 US 10YR ULTRA FUT JUN22 UXYM2 — -41 New $0 — 0.00% DIR
1320 US 2YR NOTE (CBT) JUN22 TUM2 — -239 New $0 — 0.00% DIR
1321 US ULTRA BOND CBT JUN22 WNM2 — 287 New $0 — 0.00% DIR
1322 US 5YR NOTE (CBT) JUN22 FVM2 — 1,876 New $0 — 0.00% DIR
1323 Currency Forward Contract N/A Dec 2021 100,289 New $-193 — -0.00% DFE
1324 US 5YR FUTR OPTN MAY22C 118.5 FVK2C118.5 — -14 New $-328 — -0.00% DIR
1325 Currency Forward Contract N/A Dec 2021 14,361 New $-584 — -0.00% DFE
1326 Currency Forward Contract N/A Dec 2021 1,580,971 New $-818 — -0.00% DFE
1327 EUR 1Y MIDCV OP JUN22C 98.625 0EM2C98.62 — -132 New $-825 — -0.00% DIR
1328 US 5YR FUTR OPTN MAY22C 118.2 FVK2C118.2 — -60 New $-1406 — -0.00% DIR
1329 Currency Forward Contract N/A Dec 2021 7,030 New $-1584 — -0.00% DFE
1330 US 10YR FUT OPTN MAY22C 127 TYK2C127 — -32 New $-2000 — -0.00% DIR
1331 US 10YR FUT OPTN MAY22C 129 TYK2C129 — -77 New $-2406 — -0.00% DIR
1332 Currency Forward Contract N/A Dec 2021 68,864 New $-2800 — -0.00% DFE
1333 Currency Forward Contract N/A Dec 2021 69,651 New $-2832 — -0.00% DFE
1334 Currency Forward Contract N/A Dec 2021 37,666 New $-2877 — -0.00% DFE
1335 Currency Forward Contract N/A Dec 2021 15,696 New $-3000 — -0.00% DFE
1336 US 10YR FUT OPTN JUN22C 130.5 TYM2C130.5 — -39 New $-3047 — -0.00% DIR
1337 Currency Forward Contract N/A Dec 2021 138,736 New $-3278 — -0.00% DFE
1338 Currency Forward Contract N/A Dec 2021 70,258 New $-3439 — -0.00% DFE
1339 Currency Forward Contract N/A Dec 2021 58,965 New $-4836 — -0.00% DFE
1340 US 10YR FUT OPTN MAY22C 124.5 TYK2C124.5 — -21 New $-5578 — -0.00% DIR
1341 Currency Forward Contract N/A Dec 2021 32,258 New $-7729 — -0.00% DFE
1342 Currency Forward Contract N/A Dec 2021 45,798 New $-8935 — -0.00% DFE
1343 Currency Forward Contract N/A Dec 2021 205,144 New $-11514 — -0.00% DFE
1344 US 5YR FUTR OPTN MAY22C 115.7 FVK2C115.7 — -63 New $-11812 — -0.00% DIR
1345 US 10YR FUT OPTN MAY22C 124 TYK2C124 — -39 New $-15234 — -0.00% DIR
1346 Currency Forward Contract N/A Dec 2021 77,819 New $-16380 — -0.00% DFE
1347 Currency Forward Contract N/A Dec 2021 73,776 New $-16623 — -0.00% DFE
1348 SWS036020 IRS USD R F .19000 99S1H41L7 Dec 2021 15,757,000 — $-20941 +216.8% -0.00% DIR
1349 Currency Forward Contract N/A Dec 2021 614,233 New $-21221 — -0.00% DFE
1350 US 10YR FUT OPTN MAY22C 123 TYK2C123 — -30 New $-23906 — -0.00% DIR
1351 US 5YR FUTR OPTN JUN22C 117 FVM2C117 — -184 New $-28750 — -0.01% DIR
1352 US 10YR FUT OPTN JUN22C 124 TYM2C124 — -39 New $-30469 — -0.01% DIR
1353 Currency Forward Contract N/A Dec 2021 113,207 New $-36962 — -0.01% DFE
1354 Currency Forward Contract N/A Dec 2021 164,465 New $-39117 — -0.01% DFE
1355 IMM EUR FUT OPT DEC22C 98.125 EDZ2C98.12 — -120 New $-45000 — -0.01% DIR
1356 IMM EUR FUT OPT JUN23P 97 EDM3P97 — -27 +61 $-46069 +235.0% -0.01% DIR
1357 Currency Forward Contract N/A Dec 2021 249,686 New $-56259 — -0.01% DFE
1358 IMM EUR FUT OPT JUN23C 98 EDM3C98 — -132 New $-67650 — -0.01% DIR
1359 Currency Forward Contract N/A Dec 2021 332,974 New $-77425 — -0.02% DFE
1360 SWS072843 IRS USD R F 1.55000 99S1QQHR8 — 3,092,000 New $-95394 — -0.02% DIR
1361 SWS063289 IRS USD R F 3.37000 99S1P17C8 — 3,530,000 — $-99684 -338.1% -0.02% DIR
1362 Currency Forward Contract N/A Dec 2021 3,457,301 New $-111459 — -0.02% DFE
1363 Currency Forward Contract N/A Dec 2021 575,037 New $-126035 — -0.02% DFE
1364 Currency Forward Contract N/A Dec 2021 462,768 New $-159752 — -0.03% DFE
1365 SWS031724 IRS MXN R F 7.45000 99S19WBX7 Dec 2021 88,370,000 — $-181444 +3503.7% -0.04% DIR
1366 SWS061069 IRS USD R F 2.77000 99S1OK1L3 — 3,480,000 — $-196606 +348.0% -0.04% DIR
1367 Currency Forward Contract N/A Dec 2021 3,778,706 New $-266086 — -0.05% DFE
1368 Currency Forward Contract N/A Dec 2021 5,278,828 New $-273653 — -0.05% DFE
1369 IMM EUR FUT OPT DEC22P 98.125 EDZ2P98.12 — -120 New $-279000 — -0.05% DIR
1370 Currency Forward Contract N/A Dec 2021 811,349 New $-334914 — -0.07% DFE
✕ SWS058909 CDS USD R F 5.00000 99S1O7EX2 — 5,990,000 Exited $6.5M — — —
✕ MARATHON OIL CORP 565849AE6 — 4,330,000 Exited $5.7M — — —
✕ US TREASURY N/B 91282CDQ1 — 3,150,000 Exited $3.1M — — —
✕ CASH MGMT BILL 912796U23 — 2,850,000 Exited $2.8M — — —
✕ WI TREASURY SEC. 91282CDP3 — 2,510,000 Exited $2.5M — — —
✕ TREASURY BILL 912796J42 — 1,930,000 Exited $1.9M — — —
✕ FED HOME LN DISCOUNT NT 313385UK0 — 1,450,000 Exited $1.4M — — —
✕ NOTA DO TESOURO NACIONAL BJ0X0KII3 — 7,440,000 Exited $1.3M — — —
✕ SWS058420 CDS USD R F 1.00000 99S1O2N96 — 46,558,000 Exited $1.1M — — —
✕ NOTA DO TESOURO NACIONAL ACI01RFT5 — 5,801,000 Exited $1.0M — — —
✕ UNICREDIT SPA 904678AJ8 — 640,000 Exited $0.6M — — —
✕ FNMA TBA 30 YR 2.5 01F022618 — 600,000 Exited $0.6M — — —
✕ EQT CORP 26884LAE9 — 560,000 Exited $0.6M — — —
✕ PILOT TRAVEL CENTERS LLC 72165NBH1 — 500,000 Exited $0.5M — — —
✕ FED HOME LN DISCOUNT NT 313385UA2 — 490,000 Exited $0.5M — — —
✕ BERRY GLOBAL INC 08579JBG6 — 461,100 Exited $0.5M — — —
✕ NOTA DO TESOURO NACIONAL ACI0K3LV5 — 2,568,000 Exited $0.5M — — —
✕ SMALL BUSINESS ADMINISTRATION 831641FM2 — 419,430 Exited $0.4M — — —
✕ US FOODS INC 90351HAD0 — 431,983 Exited $0.4M — — —
✕ FNMA TBA 30 YR 3 01F030611 — 400,000 Exited $0.4M — — —
✕ ASURION LLC 04649VAX8 — 414,594 Exited $0.4M — — —
✕ FOCUS FINANCIAL PARTNERS LLC 34416DAT5 — 390,715 Exited $0.4M — — —
✕ ARAB REPUBLIC OF EGYPT 03846JW30 — 370,000 Exited $0.4M — — —
✕ FORD MOTOR CREDIT CO LLC 345397YL1 — 370,000 Exited $0.4M — — —
✕ GOLDEN NUGGET, INC. 51508PAG9 — 347,912 Exited $0.3M — — —
✕ ASURION LLC 04649VAW0 — 339,887 Exited $0.3M — — —
✕ ALLSPRING BUYER LLC 98922AAC0 — 332,000 Exited $0.3M — — —
✕ MEDLINE BORROWER, LP 58503UAC7 — 330,000 Exited $0.3M — — —
✕ INEOS STYROLUTION US HOLDG LLC 938DOJII4 — 328,350 Exited $0.3M — — —
✕ HUDSON RIVER TRADING LLC 44413EAF5 — 307,675 Exited $0.3M — — —
✕ QUIKRETE HOLDINGS INC 74839XAG4 — 290,000 Exited $0.3M — — —
✕ DELTA AIR LINES INC 247361ZJ0 — 250,000 Exited $0.3M — — —
✕ CONOCOPHILLIPS 20825CAX2 — 220,000 Exited $0.2M — — —
✕ BAUSCH HEALTH COMPANIES INC. C9413PAZ6 — 241,230 Exited $0.2M — — —
✕ BAUSCH HEALTH COMPANIES INC. C9413PBB8 — 220,424 Exited $0.2M — — —
✕ FNMA TBA 30 YR 2.5 01F022626 — 200,000 Exited $0.2M — — —
✕ BRISTOL MYERS SQUIBB CO 110122DJ4 — 146,000 Exited $0.2M — — —
✕ US TREASURY N/B 91282CBB6 — 155,100 Exited $0.1M — — —
✕ ATHENAHEALTH INC 04685YAM1 — 129,328 Exited $0.1M — — —
✕ FNMA TBA 30 YR 3 01F030629 — 100,000 Exited $0.1M — — —
✕ BWS040048 IRS USD R V 03MLIBOR 99S1IP790 — 861,000 Exited $0.1M — — —
✕ T MOBILE USA INC 87264ACA1 — 70,000 Exited $0.1M — — —
✕ MITSUBISHI UFJ FIN GRP 606822AL8 — 60,000 Exited $0.1M — — —
✕ MICHAELS COMPANIES, INC. 59408UAB3 — 59,600 Exited $0.1M — — —
✕ FRESENIUS MED CARE II 35802XAF0 — 50,000 Exited $0.1M — — —
✕ BWS040063 IRS USD R V 03MLIBOR 99S1IP766 — 434,000 Exited $0.0M — — —
✕ IMM EUR FUT OPT MAR22P 99.625 ADI1RZV83 — 353 Exited $0.0M — — —
✕ BRISTOL MYERS SQUIBB CO 110122DC9 — 38,000 Exited $0.0M — — —
✕ IMM EUR FUT OPT JUN22P 99.5 ADI21H5Z8 — 91 Exited $0.0M — — —
✕ BWS044560 IRS USD R V 03MLIBOR 99S1JRD64 — 1,140,000 Exited $0.0M — — —
✕ VIACOMCBS INC 92553PAX0 — 30,000 Exited $0.0M — — —
✕ WESTROCK RKT LLC 772739AQ1 — 30,000 Exited $0.0M — — —
✕ BWS036103 IRS USD R V 03MLIBOR 99S1HBYL5 — 193,000 Exited $0.0M — — —
✕ US 10Y NOTE W1 OP JAN22P 130.5 ADI22PGX2 — 43 Exited $0.0M — — —
✕ IMM EUR FUT OPT MAR22C 99.875 ADI21KVK5 — 98 Exited $0.0M — — —
✕ POPULAR ABS MORTGAGE PASS THRO 73316PCL2 — 1,124 Exited $0.0M — — —
✕ GOVERNMENT NATIONAL MORTGAGE A 38378EMF7 — 4,066 Exited $0.0M — — —
✕ 90DAY EUR FUTR MAR22 ADI09ZZX6 — -63 Exited $0.0M — — —
✕ AUST 10Y BOND FUT MAR22 ADI20N7B7 — 48 Exited $0.0M — — —
✕ EURO-BUND FUTURE MAR22 ADI1Z7BR6 — -73 Exited $0.0M — — —
✕ EURO-BUXL 30Y BND MAR22 ADI1Z7C12 — -2 Exited $0.0M — — —
✕ EURO-OAT FUTURE MAR22 ADI1Z7775 — 14 Exited $0.0M — — —
✕ JPN 10Y BOND(OSE) MAR22 ADI1Z77B6 — -4 Exited $0.0M — — —
✕ US 2YR NOTE (CBT) MAR22 ADI1Z7BL9 — 12 Exited $0.0M — — —
✕ US 10YR NOTE (CBT)MAR22 ADI1Z7CH7 — -1,022 Exited $0.0M — — —
✕ US LONG BOND(CBT) MAR22 ADI1Z7P67 — 52 Exited $0.0M — — —
✕ US 5YR NOTE (CBT) MAR22 ADI1Z74Q6 — 1,755 Exited $0.0M — — —
✕ US 10YR ULTRA FUT MAR22 ADI1Z7PC4 — -41 Exited $0.0M — — —
✕ US ULTRA BOND CBT MAR22 ADI1Z7957 — 258 Exited $0.0M — — —
✕ IMM EUR FUT OPT MAR22P 99.375 ADI1WQ3K1 — -231 Exited $-0.0M — — —
✕ US 10YR FUT OPTN MAR22C 133.5 ADI226NT5 — -45 Exited $-0.0M — — —
✕ US 5YR FUTR OPTN FEB22C 121.5 ADI225NG5 — -34 Exited $-0.0M — — —
✕ IMM EUR FUT OPT MAR22C 99.75 ADI1G15J5 — -98 Exited $-0.0M — — —
✕ IMM EUR FUT OPT JUN22P 99 ADI1W5BM4 — -91 Exited $-0.0M — — —
✕ US 5YR FUTR OPTN FEB22C 121.2 ADI229VB9 — -34 Exited $-0.0M — — —
✕ US 10YR FUT OPTN FEB22C 131.5 ADI21XD43 — -43 Exited $-0.0M — — —
✕ BWS049502 IRS USD R V 03MLIBOR 99S1KQV31 — 199,000 Exited $-0.0M — — —
✕ US BOND FUTR OPTN MAR22C 169 ADI226KX9 — -65 Exited $-0.0M — — —
✕ US 10YR FUT OPTN MAR22P 129 ADI21R2M8 — -70 Exited $-0.0M — — —
✕ IMM EUR FUT OPT MAR22P 99.75 ADI1RZV00 — -98 Exited $-0.0M — — —
✕ US 10YR FUT OPTN FEB22P 131.5 ADI22KKM2 — -43 Exited $-0.1M — — —
✕ 0WP296510 IRS BRL R F 7.02400 99S19OPI3 — 9,300,000 Exited $-0.1M — — —
✕ 0WP296635 IRS BRL R F 7.02400 99S19P808 — 11,000,000 Exited $-0.1M — — —
✕ 0WP296759 IRS BRL R F 7.02400 99S19PV36 — 11,846,000 Exited $-0.1M — — —