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PLC213800C48M2JTBGZT736RMAC Securities No 1 PLCBCC0QYR40219168PA2762000.1386LongABS-MBSCORPGBN22044-06-12Floating0.92863NNNNNNRMAC Securities PLC213800C48M2JTBGZT736RMAC Securities No 1 PLCBCC0T09P4767360PA9563690.4798LongABS-MBSCORPGBN22044-06-12Floating0.92938NNNNNNRMAC Securities PLC213800C48M2JTBGZT736RMAC Securities No 1 PLCBCC0UJFM1758907PA9528150.478LongABS-MBSCORPGBN22044-06-12Floating0.94863NNNNNNMortgage Funding PLC213800AHT9AB4TA6OJ88Mortgage Funding 2008-1 PLCBCC1318Y01009883PA13383570.6714LongABS-MBSCORPGBN22046-03-13Floating1.89963NNNNNNStratton Mortgage Funding213800MLTRK4C75KOT40Stratton Mortgage Funding PLCBCC2G69R71444822PA19068230.9566LongABS-MBSCORPGBN22044-03-12Floating1.57863NNNNNNCredit Acceptance Auto Loan TrN/ACredit Acceptance Auto Loan Trust 2017-122530LAE6550000PAUSD5498330.2758LongABS-OCORPUSY22026-02-17Fixed3.48NNNNNNN/AN/ASell GBP / Buy USDN/A1NCUSD-391848-0.1966N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7611300000GBP14593453USD2020-02-19-391848NNNN/AN/ASell USD / Buy NOKN/A1NCUSD1166780.0585N/ADFEUSN2BNP ParibasR0MUWSFPU8MPRO8K5P832615268USD23970000NOK2020-02-19116678NNNN/AN/ASell USD / Buy EURN/A1NCUSD110140.0055N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97657204USD594000EUR2020-02-1911014NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-10581-0.0053N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB27559000EUR618263USD2020-02-19-10581NNNN/AN/ASell USD / Buy PLNN/A1NCUSD10840.0005N/ADFEUSN2BNP ParibasR0MUWSFPU8MPRO8K5P8332410USD127000PLN2020-02-191084NNNN/AN/ASell NOK / Buy USDN/A1NCUSD-90217-0.0453N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK282431918589000NOK2028437USD2020-02-19-90217NNNN/AN/ASell USD / Buy JPYN/A1NCUSD99850.005N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R972308791USD251202000JPY2020-02-199985NNNN/AN/ASell NOK / Buy USDN/A1NCUSD-15186-0.0076N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R973147000NOK343489USD2020-02-19-15186NNNN/AN/ASell USD / Buy SEKN/A1NCUSD254110.0127N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK28243191232797USD11752000SEK2020-02-1925411NNNN/AN/ASell PLN / Buy USDN/A1NCUSD-9312-0.0047N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK28243191096000PLN279740USD2020-02-19-9312NNNN/AN/ASell USD / Buy JPYN/A1NCUSD328390.0165N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE977713546USD839196000JPY2020-02-1932839NNNN/AN/ASell USD / Buy JPYN/A1NCUSD209810.0105N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA764976975USD541448000JPY2020-02-1920981NNNN/AN/ASell PLN / Buy USDN/A1NCUSD-73050-0.0366N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE978573000PLN2187939USD2020-02-19-73050NNNN/AN/ASell USD / Buy CADN/A1NCUSD641810.0322N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA762806188USD3726000CAD2020-02-1964181NNNN/AN/ASell CAD / Buy USDN/A1NCUSD-182152-0.0914N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK282431910546000CAD7942086USD2020-02-19-182152NNNN/AN/ASell USD / Buy JPYN/A1NCUSD154180.0077N/ADFEUSN2BNP ParibasR0MUWSFPU8MPRO8K5P833639754USD395979000JPY2020-02-1915418NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-4527-0.0023N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK2824319245000EUR271085USD2020-02-19-4527NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-17618-0.0088N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB27512000GBP661362USD2020-02-19-17618NNNN/AN/ASell SEK / Buy USDN/A1NCUSD-121884-0.0611N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7655551000SEK5825592USD2020-02-19-121884NNNN/AN/ASell NOK / Buy USDN/A1NCUSD-2183-0.0011N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97450000NOK49105USD2020-02-19-2183NNNN/AN/ASell USD / Buy GBPN/A1NCUSD549880.0276N/ADFEUSN2BNP ParibasR0MUWSFPU8MPRO8K5P832074782USD1606000GBP2020-02-1954988NNNN/AN/ASell NZD / Buy USDN/A1NCUSD-164736-0.0826N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA765441000NZD3499587USD2020-02-19-164736NNNN/AN/ASell USD / Buy NZDN/A1NCUSD2342100.1175N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB275022857USD7806000NZD2020-02-19234210NNNN/AN/ASell USD / Buy JPYN/A1NCUSD194290.0097N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK28243194647356USD505571000JPY2020-02-1919429NNNN/AN/ASell USD / Buy AUDN/A1NCUSD28820.0014N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB2784922USD125000AUD2020-02-192882NNNN/AN/ASell SEK / Buy USDN/A1NCUSD-53168-0.0267N/ADFEUSN2BNP ParibasR0MUWSFPU8MPRO8K5P8324590000SEK2579520USD2020-02-19-53168NNNN/AN/ASell NZD / Buy USDN/A1NCUSD-11407-0.0057N/ADFEUSN2BNP ParibasR0MUWSFPU8MPRO8K5P83379000NZD243836USD2020-02-19-11407NNNN/AN/ASell NZD / Buy USDN/A1NCUSD-60329-0.0303N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R971984000NZD1275825USD2020-02-19-60329NNNN/AN/ASell CAD / Buy USDN/A1NCUSD-124680-0.0625N/ADFEUSN2BNP ParibasR0MUWSFPU8MPRO8K5P837205000CAD5425779USD2020-02-19-124680NNNN/AN/ASell USD / Buy EURN/A1NCUSD2892740.1451N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE9717249758USD15591000EUR2020-02-19289274NNNN/AN/ASell USD / Buy GBPN/A1NCUSD2504480.1256N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE979455519USD7319000GBP2020-02-19250448NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-38317-0.0192N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA762050680EUR2268587USD2020-02-19-38317NNNN/AN/ASell MXN / Buy USDN/A1NCUSD-37146-0.0186N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R9718704000MXN945359USD2020-02-19-37146NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-1064-0.0005N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK282431931000GBP40046USD2020-02-19-1064NNNN/AN/ASell MXN / Buy USDN/A1NCUSD-340970-0.1711N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97170063000MXN8592295USD2020-02-19-340970NNNN/AN/ASell DKK / Buy USDN/A1NCUSD-515-0.0003N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB27206000DKK30521USD2020-02-19-515NNNN/AN/ASell MXN / Buy USDN/A1NCUSD-96856-0.0486N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB2749516000MXN2504178USD2020-02-19-96856NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-22996-0.0115N/ADFEUSN2BNP ParibasR0MUWSFPU8MPRO8K5P831240000EUR1371937USD2020-02-19-22996NNNN/AN/ASell MXN / Buy USDN/A1NCUSD-97292-0.0488N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7649279000MXN2491292USD2020-02-19-97292NNNN/AN/ASell AUD / Buy USDN/A1NCUSD-49197-0.0247N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK28243192101000AUD1426624USD2020-02-19-49197NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-22294-0.0112N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97647000GBP835714USD2020-02-19-22294NNNN/AN/ASell USD / Buy EURN/A1NCUSD36360.0018N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97215729USD195000EUR2020-02-193636NNNN/AN/ASell USD / Buy JPYN/A1NCUSD9720.0005N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97173331USD18883000JPY2020-02-19972NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-2956-0.0015N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76175000EUR193909USD2020-02-19-2956NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-1757-0.0009N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7661000GBP79138USD2020-02-19-1757NNNN/AN/ASell JPY / Buy USDN/A1NCUSD16950.0009N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB2782044000JPY759020USD2020-02-191695NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-10611-0.0053N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB27952000EUR1060338USD2020-02-19-10611NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-3850-0.0019N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB27166000GBP216288USD2020-02-19-3850NNNN/AN/ASell USD / Buy JPYN/A1NCUSD170N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76216130USD23416000JPY2020-02-1917NNNN/AN/ASell JPY / Buy USDN/A1NCUSD870N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB2714798000JPY136683USD2020-02-1987NNNN/AN/ASell USD / Buy JPYN/A1NCUSD-670N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK282431952331USD5662000JPY2020-02-19-67NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-2589-0.0013N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK2824319258000EUR287647USD2020-02-19-2589NNNN/AN/ASell MXN / Buy USDN/A1NCUSD-1451-0.0007N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA762019000MXN104605USD2020-02-19-1451NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-717-0.0004N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7687000EUR97154USD2020-02-19-717NNNN/AN/ASell USD / Buy GBPN/A1NCUSD-45671-0.0229N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA766007964USD4496000GBP2020-02-19-45671NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-2829-0.0014N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76349000EUR389778USD2020-02-19-2829NNNN/AN/ASell USD / Buy AUDN/A1NCUSD347960.0175N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB271739560USD2526000AUD2020-02-1934796NNNN/AN/ASell USD / Buy EURN/A1NCUSD13930.0007N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97293343USD262000EUR2020-02-191393NNNN/AN/ASell USD / Buy JPYN/A1NCUSD24970.0013N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97360519USD39327000JPY2020-02-192497NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-48099-0.0241N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB274516000GBP5940717USD2020-02-19-48099NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-779-0.0004N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB27153000EUR171338USD2020-02-19-779NNNN/AN/ASell USD / Buy JPYN/A1NCUSD12190.0006N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK2824319167833USD18314000JPY2020-02-191219NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-1170-0.0006N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76147000EUR164197USD2020-02-19-1170NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-1125-0.0006N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7699000EUR110244USD2020-02-19-1125NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-1232-0.0006N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7681000GBP106184USD2020-02-19-1232NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-1056-0.0005N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76355000EUR398299USD2020-02-19-1056NNNN/AN/ASell USD / Buy JPYN/A1NCUSD8040.0004N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76100263USD10949000JPY2020-02-19804NNN2020-02-14JESPER NERGAARDJESPER NERGAARDJESPER NERGAARDVP, CFO, TREASURER, AND PRINCIPAL ACCOUNTING OFFICER