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Variable 1.399 N N N N N N COMM 2014-UBS6 MORTGAGE TRUST N/A 12592PBG7 47865016.59 PA USD 1078207.36 0.029579549611 Long ABS-MBS CORP US N 2 2047-12-10 Variable .878 N N N N N N GS MORTGAGE SECURITIES TRUST 2014-GC18 N/A 36252RAT6 37730406.42 PA USD 720650.76 0.019770338897 Long ABS-MBS CORP US N 2 2047-01-10 Variable .999 N N N N N N COMM 2014-CCRE18 MORTGAGE TRUST N/A 12632QAY9 18920018.4 PA USD 471297.66 0.012929583894 Long ABS-MBS CORP US N 2 2047-07-15 Variable 1.008 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 N/A 92930RAF9 48039973.31 PA USD 712423.2 0.019544623948 Long ABS-MBS CORP US N 2 2045-11-15 Variable 1.863 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C10 N/A 46639JAG5 61598003.6 PA USD 683737.84 0.018757669545 Long ABS-MBS CORP US N 2 2047-12-15 Variable .945 N N N N N N COMM 2014-LC15 MORTGAGE TRUST N/A 12591TAF3 62391804.81 PA USD 1441250.69 0.039539283323 Long ABS-MBS CORP US N 2 2047-04-10 Variable 1.066 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-LC9 N/A 46639EAG6 22366446.9 PA USD 313161.57 0.008591277096 Long ABS-MBS CORP US N 2 2047-12-15 Variable 1.471 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC17 N/A 17321RAF3 28980396.11 PA USD 553838.55 0.015194011351 Long ABS-MBS CORP US N 2 2046-11-10 Variable 1.02 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2014-C22 N/A 92890KBD6 30888668.2 PA USD 612892.95 0.016814110248 Long ABS-MBS CORP US N 2 2057-09-15 Variable .796 N N N N N N WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2006-C29 N/A 92978PAG4 4190418.94 PA USD 49.45 0.000001356612 Long ABS-MBS CORP US N 2 2048-11-15 Variable .26 N N N N N N MEZZ CAP COMMERCIAL MORTGAGE TRUST N/A 59317AAB7 47185.15 PA USD 0.47 0.000000012894 Long ABS-MBS CORP US N 2 2045-07-15 Variable 5.694 N N N N N N BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2007-1 N/A 059497BW6 191104.84 PA USD 3.15 0.000000086417 Long ABS-MBS CORP US N 2 2049-01-15 Variable .423 N N N N N N LB-UBS COMMERCIAL MORTGAGE TRUST 2007-C2 N/A 50180JAP0 108538.97 PA USD 9.14 0.000000250747 Long ABS-MBS CORP US N 2 2040-02-15 Variable .133 N N N N N N LB-UBS COMMERCIAL MORTGAGE TRUST 2007-C2 N/A 50180JAQ8 2404182.51 PA USD 202.43 0.000005553466 Long ABS-MBS CORP US N 2 2040-02-15 Variable .133 N N N N N N CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C2 N/A 22545YBS9 6193863.71 PA USD 8.05 0.000000220844 Long ABS-MBS CORP US N 2 2049-01-15 Variable .016 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP8 N/A 46629MAJ4 56268.52 PA USD 0.35 0.000000009602 Long ABS-MBS CORP US N 2 2045-05-15 Variable .296 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C4 N/A 90270RAC8 39835744.88 PA USD 526289.94 0.014438242557 Long ABS-MBS CORP US N 2 2045-12-10 Variable 1.582 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C7 N/A 61690KAF9 48399614 PA USD 631566.56 0.017326402219 Long ABS-MBS CORP US N 2 2046-02-15 Variable 1.32 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C55 N/A 95002EBF3 65579165.69 PA USD 5992099.53 0.164387307952 Long ABS-MBS CORP US N 2 2053-02-15 Variable 1.307 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-GC46 N/A 17328RBE8 68711034.62 PA USD 4786582.45 0.131315142432 Long ABS-MBS CORP US N 2 2053-02-15 Variable .987 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2006-C5 N/A 17310MAN0 6321148.59 PA USD 100.51 0.000002757392 Long ABS-MBS CORP US N 2 2049-10-15 Variable .409 N N N N N N BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2006-PWR14 N/A 07388PAJ0 194744.31 PA USD 2005.87 0.000055029054 Long ABS-MBS CORP US N 2 2038-12-11 Variable .563 N N N N N N COMM 2019-GC44 MORTGAGE TRUST N/A 12655TBN8 90572721.75 PA USD 3692495.89 0.101299962716 Long ABS-MBS CORP US N 2 2057-08-15 Variable .65 N N N N N N BANK 2020-BNK26 N/A 06540JBM3 35215846.63 PA USD 3046554.59 0.083579203762 Long ABS-MBS CORP US N 2 2063-03-15 Variable 1.234 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C50 N/A 95001XBF2 119640542.82 PA USD 10220771.93 0.280396741468 Long ABS-MBS CORP US N 2 2052-05-15 Variable 1.409 N N N N N N CSAIL 2019-C17 COMMERCIAL MORTGAGE TRUST N/A 12597BAW9 60534764.41 PA USD 5254211.73 0.144144087958 Long ABS-MBS CORP US N 2 2052-09-15 Variable 1.364 N N N N N N BBCMS MORTGAGE TRUST 2020-C7 N/A 05492VAG0 53092996.5 PA USD 5547474.83 0.152189470263 Long ABS-MBS CORP US N 2 2053-04-15 Variable 1.629 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2018-C12 N/A 90353DBA2 127239445.36 PA USD 6236119.73 0.171081760133 Long ABS-MBS CORP US N 2 2051-08-15 Variable .814 N N N N N N JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2019-COR6 N/A 48129RBC8 69255500.85 PA USD 4342555.37 0.119133699855 Long ABS-MBS CORP US N 2 2052-11-13 Variable .94 N N N N N N JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C5 N/A 46590TAG0 156035393.64 PA USD 6731366.88 0.184668374532 Long ABS-MBS CORP US N 2 2050-03-15 Variable .942 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C41 N/A 95001ABE5 82411323.94 PA USD 4648245.9 0.127520016377 Long ABS-MBS CORP US N 2 2050-11-15 Variable 1.198 N N N N N N COMM 2015-CCRE23 MORTGAGE TRUST N/A 12593ABB0 31386883.47 PA USD 833039.27 0.022853606207 Long ABS-MBS CORP US N 2 2048-05-10 Variable .889 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2016-UBS12 N/A 61691EBB0 75103302.89 PA USD 2051732.11 0.056287235636 Long ABS-MBS CORP US N 2 2049-12-15 Variable .712 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C26 N/A 61690VBA5 34546737.51 PA USD 1064592.26 0.029206032846 Long ABS-MBS CORP US N 2 2048-10-15 Variable 1.015 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-JP2 N/A 46590MAT7 16971813.16 PA USD 1228674.41 0.033707463903 Long ABS-MBS CORP US N 2 2049-08-15 Variable 1.789 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2017-C7 N/A 90276WAT4 72083183.87 PA USD 3532501.3 0.096910669814 Long ABS-MBS CORP US N 2 2050-12-15 Variable 1.023 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2014-C23 N/A 92939HBE4 58292320.17 PA USD 894320.78 0.024534803658 Long ABS-MBS CORP US N 2 2057-10-15 Variable .561 N N N N N N CSMC TRUST 2016-NXSR N/A 12594PAX9 125912842.08 PA USD 3448878.66 0.094616565618 Long ABS-MBS CORP US N 2 2049-12-15 Variable .753 N N N N N N COMM 2012-LC4 MORTGAGE TRUST N/A 126192AH6 17749341.36 PA USD 44355.6 0.001216851896 Long ABS-MBS CORP US N 2 2044-12-10 Variable 2.103 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2012-C1 N/A 90269GAG6 9750848.79 PA USD 46963.99 0.001288410489 Long ABS-MBS CORP US N 2 2045-05-10 Variable 2.016 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2016-BNK2 N/A 61690YBV3 26686033.72 PA USD 1021957.67 0.028036395152 Long ABS-MBS CORP US N 2 2049-11-15 Variable 1.032 N N N N N N COMM 2014-CCRE19 MORTGAGE TRUST N/A 12592GBE2 21177439.15 PA USD 506358.92 0.01389145479 Long ABS-MBS CORP US N 2 2047-08-10 Variable .957 N N N N N N COMM 2014-UBS4 MORTGAGE TRUST 5493004GWEVMOU8S3L34 12591QAS1 25490335.95 PA USD 680778.05 0.018676470641 Long ABS-MBS CORP US N 2 2047-08-10 Variable 1.097 N N N N N N GS MORTGAGE SECURITIES CORP II 5493005BBCF84ICNQ550 36192CAG0 59213792.59 PA USD 1052051.45 0.028861988161 Long ABS-MBS CORP US N 2 2046-02-10 Variable 1.481 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2011-C5 N/A 92936JAA2 3679033.63 PA USD 36.79 0.000001009297 Long ABS-MBS CORP US N 2 2044-11-15 Variable 1.517 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C12 N/A 61762XAV9 104618180.98 PA USD 1051810.27 0.028855371627 Long ABS-MBS CORP US N 2 2046-10-15 Variable .582 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C16 N/A 46641BAF0 41330319.22 PA USD 713121.59 0.019563783585 Long ABS-MBS CORP US N 2 2046-12-15 Variable .911 N N N N N N COMM 2014-CCRE17 MORTGAGE TRUST N/A 12631DBC6 38831135.59 PA USD 866244.97 0.023764571655 Long ABS-MBS CORP US N 2 2047-05-10 Variable .962 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10 N/A 92890NAA7 36634227.2 PA USD 490935.28 0.013468322523 Long ABS-MBS 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2051-08-15 Variable 4.978 N N N N N N COMM 2012-CCRE1 MORTGAGE TRUST N/A 12624BAH9 4003000 PA USD 3490491.91 0.095758183862 Long ABS-MBS CORP US N 2 2045-05-15 Variable 5.354 N N N N N N BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2016-UBS10 N/A 06054MAK9 4456000 PA USD 4884987.14 0.134014777509 Long ABS-MBS CORP US N 2 2049-07-15 Variable 4.857 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2012-C1 N/A 90269GAN1 5180000 PA USD 4788935.9 0.131379706998 Long ABS-MBS CORP US N 2 2045-05-10 Variable 5.551 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2012-C1 N/A 90269GAL5 3072000 PA USD 3141521.2 0.086184518524 Long ABS-MBS CORP US N 2 2045-05-10 Variable 5.551 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2011-C3 N/A 61760RAG7 12125000 PA USD 12115805.61 0.332385111083 Long ABS-MBS CORP US N 2 2049-07-15 Variable 5.284 N N N N N N UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1 N/A 90268TAQ7 5657000 PA USD 5370768.81 0.147341715853 Long ABS-MBS CORP US N 2 2045-01-10 Variable 6.23 N N N N N N COMM 2017-COR2 MORTGAGE TRUST N/A 12595EAH8 5288000 PA USD 5843136.88 0.160300665383 Long ABS-MBS CORP US N 2 2050-09-10 Variable 4.56 N N N N N N CD 2017-CD6 MORTGAGE TRUST N/A 125039AK3 5441000 PA USD 5923531.28 0.162506206016 Long ABS-MBS CORP US N 2 2050-11-13 Variable 4.266 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11 N/A 46639YAC1 2038000 PA USD 1322525.45 0.036282174109 Long ABS-MBS CORP US N 2 2046-04-15 Variable 3.25 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2011-C3 N/A 92935VAU2 1601000 PA USD 232625.3 0.0063818444 Long ABS-MBS CORP US N 2 2044-03-15 Variable 5 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14 N/A 46640LAQ5 4371000 PA USD 2812904.6 0.077169248008 Long ABS-MBS CORP US N 2 2046-08-15 Variable 4.558 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6 549300G1IXWLFE766Q13 90349GAU9 1319000 PA USD 1017797.12 0.027922254589 Long ABS-MBS CORP US N 2 2046-04-10 Fixed 3.5 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10 549300P1YQ48837ZOI22 61762MBE0 5447000 PA USD 1960920 0.053795895461 Long ABS-MBS CORP US N 2 2046-07-15 Variable 4.08 N N N N N N COMM 2014-CCRE17 MORTGAGE TRUST N/A 12631DAG8 4337000 PA USD 4092392.33 0.112270724951 Long ABS-MBS CORP US N 2 2047-05-10 Variable 4.848 N N N N N N COMM 2014-CCRE17 MORTGAGE TRUST N/A 12631DBG7 3406000 PA USD 3619383.86 0.099294206682 Long ABS-MBS CORP US N 2 2047-05-10 Variable 4.784 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4 N/A 92936CBA6 6151000 PA USD 3075500 0.084373292379 Long ABS-MBS CORP US N 2 2044-06-15 Variable 4.964 N N N N N N COMM 2014-CCRE18 MORTGAGE TRUST N/A 12632QBC6 2758000 PA USD 2829137.09 0.077614570273 Long ABS-MBS CORP US N 2 2047-07-15 Variable 4.756 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12 N/A 46639NAW1 6269000 PA USD 6440520.47 0.17668929172 Long ABS-MBS CORP US N 2 2045-07-15 Variable 4.099 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11 N/A 61762TAN6 3329000 PA USD 299277.1 0.008210370431 Long ABS-MBS CORP US N 2 2046-08-15 Variable 4.354 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14 N/A 46640LAN2 5853000 PA USD 4040885.45 0.11085768478 Long ABS-MBS CORP US N 2 2046-08-15 Variable 4.558 N N N N N N CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2 N/A 12527DAF7 601000 PA USD 614522.5 0.016858815336 Long ABS-MBS CORP US N 2 2047-12-15 Variable 5.776 N N N N N N COMM 2013-CCRE11 MORTGAGE TRUST 549300BCCWSDWINK2593 12626LBN1 949000 PA USD 1017280.55 0.027908083003 Long ABS-MBS CORP US N 2 2050-08-10 Variable 4.715 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C15 549300UOGMFS1M8XVM16 46640NAL2 7601000 PA USD 8107234.2 0.222413929943 Long ABS-MBS CORP US N 2 2045-11-15 Variable 5.179 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1 N/A 92938JAN2 3873000 PA USD 4123006.02 0.113110581175 Long ABS-MBS CORP US N 2 2046-03-15 Variable 5.04 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C17 N/A 46640UAH5 5595000 PA USD 5877139.07 0.161233481744 Long ABS-MBS CORP US N 2 2047-01-15 Fixed 4.458 N N N N N N GS MORTGAGE SECURITIES TRUST 2014-GC18 N/A 36252RBJ7 5144000 PA USD 3240720 0.088905939222 Long ABS-MBS CORP US N 2 2047-01-10 Variable 4.988 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C14 N/A 61690GAL5 4565000 PA USD 4891490.63 0.134193194307 Long ABS-MBS CORP US N 2 2047-02-15 Variable 5.05 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10 N/A 92890NAG4 3645000 PA USD 910475.44 0.024977990734 Long ABS-MBS CORP US N 2 2045-12-15 Variable 4.426 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2 N/A 90269CAV2 2565000 PA USD 87466.5 0.002399556683 Long ABS-MBS CORP US N 2 2063-05-10 Variable 5 N N N N N N COMM 2012-LC4 MORTGAGE TRUST N/A 126192AL7 1918000 PA USD 275808.4 0.007566529922 Long ABS-MBS CORP US N 2 2044-12-10 Fixed 4.25 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25 N/A 46643PAN0 3567000 PA USD 2737718.87 0.075106602071 Long ABS-MBS CORP US N 2 2047-11-15 Variable 3.946 N N N N N N COMM 2012-CCRE1 MORTGAGE TRUST N/A 12624BAL0 1651000 PA USD 1454895.54 0.03991361625 Long ABS-MBS CORP US N 2 2045-05-15 Variable 5.354 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11 N/A 61762TAS5 6212000 PA USD 62120 0.001704200593 Long ABS-MBS CORP US N 2 2046-08-15 Variable 4.354 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25 N/A 46643PAQ3 4818000 PA USD 2544217.17 0.069798074836 Long ABS-MBS CORP US N 2 2047-11-15 Variable 3.332 N N N N N N GS MORTGAGE SECURITIES TRUST 2014-GC22 N/A 36253BBB8 4081000 PA USD 4272305.04 0.117206451722 Long ABS-MBS CORP US N 2 2047-06-10 Variable 4.689 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17 N/A 61763UAG7 2709000 PA USD 1727732.48 0.047398627113 Long ABS-MBS CORP US N 2 2047-08-15 Fixed 3.5 N N N N N N COMM 2014-CCRE19 MORTGAGE TRUST N/A 12592GAG8 2364000 PA USD 2337423.91 0.064124906835 Long ABS-MBS CORP US N 2 2047-08-10 Variable 4.703 N N N N N N COMM 2014-LC17 MORTGAGE TRUST N/A 12592MBN9 2308000 PA USD 2523774 0.069237236742 Long ABS-MBS CORP US N 2 2047-10-10 Variable 4.49 N N N N N N COMM 2014-UBS6 MORTGAGE TRUST N/A 12592PBL6 504000 PA USD 529878.79 0.014536699097 Long ABS-MBS CORP US N 2 2047-12-10 Variable 4.444 N N N N N N COMM 2015-LC19 MORTGAGE TRUST N/A 200474AE4 5800000 PA USD 5654170.6 0.155116562898 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 2.867 N N N N N N CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST 549300UFJ8EKD81Y8R30 126281AL8 4076000 PA USD 2994101.61 0.082140208276 Long ABS-MBS CORP US N 2 2050-04-15 Variable 3.762 N N N N N N CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST 549300UFJ8EKD81Y8R30 126281BF0 3716000 PA USD 3572078.21 0.09799642309 Long ABS-MBS CORP US N 2 2050-04-15 Variable 4.262 N N N N N N COMM 2013-CCRE13 MORTGAGE TRUST N/A 12630BAG3 1524000 PA USD 1494854.41 0.041009848219 Long ABS-MBS CORP US N 2 2046-11-10 Variable 4.883 N N N N N N BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2015-UBS7 N/A 06054ABC2 7695000 PA USD 8112523.01 0.2225590232 Long ABS-MBS CORP US N 2 2048-09-15 Variable 4.358 N N N N N N CSAIL 2015-C4 COMMERCIAL MORTGAGE TRUST 54930025J96YEH8FQE77 12635RBC1 11011000 PA USD 12109042.25 0.332199565009 Long ABS-MBS CORP US N 2 2048-11-15 Variable 4.312 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP9 N/A 46629PAQ1 3337776.15 PA USD 2958157.52 0.081154117814 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 5.337 N N N N N N BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP26 N/A 07388VAH1 4551000 PA USD 3686310 0.101130258959 Long ABS-MBS CORP US N 2 2045-01-12 Variable 5.431 N N N N N N CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2008-C1 N/A 22546NAH7 9821288.95 PA USD 4789842.62 0.131404581962 Long ABS-MBS CORP US N 2 2041-02-15 Variable 5.816 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3 N/A 46635TBA9 1986000 PA USD 1211666.15 0.033240859158 Long ABS-MBS CORP US N 2 2046-02-15 Variable 5.523 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3 N/A 46635TBG6 4436000 PA USD 841703.5 0.023091300765 Long ABS-MBS CORP US N 2 2046-02-15 Variable 5.523 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C4 N/A 46636DAU0 3663862.3 PA USD 3680347.12 0.10096667326 Long ABS-MBS CORP US N 2 2046-07-15 Variable 5.39 N N N N N N DBUBS 2011-LC3 MORTGAGE TRUST N/A 23305YAM1 1598500 PA USD 1591786.3 0.043669078489 Long ABS-MBS CORP US N 2 2044-08-10 Variable 5.42 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4 N/A 92936CAU3 4337919.53 PA USD 4324851.55 0.118648013111 Long ABS-MBS CORP US N 2 2044-06-15 Variable 4.964 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4 N/A 92936CAY5 1776768 PA USD 1276415.92 0.035017204882 Long ABS-MBS CORP US N 2 2044-06-15 Variable 4.964 N N N N N N CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2 N/A 12527DAG5 3258000 PA USD 3214032.96 0.088173806746 Long ABS-MBS CORP US N 2 2047-12-15 Variable 5.776 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2012-C4 5493005SNWQW3UUOQX45 61760VAF0 1406000 PA USD 717060 0.019671829957 Long ABS-MBS CORP US N 2 2045-03-15 Variable 5.409 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2012-C1 N/A 90269GAF8 5319000 PA USD 5420231.74 0.148698682282 Long ABS-MBS CORP US N 2 2045-05-10 Fixed 4.822 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6 N/A 46634SAM7 3130000 PA USD 2202242.96 0.060416351537 Long ABS-MBS CORP US N 2 2045-05-15 Variable 5.141 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7 N/A 92936TAJ1 4142000 PA USD 1647394.35 0.045194630192 Long ABS-MBS CORP US N 2 2045-06-15 Variable 4.803 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C3 N/A 90349DAS1 12283000 PA USD 12667924.65 0.347531949382 Long ABS-MBS CORP US N 2 2049-08-10 Variable 5.038 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C8 N/A 46638UAM8 6475000 PA USD 6286562.61 0.172465610519 Long ABS-MBS CORP US N 2 2045-10-15 Variable 4.621 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C8 N/A 46638UAR7 3906000 PA USD 3716055.13 0.101946287101 Long ABS-MBS CORP US N 2 2045-10-15 Variable 4.669 N N N N N N GS MORTGAGE SECURITIES TRUST 2012-GCJ9 N/A 36192PAG1 11564000 PA USD 11767416.54 0.322827402462 Long ABS-MBS CORP US N 2 2045-11-10 Variable 4.448 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10 N/A 92890NAE9 1350000 PA USD 760549.77 0.020864928666 Long ABS-MBS CORP US N 2 2045-12-15 Variable 4.426 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-LC9 N/A 46639EAN1 621000 PA USD 607501.32 0.016666196226 Long ABS-MBS CORP US N 2 2047-12-15 Variable 4.414 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C4 N/A 90270RAG9 6845000 PA USD 6896666.06 0.189203193601 Long ABS-MBS CORP US N 2 2045-12-10 Variable 3.718 N N N N N N COMM 2013-CCRE6 MORTGAGE TRUST N/A 12624XAV0 1683000 PA USD 1596814.07 0.043807010373 Long ABS-MBS CORP US N 2 2046-03-10 Variable 4.088 N N N N N N GS MORTGAGE SECURITIES CORP II 5493005BBCF84ICNQ550 36192CAN5 12605000 PA USD 12989877.29 0.356364400765 Long ABS-MBS CORP US N 2 2046-02-10 Variable 4.285 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST 2013-C12 N/A 92937FAH4 4231000 PA USD 4357961.73 0.119556358062 Long ABS-MBS CORP US N 2 2048-03-15 Variable 4.309 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6 549300G1IXWLFE766Q13 90349GAN5 4129000 PA USD 4179502.21 0.114660498118 Long ABS-MBS CORP US N 2 2046-04-10 Variable 3.875 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11 N/A 46639YAV9 4970000 PA USD 5069231.02 0.139069325633 Long ABS-MBS CORP US N 2 2046-04-15 Fixed 3.499 N N N N N N BBCMS TRUST 2021-C10 N/A 05551VAE3 4200000 PA USD 3447123.12 0.094568404119 Long ABS-MBS CORP US N 2 2054-07-15 Fixed 2 N N N N N N WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2005-C21 N/A 92976BAA0 2964966.6 PA USD 2727769.27 0.074833644662 Long ABS-MBS CORP US N 2 2044-10-15 Variable 5.103 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C57 N/A 95002XBG9 3427000 PA USD 3839763.99 0.105340116987 Long ABS-MBS CORP US N 2 2053-08-15 Variable 4.024 N N N N N N COMM 2013-LC6 MORTGAGE TRUST N/A 20048EAG6 3735000 PA USD 3159167.58 0.086668629459 Long ABS-MBS CORP US N 2 2046-01-10 Fixed 3.5 N N N N N N MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01 5493002KQF9IH3CTQZ40 62548QAD3 6355000 PA USD 6659046.71 0.182684342392 Long ABS-MBS CORP US N 2 2050-03-25 Floating 3.839 N N N N N N BBCMS MORTGAGE TRUST 2020-C7 N/A 05492VAK1 4000000 PA USD 4309256 0.118220164664 Long ABS-MBS CORP US N 2 2053-04-15 Variable 3.152 N N N N N N MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01 549300HG8ZEWVWVSN227 62547NAB5 17142000 PA USD 17303085.09 0.474692979142 Long ABS-MBS CORP US N 2 2049-10-15 Floating 3.339 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2018-H4 N/A 61691RAF3 56806097.82 PA USD 2982081.55 0.081810449851 Long ABS-MBS CORP US N 2 2051-12-15 Variable .856 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2018-H3 N/A 61767YBA7 60072274.37 PA USD 2665334.73 0.073120814977 Long ABS-MBS CORP US N 2 2051-07-15 Variable .825 N N N N N N BANK 2018-BNK13 549300664283JRAXM588 06539LBC3 198241832.54 PA USD 4890626.01 0.134169474315 Long ABS-MBS CORP US N 2 2061-08-15 Variable .502 N N N N N N WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST N/A 92922F4W5 4427445.86 PA USD 4383523.83 0.120257628925 Long ABS-CBDO CORP US N 2 2045-10-25 Floating .949 N N N N N N FREDDIE MAC STACR REMIC TRUST 2020-HQA1 549300TCRXCIFPAC3B85 35565JAH4 3727850.67 PA USD 3740975.69 0.10262995795 Long ABS-CBDO CORP US N 2 2050-01-25 Floating 1.989 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711XLT9 4157760.08 PA USD 4261264.19 0.116903556952 Long ABS-CBDO CORP US N 2 2029-11-25 Floating 2.939 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES S6XOOCT0IEG5ABCC6L87 3137G0TH2 5243549.57 PA USD 5273044.54 0.144660747423 Long ABS-CBDO CORP US N 2 2030-07-25 Floating 1.889 N N N N N N RADNOR RE 2018-1 LTD 549300ED4YNDE7SVU538 750496AB7 3160000 PA USD 3194915.16 0.087649328864 Long ABS-CBDO CORP BM N 2 2028-03-25 Floating 2.789 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES S6XOOCT0IEG5ABCC6L87 3137G0UD9 4552272.81 PA USD 4607381.71 0.126398947852 Long ABS-CBDO CORP US N 2 2030-09-25 Floating 2.389 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711XYX6 610762.12 PA USD 617454.61 0.016939254866 Long ABS-CBDO CORP US N 2 2030-07-25 Floating 2.339 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES S6XOOCT0IEG5ABCC6L87 3137G0CH0 1397276.4 PA USD 1432913.79 0.039310568739 Long ABS-CBDO CORP US N 2 2024-09-25 Floating 3.839 N N N N N N CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2004-3 549300TC8R2SGZ2KM445 16678RBV8 909616.26 PA USD 885420.47 0.02429063248 Long ABS-CBDO CORP US N 2 2035-08-25 Floating .389 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711XUW2 2975000 PA USD 3079711.67 0.084488835368 Long ABS-CBDO CORP US N 2 2030-05-25 Floating 4.089 N N N N N N FREDDIE MAC STACR TRUST 2018-DNA2 549300L8K4CLYS7FCQ06 35563TAV3 7040000 PA USD 7301954.88 0.200321890433 Long ABS-CBDO CORP US N 2 2030-12-25 Floating 3.789 N N N N N N OAKTOWN RE LTD 549300CG2B8QR5YHPJ68 67389NAB5 310641.39 PA USD 312552.83 0.008574576917 Long ABS-CBDO CORP BM N 2 2027-04-25 Floating 4.089 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711XY24 862090.08 PA USD 872597.23 0.023938839608 Long ABS-CBDO CORP US N 2 2031-01-25 Floating 2.439 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711X3H5 169326.48 PA USD 170607.86 0.004680457439 Long ABS-CBDO CORP US N 2 2031-03-25 Floating 2.089 N N N N N N FREDDIE MAC STACR TRUST 2018-DNA2 549300L8K4CLYS7FCQ06 35563TAB7 5121000 PA USD 5167144.82 0.141755493631 Long ABS-CBDO CORP US N 2 2030-12-25 Floating 2.239 N N N N N N HOME RE 2018-1 LTD 254900E6IUAJSN9WD709 43730MAA6 584175.81 PA USD 585358.65 0.016058734034 Long ABS-CBDO CORP BM N 2 2028-10-25 Floating 1.689 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2018-R07 N/A 20753QAE9 222671.39 PA USD 223923.92 0.006143130669 Long ABS-CBDO CORP US N 2 2031-04-25 Floating 2.489 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2018-R07 N/A 20753QAF6 4500000 PA USD 4663125 0.12792820973 Long ABS-CBDO CORP US N 2 2031-04-25 Floating 4.439 N N N N N N EAGLE RE 2018-1 LTD 549300BLEDGL5R7YKU33 269826AB9 1210000 PA USD 1222859.03 0.03354792472 Long ABS-CBDO CORP BM N 2 2028-11-25 Floating 3.089 N N N N N N EAGLE RE 2018-1 LTD 549300BLEDGL5R7YKU33 269826AA1 1755056.06 PA USD 1759706.26 0.048275796058 Long ABS-CBDO CORP BM N 2 2028-11-25 Floating 1.789 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES B1V7KEBTPIMZEU4LTD58 30711XY32 5684000 PA USD 5946815.66 0.163144989889 Long ABS-CBDO CORP US N 2 2031-01-25 Floating 4.339 N N N N N N FREDDIE MAC STACR TRUST 2019-DNA1 5493007222WHFWMBOC78 35563KAH3 4296032.77 PA USD 4363890.33 0.119719003324 Long ABS-CBDO CORP US N 2 2049-01-25 Floating 2.739 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2019-R01 N/A 20754FAK8 663654.53 PA USD 667102.22 0.018301287808 Long ABS-CBDO CORP US N 2 2031-07-25 Floating 2.539 N N N N N N FREDDIE MAC STACR TRUST 2019-HQA1 54930047IR7X5WWFY307 35563MAH9 2517793.56 PA USD 2535914.88 0.069570309744 Long ABS-CBDO CORP US N 2 2049-02-25 Floating 2.439 N N N N N N ALTERNATIVE LOAN TRUST 2007-OA6 549300XLOHLV2Q49T012 02150PAA6 2340848.35 PA USD 2190799.97 0.060102424455 Long ABS-CBDO CORP US N 2 2037-06-25 Floating .229 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2019-R02 N/A 20753KAF9 1586000 PA USD 1628437.24 0.04467456068 Long ABS-CBDO CORP US N 2 2031-08-25 Floating 4.239 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES S6XOOCT0IEG5ABCC6L87 3137G0JJ9 8672439.73 PA USD 9164008.36 0.251405480969 Long ABS-CBDO CORP US N 2 2028-09-25 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3140E9ZA7 34912.99 PA USD 37573.8 0.001030799939 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140F8B55 229515.73 PA USD 247151.17 0.006780347237 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140F7F79 324473.05 PA USD 347985.21 0.009546629122 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138Y9DA3 424305.23 PA USD 468410.32 0.012850372584 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138ET7G5 2895080.34 PA USD 3179828.86 0.087235451185 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138MAJN9 29781.37 PA USD 31958.61 0.00087675277 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138M7KQ7 24012.33 PA USD 25767.81 0.000706914312 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138W1L39 191641.69 PA USD 206251.02 0.005658292185 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138ETDK9 42342.06 PA USD 45569.9 0.001250165013 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 31417GHQ2 72682.77 PA USD 78223.56 0.002145985791 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138WNBL2 125293.34 PA USD 134844.76 0.003699332259 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138M7G33 60503.33 PA USD 64926.58 0.001781196331 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140EVB63 242669.29 PA USD 263333.28 0.007224287377 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 4 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138Y7E99 1218759.16 PA USD 1313953.4 0.036047008418 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140EVUP0 2066851.48 PA USD 2222475.06 0.060971399136 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140EVTB3 2050421.96 PA USD 2205449.24 0.060504312649 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138WJZG6 870056.64 PA USD 941531.88 0.025829993365 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 31418CG32 596318.09 PA USD 645305.68 0.01770332135 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138Y7E57 170245.78 PA USD 186040.35 0.005103832497 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138Y7FA5 133354.8 PA USD 145768.48 0.003999013683 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138WJPQ5 291347.89 PA USD 318468.77 0.008736874864 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140FHAX5 73391.75 PA USD 80246.55 0.002201484515 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138Y7FF4 62934.74 PA USD 68793.18 0.001887272668 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140E5E67 366198.17 PA USD 400830.12 0.01099637682 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138YA2K0 257564.26 PA USD 283371.32 0.007774011131 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138YA4M4 281003.15 PA USD 309158.71 0.008481462601 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138Y4A90 297600.81 PA USD 327884.4 0.008995183336 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140EUNG0 80166.93 PA USD 88224.44 0.002420350015 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140FHG50 245565.38 PA USD 268174.98 0.007357114614 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140J5JS9 4171490.89 PA USD 4523387.43 0.124094648081 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138WJTE8 1224289.32 PA USD 1327567.3 0.036420492264 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140FC3F3 1407723.7 PA USD 1507531.45 0.041357630239 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 31411H6U9 26539.23 PA USD 31604.78 0.000867045795 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 31410KD50 31635.56 PA USD 37827.29 0.001037754186 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 31418MGR7 136092.01 PA USD 162169.19 0.004448950897 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 31419A4K0 51891.48 PA USD 61944.17 0.001699376871 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 31418MC91 167298.59 PA USD 199698.54 0.005478531394 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138EGE26 51881.71 PA USD 61977.95 0.001700303592 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138EHW40 86527.96 PA USD 103329.65 0.002834746471 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 31416CKF2 43503.88 PA USD 51872.96 0.001423083213 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138ELCH4 135959.12 PA USD 161680 0.004435530454 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 31417BXC6 252507.08 PA USD 276249.08 0.00757861954 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 31419AA64 55271.84 PA USD 65737.56 0.001803444763 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138LWCH2 250839.34 PA USD 274346.15 0.007526414543 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138W1SQ1 46428.96 PA USD 49910.32 0.001369240131 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138X0YX0 648879.86 PA USD 702185.41 0.019263760332 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138W36N8 264410.06 PA USD 286131.37 0.007849730366 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138WDT76 130039.57 PA USD 141803.65 0.003890242504 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 4 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138XJZ75 617051.27 PA USD 672755.64 0.018456383779 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138EPT20 83666.58 PA USD 99495.89 0.002729571067 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138EKBW4 676410.93 PA USD 772584.05 0.021195077203 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 31418BM60 286985.71 PA USD 314472.6 0.008627243904 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 4 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140FXG55 8420583.78 PA USD 9207067.15 0.252586756169 Long ABS-MBS USGSE US N 2 2057-09-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140FXC59 574443.32 PA USD 629173.46 0.017260749894 Long ABS-MBS USGSE US N 2 2056-05-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140FXDF6 3109759.78 PA USD 3414788.66 0.093681340277 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140FXFM9 5045505.7 PA USD 5613896.55 0.154011684278 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 4 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136A6LM4 1806237.3 PA USD 44030.1 0.001207922127 Long ABS-MBS USGSE US N 2 2041-04-25 Fixed 4 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136ACYN5 1826583.73 PA USD 188172.46 0.00516232482 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AJK62 4135755.91 PA USD 105817.45 0.002902996796 Long ABS-MBS USGSE US N 2 2040-03-25 Fixed 3 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AA5E1 3105112.33 PA USD 284086.73 0.007793637695 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 3 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136ADQT9 3430201.54 PA USD 123912.6 0.003399419291 Long ABS-MBS USGSE US N 2 2042-02-25 Fixed 3 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136A9PE2 3988645.43 PA USD 305173.26 0.008372125733 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AJSM9 341057.21 PA USD 2405.14 0.000065982631 Long ABS-MBS USGSE US N 2 2039-07-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AJGA8 1900882.45 PA USD 156772.24 0.004300890926 Long ABS-MBS USGSE US N 2 2042-08-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AMZR3 3087600.75 PA USD 62467.1 0.001713722937 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B8H51 45913376.58 PA USD 8151460.88 0.223627245047 Long ABS-MBS USGSE US N 2 2050-03-25 Floating 5.961 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B7WD9 42054670.43 PA USD 6848360.84 0.187877987796 Long ABS-MBS USGSE US N 2 2049-12-25 Floating 5.911 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BB4F6 63524439.07 PA USD 8373219.84 0.229710982185 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 3 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BBVF6 69887959.58 PA USD 10090423.6 0.276820764307 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 3 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BDPM4 50620907.41 PA USD 6566215.07 0.180137598414 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BFHG1 31585559.64 PA USD 5086854.38 0.139552805037 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136BA6J8 90120553.21 PA USD 16458428.25 0.451520656424 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 31392AJX7 193493.81 PA USD 870.72 0.00002388734 Long ABS-MBS USGSE US N 2 2041-10-25 Variable .379 N N N N N N FANNIE MAE TRUST 2005-W4 549300DT3ZN0G36OPC94 31394VPX2 55282.99 PA USD 66.34 0.000001819972 Long ABS-MBS USGSE US N 2 2045-08-25 Variable .063 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AMKT5 13977367.05 PA USD 2504464.63 0.068707503326 Long ABS-MBS USGSE US N 2 2045-01-25 Floating 6.161 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AYW82 25813819.61 PA USD 3382901.06 0.092806535595 Long ABS-MBS USGSE US N 2 2047-11-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B3WG1 7072670.6 PA USD 793465.23 0.021767931667 Long ABS-MBS USGSE US N 2 2049-01-25 Floating 6.011 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B3G53 22978281.45 PA USD 4145971.32 0.113740611405 Long ABS-MBS USGSE US N 2 2049-02-25 Floating 6.011 N N N N N N FANNIE MAE INTEREST STRIP B1V7KEBTPIMZEU4LTD58 3136FLFT8 6129188.4 PA USD 952639.53 0.026134720727 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B0UJ3 13038199.53 PA USD 1713349.8 0.047004052552 Long ABS-MBS USGSE US N 2 2047-12-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AURL7 17649131.13 PA USD 3100952.34 0.085071552084 Long ABS-MBS USGSE US N 2 2046-12-25 Floating 6.011 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136APCA8 14886867.8 PA USD 2536585.91 0.069588718787 Long ABS-MBS USGSE US N 2 2045-06-25 Fixed 5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136ARSF6 32522858.51 PA USD 6162496.28 0.169061973798 Long ABS-MBS USGSE US N 2 2046-03-25 Floating 5.961 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B0RS7 17620085.89 PA USD 3472649.34 0.095268690649 Long ABS-MBS USGSE US N 2 2048-01-25 Floating 6.061 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B0XB7 9715024.87 PA USD 1311528.36 0.035980479851 Long ABS-MBS USGSE US N 2 2048-02-25 Floating 6.061 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B1ZU1 15818735 PA USD 2155302.64 0.059128590411 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 6.111 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136B6ZY2 9049699.77 PA USD 2349845.04 0.064465668218 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 5.911 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B13G7 31641176.93 PA 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MAE I POOL 549300M8ZYFG0OCMTT87 36213GNS6 9033.58 PA USD 10491.23 0.00028781649 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 6.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 36212CUX7 46011.79 PA USD 53184.11 0.001459053313 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 6.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 36180DL62 111559.5 PA USD 120069.44 0.003293986008 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 36197F2U6 10651.78 PA USD 11435.69 0.000313726814 Long ABS-MBS USGA US N 2 2047-11-15 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 36197F2T9 65033.5 PA USD 70124.43 0.001923794191 Long ABS-MBS USGA US N 2 2047-11-15 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 3620C0ZX9 2021091.1 PA USD 2306155.69 0.06326709423 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 36178WRV3 191326.54 PA USD 205921.23 0.005649244723 Long ABS-MBS USGA US N 2 2042-11-15 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38376R2S4 17633837.11 PA USD 1204920.09 0.033055787692 Long ABS-MBS USGA US N 2 2067-05-20 Variable 2.251 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376R7A8 11525013.65 PA USD 1175911.55 0.032259967166 Long ABS-MBS USGA US N 2 2067-09-20 Variable 2.206 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RK62 9503489.36 PA USD 693013.45 0.019012136706 Long ABS-MBS USGA US N 2 2066-12-20 Variable 2.415 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38377WKG8 5358693.48 PA USD 18473.02 0.000506788983 Long ABS-MBS USGA US N 2 2040-12-20 Floating .15 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38377XUL4 12379.78 PA USD 977.83 0.000026825796 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376WP82 1257525.59 PA USD 196247.43 0.005383853614 Long ABS-MBS USGA US N 2 2040-03-20 Fixed 4.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378GHD3 3006865.58 PA USD 531944.59 0.014593372272 Long ABS-MBS USGA US N 2 2042-11-16 Fixed 4.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376WM85 860711.37 PA USD 150033.61 0.004116023295 Long ABS-MBS USGA US N 2 2040-03-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378FMA5 1297321.07 PA USD 230274.49 0.006317352259 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375CMY3 2723304.55 PA USD 403241.34 0.011062526249 Long ABS-MBS USGA US N 2 2042-04-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378JNF5 1140850.34 PA USD 102539.63 0.002813073056 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378FZA1 756046.09 PA USD 65178.73 0.001788113817 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376XF24 14854760.99 PA USD 2346606.59 0.064376824554 Long ABS-MBS USGA US N 2 2040-03-20 Floating 5.666 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378MGY5 5548790.56 PA USD 291311.5 0.007991842095 Long ABS-MBS USGA US N 2 2037-09-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375AX25 7743471.43 PA USD 1386545.99 0.038038514131 Long ABS-MBS USGA 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549300M8ZYFG0OCMTT87 38377X4D1 8112509.93 PA USD 1178341.26 0.03232662385 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376MBJ5 2406734.54 PA USD 141515.99 0.003882350837 Long ABS-MBS USGA US N 2 2029-01-16 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378YFH7 4595447.73 PA USD 281241.4 0.007715578888 Long ABS-MBS USGA US N 2 2028-11-16 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379AAT7 2185233.96 PA USD 125650.95 0.003447109199 Long ABS-MBS USGA US N 2 2029-02-16 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379GAC1 1017880.35 PA USD 27991.71 0.000767924803 Long ABS-MBS USGA US N 2 2040-03-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38377V2T2 1071015.25 PA USD 14697.54 0.000403212434 Long ABS-MBS USGA US N 2 2039-04-16 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379BCP1 3168366.11 PA USD 257173.11 0.007055289222 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379BZU5 2846564 PA USD 149900.06 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B4TYDEB6GKMZO031MB27 2050-03-07 0 USD 0 USD 19218800 USD 1 1.275 USD 2030-03-05 XXXX -1012638.57 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 19218800 NC USD 900977.34 0.02471741978 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. 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B4TYDEB6GKMZO031MB27 N/A 14414200 NC USD -4355538.81 -0.119489887655 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2052-06-22 0 USD 0 USD 14414200 USD 1 2.3075 USD 2022-06-20 XXXX -4355538.81 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 14414200 NC USD -42233.61 -0.001158637205 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. 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105142300 USD 1 1.405 USD 2024-02-02 XXXX 150353.49 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 30040600 NC USD 182646.85 0.00501073519 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Call Purchased TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2036-02-04 0 USD 0 USD 30040600 USD 1 1.937 USD 2026-02-02 XXXX 182646.85 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 30040600 NC USD -90422.21 -0.002480643655 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Put Purchased TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2036-02-04 0 USD 0 USD 30040600 USD 1 1.937 USD 2026-02-02 XXXX -90422.21 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 N/A 105142300 NC USD -3154.27 -0.000086534269 N/A DIR CORP US N 2 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 Call Purchased WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 2029-02-06 0 USD 0 USD 105142300 USD 1 1.405 USD 2024-02-02 XXXX -3154.27 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 56013300 NC USD 289028.63 0.00792921382 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2041-02-05 0 USD 0 USD 56013300 USD 1 2.031 USD 2031-02-03 XXXX 289028.63 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 56013300 NC USD 88501.01 0.002427937439 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2041-02-05 0 USD 0 USD 56013300 USD 1 2.031 USD 2031-02-03 XXXX 88501.01 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 N/A 75101900 NC USD 132930.36 0.003646812593 N/A DIR CORP US N 2 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 Put Purchased WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 2029-02-06 0 USD 0 USD 75101900 USD 1 1.3875 USD 2024-02-02 XXXX 132930.36 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 N/A 75101900 NC USD -40555.03 -0.001112587028 N/A DIR CORP US N 2 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 Call Purchased WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 2029-02-06 0 USD 0 USD 75101900 USD 1 1.3875 USD 2024-02-02 XXXX -40555.03 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 N/A 44430800 NC USD 870399.37 0.023878543499 N/A DIR CORP US N 2 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 Call Purchased WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 2035-02-21 0 USD 0 USD 44430800 USD 1 2.16 USD 2025-02-19 XXXX 870399.37 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 N/A 44430800 NC USD -728220.81 -0.019978015711 N/A DIR CORP US N 2 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 Put Purchased WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 2035-02-21 0 USD 0 USD 44430800 USD 1 2.16 USD 2025-02-19 XXXX -728220.81 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 12974800 NC USD 410782.17 0.011269401442 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Put Written TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2056-03-02 0 USD 0 USD 12974800 USD 1 2.095 USD 2026-02-26 XXXX 410782.17 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 12974800 NC USD -444516.65 -0.012194873444 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Call Written TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2056-03-02 0 USD 0 USD 12974800 USD 1 2.095 USD 2026-02-26 XXXX -444516.65 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 7804700 NC USD -156874.47 -0.004303695504 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Call Written TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2032-03-07 0 USD 0 USD 7804700 USD 1 1.775 USD 2022-03-03 XXXX -156874.47 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 7804700 NC USD 149850.24 0.004110992721 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Put Written TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2032-03-07 0 USD 0 USD 7804700 USD 1 1.775 USD 2022-03-03 XXXX 149850.24 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 3001800 NC USD -38062.82 -0.001044215718 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Put Purchased TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2041-03-05 0 USD 0 USD 3001800 USD 1 2.405 USD 2031-03-03 XXXX -38062.82 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 3001800 NC USD 65439.24 0.00179526065 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Call Purchased TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2041-03-05 0 USD 0 USD 3001800 USD 1 2.405 USD 2031-03-03 XXXX 65439.24 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 30792400 NC USD -319625.11 -0.008768597905 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2034-03-20 0 USD 0 USD 30792400 USD 1 1.29 USD 2024-03-18 XXXX -319625.11 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 21554700 NC USD 627888.41 0.017225495821 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2034-03-20 0 USD 0 USD 21554700 USD 1 2.29 USD 2024-03-18 XXXX 627888.41 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 33394000 NC USD -4583994.38 -0.125757339648 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2052-02-17 0 USD 0 USD 33394000 USD 1 2.8325 USD 2022-02-15 XXXX -4583994.38 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 33394000 NC USD 4878863.4 0.133846778775 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2052-02-17 0 USD 0 USD 33394000 USD 1 2.8325 USD 2022-02-15 XXXX 4878863.4 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 6678900 NC USD -509867.23 -0.013987701795 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2047-03-25 0 USD 0 USD 6678900 USD 1 2.8175 USD 2027-03-23 XXXX -509867.23 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 6678900 NC USD 485889.98 0.013329909721 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2047-03-25 0 USD 0 USD 6678900 USD 1 2.8175 USD 2027-03-23 XXXX 485889.98 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 5702000 NC USD 538839 0.014782513572 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2049-11-12 0 USD 0 USD 5702000 USD 1 2.902 USD 2024-11-08 XXXX 538839 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 5702000 NC USD -436088.96 -0.011963668127 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2049-11-12 0 USD 0 USD 5702000 USD 1 2.902 USD 2024-11-08 XXXX -436088.96 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 5702000 NC USD 490200.94 0.013448176633 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2049-11-14 0 USD 0 USD 5702000 USD 1 2.689 USD 2024-11-12 XXXX 490200.94 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 5702000 NC USD -509644.76 -0.013981598551 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2049-11-14 0 USD 0 USD 5702000 USD 1 2.689 USD 2024-11-12 XXXX -509644.76 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 9503400 NC USD -489615.17 -0.013432106614 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2039-11-13 0 USD 0 USD 9503400 USD 1 2.5 USD 2029-11-09 XXXX -489615.17 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 9503400 NC USD 338986.28 0.009299752403 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2039-11-13 0 USD 0 USD 9503400 USD 1 2.5 USD 2029-11-09 XXXX 338986.28 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 5702000 NC USD 438483.8 0.012029368188 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2049-11-15 0 USD 0 USD 5702000 USD 1 2.505 USD 2024-11-13 XXXX 438483.8 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 5702000 NC USD -598881.06 -0.016429707942 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2049-11-15 0 USD 0 USD 5702000 USD 1 2.505 USD 2024-11-13 XXXX -598881.06 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 18691900 NC USD 5288499.27 0.145084732613 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2048-04-17 -2122465.25 USD 0 USD 18691900 USD 1 3 USD 2047-04-17 XXXX 3166034.02 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 1179600 NC USD 307568.9 0.008437847741 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2053-10-19 0 USD 0 USD 1179600 USD 1 3.27 USD 2023-10-17 XXXX 307568.9 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 1179600 NC USD -118431.84 -0.003249060076 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2053-10-19 0 USD 0 USD 1179600 USD 1 3.27 USD 2023-10-17 XXXX -118431.84 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 18691900 NC USD 5197469.71 0.142587426913 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2049-02-02 -2274804.23 USD 0 USD 18691900 USD 1 3 USD 2048-02-03 XXXX 2922665.48 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 13718400 NC USD 1674605.09 0.045941129858 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Written MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2036-02-19 0 USD 701924.8 USD 13718400 USD 1 2.97 USD 2026-02-17 XXXX -972680.29 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 13718400 NC USD 274230.82 0.007523250579 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Written MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2036-02-19 0 USD 701924.8 USD 13718400 USD 1 2.97 USD 2026-02-17 XXXX 427693.98 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 13718400 NC USD 267371.62 0.007335075229 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Written MORGAN STANLEY AND CO. 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