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55787.7 0.0083161385 Long ABS-MBS USGSE US N 2 2043-01-01 Floating 3 N N N N N N FNMA POOL AL3026 B1V7KEBTPIMZEU4LTD58 3138EKLG8 67136.02 PA USD 71874.32 0.0107141324 Long ABS-MBS USGSE US N 2 2042-12-01 Floating 3.5 N N N N N N FNMA POOL AP4903 B1V7KEBTPIMZEU4LTD58 3138M8NV1 42089.19 PA USD 45545.49 0.0067893569 Long ABS-MBS USGSE US N 2 2042-09-01 Floating 4 N N N N N N FNMA POOL AA3495 B1V7KEBTPIMZEU4LTD58 31416L3D6 13667.94 PA USD 14998.39 0.002235774 Long ABS-MBS USGSE US N 2 2039-02-01 Floating 4.5 N N N N N N FNMA POOL AL3508 B1V7KEBTPIMZEU4LTD58 3138EK3S2 47740.88 PA USD 52422.16 0.0078144456 Long ABS-MBS USGSE US N 2 2043-04-01 Floating 4 N N N N N N FNMA POOL AP5333 B1V7KEBTPIMZEU4LTD58 3138M84T7 157804.38 PA USD 171009.61 0.0254919921 Long ABS-MBS USGSE US N 2 2042-07-01 Floating 4 N N N N N N FNMA POOL AS0070 B1V7KEBTPIMZEU4LTD58 3138W9CG3 47514.38 PA USD 51638.91 0.0076976884 Long ABS-MBS USGSE US N 2 2043-08-01 Floating 4 N N N N N N FNMA POOL AB9683 B1V7KEBTPIMZEU4LTD58 31417GXM3 76227.97 PA USD 82987.94 0.012370813 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 4 N N N N N N FNMA POOL AL4324 B1V7KEBTPIMZEU4LTD58 3138ELYW7 101877.54 PA USD 120010.76 0.017889716 Long ABS-MBS USGSE US N 2 2040-05-01 Floating 6.5 N N N N N N FNMA POOL AP7399 B1V7KEBTPIMZEU4LTD58 3138MBGH3 76218.04 PA USD 82476.95 0.012294641 Long ABS-MBS USGSE US N 2 2042-09-01 Floating 4 N N N N N N FNMA POOL AL4341 B1V7KEBTPIMZEU4LTD58 3138ELZF3 6995.39 PA USD 7628.24 0.0011371234 Long ABS-MBS USGSE US N 2 2043-10-01 Floating 4.5 N N N N N N FNMA POOL AS4271 B1V7KEBTPIMZEU4LTD58 3138WDW98 46791.59 PA USD 51989.72 0.0077499828 Long ABS-MBS USGSE US N 2 2045-01-01 Floating 4.5 N N N N N N FNMA POOL AD5481 B1V7KEBTPIMZEU4LTD58 31418TCT2 551262.54 PA USD 604750.83 0.0901487548 Long ABS-MBS USGSE US N 2 2040-05-01 Floating 4.5 N N N N N N FNMA POOL AS4347 B1V7KEBTPIMZEU4LTD58 3138WDZM6 89525.85 PA USD 97521.05 0.0145372289 Long ABS-MBS USGSE US N 2 2045-01-01 Floating 4 N N N N N N FNMA POOL AP9229 B1V7KEBTPIMZEU4LTD58 3138MDHF2 26262.72 PA USD 28419.38 0.0042364088 Long ABS-MBS USGSE US N 2 2042-10-01 Floating 4 N N N N N N FNMA POOL AL4741 B1V7KEBTPIMZEU4LTD58 3138EMHT1 44478.43 PA USD 48571.72 0.0072404697 Long ABS-MBS USGSE US N 2 2044-01-01 Floating 4.5 N N N N N N FNMA POOL AD6914 B1V7KEBTPIMZEU4LTD58 31418UVG6 59611.99 PA USD 65396.06 0.0097484337 Long ABS-MBS USGSE US N 2 2040-06-01 Floating 4.5 N N N N N N FNMA POOL AL5562 B1V7KEBTPIMZEU4LTD58 3138ENFC8 20715.86 PA USD 22589.95 0.0033674296 Long ABS-MBS USGSE US N 2 2044-04-01 Floating 4.5 N N N N N N FNMA POOL AS6328 B1V7KEBTPIMZEU4LTD58 3138WGA61 1167552.83 PA USD 1244847.86 0.1855664828 Long ABS-MBS USGSE US N 2 2045-12-01 Floating 3.5 N N N N N N FNMA POOL AP9766 B1V7KEBTPIMZEU4LTD58 3138MDZ88 148922.46 PA USD 161942.9 0.0241404394 Long ABS-MBS USGSE US N 2 2042-10-01 Floating 4 N N N N N N FNMA POOL AT9637 B1V7KEBTPIMZEU4LTD58 3138WXV79 138804.19 PA USD 151417.12 0.0225713867 Long ABS-MBS USGSE US N 2 2043-07-01 Floating 4 N N N N N N FNMA POOL AQ3599 B1V7KEBTPIMZEU4LTD58 3138MJ7M5 24404.02 PA USD 26408.04 0.0039365831 Long ABS-MBS USGSE US N 2 2042-11-01 Floating 4 N N N N N N FNMA POOL AL9397 B1V7KEBTPIMZEU4LTD58 3138ERNP1 145613.12 PA USD 153128.81 0.0228265442 Long ABS-MBS USGSE US N 2 2046-10-01 Floating 3 N N N N N N FNMA POOL AS6340 B1V7KEBTPIMZEU4LTD58 3138WGBJ2 189295.25 PA USD 202004.55 0.0301123335 Long ABS-MBS USGSE US N 2 2045-12-01 Floating 3.5 N N N N N N FNMA POOL AT9653 B1V7KEBTPIMZEU4LTD58 3138WXWP8 94981.35 PA USD 104294.84 0.0155469815 Long ABS-MBS USGSE US N 2 2043-07-01 Floating 4 N N N N N N FNMA POOL AM8674 B1V7KEBTPIMZEU4LTD58 3138L9T85 50000 PA USD 53856.75 0.0080282965 Long ABS-MBS USGSE US N 2 2025-04-01 Floating 2.81 N N N N N N FNMA POOL AQ4078 B1V7KEBTPIMZEU4LTD58 3138MKQ82 43505.53 PA USD 47771.51 0.0071211843 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 4 N N N N N N FNMA POOL AS6541 B1V7KEBTPIMZEU4LTD58 3138WGHT4 187802.42 PA USD 201174.44 0.0299885909 Long ABS-MBS USGSE US N 2 2046-01-01 Floating 3.5 N N N N N N FNMA POOL AQ4080 B1V7KEBTPIMZEU4LTD58 3138MKRA6 39224.65 PA USD 42788.94 0.0063784446 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 4 N N N N N N FNMA POOL AN4073 B1V7KEBTPIMZEU4LTD58 3138LGQ33 120000 PA USD 134124.9 0.0199936769 Long ABS-MBS USGSE US N 2 2029-01-01 Floating 3.07 N N N N N N FNMA POOL AT9657 B1V7KEBTPIMZEU4LTD58 3138WXWT0 76539.24 PA USD 83326.82 0.0124213291 Long ABS-MBS USGSE US N 2 2043-07-01 Floating 4 N N N N N N FNMA POOL AS6562 B1V7KEBTPIMZEU4LTD58 3138WGJG0 183873.86 PA USD 196219.17 0.0292499207 Long ABS-MBS USGSE US N 2 2046-01-01 Floating 3.5 N N N N N N FNMA POOL AQ4555 B1V7KEBTPIMZEU4LTD58 3138MLBZ6 64277.39 PA USD 69555.75 0.0103685087 Long ABS-MBS USGSE US N 2 2042-12-01 Floating 4 N N N N N N FNMA POOL AN8048 B1V7KEBTPIMZEU4LTD58 3138LL5J0 210000 PA USD 234274.34 0.0349227136 Long ABS-MBS USGSE US N 2 2028-01-01 Floating 3.08 N N N N N N FNMA POOL AS7533 B1V7KEBTPIMZEU4LTD58 3138WHLP5 280823.96 PA USD 295932.74 0.0441139833 Long ABS-MBS USGSE US N 2 2046-07-01 Floating 3 N N N N N N FNMA POOL AU6423 B1V7KEBTPIMZEU4LTD58 3138X6D51 194702.16 PA USD 212316.12 0.0316494544 Long ABS-MBS USGSE US N 2 2043-10-01 Floating 4.5 N N N N N N FNMA POOL AQ7003 B1V7KEBTPIMZEU4LTD58 3138MNX96 58719.55 PA USD 63541.51 0.0094719804 Long ABS-MBS USGSE US N 2 2042-12-01 Floating 4 N N N N N N FNMA POOL AO2711 B1V7KEBTPIMZEU4LTD58 3138LTAM0 38875.08 PA USD 42128.19 0.0062799482 Long ABS-MBS USGSE US N 2 2042-05-01 Floating 4 N N N N N N FNMA POOL AS7738 B1V7KEBTPIMZEU4LTD58 3138WHS45 643827.66 PA USD 677661.83 0.1010174226 Long ABS-MBS USGSE US N 2 2046-08-01 Floating 3 N N N N N N FNMA POOL AQ7082 B1V7KEBTPIMZEU4LTD58 3138MN2Q2 86754.91 PA USD 93879.09 0.0139943306 Long ABS-MBS USGSE US N 2 2043-01-01 Floating 4 N N N N N N FNMA POOL AW0318 B1V7KEBTPIMZEU4LTD58 3138XPK85 221570.24 PA USD 241268.65 0.0359653386 Long ABS-MBS USGSE US N 2 2044-02-01 Floating 4.5 N N N N N N FNMA POOL BF0222 B1V7KEBTPIMZEU4LTD58 3140FXG89 740009.75 PA USD 824530.85 0.1229108349 Long ABS-MBS USGSE US N 2 2057-09-01 Floating 4.5 N N N N N N FNMA POOL AS7844 B1V7KEBTPIMZEU4LTD58 3138WHWE8 139068.12 PA USD 146246 0.0218005402 Long ABS-MBS USGSE US N 2 2046-09-01 Floating 3 N N N N N N FNMA POOL AQ7306 B1V7KEBTPIMZEU4LTD58 3138MPDL6 49658.67 PA USD 52376.94 0.0078077047 Long ABS-MBS USGSE US N 2 2043-01-01 Floating 3 N N N N N N FNMA POOL BH2623 B1V7KEBTPIMZEU4LTD58 3140GQ4H6 2380536.24 PA USD 2546265.6 0.3795657019 Long ABS-MBS USGSE US N 2 2047-08-01 Floating 4 N N N N N N FNMA POOL BC0884 B1V7KEBTPIMZEU4LTD58 3140EU6W4 408084.01 PA USD 430422.16 0.0641619984 Long ABS-MBS USGSE US N 2 2046-05-01 Floating 3 N N N N N N FNMA POOL AS8269 B1V7KEBTPIMZEU4LTD58 3138WJFK9 2847074.65 PA USD 2994023.85 0.4463119496 Long ABS-MBS USGSE US N 2 2046-11-01 Floating 3 N N N N N N FNMA POOL BL3561 B1V7KEBTPIMZEU4LTD58 3140HU5X0 100000 PA USD 109558.36 0.0163316018 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 2.74 N N N N N N FNMA POOL BH4101 B1V7KEBTPIMZEU4LTD58 3140GSRX2 386759.88 PA USD 409463.69 0.0610377695 Long ABS-MBS USGSE US N 2 2047-10-01 Floating 3.5 N N N N N N FNMA POOL BC1509 B1V7KEBTPIMZEU4LTD58 3140EVVB0 70334.41 PA USD 73964.66 0.0110257343 Long ABS-MBS USGSE US N 2 2046-08-01 Floating 3 N N N N N N FNMA POOL AS8359 B1V7KEBTPIMZEU4LTD58 3138WJJD1 748135.71 PA USD 786750.06 0.1172789432 Long ABS-MBS USGSE US N 2 2046-11-01 Floating 3 N N N N N N FNMA POOL BL3648 B1V7KEBTPIMZEU4LTD58 3140HVBS2 310000 PA USD 344355.25 0.0513322107 Long ABS-MBS USGSE US N 2 2031-08-01 Floating 2.85 N N N N N N FNMA POOL BJ2544 B1V7KEBTPIMZEU4LTD58 3140H3ZJ8 153334.45 PA USD 162542.43 0.0242298099 Long ABS-MBS USGSE US N 2 2037-12-01 Floating 3 N N N N N N FNMA POOL BC2817 B1V7KEBTPIMZEU4LTD58 3140EXDX8 207593.54 PA USD 218308.29 0.0325426928 Long ABS-MBS USGSE US N 2 2046-09-01 Floating 3 N N N N N N FNMA POOL AS9453 B1V7KEBTPIMZEU4LTD58 3138WKQF5 975563.45 PA USD 1054760.67 0.1572306416 Long ABS-MBS USGSE US N 2 2047-04-01 Floating 4 N N N N N N FNMA POOL BL3729 B1V7KEBTPIMZEU4LTD58 3140HVEB6 200000 PA USD 220459.6 0.0328633835 Long ABS-MBS USGSE US N 2 2031-08-01 Floating 2.765 N N N N N N FNMA POOL BJ9930 B1V7KEBTPIMZEU4LTD58 3140HCA89 2620395.72 PA USD 2799548.24 0.4173219372 Long ABS-MBS USGSE US N 2 2048-04-01 Floating 4 N N N N N N FNMA POOL AS9588 B1V7KEBTPIMZEU4LTD58 3138WKUN3 285091.12 PA USD 307878.74 0.0458947449 Long ABS-MBS USGSE US N 2 2047-05-01 Floating 4 N N N N N N FNMA POOL BD8104 B1V7KEBTPIMZEU4LTD58 3140FGAE9 286480.01 PA USD 302698.82 0.0451225866 Long ABS-MBS USGSE US N 2 2046-10-01 Floating 3 N N N N N N FNMA POOL BL3771 B1V7KEBTPIMZEU4LTD58 3140HVFM1 400000 PA USD 441103.84 0.0657542908 Long ABS-MBS USGSE US N 2 2031-08-01 Floating 2.77 N N N N N N FNMA POOL BL0405 B1V7KEBTPIMZEU4LTD58 3140HRNX7 200000 PA USD 231255.88 0.034472759 Long ABS-MBS USGSE US N 2 2028-11-01 Floating 3.64 N N N N N N FNMA POOL AT8394 B1V7KEBTPIMZEU4LTD58 3138WWKG3 43895.72 PA USD 48199.96 0.0071850524 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 4 N N N N N N FNMA POOL BL3774 B1V7KEBTPIMZEU4LTD58 3140HVFQ2 100000 PA USD 110229.8 0.0164316917 Long ABS-MBS USGSE US N 2 2031-08-01 Floating 2.765 N N N N N N FNMA POOL BE0072 B1V7KEBTPIMZEU4LTD58 3140FKCJ7 1262721.65 PA USD 1330263.49 0.1982991858 Long ABS-MBS USGSE US N 2 2046-11-01 Floating 3 N N N N N N FNMA POOL BL2040 B1V7KEBTPIMZEU4LTD58 3140HTHS1 98680.88 PA USD 110932.58 0.0165364535 Long ABS-MBS USGSE US N 2 2029-05-01 Floating 3.19 N N N N N N FNMA POOL BM4750 B1V7KEBTPIMZEU4LTD58 3140J9H46 169567.74 PA USD 181535.42 0.0270610494 Long ABS-MBS USGSE US N 2 2045-02-01 Floating 3.5 N N N N N N FNMA POOL BL3775 B1V7KEBTPIMZEU4LTD58 3140HVFR0 200000 PA USD 220459.6 0.0328633835 Long ABS-MBS USGSE US N 2 2031-08-01 Floating 2.765 N N N N N N FNMA POOL BL2201 B1V7KEBTPIMZEU4LTD58 3140HTNT2 70000 PA USD 79923.6 0.0119140192 Long ABS-MBS USGSE US N 2 2029-05-01 Floating 3.35 N N N N N N FNMA POOL BM4751 B1V7KEBTPIMZEU4LTD58 3140J9H53 811779.09 PA USD 869072.51 0.1295505533 Long ABS-MBS USGSE US N 2 2043-03-01 Floating 3.5 N N N N N N FNMA POOL BF0104 B1V7KEBTPIMZEU4LTD58 3140FXDJ8 132443.19 PA USD 146092.26 0.0217776226 Long ABS-MBS USGSE US N 2 2056-02-01 Floating 4 N N N N N N FNMA POOL BL3776 B1V7KEBTPIMZEU4LTD58 3140HVFS8 100000 PA USD 110229.8 0.0164316917 Long ABS-MBS USGSE US N 2 2031-08-01 Floating 2.765 N N N N N N FNMA POOL BL2225 B1V7KEBTPIMZEU4LTD58 3140HTPK9 100000 PA USD 113813.18 0.0169658576 Long ABS-MBS USGSE US N 2 2029-04-01 Floating 3.3 N N N N N N FNMA POOL BM4897 B1V7KEBTPIMZEU4LTD58 3140J9NP2 1172854.96 PA USD 1255632.25 0.187174086 Long ABS-MBS USGSE US N 2 2046-12-01 Floating 3.5 N N N N N N FNMA POOL BF0141 B1V7KEBTPIMZEU4LTD58 3140FXEP3 679068.38 PA USD 767279.09 0.1143764525 Long ABS-MBS USGSE US N 2 2056-09-01 Floating 5.5 N N N N N N FNMA POOL BL4525 B1V7KEBTPIMZEU4LTD58 3140HWA36 100000 PA USD 106470.38 0.015871284 Long ABS-MBS USGSE US N 2 2031-10-01 Floating 2.24 N N N N N N FNMA POOL BL2431 B1V7KEBTPIMZEU4LTD58 3140HTVZ9 100000 PA USD 114341.79 0.0170446562 Long ABS-MBS USGSE US N 2 2031-05-01 Floating 3.31 N N N N N N FNMA POOL BM5521 B1V7KEBTPIMZEU4LTD58 3140JAD39 1671044.61 PA USD 1780105.5 0.2653560546 Long ABS-MBS USGSE US N 2 2048-07-01 Floating 3.5 N N N N N N FNMA POOL BL5656 B1V7KEBTPIMZEU4LTD58 3140HXJA9 100000 PA USD 106175.34 0.0158273031 Long ABS-MBS USGSE US N 2 2030-02-01 Floating 2.26 N N N N N N FNMA POOL BF0145 B1V7KEBTPIMZEU4LTD58 3140FXET5 2336551.07 PA USD 2531396.3 0.377349171 Long ABS-MBS USGSE US N 2 2057-03-01 Floating 3.5 N N N N N N FNMA POOL BL2454 B1V7KEBTPIMZEU4LTD58 3140HTWQ8 188015.15 PA USD 211272.79 0.0314939277 Long ABS-MBS USGSE US N 2 2029-05-01 Floating 3.16 N N N N N N FNMA POOL BN0341 B1V7KEBTPIMZEU4LTD58 3140JGLX1 322305.36 PA USD 347769.45 0.0518411573 Long ABS-MBS USGSE US N 2 2048-12-01 Floating 5 N N N N N N FNMA POOL BL5742 B1V7KEBTPIMZEU4LTD58 3140HXLY4 100000 PA USD 106611.49 0.0158923189 Long ABS-MBS USGSE US N 2 2032-02-01 Floating 2.32 N N N N N N FNMA POOL BF0148 B1V7KEBTPIMZEU4LTD58 3140FXEW8 3006216.95 PA USD 3351454.51 0.4995932802 Long ABS-MBS USGSE US N 2 2056-04-01 Floating 4.5 N N N N N N FNMA POOL BL2457 B1V7KEBTPIMZEU4LTD58 3140HTWT2 140000 PA USD 158709.45 0.0236584368 Long ABS-MBS USGSE US N 2 2029-05-01 Floating 3.26 N N N N N N FNMA POOL BN5424 B1V7KEBTPIMZEU4LTD58 3140JNA26 2109365.62 PA USD 2233190.87 0.3328964033 Long ABS-MBS USGSE US N 2 2049-04-01 Floating 3.5 N N N N N N FNMA POOL BL5796 B1V7KEBTPIMZEU4LTD58 3140HXNN6 100000 PA USD 106670.6 0.0159011303 Long ABS-MBS USGSE US N 2 2030-02-01 Floating 2.3 N N N N N N FNMA POOL BL2465 B1V7KEBTPIMZEU4LTD58 3140HTW39 250000 PA USD 283023.55 0.0421896413 Long ABS-MBS USGSE US N 2 2029-05-01 Floating 3.24 N N N N N N FNMA POOL BF0183 B1V7KEBTPIMZEU4LTD58 3140FXFZ0 72038.49 PA USD 79462.49 0.0118452827 Long ABS-MBS USGSE US N 2 2057-01-01 Floating 4 N N N N N N FNMA POOL BN7652 B1V7KEBTPIMZEU4LTD58 3140JQQE6 2403389.38 PA USD 2525936.04 0.3765352232 Long ABS-MBS USGSE US N 2 2049-07-01 Floating 3 N N N N N N FNMA POOL BL6083 B1V7KEBTPIMZEU4LTD58 3140HXXM7 100000 PA USD 103772.21 0.0154690743 Long ABS-MBS USGSE US N 2 2030-03-01 Floating 2.06 N N N N N N FNMA POOL BL3152 B1V7KEBTPIMZEU4LTD58 3140HUQE9 100000 PA USD 110894.96 0.0165308455 Long ABS-MBS USGSE US N 2 2031-08-01 Floating 2.84 N N N N N N FNMA POOL BF0191 B1V7KEBTPIMZEU4LTD58 3140FXF98 145988.44 PA USD 160577.21 0.0239368593 Long ABS-MBS USGSE US N 2 2057-06-01 Floating 4 N N N N N N FNMA POOL BN7753 B1V7KEBTPIMZEU4LTD58 3140JQTK9 1379370.85 PA USD 1453152.16 0.2166179049 Long ABS-MBS USGSE US N 2 2049-09-01 Floating 3 N N N N N N FNMA POOL BL6160 B1V7KEBTPIMZEU4LTD58 3140HXZ29 100000 PA USD 103713.55 0.01546033 Long ABS-MBS USGSE US N 2 2030-03-01 Floating 2.06 N N N N N N FNMA POOL BL3413 B1V7KEBTPIMZEU4LTD58 3140HUYK6 100000 PA USD 111742.8 0.016657231 Long ABS-MBS USGSE US N 2 2031-07-01 Floating 2.87 N N N N N N FNMA POOL BO5586 B1V7KEBTPIMZEU4LTD58 3140K1F43 93329.75 PA USD 97942.72 0.0146000862 Long ABS-MBS USGSE US N 2 2049-09-01 Floating 3 N N N N N N FNMA POOL BN9558 B1V7KEBTPIMZEU4LTD58 3140JSTQ2 88437.18 PA USD 92725.42 0.0138223558 Long ABS-MBS USGSE US N 2 2049-07-01 Floating 3 N N N N N N FNMA POOL BM1565 B1V7KEBTPIMZEU4LTD58 3140J5W39 1232406.66 PA USD 1302178.25 0.1941125865 Long ABS-MBS USGSE US N 2 2047-04-01 Floating 3 N N N N N N FNMA POOL BL3522 B1V7KEBTPIMZEU4LTD58 3140HU4G8 70000 PA USD 75457.95 0.0112483355 Long ABS-MBS USGSE US N 2 2029-10-01 Floating 2.52 N N N N N N FNMA POOL BO0955 B1V7KEBTPIMZEU4LTD58 3140JVBZ4 91787.69 PA USD 97213.16 0.0144913324 Long ABS-MBS USGSE US N 2 2049-06-01 Floating 3.5 N N N N N N FNMA POOL BO6985 B1V7KEBTPIMZEU4LTD58 3140K2XP4 197628.34 PA USD 209785.47 0.0312722165 Long ABS-MBS USGSE US N 2 2049-11-01 Floating 3.5 N N N N N N FNMA POOL BM3904 B1V7KEBTPIMZEU4LTD58 3140J8KS1 176413.3 PA USD 190582.57 0.0284096863 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0.1392846735 Long ABS-MBS USGSE US N 2 2049-12-01 Floating 3 N N N N N N FNMA POOL MA0776 B1V7KEBTPIMZEU4LTD58 31417Y2J5 27266.48 PA USD 29818.38 0.0044449543 Long ABS-MBS USGSE US N 2 2031-06-01 Floating 4.5 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 31397RCW4 13184.88 PA USD 101.32 0.0000151035 Long ABS-O USGSE US N 2 2038-01-15 Floating 0.25 N N N N N N FNMA POOL FM2091 B1V7KEBTPIMZEU4LTD58 3140X5KD4 197319.89 PA USD 209704.69 0.0312601748 Long ABS-MBS USGSE US N 2 2049-12-01 Floating 3.5 N N N N N N FNMA POOL MA3238 B1V7KEBTPIMZEU4LTD58 31418CS47 76416.69 PA USD 80902.55 0.012059949 Long ABS-MBS USGSE US N 2 2048-01-01 Floating 3.5 N N N N N N FNMA POOL MA0913 B1V7KEBTPIMZEU4LTD58 31418AAP3 20046.63 PA USD 21922.82 0.0032679822 Long ABS-MBS USGSE US N 2 2031-11-01 Floating 4.5 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 31398W2M5 37806.51 PA USD 8413.98 0.0012542518 Long ABS-O USGSE US N 2 2040-01-15 Floating 5.52537 N N N N N N FNMA POOL FM2173 B1V7KEBTPIMZEU4LTD58 3140X5MX8 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2020-10-21 Fixed 3.375 N N N N N N WASTE MANAGEMENT INC 549300YX8JIID70NFS41 94106LAZ2 90000 PA USD 93487.57 0.0139359677 Long DBT CORP US N 2 2024-05-15 Fixed 3.5 N N N N N N WPX ENERGY INC ZXZE9GCS2BB547GJW219 98212BAG8 30000 PA USD 22050 0.0032869406 Long DBT CORP US N 2 2023-08-01 Fixed 8.25 N N N N N N WPX ENERGY INC ZXZE9GCS2BB547GJW219 98212BAL7 40000 PA USD 21720 0.0032377483 Long DBT CORP US N 2 2030-01-15 Fixed 4.5 N N N N N N WASTE MANAGEMENT INC 549300YX8JIID70NFS41 94106LBH1 140000 PA USD 145671.68 0.0217149277 Long DBT CORP US N 2 2026-06-15 Fixed 3.2 N N N N N N WPX ENERGY INC ZXZE9GCS2BB547GJW219 98212BAJ2 50000 PA USD 27500 0.004099359 Long DBT CORP US N 2 2027-10-15 Fixed 5.25 N N N N N N WYNN RESORTS LIMITED N/A 98313DAC1 906750 PA USD 826275.94 0.1231709713 Long LON CORP US N 1 2024-09-20 Floating 0 N N N N N N ZIGGO FINANCE PARTNERSHIP BV N/A N9833RAJ8 138250 PA USD 129955 0.01937208 Long LON CORP NL N 2 2028-04-30 Floating 0 N N N N N N US BOND FUTR OPTN MAY20P 168 N/A ADI1KH0M3 89 NC USD 29203.13 0.0043532405 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US LONG BOND N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 30-Year Treasury Bond 2020-06-19 -15936562.5 USD 1 USD 168 USD 2020-04-24 XXXX -176185.22 N N N US 10YR FUT OPTN MAY20P 135 N/A ADI1KH9P7 172 NC USD 24187.5 0.0036055726 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 10YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 10-Year Treasury Note 2020-06-19 -23854250 USD 1 USD 135 USD 2020-04-24 XXXX -95813.2 N N N US 5YR FUTR OPTN MAY20P 123 N/A ADI1KQCX6 79 NC USD 4937.5 0.0007360213 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 5-Year Treasury Note 2020-06-19 -9903390.625 USD 1 USD 123 USD 2020-04-24 XXXX -3777.3 N N N US 10YR FUT OPTN MAY20P 136 N/A ADI1KQG12 153 NC USD 33468.75 0.0049891062 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 10YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 10-Year Treasury Note 2020-06-19 -21219187.5 USD 1 USD 136 USD 2020-04-24 XXXX -95545.94 N N N US BOND FUTR OPTN MAY20P 170 N/A ADI1KRQP6 71 NC USD 32172.23 0.0047958371 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US LONG BOND N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 30-Year Treasury Bond 2020-06-19 -12713437.5 USD 1 USD 170 USD 2020-04-24 XXXX -3075.6 N N N US 5YR FUTR OPTN MAY20P 109 N/A ADI1L35V8 235 NC USD 3671.88 0.0005473583 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 5-Year Treasury Note 2020-06-19 -29459453.125 USD 1 USD 109 USD 2020-04-24 XXXX -4078.42 N N N US 5YR FUTR OPTN MAY20P 101 N/A ADI1L4BW7 326 NC USD 2547.04 0.0003796811 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 5-Year Treasury Note 2020-06-19 -40867156.25 USD 1 USD 101 USD 2020-04-24 XXXX -13298.19 N N N US 5YR FUTR OPTN MAY20P 110 N/A ADI1L49K6 4 NC USD 62.5 0.0000093167 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 5-Year Treasury Note 2020-06-19 -501437.5 USD 1 USD 110 USD 2020-04-24 XXXX -69.42 N N N US 5YR FUTR OPTN MAY20P 100 N/A ADI1L4BV9 435 NC USD 3398.66 0.0005066301 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 5-Year Treasury Note 2020-06-19 -54531328.125 USD 1 USD 100 USD 2020-04-24 XXXX -17494.52 N N N US LONG BOND(CBT) JUN20 N/A ADI1FRGV0 258 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Long Bond 2020-06-19 46198125 USD 2914147.41 N N N US 5YR FUTR OPTN MAY20P 107 N/A AEI899922 6 NC USD 93.75 0.0000139751 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 5-Year Treasury Note 2020-06-19 -752156.25 USD 1 USD 107 USD 2020-04-24 XXXX -104.13 N N N US 5YR FUTR OPTN MAY20P 113.5 N/A ADI1KXDD4 166 NC USD 3890.71 0.0005799788 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 5-Year Treasury Note 2020-06-19 -20809656.25 USD 1 USD 113.5 USD 2020-04-24 XXXX -287.18 N N N US ULTRA BOND CBT JUN20 N/A ADI1FRH98 64 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Ultra Long Bond 2020-06-19 14200000 USD 934045.53 N N N US 5YR FUTR OPTN MAY20P 112.5 N/A ADI1KXDX0 388 NC USD 9093.94 0.0013556118 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 5-Year Treasury Note 2020-06-19 -48639437.5 USD 1 USD 112.5 USD 2020-04-24 XXXX -671.24 N N N US 10YR NOTE (CBT)JUN20 N/A ADI1FRQ80 1024 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury 10 Year Note 2020-06-19 142016000 USD 5331452.01 N N N US 10YR FUT OPTN MAY20P 116.5 N/A ADI1KXFD2 450 NC USD 7031.25 0.0010481316 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 10YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 10-Year Treasury Note 2020-06-19 -62409375 USD 1 USD 116.5 USD 2020-04-24 XXXX -7809.75 N N N US 5YR FUTR OPTN MAY20P 111 N/A ADI1L20R4 23 NC USD 359.38 0.0000535719 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 5-Year Treasury Note 2020-06-19 -2883265.625 USD 1 USD 111 USD 2020-04-24 XXXX -399.16 N N N US 5YR FUTR OPTN MAY20P 95 N/A ADI1L4CR7 353 NC USD 2757.99 0.000411127 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 5-Year Treasury Note 2020-06-19 -44251859.375 USD 1 USD 95 USD 2020-04-24 XXXX -19915.2 N N N US 5YR NOTE (CBT) JUN20 N/A ADI1G00H6 1173 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury 5 Year Note 2020-06-30 147046546.88 USD 3665121.1 N N N US 5YR FUTR OPTN MAY20P 108 N/A ADI1L4FC7 92 NC USD 1437.5 0.0002142847 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 5-Year Treasury Note 2020-06-19 -11533062.5 USD 1 USD 108 USD 2020-04-24 XXXX -1596.66 N N N US 2YR NOTE (CBT) JUN20 N/A ADI1G04T6 206 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury 2 Year Note 2020-06-30 45398859.27 USD 387370.07 N N N US BOND FUTR OPTN JUN20P 158 N/A ADI1JHBC5 -292 NC USD -100375 -0.0149626603 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US LONG BOND N/A N/A N/A OU N/A USD N/A N/A US US Long US Treasury 30-Year Treasury Bond 2020-06-19 52286250 USD 1 USD 158 USD 2020-05-22 XXXX 63182.34 N N N US 10YR ULTRA FUT JUN20 N/A ADI1GFMF3 -112 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury 10 Year Ultra Note 2020-06-19 -17475500 USD -1193568.75 N N N US BOND FUTR OPTN JUN20P 160 N/A ADI1JXTQ0 -71 NC USD -28843.75 -0.0042996686 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US LONG BOND N/A N/A N/A OU N/A USD N/A N/A US US Long US Treasury 30-Year Treasury Bond 2020-06-19 12713437.5 USD 1 USD 160 USD 2020-05-22 XXXX 6158.42 N N N US 10YR FUT OPTN JUN20P 128 N/A ADI1K5SC1 -966 NC USD -90562.5 -0.0134999345 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 10YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Long US Treasury 10-Year Treasury Note 2020-06-19 133972125 USD 1 USD 128 USD 2020-05-22 XXXX 54485.07 N N N US 5YR FUTR OPTN MAY20P 124 N/A ADI1KRXV5 -174 NC USD -17671.96 -0.0026343167 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Long US Treasury 5-Year Treasury Note 2020-06-19 21812531.25 USD 1 USD 124 USD 2020-04-24 XXXX 113089.52 N N N US 5YR FUTR OPTN JUN20P 124 N/A ADI1KRXY9 -227 NC USD -49656.25 -0.007402138 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Long US Treasury 5-Year Treasury Note 2020-06-19 28456578.125 USD 1 USD 124 USD 2020-05-22 XXXX 106201.05 N N N US 5YR FUTR OPTN MAY20P 124.2 N/A ADI1KTFZ2 -120 NC USD -15000 -0.002236014 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Long US Treasury 5-Year Treasury Note 2020-06-19 15043125 USD 1 USD 124.25 USD 2020-04-24 XXXX 69847.1 N N N US 5YR FUTR OPTN MAY20P 120 N/A ADI1L33Z1 -158 NC USD -6171.95 -0.0009200378 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Long US Treasury 5-Year Treasury Note 2020-06-19 19806781.25 USD 1 USD 120 USD 2020-04-24 XXXX 2125.1 N N N US 10YR FUT OPTN JUN20P 133 N/A ADI1KK0L8 -306 NC USD -66937.5 -0.0099782125 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 10YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Long US Treasury 10-Year Treasury Note 2020-06-19 42438375 USD 1 USD 133 USD 2020-05-22 XXXX 63923.75 N N N US 5YR FUTR OPTN MAY20P 123.7 N/A ADI1L0R73 -202 NC USD -17359.48 -0.002587736 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Long US Treasury 5-Year Treasury Note 2020-06-19 25322593.75 USD 1 USD 123.75 USD 2020-04-24 XXXX 63259.82 N N N US 5YR FUTR OPTN JUN20P 124.5 N/A ADI1L20C7 -113 NC USD -33546.88 -0.0050007529 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Long US Treasury 5-Year Treasury Note 2020-06-19 14165609.375 USD 1 USD 124.5 USD 2020-05-22 XXXX 19663.88 N N N US 5YR FUTR OPTN JUN20P 124.7 N/A ADI1L1ZX5 -6 NC USD -2109.38 -0.0003144402 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Long US Treasury 5-Year Treasury Note 2020-06-19 752156.25 USD 1 USD 124.75 USD 2020-05-22 XXXX 1942.74 N N N USEUC9810 USD CALL EUR PUT N/A AEI812677 5300000 NC USD 60420 0.0090066644 N/A DFE US N 2 GOLDMAN SACHS & CO. FOR8UP27PHTHYVLBNG30 Call Purchased GOLDMAN SACHS & CO. FOR8UP27PHTHYVLBNG30 5869750 EUR 5300000 USD 2019-04-29 1 USD 1.1075 USD 2020-04-27 XXXX 12720 N N N USEUC9814 USD CALL EUR PUT N/A AEI841528 10670000 NC USD 41613 0.00620315 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 Call Purchased CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 10670000 EUR 11528508.2 USD 2020-04-28 1 USD 1.0846 USD 2020-04-24 XXXX -44067.1 N N N USMXC0133 USD C MXN P 20.94 N/A AEI873851 -8170000 NC USD -1058832 -0.157837545 N/A DFE US N 2 GOLDMAN SACHS & CO. FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. FOR8UP27PHTHYVLBNG30 8170000 USD 171079800 MXN 2020-06-04 1 USD 20.94 USD 2020-06-02 XXXX -967654.8 N N N USMXP0234 USD P MXN C 24.149 N/A AEI903526 -3211419 NC USD -143229.29 -0.0213508465 N/A DFE US N 2 GOLDMAN SACHS & CO. FOR8UP27PHTHYVLBNG30 Put Written GOLDMAN SACHS & CO. FOR8UP27PHTHYVLBNG30 3211419 USD 77552557.431 MXN 2020-04-27 1 USD 24.149 USD 2020-04-23 XXXX -79511.53 N N N USEUC9813 USD CALL EUR PUT N/A AEI836122 11910000 NC USD 39303 0.0058588039 N/A DFE US N 2 GOLDMAN SACHS & CO. FOR8UP27PHTHYVLBNG30 Call Purchased GOLDMAN SACHS & CO. FOR8UP27PHTHYVLBNG30 11910000 EUR 12967608 USD 2020-04-17 1 USD 1.0888 USD 2020-04-15 XXXX -54666.9 N N N USMXP0227 USD P MXN C 19.32 N/A AEI873786 8170000 NC USD 5719 0.0008525176 N/A DFE US N 2 GOLDMAN SACHS & CO. FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. FOR8UP27PHTHYVLBNG30 8170000 USD 157844400 MXN 2020-06-04 1 USD 19.32 USD 2020-06-02 XXXX -85458.2 N N N US 10YR FUT OPTN JUN20C 134 N/A ADI1JH995 -264 NC USD -1311750 -0.1955394243 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 10YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 10-Year Treasury Note 2020-06-19 -36613500 USD 1 USD 134 USD 2020-05-22 XXXX -1232925.46 N N N US 10YR FUT OPTN MAY20C 137 N/A ADI1KGGX4 -183 NC USD -374578.13 -0.0558374628 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 10YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 10-Year Treasury Note 2020-06-19 -25379812.5 USD 1 USD 137 USD 2020-04-24 XXXX -286254.09 N N N US 10YR FUT OPTN MAY20C 141 N/A ADI1KTHQ0 -172 NC USD -43000 -0.0064099068 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 10YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 10-Year Treasury Note 2020-06-19 -23854250 USD 1 USD 141 USD 2020-04-24 XXXX 84327.44 N N N US 10YR FUT OPTN JUN20C 139.5 N/A ADI1KSLH7 -183 NC USD -171562.5 -0.0255744101 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 10YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 10-Year Treasury Note 2020-06-19 -25379812.5 USD 1 USD 139.5 USD 2020-05-22 XXXX 65230.29 N N N US 10YR FUT OPTN JUN20C 140.5 N/A ADI1KX0M8 -146 NC USD -91250 -0.0136024185 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 10YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 10-Year Treasury Note 2020-06-19 -20248375 USD 1 USD 140.5 USD 2020-05-22 XXXX 37028.67 N N N US BOND FUTR OPTN MAY20C 188 N/A ADI1L7N72 -89 NC USD -44500 -0.0066335082 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US LONG BOND N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 30-Year Treasury Bond 2020-06-19 -15936562.5 USD 1 USD 188 USD 2020-04-24 XXXX 164799.16 N N N US 2YR FUTR OPTN MAY20P 85 N/A ADI1L9H18 206 NC USD 206 0.0000307079 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 2YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 2-Year Treasury Note 2020-06-19 -45398859.375 USD 1 USD 85 USD 2020-04-24 XXXX -13025.38 N N N US 5YR FUTR OPTN MAY20P 105 N/A ADI1L9WD5 82 NC USD 1281.25 0.0001909929 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 FUT US 5YR TSY NOTE N/A N/A N/A OU N/A USD N/A N/A US US Short US Treasury 5-Year Treasury Note 2020-06-19 -10279468.75 USD 1 USD 105 USD 2020-04-24 XXXX -1423.11 N N N 2020-05-20 MASSMUTUAL SELECT FUNDS /s/ Renee Hitchcock Renee Hitchcock Treasurer and CFO