Multi-Asset Absolute Return Fund (Class Y) (PDMYX)

Seeks positive returns with a similar level of volatility

Clients in this fund

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Manager commentary: Fund gains, global assets retreat amid heightened uncertainty

Multi-Asset Absolute Return Fund (PDMYX)

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Highlights

Objective

The fund seeks positive total return.

Strategy and process

Pursuing positive returnsThe fund seeks positive returns with a similar level of volatility over a full market cycle.
Global flexibilityThe strategy dynamically combines efficient beta and uncorrelated alpha strategies to create a well-diversified portfolio.
Diversification potentialLess influenced by traditional market risks, the fund can be an effective choice to improve portfolio efficiency.

Fund price and assets	Yesterday’s close	52-week high	52-week low	Net assets and outstanding shares
Net asset value	$10.44 0.10% \| $0.01	$10.76 06/07/22	$10.32 01/25/22	Download CSV

Net assets and outstanding shares

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Historical fund price

Consistency of positive performance over five years

	85%
	15%

Performance represents 5-year returns in rolling quarter-end periods since inception.

Dots represent 5-year returns in rolling quarter-end periods since inception.

29
positive 5-year periods

5
negative 5-year periods

Performance shown does not reflect the effects of any sales charges. Click on the dots to see specific returns in each five-year period as of the date revealed. Note that returns of 0.00% are counted as positive periods. For complete fund performance, please click on the performance tab.

6.77%

Best 5-year annualized return

(for period ending 03/31/14)

-0.60%

Worst 5-year annualized return

(for period ending 03/31/22)

2.93%

Average 5-year annualized return

Fund facts as of 02/28/22

Total net assets
$599.56M

Turnover (fiscal year end)
1,040%

Dividend frequency
Annually

Number of holdings
545

Fiscal year-end
October

CUSIP / Fund code
746764257 / 1861

Inception date
12/23/08

Category
Absolute Return

Open to new investors

Ticker
PDMYX

Management team

Years at Putnam Years in industry

Robert J. Schoen

Co-Chief Investment Officer, Global Asset Allocation

Years at Putnam

Years in industry

See profile

Brett S. Goldstein, CFA

Co-Chief Investment Officer, Global Asset Allocation

Years at Putnam

Years in industry

See profile

Adrian H. Chan, CFA

Portfolio Manager

Years at Putnam

Years in industry

See profile

James A. Fetch

Head of Portfolio Construction

Years at Putnam

Years in industry

See profile

Literature

Fund documents
Fact Sheet (YA share) (PDF)	order
Summary Prospectus (PDF)	order
Statement of Additional Information (SAI) (PDF)
Statutory Prospectus (PDF)	order
Annual Report (PDF)	order
Semiannual Report (PDF)	order
Proxy voting results (Form N-PX) (PDF)
Quarterly commentary (PDF)
Quarterly comparison of Putnam's alternative funds (PDF)
Alternatives in action: A guide to strategies for portfolio diversification (PDF)
Improving portfolio efficiency with multi-asset absolute return strategies (PDF)

The end of the Great Moderation

Russia's invasion of Ukraine may stop the string of more moderate business cycles since 1982 and raise the risk of recession.

Performance

Total return (%) as of 03/31/22
Annual performance as of 03/31/22

Annual Cumulative

Annualized Total return (%) as of 03/31/22

Annualized performance	1 yr.	3 yrs.	5 yrs.	10 yrs.
Before sales charge	4.24%	-1.60%	-0.60%	1.56%
After sales charge	N/A	N/A	N/A	N/A
ICE BofA U.S. Treasury Bill Index	0.00%	0.82%	1.14%	0.65%

Cumulative Total return (%) as of 03/31/22

Cumulative performance	1 yr.	3 yrs.	5 yrs.	10 yrs.
Before sales charge	4.24%	-4.73%	-2.95%	16.78%
After sales charge	N/A	N/A	N/A	N/A

Annual performance as of 03/31/22

	2012	2013	2014	2015	2016	2017	2018	2019	2020	2021
Before sales charge	7.91%	6.21%	6.24%	-1.42%	2.98%	10.09%	-9.04%	5.68%	-7.58%	1.38%
ICE BofA U.S. Treasury Bill Index	0.12%	0.09%	0.06%	0.09%	0.37%	0.81%	1.88%	2.35%	0.74%	0.05%

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. The "before sales charge" performance does not reflect the current maximum sales charges, which we explain below. If performance did reflect the charges, it would be lower. The "after sales charge" performance (or returns at public offering price) varies by share class and fund. For class A and class M shares, the current maximum initial sales charges are 5.75% and 3.50% for equity funds and 4.00% and 3.25% for income funds, respectively (with these exceptions: 2.25% for class A of Putnam Floating Rate Income Fund, Short-Term Municipal Income, Short Duration Bond Fund, and Fixed Income Absolute Return Fund). Class B share performance reflects the applicable contingent deferred sales charge (CDSC), which is 5% in the first year, declines to 1% in the sixth year, and is eliminated thereafter (except for Putnam Floating Rate Income Fund, Putnam Short Duration Bond Fund, and Putnam Fixed Income Absolute Return Fund; for these funds, the CDSC is 1% in the first year, declines to 0.5% in the second year, and is eliminated thereafter). Class C share performance reflects a 1% CDSC the first year that is eliminated thereafter. Performance for class B, C, M, N, R, and Y shares prior to their inception is derived from the historical performance of class A shares by adjusting for the applicable sales charge (or CDSC) and, except for class Y shares, the higher operating expenses for such shares (note, for two funds — Putnam Tax-Free High Yield Fund and Putnam Strategic Intermediate Municipal Fund performance prior to inception is based on the historical performance of class B shares). Performance for class A, C, R6, and Y shares of Putnam Mortgage Opportunities Fund before their inception is derived from the historical performance of class I shares, which has been adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares. The "after sales charge" performance (at public offering price) for class N shares reflects the current maximum initial sales charge of 1.50%. Class R, R3, R4, R5, and R6 shares, which are available to qualified employee-benefit plans only, are sold without an initial sales charge and have no CDSC. Class Y shares are generally only available for corporate and institutional clients and have no initial sales charge. Performance for class R3 and R4 shares prior to their inception is derived from the historical performance of class Y shares by adjusting for the higher operating expenses for such shares. Performance for class R5 shares before their inception is derived from the historical performance of class Y shares, which has not been adjusted for the lower expenses; had it been adjusted, performance would be higher (with the exception of the RetirementReady Maturity, 2025, 2030, 2035, and 2040 Funds, for which performance is derived from the historical performance of class R6 shares and has been adjusted for the higher operating expenses for such shares; and the RetirementReady 2045, 2050, 2055, and 2060 Funds, for which performance is derived from the historical performance of class R6 shares and has not been adjusted for the lower expenses; had it been adjusted, performance would be higher). Performance for class R6 shares before their inception is derived from the historical performance of class Y shares, which has not been adjusted for the lower operating expenses; had it been adjusted, performance would be higher. For a portion of the period, some funds had expenses limitations or had been sold on a limited basis with limited assets and expenses. Had these limits not been in place, performance would be lower.

Performance snapshot

	Before sales charge	After sales charge
1 mt. as of 05/31/22	1.14%	-
YTD as of 06/28/22	0.19%	-

Volatility as of 02/28/22

Standard deviation (3 yrs.)	4.91%

Fixed income statistics as of 02/28/22

Average effective duration	3.13 yrs.

Morningstar Ratings^™ as of 05/31/22

Time period	Funds in category	Morningstar Rating^™
Overall	87
3 yrs.	87
5 yrs.	87
10 yrs.	39

Morningstar category: Macro Trading

Distributions

Record/Ex dividend date	12/16/21
Payable date	12/20/21
Income	$0.09
Extra income	--
Short-term cap. gain	--
Long-term cap. gain	$0.125

Lipper rankings are based on total return without sales charge relative to all share classes of funds with similar objectives as determined by Lipper. Past performance is not indicative of future results.

The Morningstar Rating^TM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.

The up-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen. The ratio is calculated by dividing the manager’s returns by the returns of the index during the up-market, and multiplying that factor by 100. The down-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has dropped. The ratio is calculated by dividing the manager’s returns by the returns of the index during the down-market and multiplying that factor by 100.

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** FundVisualizer comparison based on Putnam fund versus the largest fund in its Morningstar category.

Holdings

Top 10 holdings as of 02/28/22

Fnma Fn30 Tba Umbs 03.5000 03/01/2052	4.81%
Fnma Fn30 Tba Umbs 04.0000 03/01/2052	4.00%
Energy Select Sector Spdr Sedol 2402466	3.34%
Citi Cross-Asset Trend 10% Vol Index	2.73%
Citi Commod F3-F0 4x Levered Index	1.68%
Financial Select Sector Spdr Sedol 2364038	1.57%
Sp Gsci Light Energy	1.56%
Consumer Staples Spdr Sedol 2369389	1.54%
Baml Commodity Mlbx4sx6 Er Strategy	1.51%
Health Care Select Sector Sedol 2371823	1.46%
Top 10 holdings, percent of portfolio	24.20%

Prior top 10 holdings

Top 10 holdings as of 02/28/22
Fnma Fn30 Tba Umbs 03.5000 03/01/2052
Fnma Fn30 Tba Umbs 04.0000 03/01/2052
Energy Select Sector Spdr Sedol 2402466
Citi Cross-Asset Trend 10% Vol Index
Citi Commod F3-F0 4x Levered Index
Financial Select Sector Spdr Sedol 2364038
Sp Gsci Light Energy
Consumer Staples Spdr Sedol 2369389
Baml Commodity Mlbx4sx6 Er Strategy
Health Care Select Sector Sedol 2371823
Holdings represent 24.20% of portfolio

Top 10 holdings as of 01/31/22
Fnma Fn30 Tba Umbs 04.0000 02/01/2052
Energy Select Sector Spdr Sedol 2402466
Citi Cross-Asset Trend 10% Vol Index
Citi Commod F3-F0 4x Levered Index
Baml Commodity Mlbx4sx6 Er Strategy
Fnma Fn30 Tba Umbs 03.5000 03/01/2052
Fnma Fn30 Tba Umbs 03.5000 02/01/2052
S&P Gsci Light Energy Er
Financial Select Sector Spdr Sedol 2364038
Real Estate Select Sect Spdr Sedol Byz65y9
Holdings represent 22.72% of portfolio

Top 10 holdings as of 12/31/21
Fnma Fn30 Tba Umbs 04.0000 01/01/2052
Energy Select Sector Spdr Sedol 2402466
Financial Select Sector Spdr Sedol 2364038
Citi Cross-Asset Trend 10% Vol Index
Citi Commod F3-F0 4x Levered Index
Baml Commodity Mlbx4sx6 Er Strategy
Fnma Fn30 Tba Umbs 03.5000 02/01/2052
Health Care Select Sector Sedol 2371823
Fnma Fn30 Tba Umbs 03.5000 01/01/2052
Real Estate Select Sect Spdr Sedol Byz65y9
Holdings represent 25.30% of portfolio

Top 10 holdings as of 11/30/21
Fnma Fn30 Tba Umbs 03.5000 12/01/2051
Fnma Fn30 Tba Umbs 04.0000 01/01/2052
Energy Select Sector Spdr Sedol 2402466
Financial Select Sector Spdr Sedol 2364038
Citi Cross-Asset Trend 10% Vol Index
Citi Commod F3-F0 4x Levered Index
Baml Commodity Mlbx4sx6 Er Strategy
Health Care Select Sector Sedol 2371823
Comm Serv Select Sector Spdr Sedol Bfxhc51
S&P Gsci Light Energy Er
Holdings represent 36.95% of portfolio

Full portfolio

US 10YR NOTE (CBT)SEP22 TYU2	34.74%
UBSPUSER R SOFR P 05/22/23 UB	32.37%
GSGLPWDL R SOFR P 12/15/25 GS	32.17%
MLFCF15 R SOFR P 04/27/23 BA	21.90%
REPO TRIPA MORTG 0.78 06/01/2022	14.65%
REPO TRIPA MORTG 0.81 06/01/2022	14.65%
REPO TRIPA MORTG 0.8 06/01/2022	14.62%
BEFSBAXD R 0.1 P 05/26/23 BC	7.99%
GSVIUS85 R 0.45 P 12/15/25 GS	5.12%
JPCMPTFL R SOFR P 05/12/23 JP	4.54%
GSVIVV69 R 0.3 P 12/15/25 GS	4.00%
FNMA FN30 TBA UMBS 04.5000 07/01/2052	3.71%
FNMA FN30 TBA UMBS 04.5000 06/01/2052	3.55%
ENERGY SELECT SECTOR SPDR SEDOL 2402466	3.49%
FNMA FN30 TBA UMBS 04.0000 06/01/2052	2.49%
S&P500 EMINI FUT JUN22 ESM2	2.06%
TREASURY BILL 00.0000 06/21/2022	1.99%
TREASURY BILL 00.0000 06/23/2022	1.99%
TREASURY BILL 00.0000 07/19/2022	1.99%
TREASURY BILL 00.0000 07/21/2022	1.99%
TREASURY BILL 00.0000 07/26/2022	1.99%
SP GSCI LIGHT ENERGY	1.98%
CITI COMMOD F3-F0 4X LEVERED INDEX	1.78%
GSVIVVOL R 0.3 P 12/15/25 GS	1.70%
FNMA FN30 TBA UMBS 03.5000 07/01/2052	1.62%
BAML COMMODITY MLBX4SX6 ER STRATEGY	1.58%
GSVICUB3 R 0.45 P 12/15/25 GS	1.54%
REAL ESTATE SELECT SECT SPDR SEDOL BYZ65Y9	1.53%
MATERIALS SELECT SECTOR SPDR SEDOL 2436841	1.50%
FINANCIAL SELECT SECTOR SPDR SEDOL 2364038	1.42%
CONSUMER STAPLES SPDR SEDOL 2369389	1.36%
S&P GSCI ER INDEX	1.16%
CITI CROSS-ASSET TREND 10% VOL INDEX	1.07%
TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382	1.03%
SAMSUNG ELECTRONICS CO LTD SEDOL 6771720	0.89%
FNMA FN30 TBA UMBS 03.0000 07/01/2052	0.79%
FNMA FN30 TBA UMBS 05.0000 07/01/2052	0.68%
ATLANTIC ASSET SECURITIZATION 04821UFN7 DCP 06/22/2022	0.50%
LLOYDS BANK PLC 53943SFE2 DCP 06/14/2022	0.50%
MIZUHO BANK LTD/NEW YORK NY 60689GFE1 DCP 06/14/2022	0.50%
NATIONWIDE BUILDING SOCIETY 6385E1FN6 DCP 06/22/2022	0.50%
PRUDENTIAL PLC 7443M3FP4 DCP 06/23/2022	0.50%
SOCIETE GENERALE SA 83369CFQ2 DCP 06/24/2022	0.50%
CHARIOT FUNDING LLC 15963UGL4 DCP 07/20/2022	0.50%
ALIBABA GROUP HOLDING LTD SEDOL BK6YZP5	0.46%
CAS 2016-C02 1B 13.2557 09/25/2028	0.42%
MATCHPOINT FINANCE PLC 57666BHH6 DCP 08/17/2022	0.41%
VALE SA-SP ADR SEDOL 2857334	0.40%
TENCENT HOLDINGS LTD SEDOL BMMV2K8	0.36%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP	0.34%
INFOSYS LTD SEDOL 6205122	0.33%
MSBAM 2013-C10 D 144A 04.0737 07/15/2046	0.30%
JD.COM INC - CL A SEDOL BKPQZT6	0.30%
TATA CONSULTANCY SVS LTD SEDOL B01NPJ1	0.30%
KB FINANCIAL GROUP INC SEDOL B3DF0Y6	0.28%
KIA CORP SEDOL 6490928	0.27%
CTBC FINANCIAL HOLDING CO LT SEDOL 6527666	0.27%
HANA FINANCIAL GROUP SEDOL B0RNRF5	0.26%
CHINA SHENHUA ENERGY CO-H SEDOL B09N7M0	0.26%
HAIER SMART HOME CO LTD-H SEDOL BLD4QD0	0.25%
EVERGREEN MARINE CORP LTD SEDOL 6324500	0.25%
ZHONGSHENG GROUP HOLDINGS SEDOL B633D97	0.25%
CSPC PHARMACEUTICAL GROUP LT SEDOL 6191997	0.25%
AGRICULTURAL BANK OF CHINA-H SEDOL B60LZR6	0.25%
ITAUSA SA SEDOL 2458771	0.25%
ENN NATURAL GAS CO 144A/REGS WARRANT 10/21/2022	0.24%
BF0101 03.5000 06/01/2056	0.24%
SIPCHEM AB R SOFR P 06/30/23 BA	0.24%
WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3	0.24%
LENOVO GROUP LTD SEDOL 6218089	0.24%
CENCOSUD SA SEDOL B00R3L2	0.24%
EMBOTELLADORAS ARCA SA-NOM SEDOL 2823885	0.24%
ADVANCED INFO SERVICE-FOR RG SEDOL 6412591	0.23%
PAGE INDUSTRIES LTD SEDOL B1VJS64	0.23%
HONG LEONG BANK BERHAD SEDOL 6436892	0.23%
ASIAN PAINTS LTD SEDOL BCRWL65	0.23%
PING AN INSURANCE GROUP CO-H SEDOL B01FLR7	0.22%
BANCO BRADESCO SA-PREF SEDOL B00FM53	0.22%
STACR 2016-DNA1 B 11.0057 07/25/2028	0.22%
CHINA DEVELOPMENT FINANCIAL SEDOL 6431756	0.22%
CPFL ENERGIA SA SEDOL B031NN3	0.21%
BANK OF JIANGSU CO LTD 144A/REGS WARRANT 09/28/2022	0.21%
ASTRA INTERNATIONAL TBK PT SEDOL B800MQ5	0.20%
SOUTHERN COPPER CORP SEDOL 2823777	0.20%
IVORY COAST REGS 06.1250 06/15/2033	0.20%
VEDANTA LTD SEDOL 6136040	0.19%
LG INNOTEK CO LTD SEDOL B39Z8G8	0.19%
SHENZHEN MINDRAY BIO-MEDICAL ELEC CO 144A/REGS WARRANT 12/07	0.19%
JPMCC 2012-C6 G 144A 02.9720 05/15/2045	0.18%
JPMBB 2013-C14 E 144A 04.5477 08/15/2046	0.18%
SUN PHARMA INDUS SEDOL 6582483	0.18%
KOC HLDG SEDOL B03MVJ8	0.18%
NOVATEK MICROELECTRONICS COR SEDOL 6346333	0.18%
TREASURY BILL 00.0000 06/02/2022	0.18%
SAMSUNG ELECTRO-MECHANICS CO SEDOL 6771689	0.18%
CHINA INTL CAPITA-H SEDOL BZ169C6	0.17%
FNMA FN30 TBA UMBS 05.5000 06/01/2052	0.17%
REPUBLIC OF INDONESIA REGS 05.8750 01/15/2024	0.17%
SHRP 2020-1 NOTE 03.0253 07/25/2024	0.17%
KUAISHOU TECHNOLOGY 144A SEDOL BLC90T0	0.16%
CATHAY FINANCIAL HOLDING CO SEDOL 6425663	0.16%
CHONGQING ZHIFEI BIOLOGICA-A 144A/REGS WARRANT 06/30/2023	0.16%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP	0.16%
FHR 5082 IQ IO 03.0000 03/25/2051	0.15%
INDO TAMBANGRAYA MEGAH TBK P SEDOL B29SK75	0.14%
FHR 5125 MI IO 04.5000 11/25/2048	0.14%
FHS 315 PO PO 00.0000 09/15/2043	0.13%
COSCO SHIPPING HOLDINGS CO-H SEDOL B0B8Z18	0.13%
MRAIT 2020-2 A2 02.0000 08/15/2022	0.13%
FHR 5010 IE IO 04.0000 09/25/2050	0.13%
2.325 R ISWP FWD CDOR03 P 06/15/2032	0.13%
FHR 4976 MI IO 04.5000 05/25/2050	0.13%
FNR 2021-17 KI IO 04.5000 04/25/2051	0.13%
GNR 2021-78 IP IO 03.0000 05/20/2051	0.13%
FNR 2020-99 IB IO 03.5000 05/25/2050	0.12%
JPMBB 2014-C18 D 144A 04.7879 02/15/2047	0.12%
CAS 2015-C04 1M2 06.7057 04/25/2028	0.12%
ANGLO AMERICAN PLATINUM LTD SEDOL 6761000	0.12%
JPMCC 2012-C6 F 144A 04.9813 05/15/2045	0.12%
CHINA YONGDA AUTOMOBILES SER SEDOL B8F2T65	0.12%
FNR 2017-8 SB IO 05.0943 02/25/2047	0.12%
FNR 2020-93 WI IO 05.0000 06/25/2050	0.12%
GSMS 2014-GC24 D 144A 04.5326 09/10/2047	0.12%
REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033	0.12%
FNR 2021-56 IL IO 03.0000 03/25/2051	0.12%
FHR 5128 IE IO 04.5000 07/25/2051	0.12%
TURKCELL ILETISI SEDOL B03MYN3	0.11%
GNR 2015-H20 CI IO 01.6691 08/20/2065	0.11%
GNR 2020-186 DI IO 03.0000 12/20/2050	0.11%
HAITIAN INTERNATIONAL HLDGS SEDOL B1L2RC2	0.11%
2.67 R ISWP FWD AUDBB6M P 06/15/2032	0.11%
FNMA FN30 AL6919 UMBS 05.5000 01/01/2038	0.11%
MSC 2006-HQ10 B 05.4480 11/12/2041	0.11%
FHR 5043 IO IO 05.0000 11/25/2050	0.11%
FNR 2021-25 IJ IO 03.5000 05/25/2051	0.11%
1.497 R ISWP FWD SES3M P 06/15/2032	0.11%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG	0.11%
GNR 2015-H10 CI IO 01.7960 04/20/2065	0.11%
UNITED MICROELECTRONICS CORP SEDOL 6916628	0.11%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS	0.10%
SUN TV NETWORK LTD SEDOL B128WL3	0.10%
WFRBS 2011-C4 F 144A 05.0000 06/15/2044	0.10%
GNR 2021-209 TG IO 04.5000 11/20/2051	0.10%
GNR 2016-H02 BI IO 01.5297 11/20/2065	0.10%
HELLENIC TELECOMMUN ORGANIZA SEDOL 5051605	0.10%
BSCMS 2005-PWR7 C 05.2227 02/11/2041	0.10%
FNR 2017-74 SA IO 04.7443 10/25/2047	0.10%
CHINA MINSHENG BANKING COR-H SEDOL B57JY24	0.10%
BSCMS 2005-PWR7 D 05.2227 02/11/2041	0.09%
FHR 3852 NT 05.1253 05/15/2041	0.09%
FNR 2021-44 NI IO 03.0000 07/25/2051	0.09%
SPST 2021-10 A 01.7236 08/08/2022	0.09%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS	0.09%
SAMI 2007-AR1 2A1 01.1857 01/25/2037	0.09%
FNR 2019-49 ST IO 05.0143 09/25/2049	0.09%
FNR 2021-3 NI IO 02.5000 02/25/2051	0.09%
CHINA FEIHE LTD SEDOL BK0SBL1	0.09%
FHR 5119 IB IO 03.0000 06/25/2041	0.09%
FNR 2021-67 IG IO 03.0000 10/25/2051	0.09%
GNR 2020-112 MS IO 05.3727 08/20/2050	0.09%
SPST 2021-16 A1 01.5936 11/07/2022	0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS	0.09%
GNR 2015-H19 NI IO 01.8963 07/20/2065	0.09%
FNR 2015-28 IO IO 05.5000 05/25/2045	0.08%
FNR 2020-62 CI IO 04.0000 06/25/2048	0.08%
CAS 2022-R02 2M2 03.5845 01/25/2042	0.08%
CHEIL WORLDWIDE INC SEDOL 6093231	0.08%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.08%
CMLTI 2007-AMC3 A2D 01.3557 03/25/2037	0.08%
MARUTI SUZUKI INDIA LTD SEDOL 6633712	0.08%
SPST 2022-2 A1 01.5760 05/25/2023	0.08%
SPST 2022-3 A1 02.1724 05/29/2023	0.08%
FHR 5018 QI IO 05.0000 10/25/2050	0.08%
GNR 2015-53 MI IO 04.0000 04/16/2045	0.08%
FHR 5060 EI IO 03.5000 01/25/2051	0.08%
1.85 R ISWP FWD SOFR P 06/15/2027	0.08%
FNR 2021-15 JI IO 04.5000 04/25/2051	0.08%
WFCM 2013-LC12 D 144A 04.3040 07/15/2046	0.08%
CAS 2017-C06 2B1 05.4557 02/25/2030	0.08%
GNR 2015-H15 JI IO 01.9443 06/20/2065	0.08%
GNR 2015-H25 AI IO 01.5999 09/20/2065	0.08%
REPUBLIC OF GHANA REGS 08.1250 01/18/2026	0.08%
EEC AB R SOFR P 06/30/23 BA	0.08%
FHR 5160 IW IO 03.0000 10/25/2050	0.08%
GNR 2020-167 PI IO 03.5000 11/20/2050	0.08%
INNER MONGOLIA YUAN XING-A 144A/REGS WARRANT 06/30/2023	0.08%
MULTICHOICE GROUP LTD SEDOL BHZSKR4	0.07%
GNR 2015-H25 BI IO 01.5706 10/20/2065	0.07%
GNR 2015-H09 BI IO 01.6605 03/20/2065	0.07%
GNR 2016-150 I IO 05.0000 11/20/2046	0.07%
MSC 2011-C3 G 144A 05.0847 07/15/2049	0.07%
TREASURY BILL 00.0000 06/16/2022	0.07%
WFRBS 2013-C15 D 144A 04.5038 08/15/2046	0.07%
GNR 2015-H16 XI IO 01.7703 07/20/2065	0.06%
LG ELECTRONICS INC SEDOL 6520739	0.06%
NORTHAM PLATINUM HOLDINGS LT SEDOL BMZ1NS0	0.06%
FNR 2016-3 NI IO 06.0000 02/25/2046	0.06%
GNR 2015-80 IA IO 04.5000 06/20/2045	0.06%
MARFRIG GLOBAL FOODS SA SEDOL B1YWHR4	0.06%
CHINA CONSTRUCTION BANK-H SEDOL B0LMTQ3	0.06%
WALMART DE MEXICO SAB DE CV SEDOL BW1YVH8	0.06%
PETROLEOS MEXICANOS USD 06.7000 02/16/2032	0.06%
ROMANIA P/P 144A 03.6250 03/27/2032	0.06%
GNR 2015-H25 EI IO 01.8356 10/20/2065	0.06%
WBCMT 2005-C21 E 144A 05.1040 10/15/2044	0.06%
CAS 2017-C05 1B1 04.6057 01/25/2030	0.06%
GNR 2014-H21 AI IO 01.2976 10/20/2064	0.06%
GNR 2015-H26 EI IO 01.7123 10/20/2065	0.06%
1.285 R ISWP SOFRRATE P 12/23/2031	0.06%
FNR 2011-4 CS 10.8886 05/25/2040	0.06%
SHAANXI COAL INDUSTRY 144A/REGS WARRANT 07/29/2022	0.06%
UNITED MEXICAN STATES USD 02.6590 05/24/2031	0.06%
FHR 4727 SA IO 05.3253 11/15/2047	0.05%
FNR 2012-124 UI IO 04.0000 11/25/2042	0.05%
FNR 2018-58 IO IO 05.5000 08/25/2048	0.05%
INTL CONTAINER TERM SVCS INC SEDOL 6455819	0.05%
FNR 2022-13 IO IO 02.5000 12/25/2051	0.05%
GNR 2010-9 UI IO 05.0000 01/20/2040	0.05%
IHEARTMEDIA INC - CLASS A SEDOL BJVR9Y9	0.05%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026	0.05%
TISCO FINANCIAL-FOREIGN SEDOL B3KFW76	0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS	0.05%
CIPLA LTD SEDOL B011108	0.05%
CAS 2017-C03 1B1 05.8557 10/25/2029	0.05%
COMM 2014-CR17 D 144A 04.8472 05/10/2047	0.05%
FNMA FN30 AB7936 UMBS 03.0000 02/01/2043	0.05%
COMM 2012-LC4 E 144A 04.2500 12/10/2044	0.05%
GNR 2014-104 IO IO 04.0000 03/20/2042	0.04%
FHLMC FR30 ZA4291 UMBS 03.5000 08/01/2043	0.04%
GNR 2016-H03 AI IO 01.6497 01/20/2066	0.04%
UNITED TRACTORS TBK PT SEDOL 6230845	0.04%
FNMA FN30 AU1625 UMBS 03.5000 07/01/2043	0.04%
FNMA FN30 AR6852 UMBS 03.0000 02/01/2043	0.04%
GNR 2016-H23 NI IO 01.9703 10/20/2066	0.04%
IHS HOLDING LTD REGS 06.2500 11/29/2028	0.04%
KT CORP SEDOL 6505316	0.04%
GNR 2009-121 UI IO 05.0000 12/20/2039	0.04%
GNR 2017-H02 BI IO 02.3581 01/20/2067	0.04%
GNR 2014-76 IO IO 05.0000 05/20/2044	0.04%
GNR 2015-H09 AI IO 01.8733 04/20/2065	0.04%
COMM 2012-CR3 F 144A 04.7500 10/15/2045	0.04%
GNR 2018-91 SJ IO 05.3227 07/20/2048	0.04%
JPMCC 2013-LC11 E 144A 03.2500 04/15/2046	0.04%
GRUPO BIMBO SAB- SERIES A SEDOL 2392471	0.04%
FNMA FN30 AO5471 UMBS 03.5000 06/01/2042	0.04%
GNR 2018-127 IC IO 05.0000 10/20/2044	0.04%
RJHI AB R SOFRRATE P 06/20/23 BA	0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML	0.03%
COCA-COLA ICECEK AS SEDOL B058ZV4	0.03%
FHLMC FR30 ZA4202 UMBS 03.0000 03/01/2043	0.03%
2.181 R ISWP SOFR P 04/06/2032	0.03%
AMBEV SA SEDOL BG7ZWY7	0.03%
GNR 2015-167 BI IO 04.5000 04/16/2045	0.03%
GNR 2015-H26 DI IO 01.5681 10/20/2065	0.03%
INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979	0.03%
ITAU UNIBANCO/KY P/P 144A 03.8750 04/15/2031	0.03%
MWST 2021-2 F 05.7557 04/25/2055	0.03%
DOMINICAN REPUBLIC REGS 06.8750 01/29/2026	0.03%
GNR 2015-187 JI IO 04.0000 03/20/2045	0.03%
AHM 2007-1 GA1C 01.1957 05/25/2047	0.03%
FHR 4193 PI IO 04.0000 03/15/2043	0.03%
REP OF COTE D'IVOIRE P/P 144A 05.2500 03/22/2030	0.03%
SHIN KONG FINANCIAL HOLDING SEDOL 6452586	0.03%
SPST 2021-14 A1 01.6736 12/08/2022	0.03%
ARAB REPUBLIC OF EGYPT REGS 07.6003 03/01/2029	0.03%
DOMINICAN REPUBLIC REGS 06.4000 06/05/2049	0.03%
FHR 4150 DI IO 03.0000 01/15/2043	0.03%
FHR 4158 TI IO 03.0000 12/15/2042	0.03%
GNR 2016-H04 KI IO 01.4949 02/20/2066	0.03%
STACR 2018-HQA2 B2 12.0057 10/25/2048	0.03%
ZHUZHOU KIBING GROUP CO 144A/REGS WARRANT 07/29/2022	0.03%
GNR 2016-H16 DI IO 02.5243 06/20/2066	0.03%
WFRBS 2012-C10 E 144A 04.4064 12/15/2045	0.03%
MWST 2020-2 A 01.8057 11/25/2053	0.03%
MWST 2021-1 A 01.3679 02/25/2055	0.03%
TECH MAHINDRA LTD SEDOL BWFGD63	0.03%
ARAB REPUBLIC OF EGYPT REGS 07.3000 09/30/2033	0.03%
TUNISIAN REPUBLIC REGS 05.7500 01/30/2025	0.03%
DOMINICAN REPUBLIC REGS 05.9500 01/25/2027	0.02%
GNR 2014-163 NI IO 05.0000 02/20/2044	0.02%
GNR 2016-H11 HI IO 02.0945 01/20/2066	0.02%
FNR 2012-151 PI IO 03.0000 01/25/2043	0.02%
GNR 2015-H24 HI IO 02.0827 09/20/2065	0.02%
CMB CMBX.NA.BBB-.8 2057-10-17 300.0 10/17/2057 MS	0.02%
FHR 4136 IW IO 03.5000 10/15/2042	0.02%
GNR 2016-H04 HI IO 02.3848 07/20/2065	0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS	0.02%
GNR 2012-145 IO IO 03.5000 12/20/2042	0.02%
RALI 2006-QO10 A1 01.3257 01/25/2037	0.02%
YOUNGOR GROUP CO 144A/REGS WARRANT 07/29/2022	0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS	0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML	0.02%
DOMINICAN REPUBLIC REGS 04.8750 09/23/2032	0.02%
FNR 2013-21 AI IO 03.5000 03/25/2033	0.02%
RALI 2006-QO5 1A1 01.4357 05/25/2046	0.02%
REPUBLIC OF GHANA REGS 06.3750 02/11/2027	0.02%
GNR 2010-35 AI IO 04.5000 03/20/2040	0.02%
MHL 2004-1 M2 02.0107 11/25/2034	0.02%
PETROBRAS GLOBAL FINANCE USD 05.6000 01/03/2031	0.02%
FHR 4206 IP IO 03.0000 12/15/2041	0.02%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG	0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS	0.02%
GNR 2013-3 IT IO 05.0000 01/20/2043	0.02%
FHR 4122 TI IO 04.5000 10/15/2042	0.02%
GNR 2010-20 UI IO 05.0000 02/20/2040	0.02%
GNR 2013-151 IB IO 04.5000 02/20/2040	0.02%
GSAA 2007-6 1A1 01.2457 05/25/2047	0.02%
STACR 2019-DNA3 B2 09.1557 07/25/2049	0.02%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML	0.01%
GNR 2011-17 S IO 05.1227 02/20/2041	0.01%
GNR 2012-8 PI IO 04.0000 05/20/2041	0.01%
STACR 2019-DNA1 M2 03.6557 01/25/2049	0.01%
2.29325 R ISWP SOFR P 03/31/2027	0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.01%
MWST 2020-2 F 04.2557 11/25/2053	0.01%
STACR 2018-DNA2 B1 04.7057 12/25/2030	0.01%
2.247 R ISWP SOFR P 04/01/2027	0.01%
2.84 R ISWP SOFR P 05/06/2027	0.01%
BACM 2005-1 C 05.4820 11/10/2042	0.01%
CAS 2017-C06 2M2 03.8057 02/25/2030	0.01%
EVR LN R SOFR P 12/15/25 GS	0.01%
GNR 2010-9 QI IO 04.5000 01/20/2040	0.01%
GNR 2013-6 AI IO 03.5000 08/20/2039	0.01%
GNR 2015-24 IA IO 03.5000 02/20/2045	0.01%
2.326 R ISWP SOFR P 04/06/2027	0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG	0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG	0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS	0.01%
STACR 2019-DNA2 B2 11.5057 03/25/2049	0.01%
WFRBS 2011-C4 E 144A 04.8884 06/15/2044	0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.01%
GNR 2010-35 QI IO 04.5000 03/20/2040	0.01%
GNR 2010-35 UI IO 05.0000 03/20/2040	0.01%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024	0.01%
PETROLEOS MEXICANOS USD 05.9500 01/28/2031	0.01%
SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA	0.01%
CAS 2015-C04 2M2 06.5557 04/25/2028	0.01%
FHR 4183 MI IO 03.0000 02/15/2042	0.01%
FNR 2017-113 IO IO 05.0000 01/25/2038	0.01%
GNR 2012-50 PI IO 04.0000 12/20/2041	0.01%
GNR 2013-24 PI IO 04.0000 11/20/2042	0.01%
GNR 2013-37 JI IO 03.5000 01/20/2043	0.01%
MSBAM 2013-C11 E 144A 04.3505 08/15/2046	0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS	0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS	0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS	0.01%
FHR 2990 LB 14.7100 06/15/2034	0.01%
FNR 2014-10 IO IO 03.5000 08/25/2042	0.01%
GNMA GII30 BN1509 05.0000 05/20/2049	0.01%
GNMA GII30 BP7527 03.5000 10/20/2049	0.01%
GNR 2013-79 XI IO 03.5000 11/20/2039	0.01%
1.285 R ISWP SOFRRATE P 12/24/2031	0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML	0.01%
FNR 2005-74 NK 22.4715 05/25/2035	0.01%
GNR 2009-121 BI IO 04.5000 12/16/2039	0.01%
GNR 2013-99 VS IO 05.2253 07/16/2043	0.01%
2.2915 R ISWP SOFR P 04/01/2027	0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG	0.01%
FHR 4369 IA IO 03.5000 07/15/2044	0.01%
FNR 2013-6 BI IO 03.0000 12/25/2042	0.01%
GNR 2012-106 QI IO 04.0000 07/20/2042	0.01%
GNR 2013-129 SN IO 05.2227 09/20/2043	0.01%
2.26 R ISWP SOFR P 03/30/2032	0.00%
2.2655 R ISWP SOFR P 03/30/2032	0.00%
2.3535 R ISWP SOFR P 03/30/2027	0.00%
2.5095 R ISWP SOFR P 05/31/2024	0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG	0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.00%
CMB CMBX.NA.BBB-.8 2057-10-17 300.0 10/17/2057 MS	0.00%
GCAT 2020-NQM2 A3 02.9350 04/25/2065	0.00%
GNMA GII30 BN1507 05.0000 05/20/2049	0.00%
GNMA GII30 BN1508 05.0000 05/20/2049	0.00%
GNR 2013-100 MI IO 03.5000 02/20/2043	0.00%
SPX 20220617 P 3500.00JPMCB	0.00%
SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA	0.00%
TXU TCEH RIGHTS	0.00%
WFRBS 2011-C3 E 144A 05.0000 03/15/2044	0.00%
2.3485 R ISWP SOFR P 04/05/2027	0.00%
BACM 2008-1 C P/P 144A 06.5669 02/10/2051	0.00%
FNR 2012-136 PI IO 03.5000 11/25/2042	0.00%
FNR 2012-22 CI IO 04.0000 03/25/2041	0.00%
GNMA GII30 BN1510 05.5000 05/20/2049	0.00%
GNR 2014-63 PI IO 04.0000 07/20/2043	0.00%
CAS 2015-C02 1M2 05.0057 05/25/2025	0.00%
FNMA FN30 BN9825 UMBS 05.0000 05/01/2049	0.00%
FNMA FN30 BO0182 UMBS 05.0000 05/01/2049	0.00%
FNMA FN30 BO3442 UMBS 05.0000 08/01/2049	0.00%
GNMA GII30 BN1511 05.5000 05/20/2049	0.00%
GNMA GII30 BP7627 03.5000 11/20/2049	0.00%
GNR 2013-27 PI IO 03.5000 12/20/2042	0.00%
GNR 2013-37 LI IO 03.5000 01/20/2042	0.00%
GNR 2015-36 GI IO 03.5000 06/16/2041	0.00%
GNR 2015-99 LI IO 04.0000 07/20/2045	0.00%
GNR 2018-127 IA IO 03.5000 04/20/2042	0.00%
MSBAM 2013-C11 F 144A 04.3505 08/15/2046	0.00%
2.518 R ISWP SOFR P 04/12/2027	0.00%
FNMA FN30 BO0212 UMBS 04.5000 05/01/2049	0.00%
FNW 1998-W2 X IO 00.4545 06/25/2028	0.00%
GNR 2014-108 IP IO 04.5000 12/20/2042	0.00%
GNR 2019-78 SJ IO 05.1227 06/20/2049	0.00%
GNR 2019-99 KS IO 05.1227 08/20/2049	0.00%
GNR 2020-15 CS IO 05.1227 02/20/2050	0.00%
STACR 2019-DNA2 M2 03.4557 03/25/2049	0.00%
2.469 R ISWP SOFR P 04/14/2032	0.00%
2.5445 R ISWP SOFR P 05/23/2027	0.00%
2.571 R ISWP SOFR P 05/18/2024	0.00%
2.574 R ISWP SOFR P 05/18/2024	0.00%
2.61725 R ISWP SOFR P 04/20/2032	0.00%
2.673 R ISWP SOFR P 04/22/2027	0.00%
FHR 3175 MO PO 00.0000 06/15/2036	0.00%
FHR 4213 GI IO 04.0000 11/15/2041	0.00%
FHR 4355 DI IO 04.0000 03/15/2044	0.00%
FNMA FN30 BN3050 UMBS 05.0000 01/01/2049	0.00%
FNR 2013-31 NI IO 03.0000 06/25/2041	0.00%
FNR 2015-10 AI IO 03.5000 08/25/2043	0.00%
FNW 1998-W5 X IO 00.0485 07/25/2028	0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033	0.00%
FSPC T-59 1AX IO 00.2800 10/25/2043	0.00%
GNR 2015-24 IC IO 03.5000 11/20/2037	0.00%
2.3565 R ISWP SOFR P 04/14/2024	0.00%
2.553 R ISWP SOFR P 04/28/2024	0.00%
2.598 R ISWP SOFR P 04/13/2027	0.00%
2.6055 R ISWP SOFR P 05/17/2024	0.00%
2.6095 R ISWP SOFR P 05/24/2032	0.00%
2.6825 R ISWP SOFR P 04/26/2032	0.00%
BACM 2007-1 XW IO 00.3133 01/15/2049	0.00%
BSCMS 2007-T26 AJ 05.5660 01/12/2045	0.00%
FNR 2008-36 OV PO 00.0000 01/25/2036	0.00%
FNR 2013-23 PI IO 03.0000 10/25/2041	0.00%
FNS 397 2 IO 05.0000 09/25/2039	0.00%
FSPC T-8 A9 IO 00.4508 11/15/2028	0.00%
GLOW ENERGY PCL - FOREIGN SEDOL B074GX9	0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040	0.00%
GNR 2013-183 AI IO 03.5000 10/20/2039	0.00%
GSMPS 1999-2 IO IO 00.4313 09/19/2027	0.00%
GUARANTEED RATE INC-WTS	0.00%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027	0.00%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS	0.00%
UBSBB 2012-C2 F 144A 05.0000 05/10/2063	0.00%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022	0.00%
WBCMT 2006-C29 IO IO 00.2248 11/15/2048	0.00%
2.547 R ISWP SOFR P 04/28/2032	-0.00%
2.743 R ISWP SOFR P 04/26/2024	-0.00%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS	-0.00%
2.3365 R ISWP SOFR P 03/31/2027	-0.00%
2.739 R ISWP SOFR P 05/12/2032	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA	-0.00%
2.3665 R ISWP SOFR P 04/07/2027	-0.00%
2.4785 R ISWP FWD SOFR P 04/18/2032	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA	-0.00%
1.096 R ISWP SOFRRATE P 12/24/2026	-0.00%
2.3005 R ISWP SOFR P 03/31/2024	-0.00%
2.5245 R ISWP SOFR P 05/31/2052	-0.00%
2.689 R ISWP FWD SOFR P 04/26/2032	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA	-0.01%
SWPTN SOFR 3MX10Y R 2.725 USD 07/21/2022 CI	-0.01%
2.4015 R ISWP SOFR P 04/08/2032	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC	-0.01%
2.851 R ISWP SOFR P 05/06/2027	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
2.382 R ISWP SOFR P 04/06/2024	-0.01%
SWPTN SOFR 3MX10Y P 2.725 USD 07/21/2022 CI	-0.01%
2.7265 R ISWP SOFR P 05/17/2032	-0.01%
3.10 R ISWP FWD NFIX3MID P 06/15/2032	-0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS	-0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.02%
EBIX US P SOFR R 07/05/24 CI	-0.02%
ZYXI US P SOFR R 07/05/24 CI	-0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.02%
1.435 R ISWP SOFRRATE P 12/24/2051	-0.02%
1.86 R ISWP FWD SOFR P 02/24/2052	-0.02%
215600 KS P SOFRRATE R 12/15/25 GS	-0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.02%
1.455 R ISWP FWD SONIA P 06/15/2032	-0.03%
CDX CDX.NA.HY.38 500.0 06/20/2027	-0.03%
SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA	-0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG	-0.03%
BYND US P SOFRRATE R 12/15/25 GS	-0.03%
PLUG US P SOFR R 07/05/24 CI	-0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.04%
BGS US P SOFR R 07/05/24 CI	-0.04%
WDFC US P SOFR R 07/05/24 CI	-0.04%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC	-0.05%
FFIV US P SOFR R 07/05/24 CI	-0.05%
BE US P SOFRRATE R 12/15/25 GS	-0.05%
ACIW US P SOFR R 07/05/24 CI	-0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.07%
SANM US P SOFR R 07/05/24 CI	-0.07%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS	-0.07%
0.565 R ISWP FWD SARON P 06/15/2032	-0.08%
DOCS US P SOFR R 07/05/24 CI	-0.08%
2.05 R ISWP FWD SOFR P 06/15/2052	-0.09%
NEWR US P SOFRRATE R 12/15/25 GS	-0.09%
SPX 20220617 P 4000.00JPMCB	-0.10%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG	-0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.11%
HCSG US P SOFR R 07/05/24 CI	-0.11%
SKIN US P SOFR R 07/05/24 CI	-0.11%
WHR US P SOFR R 07/05/24 CI	-0.12%
1.762 R ISWP FWD SOFR P 06/15/2032	-0.12%
OLED US P SOFR R 07/05/24 CI	-0.12%
ENR US P SOFR R 07/05/24 CI	-0.12%
AKAM US P SOFR R 07/05/24 CI	-0.13%
APPS US P SOFR R 07/05/24 CI	-0.13%
YETI US P SOFR R 07/05/24 CI	-0.13%
ROCK US P SOFR R 07/05/24 CI	-0.13%
W US P SOFR R 07/05/24 CI	-0.13%
LUMN US P SOFR R 07/05/24 CI	-0.14%
AZEK US P SOFR R 07/05/24 CI	-0.14%
BHC US P SOFR R 07/05/24 CI	-0.14%
MTSI US P SOFR R 07/05/24 CI	-0.14%
ALGN US P SOFR R 07/05/24 CI	-0.14%
SYNH US P SOFR R 07/05/24 CI	-0.14%
PINC US P SOFR R 07/05/24 CI	-0.15%
AAP US P SOFR R 07/05/24 CI	-0.15%
PODD US P SOFR R 07/05/24 CI	-0.15%
ARRY US P SOFR R 07/05/24 CI	-0.18%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS	-0.19%
PEN US P SOFR R 07/05/24 CI	-0.22%
1.95 R ISWP FWD SOFR P 06/15/2032	-0.24%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS	-0.24%
1.80 R ISWP FWD SOFR P 06/15/2024	-0.25%
TSLA US P SOFR R 07/05/24 CI	-0.30%
RL US P SOFR R 07/05/24 CI	-0.32%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG	-0.40%
LHX US P SOFR R 07/05/24 CI	-0.43%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP	-0.61%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS	-1.01%
FNMA FN30 TBA UMBS 02.5000 06/01/2052	-1.53%
FNMA FN30 TBA UMBS 02.0000 06/01/2052	-3.98%
NDUEEGF P SOFRRATE R 11/02/22 UB	-7.40%
NDUEEGF P SOFRRATE R 11/02/22 CS	-7.83%
RU10INTR P SOFR R 04/27/23 BA	-21.95%
US 2YR NOTE (CBT) SEP22 TUU2	-26.29%
GSGLPWDS P SOFR R 12/15/25 GS	-31.19%
SPTR P SOFR R 05/22/23 UB	-32.27%

US 10YR NOTE (CBT)JUN22 TYM2	35.47%
UBSPUSER R SOFR P 05/22/23 UB	32.72%
GSGLPWDL R SOFR P 12/15/25 GS	32.45%
MLFCF15 R SOFR P 04/27/23 BA	22.16%
REPO TRIPA MORTG 0.3 05/02/2022	13.53%
REPO TRIPA MORTG 0.3 05/02/2022	13.52%
REPO TRIPA MORTG 0.31 05/02/2022	13.52%
BEFSBAXD R 0.1 P 05/26/22 BC	9.54%
FNMA FN30 TBA UMBS 04.5000 06/01/2052	8.00%
GSVIUS85 R 0.45 P 12/15/25 GS	5.24%
JPCMPTFL R SOFR P 04/07/23 JP	4.61%
S&P500 EMINI FUT JUN22 ESM2	4.37%
GSVIVV69 R 0.3 P 12/15/25 GS	3.74%
ENERGY SELECT SECTOR SPDR SEDOL 2402466	3.04%
TREASURY BILL 00.0000 05/19/2022	2.10%
TREASURY BILL 00.0000 06/21/2022	2.02%
TREASURY BILL 00.0000 06/23/2022	2.02%
CASH MGMT BILL 00.0000 07/19/2022	2.02%
CASH MGMT BILL 00.0000 07/26/2022	2.01%
TREASURY BILL 00.0000 07/21/2022	2.01%
SP GSCI LIGHT ENERGY	1.97%
CITI COMMOD F3-F0 4X LEVERED INDEX	1.74%
FNMA FN30 TBA UMBS 04.0000 05/01/2052	1.67%
REAL ESTATE SELECT SECT SPDR SEDOL BYZ65Y9	1.63%
FNMA FN30 TBA UMBS 03.5000 06/01/2052	1.63%
GSVICUB3 R 0.45 P 12/15/25 GS	1.61%
GSVIVVOL R 0.3 P 12/15/25 GS	1.60%
BAML COMMODITY MLBX4SX6 ER STRATEGY	1.56%
MATERIALS SELECT SECTOR SPDR SEDOL 2436841	1.50%
UTILITIES SELECT SECTOR SPDR SEDOL 2371812	1.43%
FINANCIAL SELECT SECTOR SPDR SEDOL 2364038	1.40%
CITI CROSS-ASSET TREND 10% VOL INDEX	1.10%
S&P GSCI ER INDEX	1.04%
TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382	1.02%
SAMSUNG ELECTRONICS CO LTD SEDOL 6771720	0.85%
FNMA FN30 TBA UMBS 04.0000 06/01/2052	0.83%
ABN AMRO FUNDING USA LLC 00084CEQ1 DCP 05/24/2022	0.50%
BPCE SA 05571CE64 DCP 05/06/2022	0.50%
LLOYDS BANK PLC 53943SFE2 DCP 06/14/2022	0.50%
METLIFE SHORT TERM FUNDING LL 59157UEH9 DCP 05/17/2022	0.50%
MITSUBISHI UFJ TRUST & BANKIN 60683CE64 DCP 05/06/2022	0.50%
MIZUHO BANK LTD/NEW YORK NY 60689GFE1 DCP 06/14/2022	0.50%
NATIONWIDE BUILDING SOCIETY 6385E1E64 DCP 05/06/2022	0.50%
SOCIETE GENERALE SA 83369CFQ2 DCP 06/24/2022	0.50%
SUMITOMO MITSUI TRUST BANK LT 86564XE42 DCP 05/04/2022	0.50%
ALIBABA GROUP HOLDING LTD SEDOL BK6YZP5	0.47%
CAS 2016-C02 1B 12.9179 09/25/2028	0.42%
RJHI AB R SOFRRATE P 06/20/23 BA	0.40%
TENCENT HOLDINGS LTD SEDOL BMMV2K8	0.39%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP	0.35%
INFOSYS LTD SEDOL 6205122	0.35%
JD.COM INC - CL A SEDOL BKPQZT6	0.34%
MSBAM 2013-C10 D 144A 04.2097 07/15/2046	0.31%
KIA CORP SEDOL 6490928	0.31%
CHINA SHENHUA ENERGY CO-H SEDOL B09N7M0	0.30%
ASIAN PAINTS LTD SEDOL BCRWL65	0.29%
KB FINANCIAL GROUP INC SEDOL B3DF0Y6	0.27%
CPFL ENERGIA SA SEDOL B031NN3	0.26%
EVERGREEN MARINE CORP LTD SEDOL 6324500	0.26%
BANK OF JIANGSU CO LTD 144A/REGS WARRANT 09/28/2022	0.26%
VEDANTA LTD SEDOL 6136040	0.25%
HANA FINANCIAL GROUP SEDOL B0RNRF5	0.25%
BF0101 03.5000 06/01/2056	0.24%
CSPC PHARMACEUTICAL GROUP LT SEDOL 6191997	0.24%
CHINA DEVELOPMENT FINANCIAL SEDOL 6431756	0.24%
WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3	0.24%
ZHONGSHENG GROUP HOLDINGS SEDOL B633D97	0.24%
ENN NATURAL GAS CO 144A/REGS WARRANT 10/21/2022	0.24%
PAGE INDUSTRIES LTD SEDOL B1VJS64	0.24%
YOUNGOR GROUP CO 144A/REGS WARRANT 07/29/2022	0.24%
ADVANCED INFO SERVICE-FOR RG SEDOL 6412591	0.24%
AMBEV SA SEDOL BG7ZWY7	0.23%
PING AN INSURANCE GROUP CO-H SEDOL B01FLR7	0.23%
STACR 2016-DNA1 B 10.4566 07/25/2028	0.22%
BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4	0.22%
SHAANXI COAL INDUSTRY 144A/REGS WARRANT 07/29/2022	0.21%
SOUTHERN COPPER CORP SEDOL 2823777	0.21%
SUN PHARMA INDUS SEDOL 6582483	0.20%
IVORY COAST REGS 06.1250 06/15/2033	0.20%
NOVATEK MICROELECTRONICS COR SEDOL 6346333	0.20%
SHENZHEN MINDRAY BIO-MEDICAL ELEC CO 144A/REGS WARRANT 12/07	0.20%
SAMSUNG ELECTRO-MECHANICS CO SEDOL 6771689	0.19%
BANCO BRADESCO SA-PREF SEDOL B00FM53	0.19%
JPMCC 2012-C6 G 144A 02.9720 05/15/2045	0.19%
CHINA INTL CAPITA-H SEDOL BZ169C6	0.19%
TREASURY BILL 00.0000 06/02/2022	0.18%
JPMBB 2013-C14 E 144A 04.6992 08/15/2046	0.18%
CATHAY FINANCIAL HOLDING CO SEDOL 6425663	0.18%
REPUBLIC OF INDONESIA REGS 05.8750 01/15/2024	0.18%
ANGLO AMERICAN PLATINUM LTD SEDOL 6761000	0.18%
FNMA FN30 TBA UMBS 05.5000 05/01/2052	0.18%
AGRICULTURAL BANK OF CHINA-H SEDOL B60LZR6	0.17%
SHRP 2020-1 NOTE 03.0253 07/25/2024	0.17%
VALE SA-SP ADR SEDOL 2857334	0.17%
SANY HEAVY INDUSTRY CO LTD 144A/REGS WARRANT 02/10/2023	0.16%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP	0.16%
KUAISHOU TECHNOLOGY 144A SEDOL BLC90T0	0.16%
FHR 5082 IQ IO 03.0000 03/25/2051	0.16%
TECH MAHINDRA LTD SEDOL BWFGD63	0.15%
PARADE TECHNOLOGIES LTD SEDOL B6RV676	0.14%
SRI TRANG GLOVES THA-FOREIGN SEDOL BMGJNP0	0.14%
TURKCELL ILETISI SEDOL B03MYN3	0.14%
FHR 5125 MI IO 04.5000 11/25/2048	0.14%
FHS 315 PO PO 00.0000 09/15/2043	0.14%
TATA CONSULTANCY SVS LTD SEDOL B01NPJ1	0.14%
CAS 2015-C04 1M2 06.3679 04/25/2028	0.13%
FNR 2021-17 KI IO 04.5000 04/25/2051	0.13%
MRAIT 2020-2 A2 01.6551 08/15/2022	0.13%
FHR 4976 MI IO 04.5000 05/25/2050	0.13%
FHR 5010 IE IO 04.0000 09/25/2050	0.13%
KUMHO PETROCHEMICAL CO LTD SEDOL 6499323	0.13%
GNR 2021-78 IP IO 03.0000 05/20/2051	0.13%
FNR 2020-93 WI IO 05.0000 06/25/2050	0.12%
JPMCC 2012-C6 F 144A 05.3497 05/15/2045	0.12%
JPMBB 2014-C18 D 144A 04.9475 02/15/2047	0.12%
QUANTA COMPUTER INC SEDOL 6141011	0.12%
REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033	0.12%
GSMS 2014-GC24 D 144A 04.6651 09/10/2047	0.12%
FHR 5128 IE IO 04.5000 07/25/2051	0.12%
GNR 2020-186 DI IO 03.0000 12/20/2050	0.12%
COSCO SHIPPING HOLDINGS CO-H SEDOL B0B8Z18	0.12%
FNR 2021-56 IL IO 03.0000 03/25/2051	0.12%
GNR 2015-H20 CI IO 01.8046 08/20/2065	0.12%
FNR 2017-8 SB IO 05.4321 02/25/2047	0.12%
FNMA FN30 AL6919 UMBS 05.5000 01/01/2038	0.12%
SUN TV NETWORK LTD SEDOL B128WL3	0.11%
FNR 2021-25 IJ IO 03.5000 05/25/2051	0.11%
MSC 2006-HQ10 B 05.4480 11/12/2041	0.11%
WFRBS 2011-C4 F 144A 05.0000 06/15/2044	0.11%
CHINA YONGDA AUTOMOBILES SER SEDOL B8F2T65	0.11%
FHR 5043 IO IO 05.0000 11/25/2050	0.11%
GNR 2015-H10 CI IO 01.8077 04/20/2065	0.11%
HAITIAN INTERNATIONAL HLDGS SEDOL B1L2RC2	0.11%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS	0.11%
2.325 R ISWP FWD CDOR03 P 06/15/2032	0.10%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG	0.10%
GNR 2021-209 TG IO 04.5000 11/20/2051	0.10%
1.85 R ISWP FWD SOFR P 06/15/2027	0.10%
UNITED MICROELECTRONICS CORP SEDOL 6916628	0.10%
FHR 3852 NT 05.4459 05/15/2041	0.10%
GNR 2016-H02 BI IO 01.6666 11/20/2065	0.10%
HELLENIC TELECOMMUN ORGANIZA SEDOL 5051605	0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS	0.10%
BSCMS 2005-PWR7 C 05.2350 02/11/2041	0.10%
FNR 2017-74 SA IO 05.0821 10/25/2047	0.10%
SPST 2021-10 A 00.0000 08/08/2022	0.10%
BSCMS 2005-PWR7 D 05.3040 02/11/2041	0.10%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS	0.10%
FNR 2021-44 NI IO 03.0000 07/25/2051	0.10%
SAMI 2007-AR1 2A1 00.8479 01/25/2037	0.10%
CENCOSUD SA SEDOL B00R3L2	0.09%
CHINA MINSHENG BANKING COR-H SEDOL B57JY24	0.09%
1.497 R ISWP FWD SES3M P 06/15/2032	0.09%
FNR 2019-49 ST IO 05.3521 09/25/2049	0.09%
CTBC FINANCIAL HOLDING CO LT SEDOL 6527666	0.09%
THAI UNION GROUP PCL-F SEDOL BYTBHT9	0.09%
FHR 5119 IB IO 03.0000 06/25/2041	0.09%
CAS 2022-R02 2M2 03.2887 01/25/2042	0.09%
GNR 2015-H19 NI IO 01.9072 07/20/2065	0.09%
CMLTI 2007-AMC3 A2D 01.0179 03/25/2037	0.09%
FNR 2021-67 IG IO 03.0000 10/25/2051	0.09%
SPST 2021-16 A1 01.2879 11/07/2022	0.09%
FNR 2015-28 IO IO 05.5000 05/25/2045	0.09%
GNR 2015-H25 AI IO 01.6133 09/20/2065	0.09%
GNR 2020-112 MS IO 05.7056 08/20/2050	0.09%
FNR 2020-62 CI IO 04.0000 06/25/2048	0.09%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.08%
BANCO SANTANDER CHILE SEDOL 2000257	0.08%
CHINA FEIHE LTD SEDOL BK0SBL1	0.08%
MRAIT 2021-8 A2X 01.3806 05/15/2022	0.08%
FNR 2021-15 JI IO 04.5000 04/25/2051	0.08%
SPST 2022-2 A1 01.5760 05/25/2023	0.08%
GNR 2015-53 MI IO 04.0000 04/16/2045	0.08%
CHEIL WORLDWIDE INC SEDOL 6093231	0.08%
FHR 5018 QI IO 05.0000 10/25/2050	0.08%
MARUTI SUZUKI INDIA LTD SEDOL 6633712	0.08%
REPUBLIC OF GHANA REGS 08.1250 01/18/2026	0.08%
CAS 2017-C06 2B1 05.1179 02/25/2030	0.08%
GNR 2015-H15 JI IO 01.9547 06/20/2065	0.08%
WFCM 2013-LC12 D 144A 04.4396 07/15/2046	0.08%
FHR 5060 EI IO 03.5000 01/25/2051	0.08%
GNR 2020-167 PI IO 03.5000 11/20/2050	0.08%
FHR 5160 IW IO 03.0000 10/25/2050	0.08%
GNR 2016-150 I IO 05.0000 11/20/2046	0.08%
SPX 20220617 P 3500.00JPMCB	0.08%
GNR 2015-H09 BI IO 01.6759 03/20/2065	0.07%
GNR 2015-H25 BI IO 01.7060 10/20/2065	0.07%
MARFRIG GLOBAL FOODS SA SEDOL B1YWHR4	0.07%
IHEARTMEDIA INC - CLASS A SEDOL BJVR9Y9	0.07%
MSC 2011-C3 G 144A 05.2545 07/15/2049	0.07%
HONG LEONG BANK BERHAD SEDOL 6436892	0.07%
LG ELECTRONICS INC SEDOL 6520739	0.07%
LENOVO GROUP LTD SEDOL 6218089	0.07%
EMAMI LTD SEDOL 6741035	0.07%
GNR 2015-H16 XI IO 01.8780 07/20/2065	0.07%
TREASURY BILL 00.0000 06/16/2022	0.07%
WFRBS 2013-C15 D 144A 04.6541 08/15/2046	0.07%
FNR 2016-3 NI IO 06.0000 02/25/2046	0.07%
GNR 2015-80 IA IO 04.5000 06/20/2045	0.06%
NORTHAM PLATINUM HOLDINGS LT SEDOL BMZ1NS0	0.06%
GNR 2015-H25 EI IO 01.8465 10/20/2065	0.06%
ROMANIA P/P 144A 03.6250 03/27/2032	0.06%
PETROLEOS MEXICANOS USD 06.7000 02/16/2032	0.06%
TATA STEEL LTD SEDOL 6101156	0.06%
WALMART DE MEXICO SAB DE CV SEDOL BW1YVH8	0.06%
WBCMT 2005-C21 E 144A 05.2753 10/15/2044	0.06%
GNR 2015-H26 EI IO 01.7247 10/20/2065	0.06%
1.285 R ISWP SOFRRATE P 12/23/2031	0.06%
CAS 2017-C05 1B1 04.2679 01/25/2030	0.06%
FNR 2011-4 CS 11.5643 05/25/2040	0.06%
GNR 2014-H21 AI IO 01.4312 10/20/2064	0.06%
FNR 2012-124 UI IO 04.0000 11/25/2042	0.06%
FNR 2018-58 IO IO 05.5000 08/25/2048	0.06%
BOSIDENG INTL HLDGS LTD SEDOL B24FZ32	0.05%
EMBOTELLADORAS ARCA SA-NOM SEDOL 2823885	0.05%
FHR 4727 SA IO 05.6459 11/15/2047	0.05%
GNR 2010-9 UI IO 05.0000 01/20/2040	0.05%
INTL CONTAINER TERM SVCS INC SEDOL 6455819	0.05%
UNITED MEXICAN STATES USD 02.6590 05/24/2031	0.05%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026	0.05%
TISCO FINANCIAL-FOREIGN SEDOL B3KFW76	0.05%
CIPLA LTD SEDOL B011108	0.05%
COMM 2014-CR17 D 144A 05.0089 05/10/2047	0.05%
CAS 2017-C03 1B1 05.5179 10/25/2029	0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS	0.05%
FNMA FN30 AB7936 UMBS 03.0000 02/01/2043	0.05%
GNR 2014-104 IO IO 04.0000 03/20/2042	0.05%
COMM 2012-LC4 E 144A 04.2500 12/10/2044	0.05%
FHLMC FR30 ZA4291 UMBS 03.5000 08/01/2043	0.04%
FNMA FN30 AU1625 UMBS 03.5000 07/01/2043	0.04%
GNR 2016-H03 AI IO 01.7169 01/20/2066	0.04%
IHS HOLDING LTD REGS 06.2500 11/29/2028	0.04%
UNITED TRACTORS TBK PT SEDOL 6230845	0.04%
2.67 R ISWP FWD AUDBB6M P 06/15/2032	0.04%
GNR 2015-H09 AI IO 01.9747 04/20/2065	0.04%
GNR 2016-H23 NI IO 02.0941 10/20/2066	0.04%
FNMA FN30 AR6852 UMBS 03.0000 02/01/2043	0.04%
GNR 2009-121 UI IO 05.0000 12/20/2039	0.04%
GNR 2014-76 IO IO 05.0000 05/20/2044	0.04%
3.10 R ISWP FWD NFIX3MID P 06/15/2032	0.04%
GNR 2017-H02 BI IO 02.1115 01/20/2067	0.04%
2.181 R ISWP SOFR P 04/06/2032	0.04%
GNR 2018-91 SJ IO 05.6556 07/20/2048	0.04%
KT CORP SEDOL 6505316	0.04%
EXTRA AB R SOFRRATE P 06/20/23 BA	0.04%
SHINHAN FINANCIAL GROUP LTD SEDOL 6397502	0.04%
COCA-COLA ICECEK AS SEDOL B058ZV4	0.04%
GNR 2018-127 IC IO 05.0000 10/20/2044	0.04%
JPMCC 2013-LC11 E 144A 03.2500 04/15/2046	0.04%
COMM 2012-CR3 F 144A 04.7500 10/15/2045	0.04%
FHLMC FR30 ZA4202 UMBS 03.0000 03/01/2043	0.04%
FNMA FN30 AO5471 UMBS 03.5000 06/01/2042	0.04%
GNR 2015-167 BI IO 04.5000 04/16/2045	0.04%
GNR 2015-H26 DI IO 01.7009 10/20/2065	0.03%
GRUPO BIMBO SAB- SERIES A SEDOL 2392471	0.03%
TURKIYE GARANTI BANKASI SEDOL B03MYP5	0.03%
AHM 2007-1 GA1C 00.8579 05/25/2047	0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML	0.03%
GNR 2015-187 JI IO 04.0000 03/20/2045	0.03%
ITAU UNIBANCO/KY P/P 144A 03.8750 04/15/2031	0.03%
DOMINICAN REPUBLIC REGS 06.8750 01/29/2026	0.03%
INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979	0.03%
SPST 2021-14 A1 01.3679 12/08/2022	0.03%
DOMINICAN REPUBLIC REGS 06.4000 06/05/2049	0.03%
FHR 4158 TI IO 03.0000 12/15/2042	0.03%
FHR 4193 PI IO 04.0000 03/15/2043	0.03%
REP OF COTE D'IVOIRE P/P 144A 05.2500 03/22/2030	0.03%
TUNISIAN REPUBLIC REGS 05.7500 01/30/2025	0.03%
WFRBS 2012-C10 E 144A 04.5577 12/15/2045	0.03%
ZHUZHOU KIBING GROUP CO 144A/REGS WARRANT 07/29/2022	0.03%
ARAB REPUBLIC OF EGYPT REGS 07.6003 03/01/2029	0.03%
FHR 4150 DI IO 03.0000 01/15/2043	0.03%
GNR 2015-H24 HI IO 02.0851 09/20/2065	0.03%
STACR 2018-HQA2 B2 11.6679 10/25/2048	0.03%
ASTRA INTERNATIONAL TBK PT SEDOL B800MQ5	0.03%
GNR 2016-H04 KI IO 01.6227 02/20/2066	0.03%
MWST 2020-2 A 01.4679 11/25/2053	0.03%
GNR 2016-H16 DI IO 02.2531 06/20/2066	0.03%
MWST 2021-1 A 01.1566 02/25/2055	0.03%
DOMINICAN REPUBLIC REGS 05.9500 01/25/2027	0.03%
GNR 2014-163 NI IO 05.0000 02/20/2044	0.03%
GNR 2016-H11 HI IO 02.0978 01/20/2066	0.03%
ARAB REPUBLIC OF EGYPT REGS 07.3000 09/30/2033	0.02%
FNR 2012-151 PI IO 03.0000 01/25/2043	0.02%
GNR 2016-H04 HI IO 02.3820 07/20/2065	0.02%
FHR 4136 IW IO 03.5000 10/15/2042	0.02%
GNR 2012-145 IO IO 03.5000 12/20/2042	0.02%
RALI 2006-QO10 A1 00.9879 01/25/2037	0.02%
FNR 2013-21 AI IO 03.5000 03/25/2033	0.02%
G-BITS NETWORK TECHNOLOGY 144A/REGS WARRANT 10/21/2022	0.02%
2.29325 R ISWP SOFR P 03/31/2027	0.02%
CHINA MERCHANTS BANK-H SEDOL B1DYPZ5	0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS	0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML	0.02%
CMB CMBX.NA.BBB-.8 2057-10-17 300.0 10/17/2057 MS	0.02%
DOMINICAN REPUBLIC REGS 04.8750 09/23/2032	0.02%
RALI 2006-QO5 1A1 01.0979 05/25/2046	0.02%
0.915 R ISWP FWD EUR006M P 06/15/2032	0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS	0.02%
FHR 4206 IP IO 03.0000 12/15/2041	0.02%
GNR 2010-35 AI IO 04.5000 03/20/2040	0.02%
2.247 R ISWP SOFR P 04/01/2027	0.02%
MHL 2004-1 M2 01.6729 11/25/2034	0.02%
PETROBRAS GLOBAL FINANCE USD 05.6000 01/03/2031	0.02%
2.326 R ISWP SOFR P 04/06/2027	0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS	0.02%
FHR 4122 TI IO 04.5000 10/15/2042	0.02%
GNR 2013-3 IT IO 05.0000 01/20/2043	0.02%
GSAA 2007-6 1A1 00.9079 05/25/2047	0.02%
STACR 2019-DNA3 B2 08.8179 07/25/2049	0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP	0.02%
GNR 2010-20 UI IO 05.0000 02/20/2040	0.02%
GNR 2012-8 PI IO 04.0000 05/20/2041	0.02%
GNR 2013-151 IB IO 04.5000 02/20/2040	0.02%
STACR 2019-DNA1 M2 03.3179 01/25/2049	0.02%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG	0.01%
GNR 2011-17 S IO 05.4556 02/20/2041	0.01%
STACR 2018-DNA2 B1 04.3679 12/25/2030	0.01%
CAS 2017-C06 2M2 03.4679 02/25/2030	0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.01%
EVR LN R SOFR P 12/15/25 GS	0.01%
GNR 2013-6 AI IO 03.5000 08/20/2039	0.01%
GNR 2015-24 IA IO 03.5000 02/20/2045	0.01%
BACM 2005-1 C 05.6647 11/10/2042	0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML	0.01%
GNR 2010-9 QI IO 04.5000 01/20/2040	0.01%
STACR 2019-DNA2 B2 11.1679 03/25/2049	0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG	0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.01%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024	0.01%
PETROLEOS MEXICANOS USD 05.9500 01/28/2031	0.01%
WFRBS 2011-C4 E 144A 05.0257 06/15/2044	0.01%
2.2915 R ISWP SOFR P 04/01/2027	0.01%
CAS 2015-C04 2M2 06.2179 04/25/2028	0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG	0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS	0.01%
FHR 4183 MI IO 03.0000 02/15/2042	0.01%
GNR 2010-35 QI IO 04.5000 03/20/2040	0.01%
GNR 2010-35 UI IO 05.0000 03/20/2040	0.01%
GNR 2012-50 PI IO 04.0000 12/20/2041	0.01%
GNR 2013-24 PI IO 04.0000 11/20/2042	0.01%
FHR 2990 LB 15.5294 06/15/2034	0.01%
FNR 2014-10 IO IO 03.5000 08/25/2042	0.01%
FNR 2017-113 IO IO 05.0000 01/25/2038	0.01%
GNMA GII30 BN1509 05.0000 05/20/2049	0.01%
GNR 2013-37 JI IO 03.5000 01/20/2043	0.01%
GNR 2013-79 XI IO 03.5000 11/20/2039	0.01%
MSBAM 2013-C11 E 144A 04.4957 08/15/2046	0.01%
SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA	0.01%
2.3535 R ISWP SOFR P 03/30/2027	0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS	0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS	0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS	0.01%
GNMA GII30 BP7527 03.5000 10/20/2049	0.01%
GNR 2009-121 BI IO 04.5000 12/16/2039	0.01%
1.285 R ISWP SOFRRATE P 12/24/2031	0.01%
2.3485 R ISWP SOFR P 04/05/2027	0.01%
2.518 R ISWP SOFR P 04/12/2027	0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML	0.01%
FHR 4369 IA IO 03.5000 07/15/2044	0.01%
FNR 2005-74 NK 24.1607 05/25/2035	0.01%
GNR 2013-129 SN IO 05.5556 09/20/2043	0.01%
GNR 2013-99 VS IO 05.5056 07/16/2043	0.01%
WFRBS 2011-C3 E 144A 05.0000 03/15/2044	0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG	0.01%
FNR 2013-6 BI IO 03.0000 12/25/2042	0.01%
GNMA GII30 BN1507 05.0000 05/20/2049	0.01%
GNR 2012-106 QI IO 04.0000 07/20/2042	0.01%
2.26 R ISWP SOFR P 03/30/2032	0.00%
2.2655 R ISWP SOFR P 03/30/2032	0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.00%
CMB CMBX.NA.BBB-.8 2057-10-17 300.0 10/17/2057 MS	0.00%
GCAT 2020-NQM2 A3 02.9350 04/25/2065	0.00%
GNMA GII30 BN1508 05.0000 05/20/2049	0.00%
GNR 2013-100 MI IO 03.5000 02/20/2043	0.00%
SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA	0.00%
TXU TCEH RIGHTS	0.00%
BACM 2008-1 C P/P 144A 06.7858 02/10/2051	0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG	0.00%
FNMA FN30 BO0182 UMBS 05.0000 05/01/2049	0.00%
FNR 2012-136 PI IO 03.5000 11/25/2042	0.00%
FNR 2012-22 CI IO 04.0000 03/25/2041	0.00%
GNMA GII30 BN1510 05.5000 05/20/2049	0.00%
GNR 2013-37 LI IO 03.5000 01/20/2042	0.00%
GNR 2014-63 PI IO 04.0000 07/20/2043	0.00%
GNR 2015-36 GI IO 03.5000 06/16/2041	0.00%
GNR 2015-99 LI IO 04.0000 07/20/2045	0.00%
CAS 2015-C02 1M2 04.6679 05/25/2025	0.00%
FNMA FN30 BN9825 UMBS 05.0000 05/01/2049	0.00%
FNMA FN30 BO3442 UMBS 05.0000 08/01/2049	0.00%
GNMA GII30 BN1511 05.5000 05/20/2049	0.00%
GNMA GII30 BP7627 03.5000 11/20/2049	0.00%
GNR 2013-27 PI IO 03.5000 12/20/2042	0.00%
GNR 2018-127 IA IO 03.5000 04/20/2042	0.00%
MSBAM 2013-C11 F 144A 04.4957 08/15/2046	0.00%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022	0.00%
2.61725 R ISWP SOFR P 04/20/2032	0.00%
2.689 R ISWP FWD SOFR P 04/26/2032	0.00%
BSCMS 2007-T26 AJ 05.5660 01/12/2045	0.00%
FNMA FN30 BO0212 UMBS 04.5000 05/01/2049	0.00%
FNW 1998-W2 X IO 00.4556 06/25/2028	0.00%
GNR 2014-108 IP IO 04.5000 12/20/2042	0.00%
GNR 2015-24 IC IO 03.5000 11/20/2037	0.00%
GNR 2019-78 SJ IO 05.4556 06/20/2049	0.00%
GNR 2019-99 KS IO 05.4556 08/20/2049	0.00%
GNR 2020-15 CS IO 05.4556 02/20/2050	0.00%
STACR 2019-DNA2 M2 03.1179 03/25/2049	0.00%
2.3565 R ISWP SOFR P 04/14/2024	0.00%
2.469 R ISWP SOFR P 04/14/2032	0.00%
2.553 R ISWP SOFR P 04/28/2024	0.00%
FHR 3175 MO PO 00.0000 06/15/2036	0.00%
FHR 4213 GI IO 04.0000 11/15/2041	0.00%
FHR 4355 DI IO 04.0000 03/15/2044	0.00%
FNMA FN30 BN3050 UMBS 05.0000 01/01/2049	0.00%
FNR 2013-23 PI IO 03.0000 10/25/2041	0.00%
FNR 2013-31 NI IO 03.0000 06/25/2041	0.00%
FNR 2015-10 AI IO 03.5000 08/25/2043	0.00%
FNW 1998-W5 X IO 00.0480 07/25/2028	0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033	0.00%
FSPC T-59 1AX IO 00.2797 10/25/2043	0.00%
SWPTN SOFR 3MX10Y P 2.725 USD 07/21/2022 CI	0.00%
2.6825 R ISWP SOFR P 04/26/2032	0.00%
2.743 R ISWP SOFR P 04/26/2024	0.00%
BACM 2007-1 XW IO 00.5078 01/15/2049	0.00%
FNR 2008-36 OV PO 00.0000 01/25/2036	0.00%
FNS 397 2 IO 05.0000 09/25/2039	0.00%
FSPC T-8 A9 IO 00.4462 11/15/2028	0.00%
GLOW ENERGY PCL - FOREIGN SEDOL B074GX9	0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040	0.00%
GNR 2013-183 AI IO 03.5000 10/20/2039	0.00%
GSMPS 1999-2 IO IO 00.4313 09/19/2027	0.00%
GUARANTEED RATE INC-WTS	0.00%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027	0.00%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS	0.00%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS	0.00%
UBSBB 2012-C2 F 144A 05.0000 05/10/2063	0.00%
WBCMT 2006-C29 IO IO 00.4165 11/15/2048	0.00%
2.547 R ISWP SOFR P 04/28/2032	-0.00%
2.673 R ISWP SOFR P 04/22/2027	-0.00%
SWPTN SOFR 3MX10Y R 2.725 USD 07/21/2022 CI	-0.00%
2.3365 R ISWP SOFR P 03/31/2027	-0.00%
2.598 R ISWP SOFR P 04/13/2027	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.00%
2.4785 R ISWP FWD SOFR P 04/18/2032	-0.00%
SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA	-0.00%
1.096 R ISWP SOFRRATE P 12/24/2026	-0.01%
2.3665 R ISWP SOFR P 04/07/2027	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
2.3005 R ISWP SOFR P 03/31/2024	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
1.455 R ISWP FWD SONIA P 06/15/2032	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC	-0.01%
2.4015 R ISWP SOFR P 04/08/2032	-0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML	-0.01%
ZYXI US P SOFR R 07/05/24 CI	-0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS	-0.02%
EBIX US P SOFR R 07/05/24 CI	-0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.02%
1.435 R ISWP SOFRRATE P 12/24/2051	-0.02%
1.86 R ISWP FWD SOFR P 02/24/2052	-0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.02%
2.382 R ISWP SOFR P 04/06/2024	-0.02%
215600 KS P SOFRRATE R 12/15/25 GS	-0.02%
2.355 R ISWP FWD NOKOIB6M P 06/15/2032	-0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.03%
SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA	-0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG	-0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.03%
PLUG US P SOFR R 07/05/24 CI	-0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.04%
WDFC US P SOFR R 07/05/24 CI	-0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.04%
BYND US P SOFRRATE R 12/15/25 GS	-0.05%
BGS US P SOFR R 07/05/24 CI	-0.05%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC	-0.05%
FFIV US P SOFR R 07/05/24 CI	-0.05%
BE US P SOFRRATE R 12/15/25 GS	-0.06%
CDX CDX.NA.HY.38 500.0 06/20/2027	-0.06%
SANM US P SOFR R 07/05/24 CI	-0.07%
ACIW US P SOFR R 07/05/24 CI	-0.07%
2.05 R ISWP FWD SOFR P 06/15/2052	-0.07%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS	-0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.08%
AAON US P SOFR R 07/05/24 CI	-0.08%
0.565 R ISWP FWD SARON P 06/15/2032	-0.08%
AHCO US P SOFR R 07/05/24 CI	-0.09%
DOCS US P SOFR R 07/05/24 CI	-0.10%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG	-0.11%
SKIN US P SOFR R 07/05/24 CI	-0.11%
CALX US P SOFR R 07/05/24 CI	-0.11%
HCSG US P SOFR R 07/05/24 CI	-0.11%
LUMN US P SOFR R 07/05/24 CI	-0.11%
WHR US P SOFR R 07/05/24 CI	-0.12%
NEWR US P SOFRRATE R 12/15/25 GS	-0.12%
ROCK US P SOFR R 07/05/24 CI	-0.12%
OLED US P SOFR R 07/05/24 CI	-0.12%
ENR US P SOFR R 07/05/24 CI	-0.13%
FCNCA US P SOFR R 07/05/24 CI	-0.13%
AZEK US P SOFR R 07/05/24 CI	-0.14%
YETI US P SOFR R 07/05/24 CI	-0.14%
1.762 R ISWP FWD SOFR P 06/15/2032	-0.15%
PINC US P SOFR R 07/05/24 CI	-0.15%
PRIM US P SOFR R 07/05/24 CI	-0.15%
FIVN US P SOFR R 07/05/24 CI	-0.15%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.15%
AAP US P SOFR R 07/05/24 CI	-0.16%
AIR US P SOFR R 07/05/24 CI	-0.16%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS	-0.20%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS	-0.24%
PEN US P SOFR R 07/05/24 CI	-0.26%
1.95 R ISWP FWD SOFR P 06/15/2032	-0.26%
BHC US P SOFR R 07/05/24 CI	-0.27%
SPX 20220617 P 4000.00JPMCB	-0.28%
FNMA FN30 TBA UMBS 02.5000 05/01/2052	-0.31%
1.80 R ISWP FWD SOFR P 06/15/2024	-0.32%
RL US P SOFR R 07/05/24 CI	-0.34%
TSLA US P SOFR R 07/05/24 CI	-0.35%
LHX US P SOFR R 07/05/24 CI	-0.42%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG	-0.45%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP	-0.69%
FNMA FN30 TBA UMBS 02.5000 06/01/2052	-1.22%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS	-1.30%
FNMA FN30 TBA UMBS 03.0000 06/01/2052	-2.53%
FNMA FN30 TBA UMBS 02.0000 05/01/2052	-4.00%
NDUEEGF P SOFRRATE R 11/02/22 UB	-7.38%
NDUEEGF P SOFRRATE R 11/02/22 CS	-7.80%
RU10INTR P SOFR R 04/27/23 BA	-22.26%
US 2YR NOTE (CBT) JUN22 TUM2	-30.52%
GSGLPWDS P SOFR R 12/15/25 GS	-31.55%
SPTR P SOFR R 05/22/23 UB	-32.62%

UBSPUSER R SOFR P 05/22/23 UB	37.93%
US 10YR NOTE (CBT)JUN22 TYM2	34.28%
GSGLPWDL R SOFR P 12/15/25 GS	33.89%
MLFCF15 R SOFR P 03/24/23 BA	22.84%
REPO TRIPA MORTG 0.3 04/01/2022	12.67%
REPO TRIPA MORTG 0.3 04/01/2022	12.64%
REPO TRIPA MORTG 0.31 04/01/2022	12.64%
BEFSBAXD R 0.1 P 05/26/22 BC	8.97%
FNMA FN30 TBA UMBS 03.5000 05/01/2052	5.62%
JPCMPTFL R SOFR P 03/06/23 JP	5.36%
GSVIUS85 R 0.45 P 12/15/25 GS	5.17%
FNMA FN30 TBA UMBS 04.0000 05/01/2052	4.88%
S&P500 EMINI FUT JUN22 ESM2	4.69%
GSVIVV69 R 0.3 P 12/15/25 GS	3.59%
ENERGY SELECT SECTOR SPDR SEDOL 2402466	3.58%
CITI CROSS-ASSET TREND 10% VOL INDEX	2.99%
TREASURY BILL 00.0000 05/19/2022	2.07%
CASH MGMT BILL 00.0000 06/21/2022	1.98%
TREASURY BILL 00.0000 06/23/2022	1.98%
CASH MGMT BILL 00.0000 07/19/2022	1.98%
TREASURY BILL 00.0000 07/21/2022	1.98%
CASH MGMT BILL 00.0000 07/26/2022	1.98%
SP GSCI LIGHT ENERGY	1.86%
TREASURY BILL 00.0000 04/07/2022	1.68%
REAL ESTATE SELECT SECT SPDR SEDOL BYZ65Y9	1.66%
CITI COMMOD F3-F0 4X LEVERED INDEX	1.64%
GSVICUB3 R 0.45 P 12/15/25 GS	1.62%
CONSUMER STAPLES SPDR SEDOL 2369389	1.55%
GSVIVVOL R 0.3 P 12/15/25 GS	1.53%
MATERIALS SELECT SECTOR SPDR SEDOL 2436841	1.53%
HEALTH CARE SELECT SECTOR SEDOL 2371823	1.53%
BAML COMMODITY MLBX4SX6 ER STRATEGY	1.46%
TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382	1.12%
S&P GSCI ER INDEX	0.90%
SAMSUNG ELECTRONICS CO LTD SEDOL 6771720	0.90%
TREASURY BILL 00.0000 04/21/2022	0.66%
CORPORATE ASSET FUNDING CO IN 1247P3DN9 DCP 04/22/2022	0.58%
SUMITOMO MITSUI TRUST BANK LT 86564XDJ0 DCP 04/18/2022	0.58%
ALIBABA GROUP HOLDING LTD SEDOL BK6YZP5	0.52%
ATLANTIC ASSET SECURITIZATION 04821UDM1 DCP 04/21/2022	0.50%
MANHATTAN ASSET FUNDING CO LL 56274MD58 DCP 04/05/2022	0.50%
MITSUBISHI UFJ TRUST & BANKIN 60683CE64 DCP 05/06/2022	0.50%
MIZUHO BANK LTD/NEW YORK NY 60689GFE1 DCP 06/14/2022	0.50%
INFOSYS LTD SEDOL 6205122	0.42%
CAS 2016-C02 1B 12.7066 09/25/2028	0.41%
TENCENT HOLDINGS LTD SEDOL BMMV2K8	0.38%
RJHI AB R SOFRRATE P 06/20/23 BA	0.36%
FNMA FN30 TBA UMBS 04.5000 05/01/2052	0.34%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP	0.34%
JD.COM INC - CL A SEDOL BKPQZT6	0.31%
CHINA SHENHUA ENERGY CO-H SEDOL B09N7M0	0.29%
KB FINANCIAL GROUP INC SEDOL B3DF0Y6	0.29%
KIA CORP SEDOL 6490928	0.28%
CSPC PHARMACEUTICAL GROUP LT SEDOL 6191997	0.27%
ASIAN PAINTS LTD SEDOL BCRWL65	0.27%
ENN NATURAL GAS CO 144A/REGS WARRANT 10/21/2022	0.26%
HANA FINANCIAL GROUP SEDOL B0RNRF5	0.26%
CHINA DEVELOPMENT FINANCIAL SEDOL 6431756	0.26%
MSBAM 2013-C10 D 144A 04.0749 07/15/2046	0.26%
ADVANCED INFO SERVICE-FOR RG SEDOL 6412591	0.26%
BF0101 03.5000 06/01/2056	0.26%
BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4	0.26%
BANK OF JIANGSU CO LTD 144A/REGS WARRANT 09/28/2022	0.25%
AMBEV SA SEDOL BG7ZWY7	0.25%
ZHONGSHENG GROUP HOLDINGS SEDOL B633D97	0.25%
PING AN INSURANCE GROUP CO-H SEDOL B01FLR7	0.25%
SOUTHERN COPPER CORP SEDOL 2823777	0.25%
VEDANTA LTD SEDOL 6136040	0.25%
EVERGREEN MARINE CORP LTD SEDOL 6324500	0.24%
WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3	0.24%
YOUNGOR GROUP CO 144A/REGS WARRANT 07/29/2022	0.24%
CPFL ENERGIA SA SEDOL B031NN3	0.24%
PAGE INDUSTRIES LTD SEDOL B1VJS64	0.22%
STACR 2016-DNA1 B 10.4566 07/25/2028	0.22%
BANCO BRADESCO SA-PREF SEDOL B00FM53	0.22%
NOVATEK MICROELECTRONICS COR SEDOL 6346333	0.22%
ANGLO AMERICAN PLATINUM LTD SEDOL 6761000	0.21%
1.3265 R ISWP SOFRRATE P 01/03/2032	0.21%
IVORY COAST REGS 06.1250 06/15/2033	0.21%
CHINA INTL CAPITA-H SEDOL BZ169C6	0.20%
SHAANXI COAL INDUSTRY 144A/REGS WARRANT 07/29/2022	0.20%
SHENZHEN MINDRAY BIO-MEDICAL ELEC CO 144A/REGS WARRANT 12/07	0.20%
SUN PHARMA INDUS SEDOL 6582483	0.20%
SAMSUNG ELECTRO-MECHANICS CO SEDOL 6771689	0.20%
VALE SA-SP ADR SEDOL 2857334	0.20%
CATHAY FINANCIAL HOLDING CO SEDOL 6425663	0.19%
PARADE TECHNOLOGIES LTD SEDOL B6RV676	0.19%
TREASURY BILL 00.0000 06/02/2022	0.18%
KUAISHOU TECHNOLOGY 144A SEDOL BLC90T0	0.18%
SANY HEAVY INDUSTRY CO LTD 144A/REGS WARRANT 02/10/2023	0.18%
JPMBB 2013-C14 E 144A 04.5485 08/15/2046	0.18%
REPUBLIC OF INDONESIA REGS 05.8750 01/15/2024	0.18%
FNMA FN30 TBA UMBS 05.5000 04/01/2052	0.18%
TECH MAHINDRA LTD SEDOL BWFGD63	0.17%
AGRICULTURAL BANK OF CHINA-H SEDOL B60LZR6	0.17%
JPMCC 2012-C6 G 144A 02.9720 05/15/2045	0.17%
SHRP 2020-1 NOTE 03.0253 07/25/2024	0.17%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP	0.16%
SRI TRANG GLOVES THA-FOREIGN SEDOL BMGJNP0	0.15%
FHR 5082 IQ IO 03.0000 03/25/2051	0.15%
TURKCELL ILETISI SEDOL B03MYN3	0.15%
FHS 315 PO PO 00.0000 09/15/2043	0.14%
TATA CONSULTANCY SVS LTD SEDOL B01NPJ1	0.14%
CAS 2015-C04 1M2 06.1566 04/25/2028	0.13%
KUMHO PETROCHEMICAL CO LTD SEDOL 6499323	0.13%
QUANTA COMPUTER INC SEDOL 6141011	0.13%
MRAIT 2020-2 A2 01.4306 08/15/2022	0.13%
CHINA YONGDA AUTOMOBILES SER SEDOL B8F2T65	0.13%
COSCO SHIPPING HOLDINGS CO-H SEDOL B0B8Z18	0.13%
FNR 2017-8 SB IO 05.6434 02/25/2047	0.13%
FHR 5125 MI IO 04.5000 11/25/2048	0.13%
GNR 2015-H20 CI IO 01.8108 08/20/2065	0.13%
REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033	0.12%
FHR 4976 MI IO 04.5000 05/25/2050	0.12%
FNR 2020-93 WI IO 05.0000 06/25/2050	0.12%
GNR 2021-78 IP IO 03.0000 05/20/2051	0.12%
FHR 5010 IE IO 04.0000 09/25/2050	0.12%
JPMBB 2014-C18 D 144A 04.7937 02/15/2047	0.12%
FNR 2021-17 KI IO 04.5000 04/25/2051	0.12%
GSMS 2014-GC24 D 144A 04.5332 09/10/2047	0.12%
FNMA FN30 AL6919 UMBS 05.5000 01/01/2038	0.12%
JPMCC 2012-C6 F 144A 05.2697 05/15/2045	0.12%
SUN TV NETWORK LTD SEDOL B128WL3	0.12%
CENCOSUD SA SEDOL B00R3L2	0.11%
GNR 2015-H10 CI IO 01.8038 04/20/2065	0.11%
HAITIAN INTERNATIONAL HLDGS SEDOL B1L2RC2	0.11%
MSC 2006-HQ10 B 05.4480 11/12/2041	0.11%
UNITED MICROELECTRONICS CORP SEDOL 6916628	0.11%
FNR 2017-74 SA IO 05.2934 10/25/2047	0.11%
FHR 5128 IE IO 04.5000 07/25/2051	0.11%
STRU BMOC-6900 AI IO 03.0000 03/25/2051	0.11%
WFRBS 2011-C4 F 144A 04.8879 06/15/2044	0.11%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS	0.11%
GNR 2020-186 DI IO 03.0000 12/20/2050	0.11%
FHR 5043 IO IO 05.0000 11/25/2050	0.11%
GNR 2016-H02 BI IO 01.6727 11/20/2065	0.11%
FHR 3852 NT 05.6034 05/15/2041	0.10%
THAI UNION GROUP PCL-F SEDOL BYTBHT9	0.10%
FNR 2021-25 IJ IO 03.5000 05/25/2051	0.10%
FNR 2019-49 ST IO 05.5634 09/25/2049	0.10%
GNR 2021-209 TG IO 04.5000 11/20/2051	0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS	0.10%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG	0.10%
BANCO SANTANDER CHILE SEDOL 2000257	0.10%
BSCMS 2005-PWR7 C 04.8825 02/11/2041	0.10%
CTBC FINANCIAL HOLDING CO LT SEDOL 6527666	0.09%
SAMI 2007-AR1 2A1 00.6366 01/25/2037	0.09%
SPST 2021-10 A 00.0000 08/08/2022	0.09%
SPST 2021-6 A 01.2549 04/25/2022	0.09%
BSCMS 2005-PWR7 D 04.8825 02/11/2041	0.09%
GNR 2015-H19 NI IO 01.9049 07/20/2065	0.09%
GNR 2020-112 MS IO 05.8514 08/20/2050	0.09%
CHINA MINSHENG BANKING COR-H SEDOL B57JY24	0.09%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS	0.09%
HELLENIC TELECOMMUN ORGANIZA SEDOL 5051605	0.09%
FNR 2021-44 NI IO 03.0000 07/25/2051	0.09%
CMLTI 2007-AMC3 A2D 00.8066 03/25/2037	0.09%
FNR 2015-28 IO IO 05.5000 05/25/2045	0.09%
FHR 5119 IB IO 03.0000 06/25/2041	0.09%
CAS 2022-R02 2M2 03.0990 01/25/2042	0.09%
FNR 2021-67 IG IO 03.0000 10/25/2051	0.09%
SPST 2021-16 A1 00.7293 11/07/2022	0.09%
CHINA FEIHE LTD SEDOL BK0SBL1	0.09%
MARFRIG GLOBAL FOODS SA SEDOL B1YWHR4	0.09%
REPUBLIC OF GHANA REGS 08.1250 01/18/2026	0.09%
MRAIT 2020-11 A1X 02.0966 04/22/2022	0.08%
MRAIT 2021-EBO1 A2X 01.9806 04/15/2022	0.08%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.08%
GNR 2015-H25 BI IO 01.7128 10/20/2065	0.08%
IHEARTMEDIA INC - CLASS A SEDOL BJVR9Y9	0.08%
MRAIT 2021-8 A2X 01.3806 05/15/2022	0.08%
FNR 2020-62 CI IO 04.0000 06/25/2048	0.08%
GNR 2015-H15 JI IO 01.9531 06/20/2065	0.08%
GNR 2015-H25 AI IO 01.6116 09/20/2065	0.08%
GNR 2015-53 MI IO 04.0000 04/16/2045	0.08%
NORTHAM PLATINUM HOLDINGS LT SEDOL BMZ1NS0	0.08%
MARUTI SUZUKI INDIA LTD SEDOL 6633712	0.08%
FNR 2021-15 JI IO 04.5000 04/25/2051	0.08%
GNR 2015-H09 BI IO 01.6743 03/20/2065	0.08%
WFCM 2013-LC12 D 144A 04.3054 07/15/2046	0.08%
CAS 2017-C06 2B1 04.9066 02/25/2030	0.08%
CHEIL WORLDWIDE INC SEDOL 6093231	0.08%
FHR 5018 QI IO 05.0000 10/25/2050	0.08%
LENOVO GROUP LTD SEDOL 6218089	0.08%
LG ELECTRONICS INC SEDOL 6520739	0.08%
GNR 2015-H16 XI IO 01.8658 07/20/2065	0.07%
GNR 2016-150 I IO 05.0000 11/20/2046	0.07%
WFRBS 2013-C15 D 144A 04.5055 08/15/2046	0.07%
FHR 5060 EI IO 03.5000 01/25/2051	0.07%
FHR 5160 IW IO 03.0000 10/25/2050	0.07%
MSC 2011-C3 G 144A 05.0861 07/15/2049	0.07%
GNR 2020-167 PI IO 03.5000 11/20/2050	0.07%
HONG LEONG BANK BERHAD SEDOL 6436892	0.07%
WALMART DE MEXICO SAB DE CV SEDOL BW1YVH8	0.07%
FNR 2016-3 NI IO 06.0000 02/25/2046	0.07%
ROMANIA P/P 144A 03.6250 03/27/2032	0.07%
TREASURY BILL 00.0000 06/16/2022	0.07%
GNR 2015-80 IA IO 04.5000 06/20/2045	0.06%
GNR 2014-H21 AI IO 01.4391 10/20/2064	0.06%
EMAMI LTD SEDOL 6741035	0.06%
FNR 2011-4 CS 11.9869 05/25/2040	0.06%
GNR 2015-H25 EI IO 01.8444 10/20/2065	0.06%
GNR 2015-H26 EI IO 01.7234 10/20/2065	0.06%
TATA STEEL LTD SEDOL 6101156	0.06%
WBCMT 2005-C21 E 144A 04.9797 10/15/2044	0.06%
FHR 4727 SA IO 05.8034 11/15/2047	0.06%
UNITED MEXICAN STATES USD 02.6590 05/24/2031	0.06%
CAS 2017-C05 1B1 04.0566 01/25/2030	0.06%
EMBOTELLADORAS ARCA SA-NOM SEDOL 2823885	0.06%
FNR 2018-58 IO IO 05.5000 08/25/2048	0.06%
TISCO FINANCIAL-FOREIGN SEDOL B3KFW76	0.06%
INTL CONTAINER TERM SVCS INC SEDOL 6455819	0.06%
FNR 2012-124 UI IO 04.0000 11/25/2042	0.05%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026	0.05%
GNR 2010-9 UI IO 05.0000 01/20/2040	0.05%
CIPLA LTD SEDOL B011108	0.05%
BOSIDENG INTL HLDGS LTD SEDOL B24FZ32	0.05%
FNMA FN30 AB7936 UMBS 03.0000 02/01/2043	0.05%
1.85 R ISWP FWD SOFR P 06/15/2027	0.05%
GNR 2016-H03 AI IO 01.7268 01/20/2066	0.05%
COMM 2014-CR17 D 144A 04.8480 05/10/2047	0.05%
GNR 2014-104 IO IO 04.0000 03/20/2042	0.05%
GNR 2016-H23 NI IO 02.0966 10/20/2066	0.05%
CAS 2017-C03 1B1 05.3066 10/25/2029	0.05%
FHLMC FR30 ZA4291 UMBS 03.5000 08/01/2043	0.05%
FNMA FN30 AU1625 UMBS 03.5000 07/01/2043	0.04%
JPMCC 2013-LC11 E 144A 03.2500 04/15/2046	0.04%
MWST 2020-2 A 01.2566 11/25/2053	0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS	0.04%
FNMA FN30 AR6852 UMBS 03.0000 02/01/2043	0.04%
GNR 2015-H09 AI IO 01.7340 04/20/2065	0.04%
GNR 2018-91 SJ IO 05.8014 07/20/2048	0.04%
IHS HOLDING LTD REGS 06.2500 11/29/2028	0.04%
2.325 R ISWP FWD CDOR03 P 06/15/2032	0.04%
GNR 2017-H02 BI IO 02.1104 01/20/2067	0.04%
GNR 2009-121 UI IO 05.0000 12/20/2039	0.04%
GNR 2014-76 IO IO 05.0000 05/20/2044	0.04%
GNR 2015-H14 BI IO 01.5397 05/20/2065	0.04%
COMM 2012-LC4 E 144A 04.2500 12/10/2044	0.04%
KT CORP SEDOL 6505316	0.04%
EXTRA AB R SOFRRATE P 06/20/23 BA	0.04%
SHINHAN FINANCIAL GROUP LTD SEDOL 6397502	0.04%
ZHUZHOU KIBING GROUP CO 144A/REGS WARRANT 07/29/2022	0.04%
2.355 R ISWP FWD NOKOIB6M P 06/15/2032	0.04%
FHLMC FR30 ZA4202 UMBS 03.0000 03/01/2043	0.04%
FNMA FN30 AO5471 UMBS 03.5000 06/01/2042	0.04%
GNR 2015-H26 DI IO 01.7066 10/20/2065	0.04%
GNR 2018-127 IC IO 05.0000 10/20/2044	0.04%
UNITED TRACTORS TBK PT SEDOL 6230845	0.04%
1.285 R ISWP SOFRRATE P 12/23/2031	0.04%
PETROLEOS MEXICANOS USD 07.6900 01/23/2050	0.04%
COCA-COLA ICECEK AS SEDOL B058ZV4	0.03%
GNR 2015-167 BI IO 04.5000 04/16/2045	0.03%
ITAU UNIBANCO/KY P/P 144A 03.8750 04/15/2031	0.03%
GNR 2016-H04 KI IO 01.6228 02/20/2066	0.03%
GNR 2016-H16 DI IO 02.2438 06/20/2066	0.03%
GRUPO BIMBO SAB- SERIES A SEDOL 2392471	0.03%
AHM 2007-1 GA1C 00.6466 05/25/2047	0.03%
COMM 2012-CR3 F 144A 04.7500 10/15/2045	0.03%
DOMINICAN REPUBLIC REGS 06.4000 06/05/2049	0.03%
DOMINICAN REPUBLIC REGS 06.8750 01/29/2026	0.03%
GNR 2015-187 JI IO 04.0000 03/20/2045	0.03%
REP OF COTE D'IVOIRE P/P 144A 05.2500 03/22/2030	0.03%
ARAB REPUBLIC OF EGYPT REGS 07.6003 03/01/2029	0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML	0.03%
GNR 2015-H24 HI IO 02.0875 09/20/2065	0.03%
INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979	0.03%
SPST 2021-14 A1 01.1549 12/08/2022	0.03%
WFRBS 2012-C10 E 144A 04.4119 12/15/2045	0.03%
ARAB REPUBLIC OF EGYPT REGS 07.3000 09/30/2033	0.03%
FHR 4158 TI IO 03.0000 12/15/2042	0.03%
FHR 4193 PI IO 04.0000 03/15/2043	0.03%
STACR 2018-HQA2 B2 11.4566 10/25/2048	0.03%
FHR 4150 DI IO 03.0000 01/15/2043	0.03%
CHINA MERCHANTS BANK-H SEDOL B1DYPZ5	0.03%
GNR 2016-H11 HI IO 02.0989 01/20/2066	0.03%
TURKIYE GARANTI BANKASI SEDOL B03MYP5	0.03%
DOMINICAN REPUBLIC REGS 05.9500 01/25/2027	0.03%
GNR 2016-H04 HI IO 02.3814 07/20/2065	0.03%
GNR 2014-163 NI IO 05.0000 02/20/2044	0.02%
ASTRA INTERNATIONAL TBK PT SEDOL B800MQ5	0.02%
FNR 2012-151 PI IO 03.0000 01/25/2043	0.02%
G-BITS NETWORK TECHNOLOGY 144A/REGS WARRANT 10/21/2022	0.02%
3.10 R ISWP FWD NFIX3MID P 06/15/2032	0.02%
GNR 2012-145 IO IO 03.5000 12/20/2042	0.02%
RALI 2006-QO10 A1 00.7766 01/25/2037	0.02%
DOMINICAN REPUBLIC REGS 04.8750 09/23/2032	0.02%
FHR 4136 IW IO 03.5000 10/15/2042	0.02%
FNR 2013-21 AI IO 03.5000 03/25/2033	0.02%
PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028	0.02%
CMB CMBX.NA.BBB-.8 2057-10-17 300.0 10/17/2057 MS	0.02%
RALI 2006-QO5 1A1 00.8866 05/25/2046	0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS	0.02%
PETROBRAS GLOBAL FINANCE USD 05.6000 01/03/2031	0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS	0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML	0.02%
MHL 2004-1 M2 01.4616 11/25/2034	0.02%
GNR 2010-35 AI IO 04.5000 03/20/2040	0.02%
FHR 4206 IP IO 03.0000 12/15/2041	0.02%
GSAA 2007-6 1A1 00.6966 05/25/2047	0.02%
PETROBRAS GLOBAL FINANCE USD 05.5000 06/10/2051	0.02%
STACR 2019-DNA3 B2 08.6066 07/25/2049	0.02%
1.455 R ISWP FWD SONIA P 06/15/2032	0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP	0.02%
FHR 4122 TI IO 04.5000 10/15/2042	0.02%
GNR 2010-20 UI IO 05.0000 02/20/2040	0.02%
GNR 2011-17 S IO 05.6014 02/20/2041	0.02%
GNR 2013-151 IB IO 04.5000 02/20/2040	0.02%
GNR 2013-3 IT IO 05.0000 01/20/2043	0.02%
STACR 2019-DNA1 M2 03.1066 01/25/2049	0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS	0.01%
GNR 2012-8 PI IO 04.0000 05/20/2041	0.01%
STACR 2018-DNA2 B1 04.1566 12/25/2030	0.01%
CAS 2017-C06 2M2 03.2566 02/25/2030	0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.01%
EVR LN R SOFR P 12/15/25 GS	0.01%
GNR 2013-6 AI IO 03.5000 08/20/2039	0.01%
GNR 2015-24 IA IO 03.5000 02/20/2045	0.01%
BACM 2005-1 C 05.1165 11/10/2042	0.01%
GNR 2010-9 QI IO 04.5000 01/20/2040	0.01%
PETROLEOS MEXICANOS USD 06.7000 02/16/2032	0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG	0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG	0.01%
PETROLEOS MEXICANOS USD 05.9500 01/28/2031	0.01%
STACR 2019-DNA2 B2 10.9566 03/25/2049	0.01%
WFRBS 2011-C4 E 144A 04.8879 06/15/2044	0.01%
2.05 R ISWP FWD SOFR P 06/15/2052	0.01%
CAS 2015-C04 2M2 06.0066 04/25/2028	0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG	0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS	0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML	0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.01%
FNR 2017-113 IO IO 05.0000 01/25/2038	0.01%
GNMA GII30 BN1509 05.0000 05/20/2049	0.01%
GNR 2010-35 QI IO 04.5000 03/20/2040	0.01%
GNR 2010-35 UI IO 05.0000 03/20/2040	0.01%
GNR 2012-50 PI IO 04.0000 12/20/2041	0.01%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024	0.01%
FHR 2990 LB 15.9321 06/15/2034	0.01%
FHR 4183 MI IO 03.0000 02/15/2042	0.01%
GNMA GII30 BP7527 03.5000 10/20/2049	0.01%
GNR 2013-24 PI IO 04.0000 11/20/2042	0.01%
GNR 2013-37 JI IO 03.5000 01/20/2043	0.01%
GNR 2013-79 XI IO 03.5000 11/20/2039	0.01%
MSBAM 2013-C11 E 144A 04.3517 08/15/2046	0.01%
FNR 2005-74 NK 25.2172 05/25/2035	0.01%
FNR 2014-10 IO IO 03.5000 08/25/2042	0.01%
GNR 2009-121 BI IO 04.5000 12/16/2039	0.01%
GNR 2013-129 SN IO 05.7014 09/20/2043	0.01%
GNR 2013-99 VS IO 05.6694 07/16/2043	0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS	0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS	0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS	0.01%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022	0.01%
2.67 R ISWP FWD AUDBB6M P 06/15/2032	0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML	0.01%
FHR 4369 IA IO 03.5000 07/15/2044	0.01%
FNR 2013-6 BI IO 03.0000 12/25/2042	0.01%
GNMA GII30 BN1507 05.0000 05/20/2049	0.01%
GNR 2012-106 QI IO 04.0000 07/20/2042	0.01%
SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA	0.01%
TXU TCEH RIGHTS	0.01%
WFRBS 2011-C3 E 144A 05.0000 03/15/2044	0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG	0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.00%
GCAT 2020-NQM2 A3 02.9350 04/25/2065	0.00%
GNMA GII30 BN1508 05.0000 05/20/2049	0.00%
GNR 2013-100 MI IO 03.5000 02/20/2043	0.00%
1.285 R ISWP SOFRRATE P 12/24/2031	0.00%
BACM 2008-1 C P/P 144A 06.1291 02/10/2051	0.00%
CMB CMBX.NA.BBB-.8 2057-10-17 300.0 10/17/2057 MS	0.00%
FNMA FN30 BO0182 UMBS 05.0000 05/01/2049	0.00%
FNR 2012-136 PI IO 03.5000 11/25/2042	0.00%
FNR 2012-22 CI IO 04.0000 03/25/2041	0.00%
GNMA GII30 BN1510 05.5000 05/20/2049	0.00%
GNR 2013-37 LI IO 03.5000 01/20/2042	0.00%
GNR 2014-63 PI IO 04.0000 07/20/2043	0.00%
GNR 2015-36 GI IO 03.5000 06/16/2041	0.00%
CAS 2015-C02 1M2 04.4566 05/25/2025	0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG	0.00%
FNMA FN30 BN9825 UMBS 05.0000 05/01/2049	0.00%
FNMA FN30 BO3442 UMBS 05.0000 08/01/2049	0.00%
GNMA GII30 BN1511 05.5000 05/20/2049	0.00%
GNMA GII30 BP7627 03.5000 11/20/2049	0.00%
GNR 2013-27 PI IO 03.5000 12/20/2042	0.00%
GNR 2015-99 LI IO 04.0000 07/20/2045	0.00%
GNR 2018-127 IA IO 03.5000 04/20/2042	0.00%
MSBAM 2013-C11 F 144A 04.3517 08/15/2046	0.00%
UBSBB 2012-C2 F 144A 05.0000 05/10/2063	0.00%
BSCMS 2007-T26 AJ 05.5660 01/12/2045	0.00%
FHR 4213 GI IO 04.0000 11/15/2041	0.00%
FNMA FN30 BO0212 UMBS 04.5000 05/01/2049	0.00%
FNW 1998-W2 X IO 00.2831 06/25/2028	0.00%
GNR 2014-108 IP IO 04.5000 12/20/2042	0.00%
GNR 2015-24 IC IO 03.5000 11/20/2037	0.00%
GNR 2019-78 SJ IO 05.6014 06/20/2049	0.00%
GNR 2019-99 KS IO 05.6014 08/20/2049	0.00%
GNR 2020-15 CS IO 05.6014 02/20/2050	0.00%
STACR 2019-DNA2 M2 02.9066 03/25/2049	0.00%
SWPTN SOFR 1MX10Y R 2.194 USD 04/22/2022 CI	0.00%
2.3005 R ISWP SOFR P 03/31/2024	0.00%
2.3365 R ISWP SOFR P 03/31/2027	0.00%
FHR 3175 MO PO 00.0000 06/15/2036	0.00%
FHR 4355 DI IO 04.0000 03/15/2044	0.00%
FNMA FN30 BN3050 UMBS 05.0000 01/01/2049	0.00%
FNR 2008-36 OV PO 00.0000 01/25/2036	0.00%
FNR 2013-23 PI IO 03.0000 10/25/2041	0.00%
FNR 2013-31 NI IO 03.0000 06/25/2041	0.00%
FNR 2015-10 AI IO 03.5000 08/25/2043	0.00%
FNW 1998-W5 X IO 00.0478 07/25/2028	0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033	0.00%
FSPC T-59 1AX IO 00.2774 10/25/2043	0.00%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS	0.00%
SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA	0.00%
2.247 R ISWP SOFR P 04/01/2027	0.00%
BACM 2007-1 XW IO 00.3140 01/15/2049	0.00%
CAS 2015-C03 2M2 05.4566 07/25/2025	0.00%
FNS 397 2 IO 05.0000 09/25/2039	0.00%
FSPC T-8 A9 IO 00.4477 11/15/2028	0.00%
GLOW ENERGY PCL - FOREIGN SEDOL B074GX9	0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040	0.00%
GNR 2013-157 IA IO 03.5000 04/20/2040	0.00%
GNR 2013-183 AI IO 03.5000 10/20/2039	0.00%
GSMPS 1999-2 IO IO 00.4313 09/19/2027	0.00%
GUARANTEED RATE INC-WTS	0.00%
LBUBS 2007-C2 XW IO 00.0000 02/15/2040	0.00%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027	0.00%
WBCMT 2006-C29 IO IO 00.0000 11/15/2048	0.00%
2.2915 R ISWP SOFR P 04/01/2027	-0.00%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS	-0.00%
2.26 R ISWP SOFR P 03/30/2032	-0.00%
2.2655 R ISWP SOFR P 03/30/2032	-0.00%
2.29325 R ISWP SOFR P 03/31/2027	-0.00%
2.3535 R ISWP SOFR P 03/30/2027	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA	-0.00%
1.096 R ISWP SOFRRATE P 12/24/2026	-0.00%
1.86 R ISWP FWD SOFR P 02/24/2052	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.00%
SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
SWPTN SOFR 1MX10Y P 2.194 USD 04/22/2022 CI	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC	-0.01%
1.435 R ISWP SOFRRATE P 12/24/2051	-0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
1.497 R ISWP FWD SES3M P 06/15/2032	-0.01%
ZYXI US P SOFR R 07/05/24 CI	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML	-0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS	-0.02%
SFIX US P SOFR R 07/05/24 CI	-0.02%
EBIX US P SOFR R 07/05/24 CI	-0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.02%
1.762 R ISWP FWD SOFR P 06/15/2032	-0.02%
SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA	-0.02%
215600 KS P SOFRRATE R 12/15/25 GS	-0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG	-0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.04%
WDFC US P SOFR R 07/05/24 CI	-0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.04%
0.565 R ISWP FWD SARON P 06/15/2032	-0.04%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC	-0.04%
BGS US P SOFR R 07/05/24 CI	-0.05%
PLUG US P SOFR R 07/05/24 CI	-0.05%
VICR US P SOFR R 07/05/24 CI	-0.06%
BYND US P SOFRRATE R 12/15/25 GS	-0.06%
SANM US P SOFR R 07/05/24 CI	-0.06%
FFIV US P SOFR R 07/05/24 CI	-0.07%
VEEV US P SOFR R 07/05/24 CI	-0.07%
1.95 R ISWP FWD SOFR P 06/15/2032	-0.07%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS	-0.07%
BE US P SOFRRATE R 12/15/25 GS	-0.08%
ACIW US P SOFR R 07/05/24 CI	-0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.08%
AAON US P SOFR R 07/05/24 CI	-0.09%
0.915 R ISWP FWD EUR006M P 06/15/2032	-0.10%
DSEY US P SOFR R 07/05/24 CI	-0.10%
FOUR US P SOFR R 07/05/24 CI	-0.10%
PGNY US P SOFRRATE R 12/15/25 GS	-0.10%
AHCO US P SOFR R 07/05/24 CI	-0.11%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG	-0.11%
WHR US P SOFR R 07/05/24 CI	-0.11%
CALX US P SOFR R 07/05/24 CI	-0.12%
GH US P SOFR R 07/05/24 CI	-0.12%
HCSG US P SOFR R 07/05/24 CI	-0.12%
LUMN US P SOFR R 07/05/24 CI	-0.12%
NEWR US P SOFRRATE R 12/15/25 GS	-0.12%
ENR US P SOFR R 07/05/24 CI	-0.13%
FSLR US P SOFRRATE R 12/15/25 GS	-0.13%
FCNCA US P SOFR R 07/05/24 CI	-0.13%
PRIM US P SOFR R 07/05/24 CI	-0.15%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.15%
OLED US P SOFR R 07/05/24 CI	-0.16%
AAP US P SOFR R 07/05/24 CI	-0.16%
AIR US P SOFR R 07/05/24 CI	-0.16%
DY US P SOFR R 07/05/24 CI	-0.18%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS	-0.19%
1.80 R ISWP FWD SOFR P 06/15/2024	-0.20%
CPURNSA P 2.78 R 01/15/32	-0.22%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS	-0.24%
CDX CDX.NA.HY.37 500.0 12/20/2026	-0.26%
ELAN US P SOFR R 07/05/24 CI	-0.27%
BHC US P SOFR R 07/05/24 CI	-0.32%
PEN US P SOFR R 07/05/24 CI	-0.32%
RL US P SOFR R 07/05/24 CI	-0.36%
TSLA US P SOFR R 07/05/24 CI	-0.43%
LHX US P SOFR R 07/05/24 CI	-0.44%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG	-0.45%
CPURNSA P 2.7375 R 09/13/26	-0.53%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP	-0.76%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS	-1.36%
FNMA FN30 TBA UMBS 02.5000 04/01/2052	-1.58%
FNMA FN30 TBA UMBS 02.0000 05/01/2052	-3.07%
FNMA FN30 TBA UMBS 02.0000 04/01/2052	-3.22%
NDUEEGF P SOFRRATE R 11/02/22 UB	-7.75%
NDUEEGF P SOFRRATE R 11/02/22 CS	-8.19%
US 5YR NOTE (CBT) JUN22 FVM2	-10.42%
RU10INTR P SOFR R 03/24/23 BA	-22.76%
GSGLPWDS P SOFR R 12/15/25 GS	-33.31%
US 2YR NOTE (CBT) JUN22 TUM2	-33.66%
SPTR P SOFR R 05/22/23 UB	-37.97%

US 10YR NOTE (CBT)JUN22 TYM2	55.96%
UBSPUSER R SOFR P 05/22/23 UB	36.86%
GSGLPWDL R SOFRRATE P 12/15/25 GS	34.15%
MLFCF15 R SOFR P 02/15/23 BA	22.22%
REPO TRIPA MORTG 0.06 03/01/2022	20.32%
REPO TRIPA MORTG 0.05 03/01/2022	20.32%
BEFSBAXD R 0.1 P 05/26/22 BC	8.83%
S&P500 EMINI FUT MAR22 ESH2	8.71%
JPCMPTFL R SOFR P 01/14/23 JP	5.40%
GSVIUS85 R 0.45 P 12/15/25 GS	5.12%
FNMA FN30 TBA UMBS 03.5000 03/01/2052	4.81%
FNMA FN30 TBA UMBS 04.0000 03/01/2052	4.00%
GSVIVV69 R 0.3 P 12/15/25 GS	3.38%
ENERGY SELECT SECTOR SPDR SEDOL 2402466	3.34%
CITI CROSS-ASSET TREND 10% VOL INDEX	2.73%
TREASURY BILL 00.0000 05/19/2022	2.08%
TREASURY BILL 00.0000 03/03/2022	1.98%
TREASURY BILL 00.0000 04/07/2022	1.69%
CITI COMMOD F3-F0 4X LEVERED INDEX	1.68%
GSVICUB3 R 0.45 P 12/15/25 GS	1.63%
FINANCIAL SELECT SECTOR SPDR SEDOL 2364038	1.57%
SP GSCI LIGHT ENERGY	1.56%
CONSUMER STAPLES SPDR SEDOL 2369389	1.54%
BAML COMMODITY MLBX4SX6 ER STRATEGY	1.51%
HEALTH CARE SELECT SECTOR SEDOL 2371823	1.46%
MATERIALS SELECT SECTOR SPDR SEDOL 2436841	1.46%
GSVIVVOL R 0.3 P 12/15/25 GS	1.46%
TREASURY BILL 00.0000 03/24/2022	1.43%
TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382	1.16%
TREASURY BILL 00.0000 03/10/2022	1.10%
FNMA FN30 TBA UMBS 03.0000 03/01/2052	1.01%
SAMSUNG ELECTRONICS CO LTD SEDOL 6771720	0.95%
TREASURY BILL 00.0000 04/21/2022	0.67%
BPCE SA 05571CC74 DCP 03/07/2022	0.58%
CHARIOT FUNDING LLC 15963UCQ7 DCP 03/24/2022	0.58%
LIBERTY STREET FUNDING LLC 53127UC16 DCP 03/01/2022	0.58%
LLOYDS BANK PLC 53943SC88 DCP 03/08/2022	0.58%
MITSUBISHI UFJ TRUST & BANKIN 60682XCM6 DCP 03/21/2022	0.58%
SKANDINAVISKA ENSKILDA BANKEN 83050UCQ9 DCP 03/24/2022	0.58%
SUMITOMO MITSUI TRUST BANK LT 86564XDJ0 DCP 04/18/2022	0.58%
CORPORATE ASSET FUNDING CO IN 1247P3DN9 DCP 04/22/2022	0.58%
NRW BANK 62939MC13 DCP 03/01/2022	0.54%
ALIBABA GROUP HOLDING LTD SEDOL BK6YZP5	0.50%
AUSTRALIA & NEW ZEALAND BANKI 05253CCP9 DCP 03/23/2022	0.50%
METLIFE SHORT TERM FUNDING LL 59157UCU2 DCP 03/28/2022	0.50%
NATIONAL AUSTRALIA BANK LTD 63254FC13 DCP 03/01/2022	0.50%
TENCENT HOLDINGS LTD SEDOL BMMV2K8	0.44%
CAS 2016-C02 1B 12.4369 09/25/2028	0.42%
INFOSYS LTD SEDOL 6205122	0.42%
RJHI AB R SOFRRATE P 06/20/23 BA	0.41%
JD.COM INC - CL A SEDOL BKPQZT6	0.38%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP	0.36%
FNMA FN30 TBA UMBS 04.5000 03/01/2052	0.35%
PING AN INSURANCE GROUP CO-H SEDOL B01FLR7	0.34%
CHINA SHENHUA ENERGY CO-H SEDOL B09N7M0	0.32%
CPFL ENERGIA SA SEDOL B031NN3	0.31%
HANA FINANCIAL GROUP SEDOL B0RNRF5	0.31%
WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3	0.31%
SOUTHERN COPPER CORP SEDOL 2823777	0.31%
KB FINANCIAL GROUP INC SEDOL B3DF0Y6	0.30%
COSCO SHIPPING HOLDINGS CO-H SEDOL B0B8Z18	0.29%
EVERGREEN MARINE CORP LTD SEDOL 6324500	0.29%
BANK OF JIANGSU CO LTD 144A/REGS WARRANT 09/28/2022	0.28%
CSPC PHARMACEUTICAL GROUP LT SEDOL 6191997	0.28%
BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4	0.28%
VEDANTA LTD SEDOL 6136040	0.28%
AMBEV SA SEDOL BG7ZWY7	0.27%
YUM CHINA HOLDINGS INC SEDOL BN2BD13	0.27%
BF0101 03.5000 06/01/2056	0.27%
JPMBB 2014-C18 D 144A 04.7929 02/15/2047	0.27%
YOUNGOR GROUP CO 144A/REGS WARRANT 07/29/2022	0.26%
MSBAM 2013-C10 D 144A 04.0743 07/15/2046	0.26%
KIA CORP SEDOL 6490928	0.25%
TECH MAHINDRA LTD SEDOL BWFGD63	0.24%
ANGLO AMERICAN PLATINUM LTD SEDOL 6761000	0.24%
WIPRO LTD SEDOL 6206051	0.24%
NOVATEK MICROELECTRONICS COR SEDOL 6346333	0.24%
ZHONGSHENG GROUP HOLDINGS SEDOL B633D97	0.23%
CHAILEASE HOLDING CO LTD SEDOL B58J1S8	0.23%
STACR 2016-DNA1 B 10.1869 07/25/2028	0.23%
CHINA INTL CAPITA-H SEDOL BZ169C6	0.22%
MINDTREE LTD SEDOL B1LHCW2	0.22%
SHENZHEN MINDRAY BIO-MEDICAL ELEC CO 144A/REGS WARRANT 12/07	0.21%
SRI TRANG GLOVES THA-FOREIGN SEDOL BMGJNP0	0.21%
IVORY COAST REGS 06.1250 06/15/2033	0.21%
PARADE TECHNOLOGIES LTD SEDOL B6RV676	0.20%
SAMSUNG ELECTRO-MECHANICS CO SEDOL 6771689	0.20%
SANY HEAVY INDUSTRY CO LTD 144A/REGS WARRANT 02/10/2023	0.20%
CATHAY FINANCIAL HOLDING CO SEDOL 6425663	0.19%
BANCO BRADESCO SA-PREF SEDOL B00FM53	0.19%
SUN PHARMA INDUS SEDOL 6582483	0.19%
XINYI GLASS HOLDINGS LTD SEDOL B05NXN7	0.18%
FNMA FN30 TBA UMBS 05.5000 03/01/2052	0.18%
REPUBLIC OF INDONESIA REGS 05.8750 01/15/2024	0.18%
JPMBB 2013-C14 E 144A 04.5477 08/15/2046	0.18%
SHAANXI COAL INDUSTRY 144A/REGS WARRANT 07/29/2022	0.18%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP	0.17%
SHRP 2020-1 NOTE 03.0253 07/25/2024	0.17%
JPMCC 2012-C6 G 144A 02.9720 05/15/2045	0.16%
FHS 315 PO PO 00.0000 09/15/2043	0.15%
TATA STEEL LTD SEDOL 6101156	0.15%
FNR 2017-8 SB IO 05.9131 02/25/2047	0.15%
QUANTA COMPUTER INC SEDOL 6141011	0.14%
FHR 5082 IQ IO 03.0000 03/25/2051	0.14%
KUMHO PETROCHEMICAL CO LTD SEDOL 6499323	0.14%
CAS 2015-C04 1M2 05.8869 04/25/2028	0.14%
CHINA YONGDA AUTOMOBILES SER SEDOL B8F2T65	0.14%
TATA CONSULTANCY SVS LTD SEDOL B01NPJ1	0.14%
FNR 2017-74 SA IO 05.5631 10/25/2047	0.13%
CHINA MEDICAL SYSTEM HOLDING SEDOL B6WY993	0.13%
MRAIT 2020-2 A2 01.3063 08/15/2022	0.13%
GNR 2015-H20 CI IO 01.8090 08/20/2065	0.13%
FHR 5125 MI IO 04.5000 11/25/2048	0.13%
REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033	0.12%
FNMA FN30 AL6919 UMBS 05.5000 01/01/2038	0.12%
FNR 2020-93 WI IO 05.0000 06/25/2050	0.12%
FHR 4976 MI IO 04.5000 05/25/2050	0.12%
GSMS 2014-GC24 D 144A 04.5327 09/10/2047	0.12%
FHR 5010 IE IO 04.0000 09/25/2050	0.12%
GNR 2015-H10 CI IO 01.7910 04/20/2065	0.12%
HAITIAN INTERNATIONAL HLDGS SEDOL B1L2RC2	0.12%
THAI UNION GROUP PCL-F SEDOL BYTBHT9	0.12%
FHR 3852 NT 05.8089 05/15/2041	0.12%
FNR 2019-49 ST IO 05.8331 09/25/2049	0.12%
UNITED MICROELECTRONICS CORP SEDOL 6916628	0.12%
MSC 2006-HQ10 B 05.4480 11/12/2041	0.11%
STRU BMOC-6900 AI IO 03.0000 03/25/2051	0.11%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS	0.11%
FNR 2021-17 KI IO 04.5000 04/25/2051	0.11%
WFRBS 2011-C4 F 144A 04.8877 06/15/2044	0.11%
1.3265 R ISWP SOFRRATE P 01/03/2032	0.11%
FHR 5128 IE IO 04.5000 07/25/2051	0.11%
GNR 2016-H02 BI IO 01.6700 11/20/2065	0.11%
GNR 2021-78 IP IO 03.0000 05/20/2051	0.11%
JPMCC 2012-C6 F 144A 05.2166 05/15/2045	0.11%
REALTEK SEMICONDUCTOR CORP SEDOL 6051422	0.11%
CHINA FEIHE LTD SEDOL BK0SBL1	0.10%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG	0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS	0.10%
FHR 5043 IO IO 05.0000 11/25/2050	0.10%
HELLENIC TELECOMMUN ORGANIZA SEDOL 5051605	0.10%
GNR 2015-H25 BI IO 01.7093 10/20/2065	0.10%
GNR 2020-112 MS IO 06.1383 08/20/2050	0.10%
GNR 2015-H19 NI IO 01.8920 07/20/2065	0.10%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS	0.10%
SAMI 2007-AR1 2A1 00.3669 01/25/2037	0.10%
CHINA MINSHENG BANKING COR-H SEDOL B57JY24	0.10%
FNR 2021-25 IJ IO 03.5000 05/25/2051	0.10%
BSCMS 2005-PWR7 C 05.2350 02/11/2041	0.10%
IHEARTMEDIA INC - CLASS A SEDOL BJVR9Y9	0.10%
SPST 2021-10 A 00.0000 08/08/2022	0.10%
SPST 2021-6 A 00.9759 04/25/2022	0.10%
BSCMS 2005-PWR7 D 05.3040 02/11/2041	0.09%
EXTRA AB R SOFRRATE P 06/20/23 BA	0.09%
CMLTI 2007-AMC3 A2D 00.5369 03/25/2037	0.09%
FHR 5119 IB IO 03.0000 06/25/2041	0.09%
FNR 2015-28 IO IO 05.5000 05/25/2045	0.09%
FNR 2021-44 NI IO 03.0000 07/25/2051	0.09%
GNR 2015-H25 AI IO 01.5982 09/20/2065	0.09%
GNR 2020-186 DI IO 03.0000 12/20/2050	0.09%
CTBC FINANCIAL HOLDING CO LT SEDOL 6527666	0.09%
GNR 2015-H15 JI IO 01.9409 06/20/2065	0.09%
OPAP SA SEDOL 7107250	0.09%
CAS 2022-R02 2M2 03.0487 01/25/2042	0.09%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.09%
FNR 2021-67 IG IO 03.0000 10/25/2051	0.09%
SPST 2021-16 A1 00.7293 11/07/2022	0.09%
BANCO SANTANDER CHILE SEDOL 2000257	0.08%
MRAIT 2020-11 A1X 01.8911 04/22/2022	0.08%
MRAIT 2021-EBO1 A2X 01.8563 04/15/2022	0.08%
MRAIT 2021-NA1 A1X 01.6019 03/08/2022	0.08%
POSCO SEDOL 6693233	0.08%
GNR 2015-53 MI IO 04.0000 04/16/2045	0.08%
MARFRIG GLOBAL FOODS SA SEDOL B1YWHR4	0.08%
MRAIT 2021-8 A2X 01.2563 05/15/2022	0.08%
GNR 2015-H16 XI IO 01.8633 07/20/2065	0.08%
REPUBLIC OF GHANA REGS 08.1250 01/18/2026	0.08%
FNR 2020-62 CI IO 04.0000 06/25/2048	0.08%
GNR 2015-H09 BI IO 01.6623 03/20/2065	0.08%
LG ELECTRONICS INC SEDOL 6520739	0.08%
CAS 2017-C06 2B1 04.6369 02/25/2030	0.08%
GNR 2014-H21 AI IO 01.4426 10/20/2064	0.08%
MWST 2020-1 A 01.0869 10/25/2053	0.08%
FHR 5018 QI IO 05.0000 10/25/2050	0.08%
FNR 2021-15 JI IO 04.5000 04/25/2051	0.08%
GNR 2016-150 I IO 05.0000 11/20/2046	0.07%
WFRBS 2013-C15 D 144A 04.5028 08/15/2046	0.07%
MSC 2011-C3 G 144A 05.0856 07/15/2049	0.07%
FNR 2016-3 NI IO 06.0000 02/25/2046	0.07%
FHR 5060 EI IO 03.5000 01/25/2051	0.07%
1.695 R ISWP FWD NOKOIB6M P 03/16/2032	0.07%
FHR 5160 IW IO 03.0000 10/25/2050	0.07%
EMAMI LTD SEDOL 6741035	0.07%
FHR 4727 SA IO 06.0089 11/15/2047	0.07%
GNR 2020-167 PI IO 03.5000 11/20/2050	0.07%
GNR 2015-80 IA IO 04.5000 06/20/2045	0.07%
GNR 2015-H25 EI IO 01.8304 10/20/2065	0.07%
ROMANIA P/P 144A 03.6250 03/27/2032	0.07%
GNR 2015-H26 EI IO 01.7091 10/20/2065	0.06%
FNR 2011-4 CS 12.5263 05/25/2040	0.06%
0.85 R ISWP FWD SONIA P 03/16/2032	0.06%
GNR 2016-H03 AI IO 01.7217 01/20/2066	0.06%
BOSIDENG INTL HLDGS LTD SEDOL B24FZ32	0.06%
CAS 2017-C05 1B1 03.7869 01/25/2030	0.06%
FNR 2018-58 IO IO 05.5000 08/25/2048	0.06%
UNITED MEXICAN STATES USD 02.6590 05/24/2031	0.06%
WBCMT 2005-C21 E 144A 05.1680 10/15/2044	0.06%
TISCO FINANCIAL-FOREIGN SEDOL B3KFW76	0.06%
EMBOTELLADORAS ARCA SA-NOM SEDOL 2823885	0.06%
GNR 2016-H23 NI IO 02.0943 10/20/2066	0.06%
WFCM 2013-LC12 D 144A 04.3049 07/15/2046	0.06%
GNR 2015-H09 AI IO 01.7315 04/20/2065	0.06%
INTL CONTAINER TERM SVCS INC SEDOL 6455819	0.05%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026	0.05%
GNR 2017-H14 DI IO 01.6916 06/20/2067	0.05%
GNR 2018-91 SJ IO 06.0883 07/20/2048	0.05%
GNR 2010-9 UI IO 05.0000 01/20/2040	0.05%
GNR 2016-H08 GI IO 01.4140 04/20/2066	0.05%
FNMA FN30 AB7936 UMBS 03.0000 02/01/2043	0.05%
FNR 2012-124 UI IO 04.0000 11/25/2042	0.05%
FHLMC FR30 ZA4291 UMBS 03.5000 08/01/2043	0.05%
COMM 2014-CR17 D 144A 04.8475 05/10/2047	0.05%
GNR 2014-104 IO IO 04.0000 03/20/2042	0.05%
GNR 2015-H26 DI IO 01.7056 10/20/2065	0.05%
CAS 2017-C03 1B1 05.0369 10/25/2029	0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS	0.05%
FNMA FN30 AU1625 UMBS 03.5000 07/01/2043	0.05%
GNR 2017-H02 BI IO 02.1100 01/20/2067	0.05%
CIPLA LTD SEDOL B011108	0.05%
MWST 2020-2 A 00.9869 11/25/2053	0.05%
FNMA FN30 AR6852 UMBS 03.0000 02/01/2043	0.04%
JPMCC 2013-LC11 E 144A 03.2500 04/15/2046	0.04%
IHS HOLDING LTD REGS 06.2500 11/29/2028	0.04%
ZHUZHOU KIBING GROUP CO 144A/REGS WARRANT 07/29/2022	0.04%
GNR 2016-H04 KI IO 01.5028 02/20/2066	0.04%
GNR 2014-76 IO IO 05.0000 05/20/2044	0.04%
GNR 2015-H14 BI IO 01.5276 05/20/2065	0.04%
GNR 2009-121 UI IO 05.0000 12/20/2039	0.04%
FHLMC FR30 ZA4202 UMBS 03.0000 03/01/2043	0.04%
POWERLONG REAL ESTATE HOLDIN SEDOL B4LL9N5	0.04%
2.59 R ISWP FWD NFIX3MID P 03/16/2032	0.04%
FNMA FN30 AO5471 UMBS 03.5000 06/01/2042	0.04%
GNR 2016-H16 DI IO 02.2405 06/20/2066	0.04%
GNR 2018-127 IC IO 05.0000 10/20/2044	0.04%
KT CORP SEDOL 6505316	0.04%
PETROLEOS MEXICANOS USD 07.6900 01/23/2050	0.04%
SHINHAN FINANCIAL GROUP LTD SEDOL 6397502	0.04%
GNR 2015-H24 HI IO 02.0876 09/20/2065	0.04%
COCA-COLA ICECEK AS SEDOL B058ZV4	0.03%
GNR 2015-167 BI IO 04.5000 04/16/2045	0.03%
GRUPO BIMBO SAB- SERIES A SEDOL 2392471	0.03%
ITAU UNIBANCO/KY P/P 144A 03.8750 04/15/2031	0.03%
COMM 2012-LC4 E 144A 04.2500 12/10/2044	0.03%
DOMINICAN REPUBLIC REGS 06.8750 01/29/2026	0.03%
GNR 2015-H10 EI IO 01.5813 04/20/2065	0.03%
REP OF COTE D'IVOIRE P/P 144A 05.2500 03/22/2030	0.03%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022	0.03%
AHM 2007-1 GA1C 00.3769 05/25/2047	0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML	0.03%
COMM 2012-CR3 F 144A 04.7500 10/15/2045	0.03%
DOMINICAN REPUBLIC REGS 06.4000 06/05/2049	0.03%
ENN NATURAL GAS CO 144A/REGS WARRANT 10/21/2022	0.03%
GNR 2015-187 JI IO 04.0000 03/20/2045	0.03%
INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979	0.03%
ARAB REPUBLIC OF EGYPT REGS 07.6003 03/01/2029	0.03%
FHR 4158 TI IO 03.0000 12/15/2042	0.03%
GNR 2016-H11 HI IO 02.0979 01/20/2066	0.03%
HONG LEONG BANK BERHAD SEDOL 6436892	0.03%
SPST 2021-14 A1 00.8759 12/08/2022	0.03%
WFRBS 2012-C10 E 144A 04.4112 12/15/2045	0.03%
CHINA MERCHANTS BANK-H SEDOL B1DYPZ5	0.03%
FHR 4193 PI IO 04.0000 03/15/2043	0.03%
STACR 2018-HQA2 B2 11.1869 10/25/2048	0.03%
GNR 2016-H04 HI IO 02.3821 07/20/2065	0.03%
ARAB REPUBLIC OF EGYPT REGS 07.3000 09/30/2033	0.03%
FHR 4150 DI IO 03.0000 01/15/2043	0.03%
DOMINICAN REPUBLIC REGS 05.9500 01/25/2027	0.03%
GNR 2014-163 NI IO 05.0000 02/20/2044	0.03%
TURKIYE GARANTI BANKASI SEDOL B03MYP5	0.03%
CHINA COAL ENERGY CO-H SEDOL B1JNK84	0.02%
FNR 2012-151 PI IO 03.0000 01/25/2043	0.02%
RALI 2006-QO10 A1 00.5069 01/25/2037	0.02%
DOMINICAN REPUBLIC REGS 04.8750 09/23/2032	0.02%
FNR 2013-21 AI IO 03.5000 03/25/2033	0.02%
G-BITS NETWORK TECHNOLOGY 144A/REGS WARRANT 10/21/2022	0.02%
GNR 2012-145 IO IO 03.5000 12/20/2042	0.02%
FHR 4136 IW IO 03.5000 10/15/2042	0.02%
PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028	0.02%
RALI 2006-QO5 1A1 00.6169 05/25/2046	0.02%
ASTRA INTERNATIONAL TBK PT SEDOL B800MQ5	0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS	0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS	0.02%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML	0.02%
PETROBRAS GLOBAL FINANCE USD 05.6000 01/03/2031	0.02%
PETROLEOS MEXICANOS USD 05.9500 01/28/2031	0.02%
2.08 R ISWP FWD CDOR03 P 03/16/2032	0.02%
MEITUAN-CLASS B SEDOL BGJW376	0.02%
MHL 2004-1 M2 01.1919 11/25/2034	0.02%
GNR 2010-35 AI IO 04.5000 03/20/2040	0.02%
GNR 2011-17 S IO 05.8883 02/20/2041	0.02%
GSAA 2007-6 1A1 00.4269 05/25/2047	0.02%
1.285 R ISWP SOFRRATE P 12/23/2031	0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP	0.02%
GNR 2010-20 UI IO 05.0000 02/20/2040	0.02%
PETROBRAS GLOBAL FINANCE USD 05.5000 06/10/2051	0.02%
STACR 2019-DNA1 M2 02.8369 01/25/2049	0.02%
STACR 2019-DNA3 B2 08.3369 07/25/2049	0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS	0.02%
FHR 4206 IP IO 03.0000 12/15/2041	0.02%
GNR 2011-H15 AI IO 01.5271 06/20/2061	0.02%
GNR 2012-8 PI IO 04.0000 05/20/2041	0.02%
GNR 2013-151 IB IO 04.5000 02/20/2040	0.02%
GNR 2013-3 IT IO 05.0000 01/20/2043	0.02%
VALE SA-SP ADR SEDOL 2857334	0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.01%
STACR 2018-DNA2 B1 03.8869 12/25/2030	0.01%
SWPTN SOFR 4WX10Y R 1.82 USD 03/23/2022 CI	0.01%
CAS 2017-C06 2M2 02.9869 02/25/2030	0.01%
FHR 4122 TI IO 04.5000 10/15/2042	0.01%
GNR 2013-6 AI IO 03.5000 08/20/2039	0.01%
GNR 2015-24 IA IO 03.5000 02/20/2045	0.01%
1.85029 R ISWP SOFR P 02/17/2032	0.01%
BACM 2005-1 C 05.6647 11/10/2042	0.01%
GNR 2010-9 QI IO 04.5000 01/20/2040	0.01%
1.25 R ISWP FWD SOFRRATE P 03/16/2027	0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG	0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG	0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.01%
HOPSON DEVELOPMENT HOLDINGS SEDOL BMXJW56	0.01%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024	0.01%
STACR 2019-DNA2 B2 10.6869 03/25/2049	0.01%
WFRBS 2011-C4 E 144A 04.8877 06/15/2044	0.01%
1.775 R ISWP FWD SOFR P 02/25/2032	0.01%
CAS 2015-C04 2M2 05.7369 04/25/2028	0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG	0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS	0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML	0.01%
FHR 2990 LB 16.4572 06/15/2034	0.01%
FNR 2017-113 IO IO 05.0000 01/25/2038	0.01%
GNMA GII30 BN1509 05.0000 05/20/2049	0.01%
GNR 2010-35 QI IO 04.5000 03/20/2040	0.01%
GNR 2010-35 UI IO 05.0000 03/20/2040	0.01%
GNR 2012-50 PI IO 04.0000 12/20/2041	0.01%
GNR 2013-24 PI IO 04.0000 11/20/2042	0.01%
FHR 4183 MI IO 03.0000 02/15/2042	0.01%
GNMA GII30 BP7527 03.5000 10/20/2049	0.01%
GNR 2013-129 SN IO 05.9883 09/20/2043	0.01%
GNR 2013-79 XI IO 03.5000 11/20/2039	0.01%
GNR 2013-99 VS IO 05.9743 07/16/2043	0.01%
MSBAM 2013-C11 E 144A 04.3509 08/15/2046	0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS	0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS	0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS	0.01%
FNR 2014-10 IO IO 03.5000 08/25/2042	0.01%
GNR 2009-121 BI IO 04.5000 12/16/2039	0.01%
GNR 2013-37 JI IO 03.5000 01/20/2043	0.01%
1.86 R ISWP FWD SOFR P 02/24/2052	0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML	0.01%
FNR 2005-74 NK 26.5657 05/25/2035	0.01%
FNR 2013-6 BI IO 03.0000 12/25/2042	0.01%
1.823 R ISWP SOFR P 02/15/2032	0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG	0.01%
FHR 4369 IA IO 03.5000 07/15/2044	0.01%
GCAT 2020-NQM2 A3 02.9350 04/25/2065	0.01%
GNMA GII30 BN1507 05.0000 05/20/2049	0.01%
TXU TCEH RIGHTS	0.01%
WFRBS 2011-C3 E 144A 05.0000 03/15/2044	0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS	0.00%
CMB CMBX.NA.BBB-.8 2057-10-17 300.0 10/17/2057 MS	0.00%
FNR 2012-22 CI IO 04.0000 03/25/2041	0.00%
GNMA GII30 BN1508 05.0000 05/20/2049	0.00%
GNR 2012-106 QI IO 04.0000 07/20/2042	0.00%
GNR 2013-100 MI IO 03.5000 02/20/2043	0.00%
1.0355 R ISWP SOFR P 01/20/2024	0.00%
1.832 R ISWP SOFR P 02/14/2032	0.00%
BACM 2008-1 C P/P 144A 06.7858 02/10/2051	0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG	0.00%
FNMA FN30 BO0182 UMBS 05.0000 05/01/2049	0.00%
FNR 2012-136 PI IO 03.5000 11/25/2042	0.00%
GNMA GII30 BN1510 05.5000 05/20/2049	0.00%
GNMA GII30 BP7627 03.5000 11/20/2049	0.00%
GNR 2014-63 PI IO 04.0000 07/20/2043	0.00%
GNR 2015-36 GI IO 03.5000 06/16/2041	0.00%
PETROLEOS MEXICANOS P/P 144A 06.7000 02/16/2032	0.00%
SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA	0.00%
1.435 R ISWP SOFR P 01/24/2027	0.00%
CAS 2015-C02 1M2 04.1869 05/25/2025	0.00%
FNMA FN30 BN9825 UMBS 05.0000 05/01/2049	0.00%
FNMA FN30 BO3442 UMBS 05.0000 08/01/2049	0.00%
GNMA GII30 BN1511 05.5000 05/20/2049	0.00%
GNR 2013-27 PI IO 03.5000 12/20/2042	0.00%
GNR 2013-37 LI IO 03.5000 01/20/2042	0.00%
GNR 2015-99 LI IO 04.0000 07/20/2045	0.00%
GNR 2018-127 IA IO 03.5000 04/20/2042	0.00%
GNR 2019-78 SJ IO 05.8883 06/20/2049	0.00%
MSBAM 2013-C11 F 144A 04.3509 08/15/2046	0.00%
UBSBB 2012-C2 F 144A 05.0000 05/10/2063	0.00%
1.285 R ISWP SOFRRATE P 12/24/2031	0.00%
1.5255 R ISWP SOFR P 01/14/2032	0.00%
BSCMS 2007-T26 AJ 05.5660 01/12/2045	0.00%
FHR 4213 GI IO 04.0000 11/15/2041	0.00%
FNMA FN30 BO0212 UMBS 04.5000 05/01/2049	0.00%
FNR 2013-31 NI IO 03.0000 06/25/2041	0.00%
FNW 1998-W2 X IO 00.2993 06/25/2028	0.00%
GNR 2014-108 IP IO 04.5000 12/20/2042	0.00%
GNR 2015-24 IC IO 03.5000 11/20/2037	0.00%
GNR 2019-99 KS IO 05.8883 08/20/2049	0.00%
GNR 2020-15 CS IO 05.8883 02/20/2050	0.00%
STACR 2019-DNA2 M2 02.6369 03/25/2049	0.00%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS	0.00%
0.926 R ISWP SOFR P 01/26/2024	0.00%
0.976 R ISWP SOFR P 01/26/2024	0.00%
0.9975 R ISWP SOFR P 01/25/2024	0.00%
1.005 R ISWP SOFR P 01/25/2024	0.00%
1.488 R ISWP SOFR P 02/14/2024	0.00%
1.5135 R ISWP SOFR P 01/26/2032	0.00%
1.5235 R ISWP SOFR P 01/26/2032	0.00%
1.562 R ISWP SOFR P 01/25/2032	0.00%
1.573 R ISWP SOFR P 01/25/2032	0.00%
1.608 R ISWP SOFR P 01/12/2032	0.00%
1.7305 R ISWP SOFR P 02/08/2032	0.00%
1.738 R ISWP SOFR P 02/11/2032	0.00%
1.7935 R ISWP SOFR P 02/14/2032	0.00%
2.04 R ISWP FWD AUDBB6M P 03/16/2032	0.00%
CAS 2015-C03 2M2 05.1869 07/25/2025	0.00%
FHR 3175 MO PO 00.0000 06/15/2036	0.00%
FHR 4355 DI IO 04.0000 03/15/2044	0.00%
FNMA FN30 BN3050 UMBS 05.0000 01/01/2049	0.00%
FNR 2008-36 OV PO 00.0000 01/25/2036	0.00%
FNR 2013-23 PI IO 03.0000 10/25/2041	0.00%
FNR 2015-10 AI IO 03.5000 08/25/2043	0.00%
FNW 1998-W5 X IO 00.0475 07/25/2028	0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033	0.00%
FSPC T-59 1AX IO 00.2777 10/25/2043	0.00%
1.0085 R ISWP SOFR P 01/21/2024	0.00%
1.305 R ISWP SOFR P 02/08/2024	0.00%
1.6165 R ISWP SOFR P 01/21/2032	0.00%
BACM 2007-1 XW IO 00.3133 01/15/2049	0.00%
CAS 2015-C02 2M2 04.1869 05/25/2025	0.00%
FNS 397 2 IO 05.0000 09/25/2039	0.00%
FSPC T-8 A9 IO 00.4450 11/15/2028	0.00%
GLOW ENERGY PCL - FOREIGN SEDOL B074GX9	0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040	0.00%
GNR 2012-141 WI IO 03.5000 11/20/2041	0.00%
GNR 2013-102 IP IO 03.5000 06/20/2043	0.00%
GNR 2013-157 IA IO 03.5000 04/20/2040	0.00%
GNR 2013-183 AI IO 03.5000 10/20/2039	0.00%
GSMPS 1999-2 IO IO 00.4313 09/19/2027	0.00%
GUARANTEED RATE INC-WTS	0.00%
LBUBS 2007-C2 XW IO 00.0000 02/15/2040	0.00%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027	0.00%
SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA	0.00%
WBCMT 2006-C29 IO IO 00.4040 11/15/2048	0.00%
1.4715 R ISWP SOFR P 02/28/2024	-0.00%
1.514 R ISWP SOFR P 02/28/2024	-0.00%
1.096 R ISWP SOFRRATE P 12/24/2026	-0.00%
1.459 R ISWP SOFR P 01/21/2027	-0.00%
1.601 R ISWP SOFR P 01/12/2032	-0.00%
1.66076 R ISWP SOFR P 01/20/2032	-0.00%
1.7395 R ISWP SOFR P 02/28/2032	-0.00%
1.7975 R ISWP SOFR P 02/28/2032	-0.00%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS	-0.00%
0.88 R ISWP SOFR P 01/12/2024	-0.00%
1.366 R ISWP SOFR P 01/26/2027	-0.00%
1.737 R ISWP SOFR P 02/23/2032	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA	-0.00%
0.8745 R ISWP SOFR P 01/11/2024	-0.00%
1.5665 R ISWP SOFR P 01/11/2032	-0.00%
1.8015 R ISWP SOFR P 02/22/2032	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.00%
SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA	-0.00%
1.435 R ISWP SOFRRATE P 12/24/2051	-0.00%
1.7601 R ISWP SOFR P 02/10/2032	-0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA	-0.00%
1.4941 R ISWP SOFR P 01/18/2032	-0.01%
1.50 R ISWP SOFR P 01/18/2032	-0.01%
1.5005 R ISWP SOFR P 01/18/2032	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
SWPTN SOFR 4WX10Y P 1.82 USD 03/23/2022 CI	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC	-0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML	-0.01%
1.7895 R ISWP SOFR P 02/25/2032	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.01%
1.7565 R ISWP SOFR P 02/16/2027	-0.01%
1.60 R ISWP FWD SOFRRATE P 03/16/2052	-0.02%
ZYXI US P SOFR R 07/05/24 CI	-0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS	-0.02%
EBIX US P SOFR R 07/05/24 CI	-0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.02%
SFIX US P SOFR R 07/05/24 CI	-0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.02%
1.385 R ISWP FWD SOFRRATE P 03/16/2032	-0.02%
SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA	-0.02%
215600 KS P SOFRRATE R 12/15/25 GS	-0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.03%
LPSN US P SOFR R 07/05/24 CI	-0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG	-0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.04%
PLUG US P SOFR R 07/05/24 CI	-0.05%
WDFC US P SOFR R 07/05/24 CI	-0.05%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC	-0.05%
BGS US P SOFR R 07/05/24 CI	-0.05%
BYND US P SOFRRATE R 12/15/25 GS	-0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML	-0.06%
BE US P SOFRRATE R 12/15/25 GS	-0.07%
1.40 R ISWP FWD SOFRRATE P 03/16/2032	-0.07%
-0.07 R ISWP FWD SARON P 03/16/2032	-0.07%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS	-0.08%
PGNY US P SOFRRATE R 12/15/25 GS	-0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.08%
ACIW US P SOFR R 07/05/24 CI	-0.08%
FOUR US P SOFR R 07/05/24 CI	-0.08%
HCSG US P SOFR R 07/05/24 CI	-0.10%
VTRS US P SOFR R 07/05/24 CI	-0.10%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG	-0.11%
LUMN US P SOFR R 07/05/24 CI	-0.12%
AHCO US P SOFR R 07/05/24 CI	-0.12%
GH US P SOFR R 07/05/24 CI	-0.12%
FSLR US P SOFRRATE R 12/15/25 GS	-0.12%
DSEY US P SOFR R 07/05/24 CI	-0.12%
NEWR US P SOFRRATE R 12/15/25 GS	-0.12%
WHR US P SOFR R 07/05/24 CI	-0.13%
ENR US P SOFR R 07/05/24 CI	-0.14%
0.15 R ISWP FWD EUR006M P 03/16/2032	-0.14%
CALX US P SOFR R 07/05/24 CI	-0.15%
OLED US P SOFR R 07/05/24 CI	-0.15%
AIR US P SOFR R 07/05/24 CI	-0.16%
CDX CDX.NA.HY.37 500.0 12/20/2026	-0.16%
FCNCA US P SOFR R 07/05/24 CI	-0.16%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS	-0.16%
AAP US P SOFR R 07/05/24 CI	-0.16%
DY US P SOFR R 07/05/24 CI	-0.16%
HELE US P SOFR R 07/05/24 CI	-0.16%
PRIM US P SOFR R 07/05/24 CI	-0.17%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS	-0.20%
CPURNSA P 2.78 R 01/15/32	-0.21%
0.90 R ISWP FWD SOFRRATE P 03/16/2024	-0.24%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS	-0.25%
ELAN US P SOFR R 07/05/24 CI	-0.30%
PEN US P SOFR R 07/05/24 CI	-0.33%
BHC US P SOFR R 07/05/24 CI	-0.34%
TSLA US P SOFR R 07/05/24 CI	-0.35%
RL US P SOFR R 07/05/24 CI	-0.42%
LHX US P SOFR R 07/05/24 CI	-0.45%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG	-0.47%
CPURNSA P 2.7375 R 09/13/26	-0.71%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP	-0.85%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS	-1.47%
FNMA FN30 TBA UMBS 02.5000 03/01/2052	-1.64%
FNMA FN30 TBA UMBS 02.0000 03/01/2052	-6.56%
NDUEEGF P SOFRRATE R 11/02/22 UB	-8.07%
NDUEEGF P SOFRRATE R 11/02/22 CS	-8.54%
US 5YR NOTE (CBT) JUN22 FVM2	-18.94%
RU10INTR P SOFR R 02/15/23 BA	-22.35%
GSGLPWDS P SOFRRATE R 12/15/25 GS	-34.14%
SPTR P SOFR R 05/22/23 UB	-36.90%
US 2YR NOTE (CBT) JUN22 TUM2	-40.60%

Portfolio composition as of 02/28/22

Net cash	51.88%
U.S. stocks	27.02%
Commercial MBS	11.13%
Agency CMO	6.39%
Commodities	4.26%
Agency pass-through	2.87%
Residential MBS (non-agency)	1.33%
Emerging-market bonds	1.23%
Asset-backed securities (ABS)	1.07%
Cash and net other assets	0.00%
International stocks	-0.01%
Emerging-market stocks	-0.57%
High-yield corporate bonds	-3.03%
U.S. Treasury/agency	-3.57%

Fixed income statistics as of 02/28/22

Average effective maturity	3.22 yrs.
Average effective duration	3.13 yrs.
Average yield to maturity	8.95%
Average coupon	1.22%

Maturity detail as of 02/28/22

0 - 1 yr.	85.54%
1 - 5 yrs.	19.83%
5 - 10 yrs.	-6.12%
10 - 15 yrs.	0.63%
Over 15 yrs.	0.12%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: Allocation of assets among asset classes may hurt performance. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, asset class, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings.

Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. International investing involves currency, economic, and political risks. Emerging market securities have illiquidity and volatility risks. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs.

Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund's efforts to produce lower-volatility returns may not be successful. The fund may not achieve its goal, and it is not intended to be a complete investment program.

Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund's other service providers, may experience disruptions or operating errors that could negatively impact the fund. The fund is not intended to outperform stocks and bonds during strong market rallies. The fund’s prospectus lists additional risks. You can lose money by investing in the fund.

Expenses

Expense ratio	Class A	Class B	Class C	Class R	Class R6	Class Y
Total expense ratio	0.93%	1.68%	1.68%	1.18%	0.55%	0.68%
What you pay	0.93%	1.68%	1.68%	1.18%	0.55%	0.68%

Sales charge

Breakpoint	Class A	Class B	Class C	Class R	Class R6	Class Y
$0-$49,999	5.75% / 5.00%	0.00% / 4.00%	0.00% / 1.00%	--	--	--
$50,000-$99,999	4.50% / 3.75%	0.00% / 4.00%	0.00% / 1.00%	--	--	--
$100,000-$249,999	3.50% / 2.75%	--	0.00% / 1.00%	--	--	--
$250,000-$499,999	2.50% / 2.00%	--	0.00% / 1.00%	--	--	--
$500,000-$999,999	0.00% / 1.00%	--	--	--	--	--
$1M-$4M	0.00% / 1.00%	--	--	--	--	--
$4M-$50M	0.00% / 0.50%	--	--	--	--	--
$50M+	0.00% / 0.25%	--	--	--	--	--

CDSC

	Class A (sales for $500,000+)	Class B	Class C	Class R	Class R6	Class Y
0 to 9 mts.	1.00%	5.00%	1.00%	--	--	--
9 to 12 mts.	1.00%	5.00%	1.00%	--	--	--
2 yrs.	0.00%	4.00%	0.00%	--	--	--
3 yrs.	0.00%	3.00%	0.00%	--	--	--
4 yrs.	0.00%	3.00%	0.00%	--	--	--
5 yrs.	0.00%	2.00%	0.00%	--	--	--
6 yrs.	0.00%	1.00%	0.00%	--	--	--
7+ yrs.	0.00%	0.00%	0.00%	--	--	--

Trail commissions

Class A	Class B	Class C	Class R	Class R6	Class Y
0.25%	0.25%	1.00%	0.50%	0.00%	0.00%
NA	NA	NA	NA	NA	NA
NA	NA	NA	NA	NA	NA

For sales and trail commission information on purchases over $500,000 and participant-directed qualified retirement plans, see a Putnam fund prospectus and the statement of additional information.

The ICE BofA U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar denominated U.S. Treasury Bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion. You cannot invest directly in an index.

Each fund seeks to earn a positive total return that exceeds the rate of inflation by a targeted amount over a reasonable period of time regardless of market conditions. There can be no assurance that a fund will meet its objective. The fund is not intended to outperform stocks and bonds during strong market rallies. Consult your financial advisor to determine which fund fits into your investment goals and time horizon.

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Multi-Asset Absolute Return Fund (Class Y) (PDMYX)

Highlights

Objective

Strategy and process

Fund price and assets

Consistency of positive performance over five years

29 positive 5-year periods

5 negative 5-year periods

Fund facts as of 02/28/22

Management team

Literature

Fund documents

Related topics

The end of the Great Moderation

Performance

Total return (%) as of 03/31/22

Annual performance as of 03/31/22

Annualized Total return (%) as of 03/31/22

Cumulative Total return (%) as of 03/31/22

Annual performance as of 03/31/22

Performance snapshot

Volatility as of 02/28/22

Fixed income statistics as of 02/28/22

Morningstar Ratings™ as of 05/31/22

Distributions

Compare

Holdings

Top 10 holdings as of 02/28/22

Portfolio composition as of 02/28/22

Fixed income statistics as of 02/28/22

Maturity detail as of 02/28/22

Expenses

Expense ratio

Sales charge

CDSC

Trail commissions

FundVisualizer^®

TargetDateVisualizer^®

29
positive 5-year periods

5
negative 5-year periods

Morningstar Ratings^™ as of 05/31/22