ANWORTH MORTGAGE ASSET CP

CUSIP: 037347101 Class: COM

State of New Jersey Common Pension Fund D's Holding History (CIK: 0001483066)

Note: Option positions (PUT/CALL) are excluded.

Q1 2020
Shares 654,003 Value ($000) $739 Avg Close — Range —
Q4 2019
Shares 654,003 Value ($000) $2,302 Avg Close — Range —
Q3 2019
Shares 798,500 Value ($000) $2,635 Avg Close — Range —