Form N-MFP2 CHARLES SCHWAB FAMILY For: Dec 31

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January 8, 2021 3:46 PM EST
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    N-MFP2
    
      
        
          0000857156
          XXXXXXXX
        
      
      
      
      
      
      
      
      
    
  
  
    
      2020-12-31
      0000857156
      549300I77JNLD629OV19
      S000004508
      2
      N
      N
    
    
      033-31894
      
        Charles Schwab Investment Management, Inc.
        801-35905
      
      
        Deloitte & Touche LLP
        Denver
        CO
      
      
        Charles Schwab Investment Management, Inc.
      
      
        DST Asset Manager Solutions, Inc.
        0000275143
        084-00896
      
      N
      N
      N
      Prime
      Y
      36
      42
      
        34750316269.50
        32455383009.94
        34220594191.84
        31855749729.14
      
      
        48476895649.01
        48025816188.45
        46614916504.59
        45247259595.55
        0.00
      
      
        0.3569
        0.3368
        0.3553
        0.3348
      
      
        0.4978
        0.4984
        0.4839
        0.4756
        0.0000
      
      0.42
      94110691954.98
      94107884139.09
      19843270.49
      19423267.98
      94108304142.02
      94105423425.6780
      1.0000
      0.0018
      
        1.0001
        1.0001
        1.0001
        1.0001
        0.0000
      
    
    
      C000012383
      0.00
      56435492561.97
      56433707555.2970
      
        1.0001
        1.0001
        1.0001
        1.0001
        0.0000
      
      
        366787869.78
        950399432.03
      
      
        366896950.33
        988682879.36
      
      
        365345052.75
        939389660.86
      
      
        335593425.98
        754545808.49
      
      
        0.00
        0.00
      
      
        1765003282.27
        4218409657.71
      
      0.0003
      Y
      Investment Advisor and its affiliates Contractual 575,021 Investment Advisor and its affiliates Voluntary 10,208,336
    
    
      C000038267
      1000000.00
      37672811580.05
      37671715870.3810
      
        1.0001
        1.0001
        1.0001
        1.0001
        0.0000
      
      
        348820019.70
        771695089.32
      
      
        447058657.29
        896334085.39
      
      
        452025359.38
        880471806.62
      
      
        510106058.89
        748299746.95
      
      
        0.00
        0.00
      
      
        2169255628.73
        3929920706.18
      
      0.0003
      Y
      Investment Advisor and its affiliates Contractual 384,354 Investment Advisor and its affiliates Voluntary 1,481,294
    
    
      ABAG Finance Auth
      TAXABLE RB (PUBLIC POLICY INSTITUTE OF CALIFORNIA) SERIES 2001B 0.150000%
      00037CEK2
      549300EWVCCTI6O2KU84
      US00037CEK27
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2031-11-01
      Y
      
        Wells Fargo Bank NA
        1.0000
        7
        N
      
      N
      N
      0.0015
      17550000.00
      17550000.00
      0.0002
      N
      N
      Y
      N
    
    
      ALPINE SECURITIZATION LLC
      ALPINE SECURITIZATION LLC 0.000000%
      02088WP12
      Asset Backed Commercial Paper
      Y
      2021-02-01
      2021-02-01
      2021-02-01
      N
      Y
      
        Credit Suisse AG
        1.0000
      
      N
      0.0023
      174964688.50
      174964688.50
      0.0019
      N
      N
      N
      N
    
    
      AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD
      AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD 0.000000%
      05253APR5
      JHE42UYNWWTJB8YTTU19
      Financial Company Commercial Paper
      Y
      2021-02-25
      2021-02-25
      2021-02-25
      N
      N
      N
      0.0011
      142976643.81
      142976643.81
      0.0015
      N
      N
      N
      N
    
    
      AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD
      AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD 0.000000%
      05253AQ11
      JHE42UYNWWTJB8YTTU19
      Financial Company Commercial Paper
      Y
      2021-03-01
      2021-03-01
      2021-03-01
      N
      N
      N
      0.0011
      377933850.00
      377933850.00
      0.0040
      N
      N
      N
      N
    
    
      AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD
      AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD 0.000000%
      05253AT91
      JHE42UYNWWTJB8YTTU19
      Financial Company Commercial Paper
      Y
      2021-06-09
      2021-06-09
      2021-06-09
      N
      N
      N
      0.0018
      292768204.77
      292768204.77
      0.0031
      N
      N
      N
      N
    
    
      BPCE SA
      BPCE SA 0.000000%
      05571BN74
      9695005MSX1OYEMGDF46
      Financial Company Commercial Paper
      Y
      2021-01-07
      2021-01-07
      2021-01-07
      N
      N
      N
      0.0010
      148497141.38
      148497141.38
      0.0016
      N
      N
      Y
      N
    
    
      BPCE SA
      BPCE SA 0.000000%
      05571BPG2
      9695005MSX1OYEMGDF46
      Financial Company Commercial Paper
      Y
      2021-02-16
      2021-02-16
      2021-02-16
      N
      N
      N
      0.0017
      224949768.75
      224949768.75
      0.0024
      N
      N
      N
      N
    
    
      BPCE SA
      BPCE SA 0.230000%
      05571EAA5
      9695005MSX1OYEMGDF46
      Financial Company Commercial Paper
      Y
      2021-01-04
      2021-02-25
      2021-02-25
      N
      N
      N
      0.0019
      300020994.00
      300020994.00
      0.0032
      N
      N
      N
      N
    
    
      BNP PARIBAS (NEW YORK BRANCH)
      BNP PARIBAS (NEW YORK BRANCH) 0.230000%
      05586F6X0
      R0MUWSFPU8MPRO8K5P83
      Certificate of Deposit
      Y
      2021-04-26
      2021-04-26
      2021-04-26
      N
      N
      N
      0.0018
      66011461.56
      66011461.56
      0.0007
      N
      N
      N
      N
    
    
      BNP PARIBAS (NEW YORK BRANCH)
      BNP PARIBAS (NEW YORK BRANCH) 0.220000%
      05586FY76
      R0MUWSFPU8MPRO8K5P83
      Certificate of Deposit
      Y
      2021-03-04
      2021-03-04
      2021-03-04
      N
      N
      N
      0.0015
      141017499.51
      141017499.51
      0.0015
      N
      N
      N
      N
    
    
      BANK OF AMERICA NA
      BANK OF AMERICA NA 0.320000%
      06050TMU3
      B4TYDEB6GKMZO031MB27
      US06050TMU33
      0001102113
      Other Instrument
      Bank Note
      Y
      2021-01-04
      2021-10-15
      2021-10-15
      N
      N
      N
      0.0029
      297019910.88
      297019910.88
      0.0032
      N
      N
      N
      N
    
    
      BANK OF AMERICA NA
      BANK OF AMERICA NA 0.220000%
      06053P6Z5
      B4TYDEB6GKMZO031MB27
      0001102113
      Other Instrument
      Bank Note
      Y
      2021-03-04
      2021-03-04
      2021-03-04
      N
      N
      N
      0.0013
      295046492.00
      295046492.00
      0.0031
      N
      N
      N
      N
    
    
      BANK OF AMERICA NA
      BANK OF AMERICA NA 0.230000%
      06053P7M3
      B4TYDEB6GKMZO031MB27
      0001102113
      Other Instrument
      Bank Note
      Y
      2021-01-04
      2021-05-03
      2021-05-03
      N
      N
      N
      0.0022
      298014643.72
      298014643.72
      0.0032
      N
      N
      N
      N
    
    
      BOFA SECURITIES INC
      BOFA SECURITIES INC 0.240000%
      06054CAA3
      549300HN4UKV1E2R3U73
      0001675365
      Financial Company Commercial Paper
      Y
      2021-01-04
      2021-05-03
      2021-05-03
      N
      N
      N
      0.0018
      97021534.00
      97021534.00
      0.0010
      N
      N
      N
      N
    
    
      BANK OF AMERICA NA
      BANK OF AMERICA NA 0.240000%
      06054R2C5
      B4TYDEB6GKMZO031MB27
      US06054R2C59
      0001102113
      Other Instrument
      Bank Note
      Y
      2021-01-04
      2021-05-03
      2021-05-03
      N
      N
      N
      0.0022
      97007945.27
      97007945.27
      0.0010
      N
      N
      N
      N
    
    
      BANK OF AMERICA NA
      BANK OF AMERICA NA 0.230000%
      06054R2E1
      B4TYDEB6GKMZO031MB27
      0001102113
      Other Instrument
      Bank Note
      Y
      2021-06-01
      2021-06-01
      2021-06-01
      N
      N
      N
      0.0019
      80012648.00
      80012648.00
      0.0009
      N
      N
      N
      N
    
    
      BANK OF MONTREAL (CHICAGO BRANCH)
      BANK OF MONTREAL (CHICAGO BRANCH) 0.220000%
      06367BPV5
      NQQ6HPCNCCU6TUTQYE16
      Certificate of Deposit
      Y
      2021-02-03
      2021-02-03
      2021-02-03
      N
      N
      N
      0.0018
      362013958.72
      362013958.72
      0.0038
      N
      N
      N
      N
    
    
      BANK OF MONTREAL (CHICAGO BRANCH)
      BANK OF MONTREAL (CHICAGO BRANCH) 0.212500%
      06367BQW2
      NQQ6HPCNCCU6TUTQYE16
      US06367BQW27
      Certificate of Deposit
      Y
      2021-01-19
      2021-02-17
      2021-02-17
      N
      N
      N
      0.0015
      300022767.00
      300022767.00
      0.0032
      N
      N
      N
      N
    
    
      BANK OF MONTREAL (CHICAGO BRANCH)
      BANK OF MONTREAL (CHICAGO BRANCH) 0.210000%
      06367BXA2
      NQQ6HPCNCCU6TUTQYE16
      Certificate of Deposit
      Y
      2021-04-05
      2021-04-05
      2021-04-05
      N
      N
      N
      0.0021
      288000000.00
      288000000.00
      0.0031
      N
      N
      N
      N
    
    
      BANK OF MONTREAL (CHICAGO BRANCH)
      BANK OF MONTREAL (CHICAGO BRANCH) 0.200000%
      06367BXD6
      NQQ6HPCNCCU6TUTQYE16
      Certificate of Deposit
      Y
      2021-03-22
      2021-03-22
      2021-03-22
      N
      N
      N
      0.0022
      199991408.00
      199991408.00
      0.0021
      N
      N
      N
      N
    
    
      BANK OF MONTREAL (CHICAGO BRANCH)
      BANK OF MONTREAL (CHICAGO BRANCH) 0.220000%
      06367BXE4
      NQQ6HPCNCCU6TUTQYE16
      US06367BXE46
      Certificate of Deposit
      Y
      2021-01-04
      2021-04-06
      2021-04-06
      N
      N
      N
      0.0019
      260019401.20
      260019401.20
      0.0028
      N
      N
      N
      N
    
    
      BANK OF MONTREAL (CHICAGO BRANCH)
      BANK OF MONTREAL (CHICAGO BRANCH) 0.220000%
      06367BXJ3
      NQQ6HPCNCCU6TUTQYE16
      US06367BXJ33
      Certificate of Deposit
      Y
      2021-01-04
      2021-04-06
      2021-04-06
      N
      N
      N
      0.0019
      381028426.41
      381028426.41
      0.0040
      N
      N
      N
      N
    
    
      BANK OF MONTREAL (CHICAGO BRANCH)
      BANK OF MONTREAL (CHICAGO BRANCH) 0.260000%
      06367C2S5
      NQQ6HPCNCCU6TUTQYE16
      Certificate of Deposit
      Y
      2021-05-13
      2021-05-13
      2021-05-13
      N
      N
      N
      0.0024
      204015750.84
      204015750.84
      0.0022
      N
      N
      N
      N
    
    
      BARCLAYS BANK UK PLC
      BARCLAYS BANK UK PLC 0.000000%
      06744QP12
      213800UUGANOMFJ9X769
      Financial Company Commercial Paper
      Y
      2021-02-01
      2021-02-01
      2021-02-01
      N
      N
      N
      0.0016
      287960063.04
      287960063.04
      0.0031
      N
      N
      N
      N
    
    
      BARCLAYS BANK UK PLC
      BARCLAYS BANK UK PLC 0.000000%
      06744QPB0
      213800UUGANOMFJ9X769
      Financial Company Commercial Paper
      Y
      2021-02-11
      2021-02-11
      2021-02-11
      N
      N
      N
      0.0016
      99980983.00
      99980983.00
      0.0011
      N
      N
      N
      N
    
    
      BARCLAYS BANK UK PLC
      BARCLAYS BANK UK PLC 0.000000%
      06744QPP9
      213800UUGANOMFJ9X769
      Financial Company Commercial Paper
      Y
      2021-02-23
      2021-02-23
      2021-02-23
      N
      N
      N
      0.0017
      168956651.50
      168956651.50
      0.0018
      N
      N
      N
      N
    
    
      BARCLAYS BANK UK PLC
      BARCLAYS BANK UK PLC 0.000000%
      06744QPS3
      213800UUGANOMFJ9X769
      Financial Company Commercial Paper
      Y
      2021-02-26
      2021-02-26
      2021-02-26
      N
      N
      N
      0.0017
      99972608.00
      99972608.00
      0.0011
      N
      N
      N
      N
    
    
      BARCLAYS BANK UK PLC
      BARCLAYS BANK UK PLC 0.000000%
      06744QQ11
      213800UUGANOMFJ9X769
      Financial Company Commercial Paper
      Y
      2021-03-01
      2021-03-01
      2021-03-01
      N
      N
      N
      0.0018
      91973166.36
      91973166.36
      0.0010
      N
      N
      N
      N
    
    
      BARTON CAPITAL SA
      BARTON CAPITAL SA 0.000000%
      06945LNE4
      549300KOFKIMD0C37W24
      Asset Backed Commercial Paper
      Y
      2021-01-14
      2021-01-14
      2021-01-14
      N
      Y
      
        Societe Generale SA
        1.0000
      
      N
      0.0014
      49997219.50
      49997219.50
      0.0005
      N
      N
      N
      N
    
    
      BEDFORD ROW FUNDING CORP
      BEDFORD ROW FUNDING CORP 0.000000%
      07644ANT7
      Asset Backed Commercial Paper
      Y
      2021-01-27
      2021-01-27
      2021-01-27
      N
      Y
      
        Royal Bank of Canada
        1.0000
      
      N
      0.0018
      82989106.25
      82989106.25
      0.0009
      N
      N
      N
      N
    
    
      BENNINGTON STARK CAPITAL COMPANY LLC
      BENNINGTON STARK CAPITAL COMPANY LLC 0.000000%
      08224LN44
      549300PGDCWK6DU9QM65
      Asset Backed Commercial Paper
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      Y
      
        Societe Generale SA
        1.0000
      
      N
      0.0013
      1999972.22
      1999972.22
      0.0000
      N
      Y
      Y
      N
    
    
      BENNINGTON STARK CAPITAL COMPANY LLC
      BENNINGTON STARK CAPITAL COMPANY LLC 0.000000%
      08224LN51
      549300PGDCWK6DU9QM65
      Asset Backed Commercial Paper
      Y
      2021-01-05
      2021-01-05
      2021-01-05
      N
      Y
      
        Societe Generale SA
        1.0000
      
      N
      0.0013
      43999236.16
      43999236.16
      0.0005
      N
      N
      Y
      N
    
    
      BENNINGTON STARK CAPITAL COMPANY LLC
      BENNINGTON STARK CAPITAL COMPANY LLC 0.000000%
      08224LP42
      549300PGDCWK6DU9QM65
      Asset Backed Commercial Paper
      Y
      2021-02-04
      2021-02-04
      2021-02-04
      N
      Y
      
        Societe Generale SA
        1.0000
      
      N
      0.0020
      314937831.60
      314937831.60
      0.0033
      N
      N
      N
      N
    
    
      BENNINGTON STARK CAPITAL COMPANY LLC
      BENNINGTON STARK CAPITAL COMPANY LLC 0.000000%
      08224LP83
      549300PGDCWK6DU9QM65
      Asset Backed Commercial Paper
      Y
      2021-02-08
      2021-02-08
      2021-02-08
      N
      Y
      
        Societe Generale SA
        1.0000
      
      N
      0.0021
      50988397.50
      50988397.50
      0.0005
      N
      N
      N
      N
    
    
      BENNINGTON STARK CAPITAL COMPANY LLC
      BENNINGTON STARK CAPITAL COMPANY LLC 0.000000%
      08224LPA8
      549300PGDCWK6DU9QM65
      Asset Backed Commercial Paper
      Y
      2021-02-10
      2021-02-10
      2021-02-10
      N
      Y
      
        Societe Generale SA
        1.0000
      
      N
      0.0021
      19995148.40
      19995148.40
      0.0002
      N
      N
      N
      N
    
    
      BENNINGTON STARK CAPITAL COMPANY LLC
      BENNINGTON STARK CAPITAL COMPANY LLC 0.000000%
      08224LQ90
      549300PGDCWK6DU9QM65
      Asset Backed Commercial Paper
      Y
      2021-03-09
      2021-03-09
      2021-03-09
      N
      Y
      
        Societe Generale SA
        1.0000
      
      N
      0.0025
      12993983.86
      12993983.86
      0.0001
      N
      N
      N
      N
    
    
      BENNINGTON STARK CAPITAL COMPANY LLC
      BENNINGTON STARK CAPITAL COMPANY LLC 0.000000%
      08224LQK5
      549300PGDCWK6DU9QM65
      Asset Backed Commercial Paper
      Y
      2021-03-19
      2021-03-19
      2021-03-19
      N
      Y
      
        Societe Generale SA
        1.0000
      
      N
      0.0025
      25986198.42
      25986198.42
      0.0003
      N
      N
      N
      N
    
    
      BLUE MOUNTAIN ENTERPRISES, LLC
      VARIABLE RATE DEMAND BONDS SERIES 2013 0.160000%
      095770AA1
      5493002IBX1P8Z363V65
      US095770AA14
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2043-09-01
      Y
      
        Wells Fargo Bank NA
        1.0000
        7
        N
      
      N
      N
      0.0016
      2850000.00
      2850000.00
      0.0000
      N
      N
      Y
      N
    
    
      CAFCO LLC
      CAFCO LLC 0.000000%
      1247P2PC2
      8O46YQAGJ63WE5QHIG35
      Asset Backed Commercial Paper
      Y
      2021-02-12
      2021-02-12
      2021-02-12
      N
      Y
      
        Citibank NA
        1.0000
      
      N
      0.0014
      24995700.00
      24995700.00
      0.0003
      N
      N
      N
      N
    
    
      CAFCO LLC
      CAFCO LLC 0.000000%
      1247P2Q56
      8O46YQAGJ63WE5QHIG35
      Asset Backed Commercial Paper
      Y
      2021-03-05
      2021-03-05
      2021-03-05
      N
      Y
      
        Citibank NA
        1.0000
      
      N
      0.0016
      49985955.50
      49985955.50
      0.0005
      N
      N
      N
      N
    
    
      CAFCO LLC
      CAFCO LLC 0.000000%
      1247P2Q98
      8O46YQAGJ63WE5QHIG35
      Asset Backed Commercial Paper
      Y
      2021-03-09
      2021-03-09
      2021-03-09
      N
      Y
      
        Citibank NA
        1.0000
      
      N
      0.0016
      31990328.96
      31990328.96
      0.0003
      N
      N
      N
      N
    
    
      CAFCO LLC
      CAFCO LLC 0.000000%
      1247P2RG1
      8O46YQAGJ63WE5QHIG35
      Asset Backed Commercial Paper
      Y
      2021-04-16
      2021-04-16
      2021-04-16
      N
      Y
      
        Citibank NA
        1.0000
      
      N
      0.0016
      39980684.40
      39980684.40
      0.0004
      N
      N
      N
      N
    
    
      CRC FUNDING LLC
      CRC FUNDING LLC 0.000000%
      12619TPC2
      549300HKCCNTZDBBEN75
      Asset Backed Commercial Paper
      Y
      2021-02-12
      2021-02-12
      2021-02-12
      N
      Y
      
        Citibank NA
        1.0000
      
      N
      0.0021
      24993789.00
      24993789.00
      0.0003
      N
      N
      N
      N
    
    
      CRC FUNDING LLC
      CRC FUNDING LLC 0.000000%
      12619TQ23
      549300HKCCNTZDBBEN75
      Asset Backed Commercial Paper
      Y
      2021-03-02
      2021-03-02
      2021-03-02
      N
      Y
      
        Citibank NA
        1.0000
      
      N
      0.0023
      29988562.50
      29988562.50
      0.0003
      N
      N
      N
      N
    
    
      CRC FUNDING LLC
      CRC FUNDING LLC 0.000000%
      12619TQ49
      549300HKCCNTZDBBEN75
      Asset Backed Commercial Paper
      Y
      2021-03-04
      2021-03-04
      2021-03-04
      N
      Y
      
        Citibank NA
        1.0000
      
      N
      0.0022
      49980400.00
      49980400.00
      0.0005
      N
      N
      N
      N
    
    
      CRC FUNDING LLC
      CRC FUNDING LLC 0.000000%
      12619TQ80
      549300HKCCNTZDBBEN75
      Asset Backed Commercial Paper
      Y
      2021-03-08
      2021-03-08
      2021-03-08
      N
      Y
      
        Citibank NA
        1.0000
      
      N
      0.0022
      39983398.80
      39983398.80
      0.0004
      N
      N
      N
      N
    
    
      CAISSE AMORTISSEMENT DE LA DETTE SOCIALE
      CAISSE AMORTISSEMENT DE LA DETTE SOCIALE 0.000000%
      12802VN77
      969500P04DQJS4BPM574
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-01-07
      2021-01-07
      2021-01-07
      N
      N
      N
      0.0010
      99998153.00
      99998153.00
      0.0011
      N
      N
      Y
      N
    
    
      CAISSE AMORTISSEMENT DE LA DETTE SOCIALE
      CAISSE AMORTISSEMENT DE LA DETTE SOCIALE 0.000000%
      12802VN85
      969500P04DQJS4BPM574
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-01-08
      2021-01-08
      2021-01-08
      N
      N
      N
      0.0010
      124997361.25
      124997361.25
      0.0013
      N
      N
      Y
      N
    
    
      CAISSE AMORTISSEMENT DE LA DETTE SOCIALE
      CAISSE AMORTISSEMENT DE LA DETTE SOCIALE 0.000000%
      12802VNB8
      969500P04DQJS4BPM574
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-01-11
      2021-01-11
      2021-01-11
      N
      N
      N
      0.0010
      289991581.30
      289991581.30
      0.0031
      N
      N
      N
      N
    
    
      CAISSE AMORTISSEMENT DE LA DETTE SOCIALE
      CAISSE AMORTISSEMENT DE LA DETTE SOCIALE 0.000000%
      12802VNK8
      969500P04DQJS4BPM574
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-01-19
      2021-01-19
      2021-01-19
      N
      N
      N
      0.0009
      302984968.17
      302984968.17
      0.0032
      N
      N
      N
      N
    
    
      CAISSE AMORTISSEMENT DE LA DETTE SOCIALE
      CAISSE AMORTISSEMENT DE LA DETTE SOCIALE 0.000000%
      12802VNR3
      969500P04DQJS4BPM574
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-01-25
      2021-01-25
      2021-01-25
      N
      N
      N
      0.0011
      238981410.58
      238981410.58
      0.0025
      N
      N
      N
      N
    
    
      CAISSE AMORTISSEMENT DE LA DETTE SOCIALE
      CAISSE AMORTISSEMENT DE LA DETTE SOCIALE 0.000000%
      12802VPG5
      969500P04DQJS4BPM574
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-02-16
      2021-02-16
      2021-02-16
      N
      N
      N
      0.0015
      299942817.00
      299942817.00
      0.0032
      N
      N
      N
      N
    
    
      Calhoun Cnty Navigation IDA
      PORT RB (FORMOSA PLASTICS) SERIES 2011C 0.120000%
      129733AD3
      US129733AD30
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2031-09-01
      Y
      
        SUMITOMO MITSUI BANKING CORPORATION
        1.0000
        7
        N
      
      N
      N
      0.0012
      15000000.00
      15000000.00
      0.0002
      N
      N
      Y
      N
    
    
      Calhoun Port Auth
      ENVIRONMENTAL FACILITIES RB (FORMOSA PLASTICS) SERIES 2012 0.110000%
      129884AG7
      US129884AG75
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2042-04-01
      Y
      
        JPMorgan Chase Bank NA
        1.0000
        7
        N
      
      N
      N
      0.0011
      12220000.00
      12220000.00
      0.0001
      N
      N
      Y
      N
    
    
      California Infrastructure & Economic Development Bank
      TAXABLE RB (CAPITAL CORRUGATED) SERIES 2016B 0.220000%
      13034AMD9
      549300C1OG9RDIM8ET06
      US13034AMD99
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2046-08-01
      Y
      
        Comerica Bank
        1.0000
        7
        N
      
      N
      N
      0.0022
      1640000.00
      1640000.00
      0.0000
      N
      N
      Y
      N
    
    
      CANADIAN IMPERIAL BANK OF COMMERCE (NEW YORK BRANCH)
      CANADIAN IMPERIAL BANK OF COMMERCE (NEW YORK BRANCH) 0.250000%
      13606CDG6
      549300H8L46OOZOFHU82
      0000800030
      Certificate of Deposit
      Y
      2021-01-07
      2021-01-07
      2021-01-07
      N
      N
      N
      0.0011
      200005634.00
      200005634.00
      0.0021
      N
      N
      Y
      N
    
    
      CANADIAN IMPERIAL BANK OF COMMERCE (NEW YORK BRANCH)
      CANADIAN IMPERIAL BANK OF COMMERCE (NEW YORK BRANCH) 0.250000%
      13606CE83
      549300H8L46OOZOFHU82
      0000800030
      Certificate of Deposit
      Y
      2021-04-29
      2021-04-29
      2021-04-29
      N
      N
      N
      0.0020
      96017376.00
      96017376.00
      0.0010
      N
      N
      N
      N
    
    
      CANADIAN IMPERIAL BANK OF COMMERCE (NEW YORK BRANCH)
      CANADIAN IMPERIAL BANK OF COMMERCE (NEW YORK BRANCH) 0.210000%
      13606CHZ0
      549300H8L46OOZOFHU82
      US13606CHZ05
      0000800030
      Certificate of Deposit
      Y
      2021-01-04
      2021-05-03
      2021-05-03
      N
      N
      N
      0.0017
      1000122900.00
      1000122900.00
      0.0106
      N
      N
      N
      N
    
    
      CANCARA ASSET SECURITISATION LLC
      CANCARA ASSET SECURITISATION LLC 0.000000%
      13738JN48
      Asset Backed Commercial Paper
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      Y
      
        BANK OF SCOTLAND PLC
        0.3500
      
      
        Lloyds Bank Plc
        0.6500
      
      N
      0.0013
      3399952.77
      3399952.77
      0.0000
      N
      Y
      Y
      N
    
    
      CANCARA ASSET SECURITISATION LLC
      CANCARA ASSET SECURITISATION LLC 0.000000%
      13738JQ37
      Asset Backed Commercial Paper
      Y
      2021-03-03
      2021-03-03
      2021-03-03
      N
      Y
      
        BANK OF SCOTLAND PLC
        0.3500
      
      
        Lloyds Bank Plc
        0.6500
      
      N
      0.0023
      241905808.76
      241905808.76
      0.0026
      N
      N
      N
      N
    
    
      CEDAR SPRINGS CAPITAL COMPANY LLC
      CEDAR SPRINGS CAPITAL COMPANY LLC 0.000000%
      15060XNE8
      Asset Backed Commercial Paper
      Y
      2021-01-14
      2021-01-14
      2021-01-14
      N
      Y
      
        Credit Suisse AG
        0.6000
      
      
        CREDIT SUISSE INTERNATIONAL
        0.4000
      
      N
      0.0014
      126992937.53
      126992937.53
      0.0013
      N
      N
      N
      N
    
    
      CELLMARK, INC
      TAXABLE NOTES SERIES 2018A 0.180000%
      15118CAA8
      549300JWG1LWHVNYN325
      US15118CAA80
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2038-06-01
      Y
      
        Swedbank AB
        1.0000
        7
        N
      
      N
      N
      0.0018
      48000000.00
      48000000.00
      0.0005
      N
      N
      Y
      N
    
    
      CHARIOT FUNDING LLC
      CHARIOT FUNDING LLC 0.000000%
      15963TPG8
      549300EEWRNP448AMT79
      Asset Backed Commercial Paper
      Y
      2021-02-16
      2021-02-16
      2021-02-16
      N
      Y
      
        JPMorgan Chase Bank NA
        1.0000
      
      N
      0.0021
      81527428.59
      81527428.59
      0.0009
      N
      N
      N
      N
    
    
      CHARIOT FUNDING LLC
      CHARIOT FUNDING LLC 0.000000%
      15963TPN3
      549300EEWRNP448AMT79
      Asset Backed Commercial Paper
      Y
      2021-02-22
      2021-02-22
      2021-02-22
      N
      Y
      
        JPMorgan Chase Bank NA
        1.0000
      
      N
      0.0022
      99967906.00
      99967906.00
      0.0011
      N
      N
      N
      N
    
    
      CHARIOT FUNDING LLC
      CHARIOT FUNDING LLC 0.000000%
      15963TQ10
      549300EEWRNP448AMT79
      Asset Backed Commercial Paper
      Y
      2021-03-01
      2021-03-01
      2021-03-01
      N
      Y
      
        JPMorgan Chase Bank NA
        1.0000
      
      N
      0.0023
      117955750.00
      117955750.00
      0.0013
      N
      N
      N
      N
    
    
      CHARIOT FUNDING LLC
      CHARIOT FUNDING LLC 0.000000%
      15963TQ85
      549300EEWRNP448AMT79
      Asset Backed Commercial Paper
      Y
      2021-03-08
      2021-03-08
      2021-03-08
      N
      Y
      
        JPMorgan Chase Bank NA
        1.0000
      
      N
      0.0023
      199914388.00
      199914388.00
      0.0021
      N
      N
      N
      N
    
    
      CHARIOT FUNDING LLC
      CHARIOT FUNDING LLC 0.000000%
      15963TQ93
      549300EEWRNP448AMT79
      Asset Backed Commercial Paper
      Y
      2021-03-09
      2021-03-09
      2021-03-09
      N
      Y
      
        JPMorgan Chase Bank NA
        1.0000
      
      N
      0.0023
      49978278.00
      49978278.00
      0.0005
      N
      N
      N
      N
    
    
      CHARIOT FUNDING LLC
      CHARIOT FUNDING LLC 0.000000%
      15963TR50
      549300EEWRNP448AMT79
      Asset Backed Commercial Paper
      Y
      2021-04-05
      2021-04-05
      2021-04-05
      N
      Y
      
        JPMorgan Chase Bank NA
        1.0000
      
      N
      0.0025
      79947855.20
      79947855.20
      0.0008
      N
      N
      N
      N
    
    
      CHARTA LLC
      CHARTA LLC 0.000000%
      16115VPN3
      5493000FNFK79LCM6M65
      Asset Backed Commercial Paper
      Y
      2021-02-22
      2021-02-22
      2021-02-22
      N
      Y
      
        Citibank NA
        1.0000
      
      N
      0.0022
      39987162.40
      39987162.40
      0.0004
      N
      N
      N
      N
    
    
      CHARTA LLC
      CHARTA LLC 0.000000%
      16115VQ28
      5493000FNFK79LCM6M65
      Asset Backed Commercial Paper
      Y
      2021-03-02
      2021-03-02
      2021-03-02
      N
      Y
      
        Citibank NA
        1.0000
      
      N
      0.0023
      34986656.25
      34986656.25
      0.0004
      N
      N
      N
      N
    
    
      CHARTA LLC
      CHARTA LLC 0.000000%
      16115VQ44
      5493000FNFK79LCM6M65
      Asset Backed Commercial Paper
      Y
      2021-03-04
      2021-03-04
      2021-03-04
      N
      Y
      
        Citibank NA
        1.0000
      
      N
      0.0022
      74970600.00
      74970600.00
      0.0008
      N
      N
      N
      N
    
    
      CHARTA LLC
      CHARTA LLC 0.000000%
      16115VQ51
      5493000FNFK79LCM6M65
      Asset Backed Commercial Paper
      Y
      2021-03-05
      2021-03-05
      2021-03-05
      N
      Y
      
        Citibank NA
        1.0000
      
      N
      0.0022
      74970133.50
      74970133.50
      0.0008
      N
      N
      N
      N
    
    
      CHARTA LLC
      CHARTA LLC 0.000000%
      16115VQ93
      5493000FNFK79LCM6M65
      Asset Backed Commercial Paper
      Y
      2021-03-09
      2021-03-09
      2021-03-09
      N
      Y
      
        Citibank NA
        1.0000
      
      N
      0.0022
      74968550.25
      74968550.25
      0.0008
      N
      N
      N
      N
    
    
      CITIBANK NA
      CITIBANK NA 0.180000%
      17305TS52
      E57ODZWZ7FF32TWEFA76
      0000036684
      Certificate of Deposit
      Y
      2021-03-11
      2021-03-11
      2021-03-11
      N
      N
      N
      0.0014
      100007370.00
      100007370.00
      0.0011
      N
      N
      N
      N
    
    
      CITIBANK NA
      CITIBANK NA 0.220000%
      17305TV82
      E57ODZWZ7FF32TWEFA76
      0000036684
      Certificate of Deposit
      Y
      2021-04-01
      2021-04-01
      2021-04-01
      N
      N
      N
      0.0016
      93015251.07
      93015251.07
      0.0010
      N
      N
      N
      N
    
    
      CITIBANK NA
      CITIBANK NA 0.220000%
      17305TW57
      E57ODZWZ7FF32TWEFA76
      0000036684
      Certificate of Deposit
      Y
      2021-05-17
      2021-05-17
      2021-05-17
      N
      N
      N
      0.0018
      117019542.51
      117019542.51
      0.0012
      N
      N
      N
      N
    
    
      CITIGROUP GLOBAL MARKETS INC
      CITIGROUP GLOBAL MARKETS INC 0.000000%
      17327AQF7
      MBNUM2BPBDO7JBLYG310
      0000315030
      Financial Company Commercial Paper
      Y
      2021-03-15
      2021-03-15
      2021-03-15
      N
      N
      N
      0.0016
      56980784.73
      56980784.73
      0.0006
      N
      N
      N
      N
    
    
      CITIGROUP GLOBAL MARKETS INC
      CITIGROUP GLOBAL MARKETS INC 0.000000%
      17327AQS9
      MBNUM2BPBDO7JBLYG310
      0000315030
      Financial Company Commercial Paper
      Y
      2021-03-26
      2021-03-26
      2021-03-26
      N
      N
      N
      0.0017
      299878167.00
      299878167.00
      0.0032
      N
      N
      N
      N
    
    
      CITIGROUP GLOBAL MARKETS INC
      CITIGROUP GLOBAL MARKETS INC 0.000000%
      17327ARG4
      MBNUM2BPBDO7JBLYG310
      0000315030
      Financial Company Commercial Paper
      Y
      2021-04-16
      2021-04-16
      2021-04-16
      N
      N
      N
      0.0018
      32982510.00
      32982510.00
      0.0004
      N
      N
      N
      N
    
    
      COLLATERALIZED COMMERCIAL PAPER V CO LLC
      COLLATERALIZED COMMERCIAL PAPER V CO LLC 0.000000%
      19424HNN6
      549300ZLXI3T111CH173
      Asset Backed Commercial Paper
      Y
      2021-01-22
      2021-01-22
      2021-01-22
      N
      Y
      
        JP Morgan Securities LLC
        1.0000
      
      N
      0.0017
      170982443.43
      170982443.43
      0.0018
      N
      N
      N
      N
    
    
      COLLATERALIZED COMMERCIAL PAPER V CO LLC
      COLLATERALIZED COMMERCIAL PAPER V CO LLC 0.000000%
      19424HNV8
      549300ZLXI3T111CH173
      Asset Backed Commercial Paper
      Y
      2021-01-29
      2021-01-29
      2021-01-29
      N
      Y
      
        JP Morgan Securities LLC
        1.0000
      
      N
      0.0019
      162974788.79
      162974788.79
      0.0017
      N
      N
      N
      N
    
    
      COLLATERALIZED COMMERCIAL PAPER V CO LLC
      COLLATERALIZED COMMERCIAL PAPER V CO LLC 0.000000%
      19424HP12
      549300ZLXI3T111CH173
      Asset Backed Commercial Paper
      Y
      2021-02-01
      2021-02-01
      2021-02-01
      N
      Y
      
        JP Morgan Securities LLC
        1.0000
      
      N
      0.0020
      49991244.50
      49991244.50
      0.0005
      N
      N
      N
      N
    
    
      COLLATERALIZED COMMERCIAL PAPER V CO LLC
      COLLATERALIZED COMMERCIAL PAPER V CO LLC 0.000000%
      19424HP38
      549300ZLXI3T111CH173
      Asset Backed Commercial Paper
      Y
      2021-02-03
      2021-02-03
      2021-02-03
      N
      Y
      
        JP Morgan Securities LLC
        1.0000
      
      N
      0.0020
      74985904.50
      74985904.50
      0.0008
      N
      N
      N
      N
    
    
      COLLATERALIZED COMMERCIAL PAPER V CO LLC
      COLLATERALIZED COMMERCIAL PAPER V CO LLC 0.000000%
      19424HPG9
      549300ZLXI3T111CH173
      Asset Backed Commercial Paper
      Y
      2021-02-16
      2021-02-16
      2021-02-16
      N
      Y
      
        JP Morgan Securities LLC
        1.0000
      
      N
      0.0021
      79977857.60
      79977857.60
      0.0008
      N
      N
      N
      N
    
    
      COLLATERALIZED COMMERCIAL PAPER V CO LLC
      COLLATERALIZED COMMERCIAL PAPER V CO LLC 0.000000%
      19424HPN4
      549300ZLXI3T111CH173
      Asset Backed Commercial Paper
      Y
      2021-02-22
      2021-02-22
      2021-02-22
      N
      Y
      
        JP Morgan Securities LLC
        1.0000
      
      N
      0.0022
      149951859.00
      149951859.00
      0.0016
      N
      N
      N
      N
    
    
      COLLATERALIZED COMMERCIAL PAPER V CO LLC
      COLLATERALIZED COMMERCIAL PAPER V CO LLC 0.000000%
      19424HPS3
      549300ZLXI3T111CH173
      Asset Backed Commercial Paper
      Y
      2021-02-26
      2021-02-26
      2021-02-26
      N
      Y
      
        JP Morgan Securities LLC
        1.0000
      
      N
      0.0022
      149947275.00
      149947275.00
      0.0016
      N
      N
      N
      N
    
    
      COLLATERALIZED COMMERCIAL PAPER V CO LLC
      COLLATERALIZED COMMERCIAL PAPER V CO LLC 0.000000%
      19424HQF0
      549300ZLXI3T111CH173
      Asset Backed Commercial Paper
      Y
      2021-03-15
      2021-03-15
      2021-03-15
      N
      Y
      
        JP Morgan Securities LLC
        1.0000
      
      N
      0.0023
      123140740.80
      123140740.80
      0.0013
      N
      N
      N
      N
    
    
      COLLATERALIZED COMMERCIAL PAPER V CO LLC
      COLLATERALIZED COMMERCIAL PAPER V CO LLC 0.000000%
      19424HQG8
      549300ZLXI3T111CH173
      Asset Backed Commercial Paper
      Y
      2021-03-16
      2021-03-16
      2021-03-16
      N
      Y
      
        JP Morgan Securities LLC
        1.0000
      
      N
      0.0024
      99951042.00
      99951042.00
      0.0011
      N
      N
      N
      N
    
    
      COLLATERALIZED COMMERCIAL PAPER V CO LLC
      COLLATERALIZED COMMERCIAL PAPER V CO LLC 0.000000%
      19424HRC6
      549300ZLXI3T111CH173
      Asset Backed Commercial Paper
      Y
      2021-04-12
      2021-04-12
      2021-04-12
      N
      Y
      
        JP Morgan Securities LLC
        1.0000
      
      N
      0.0025
      174876537.50
      174876537.50
      0.0019
      N
      N
      N
      N
    
    
      COLLATERALIZED COMMERCIAL PAPER V CO LLC
      COLLATERALIZED COMMERCIAL PAPER V CO LLC 0.000000%
      19424HRL6
      549300ZLXI3T111CH173
      Asset Backed Commercial Paper
      Y
      2021-04-20
      2021-04-20
      2021-04-20
      N
      Y
      
        JP Morgan Securities LLC
        1.0000
      
      N
      0.0025
      169869100.00
      169869100.00
      0.0018
      N
      N
      N
      N
    
    
      COLLATERALIZED COMMERCIAL PAPER V CO LLC
      COLLATERALIZED COMMERCIAL PAPER V CO LLC 0.000000%
      19424HSJ0
      549300ZLXI3T111CH173
      Asset Backed Commercial Paper
      Y
      2021-05-18
      2021-05-18
      2021-05-18
      N
      Y
      
        JP Morgan Securities LLC
        1.0000
      
      N
      0.0026
      60938969.50
      60938969.50
      0.0006
      N
      N
      N
      N
    
    
      COMMONWEALTH BANK OF AUSTRALIA (NEW YORK BRANCH)
      COMMONWEALTH BANK OF AUSTRALIA (NEW YORK BRANCH) 0.200000%
      20271ESY6
      MSFSBD3QN1GSN7Q6C537
      0000008565
      Certificate of Deposit
      Y
      2021-02-03
      2021-02-03
      2021-02-03
      N
      N
      N
      0.0008
      150017272.50
      150017272.50
      0.0016
      N
      N
      N
      N
    
    
      COMMONWEALTH BANK OF AUSTRALIA (NEW YORK BRANCH)
      COMMONWEALTH BANK OF AUSTRALIA (NEW YORK BRANCH) 0.290000%
      20271ESZ3
      MSFSBD3QN1GSN7Q6C537
      US20271ESZ33
      0000008565
      Certificate of Deposit
      Y
      2021-01-04
      2021-02-03
      2021-02-03
      N
      N
      N
      0.0014
      50006937.50
      50006937.50
      0.0005
      N
      N
      N
      N
    
    
      COMMONWEALTH BANK OF AUSTRALIA (NEW YORK BRANCH)
      COMMONWEALTH BANK OF AUSTRALIA (NEW YORK BRANCH) 0.180000%
      20271ETF6
      MSFSBD3QN1GSN7Q6C537
      0000008565
      Certificate of Deposit
      Y
      2021-03-01
      2021-03-01
      2021-03-01
      N
      N
      N
      0.0017
      150003724.50
      150003724.50
      0.0016
      N
      N
      N
      N
    
    
      COMMONWEALTH BANK OF AUSTRALIA (NEW YORK BRANCH)
      COMMONWEALTH BANK OF AUSTRALIA (NEW YORK BRANCH) 0.180000%
      20271ETG4
      MSFSBD3QN1GSN7Q6C537
      0000008565
      Certificate of Deposit
      Y
      2021-03-02
      2021-03-02
      2021-03-02
      N
      N
      N
      0.0017
      110002590.50
      110002590.50
      0.0012
      N
      N
      N
      N
    
    
      COOK CNTY
      TAXABLE GO BONDS SERIES 2004D 0.130000%
      213185FW6
      5493004UMR7OX4YITE10
      US213185FW60
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2030-11-01
      Y
      
        Barclays Bank PLC
        1.0000
        7
        N
      
      N
      N
      0.0013
      29000000.00
      29000000.00
      0.0003
      N
      N
      Y
      N
    
    
      COOPERATIEVE RABOBANK UA (NEW YORK BRANCH)
      COOPERATIEVE RABOBANK UA (NEW YORK BRANCH) 0.200000%
      21684XHN9
      DG3RU1DBUFHT4ZF9WN62
      0001098062
      Certificate of Deposit
      Y
      2021-02-24
      2021-02-24
      2021-02-24
      N
      N
      N
      0.0015
      95007964.80
      95007964.80
      0.0010
      N
      N
      N
      N
    
    
      COOPERATIEVE RABOBANK UA (NEW YORK BRANCH)
      COOPERATIEVE RABOBANK UA (NEW YORK BRANCH) 0.220000%
      21684XHP4
      DG3RU1DBUFHT4ZF9WN62
      0001098062
      Certificate of Deposit
      Y
      2021-03-24
      2021-03-24
      2021-03-24
      N
      N
      N
      0.0017
      221025397.32
      221025397.32
      0.0023
      N
      N
      N
      N
    
    
      CREDIT SUISSE AG (NEW YORK BRANCH)
      CREDIT SUISSE AG (NEW YORK BRANCH) 0.240000%
      22549LW92
      549300D0YARF5HYP1809
      0001053092
      Certificate of Deposit
      Y
      2021-05-03
      2021-05-03
      2021-05-03
      N
      N
      N
      0.0022
      100008160.00
      100008160.00
      0.0011
      N
      N
      N
      N
    
    
      CREDIT SUISSE AG (NEW YORK BRANCH)
      CREDIT SUISSE AG (NEW YORK BRANCH) 0.250000%
      22549LX91
      549300D0YARF5HYP1809
      US22549LX918
      0001053092
      Certificate of Deposit
      Y
      2021-01-04
      2021-05-07
      2021-05-07
      N
      N
      N
      0.0018
      223057386.82
      223057386.82
      0.0024
      N
      N
      N
      N
    
    
      CREDIT SUISSE AG (NEW YORK BRANCH)
      CREDIT SUISSE AG (NEW YORK BRANCH) 0.220000%
      22549LY82
      549300D0YARF5HYP1809
      0001053092
      Certificate of Deposit
      Y
      2021-02-19
      2021-02-19
      2021-02-19
      N
      N
      N
      0.0017
      487035073.74
      487035073.74
      0.0052
      N
      N
      N
      N
    
    
      CREDIT SUISSE AG (NEW YORK BRANCH)
      CREDIT SUISSE AG (NEW YORK BRANCH) 0.220000%
      22549LZ40
      549300D0YARF5HYP1809
      US22549LZ400
      0001053092
      Certificate of Deposit
      Y
      2021-01-04
      2021-02-05
      2021-02-05
      N
      N
      N
      0.0014
      213016179.48
      213016179.48
      0.0023
      N
      N
      N
      N
    
    
      CROWN POINT CAPITAL COMPANY LLC
      CROWN POINT CAPITAL COMPANY LLC 0.230000%
      22845ASV3
      549300LXH4KLRKIKII81
      Asset Backed Commercial Paper
      Y
      2021-03-31
      2021-03-31
      2021-04-06
      Y
      
        CROWN POINT CAPITAL COMPANY LLC
        1.0000
        90
        N
      
      Y
      
        Credit Suisse AG
        1.0000
      
      N
      0.0025
      199988734.00
      199988734.00
      0.0021
      N
      N
      N
      N
    
    
      CROWN POINT CAPITAL COMPANY LLC
      CROWN POINT CAPITAL COMPANY LLC 0.000000%
      2284K0ND3
      549300LXH4KLRKIKII81
      Asset Backed Commercial Paper
      Y
      2021-01-13
      2021-01-13
      2021-01-13
      N
      Y
      
        Credit Suisse AG
        1.0000
      
      N
      0.0014
      349982304.00
      349982304.00
      0.0037
      N
      N
      N
      N
    
    
      CROWN POINT CAPITAL COMPANY LLC
      CROWN POINT CAPITAL COMPANY LLC 0.000000%
      2284K0NF8
      549300LXH4KLRKIKII81
      Asset Backed Commercial Paper
      Y
      2021-01-15
      2021-01-15
      2021-01-15
      N
      Y
      
        Credit Suisse AG
        1.0000
      
      N
      0.0015
      149990937.00
      149990937.00
      0.0016
      N
      N
      N
      N
    
    
      CROWN POINT CAPITAL COMPANY LLC
      CROWN POINT CAPITAL COMPANY LLC 0.000000%
      2284K0PJ8
      549300LXH4KLRKIKII81
      Asset Backed Commercial Paper
      Y
      2021-02-18
      2021-02-18
      2021-02-18
      N
      Y
      
        Credit Suisse AG
        1.0000
      
      N
      0.0021
      191944074.24
      191944074.24
      0.0020
      N
      N
      N
      N
    
    
      CROWN POINT CAPITAL COMPANY LLC
      CROWN POINT CAPITAL COMPANY LLC 0.000000%
      2284K0Q24
      549300LXH4KLRKIKII81
      Asset Backed Commercial Paper
      Y
      2021-03-02
      2021-03-02
      2021-03-02
      N
      Y
      
        Credit Suisse AG
        1.0000
      
      N
      0.0023
      423837633.44
      423837633.44
      0.0045
      N
      N
      N
      N
    
    
      DBS BANK LTD
      DBS BANK LTD 0.000000%
      23305DPN9
      ATUEL7OJR5057F2PV266
      Financial Company Commercial Paper
      Y
      2021-02-22
      2021-02-22
      2021-02-22
      N
      N
      N
      0.0016
      190956133.03
      190956133.03
      0.0020
      N
      N
      N
      N
    
    
      DBS BANK LTD
      DBS BANK LTD 0.000000%
      23305DQ16
      ATUEL7OJR5057F2PV266
      Financial Company Commercial Paper
      Y
      2021-03-01
      2021-03-01
      2021-03-01
      N
      N
      N
      0.0017
      94973875.00
      94973875.00
      0.0010
      N
      N
      N
      N
    
    
      DBS BANK LTD
      DBS BANK LTD 0.000000%
      23305DQA6
      ATUEL7OJR5057F2PV266
      Financial Company Commercial Paper
      Y
      2021-03-10
      2021-03-10
      2021-03-10
      N
      N
      N
      0.0017
      48608783.56
      48608783.56
      0.0005
      N
      N
      N
      N
    
    
      DBS BANK LTD
      DBS BANK LTD 0.000000%
      23305DQH1
      ATUEL7OJR5057F2PV266
      Financial Company Commercial Paper
      Y
      2021-03-17
      2021-03-17
      2021-03-17
      N
      N
      N
      0.0018
      95963317.44
      95963317.44
      0.0010
      N
      N
      N
      N
    
    
      DBS BANK LTD
      DBS BANK LTD 0.000000%
      23305DQJ7
      ATUEL7OJR5057F2PV266
      Financial Company Commercial Paper
      Y
      2021-03-18
      2021-03-18
      2021-03-18
      N
      N
      N
      0.0018
      99961072.00
      99961072.00
      0.0011
      N
      N
      N
      N
    
    
      DBS BANK LTD
      DBS BANK LTD 0.000000%
      23305DQP3
      ATUEL7OJR5057F2PV266
      Financial Company Commercial Paper
      Y
      2021-03-23
      2021-03-23
      2021-03-23
      N
      N
      N
      0.0019
      191918219.52
      191918219.52
      0.0020
      N
      N
      N
      N
    
    
      DBS BANK LTD
      DBS BANK LTD 0.000000%
      23305DR15
      ATUEL7OJR5057F2PV266
      Financial Company Commercial Paper
      Y
      2021-04-01
      2021-04-01
      2021-04-01
      N
      N
      N
      0.0020
      99950708.00
      99950708.00
      0.0011
      N
      N
      N
      N
    
    
      DBS BANK LTD
      DBS BANK LTD 0.000000%
      23305DRM9
      ATUEL7OJR5057F2PV266
      Financial Company Commercial Paper
      Y
      2021-04-21
      2021-04-21
      2021-04-21
      N
      N
      N
      0.0020
      191880416.64
      191880416.64
      0.0020
      N
      N
      N
      N
    
    
      DENMARK (KINGDOM OF)
      DENMARK (KINGDOM OF) 0.000000%
      24850CN42
      549300PTO6LS1PTM6607
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0008
      145998783.82
      145998783.82
      0.0016
      N
      Y
      Y
      N
    
    
      DENMARK (KINGDOM OF)
      DENMARK (KINGDOM OF) 0.000000%
      24850CN59
      549300PTO6LS1PTM6607
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-01-05
      2021-01-05
      2021-01-05
      N
      N
      N
      0.0008
      99998958.00
      99998958.00
      0.0011
      N
      N
      Y
      N
    
    
      DZ BANK AG DEUTSCHE ZENTRAL GENOSSENSCHAFTSBANK (NEW YORK BRANCH)
      DZ BANK AG DEUTSCHE ZENTRAL GENOSSENSCHAFTSBANK (NEW YORK BRANCH) 0.000000%
      26820RNB5
      5493005PGG4HB3CD7345
      0001694217
      Financial Company Commercial Paper
      Y
      2021-01-11
      2021-01-11
      2021-01-11
      N
      N
      N
      0.0010
      21999361.34
      21999361.34
      0.0002
      N
      N
      N
      N
    
    
      EAGLE CNTY
      RB (BC HOUSING) SERIES 1997B 0.240000%
      269476AB3
      US269476AB37
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2027-06-01
      Y
      
        Wells Fargo Bank NA
        1.0000
        7
        N
      
      N
      N
      0.0024
      1500000.00
      1500000.00
      0.0000
      N
      N
      Y
      N
    
    
      EAGLE CNTY
      RB (TARNES AT BC) SERIES 1999B 0.240000%
      269476AD9
      US269476AD92
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2039-05-01
      Y
      
        Wells Fargo Bank NA
        1.0000
        7
        N
      
      N
      N
      0.0024
      2410000.00
      2410000.00
      0.0000
      N
      N
      Y
      N
    
    
      Edward-Elmhurst Healthcare
      TAXABLE BONDS SERIES 2018 0.130000%
      28167RAA8
      549300HQM2YWM7SVJY37
      US28167RAA86
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2048-01-01
      Y
      
        Barclays Bank PLC
        1.0000
        7
        N
      
      N
      N
      0.0013
      25500000.00
      25500000.00
      0.0003
      N
      N
      Y
      N
    
    
      ERSTE ABWICKLUNGSANSTALT
      ERSTE ABWICKLUNGSANSTALT 0.000000%
      29604CNB4
      7TG4VWERK338227TR435
      0001560283
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-01-11
      2021-01-11
      2021-01-11
      N
      N
      N
      0.0013
      219991598.20
      219991598.20
      0.0023
      N
      N
      N
      N
    
    
      EUROPEAN INVESTMENT BANK
      EUROPEAN INVESTMENT BANK 0.000000%
      29878RPS1
      5493006YXS1U5GIHE750
      0000033745
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-02-26
      2021-02-26
      2021-02-26
      N
      N
      N
      0.0015
      97976104.66
      97976104.66
      0.0010
      N
      N
      N
      N
    
    
      FEDERATION DES CAISSES DESJARDINS DU QUEBEC
      FEDERATION DES CAISSES DESJARDINS DU QUEBEC 0.000000%
      31428FND3
      549300B2Q47IR0CR5B54
      Financial Company Commercial Paper
      Y
      2021-01-13
      2021-01-13
      2021-01-13
      N
      N
      N
      0.0010
      184993652.65
      184993652.65
      0.0020
      N
      N
      N
      N
    
    
      FEDERATION DES CAISSES DESJARDINS DU QUEBEC
      FEDERATION DES CAISSES DESJARDINS DU QUEBEC 0.000000%
      31428FR80
      549300B2Q47IR0CR5B54
      Financial Company Commercial Paper
      Y
      2021-04-08
      2021-04-08
      2021-04-08
      N
      N
      N
      0.0018
      67067486.02
      67067486.02
      0.0007
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GNF9
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-01-21
      2021-01-21
      2021-01-21
      N
      N
      N
      0.0011
      76996631.25
      76996631.25
      0.0008
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GNM4
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-01-26
      2021-01-26
      2021-01-26
      N
      N
      N
      0.0010
      49996996.00
      49996996.00
      0.0005
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GNT9
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-02-01
      2021-02-01
      2021-02-01
      N
      N
      N
      0.0013
      99990175.00
      99990175.00
      0.0011
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GPJ9
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-02-23
      2021-02-23
      2021-02-23
      N
      N
      N
      0.0018
      24993943.00
      24993943.00
      0.0003
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GPN0
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-02-25
      2021-02-25
      2021-02-25
      N
      N
      N
      0.0018
      99973500.00
      99973500.00
      0.0011
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GPP5
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-02-26
      2021-02-26
      2021-02-26
      N
      N
      N
      0.0018
      87976108.00
      87976108.00
      0.0009
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GQ17
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-03-04
      2021-03-04
      2021-03-04
      N
      N
      N
      0.0019
      174946042.25
      174946042.25
      0.0019
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GQ25
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-03-05
      2021-03-05
      2021-03-05
      N
      N
      N
      0.0019
      199936966.00
      199936966.00
      0.0021
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GQ90
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-03-12
      2021-03-12
      2021-03-12
      N
      N
      N
      0.0019
      84969494.35
      84969494.35
      0.0009
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GQF6
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-03-18
      2021-03-18
      2021-03-18
      N
      N
      N
      0.0019
      79948105.58
      79948105.58
      0.0008
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GQG4
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-03-19
      2021-03-19
      2021-03-19
      N
      N
      N
      0.0020
      197919562.50
      197919562.50
      0.0021
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GQH2
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-03-22
      2021-03-22
      2021-03-22
      N
      N
      N
      0.0020
      98959035.78
      98959035.78
      0.0011
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GQP4
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-03-26
      2021-03-26
      2021-03-26
      N
      N
      N
      0.0020
      149931666.00
      149931666.00
      0.0016
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GR65
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-04-09
      2021-04-09
      2021-04-09
      N
      N
      N
      0.0021
      199889600.00
      199889600.00
      0.0021
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GRK4
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-04-22
      2021-04-22
      2021-04-22
      N
      N
      N
      0.0021
      77950168.92
      77950168.92
      0.0008
      N
      N
      N
      N
    
    
      FMS WERTMANAGEMENT AOER
      FMS WERTMANAGEMENT AOER 0.000000%
      34411GRM0
      HZFDOR6TCRSIQLKQTX32
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-04-26
      2021-04-26
      2021-04-26
      N
      N
      N
      0.0021
      98935286.67
      98935286.67
      0.0011
      N
      N
      N
      N
    
    
      Franklin Cnty
      HOSPITAL FACILITIES REFUNDING RB (OHIOHEALTH) SERIES 2009B 0.080000%
      3531867M5
      549300VCBUC1RZE7KL42
      US3531867M54
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2041-11-15
      Y
      
        Barclays Bank PLC
        1.0000
        7
        Y
      
      N
      Y
      
        OhioHealth Corp
        Corporate Underlier
        1.0000
      
      0.0008
      15000000.00
      15000000.00
      0.0002
      N
      N
      Y
      N
    
    
      GOTHAM FUNDING CORP
      GOTHAM FUNDING CORP 0.000000%
      38346LQ25
      549300Z2ZR7VTUMRPR17
      Asset Backed Commercial Paper
      Y
      2021-03-02
      2021-03-02
      2021-03-02
      N
      Y
      
        MUFG BANK LTD
        1.0000
      
      N
      0.0024
      99960181.00
      99960181.00
      0.0011
      N
      N
      N
      N
    
    
      HARTFORD HEALTHCARE CORP
      TAXABLE BONDS SERIES C 0.160000%
      41652PAA7
      549300W3L482NUDOFF24
      US41652PAA75
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2049-07-01
      Y
      
        JPMorgan Chase Bank NA
        1.0000
        7
        N
      
      N
      N
      0.0016
      49000000.00
      49000000.00
      0.0005
      N
      N
      Y
      N
    
    
      Illinois Housing Development Auth
      HOUSING BONDS SERIES 2017A2 0.140000%
      45201LA21
      54930053Z6M9JVHBQZ16
      US45201LA214
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2048-07-01
      Y
      
        FEDERAL HOME LOAN BANKS
        1.0000
        7
        Y
      
      N
      N
      0.0014
      23800000.00
      23800000.00
      0.0003
      N
      N
      Y
      N
    
    
      JP MORGAN SECURITIES LLC
      JP MORGAN SECURITIES LLC 0.000000%
      46640PPK3
      ZBUT11V806EZRVTWT807
      0000782124
      Financial Company Commercial Paper
      Y
      2021-02-19
      2021-02-19
      2021-02-19
      N
      N
      N
      0.0015
      99979444.00
      99979444.00
      0.0011
      N
      N
      N
      N
    
    
      KFW
      KFW 0.000000%
      48246TP11
      549300GDPG70E3MBBU98
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-02-01
      2021-02-01
      2021-02-01
      N
      N
      N
      0.0014
      114986097.65
      114986097.65
      0.0012
      N
      N
      N
      N
    
    
      KFW
      KFW 0.000000%
      48246TP29
      549300GDPG70E3MBBU98
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-02-02
      2021-02-02
      2021-02-02
      N
      N
      N
      0.0014
      58797615.27
      58797615.27
      0.0006
      N
      N
      N
      N
    
    
      KFW
      KFW 0.000000%
      48246TP52
      549300GDPG70E3MBBU98
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-02-05
      2021-02-05
      2021-02-05
      N
      N
      N
      0.0014
      149979150.00
      149979150.00
      0.0016
      N
      N
      N
      N
    
    
      KFW
      KFW 0.000000%
      48246TP86
      549300GDPG70E3MBBU98
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-02-08
      2021-02-08
      2021-02-08
      N
      N
      N
      0.0014
      40993737.25
      40993737.25
      0.0004
      N
      N
      N
      N
    
    
      KFW
      KFW 0.000000%
      48246TQ28
      549300GDPG70E3MBBU98
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-03-02
      2021-03-02
      2021-03-02
      N
      N
      N
      0.0016
      79229185.78
      79229185.78
      0.0008
      N
      N
      N
      N
    
    
      KFW
      KFW 0.000000%
      48246TQF9
      549300GDPG70E3MBBU98
      Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt
      Y
      2021-03-15
      2021-03-15
      2021-03-15
      N
      N
      N
      0.0016
      149950666.50
      149950666.50
      0.0016
      N
      N
      N
      N
    
    
      LABCON NORTH AMERICA
      TAXABLE BONDS SERIES 2010 0.220000%
      50537AAA2
      US50537AAA25
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2040-01-01
      Y
      
        Bank of the West
        1.0000
        7
        N
      
      N
      N
      0.0022
      1050000.00
      1050000.00
      0.0000
      N
      N
      Y
      N
    
    
      LANDESBANK BADEN WUERTTEMBERG (NEW YORK BRANCH)
      LANDESBANK BADEN WUERTTEMBERG (NEW YORK BRANCH) 0.000000%
      5148X0N84
      B81CK4ESI35472RHJ606
      Financial Company Commercial Paper
      Y
      2021-01-08
      2021-01-08
      2021-01-08
      N
      N
      N
      0.0013
      316990984.52
      316990984.52
      0.0034
      N
      N
      Y
      N
    
    
      LANDESBANK BADEN WUERTTEMBERG (NEW YORK BRANCH)
      LANDESBANK BADEN WUERTTEMBERG (NEW YORK BRANCH) 0.130000%
      51501G5V9
      B81CK4ESI35472RHJ606
      Certificate of Deposit
      Y
      2021-01-07
      2021-01-07
      2021-01-07
      N
      N
      N
      0.0003
      200003800.00
      200003800.00
      0.0021
      N
      N
      Y
      N
    
    
      LLOYDS BANK PLC
      LLOYDS BANK PLC 0.000000%
      53943RPA1
      H7FNTJ4851HG0EXQ1Z70
      0001167831
      Financial Company Commercial Paper
      Y
      2021-02-10
      2021-02-10
      2021-02-10
      N
      N
      N
      0.0017
      191962389.12
      191962389.12
      0.0020
      N
      N
      N
      N
    
    
      LMA AMERICAS LLC
      LMA AMERICAS LLC 0.000000%
      53944QNC0
      969500DWS97CYSHCPT49
      Asset Backed Commercial Paper
      Y
      2021-01-12
      2021-01-12
      2021-01-12
      N
      Y
      
        Credit Agricole Corporate and Investment Bank SA
        1.0000
      
      N
      0.0013
      11449519.10
      11449519.10
      0.0001
      N
      N
      N
      N
    
    
      MUFG BANK LTD (NEW YORK BRANCH)
      MUFG BANK LTD (NEW YORK BRANCH) 0.290000%
      55380TGS3
      C3GTMMZIHMY46P4OIX74
      0000852743
      Certificate of Deposit
      Y
      2021-01-28
      2021-01-28
      2021-01-28
      N
      N
      N
      0.0009
      284045033.88
      284045033.88
      0.0030
      N
      N
      N
      N
    
    
      MUFG BANK LTD (NEW YORK BRANCH)
      MUFG BANK LTD (NEW YORK BRANCH) 0.240000%
      55380THC7
      C3GTMMZIHMY46P4OIX74
      0000852743
      Certificate of Deposit
      Y
      2021-01-19
      2021-01-19
      2021-01-19
      N
      N
      N
      0.0009
      77006092.24
      77006092.24
      0.0008
      N
      N
      N
      N
    
    
      MUFG BANK LTD (NEW YORK BRANCH)
      MUFG BANK LTD (NEW YORK BRANCH) 0.250000%
      55380TJS0
      C3GTMMZIHMY46P4OIX74
      0000852743
      Certificate of Deposit
      Y
      2021-04-29
      2021-04-29
      2021-04-29
      N
      N
      N
      0.0023
      61003214.09
      61003214.09
      0.0006
      N
      N
      N
      N
    
    
      MUFG BANK LTD (NEW YORK BRANCH)
      MUFG BANK LTD (NEW YORK BRANCH) 0.220000%
      55380TKN9
      C3GTMMZIHMY46P4OIX74
      0000852743
      Certificate of Deposit
      Y
      2021-02-17
      2021-02-17
      2021-02-17
      N
      N
      N
      0.0012
      473066191.62
      473066191.62
      0.0050
      N
      N
      N
      N
    
    
      MUFG BANK LTD (NEW YORK BRANCH)
      MUFG BANK LTD (NEW YORK BRANCH) 0.220000%
      55380TKP4
      C3GTMMZIHMY46P4OIX74
      0000852743
      Certificate of Deposit
      Y
      2021-02-23
      2021-02-23
      2021-02-23
      N
      N
      N
      0.0013
      200028484.00
      200028484.00
      0.0021
      N
      N
      N
      N
    
    
      MUFG BANK LTD (NEW YORK BRANCH)
      MUFG BANK LTD (NEW YORK BRANCH) 0.230000%
      55380TKQ2
      C3GTMMZIHMY46P4OIX74
      0000852743
      Certificate of Deposit
      Y
      2021-02-18
      2021-02-18
      2021-02-18
      N
      N
      N
      0.0012
      279042893.46
      279042893.46
      0.0030
      N
      N
      N
      N
    
    
      MUFG BANK LTD (NEW YORK BRANCH)
      MUFG BANK LTD (NEW YORK BRANCH) 0.240000%
      55380TLF5
      C3GTMMZIHMY46P4OIX74
      0000852743
      Certificate of Deposit
      Y
      2021-03-01
      2021-03-01
      2021-03-01
      N
      N
      N
      0.0014
      100017491.00
      100017491.00
      0.0011
      N
      N
      N
      N
    
    
      MUFG BANK LTD (NEW YORK BRANCH)
      MUFG BANK LTD (NEW YORK BRANCH) 0.240000%
      55380TLX6
      C3GTMMZIHMY46P4OIX74
      0000852743
      Certificate of Deposit
      Y
      2021-04-22
      2021-04-22
      2021-04-22
      N
      N
      N
      0.0023
      92002850.16
      92002850.16
      0.0010
      N
      N
      N
      N
    
    
      MASSACHUSETTS
      TAXABLE GO RAN 2020C 0.250000%
      57582RM45
      5493001N1YCXNI1O7K10
      US57582RM453
      Other Municipal Security
      Y
      2021-06-17
      2021-06-17
      2021-06-17
      N
      N
      N
      0.0024
      48002880.00
      48002880.00
      0.0005
      N
      N
      N
      N
    
    
      Memphis Health, Educational & Housing Facility Board
      M/F HOUSING RB (ASHLAND LAKE II APTS) SERIES 2008A 0.110000%
      586169DH4
      US586169DH45
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2043-05-01
      Y
      
        US BANK NATIONAL ASSOCIATION
        1.0000
        7
        N
      
      N
      N
      0.0011
      5750000.00
      5750000.00
      0.0001
      N
      N
      Y
      N
    
    
      METLIFE SHORT TERM FUNDING LLC
      METLIFE SHORT TERM FUNDING LLC 0.000000%
      59157TN58
      54930024MDLTV1K1YL10
      Asset Backed Commercial Paper
      Y
      2021-01-05
      2021-01-05
      2021-01-05
      N
      Y
      
        METROPOLITAN LIFE INSURANCE COMPANY
        1.0000
      
      N
      0.0012
      24999600.75
      24999600.75
      0.0003
      N
      N
      Y
      N
    
    
      METLIFE SHORT TERM FUNDING LLC
      METLIFE SHORT TERM FUNDING LLC 0.000000%
      59157TQJ5
      54930024MDLTV1K1YL10
      Asset Backed Commercial Paper
      Y
      2021-03-18
      2021-03-18
      2021-03-18
      N
      Y
      
        METROPOLITAN LIFE INSURANCE COMPANY
        1.0000
      
      N
      0.0023
      148147352.42
      148147352.42
      0.0016
      N
      N
      N
      N
    
    
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH)
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH) 0.340000%
      60683BH63
      JBONEPAGQXF4QP29B387
      0001462160
      Certificate of Deposit
      Y
      2021-02-03
      2021-02-03
      2021-02-03
      N
      N
      N
      0.0014
      152029250.88
      152029250.88
      0.0016
      N
      N
      N
      N
    
    
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH)
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH) 0.280000%
      60683BH71
      JBONEPAGQXF4QP29B387
      0001462160
      Certificate of Deposit
      Y
      2021-02-05
      2021-02-05
      2021-02-05
      N
      N
      N
      0.0014
      91012996.62
      91012996.62
      0.0010
      N
      N
      N
      N
    
    
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH)
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH) 0.260000%
      60683BH89
      JBONEPAGQXF4QP29B387
      0001462160
      Certificate of Deposit
      Y
      2021-02-08
      2021-02-08
      2021-02-08
      N
      N
      N
      0.0014
      100013199.00
      100013199.00
      0.0011
      N
      N
      N
      N
    
    
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH)
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH) 0.250000%
      60683BH97
      JBONEPAGQXF4QP29B387
      0001462160
      Certificate of Deposit
      Y
      2021-02-16
      2021-02-16
      2021-02-16
      N
      N
      N
      0.0014
      160022734.40
      160022734.40
      0.0017
      N
      N
      N
      N
    
    
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH)
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH) 0.250000%
      60683BJ20
      JBONEPAGQXF4QP29B387
      0001462160
      Certificate of Deposit
      Y
      2021-02-18
      2021-02-18
      2021-02-18
      N
      N
      N
      0.0020
      100007306.00
      100007306.00
      0.0011
      N
      N
      N
      N
    
    
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH)
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH) 0.270000%
      60683BJ61
      JBONEPAGQXF4QP29B387
      US60683BJ611
      0001462160
      Certificate of Deposit
      Y
      2021-01-04
      2021-02-19
      2021-02-19
      N
      N
      N
      0.0018
      95011864.55
      95011864.55
      0.0010
      N
      N
      N
      N
    
    
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH)
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH) 0.250000%
      60683BJ79
      JBONEPAGQXF4QP29B387
      0001462160
      Certificate of Deposit
      Y
      2021-02-19
      2021-02-19
      2021-02-19
      N
      N
      N
      0.0014
      100014979.00
      100014979.00
      0.0011
      N
      N
      N
      N
    
    
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH)
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH) 0.240000%
      60683BJ87
      JBONEPAGQXF4QP29B387
      0001462160
      Certificate of Deposit
      Y
      2021-03-05
      2021-03-05
      2021-03-05
      N
      N
      N
      0.0016
      150022362.00
      150022362.00
      0.0016
      N
      N
      N
      N
    
    
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH)
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH) 0.230000%
      60683BJ95
      JBONEPAGQXF4QP29B387
      0001462160
      Certificate of Deposit
      Y
      2021-03-09
      2021-03-09
      2021-03-09
      N
      N
      N
      0.0017
      90010854.00
      90010854.00
      0.0010
      N
      N
      N
      N
    
    
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH)
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH) 0.220000%
      60683BK28
      JBONEPAGQXF4QP29B387
      0001462160
      Certificate of Deposit
      Y
      2021-03-09
      2021-03-09
      2021-03-09
      N
      N
      N
      0.0017
      69007019.37
      69007019.37
      0.0007
      N
      N
      N
      N
    
    
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH)
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH) 0.220000%
      60683BK36
      JBONEPAGQXF4QP29B387
      0001462160
      Certificate of Deposit
      Y
      2021-03-10
      2021-03-10
      2021-03-10
      N
      N
      N
      0.0017
      200019496.00
      200019496.00
      0.0021
      N
      N
      N
      N
    
    
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH)
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH) 0.250000%
      60683BL50
      JBONEPAGQXF4QP29B387
      0001462160
      Certificate of Deposit
      Y
      2021-03-12
      2021-03-12
      2021-03-12
      N
      N
      N
      0.0017
      64009573.76
      64009573.76
      0.0007
      N
      N
      N
      N
    
    
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH)
      MITSUBISHI UFJ TRUST AND BANKING CORPORATION (NEW YORK BRANCH) 0.250000%
      60683BL68
      JBONEPAGQXF4QP29B387
      0001462160
      Certificate of Deposit
      Y
      2021-03-15
      2021-03-15
      2021-03-15
      N
      N
      N
      0.0018
      127517779.88
      127517779.88
      0.0014
      N
      N
      N
      N
    
    
      MIZUHO BANK LTD (SINGAPORE BRANCH)
      MIZUHO BANK LTD (SINGAPORE BRANCH) 0.000000%
      60689PNF9
      RB0PEZSDGCO3JS6CEU02
      Financial Company Commercial Paper
      Y
      2021-01-15
      2021-01-15
      2021-01-15
      N
      N
      N
      0.0010
      170993231.82
      170993231.82
      0.0018
      N
      N
      N
      N
    
    
      MIZUHO BANK LTD (SINGAPORE BRANCH)
      MIZUHO BANK LTD (SINGAPORE BRANCH) 0.000000%
      60689PNK8
      RB0PEZSDGCO3JS6CEU02
      Financial Company Commercial Paper
      Y
      2021-01-19
      2021-01-19
      2021-01-19
      N
      N
      N
      0.0009
      199990078.00
      199990078.00
      0.0021
      N
      N
      N
      N
    
    
      MIZUHO BANK LTD (SINGAPORE BRANCH)
      MIZUHO BANK LTD (SINGAPORE BRANCH) 0.000000%
      60689PP18
      RB0PEZSDGCO3JS6CEU02
      Financial Company Commercial Paper
      Y
      2021-02-01
      2021-02-01
      2021-02-01
      N
      N
      N
      0.0014
      199975112.00
      199975112.00
      0.0021
      N
      N
      N
      N
    
    
      MIZUHO BANK LTD (NEW YORK BRANCH)
      MIZUHO BANK LTD (NEW YORK BRANCH) 0.180000%
      60710ASR4
      RB0PEZSDGCO3JS6CEU02
      0001512734
      Certificate of Deposit
      Y
      2021-01-12
      2021-01-12
      2021-01-12
      N
      N
      N
      0.0011
      194004458.12
      194004458.12
      0.0021
      N
      N
      N
      N
    
    
      MIZUHO BANK LTD (NEW YORK BRANCH)
      MIZUHO BANK LTD (NEW YORK BRANCH) 0.210000%
      60710ASS2
      RB0PEZSDGCO3JS6CEU02
      0001512734
      Certificate of Deposit
      Y
      2021-02-01
      2021-02-01
      2021-02-01
      N
      N
      N
      0.0014
      300019446.00
      300019446.00
      0.0032
      N
      N
      N
      N
    
    
      MIZUHO BANK LTD (NEW YORK BRANCH)
      MIZUHO BANK LTD (NEW YORK BRANCH) 0.200000%
      60710AT85
      RB0PEZSDGCO3JS6CEU02
      0001512734
      Certificate of Deposit
      Y
      2021-01-29
      2021-01-29
      2021-01-29
      N
      N
      N
      0.0013
      250013280.00
      250013280.00
      0.0027
      N
      N
      N
      N
    
    
      MIZUHO BANK LTD (NEW YORK BRANCH)
      MIZUHO BANK LTD (NEW YORK BRANCH) 0.200000%
      60710ATJ1
      RB0PEZSDGCO3JS6CEU02
      0001512734
      Certificate of Deposit
      Y
      2021-02-08
      2021-02-08
      2021-02-08
      N
      N
      N
      0.0014
      142008605.20
      142008605.20
      0.0015
      N
      N
      N
      N
    
    
      NRW BANK
      NRW BANK 0.000000%
      62939LPJ2
      52990002O5KK6XOGJ020
      Financial Company Commercial Paper
      Y
      2021-02-18
      2021-02-18
      2021-02-18
      N
      N
      N
      0.0017
      499883625.00
      499883625.00
      0.0053
      N
      N
      N
      N
    
    
      Nassau Health Care Corp
      TAXABLE HEALTH CARE RB SERIES 2009A 0.140000%
      63167NAV8
      549300L7UKCJQEMTLX26
      US63167NAV82
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2022-08-01
      Y
      
        Bank of America NA
        1.0000
        7
        N
      
      N
      N
      0.0014
      845000.00
      845000.00
      0.0000
      N
      N
      Y
      N
    
    
      NATIONAL AUSTRALIA BANK LTD (NEW YORK BRANCH)
      NATIONAL AUSTRALIA BANK LTD (NEW YORK BRANCH) 0.230000%
      63253TW46
      549300E2IPL06NDXMZ63
      US63253TW466
      Certificate of Deposit
      Y
      2021-01-04
      2021-04-26
      2021-04-26
      N
      N
      N
      0.0017
      18003535.56
      18003535.56
      0.0002
      N
      N
      N
      N
    
    
      NATIONAL AUSTRALIA BANK LTD
      NATIONAL AUSTRALIA BANK LTD 0.000000%
      63254ENR7
      F8SB4JFBSYQFRQEH3Z21
      0000833029
      Financial Company Commercial Paper
      Y
      2021-01-25
      2021-01-25
      2021-01-25
      N
      N
      N
      0.0011
      225983050.00
      225983050.00
      0.0024
      N
      N
      N
      N
    
    
      NATIONAL AUSTRALIA BANK LTD
      NATIONAL AUSTRALIA BANK LTD 0.000000%
      63254EPG9
      F8SB4JFBSYQFRQEH3Z21
      0000833029
      Financial Company Commercial Paper
      Y
      2021-02-16
      2021-02-16
      2021-02-16
      N
      N
      N
      0.0013
      144975012.15
      144975012.15
      0.0015
      N
      N
      N
      N
    
    
      New York State HFA
      HOUSING RB (600 W 42ND STREET) SERIES 2007A 0.110000%
      64986UMN4
      5493000LS7KCDB02O506
      US64986UMN45
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2041-05-15
      Y
      
        FEDERAL NATIONAL MORTGAGE ASSOCIATION
        1.0000
        7
        N
      
      N
      N
      0.0011
      123010000.00
      123010000.00
      0.0013
      N
      N
      Y
      N
    
    
      NORDEA BANK ABP (NEW YORK BRANCH)
      NORDEA BANK ABP (NEW YORK BRANCH) 0.200000%
      65558TD85
      529900ODI3047E2LIV03
      0001002614
      Certificate of Deposit
      Y
      2021-01-25
      2021-01-25
      2021-01-25
      N
      N
      N
      0.0009
      407031912.87
      407031912.87
      0.0043
      N
      N
      N
      N
    
    
      NORINCHUKIN BANK (NEW YORK BRANCH)
      NORINCHUKIN BANK (NEW YORK BRANCH) 0.100000%
      65602V6P6
      5493007VSMFZCPV1NB83
      Certificate of Deposit
      Y
      2021-01-06
      2021-01-06
      2021-01-06
      N
      N
      N
      0.0009
      612000612.00
      612000612.00
      0.0065
      N
      N
      Y
      N
    
    
      NORINCHUKIN BANK (NEW YORK BRANCH)
      NORINCHUKIN BANK (NEW YORK BRANCH) 0.100000%
      65602V6S0
      5493007VSMFZCPV1NB83
      Certificate of Deposit
      Y
      2021-01-07
      2021-01-07
      2021-01-07
      N
      N
      N
      0.0010
      330000320.10
      330000320.10
      0.0035
      N
      N
      Y
      N
    
    
      NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND
      VARIABLE RATE DEMAND PREFERRED SHARES SERIES A 0.290000%
      67072T850
      N0WOEFO1WOMLJYH1PV29
      US67072T8505
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2031-01-01
      Y
      
        SUMITOMO MITSUI BANKING CORPORATION
        1.0000
        7
        N
      
      N
      N
      0.0029
      31000000.00
      31000000.00
      0.0003
      N
      N
      Y
      N
    
    
      NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND
      VARIABLE RATE DEMAND PREFERRED SHARES SERIES A 0.290000%
      67074X305
      N0WOEFO1WOMLJYH1PV29
      US67074X3052
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2029-11-01
      Y
      
        Barclays Bank PLC
        1.0000
        7
        N
      
      N
      N
      0.0029
      19000000.00
      19000000.00
      0.0002
      N
      N
      Y
      N
    
    
      OLD LINE FUNDING LLC
      OLD LINE FUNDING LLC 0.000000%
      67983TQ17
      5493004QSN8OZAIU2J90
      Asset Backed Commercial Paper
      Y
      2021-03-01
      2021-03-01
      2021-03-01
      N
      Y
      
        Royal Bank of Canada
        1.0000
      
      N
      0.0022
      4998208.35
      4998208.35
      0.0001
      N
      N
      N
      N
    
    
      OLD LINE FUNDING LLC
      OLD LINE FUNDING LLC 0.000000%
      67983TQ25
      5493004QSN8OZAIU2J90
      Asset Backed Commercial Paper
      Y
      2021-03-02
      2021-03-02
      2021-03-02
      N
      Y
      
        Royal Bank of Canada
        1.0000
      
      N
      0.0022
      149945100.00
      149945100.00
      0.0016
      N
      N
      N
      N
    
    
      OVERSEA CHINESE BANKING CORPORATION LTD (NEW YORK BRANCH)
      OVERSEA CHINESE BANKING CORPORATION LTD (NEW YORK BRANCH) 0.230000%
      69033MSD0
      5493007O3QFXCPOGWK22
      US69033MSD01
      Certificate of Deposit
      Y
      2021-01-04
      2021-04-30
      2021-04-30
      N
      N
      N
      0.0017
      132026381.52
      132026381.52
      0.0014
      N
      N
      N
      N
    
    
      OVERSEA CHINESE BANKING CORPORATION LTD (NEW YORK BRANCH)
      OVERSEA CHINESE BANKING CORPORATION LTD (NEW YORK BRANCH) 0.240000%
      69033MTA5
      5493007O3QFXCPOGWK22
      Certificate of Deposit
      Y
      2021-01-04
      2021-05-17
      2021-05-17
      N
      N
      N
      0.0018
      69016791.84
      69016791.84
      0.0007
      N
      N
      N
      N
    
    
      OVERSEA-CHINESE BANKING CORPORATION LTD
      OVERSEA-CHINESE BANKING CORPORATION LTD 0.000000%
      69034APB2
      5493007O3QFXCPOGWK22
      Financial Company Commercial Paper
      Y
      2021-02-11
      2021-02-11
      2021-02-11
      N
      N
      N
      0.0021
      132468001.25
      132468001.25
      0.0014
      N
      N
      N
      N
    
    
      OVERSEA-CHINESE BANKING CORPORATION LTD
      OVERSEA-CHINESE BANKING CORPORATION LTD 0.000000%
      69034APJ5
      5493007O3QFXCPOGWK22
      Financial Company Commercial Paper
      Y
      2021-02-18
      2021-02-18
      2021-02-18
      N
      N
      N
      0.0021
      199941744.00
      199941744.00
      0.0021
      N
      N
      N
      N
    
    
      OVERSEA-CHINESE BANKING CORPORATION LTD
      OVERSEA-CHINESE BANKING CORPORATION LTD 0.000000%
      69034AS37
      5493007O3QFXCPOGWK22
      Financial Company Commercial Paper
      Y
      2021-05-03
      2021-05-03
      2021-05-03
      N
      N
      N
      0.0026
      64943368.75
      64943368.75
      0.0007
      N
      N
      N
      N
    
    
      OVERSEA-CHINESE BANKING CORPORATION LTD
      OVERSEA-CHINESE BANKING CORPORATION LTD 0.170000%
      69034CLK2
      5493007O3QFXCPOGWK22
      Financial Company Commercial Paper
      Y
      2021-02-26
      2021-02-26
      2021-02-26
      N
      N
      N
      0.0015
      196018661.16
      196018661.16
      0.0021
      N
      N
      N
      N
    
    
      OVERSEA-CHINESE BANKING CORPORATION LTD
      OVERSEA-CHINESE BANKING CORPORATION LTD 0.210000%
      69034CLM8
      5493007O3QFXCPOGWK22
      Financial Company Commercial Paper
      Y
      2021-03-01
      2021-03-01
      2021-03-01
      N
      N
      N
      0.0015
      186018586.98
      186018586.98
      0.0020
      N
      N
      N
      N
    
    
      Paulding Cnty Hospital Auth
      REVENUE ANTICIPATION CERTIFIICATE (WELLSTAR HEALTH) SERIES 2012B 0.110000%
      703596DK9
      US703596DK93
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2043-04-01
      Y
      
        Bank of America NA
        1.0000
        7
        N
      
      N
      N
      0.0011
      12225000.00
      12225000.00
      0.0001
      N
      N
      Y
      N
    
    
      RIDGEFIELD FUNDING COMPANY LLC
      RIDGEFIELD FUNDING COMPANY LLC 0.000000%
      76582JP24
      Asset Backed Commercial Paper
      Y
      2021-02-02
      2021-02-02
      2021-02-02
      N
      Y
      
        BNP Paribas SA
        1.0000
      
      N
      0.0020
      299140696.11
      299140696.11
      0.0032
      N
      N
      N
      N
    
    
      RIDGEFIELD FUNDING COMPANY LLC
      RIDGEFIELD FUNDING COMPANY LLC 0.000000%
      76582JP40
      Asset Backed Commercial Paper
      Y
      2021-02-04
      2021-02-04
      2021-02-04
      N
      Y
      
        BNP Paribas SA
        1.0000
      
      N
      0.0020
      99724605.78
      99724605.78
      0.0011
      N
      N
      N
      N
    
    
      RIDGEFIELD FUNDING COMPANY LLC
      RIDGEFIELD FUNDING COMPANY LLC 0.000000%
      76582JQ23
      Asset Backed Commercial Paper
      Y
      2021-03-02
      2021-03-02
      2021-03-02
      N
      Y
      
        BNP Paribas SA
        1.0000
      
      N
      0.0018
      394881531.60
      394881531.60
      0.0042
      N
      N
      N
      N
    
    
      RIDGEFIELD FUNDING COMPANY LLC
      RIDGEFIELD FUNDING COMPANY LLC 0.000000%
      76582JQ49
      Asset Backed Commercial Paper
      Y
      2021-03-04
      2021-03-04
      2021-03-04
      N
      Y
      
        BNP Paribas SA
        1.0000
      
      N
      0.0018
      99968150.00
      99968150.00
      0.0011
      N
      N
      N
      N
    
    
      RIDGEFIELD FUNDING COMPANY LLC
      RIDGEFIELD FUNDING COMPANY LLC 0.000000%
      76582JQ80
      Asset Backed Commercial Paper
      Y
      2021-03-08
      2021-03-08
      2021-03-08
      N
      Y
      
        BNP Paribas SA
        1.0000
      
      N
      0.0019
      4998222.65
      4998222.65
      0.0001
      N
      N
      N
      N
    
    
      RIDGEFIELD FUNDING COMPANY LLC
      RIDGEFIELD FUNDING COMPANY LLC 0.000000%
      76582JQ98
      Asset Backed Commercial Paper
      Y
      2021-03-09
      2021-03-09
      2021-03-09
      N
      Y
      
        BNP Paribas SA
        1.0000
      
      N
      0.0019
      77971417.68
      77971417.68
      0.0008
      N
      N
      N
      N
    
    
      ROYAL BANK OF CANADA (NEW YORK BRANCH)
      ROYAL BANK OF CANADA (NEW YORK BRANCH) 0.264800%
      78012USW6
      549300HXQQQCCUBS2Z23
      US78012USW61
      Certificate of Deposit
      Y
      2021-01-25
      2021-01-25
      2021-01-25
      N
      N
      N
      0.0020
      120005658.00
      120005658.00
      0.0013
      N
      N
      N
      N
    
    
      ROYAL BANK OF CANADA (NEW YORK BRANCH)
      ROYAL BANK OF CANADA (NEW YORK BRANCH) 0.256000%
      78012UZN8
      549300HXQQQCCUBS2Z23
      Certificate of Deposit
      Y
      2021-03-23
      2021-06-23
      2021-06-23
      N
      N
      N
      0.0025
      264018313.68
      264018313.68
      0.0028
      N
      N
      N
      N
    
    
      ROYAL BANK OF CANADA
      ROYAL BANK OF CANADA 0.260000%
      78014XFG7
      ES7IP3U3RHIGC71XBU11
      0000352613
      Financial Company Commercial Paper
      Y
      2021-01-04
      2021-02-22
      2021-02-22
      N
      N
      N
      0.0015
      396564173.53
      396564173.53
      0.0042
      N
      N
      N
      N
    
    
      ROYAL BANK OF CANADA
      ROYAL BANK OF CANADA 0.240000%
      78014XFH5
      ES7IP3U3RHIGC71XBU11
      0000352613
      Financial Company Commercial Paper
      Y
      2021-01-04
      2021-02-26
      2021-02-26
      N
      N
      N
      0.0015
      491069923.31
      491069923.31
      0.0052
      N
      N
      N
      N
    
    
      ROYAL BANK OF CANADA
      ROYAL BANK OF CANADA 0.350000%
      78014XFK8
      ES7IP3U3RHIGC71XBU11
      0000352613
      Financial Company Commercial Paper
      Y
      2021-01-04
      2021-03-04
      2021-03-04
      N
      N
      N
      0.0015
      500174045.00
      500174045.00
      0.0053
      N
      N
      N
      N
    
    
      ROYAL BANK OF CANADA
      ROYAL BANK OF CANADA 0.320000%
      78014XGE1
      ES7IP3U3RHIGC71XBU11
      0000352613
      Financial Company Commercial Paper
      Y
      2021-01-04
      2021-04-08
      2021-04-08
      N
      N
      N
      0.0016
      495211459.05
      495211459.05
      0.0053
      N
      N
      N
      N
    
    
      San Francisco Airport Commission
      REFUNDING RB SERIES 2010A1 0.090000%
      79765A3K0
      54930055TIDYHNDP4F84
      US79765A3K08
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2030-05-01
      Y
      
        Bank of America NA
        1.0000
        7
        N
      
      N
      N
      0.0009
      11605000.00
      11605000.00
      0.0001
      N
      N
      Y
      N
    
    
      San Francisco Airport Commission
      REFUNDING RB SERIES 2010A2 0.100000%
      79765A3L8
      54930055TIDYHNDP4F84
      US79765A3L80
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2030-05-01
      Y
      
        Bank of America NA
        1.0000
        7
        N
      
      N
      N
      0.0010
      7775000.00
      7775000.00
      0.0001
      N
      N
      Y
      N
    
    
      SAN FRANCISCO
      TAXABLE M/F HOUSING RB (1601 MARIPOSA APTS) SERIES 2017B 0.110000%
      79765PDU4
      549300RA28ZEFOB6M782
      US79765PDU49
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2057-07-01
      Y
      
        Bank of America NA
        1.0000
        7
        N
      
      N
      N
      0.0011
      19000000.00
      19000000.00
      0.0002
      N
      N
      Y
      N
    
    
      SANTANDER UK PLC
      SANTANDER UK PLC 0.000000%
      80285PP14
      PTCQB104N23FMNK2RZ28
      0000891478
      Financial Company Commercial Paper
      Y
      2021-02-01
      2021-02-01
      2021-02-01
      N
      N
      N
      0.0017
      210968864.84
      210968864.84
      0.0022
      N
      N
      N
      N
    
    
      SANTANDER UK PLC
      SANTANDER UK PLC 0.000000%
      80285PP22
      PTCQB104N23FMNK2RZ28
      0000891478
      Financial Company Commercial Paper
      Y
      2021-02-02
      2021-02-02
      2021-02-02
      N
      N
      N
      0.0017
      253961117.68
      253961117.68
      0.0027
      N
      N
      N
      N
    
    
      SANTANDER UK PLC
      SANTANDER UK PLC 0.000000%
      80285PPJ5
      PTCQB104N23FMNK2RZ28
      0000891478
      Financial Company Commercial Paper
      Y
      2021-02-18
      2021-02-18
      2021-02-18
      N
      N
      N
      0.0018
      144964475.00
      144964475.00
      0.0015
      N
      N
      N
      N
    
    
      SANTANDER UK PLC
      SANTANDER UK PLC 0.000000%
      80285PPP1
      PTCQB104N23FMNK2RZ28
      0000891478
      Financial Company Commercial Paper
      Y
      2021-02-23
      2021-02-23
      2021-02-23
      N
      N
      N
      0.0019
      171951754.00
      171951754.00
      0.0018
      N
      N
      N
      N
    
    
      SANTANDER UK PLC
      SANTANDER UK PLC 0.000000%
      80285PQ39
      PTCQB104N23FMNK2RZ28
      0000891478
      Financial Company Commercial Paper
      Y
      2021-03-03
      2021-03-03
      2021-03-03
      N
      N
      N
      0.0020
      209928751.20
      209928751.20
      0.0022
      N
      N
      N
      N
    
    
      SHEFFIELD RECEIVABLES COMPANY LLC
      SHEFFIELD RECEIVABLES COMPANY LLC 0.000000%
      82124LP14
      549300MYF6MOTU9T3G29
      Asset Backed Commercial Paper
      Y
      2021-02-01
      2021-02-01
      2021-02-01
      N
      Y
      
        Barclays Bank Plc
        1.0000
      
      N
      0.0020
      48991419.61
      48991419.61
      0.0005
      N
      N
      N
      N
    
    
      SHEFFIELD RECEIVABLES COMPANY LLC
      SHEFFIELD RECEIVABLES COMPANY LLC 0.000000%
      82124LPA4
      549300MYF6MOTU9T3G29
      Asset Backed Commercial Paper
      Y
      2021-02-10
      2021-02-10
      2021-02-10
      N
      Y
      
        Barclays Bank Plc
        1.0000
      
      N
      0.0021
      99976539.00
      99976539.00
      0.0011
      N
      N
      N
      N
    
    
      SHEFFIELD RECEIVABLES COMPANY LLC
      SHEFFIELD RECEIVABLES COMPANY LLC 0.000000%
      82124LPJ5
      549300MYF6MOTU9T3G29
      Asset Backed Commercial Paper
      Y
      2021-02-18
      2021-02-18
      2021-02-18
      N
      Y
      
        Barclays Bank Plc
        1.0000
      
      N
      0.0021
      149956308.00
      149956308.00
      0.0016
      N
      N
      N
      N
    
    
      SHEFFIELD RECEIVABLES COMPANY LLC
      SHEFFIELD RECEIVABLES COMPANY LLC 0.000000%
      82124LPK2
      549300MYF6MOTU9T3G29
      Asset Backed Commercial Paper
      Y
      2021-02-19
      2021-02-19
      2021-02-19
      N
      Y
      
        Barclays Bank Plc
        1.0000
      
      N
      0.0022
      149955208.50
      149955208.50
      0.0016
      N
      N
      N
      N
    
    
      SHEFFIELD RECEIVABLES COMPANY LLC
      SHEFFIELD RECEIVABLES COMPANY LLC 0.000000%
      82124LPP1
      549300MYF6MOTU9T3G29
      Asset Backed Commercial Paper
      Y
      2021-02-23
      2021-02-23
      2021-02-23
      N
      Y
      
        Barclays Bank Plc
        1.0000
      
      N
      0.0022
      90970106.50
      90970106.50
      0.0010
      N
      N
      N
      N
    
    
      SHEFFIELD RECEIVABLES COMPANY LLC
      SHEFFIELD RECEIVABLES COMPANY LLC 0.000000%
      82124LQQ8
      549300MYF6MOTU9T3G29
      Asset Backed Commercial Paper
      Y
      2021-03-24
      2021-03-24
      2021-03-24
      N
      Y
      
        Barclays Bank Plc
        1.0000
      
      N
      0.0024
      99944667.00
      99944667.00
      0.0011
      N
      N
      N
      N
    
    
      SHEFFIELD RECEIVABLES COMPANY LLC
      SHEFFIELD RECEIVABLES COMPANY LLC 0.000000%
      82124LQV7
      549300MYF6MOTU9T3G29
      Asset Backed Commercial Paper
      Y
      2021-03-29
      2021-03-29
      2021-03-29
      N
      Y
      
        Barclays Bank Plc
        1.0000
      
      N
      0.0024
      149910534.00
      149910534.00
      0.0016
      N
      N
      N
      N
    
    
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH)
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH) 0.200000%
      83050PMP1
      F3JS33DEI6XQ4ZBPTN86
      0000917311
      Certificate of Deposit
      Y
      2021-03-09
      2021-03-09
      2021-03-09
      N
      N
      N
      0.0014
      55005805.80
      55005805.80
      0.0006
      N
      N
      N
      N
    
    
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH)
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH) 0.215000%
      83050PNJ4
      F3JS33DEI6XQ4ZBPTN86
      0000917311
      Certificate of Deposit
      Y
      2021-04-06
      2021-04-06
      2021-04-06
      N
      N
      N
      0.0020
      232011057.12
      232011057.12
      0.0025
      N
      N
      N
      N
    
    
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH)
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH) 0.210000%
      83050PNU9
      F3JS33DEI6XQ4ZBPTN86
      0000917311
      Certificate of Deposit
      Y
      2021-04-06
      2021-04-06
      2021-04-06
      N
      N
      N
      0.0020
      101003471.37
      101003471.37
      0.0011
      N
      N
      N
      N
    
    
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH)
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH) 0.220000%
      83050PPA1
      F3JS33DEI6XQ4ZBPTN86
      0000917311
      Certificate of Deposit
      Y
      2021-05-03
      2021-05-03
      2021-05-03
      N
      N
      N
      0.0021
      58002754.42
      58002754.42
      0.0006
      N
      N
      N
      N
    
    
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH)
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH) 0.220000%
      83050PPD5
      F3JS33DEI6XQ4ZBPTN86
      0000917311
      Certificate of Deposit
      Y
      2021-05-06
      2021-05-06
      2021-05-06
      N
      N
      N
      0.0021
      185008354.60
      185008354.60
      0.0020
      N
      N
      N
      N
    
    
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH)
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH) 0.220000%
      83050PPF0
      F3JS33DEI6XQ4ZBPTN86
      0000917311
      Certificate of Deposit
      Y
      2021-05-07
      2021-05-07
      2021-05-07
      N
      N
      N
      0.0021
      627028547.31
      627028547.31
      0.0067
      N
      N
      N
      N
    
    
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH)
      SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK BRANCH) 0.240000%
      83050PPZ6
      F3JS33DEI6XQ4ZBPTN86
      0000917311
      Certificate of Deposit
      Y
      2021-06-07
      2021-06-07
      2021-06-07
      N
      N
      N
      0.0022
      200017508.00
      200017508.00
      0.0021
      N
      N
      N
      N
    
    
      SOCIETE GENERALE SA
      SOCIETE GENERALE SA 0.000000%
      83369BQN9
      O2RNE8IBXP4R0TD8PU41
      0001145665
      Financial Company Commercial Paper
      Y
      2021-03-22
      2021-03-22
      2021-03-22
      N
      N
      N
      0.0023
      375809650.00
      375809650.00
      0.0040
      N
      N
      N
      N
    
    
      STARBIRD FUNDING CORP
      STARBIRD FUNDING CORP 0.000000%
      85520LQB4
      549300A8DDPP6QJBB522
      Asset Backed Commercial Paper
      Y
      2021-03-11
      2021-03-11
      2021-03-11
      N
      Y
      
        BNP Paribas SA
        1.0000
      
      N
      0.0023
      37982857.82
      37982857.82
      0.0004
      N
      N
      N
      N
    
    
      STARBIRD FUNDING CORP
      STARBIRD FUNDING CORP 0.000000%
      85520LTE5
      549300A8DDPP6QJBB522
      Asset Backed Commercial Paper
      Y
      2021-06-14
      2021-06-14
      2021-06-14
      N
      Y
      
        BNP Paribas SA
        1.0000
      
      N
      0.0029
      89882437.50
      89882437.50
      0.0010
      N
      N
      N
      N
    
    
      STARBIRD FUNDING CORP
      STARBIRD FUNDING CORP 0.000000%
      85520LTF2
      549300A8DDPP6QJBB522
      Asset Backed Commercial Paper
      Y
      2021-06-15
      2021-06-15
      2021-06-15
      N
      Y
      
        BNP Paribas SA
        1.0000
      
      N
      0.0029
      49934061.00
      49934061.00
      0.0005
      N
      N
      N
      N
    
    
      STARBIRD FUNDING CORP
      STARBIRD FUNDING CORP 0.000000%
      85520LTH8
      549300A8DDPP6QJBB522
      Asset Backed Commercial Paper
      Y
      2021-06-17
      2021-06-17
      2021-06-17
      N
      Y
      
        BNP Paribas SA
        1.0000
      
      N
      0.0029
      99866067.00
      99866067.00
      0.0011
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (NEW YORK BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (NEW YORK BRANCH) 0.000000%
      86563GR61
      254900S1KUTSTBKJ6286
      Financial Company Commercial Paper
      Y
      2021-04-06
      2021-04-06
      2021-04-06
      N
      N
      N
      0.0022
      169899813.90
      169899813.90
      0.0018
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (NEW YORK BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (NEW YORK BRANCH) 0.220000%
      86564GJN2
      254900S1KUTSTBKJ6286
      US86564GJN25
      Certificate of Deposit
      Y
      2021-01-04
      2021-01-22
      2021-01-22
      N
      N
      N
      0.0012
      289017305.32
      289017305.32
      0.0031
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (NEW YORK BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (NEW YORK BRANCH) 0.220000%
      86564GJQ5
      254900S1KUTSTBKJ6286
      US86564GJQ55
      Certificate of Deposit
      Y
      2021-01-04
      2021-01-25
      2021-01-25
      N
      N
      N
      0.0013
      7000442.26
      7000442.26
      0.0001
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (NEW YORK BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (NEW YORK BRANCH) 0.230000%
      86564GLY5
      254900S1KUTSTBKJ6286
      Certificate of Deposit
      Y
      2021-01-04
      2021-02-22
      2021-02-22
      N
      N
      N
      0.0016
      200020302.00
      200020302.00
      0.0021
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (NEW YORK BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (NEW YORK BRANCH) 0.230000%
      86564GLZ2
      254900S1KUTSTBKJ6286
      Certificate of Deposit
      Y
      2021-01-04
      2021-02-23
      2021-02-23
      N
      N
      N
      0.0016
      118012026.56
      118012026.56
      0.0013
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (NEW YORK BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (NEW YORK BRANCH) 0.230000%
      86564GMB4
      254900S1KUTSTBKJ6286
      Certificate of Deposit
      Y
      2021-02-25
      2021-02-25
      2021-02-25
      N
      N
      N
      0.0017
      315030835.35
      315030835.35
      0.0033
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (SINGAPORE BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (SINGAPORE BRANCH) 0.000000%
      86564YQ39
      5493006GGLR4BTEL8O61
      Financial Company Commercial Paper
      Y
      2021-03-03
      2021-03-03
      2021-03-03
      N
      N
      N
      0.0018
      62980686.72
      62980686.72
      0.0007
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (SINGAPORE BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (SINGAPORE BRANCH) 0.000000%
      86564YQ96
      5493006GGLR4BTEL8O61
      Financial Company Commercial Paper
      Y
      2021-03-09
      2021-03-09
      2021-03-09
      N
      N
      N
      0.0019
      169940273.90
      169940273.90
      0.0018
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (SINGAPORE BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (SINGAPORE BRANCH) 0.000000%
      86564YQJ4
      5493006GGLR4BTEL8O61
      Financial Company Commercial Paper
      Y
      2021-03-18
      2021-03-18
      2021-03-18
      N
      N
      N
      0.0020
      188350199.90
      188350199.90
      0.0020
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (SINGAPORE BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (SINGAPORE BRANCH) 0.000000%
      86564YQN5
      5493006GGLR4BTEL8O61
      Financial Company Commercial Paper
      Y
      2021-03-22
      2021-03-22
      2021-03-22
      N
      N
      N
      0.0020
      23989038.00
      23989038.00
      0.0003
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH)
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH) 0.304100%
      86565CKB4
      5U0XI89JRFVHWIBS4F54
      US86565CKB45
      Certificate of Deposit
      Y
      2021-01-11
      2021-01-11
      2021-01-11
      N
      N
      N
      0.0020
      245004696.65
      245004696.65
      0.0026
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH)
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH) 0.316900%
      86565CKQ1
      5U0XI89JRFVHWIBS4F54
      US86565CKQ14
      Certificate of Deposit
      Y
      2021-01-15
      2021-01-15
      2021-01-15
      N
      N
      N
      0.0020
      190006066.70
      190006066.70
      0.0020
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH)
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH) 0.295800%
      86565CKV0
      5U0XI89JRFVHWIBS4F54
      US86565CKV09
      Certificate of Deposit
      Y
      2021-01-22
      2021-01-22
      2021-01-22
      N
      N
      N
      0.0020
      218011824.32
      218011824.32
      0.0023
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH)
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH) 0.250000%
      86565CSG5
      5U0XI89JRFVHWIBS4F54
      Certificate of Deposit
      Y
      2021-04-20
      2021-04-20
      2021-04-20
      N
      N
      N
      0.0024
      105003809.40
      105003809.40
      0.0011
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH)
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH) 0.250000%
      86565CSM2
      5U0XI89JRFVHWIBS4F54
      Certificate of Deposit
      Y
      2021-04-23
      2021-04-23
      2021-04-23
      N
      N
      N
      0.0024
      318006865.62
      318006865.62
      0.0034
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH)
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH) 0.250000%
      86565CSQ3
      5U0XI89JRFVHWIBS4F54
      Certificate of Deposit
      Y
      2021-04-26
      2021-04-26
      2021-04-26
      N
      N
      N
      0.0025
      165001001.55
      165001001.55
      0.0018
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH)
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH) 0.250000%
      86565CSU4
      5U0XI89JRFVHWIBS4F54
      Certificate of Deposit
      Y
      2021-04-28
      2021-04-28
      2021-04-28
      N
      N
      N
      0.0025
      167998837.44
      167998837.44
      0.0018
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH)
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH) 0.270000%
      86565CTK5
      5U0XI89JRFVHWIBS4F54
      Certificate of Deposit
      Y
      2021-05-21
      2021-05-21
      2021-05-21
      N
      N
      N
      0.0026
      212012359.60
      212012359.60
      0.0023
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH)
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH) 0.270000%
      86565CTN9
      5U0XI89JRFVHWIBS4F54
      Certificate of Deposit
      Y
      2021-05-26
      2021-05-26
      2021-05-26
      N
      N
      N
      0.0026
      270016305.30
      270016305.30
      0.0029
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH)
      SUMITOMO MITSUI BANKING CORP (NEW YORK BRANCH) 0.260000%
      86565CUN7
      5U0XI89JRFVHWIBS4F54
      Certificate of Deposit
      Y
      2021-06-07
      2021-06-07
      2021-06-07
      N
      N
      N
      0.0026
      53000454.21
      53000454.21
      0.0006
      N
      N
      N
      N
    
    
      SVENSKA HANDELSBANKEN AB (NEW YORK BRANCH)
      SVENSKA HANDELSBANKEN AB (NEW YORK BRANCH) 0.200000%
      86959RJC5
      NHBDILHZTYCNBV5UYZ31
      0001448613
      Certificate of Deposit
      Y
      2021-01-29
      2021-01-29
      2021-01-29
      N
      N
      N
      0.0009
      75006399.00
      75006399.00
      0.0008
      N
      N
      N
      N
    
    
      SVENSKA HANDELSBANKEN AB (NEW YORK BRANCH)
      SVENSKA HANDELSBANKEN AB (NEW YORK BRANCH) 0.190000%
      86959RJF8
      NHBDILHZTYCNBV5UYZ31
      0001448613
      Certificate of Deposit
      Y
      2021-01-29
      2021-01-29
      2021-01-29
      N
      N
      N
      0.0009
      300023181.00
      300023181.00
      0.0032
      N
      N
      N
      N
    
    
      SVENSKA HANDELSBANKEN AB (NEW YORK BRANCH)
      SVENSKA HANDELSBANKEN AB (NEW YORK BRANCH) 0.220000%
      86959RJT8
      NHBDILHZTYCNBV5UYZ31
      0001448613
      Certificate of Deposit
      Y
      2021-05-24
      2021-05-24
      2021-05-24
      N
      N
      N
      0.0019
      250030917.50
      250030917.50
      0.0027
      N
      N
      N
      N
    
    
      SVENSKA HANDELSBANKEN AB (NEW YORK BRANCH)
      SVENSKA HANDELSBANKEN AB (NEW YORK BRANCH) 0.210000%
      86959RJW1
      NHBDILHZTYCNBV5UYZ31
      0001448613
      Certificate of Deposit
      Y
      2021-05-28
      2021-05-28
      2021-05-28
      N
      N
      N
      0.0019
      190013161.30
      190013161.30
      0.0020
      N
      N
      N
      N
    
    
      SVENSKA HANDELSBANKEN AB (NEW YORK BRANCH)
      SVENSKA HANDELSBANKEN AB (NEW YORK BRANCH) 0.230000%
      86959RKH2
      NHBDILHZTYCNBV5UYZ31
      0001448613
      Certificate of Deposit
      Y
      2021-06-21
      2021-06-21
      2021-06-21
      N
      N
      N
      0.0022
      405011319.75
      405011319.75
      0.0043
      N
      N
      N
      N
    
    
      SWEDBANK AB
      SWEDBANK AB 0.000000%
      87019RNU6
      M312WZV08Y7LYUC71685
      0001367624
      Financial Company Commercial Paper
      Y
      2021-01-28
      2021-01-28
      2021-01-28
      N
      N
      N
      0.0008
      259984428.60
      259984428.60
      0.0028
      N
      N
      N
      N
    
    
      SWEDBANK AB
      SWEDBANK AB 0.000000%
      87019RQB5
      M312WZV08Y7LYUC71685
      0001367624
      Financial Company Commercial Paper
      Y
      2021-03-11
      2021-03-11
      2021-03-11
      N
      N
      N
      0.0012
      121972719.58
      121972719.58
      0.0013
      N
      N
      N
      N
    
    
      SWEDBANK AB
      SWEDBANK AB 0.000000%
      87019RQJ8
      M312WZV08Y7LYUC71685
      0001367624
      Financial Company Commercial Paper
      Y
      2021-03-18
      2021-03-18
      2021-03-18
      N
      N
      N
      0.0013
      149958612.00
      149958612.00
      0.0016
      N
      N
      N
      N
    
    
      SWEDBANK AB
      SWEDBANK AB 0.000000%
      87019RR57
      M312WZV08Y7LYUC71685
      0001367624
      Financial Company Commercial Paper
      Y
      2021-04-05
      2021-04-05
      2021-04-05
      N
      N
      N
      0.0016
      270887009.26
      270887009.26
      0.0029
      N
      N
      N
      N
    
    
      Tenderfoot Seasonal Housing, LLC
      TAXABLE NOTES SERIES 2000B 0.240000%
      88033VAB3
      US88033VAB36
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2035-07-01
      Y
      
        Wells Fargo Bank NA
        1.0000
        7
        N
      
      N
      N
      0.0024
      5885000.00
      5885000.00
      0.0001
      N
      N
      Y
      N
    
    
      Texas
      GO BONDS SERIES 2017 0.110000%
      8827236Q7
      549300X9CH74QB747L76
      US8827236Q77
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2047-12-01
      Y
      
        SUMITOMO MITSUI BANKING CORPORATION
        1.0000
        7
        Y
      
      N
      N
      0.0011
      8115000.00
      8115000.00
      0.0001
      N
      N
      Y
      N
    
    
      TORONTO-DOMINION BANK (NEW YORK BRANCH)
      TORONTO-DOMINION BANK (NEW YORK BRANCH) 0.333900%
      89114NEU5
      PT3QB789TSUIDF371261
      US89114NEU54
      Certificate of Deposit
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0033
      185000000.00
      185000000.00
      0.0020
      N
      Y
      Y
      N
    
    
      TORONTO-DOMINION BANK (NEW YORK BRANCH)
      TORONTO-DOMINION BANK (NEW YORK BRANCH) 0.230000%
      89114NPS8
      PT3QB789TSUIDF371261
      Certificate of Deposit
      Y
      2021-02-01
      2021-02-01
      2021-02-01
      N
      N
      N
      0.0019
      423016095.15
      423016095.15
      0.0045
      N
      N
      N
      N
    
    
      TORONTO-DOMINION BANK (NEW YORK BRANCH)
      TORONTO-DOMINION BANK (NEW YORK BRANCH) 0.200000%
      89114NTA3
      PT3QB789TSUIDF371261
      Certificate of Deposit
      Y
      2021-04-05
      2021-04-05
      2021-04-05
      N
      N
      N
      0.0023
      419966635.20
      419966635.20
      0.0045
      N
      N
      N
      N
    
    
      TORONTO-DOMINION BANK (NEW YORK BRANCH)
      TORONTO-DOMINION BANK (NEW YORK BRANCH) 0.210000%
      89114NV77
      PT3QB789TSUIDF371261
      Certificate of Deposit
      Y
      2021-02-17
      2021-02-17
      2021-02-17
      N
      N
      N
      0.0020
      459004250.34
      459004250.34
      0.0049
      N
      N
      N
      N
    
    
      TORONTO-DOMINION BANK (NEW YORK BRANCH)
      TORONTO-DOMINION BANK (NEW YORK BRANCH) 0.250000%
      89114NX83
      PT3QB789TSUIDF371261
      Certificate of Deposit
      Y
      2021-06-10
      2021-06-10
      2021-06-10
      N
      N
      N
      0.0027
      142990393.26
      142990393.26
      0.0015
      N
      N
      N
      N
    
    
      TORONTO-DOMINION BANK (NEW YORK BRANCH)
      TORONTO-DOMINION BANK (NEW YORK BRANCH) 0.250000%
      89114NXQ3
      PT3QB789TSUIDF371261
      Certificate of Deposit
      Y
      2021-03-15
      2021-03-15
      2021-03-15
      N
      N
      N
      0.0022
      372022911.48
      372022911.48
      0.0040
      N
      N
      N
      N
    
    
      TORONTO-DOMINION BANK (NEW YORK BRANCH)
      TORONTO-DOMINION BANK (NEW YORK BRANCH) 0.240000%
      89114NYW9
      PT3QB789TSUIDF371261
      Certificate of Deposit
      Y
      2021-05-03
      2021-05-03
      2021-05-03
      N
      N
      N
      0.0003
      60043020.00
      60043020.00
      0.0006
      N
      N
      N
      N
    
    
      TORONTO-DOMINION BANK/THE
      TORONTO-DOMINION BANK/THE 0.000000%
      89119AQG6
      PT3QB789TSUIDF371261
      Financial Company Commercial Paper
      Y
      2021-03-16
      2021-03-16
      2021-03-16
      N
      N
      N
      0.0021
      287774043.75
      287774043.75
      0.0031
      N
      N
      N
      N
    
    
      TOTAL CAPITAL CANADA LTD
      TOTAL CAPITAL CANADA LTD 0.000000%
      89153PNK4
      5299005IX98ZZ9LSGK46
      Non-Financial Company Commercial Paper
      Y
      2021-01-19
      2021-01-19
      2021-01-19
      N
      Y
      
        TOTAL SE
        1.0000
      
      N
      0.0007
      124774126.13
      124774126.13
      0.0013
      N
      N
      N
      N
    
    
      TOYOTA CREDIT CANADA INC
      TOYOTA CREDIT CANADA INC 0.000000%
      89232CTB2
      HJZQGXYTVV2NWJZLPW74
      Non-Financial Company Commercial Paper
      Y
      2021-06-11
      2021-06-11
      2021-06-11
      N
      N
      N
      0.0028
      90885749.50
      90885749.50
      0.0010
      N
      N
      N
      N
    
    
      TOYOTA MOTOR FINANCE (NETHERLANDS) B.V.
      TOYOTA MOTOR FINANCE (NETHERLANDS) B.V. 0.000000%
      89233ETJ0
      724500OPA8GZSQUNSR96
      Non-Financial Company Commercial Paper
      Y
      2021-06-18
      2021-06-18
      2021-06-18
      N
      N
      N
      0.0026
      148815339.83
      148815339.83
      0.0016
      N
      N
      N
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      9127962F5
      254900HROIFWPRGM1V77
      US9127962F58
      U.S. Treasury Debt
      Y
      2021-03-25
      2021-03-25
      2021-03-25
      N
      N
      N
      0.0007
      481930379.92
      481930379.92
      0.0051
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      9127963T4
      254900HROIFWPRGM1V77
      US9127963T44
      U.S. Treasury Debt
      Y
      2021-01-07
      2021-01-07
      2021-01-07
      N
      N
      N
      0.0002
      721998794.26
      721998794.26
      0.0077
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      9127963U1
      254900HROIFWPRGM1V77
      US9127963U17
      U.S. Treasury Debt
      Y
      2021-01-14
      2021-01-14
      2021-01-14
      N
      N
      N
      0.0004
      1443785966.26
      1443785966.26
      0.0153
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      9127963V9
      254900HROIFWPRGM1V77
      US9127963V99
      U.S. Treasury Debt
      Y
      2021-01-21
      2021-01-21
      2021-01-21
      N
      N
      N
      0.0004
      962984081.61
      962984081.61
      0.0102
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      9127963W7
      254900HROIFWPRGM1V77
      US9127963W72
      U.S. Treasury Debt
      Y
      2021-02-04
      2021-02-04
      2021-02-04
      N
      N
      N
      0.0005
      481981322.50
      481981322.50
      0.0051
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      9127964C0
      254900HROIFWPRGM1V77
      US9127964C00
      U.S. Treasury Debt
      Y
      2021-02-11
      2021-02-11
      2021-02-11
      N
      N
      N
      0.0005
      963949120.08
      963949120.08
      0.0102
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      9127964X4
      254900HROIFWPRGM1V77
      US9127964X47
      U.S. Treasury Debt
      Y
      2021-04-08
      2021-04-08
      2021-04-08
      N
      N
      N
      0.0007
      467120706.82
      467120706.82
      0.0050
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      9127964Y2
      254900HROIFWPRGM1V77
      US9127964Y20
      U.S. Treasury Debt
      Y
      2021-04-15
      2021-04-15
      2021-04-15
      N
      N
      N
      0.0007
      481202103.58
      481202103.58
      0.0051
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      912796A58
      254900HROIFWPRGM1V77
      US912796A585
      U.S. Treasury Debt
      Y
      2021-01-05
      2021-01-05
      2021-01-05
      N
      N
      N
      0.0001
      722000101.08
      722000101.08
      0.0077
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      912796A66
      254900HROIFWPRGM1V77
      US912796A668
      U.S. Treasury Debt
      Y
      2021-01-12
      2021-01-12
      2021-01-12
      N
      N
      N
      0.0003
      1220991855.93
      1220991855.93
      0.0130
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      912796A74
      254900HROIFWPRGM1V77
      US912796A742
      U.S. Treasury Debt
      Y
      2021-01-19
      2021-01-19
      2021-01-19
      N
      N
      N
      0.0003
      480993987.50
      480993987.50
      0.0051
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      912796A82
      254900HROIFWPRGM1V77
      US912796A825
      U.S. Treasury Debt
      Y
      2021-01-26
      2021-01-26
      2021-01-26
      N
      N
      N
      0.0004
      730983245.48
      730983245.48
      0.0078
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      912796B81
      254900HROIFWPRGM1V77
      US912796B815
      U.S. Treasury Debt
      Y
      2021-02-16
      2021-02-16
      2021-02-16
      N
      N
      N
      0.0006
      625555163.24
      625555163.24
      0.0066
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      912796B99
      254900HROIFWPRGM1V77
      US912796B997
      U.S. Treasury Debt
      Y
      2021-02-23
      2021-02-23
      2021-02-23
      N
      N
      N
      0.0005
      964429668.66
      964429668.66
      0.0102
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      912796C23
      254900HROIFWPRGM1V77
      US912796C235
      U.S. Treasury Debt
      Y
      2021-03-02
      2021-03-02
      2021-03-02
      N
      N
      N
      0.0007
      963891472.88
      963891472.88
      0.0102
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      912796D22
      254900HROIFWPRGM1V77
      US912796D225
      U.S. Treasury Debt
      Y
      2021-03-30
      2021-03-30
      2021-03-30
      N
      N
      N
      0.0006
      577814037.38
      577814037.38
      0.0061
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 0.000000%
      912796UC1
      254900HROIFWPRGM1V77
      US912796UC14
      U.S. Treasury Debt
      Y
      2021-01-28
      2021-01-28
      2021-01-28
      N
      N
      N
      0.0005
      1221461315.10
      1221461315.10
      0.0130
      N
      Y
      Y
      N
    
    
      UNITED STATES TREASURY
      UNITED STATES TREASURY 2.000000%
      9128283Q1
      254900HROIFWPRGM1V77
      US9128283Q14
      U.S. Treasury Debt
      Y
      2021-01-15
      2021-01-15
      2021-01-15
      N
      N
      N
      0.0013
      240134059.20
      240134059.20
      0.0026
      N
      Y
      Y
      N
    
    
      VICTORY RECEIVABLES CORP
      VICTORY RECEIVABLES CORP 0.000000%
      92646KP48
      549300D0F37QF0LP7F94
      Asset Backed Commercial Paper
      Y
      2021-02-04
      2021-02-04
      2021-02-04
      N
      Y
      
        MUFG BANK LTD
        1.0000
      
      N
      0.0020
      124975695.00
      124975695.00
      0.0013
      N
      N
      N
      N
    
    
      Yavapai Cnty IDA
      TAXABLE RB (DRAKE CEMENT) SERIES 2015 0.250000%
      98521YAB5
      US98521YAB56
      Variable Rate Demand Note
      Y
      2021-01-07
      2021-01-07
      2035-09-01
      Y
      
        Bank of Nova Scotia
        1.0000
        7
        N
      
      N
      N
      0.0025
      21375000.00
      21375000.00
      0.0002
      N
      N
      Y
      N
    
    
      TORONTO-DOMINION BANK (LONDON BRANCH)
      TORONTO-DOMINION BANK (LONDON BRANCH) 0.274400%
      PT3QB789TSUIDF371261
      0000947263
      ACI1JFT57
      Certificate of Deposit
      Y
      2021-01-29
      2021-01-29
      2021-01-29
      N
      N
      N
      0.0022
      425017072.25
      425017072.25
      0.0045
      N
      N
      N
      N
    
    
      COOPERATIEVE RABOBANK UA (LONDON BRANCH)
      COOPERATIEVE RABOBANK UA (LONDON BRANCH) 0.280000%
      DG3RU1DBUFHT4ZF9WN62
      0001098062
      ACI1PG4N6
      Certificate of Deposit
      Y
      2021-02-01
      2021-02-01
      2021-02-01
      N
      N
      N
      0.0004
      495104692.50
      495104692.50
      0.0053
      N
      N
      N
      N
    
    
      COOPERATIEVE RABOBANK UA (LONDON BRANCH)
      COOPERATIEVE RABOBANK UA (LONDON BRANCH) 0.250000%
      DG3RU1DBUFHT4ZF9WN62
      0001098062
      ACI1PMDT0
      Certificate of Deposit
      Y
      2021-02-04
      2021-02-04
      2021-02-04
      N
      N
      N
      0.0004
      483096706.26
      483096706.26
      0.0051
      N
      N
      N
      N
    
    
      COOPERATIEVE RABOBANK UA (LONDON BRANCH)
      COOPERATIEVE RABOBANK UA (LONDON BRANCH) 0.250000%
      DG3RU1DBUFHT4ZF9WN62
      0001098062
      ACI1PP0Z3
      Certificate of Deposit
      Y
      2021-01-29
      2021-01-29
      2021-01-29
      N
      N
      N
      0.0004
      211035686.43
      211035686.43
      0.0022
      N
      N
      N
      N
    
    
      COOPERATIEVE RABOBANK UA (LONDON BRANCH)
      COOPERATIEVE RABOBANK UA (LONDON BRANCH) 0.210000%
      DG3RU1DBUFHT4ZF9WN62
      0001098062
      ACI1QS706
      Certificate of Deposit
      Y
      2021-02-26
      2021-02-26
      2021-02-26
      N
      N
      N
      0.0006
      110025766.40
      110025766.40
      0.0012
      N
      N
      N
      N
    
    
      COOPERATIEVE RABOBANK UA (LONDON BRANCH)
      COOPERATIEVE RABOBANK UA (LONDON BRANCH) 0.240000%
      DG3RU1DBUFHT4ZF9WN62
      0001098062
      ACI1S8XF6
      Certificate of Deposit
      Y
      2021-04-29
      2021-04-29
      2021-04-29
      N
      N
      N
      0.0013
      160056003.20
      160056003.20
      0.0017
      N
      N
      N
      N
    
    
      MUFG BANK LTD (LONDON BRANCH)
      MUFG BANK LTD (LONDON BRANCH) 0.250000%
      C3GTMMZIHMY46P4OIX74
      0000852743
      ACI1SGMP8
      Certificate of Deposit
      Y
      2021-04-29
      2021-04-29
      2021-04-29
      N
      N
      N
      0.0024
      96004089.60
      96004089.60
      0.0010
      N
      N
      N
      N
    
    
      MUFG BANK LTD (LONDON BRANCH)
      MUFG BANK LTD (LONDON BRANCH) 0.220000%
      C3GTMMZIHMY46P4OIX74
      0000852743
      ACI1SGQB5
      Certificate of Deposit
      Y
      2021-01-29
      2021-01-29
      2021-01-29
      N
      N
      N
      0.0013
      195013655.85
      195013655.85
      0.0021
      N
      N
      N
      N
    
    
      NATIONAL AUSTRALIA BANK LTD (LONDON BRANCH)
      NATIONAL AUSTRALIA BANK LTD (LONDON BRANCH) 0.220000%
      F8SB4JFBSYQFRQEH3Z21
      0000833029
      ACI1STWK0
      Certificate of Deposit
      Y
      2021-02-25
      2021-02-25
      2021-02-25
      N
      N
      N
      0.0010
      290056370.20
      290056370.20
      0.0031
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (LONDON BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (LONDON BRANCH) 0.000000%
      5493006GGLR4BTEL8O61
      0001046017
      ACI1SWFB2
      Certificate of Deposit
      Y
      2021-03-01
      2021-03-01
      2021-03-01
      N
      N
      N
      0.0019
      92972883.06
      92972883.06
      0.0010
      N
      N
      N
      N
    
    
      NATIONAL AUSTRALIA BANK LTD (LONDON BRANCH)
      NATIONAL AUSTRALIA BANK LTD (LONDON BRANCH) 0.220000%
      F8SB4JFBSYQFRQEH3Z21
      0000833029
      ACI1SWFC0
      Certificate of Deposit
      Y
      2021-02-18
      2021-02-18
      2021-02-18
      N
      N
      N
      0.0010
      491083509.28
      491083509.28
      0.0052
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (LONDON BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (LONDON BRANCH) 0.000000%
      5493006GGLR4BTEL8O61
      0001046017
      ACI1SXMP1
      Certificate of Deposit
      Y
      2021-02-19
      2021-02-19
      2021-02-19
      N
      N
      N
      0.0017
      42990386.92
      42990386.92
      0.0005
      N
      N
      N
      N
    
    
      MUFG BANK LTD (LONDON BRANCH)
      MUFG BANK LTD (LONDON BRANCH) 0.250000%
      C3GTMMZIHMY46P4OIX74
      0000852743
      ACI1T26K7
      Certificate of Deposit
      Y
      2021-02-24
      2021-02-24
      2021-02-24
      N
      N
      N
      0.0017
      85010640.30
      85010640.30
      0.0009
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (LONDON BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (LONDON BRANCH) 0.000000%
      5493006GGLR4BTEL8O61
      0001046017
      ACI1T4H88
      Certificate of Deposit
      Y
      2021-02-26
      2021-02-26
      2021-02-26
      N
      N
      N
      0.0018
      82977533.56
      82977533.56
      0.0009
      N
      N
      N
      N
    
    
      SUMITOMO MITSUI TRUST BANK LTD (LONDON BRANCH)
      SUMITOMO MITSUI TRUST BANK LTD (LONDON BRANCH) 0.000000%
      5493006GGLR4BTEL8O61
      0001046017
      ACI1TC757
      Certificate of Deposit
      Y
      2021-03-22
      2021-03-22
      2021-03-22
      N
      N
      N
      0.0022
      144931519.40
      144931519.40
      0.0015
      N
      N
      N
      N
    
    
      JP MORGAN SECURITIES LLC
      JP MORGAN SECURITIES LLC 0.550000%
      ZBUT11V806EZRVTWT807
      0000782124
      ARP0O4CL0
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          FHLMC STACR 2020-DNA5          B-1    20501025 FLT
          
            2050-10-25
          
          4.881670
          825000.00
          851258.76
          Agency Collateralized Mortgage Obligation
        
        
          MLTI FMLY CONN AVE SEC 2019-01 M-10   20491025 FLT
          549300HG8ZEWVWVSN227
          
            2049-10-25
          
          3.398000
          18500000.00
          17240042.08
          Agency Collateralized Mortgage Obligation
        
        
          Fannie Mae
          B1V7KEBTPIMZEU4LTD58
          
            2035-09-25
          
          0.00
          2727272.00
          333928.12
          Agency Collateralized Mortgage Obligation
        
        
          Fannie Mae
          B1V7KEBTPIMZEU4LTD58
          
            2037-02-25
          
          0.00
          3424936.00
          70572.18
          Agency Collateralized Mortgage Obligation
        
        
          GNII SF BZ0858 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          6081696.00
          6465842.27
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ0116 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.000000
          1045316.00
          1136998.71
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ2677 C
          549300M8ZYFG0OCMTT87
          
            2050-10-20
          
          3.500000
          1254810.00
          1389695.48
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ3698 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          4.500000
          1046590.00
          1128116.72
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ7568 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          1921374.00
          2033638.59
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ8456 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          1094194.00
          1160154.57
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ9708 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.000000
          1013688.00
          1112228.22
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA0284 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          2367216.00
          2509917.30
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA2514 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          24756672.00
          26352619.11
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA4430 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          1457520.00
          1544533.94
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA6947 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          1235230.00
          1337342.76
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AU8271 X
          549300M8ZYFG0OCMTT87
          
            2046-07-15
          
          4.500000
          1832612.00
          140946.93
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 584309 X
          549300M8ZYFG0OCMTT87
          
            2032-04-15
          
          6.000000
          418200.00
          37695.61
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY8843 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.000000
          823692.00
          862926.39
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY9771 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          4054432.00
          4364325.75
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY9775 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          1005330.00
          1065934.64
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CLQB1397
          
            2050-07-01
          
          2.500000
          154002432.00
          163834823.62
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 CTQK0508
          
            2040-11-01
          
          2.000000
          5773024.00
          5985646.88
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 3PQU7714
          
            2051-01-01
          
          2.000000
          5364270.00
          5542807.21
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CLRA2324
          
            2050-03-01
          
          2.500000
          49999872.00
          46225991.28
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX7141 C
          549300M8ZYFG0OCMTT87
          
            2050-10-20
          
          2.000000
          584682.00
          611347.26
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BX9862
          549300M8ZYFG0OCMTT87
          
            2054-04-15
          
          3.050000
          39131712.00
          43250631.93
          Agency Mortgage-Backed Securities
        
        
          GNII SF BL4771 C
          549300M8ZYFG0OCMTT87
          
            2049-02-20
          
          4.500000
          2000000.00
          1721257.94
          Agency Mortgage-Backed Securities
        
        
          GNII SF BU3235 C
          549300M8ZYFG0OCMTT87
          
            2050-06-20
          
          3.000000
          2415760.00
          2570518.81
          Agency Mortgage-Backed Securities
        
        
          GNII SF BU8360 C
          549300M8ZYFG0OCMTT87
          
            2050-06-20
          
          3.000000
          25023560.00
          26095012.04
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY0227 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          4115216.00
          4385452.65
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY0236 C
          549300M8ZYFG0OCMTT87
          
            2050-10-20
          
          3.500000
          1146688.00
          1258185.74
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY6261 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          6690560.00
          7154369.69
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY5419 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          2872550.00
          3045711.14
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY8918 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.000000
          3849310.00
          4022264.26
          Agency Mortgage-Backed Securities
        
        
          GNAR AF MA1615 M
          549300M8ZYFG0OCMTT87
          
            2044-01-20
          
          3.000000
          287260160.00
          16679616.83
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA7084 M
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          1.500000
          777733.00
          796234.49
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA6985 M
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.000000
          53056.00
          54570.88
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6996 M
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.000000
          22105824.00
          23388234.60
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA7025 M
          549300M8ZYFG0OCMTT87
          
            2035-11-20
          
          3.000000
          10698760.00
          11332511.75
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA7054 M
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.500000
          3058964.00
          3254987.51
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BA9083 X
          549300M8ZYFG0OCMTT87
          
            2047-06-15
          
          5.000000
          666953.00
          410745.42
          Agency Mortgage-Backed Securities
        
        
          GNII SF AZ3202 C
          549300M8ZYFG0OCMTT87
          
            2047-04-20
          
          3.500000
          109074.00
          64516.50
          Agency Mortgage-Backed Securities
        
        
          GNII SF 003260 M
          549300M8ZYFG0OCMTT87
          
            2032-07-20
          
          6.000000
          414195712.00
          4005450.99
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX9785 C
          549300M8ZYFG0OCMTT87
          
            2050-10-20
          
          4.000000
          3378016.00
          3754634.88
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX9805 C
          549300M8ZYFG0OCMTT87
          
            2050-10-20
          
          3.500000
          1861528.00
          2061871.30
          Agency Mortgage-Backed Securities
        
        
          GNII SF BT1251 C
          549300M8ZYFG0OCMTT87
          
            2050-02-20
          
          3.000000
          3127780.00
          3225863.97
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX3541 C
          549300M8ZYFG0OCMTT87
          
            2038-11-20
          
          3.500000
          1404456.00
          1500037.81
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY7904 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          4.000000
          1464288.00
          1600790.00
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3597 M
          549300M8ZYFG0OCMTT87
          
            2046-04-20
          
          3.500000
          40578640.00
          14876365.77
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3175 M
          549300M8ZYFG0OCMTT87
          
            2045-09-20
          
          4.500000
          2000000.00
          476288.64
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4451 M
          549300M8ZYFG0OCMTT87
          
            2047-05-20
          
          3.500000
          4226992.00
          1856652.73
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4904 M
          549300M8ZYFG0OCMTT87
          
            2047-12-20
          
          5.500000
          4537696.00
          1914603.22
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5137 M
          549300M8ZYFG0OCMTT87
          
            2048-04-20
          
          4.000000
          96035072.00
          36458028.34
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5746 M
          549300M8ZYFG0OCMTT87
          
            2030-11-20
          
          8.000000
          201554.00
          47601.02
          Agency Mortgage-Backed Securities
        
        
          GNII SF BC3619 C
          549300M8ZYFG0OCMTT87
          
            2047-08-20
          
          4.000000
          2882020.00
          2357427.05
          Agency Mortgage-Backed Securities
        
        
          GNII SF BI4636 C
          549300M8ZYFG0OCMTT87
          
            2048-07-20
          
          5.000000
          1195030.00
          1056070.60
          Agency Mortgage-Backed Securities
        
      
      Y
      2021-02-26
      2021-02-26
      2021-02-26
      Y
      
        JP MORGAN SECURITIES LLC
        1.0000
        57
        N
      
      N
      N
      0.0065
      501920101.68
      501920101.68
      0.0053
      N
      N
      N
      Y
    
    
      CREDIT SUISSE SECURITIES (USA) LLC
      CREDIT SUISSE SECURITIES (USA) LLC 0.460000%
      1V8Y6QCX6YMJ2OELII46
      0001230485
      ARP0OC6R6
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          MARLETTE FDG TR 2018-3         CTF    20280915 0.0
          549300ICATMFOKQ20083
          
            2028-09-15
          
          0.00
          14475.00
          1447497.44
          Asset-Backed Securities
        
        
          OZLM VII LTD 2014-7            SUB    20260717 FLT
          
            2026-07-17
          
          0.00
          1083456.00
          65007.36
          Asset-Backed Securities
        
        
          REGIONAL MGMT ISS TR 2019-1    A      20281115 3.0
          
            2028-11-15
          
          3.050000
          500000.00
          507581.28
          Asset-Backed Securities
        
        
          SOUND POINT CLO 2017-17        SUB    20301021 FLT
          
            2030-10-21
          
          0.00
          5250000.00
          2992500.00
          Asset-Backed Securities
        
        
          LAGSHIP CR AUTO TR 2020 4
          
            2099-12-31
          
          0.00
          67200.00
          17383.03
          Asset-Backed Securities
        
        
          FREED ABS TRUST 2020-3FP       B      20270918 0.0
          
            2027-09-18
          
          4.180000
          6500000.00
          6678102.89
          Asset-Backed Securities
        
        
          GENESIS SLS FIN MSTR TR 2019-A B      20230820 5.4
          
            2023-08-20
          
          5.420000
          122000.00
          122769.59
          Asset-Backed Securities
        
        
          LOAN SCIENCE STUDENT LN TR    2018-A
          
            2060-02-25
          
          0.00
          17500000.00
          1484910.00
          Asset-Backed Securities
        
        
          MAGNOLIA FIN XI DAC
          
            2021-08-01
          
          2.900130
          89752830.00
          7975499.95
          Asset-Backed Securities
        
        
          MARATHON CRE 2018-FL1          C      20280616 FLT
          
            2028-06-16
          
          2.752500
          250000.00
          243452.60
          Asset-Backed Securities
        
        
          PARK PLACE NIM 2004-WHQN2      D      20350225 15.
          
            2035-02-25
          
          15.000000
          7499959.00
          7879.59
          Asset-Backed Securities
        
        
          PROS MRKET PL ISSU TR 2018-1   CERT   20240617 0.0
          549300WV6NCA12RVBP15
          
            2024-06-17
          
          0.00
          84089728.00
          2517730.55
          Asset-Backed Securities
        
        
          RAMP 2003-RS9 MII4
          
            2033-10-25
          
          4.196890
          2999990.00
          18661.46
          Asset-Backed Securities
        
        
          ACE SECS HEQ 2005-SD3          M-3    20450825 FLT
          
            2045-08-25
          
          2.648000
          4573000.00
          9709.52
          Asset-Backed Securities
        
        
          CONTINENTAL CR CARD 2019-1     B      20260815 4.9
          5493002QR2K2E0R56Z02
          
            2026-08-15
          
          4.950000
          4257600.00
          4421568.69
          Asset-Backed Securities
        
        
          FOUNDATION FIN TR 2020-1       B      20400715 4.6
          
            2040-07-15
          
          4.620000
          250000.00
          257946.08
          Asset-Backed Securities
        
        
          HOME EQUITY MTG 2002-A         M-2    20330525 FLT
          
            2033-05-25
          
          2.023000
          9775000.00
          414138.95
          Asset-Backed Securities
        
        
          HORIZON I LTD 2018             CTF    20381215 0.0
          
            2038-12-15
          
          0.00
          2000000.00
          428200.00
          Asset-Backed Securities
        
        
          SUNNOVA HELIOS IV ISS 2020-4   A      20470620 2.9
          
            2047-06-20
          
          2.980000
          12500000.00
          12123256.17
          Asset-Backed Securities
        
        
          LONG BEACH ASSET
          
            2046-02-25
          
          6.000000
          5999999.00
          113430.49
          Private Label Collateralized Mortgage Obligations
        
        
          HPLY TRUST 2019-HIT            F      20361117 FLT
          
            2036-11-17
          
          3.308630
          5000000.00
          3675808.10
          Private Label Collateralized Mortgage Obligations
        
        
          WELLS FARGO COML TR 2015-NXS2  D      20580717 FLT
          
            2058-07-17
          
          4.293460
          1134.00
          1000.57
          Private Label Collateralized Mortgage Obligations
        
        
          STRUCTURED ASSET SEC 2003-25XS M1     20330825 FLT
          
            2033-08-25
          
          1.648000
          8065000.00
          300109.57
          Private Label Collateralized Mortgage Obligations
        
        
          INDEPENDENCE PL TR 2018-INDP   D      20350712 4.3
          
            2035-07-12
          
          4.356000
          1725380.00
          1730245.57
          Private Label Collateralized Mortgage Obligations
        
        
          GS MTG SECS TR 2017-SLP        G      20321012 FLT
          
            2032-10-12
          
          4.591300
          1500000.00
          1325346.12
          Private Label Collateralized Mortgage Obligations
        
        
          CWMBS INC 2004-12              I-M    20340825 FLT
          
            2034-08-25
          
          4.018890
          8093100.00
          19382.91
          Private Label Collateralized Mortgage Obligations
        
        
          CHASE MORTGAGE TR 2016-2       B      20451225 FLT
          
            2045-12-25
          
          0.00
          6645999.00
          2433486.12
          Private Label Collateralized Mortgage Obligations
        
        
          CITIGROUP MTG LN TR 2010-9     5A3    20370325 FLT
          
            2037-03-25
          
          5.702000
          1944308.00
          49293.75
          Private Label Collateralized Mortgage Obligations
        
        
          CITGRP COML MTG TR 2015-GC31   D      20480612 FLT
          
            2048-06-12
          
          4.054690
          3392000.00
          3199496.89
          Private Label Collateralized Mortgage Obligations
        
        
          JP MORGAN MTG TR 2007-A2       4-A-3  20370425 FLT
          
            2037-04-25
          
          3.637880
          14791200.00
          15599.41
          Private Label Collateralized Mortgage Obligations
        
        
          JP MORGAN MTG TR 2013-1        B-5    20430325 FLT
          5493002WZI1ZSAEIE710
          
            2043-03-25
          
          3.547790
          801238.00
          671422.68
          Private Label Collateralized Mortgage Obligations
        
      
      Y
      2021-02-01
      2021-02-01
      2021-02-01
      N
      N
      N
      0.0060
      47994045.60
      47994045.60
      0.0005
      N
      N
      N
      Y
    
    
      BNP PARIBAS SA
      BNP PARIBAS SA 0.380000%
      R0MUWSFPU8MPRO8K5P83
      0000872786
      ARP0OG846
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          ACCREDITED MTG LN TR 2006-2    M-1    20360925 FLT
          
            2036-09-25
          
          0.418000
          4506000.00
          4106609.94
          Asset-Backed Securities
        
        
          CWABS INC 2006-8               2-A-4  20460125 FLT
          
            2046-01-25
          
          0.398000
          3000000.00
          2710582.07
          Asset-Backed Securities
        
        
          CARRINGTON MTG LN 2007-FRE1    A-3    20361225 FLT
          
            2036-12-25
          
          0.408000
          8831000.00
          8303886.44
          Asset-Backed Securities
        
        
          CWABS INC 2007-1               2-A-3  20330825 FLT
          
            2033-08-25
          
          0.288000
          13000000.00
          3450240.32
          Asset-Backed Securities
        
        
          FIRST NLC TRUST 2005-4         M-1    20360225 FLT
          
            2036-02-25
          
          0.883000
          9240000.00
          7626525.83
          Asset-Backed Securities
        
        
          JP MORGAN MTG ACQ 2007-CH1     MV10 1 20361125 FLT
          
            2036-11-25
          
          1.148000
          1794000.00
          1800830.95
          Asset-Backed Securities
        
        
          LEHMAN ABS MTG LN TR 2007-1    2-A3   20370625 FLT
          
            2037-06-25
          
          0.378000
          12386000.00
          4122947.80
          Asset-Backed Securities
        
        
          RAMP SERIES TRUST 2006-RS4     M-1    20360725 FLT
          
            2036-07-25
          
          0.673000
          4027000.00
          3775240.35
          Asset-Backed Securities
        
        
          SAXON ASSET SEC TR 2006-3      A-4    20361125 FLT
          
            2036-11-25
          
          0.388000
          5045000.00
          4251463.54
          Asset-Backed Securities
        
        
          ACE SECS HEQ 2005-HE2          M-6    20350425 FLT
          
            2035-04-25
          
          1.273000
          3873000.00
          3853809.61
          Asset-Backed Securities
        
        
          AEGIS ABS 2004-5               M-2    20341225 FLT
          
            2034-12-25
          
          1.978000
          6421000.00
          4063116.85
          Asset-Backed Securities
        
        
          ABS CORP HEQ 2005-HE2          M3     20350225 FLT
          
            2035-02-25
          
          1.243000
          3829000.00
          2232153.01
          Asset-Backed Securities
        
        
          BAYVIEW FINANCIAL TR 2006-D    M-1    20361228 FLT
          
            2036-12-28
          
          0.508000
          6500000.00
          5752755.67
          Asset-Backed Securities
        
        
          CWABS INC 2006-22              2-A-4  20350625 FLT
          
            2035-06-25
          
          0.368000
          6646000.00
          6210199.63
          Asset-Backed Securities
        
        
          CWABS INC 2007-12              2-A-4  20370525 FLT
          549300XF11BHS5IOB463
          
            2037-05-25
          
          1.498000
          4800000.00
          4501962.40
          Asset-Backed Securities
        
        
          KEYCORP STUDENT LN TR 2006-A   II-C   20420327 FLT
          
            2042-03-27
          
          1.401000
          70525.00
          57014.37
          Asset-Backed Securities
        
        
          LONG BEACH MTG LN TR 2005-WL1  I/IIM4 20350625 FLT
          
            2035-06-25
          
          1.198000
          7300000.00
          7172708.68
          Asset-Backed Securities
        
        
          MORGAN STANLEY CAP 2005-WMC5   M-6    20350625 FLT
          
            2035-06-25
          
          1.198000
          7732000.00
          7259890.52
          Asset-Backed Securities
        
        
          NAS PASS THRU TR 2016-1        B      20250510 7.5
          
            2025-05-10
          
          7.500000
          8000000.00
          4161398.62
          Asset-Backed Securities
        
        
          PREFERRED TERM SECS 2003       B1 144 20331224 FLT
          
            2033-12-24
          
          1.848750
          5000000.00
          3701797.40
          Asset-Backed Securities
        
        
          ACE SECS HEQ 2006-SD1          M-1    20360225 FLT
          
            2036-02-25
          
          1.078000
          8102000.00
          4505051.45
          Asset-Backed Securities
        
        
          CWABS INC 2005-11              MF-1   20351225 FLT
          
            2035-12-25
          
          5.348000
          17544000.00
          17916242.74
          Asset-Backed Securities
        
        
          CWABS INC 2005-AB4             1-A    20360325 FLT
          
            2036-03-25
          
          0.628000
          401755000.00
          21310030.01
          Asset-Backed Securities
        
        
          CWABS INC 2005-BC5             M-5    20351125 FLT
          
            2035-11-25
          
          1.288000
          5000000.00
          4835331.67
          Asset-Backed Securities
        
        
          CWABS INC 2006-6               M-1    20350925 FLT
          
            2035-09-25
          
          0.628000
          27500000.00
          21369570.78
          Asset-Backed Securities
        
        
          CWABS INC 2006-12              1-A    20361225 FLT
          
            2036-12-25
          
          0.408000
          26500000.00
          3369457.75
          Asset-Backed Securities
        
        
          CWABS INC 2007-BC2             1-A    20370625 FLT
          
            2037-06-25
          
          0.348000
          9100000.00
          1953521.17
          Asset-Backed Securities
        
        
          CWABS INC 2007-7               2-A-4  20351225 FLT
          
            2035-12-25
          
          0.438000
          17424000.00
          14660248.68
          Asset-Backed Securities
        
        
          CWABS INC 2007-9               1-A    20360225 FLT
          
            2036-02-25
          
          0.348000
          24700000.00
          6052382.86
          Asset-Backed Securities
        
        
          CITICORP RES MTG TR 2006-2     M-2    20360925 FLT
          
            2036-09-25
          
          5.191600
          4992000.00
          4673112.70
          Asset-Backed Securities
        
        
          CITIGROUP MTG LN TR 2007-AMC1  A-2B   20361225 FLT
          
            2036-12-25
          
          0.298000
          87600000.00
          26692602.37
          Asset-Backed Securities
        
        
          CITIGROUP MTG LN TR 2007-AMC3  A1 144 20370325 FLT
          549300R1KUK063S4I339
          
            2037-03-25
          
          0.408000
          21500000.00
          4219620.87
          Asset-Backed Securities
        
        
          CWABS INC 2006-24              1-A    20350725 FLT
          
            2035-07-25
          
          0.288000
          79808000.00
          14164717.19
          Asset-Backed Securities
        
        
          CWABS INC 2006-24              2-A-4  20350725 FLT
          
            2035-07-25
          
          0.368000
          8420885.00
          7512521.33
          Asset-Backed Securities
        
        
          HSI ASSET SEC TR 2007-HE1      II-A-3 20370125 FLT
          
            2037-01-25
          
          0.338000
          57035000.00
          34701342.12
          Asset-Backed Securities
        
        
          AMC ENTMT HLDGS INC            SUB GLBL PIK 26
          549300ZO77UNR6NRBR11
          
            2026-06-15
          
          12.000000
          1617277.00
          362404.82
          Corporate Debt Securities
        
      
      Y
      2021-01-11
      2021-01-11
      2021-01-11
      Y
      
        BNP Paribas SA
        1.0000
        11
        N
      
      N
      N
      0.0039
      240999375.81
      240999375.81
      0.0026
      N
      N
      N
      Y
    
    
      JP MORGAN SECURITIES LLC
      JP MORGAN SECURITIES LLC 0.510000%
      ZBUT11V806EZRVTWT807
      0000782124
      ARP0OJ329
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          GNII SF BS8735 C
          549300M8ZYFG0OCMTT87
          
            2050-02-20
          
          3.000000
          1041310.00
          1108151.97
          Agency Mortgage-Backed Securities
        
        
          GNII SF BT1903 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          102087936.00
          107105353.88
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA4431 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          1574976.00
          1652382.92
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CIZS7429
          
            2027-05-01
          
          4.000000
          4500000.00
          1210966.52
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BV0319
          549300M8ZYFG0OCMTT87
          
            2053-06-15
          
          3.670000
          10000000.00
          11357570.97
          Agency Mortgage-Backed Securities
        
        
          GNII SF BW4478 C
          549300M8ZYFG0OCMTT87
          
            2035-10-20
          
          5.000000
          3438908.00
          3232161.93
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BX1612
          549300M8ZYFG0OCMTT87
          
            2052-12-15
          
          2.630000
          15194048.00
          16353926.64
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX6010 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          4.000000
          1044496.00
          1117398.56
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX6068 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          1363782.00
          1449438.42
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY2739 C
          549300M8ZYFG0OCMTT87
          
            2050-10-20
          
          2.500000
          2923828.00
          3094643.94
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ4580 C
          549300M8ZYFG0OCMTT87
          
            2035-12-20
          
          6.000000
          3357920.00
          3773053.37
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ7203 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          4.500000
          1415182.00
          1574274.53
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ7263 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          2831710.00
          3002412.09
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA3256 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.500000
          2335896.00
          2554229.08
          Agency Mortgage-Backed Securities
        
        
          GNII SF BH0223 C
          549300M8ZYFG0OCMTT87
          
            2048-06-20
          
          4.000000
          1500000.00
          1017198.43
          Agency Mortgage-Backed Securities
        
        
          GNII SF AM1139 C
          549300M8ZYFG0OCMTT87
          
            2045-03-20
          
          3.500000
          9866464.00
          4363160.98
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004520 M
          549300M8ZYFG0OCMTT87
          
            2039-08-20
          
          5.000000
          203335168.00
          13790414.32
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZL3050
          
            2042-04-01
          
          3.500000
          4975720.00
          2026056.43
          Agency Mortgage-Backed Securities
        
        
          04.500 FGPC U99084 G
          
            2044-02-01
          
          4.500000
          2100000.00
          1136029.50
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3522 M
          549300M8ZYFG0OCMTT87
          
            2046-03-20
          
          4.000000
          499996.00
          139317.61
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5467 M
          549300M8ZYFG0OCMTT87
          
            2048-09-20
          
          4.500000
          32028608.00
          11617887.30
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6339 M
          549300M8ZYFG0OCMTT87
          
            2049-12-20
          
          3.500000
          2202488.00
          1502371.76
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6541 M
          549300M8ZYFG0OCMTT87
          
            2050-02-20
          
          3.000000
          40948544.00
          34483782.31
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6544 M
          549300M8ZYFG0OCMTT87
          
            2049-07-20
          
          4.500000
          123633792.00
          105294774.26
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX1412 C
          549300M8ZYFG0OCMTT87
          
            2050-09-20
          
          3.500000
          1062330.00
          1125002.86
          Agency Mortgage-Backed Securities
        
      
      Y
      2021-03-31
      2021-03-31
      2021-04-20
      Y
      
        JP MORGAN SECURITIES LLC
        1.0000
        90
        N
      
      N
      N
      0.0067
      324844370.50
      324844370.50
      0.0035
      N
      N
      N
      Y
    
    
      WELLS FARGO SECURITIES LLC
      WELLS FARGO SECURITIES LLC 0.660000%
      VYVVCKR63DVZZN70PB21
      0001224385
      ARP0OJHQ1
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          GPMT LTD 2018-FL1              B      20351115 FLT
          
            2035-11-21
          
          1.701630
          12500000.00
          12288783.44
          Asset-Backed Securities
        
        
          PFP LTD 2019-5                 C      20360416 FLT
          
            2036-04-16
          
          2.153130
          17000000.00
          16252631.34
          Asset-Backed Securities
        
        
          PARK PLACE SECS 2005-WCH1      M-5    20350125 FLT
          
            2035-01-25
          
          1.468000
          3600000.00
          3507348.00
          Asset-Backed Securities
        
        
          PEGASUS AVIATION LSE 1999-1    D-1    20290325 5.8
          
            2029-03-25
          
          5.878000
          5000000.00
          5398.33
          Asset-Backed Securities
        
        
          PEGASUS AVIATION LSE 2000-1    D-1    20300325 8.4
          
            2030-03-25
          
          8.420000
          7000000.00
          10296.67
          Asset-Backed Securities
        
        
          PROGRESS RES TR 2018-SFR3      F      20351018 5.3
          
            2035-10-18
          
          5.368000
          859000.00
          875670.04
          Asset-Backed Securities
        
        
          PROGRESS RES TR 2018-SFR2      F      20350817 4.9
          
            2035-08-17
          
          4.953000
          1100000.00
          1105155.15
          Asset-Backed Securities
        
        
          PROGRESS RES TR 2019-SFR3      F      20360918 3.8
          
            2036-09-18
          
          3.867000
          2619000.00
          2670682.04
          Asset-Backed Securities
        
        
          PROGRESS RESIDENTIAL 2019 SFR1TR
          
            2036-03-19
          
          5.061000
          500000.00
          509589.25
          Asset-Backed Securities
        
        
          REGIONAL MGMT ISS TR 2018-2    A      20280118 4.5
          54930056HUXF46SHBY72
          
            2028-01-18
          
          4.560000
          103000.00
          104078.17
          Asset-Backed Securities
        
        
          SLM STUDENT LOAN TR 2003-4     A-5D   20330315 FLT
          549300JLVVUXV7DNSJ85
          
            2033-03-15
          
          0.966500
          1500000.00
          498981.12
          Asset-Backed Securities
        
        
          TLF NATL TAX LIEN TR 2017-1    A      20291215 3.0
          
            2029-12-15
          
          3.090000
          100000.00
          15897.03
          Asset-Backed Securities
        
        
          TRTX ISSUER LTD 2019-FL3       E      20341017 FLT
          
            2034-10-17
          
          2.852500
          1459000.00
          1300468.42
          Asset-Backed Securities
        
        
          TELOS CLO 2014-6 LTD
          549300S94NIRW4K03T89
          
            2027-01-17
          
          5.217750
          3000000.00
          1627561.31
          Asset-Backed Securities
        
        
          TREMAN PARK CLO 2015-RR        E-RR   20281020 FLT
          549300E4DX3Q8L455K94
          
            2028-10-20
          
          5.718380
          4550000.00
          4257556.76
          Asset-Backed Securities
        
        
          BSPRT ISUER LTD 2019-FL5       E      20290515 FLT
          
            2029-05-15
          
          3.008630
          3000000.00
          2550819.51
          Asset-Backed Securities
        
        
          B2R MTG TRUST 2015-2           E      20481118 FLT
          549300JNS8TBD8XLZ117
          
            2048-11-18
          
          5.793700
          8500000.00
          8525067.24
          Asset-Backed Securities
        
        
          B2R MTG TRUST 2015-2           G      20481118 FLT
          549300JNS8TBD8XLZ117
          
            2048-11-18
          
          5.793700
          3762000.00
          3588045.45
          Asset-Backed Securities
        
        
          B2R MTG TRUST 2016-1           G      20490617 FLT
          
            2049-06-17
          
          6.116700
          2737000.00
          2637234.29
          Asset-Backed Securities
        
        
          B2R MTG TRUST 2015-1           E      20480515 FLT
          54930043NGIAWE00XD82
          
            2048-05-15
          
          5.848180
          2950000.00
          2951924.82
          Asset-Backed Securities
        
        
          BAYVW  OPP MSP FD TR 2020-RN3  A1     20350928 FLT
          
            2035-09-28
          
          3.228200
          135000.00
          127111.01
          Asset-Backed Securities
        
        
          BEAR STEARNS ABS TR 2006-EC1   M-2    20351225 FLT
          
            2035-12-25
          
          0.793000
          3500000.00
          2622044.93
          Asset-Backed Securities
        
        
          CBRE REALTY FIN CDO 2007-1     F      20520407 FLT
          
            2052-04-07
          
          1.375880
          5000000.00
          959787.39
          Asset-Backed Securities
        
        
          CBRE REALTY FIN CDO 2007-1     G      20520407 FLT
          
            2052-04-07
          
          1.475880
          10000000.00
          2184694.62
          Asset-Backed Securities
        
        
          CIFC FUNDING LTD 2014-II       INC    20260524 FLT
          549300O8WGQU5B6HEB94
          
            2026-05-24
          
          0.00
          12500000.00
          4250000.00
          Asset-Backed Securities
        
        
          CIFC FDG 2013 I LTD
          549300PC4RPZFE70AI24
          
            2025-04-16
          
          0.00
          12600000.00
          3332019.60
          Asset-Backed Securities
        
        
          CLNC 2019-FL1                  A-S    20350817 FLT
          
            2035-08-17
          
          1.701630
          5850000.00
          5737004.19
          Asset-Backed Securities
        
        
          CLNC 2019-FL1                  D      20350817 FLT
          
            2035-08-17
          
          3.051630
          676000.00
          628194.62
          Asset-Backed Securities
        
        
          NLY 2019-FL2 ISSUER LTD        C      20360215 FLT
          
            2036-02-15
          
          2.508630
          5370000.00
          5149104.76
          Asset-Backed Securities
        
        
          NLY 2019-FL2 ISSUER LTD        D      20360215 FLT
          
            2036-02-15
          
          3.158630
          2500000.00
          2368934.59
          Asset-Backed Securities
        
        
          AMSR 2020-SFR4 TR              G-2    20371119 4.8
          
            2037-11-19
          
          4.870000
          500000.00
          508949.67
          Asset-Backed Securities
        
        
          OCEAN TRAILS CLO 2013-4        SUB    20250813 FLT
          549300TXL5AHG4X9CX68
          
            2025-08-13
          
          0.00
          8000000.00
          640000.00
          Asset-Backed Securities
        
        
          OCTAGON INV PTNS 32 2017-32    SUB NT 20290716 FLT
          
            2029-07-16
          
          0.00
          2000000.00
          1060000.00
          Asset-Backed Securities
        
        
          PFP LTD 2019-5                 A-S    20360416 FLT
          
            2036-04-16
          
          1.573130
          5000000.00
          4903577.35
          Asset-Backed Securities
        
        
          ARBOR RLTY CM 2020-FL1         D      20350215 FLT
          
            2035-02-15
          
          2.608630
          3000000.00
          2906518.17
          Asset-Backed Securities
        
        
          AREIT TR 2018-CRE2             C      20351116 FLT
          549300OWSY03BGZ1QD23
          
            2035-11-16
          
          2.053130
          7165000.00
          6892518.55
          Asset-Backed Securities
        
        
          AREIT TR 2018-CRE2             D      20351116 FLT
          549300OWSY03BGZ1QD23
          
            2035-11-16
          
          2.803130
          1000000.00
          973165.13
          Asset-Backed Securities
        
        
          ARES CLO LTD 2017-45           SUB    20301004 FLT
          549300VFCO6SQG8OL714
          
            2030-10-04
          
          0.00
          7000000.00
          4270000.00
          Asset-Backed Securities
        
        
          ARES CLO LTD 2017-43           SUB    20291015 FLT
          549300ECLIGB6OZRBA51
          
            2029-10-15
          
          0.00
          3320000.00
          1494000.00
          Asset-Backed Securities
        
        
          ASSURANT CLO 2018-2            SUB    20310421 FLT
          549300HKB0UTKU91DG08
          
            2031-04-21
          
          0.00
          5000000.00
          3350000.00
          Asset-Backed Securities
        
        
          ATLAS SENIOR LOAN FUND  2014-5 SUB    20260716 FLT
          5493004PDQETMPM6YK04
          
            2026-07-16
          
          0.00
          4999987.00
          824997.85
          Asset-Backed Securities
        
        
          ATRIUM XIV 2018-14             E      20300823 FLT
          
            2030-08-23
          
          5.880130
          2150000.00
          2069705.26
          Asset-Backed Securities
        
        
          BDS 2020-FL5 LTD               E      20370218 FLT
          
            2037-02-18
          
          2.907880
          300000.00
          263715.02
          Asset-Backed Securities
        
        
          YORK CLO 2 LTD
          5493009C48K5WG4EX118
          
            2027-10-22
          
          0.00
          3000000.00
          1890000.00
          Asset-Backed Securities
        
        
          ZAIS CLO 3 LTD 2015-3R         C-R    20310715 FLT
          549300SYHU0CNKIXQ691
          
            2031-07-15
          
          3.966880
          9943702.00
          8034029.10
          Asset-Backed Securities
        
        
          AMMC CLO XII LTD 2013-12       SUB    20250510 FLT
          
            2025-05-10
          
          0.00
          3650000.00
          1168000.00
          Asset-Backed Securities
        
        
          APIDOS CLO XXVII 2017-27       SUB    20300717 FLT
          
            2030-07-17
          
          0.00
          2500000.00
          803395.00
          Asset-Backed Securities
        
        
          CIFC FUNDING LTD 2014-III      INC NT 20260722 FLT
          
            2026-07-22
          
          0.00
          3000000.00
          1472883.00
          Asset-Backed Securities
        
        
          ICG US CLO 2014 3 LTD
          635400HSQQQ24A9NAK80
          
            2027-01-25
          
          0.00
          112288.00
          41546.56
          Asset-Backed Securities
        
        
          ICG US CLO 2018 1 LTD
          
            2031-04-21
          
          0.00
          3499998.00
          1595474.09
          Asset-Backed Securities
        
        
          MAGNETITE VII LTD 2012-7       SUB NT 20250115 FLT
          
            2025-01-15
          
          0.00
          2000000.00
          560000.00
          Asset-Backed Securities
        
        
          MAGNETITE XIX LTD 2017-19      SUB NT 20300717 FLT
          
            2030-07-17
          
          0.00
          3000000.00
          1386597.00
          Asset-Backed Securities
        
        
          VENTURE XIX CLO LTD 2015-19    SUBFEE 20270115 FLT
          549300KIDQKDB48YU144
          
            2027-01-15
          
          0.100000
          364227.00
          182191.40
          Asset-Backed Securities
        
        
          VOLT LXXVI LLC 2019-NPL2       A-1    20490225 FLT
          
            2049-02-25
          
          3.967200
          660000.00
          267473.01
          Asset-Backed Securities
        
        
          WELLFLEET CLO 2017-1           D      20290420 FLT
          2549003PA4N7YYXOW035
          
            2029-04-20
          
          6.268380
          6300000.00
          5467371.59
          Asset-Backed Securities
        
        
          WESTLAKE AUTO RECV TR 2018-2   F      20250115 6.0
          
            2025-01-15
          
          6.040000
          26336000.00
          27079924.70
          Asset-Backed Securities
        
        
          COREVEST AMER FIN TR 2019-2    B      20520617 3.4
          
            2052-06-17
          
          3.424000
          4724000.00
          5064441.36
          Asset-Backed Securities
        
        
          COREVEST AMER FIN TR 2019-2    D      20520617 4.2
          
            2052-06-17
          
          4.219000
          1740000.00
          1867693.09
          Asset-Backed Securities
        
        
          DT AUTO OWNER TR 2019-4        E      20261015 3.9
          
            2026-10-15
          
          3.930000
          6935386.00
          7180612.00
          Asset-Backed Securities
        
        
          EMC MTG LN TR 2003-A           B      20400827 FLT
          
            2040-08-27
          
          3.898000
          1613434.00
          311.15
          Asset-Backed Securities
        
        
          ELEVATION CLO LTD 2018-9       SUB    20310715 FLT
          549300BOE42FYBAXFR86
          
            2031-07-15
          
          0.00
          3000000.00
          1448469.00
          Asset-Backed Securities
        
        
          FS RIALTO 2019-FL1             B      20361218 FLT
          
            2036-12-18
          
          2.053130
          16173000.00
          14578510.53
          Asset-Backed Securities
        
        
          FS RIALTO 2019-FL1             C      20361218 FLT
          
            2036-12-18
          
          2.653130
          7000000.00
          6072416.52
          Asset-Backed Securities
        
        
          TABERNA PREF FDG I 2005-1      E      20350705 FLT
          
            2035-07-05
          
          3.384000
          2000000.00
          129138.10
          Asset-Backed Securities
        
        
          TABERNA PREF FDG II 2005-2     C-1    20351105 FLT
          
            2035-11-05
          
          2.240880
          498758.00
          2553.24
          Asset-Backed Securities
        
        
          TRYON PK CLO LTD
          
            2025-07-15
          
          0.00
          17832000.00
          113821.66
          Asset-Backed Securities
        
        
          U S CAPITAL FUNDING V LTD      SR SB GLBL 40
          
            2040-10-10
          
          1.474130
          2000000.00
          289387.35
          Asset-Backed Securities
        
        
          VENTURE VII CDO LTD 2006-7     INCOME 20220120 0.0
          
            2022-01-20
          
          0.00
          2249977.00
          22499.77
          Asset-Backed Securities
        
        
          AMMC CLO 21 LTD 2017-21        SUB NT 20301104 FLT
          549300DYK366J47FIO80
          
            2030-11-04
          
          0.00
          2750000.00
          1265000.00
          Asset-Backed Securities
        
        
          AMERICA WEST AIR PTC 2001-1    G      20221002 7.1
          
            2022-10-02
          
          7.100000
          124000.00
          7947.83
          Asset-Backed Securities
        
        
          GPMT LTD 2019-FL2              D      20360221 FLT
          
            2036-02-21
          
          3.101630
          10000000.00
          9611115.64
          Asset-Backed Securities
        
        
          GRAND AVENUE CRE CLO  2019-FL1 C      20370615 FLT
          
            2037-06-15
          
          2.458630
          5000000.00
          4893763.62
          Asset-Backed Securities
        
        
          GRAND AVENUE CRE CLO  2019-FL1 E      20370609 FLT
          
            2037-06-15
          
          3.458630
          1000000.00
          891494.17
          Asset-Backed Securities
        
        
          GREYSTONE CRE NT 2018-HC1      B      20280915 FLT
          
            2028-09-15
          
          2.808630
          450000.00
          445166.23
          Asset-Backed Securities
        
        
          GREYSTONE CRE NOTES2019-FL LTD E      20370915 FLT
          
            2037-09-15
          
          2.908630
          300000.00
          265233.82
          Asset-Backed Securities
        
        
          HIGHBRIDGE LN MGMT 3 2014 LTD
          
            2029-07-18
          
          0.00
          2735909.00
          820772.70
          Asset-Backed Securities
        
        
          HOME PARTN AMER TR 2017-1      E      20340719 FLT
          
            2034-07-19
          
          2.803000
          115000.00
          115261.52
          Asset-Backed Securities
        
        
          HOME PARTN AMER TR 2017-1      F      20340719 FLT
          
            2034-07-19
          
          3.692000
          10023000.00
          10034654.52
          Asset-Backed Securities
        
        
          HOME PARTN AMER TR 2018-1      F      20370717 FLT
          
            2037-07-17
          
          2.503000
          2500000.00
          2500088.47
          Asset-Backed Securities
        
        
          KREF LTD 2018-FL1              D      20360617 FLT
          549300N45646UZ8P3S07
          
            2036-06-17
          
          2.702500
          2300000.00
          2275507.24
          Asset-Backed Securities
        
        
          LCM XV LTD 2014-15             INC    20240826 FLT
          549300HV40B88JRNJD93
          
            2024-08-26
          
          0.00
          7875000.00
          1811250.00
          Asset-Backed Securities
        
        
          LOANCORE ISSUER LTD 2019-CRE2  C      20360515 FLT
          
            2036-05-15
          
          2.158630
          500000.00
          482059.70
          Asset-Backed Securities
        
        
          LOANCORE 2018-CRE1 LTD         C      20280515 FLT
          
            2028-05-15
          
          2.708630
          1000000.00
          971403.84
          Asset-Backed Securities
        
        
          MADISON PARK FDG XXIII 2017-23 E      20300729 FLT
          
            2030-07-29
          
          6.466500
          2500000.00
          2439914.06
          Asset-Backed Securities
        
        
          MAGNETITE VII LTD 2012-7R2     D-R2   20280118 FLT
          549300B54XJTQC6DWJ15
          
            2028-01-18
          
          4.736880
          4200000.00
          3891768.97
          Asset-Backed Securities
        
        
          CWCAPITAL COBALT II 2006-2     H      20500426 FLT
          
            2050-04-26
          
          2.891380
          2000000.00
          14641.56
          Asset-Backed Securities
        
        
          TRINITAS CLO VII 2017-7        SUB    20310127 FLT
          549300F3XEPDOX3FOP69
          
            2031-01-27
          
          0.00
          3500000.00
          1645000.00
          Asset-Backed Securities
        
        
          UPLAND CLO LTD 2016            SUB    20280420 FLT
          54930052JF7HYEE5CO91
          
            2028-04-20
          
          0.00
          5000000.00
          3150000.00
          Asset-Backed Securities
        
        
          VMC FINANCE 2019-FL3           B      20360917 FLT
          
            2036-09-17
          
          1.802500
          2000000.00
          1782215.48
          Asset-Backed Securities
        
        
          VOLT LXXX LLC 2019-NPL6        A-1A   20491025 FLT
          
            2049-10-25
          
          3.228200
          6000000.00
          3474102.74
          Asset-Backed Securities
        
        
          VENTURE XVIII CLO LTD
          549300MWRVTJN0X3KI79
          
            2026-10-15
          
          0.00
          7500000.00
          1500000.00
          Asset-Backed Securities
        
        
          VENTURE XXV CLO 2016-25        SUB    20290420 FLT
          549300A6M3BR8FZNXO79
          
            2029-04-20
          
          0.00
          4000000.00
          1280000.00
          Asset-Backed Securities
        
        
          VENTURE XIX CLO LTD 2015-19    SUB NT 20270115 FLT
          549300KIDQKDB48YU144
          
            2027-01-15
          
          0.00
          8675000.00
          3730250.00
          Asset-Backed Securities
        
        
          CARLYLE GL MKT STS CLO 2013-3  SUB    20250715 FLT
          6354006XBJTNRUJOLM20
          
            2025-07-15
          
          0.00
          1371000.00
          479850.00
          Asset-Backed Securities
        
        
          FCCCATSKILL PARK CLO 17-1      SUB    20290420 FLT
          549300QY7L9WFVGWC115
          
            2029-04-20
          
          0.00
          9868600.00
          4539556.00
          Asset-Backed Securities
        
        
          CEDAR FUNDING CLO LTD 2013-2   SUB    20300610 FLT
          254900Q56WTD2BRLBE32
          
            2030-06-10
          
          0.00
          10000000.00
          3200000.00
          Asset-Backed Securities
        
        
          CITIGROUP MTG LN TR 2007-FS1   A-2A   20371025 FLT
          
            2037-10-25
          
          1.398000
          10000000.00
          1617125.00
          Asset-Backed Securities
        
        
          COLONY AMER FIN 2016-1         C      20480617 FLT
          
            2048-06-17
          
          4.638000
          385000.00
          180164.31
          Asset-Backed Securities
        
        
          COLONY AMER FIN 2016-1         E      20480617 FLT
          
            2048-06-17
          
          7.349000
          5929000.00
          5904775.09
          Asset-Backed Securities
        
        
          COLONY AMER FIN 2016-1         F      20480617 4.0
          
            2048-06-17
          
          4.000000
          11283000.00
          9515645.92
          Asset-Backed Securities
        
        
          COLONY AMER FIN 2016-2         E      20481118 FLT
          
            2048-11-18
          
          8.250000
          4228000.00
          4486981.91
          Asset-Backed Securities
        
        
          FS RIALTO 2019-FL1             A-S    20361218 FLT
          
            2036-12-18
          
          1.603130
          6000000.00
          5373815.45
          Asset-Backed Securities
        
        
          HUNT CRE 2017-FL1 LTD          C      20340817 FLT
          
            2034-08-17
          
          2.558630
          500000.00
          480898.58
          Asset-Backed Securities
        
        
          KREF LTD 2018-FL1              A-S    20360617 FLT
          549300N45646UZ8P3S07
          
            2036-06-17
          
          1.502500
          300000.00
          299335.29
          Asset-Backed Securities
        
        
          TRTX ISSUER LTD 2019-FL3       A-S    20341017 FLT
          
            2034-10-17
          
          1.602500
          3100000.00
          3084540.90
          Asset-Backed Securities
        
        
          AMSR 2020-SFR5 TR              F      20371119 2.6
          
            2037-11-19
          
          2.686000
          5000000.00
          4985956.67
          Asset-Backed Securities
        
        
          AMSR 2020-SFR5 TR              G      20371119 4.1
          
            2037-11-19
          
          4.112000
          9000000.00
          8924568.00
          Asset-Backed Securities
        
        
          ARBPR RLTY CM 2019-FL2         B      20340915 FLT
          
            2034-09-15
          
          1.908630
          200000.00
          196677.66
          Asset-Backed Securities
        
        
          MS B OF A ML TRUST 2012-C5     F      20450817 4.5
          
            2045-08-17
          
          4.500000
          3863837.00
          3448988.41
          Private Label Collateralized Mortgage Obligations
        
        
          WORLDWIDE PLAZA TR 2017-WWP    E      20361112 FLT
          
            2036-11-12
          
          3.595540
          5000000.00
          4770861.43
          Private Label Collateralized Mortgage Obligations
        
        
          SEQUOIA MTG TR 2016-3          B-4    20461125 FLT
          
            2046-11-25
          
          3.661850
          1887000.00
          1661538.48
          Private Label Collateralized Mortgage Obligations
        
        
          BBCMS MTG TR 2018-TALL         F      20370316 FLT
          
            2037-03-16
          
          3.393630
          3000000.00
          2649906.84
          Private Label Collateralized Mortgage Obligations
        
        
          CSMC TRUST 2013-HYB1           B-4    20430425 FLT
          
            2043-04-25
          
          2.918540
          6846000.00
          5692134.06
          Private Label Collateralized Mortgage Obligations
        
        
          BAMLL COML MTG TR 2017-BNK3    E      20500217 FLT
          
            2050-02-17
          
          4.534250
          3000000.00
          1677340.62
          Private Label Collateralized Mortgage Obligations
        
        
          COREVEST AMER FIN TR 2018-1    D      20510616 4.9
          
            2051-06-16
          
          4.920000
          507000.00
          539418.09
          Private Label Collateralized Mortgage Obligations
        
        
          SEQUOIA MTG TR 2017-4          B-4    20470725 FLT
          
            2047-07-25
          
          3.919370
          1917000.00
          1943577.56
          Private Label Collateralized Mortgage Obligations
        
        
          COMM MORTGAGE TRUST 2019-WCM   E      20341016 FLT
          
            2034-10-16
          
          1.908630
          550000.00
          514466.85
          Private Label Collateralized Mortgage Obligations
        
      
      Y
      2021-04-05
      2021-04-05
      2021-04-21
      Y
      
        WELLS FARGO SECURITIES LLC
        1.0000
        95
        N
      
      N
      N
      0.0070
      298964616.34
      298964616.34
      0.0032
      N
      N
      N
      Y
    
    
      BNP PARIBAS SA
      BNP PARIBAS SA 0.360000%
      R0MUWSFPU8MPRO8K5P83
      0000872786
      ARP0OQMS5
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          SANTANDER DRIVE AUTO TR 2020-3 A-2-A  20230915 0.4
          
            2023-09-15
          
          0.460000
          210000.00
          210171.87
          Asset-Backed Securities
        
        
          AMMC CLO 14-14R                B2L2-R 20290725 FLT
          549300LU2QIHE9T9V444
          
            2029-07-25
          
          6.744750
          23186.00
          20985.31
          Asset-Backed Securities
        
        
          HYUNDAI AUTO RECV TR 2019-B    A-3    20240215 1.9
          
            2024-02-15
          
          1.940000
          1250000.00
          1274076.53
          Asset-Backed Securities
        
        
          AMER AIRLINES PT TR 2015-1     A      20281101 3.3
          
            2028-11-01
          
          3.375000
          1.00
          0.69
          Asset-Backed Securities
        
        
          KEYCORP STUDENT LN TR 2002-A   II-A-2 20310827 FLT
          549300SJE09LVEVM4J23
          
            2031-08-27
          
          0.633000
          6.00
          0.17
          Asset-Backed Securities
        
        
          TRANSDIGM INC                  6.25%26
          88Q84GB3X55CF5OC7582
          
            2026-03-15
          
          6.250000
          655.00
          711.26
          Corporate Debt Securities
        
        
          FORD MTR CO DEL                BD      6.375%29
          20S05OYHG0MQM4VUIC57
          
            2029-02-01
          
          6.375000
          4000.00
          4566.25
          Corporate Debt Securities
        
        
          GE CAP FUNDING LLC             SR GLBL 144A 27
          549300XAGH9TOLX5XM67
          
            2027-05-15
          
          4.050000
          50000.00
          57377.25
          Corporate Debt Securities
        
        
          WELLS FARGO &amp; CO               SR FLT NT 23
          PBLD0EJDB5FWOLXP3B76
          
            2023-01-24
          
          1.324750
          3450000.00
          3487600.54
          Corporate Debt Securities
        
        
          BURLINGTON NORTHN SANTA FE CP  SR GLBL DB3.4%24
          
            2024-09-01
          
          3.400000
          28000.00
          30971.45
          Corporate Debt Securities
        
        
          MARS INC DEL                   SR GLBL 144A 26
          54930073HKEO6GZBSS03
          
            2026-07-16
          
          0.875000
          42000.00
          42306.62
          Corporate Debt Securities
        
        
          ROYAL CARIBBEAN GROUP          SR SEC GLBL 23
          K2NEH8QNVW44JIWK7Z55
          
            2023-06-01
          
          10.875000
          186000.00
          220380.94
          Corporate Debt Securities
        
        
          ALBERTSONS COS INC / SAFEWAY I SR GLBL 144A 23
          
            2023-02-15
          
          3.500000
          1812.00
          1881.26
          Corporate Debt Securities
        
        
          BURLINGTON NORTHN SANTA FE CP  SR GLBL DB3.4%24
          
            2024-09-01
          
          3.400000
          366000.00
          404841.14
          Corporate Debt Securities
        
        
          SCHLUMBERGER FINANCE           SR GLBL NT1.4%25
          549300P4EXZFF0LRNF59
          
            2025-09-17
          
          1.400000
          17999.00
          18518.73
          Corporate Debt Securities
        
        
          SIMON PPTY GROUP LP            SR GLBL NT3.3%26
          MR92GTD0MJTTTTQDVG45
          
            2026-01-15
          
          3.300000
          95000.00
          105746.08
          Corporate Debt Securities
        
        
          T-MOBILE US INC                SR NT 6%22
          549300JKU50UT08ZWD77
          
            2022-11-15
          
          6.000000
          1058000.00
          1156041.33
          Corporate Debt Securities
        
        
          JD.COM INC                     SR GLBL NT 30
          549300HVTWB0GJZ16V92
          
            2030-01-14
          
          3.375000
          5251734.00
          5781437.02
          Corporate Debt Securities
        
        
          CNX RES CORP                   SR GLBL 144A 27
          549300JK3KH8PWM3B226
          
            2027-03-14
          
          7.250000
          48000.00
          52394.33
          Corporate Debt Securities
        
        
          CALLON PETE CO DEL             SR GLBL NT 24
          549300EFOWPEB0WLZW21
          
            2024-10-01
          
          6.125000
          776000.00
          454202.50
          Corporate Debt Securities
        
        
          CALPINE CORPORATION            SR GLBL 144A 31
          43R4VPJBXTU2O15HEF41
          
            2031-02-01
          
          5.000000
          5331600.00
          5675932.50
          Corporate Debt Securities
        
        
          CITIGROUP INC                  TIER I PERP GLBL
          6SHGI4ZSSLCXXQSBB395
          
            2049-12-29
          
          4.700000
          165000.00
          172768.75
          Corporate Debt Securities
        
        
          AMC ENTMT HLDGS INC            SUB GLBL PIK 26
          549300ZO77UNR6NRBR11
          
            2026-06-15
          
          12.000000
          9113089.00
          2042091.36
          Corporate Debt Securities
        
        
          CONOCOPHILLIPS COMPANY         SR NT 6.95%29
          6VJJ5GQWIRDQ06DUXG89
          
            2029-04-15
          
          6.950000
          2020000.00
          2857496.49
          Corporate Debt Securities
        
        
          DEUTSCHE BK AG                 ALT TIER I COCO
          7LTWFZYICNSX8D621K86
          
            2099-12-31
          
          7.500000
          2200000.00
          2453353.69
          Corporate Debt Securities
        
        
          DOMINION ENERGY INC            SR GLBL -C NT 30
          ILUL7B6Z54MRYCF6H308
          
            2030-04-01
          
          3.375000
          2746.00
          3147.16
          Corporate Debt Securities
        
        
          EDF S A                        SR 144A NT 45
          549300X3UK4GG3FNMO06
          
            2045-10-13
          
          4.950000
          4334000.00
          5595659.90
          Corporate Debt Securities
        
        
          TORONTO DOMINION BANK          FR 1.15%061225
          PT3QB789TSUIDF371261
          
            2025-06-12
          
          1.150000
          31000.00
          31665.48
          Corporate Debt Securities
        
        
          GENERAL ELECTRIC CO            SR GLBL NT 50
          3C7474T6CDKPR9K6YT90
          
            2050-05-01
          
          4.350000
          2.00
          2.43
          Corporate Debt Securities
        
        
          VIRGINIA ELEC &amp; PWR CO         SR GLBL -A NT 5
          CQKUMNNZVDJLRYV2PT43
          
            2050-12-15
          
          2.450000
          5655368.00
          5660281.89
          Corporate Debt Securities
        
        
          WEA FIN LLC                    4.125%28
          3CYEJKBUJZO3UW777J80
          
            2028-09-20
          
          4.125000
          1200000.00
          1325931.50
          Corporate Debt Securities
        
        
          ELI LILLY &amp; CO                 SR NT 2.75%25
          FRDRIPF3EKNDJ2CQJL29
          
            2025-06-01
          
          2.750000
          81000.00
          88530.70
          Corporate Debt Securities
        
        
          LIVE NATION ENTERTAINMENT INC  SR SEC GLBL 27
          5493007B9BM9ZXJINO78
          
            2027-05-15
          
          6.500000
          250000.00
          278326.39
          Corporate Debt Securities
        
        
          NATIONAL RURAL UTILS COOP FIN  SR SEC GLBL BD30
          4NYF266XZC35SCTGX023
          
            2030-03-15
          
          2.400000
          63000.00
          68684.91
          Corporate Debt Securities
        
        
          NESTLE HLDGS INC               SR GLBL 144A 28
          549300EAEU8YV8MQXP30
          
            2028-09-24
          
          3.625000
          65000.00
          76807.08
          Corporate Debt Securities
        
        
          NISOURCE INC                   SR GLBL NT1.7%31
          549300D8GOWWH0SJB189
          
            2031-02-15
          
          1.700000
          17668.00
          17663.59
          Corporate Debt Securities
        
        
          PEPSICO INC                    SR GLBL NT1.4%31
          FJSUNZKFNQ5YPJ5OT455
          
            2031-02-25
          
          1.400000
          10000.00
          10087.77
          Corporate Debt Securities
        
        
          ASG FINANCE DAC                GLBL 144A NT 24
          5493005UOB0OMEJ4WK10
          
            2024-12-03
          
          7.875000
          1.00
          0.86
          Corporate Debt Securities
        
        
          SAUDI ARABIAN OIL CO           FR 3.5%112470
          5586006WD91QHB7J4X50
          
            2070-11-24
          
          3.500000
          241503.00
          248298.89
          Corporate Debt Securities
        
        
          AMERICAN CAMPUS CMNTYS OPER    SR GLBL NT 30
          RDKVCX5HITZ2GPIR7153
          
            2030-02-01
          
          2.850000
          4.00
          4.23
          Corporate Debt Securities
        
        
          JOHNSON &amp; JOHNSON              SR GLBL NT2.1%4
          549300G0CFPGEF6X2043
          
            2040-09-01
          
          2.100000
          6972347.00
          7057130.74
          Corporate Debt Securities
        
        
          CINEMARK USA INC               SR GLBL NT 23
          54930008H2137JSCPQ09
          
            2023-06-01
          
          4.875000
          1000000.00
          959062.50
          Corporate Debt Securities
        
        
          DUKE ENERGY CORP NEW           SR GLBL NT 30
          I1BZKREC126H0VB1BL91
          
            2030-06-01
          
          2.450000
          93992.00
          100068.74
          Corporate Debt Securities
        
        
          EXXON MOBIL CORP               SR GLBL COCO 30
          J3WHBG0MTS7O8ZVMDC91
          
            2030-10-15
          
          2.610000
          64000.00
          70072.32
          Corporate Debt Securities
        
        
          LIGADO NETWORKS LLC            SR SEC GLBL 23
          
            2023-11-01
          
          15.500000
          1.00
          0.96
          Corporate Debt Securities
        
        
          INTEL CORP                     SR GLBL NT 27
          KNX4USFCNGPY45LOCE31
          
            2027-05-11
          
          3.150000
          9000.00
          10188.94
          Corporate Debt Securities
        
        
          CONN AVE SECS 2020-R01         1M-1   20400125 FLT
          
            2040-01-25
          
          0.948000
          149857.00
          59252.69
          Private Label Collateralized Mortgage Obligations
        
        
          WAMU MTG CERT 2007-OA3         2A-1B  20470425 FLT
          
            2047-04-25
          
          1.369430
          490506.00
          35246.67
          Private Label Collateralized Mortgage Obligations
        
        
          TRIANGLE RE 2019-1 LTD         M-2    20291126 FLT
          
            2029-11-26
          
          3.048000
          1.00
          0.95
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2018-C02    2M-2C  20300826 FLT
          
            2030-08-26
          
          2.348000
          4870707.00
          4695803.16
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2017-C01    1B-1   20290725 FLT
          
            2029-07-25
          
          5.898000
          13207156.00
          14123012.84
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2017-C06    1M-2C  20300225 FLT
          
            2030-02-25
          
          2.798000
          3494489.00
          3450050.17
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2019-R02    1B-1   20310825 FLT
          
            2031-08-25
          
          4.298000
          843747.00
          845106.42
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2019-R04    2B-1   20390627 FLT
          
            2039-06-27
          
          5.398000
          2960336.00
          3017052.58
          Private Label Collateralized Mortgage Obligations
        
        
          BEAR STEARNS ALT-A 2006-5      I-A-1  20360825 FLT
          
            2036-08-25
          
          0.488000
          24.00
          1.60
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2014-C01    M-2    20240125 FLT
          
            2024-01-25
          
          4.548000
          476110.00
          334050.31
          Private Label Collateralized Mortgage Obligations
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-04-15
          
          0.125000
          226709300.00
          249999984.78
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-02-28
          
          1.125000
          37518700.00
          38100668.93
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2030-08-15
          
          0.625000
          24248400.00
          23661194.68
          U.S. Treasuries (including strips)
        
      
      Y
      2021-02-04
      2021-02-04
      2021-02-16
      Y
      
        BNP Paribas SA
        1.0000
        35
        N
      
      N
      N
      0.0055
      372907671.31
      372907671.31
      0.0040
      N
      N
      N
      Y
    
    
      CREDIT SUISSE SECURITIES (USA) LLC
      CREDIT SUISSE SECURITIES (USA) LLC 0.380000%
      1V8Y6QCX6YMJ2OELII46
      0001230485
      ARP0OU5X4
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          LL ABS TRUST 2020-1            C      20280117 6.5
          
            2028-01-17
          
          6.540000
          1000000.00
          1043356.67
          Asset-Backed Securities
        
        
          NATIONAL COLLEGIATE 2007 4 CL A 3AR4 COMMUTATION T
          
            2038-03-30
          
          3.708390
          91724.00
          26934.75
          Asset-Backed Securities
        
        
          SUNNOVA SOL II ISSUER 2020-2   A      20551101 2.7
          
            2055-11-01
          
          2.730000
          1000000.00
          1008075.00
          Asset-Backed Securities
        
        
          FAIR SQUARE ISSUANCE TR 2020-A C      20240920 5.4
          
            2024-09-20
          
          5.400000
          3000000.00
          3037518.00
          Asset-Backed Securities
        
        
          COINSTAR FDG LLC 2017-1        A-2    20470425 5.2
          
            2047-04-25
          
          5.216000
          5000000.00
          4751735.59
          Asset-Backed Securities
        
        
          LBSBC NIM COMPANY 2005-2       N2     20300927 7.8
          
            2030-09-27
          
          7.860000
          2290000.00
          467787.99
          Asset-Backed Securities
        
        
          LEGACY MTG ASSET TR 2020-GS3   A2     20600525 FLT
          
            2060-05-25
          
          4.000000
          17528000.00
          16126379.32
          Asset-Backed Securities
        
        
          LONG BEACH MTG LN TR 2006-WL3  M-1    20360125 FLT
          
            2036-01-25
          
          0.733000
          909911.00
          85663.71
          Asset-Backed Securities
        
        
          SECURITIZED ASSET NIM 2005-FR5 N      20350825 6.2
          
            2035-08-25
          
          6.250000
          9862739.00
          9304.18
          Asset-Backed Securities
        
        
          NCCCT 2005-A15B O
          
            2045-06-01
          
          0.00
          4950000.00
          1110235.50
          Asset-Backed Securities
        
        
          DRB PRIME ST LN TR 2016-R      A-1    20441025 FLT
          
            2044-10-25
          
          2.045130
          900000.00
          78556.82
          Asset-Backed Securities
        
        
          FREED ABS TR 2020-01           CTF    20270318 0.0
          
            2027-03-18
          
          0.00
          21229.00
          19578.66
          Asset-Backed Securities
        
        
          FREED ABS TRUST 2020-2CP       B      20270618 5.5
          
            2027-06-18
          
          5.500000
          4000000.00
          4209144.44
          Asset-Backed Securities
        
        
          HARBORVIEW NIM CI-8 2006-14    N2 144 20380319 8.3
          
            2038-03-19
          
          8.350000
          1000000.00
          103873.98
          Asset-Backed Securities
        
        
          CONTINENTAL CR CARD 2019-1     B      20260815 4.9
          5493002QR2K2E0R56Z02
          
            2026-08-15
          
          4.950000
          6212300.00
          6451548.10
          Asset-Backed Securities
        
        
          CSMC TRUST 2017-RPL1           B-1    20570725 FLT
          
            2057-07-25
          
          3.052770
          1491810.00
          1129500.04
          Asset-Backed Securities
        
        
          CSMC TRUST 2017-RPL1           B-3    20570725 FLT
          
            2057-07-25
          
          3.052770
          1455178.00
          805170.32
          Asset-Backed Securities
        
        
          CSMC TR 2019-RPL4              A-IO-S 20580826 FLT
          
            2058-08-26
          
          0.200000
          246044928.00
          352218.71
          Asset-Backed Securities
        
        
          CSMC TR 2020-RPL2              A-IO-S 20600225 FLT
          
            2060-02-25
          
          0.200000
          252186880.00
          1732633.14
          Asset-Backed Securities
        
        
          DBARN NIM 2007-AHM1N           N-4    20470225 8.7
          
            2047-02-25
          
          8.750000
          5900000.00
          8663.17
          Asset-Backed Securities
        
        
          HARBORVIEW MTG LN TR 2007-3    2A-1C  20370519 FLT
          
            2037-05-19
          
          0.441630
          6800000.00
          33156.25
          Private Label Collateralized Mortgage Obligations
        
        
          DBALT 2006-AR6 A8
          
            2037-02-25
          
          0.668000
          49072999.00
          80072.92
          Private Label Collateralized Mortgage Obligations
        
        
          RFMSI SERIES TRUST 2007-S6     II-A12 20370625 6.0
          
            2037-06-25
          
          6.000000
          1000000.00
          70652.78
          Private Label Collateralized Mortgage Obligations
        
        
          THORNBURG MTG TR 2007-2        A-1    20370625 FLT
          
            2037-06-25
          
          1.398000
          4498670.00
          159730.65
          Private Label Collateralized Mortgage Obligations
        
        
          HARBORVIEW MTG LN TR 2004-9    4-A3   20341219 FLT
          
            2034-12-19
          
          0.951630
          10140000.00
          360627.98
          Private Label Collateralized Mortgage Obligations
        
        
          HVMLT 2007-5 A1C
          
            2037-09-19
          
          0.431630
          12152000.00
          51148.98
          Private Label Collateralized Mortgage Obligations
        
        
          GS MTG SECS TR 2015-GC28       C      20480212 FLT
          5493002EPQ51IPGGFX73
          
            2048-02-12
          
          4.325650
          3310000.00
          3480252.20
          Private Label Collateralized Mortgage Obligations
        
        
          HPLY TRUST 2019-HIT            G      20361117 FLT
          
            2036-11-17
          
          4.058630
          6033300.00
          4275530.04
          Private Label Collateralized Mortgage Obligations
        
        
          DEUTSCHE ALT-A SECS 2005-1     M      20350225 FLT
          
            2035-02-25
          
          5.500540
          10000000.00
          2899819.99
          Private Label Collateralized Mortgage Obligations
        
        
          RFMSI SERIES TRUST 2007-SA2    II-A-2 20370425 FLT
          
            2037-04-25
          
          4.108090
          205000.00
          14731.90
          Private Label Collateralized Mortgage Obligations
        
        
          CITIGROUP MTG LN TR 2007-10    2A3A   20370925 FLT
          
            2037-09-25
          
          3.924540
          1000000.00
          115287.67
          Private Label Collateralized Mortgage Obligations
        
        
          CITIGROUP MTG LN TR 2009-4     7A5    20350525 FLT
          
            2035-05-25
          
          5.450550
          2946120.00
          1121503.86
          Private Label Collateralized Mortgage Obligations
        
      
      Y
      2021-03-01
      2021-03-01
      2021-03-01
      N
      N
      N
      0.0066
      47977979.52
      47977979.52
      0.0005
      N
      N
      N
      Y
    
    
      CREDIT SUISSE SECURITIES (USA) LLC
      CREDIT SUISSE SECURITIES (USA) LLC 0.410000%
      1V8Y6QCX6YMJ2OELII46
      0001230485
      ARP0OU654
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          CREDITSHOP CR CARD CO LLC
          549300IFTIK1Z2HCMJ40
          
            2024-08-15
          
          6.408630
          58392529.00
          48319253.14
          Asset-Backed Securities
        
      
      Y
      2021-03-30
      2021-03-30
      2021-03-30
      N
      N
      N
      0.0067
      41973359.40
      41973359.40
      0.0004
      N
      N
      N
      Y
    
    
      BOFA SECURITIES INC
      BOFA SECURITIES INC 0.500000%
      549300HN4UKV1E2R3U73
      0001675365
      ARP0OULC2
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          FIELDSTONE MTG INV 2004-4      M4     20351025 FLT
          549300VDVZHMT2SH4W85
          
            2035-10-25
          
          2.698000
          2750000.00
          1785615.79
          Asset-Backed Securities
        
        
          FIELDSTONE MTG INV 2005-1      M8     20350325 FLT
          
            2035-03-25
          
          2.173000
          2800000.00
          535.03
          Asset-Backed Securities
        
        
          FIELDSTONE MTG INV 2006-S1     M2     20370125 FLT
          
            2037-01-25
          
          0.973000
          10680000.00
          972.77
          Asset-Backed Securities
        
        
          FIELDSTONE MTG INV 2006-S1     M3     20370125 FLT
          
            2037-01-25
          
          1.078000
          4078000.00
          407.12
          Asset-Backed Securities
        
        
          FIRST ALLIANCE MTG LN TR 99-1  A-1    20300620 FLT
          
            2030-06-20
          
          7.180000
          35000000.00
          96742.52
          Asset-Backed Securities
        
        
          FIRST FRANKLIN MTG 2006-B      A4     20261225 FLT
          
            2026-12-25
          
          0.568000
          4901974.00
          13874.22
          Asset-Backed Securities
        
        
          FIRST NLC TRUST 2005-1         M-7    20350525 FLT
          
            2035-05-25
          
          0.00
          6000000.00
          12.53
          Asset-Backed Securities
        
        
          FIRST NLC TRUST 2005-3         M-2    20351225 FLT
          
            2035-12-25
          
          1.168000
          6000000.00
          2488313.22
          Asset-Backed Securities
        
        
          FIRSTKEY HOMES TR 2020-SFR1    F1     20370819 3.6
          
            2037-08-19
          
          3.638000
          4000000.00
          4130070.67
          Asset-Backed Securities
        
        
          FIRSTPLUS HM LN TR 1998-5      M-1    20241210 FLT
          
            2024-12-10
          
          7.420000
          1850000.00
          3455.78
          Asset-Backed Securities
        
        
          FREMONT HM LN TR 2004-4        M-6    20350325 FLT
          
            2035-03-25
          
          1.873000
          1500000.00
          269.17
          Asset-Backed Securities
        
        
          GSC ABS CDO 2006-2M            A-1B   20450608 FLT
          549300IG2DMNW88NH917
          
            2045-06-08
          
          0.525880
          125000000.00
          54497.36
          Asset-Backed Securities
        
        
          GSAA HEQ TR NIM 2006-NIM2      NT 144 20351225 6.0
          
            2035-12-25
          
          6.000000
          250000.00
          18.19
          Asset-Backed Securities
        
        
          GSAMP TRUST NIM 2005-HE5-N     N1     20351125 7.2
          
            2035-11-25
          
          7.250000
          26526000.00
          7805.68
          Asset-Backed Securities
        
        
          GSAMP NIM 2006-HE4-N           N1 144 20360625 5.7
          
            2036-06-25
          
          5.750000
          6500000.00
          2598.63
          Asset-Backed Securities
        
        
          GSC ABS CDO 2006-4U            A1     20461106 FLT
          549300WINHJ6HG4T6Q10
          
            2046-11-06
          
          2.348250
          52639003.00
          194111.81
          Asset-Backed Securities
        
        
          GSC ABS CDO 2006-4U            A2     20461106 FLT
          549300WINHJ6HG4T6Q10
          
            2046-11-06
          
          2.418250
          13000000.00
          49329.13
          Asset-Backed Securities
        
        
          GSC ABS CDO 2006-4U            A3     20461106 FLT
          549300WINHJ6HG4T6Q10
          
            2046-11-06
          
          3.308250
          2500000.00
          12885.68
          Asset-Backed Securities
        
        
          SOUTH COAST FDG III 2003-3     A-2    20380810 FLT
          549300JPS4LRS1YTBK56
          
            2038-08-10
          
          1.443250
          5000000.00
          953468.02
          Asset-Backed Securities
        
        
          SOUTH COAST FDG III 2003-3     C      20380810 FLT
          549300JPS4LRS1YTBK56
          
            2038-08-10
          
          3.893250
          4000000.00
          42576.45
          Asset-Backed Securities
        
        
          SOUTH COAST FDG III 2003-3     A-1A   20380810 FLT
          549300JPS4LRS1YTBK56
          
            2038-08-10
          
          0.843250
          9262000.00
          495626.15
          Asset-Backed Securities
        
        
          REG S BAFC 2007 NIM10 LTD BAFC 2007
          
            2037-03-25
          
          7.250000
          8830000.00
          1196.10
          Asset-Backed Securities
        
        
          BCAP LLC TR 2013-RR9           4A7    20371027 FLT
          
            2037-10-27
          
          3.214390
          1500000.00
          621996.54
          Asset-Backed Securities
        
        
          CIFC FDG LTD 2018-1            SUB NT 20310418 FLT
          635400VBVF8AYJQBI411
          
            2031-04-18
          
          0.00
          700000.00
          525000.00
          Asset-Backed Securities
        
        
          CMO HLDG II BSABS HE11 2005-11 A-1    20351125 5.5
          
            2035-11-25
          
          5.500000
          704000.00
          107159.66
          Asset-Backed Securities
        
        
          CODA CDO LTD 2007-1            A-1LB  20471107 FLT
          54930097FPHCE7UIOL97
          
            2047-11-07
          
          2.293450
          27500000.00
          93850.93
          Asset-Backed Securities
        
        
          MARBLE PT CLO XI
          549300DBVCVH5X7MO467
          
            2030-12-18
          
          0.00
          5000000.00
          2250000.00
          Asset-Backed Securities
        
        
          MARGATE FUNDING 2004 LTD       A1J    20441206 FLT
          
            2044-12-06
          
          2.732750
          14700000.00
          1529528.57
          Asset-Backed Securities
        
        
          MASTR CI-10 NIM 2005-HE1       N1     20350526 4.7
          
            2035-05-26
          
          4.750000
          1000000.00
          30.23
          Asset-Backed Securities
        
        
          MASTR CI-9 NIM 2005-WMC1       N1     20350326 4.9
          
            2035-03-26
          
          4.940000
          300000.00
          0.29
          Asset-Backed Securities
        
        
          MERCER FIELD II CLO LTD 2017-2 SUB    20290416 FLT
          25490069XJXEQGFCG629
          
            2029-04-16
          
          0.00
          3650000.00
          3.65
          Asset-Backed Securities
        
        
          ML MTG INVESTORS NIM 2004-WMC1 N1     20341025 4.5
          
            2034-10-25
          
          4.500000
          462000.00
          14.51
          Asset-Backed Securities
        
        
          MERRILL MTG INVESTORS NIM 2005 N1     20360525 4.5
          
            2036-05-25
          
          4.500000
          19380000.00
          9313.59
          Asset-Backed Securities
        
        
          ML MTG INVESTORS NIM 2005-WMC2 N1     20360425 4.5
          
            2036-04-25
          
          4.500000
          11975000.00
          4517.57
          Asset-Backed Securities
        
        
          ML MTG INV NIM 2005-OWN3       N1     20360625 4.5
          
            2036-06-25
          
          4.500000
          4200000.00
          2471.46
          Asset-Backed Securities
        
        
          ML MTG INV NIM 2005-OWN5       N1     20361025 5.5
          
            2036-10-25
          
          5.500000
          10925000.00
          1129.54
          Asset-Backed Securities
        
        
          SOUTH COAST FDG VII 2005-7     A-2    20410107 FLT
          5493002J9R9J1O1UZA86
          
            2041-01-07
          
          0.725880
          26083000.00
          38689.80
          Asset-Backed Securities
        
        
          SOUTH COAST FDG VII 2005-7     D-1A   20410107 FLT
          5493002J9R9J1O1UZA86
          
            2041-01-07
          
          4.693130
          11500000.00
          2684276.71
          Asset-Backed Securities
        
        
          SPRINGCASTLE FDG ABS 2020-ALLC A      20370925 1.9
          
            2037-09-25
          
          1.970000
          5100000.00
          4707302.25
          Asset-Backed Securities
        
        
          STATIC RESI CDO 2005-B         A-2    20401114 FLT
          2549004DCJWT4G47HB40
          
            2040-11-14
          
          0.771000
          37000000.00
          37143.21
          Asset-Backed Securities
        
        
          STATIC RESI CDO 2005-B         C      20401114 FLT
          2549004DCJWT4G47HB40
          
            2040-11-14
          
          1.421000
          20000000.00
          35412.68
          Asset-Backed Securities
        
        
          STATIC RESI CDO 2005-B         D      20401114 FLT
          2549004DCJWT4G47HB40
          
            2040-11-14
          
          2.621000
          14480000.00
          46136.14
          Asset-Backed Securities
        
        
          MID OCEAN CBO 2001-1           A1L 14 20361105 FLT
          
            2036-11-05
          
          2.390500
          33499999.00
          944448.84
          Asset-Backed Securities
        
        
          MILLERTON ABS CDO 2004         B 144A 20391204 FLT
          549300LIM4STKESH2R64
          
            2039-12-04
          
          1.030500
          16585000.00
          1250059.13
          Asset-Backed Securities
        
        
          MONROE HARBOR CDO 2005-1 LTD
          
            2040-12-05
          
          2.694130
          5000000.00
          530480.43
          Asset-Backed Securities
        
        
          MONTAUK PT CDO LTD 2006-1      A-2    20421006 FLT
          549300MLKGLRDNIGTC32
          
            2042-10-06
          
          2.503130
          28000000.00
          166298.15
          Asset-Backed Securities
        
        
          MONTAUK PT CDO LTD 2006-1      C      20421006 FLT
          549300MLKGLRDNIGTC32
          
            2042-10-06
          
          2.763130
          10000000.00
          65459.79
          Asset-Backed Securities
        
        
          MONTAUK POT CDO II LTD 2006-02 A-3    20460406 FLT
          54930046COUSLUSBKU90
          
            2046-04-06
          
          1.739830
          9000000.00
          2020889.34
          Asset-Backed Securities
        
        
          MORGAN STANLEY CAP 2004-HE7    B-3    20340825 FLT
          
            2034-08-25
          
          5.398000
          2900000.00
          489790.00
          Asset-Backed Securities
        
        
          MORGAN STANLEY CAP 2004-HE8    B-1    20340925 FLT
          
            2034-09-25
          
          2.848000
          7096774.00
          45215.10
          Asset-Backed Securities
        
        
          MULBERRY STR CDO 2003-2        A-2    20380812 FLT
          549300FYTB7QK2YV2Q61
          
            2038-08-12
          
          1.583130
          15000000.00
          93023.89
          Asset-Backed Securities
        
        
          N-STAR REAL EST CDO IX 2007-9  A-2    20520807 FLT
          
            2052-08-07
          
          2.503000
          88400000.00
          515960.67
          Asset-Backed Securities
        
        
          NATIONAL COLLEGIATE II 2007 4 CL A 3 AR 3 COMMUTAT
          
            2038-12-25
          
          0.00
          3299000.00
          2569261.20
          Asset-Backed Securities
        
        
          NATIONAL COLL ST LN TR 2007-4  A3-AR4 20380325 0.0
          
            2038-03-25
          
          0.00
          3892000.00
          1168962.20
          Asset-Backed Securities
        
        
          NATIONAL COLLEGIATE 2007 4 CL A AR2 COMM
          
            2038-03-29
          
          0.00
          1150000.00
          215130.68
          Asset-Backed Securities
        
        
          NATIONAL COLL ST LN TR 2007-3  A3-AR4 20380325 0.0
          
            2038-03-25
          
          3.752000
          1587000.00
          461377.05
          Asset-Backed Securities
        
        
          NATIONAL COLLEGIATE IV A NCMT CL 2003 AR 13 COMMUT
          
            2043-06-01
          
          0.00
          392595.00
          95576.07
          Asset-Backed Securities
        
        
          NATIONAL COLLEGIATE V 2007-4  CL A-3-AR-3 COMMUTAT
          
            2038-03-31
          
          0.00
          3330625.00
          2732025.09
          Asset-Backed Securities
        
        
          NATIONSTAR NIM 2007-AN         A      20370325 9.7
          
            2037-03-25
          
          9.790000
          200000.00
          15.24
          Asset-Backed Securities
        
        
          NEPTUNE CDO 2004-1
          
            2040-01-10
          
          5.703000
          16000000.00
          2286365.55
          Asset-Backed Securities
        
        
          NEW CENTURY HE TR 2005-3       M-6    20350725 FLT
          
            2035-07-25
          
          1.198000
          900000.00
          861544.65
          Asset-Backed Securities
        
        
          NOMURA ASSET CO TR NIM 2005-S4 A      20351025 10.
          
            2035-10-25
          
          10.000000
          11000000.00
          13364.58
          Asset-Backed Securities
        
        
          NOMURA RESEC TR 2014-1R        6A7    20360826 FLT
          
            2036-08-26
          
          7.690760
          7216260.00
          2681000.60
          Asset-Backed Securities
        
        
          NORTH COVE CDO III 2006-3      C      20450310 FLT
          549300XHU31RWCDS7H51
          
            2045-03-10
          
          1.798750
          10000000.00
          11004.04
          Asset-Backed Securities
        
        
          AMSR 2020-SFR4 TR              G-2    20371119 4.8
          
            2037-11-19
          
          4.870000
          1000000.00
          1017899.33
          Asset-Backed Securities
        
        
          OHA CR PARTNERS XIII LTD
          549300EX32IF3NZCVL73
          
            2030-01-21
          
          0.00
          250000.00
          110000.00
          Asset-Backed Securities
        
        
          OAKTOWN RE II LTD 2018-1       M-1    20280725 FLT
          254900KOPN6EP9T3LD85
          
            2028-07-25
          
          1.698000
          500000.00
          102534.03
          Asset-Backed Securities
        
        
          OCEANVIEW CBO I 2002           A-1B   20320610 FLT
          549300JID91C6S0BHI48
          
            2032-06-10
          
          0.773380
          62000000.00
          2831867.86
          Asset-Backed Securities
        
        
          OPTION ONE CI-4 NIM 2005-3     N1     20350826 5.4
          
            2035-08-26
          
          5.438000
          38300000.00
          2362.66
          Asset-Backed Securities
        
        
          OPTION ONE NIM 2006-3          NT 144 20360725 7.1
          
            2036-07-25
          
          7.142000
          7000000.00
          3700.02
          Asset-Backed Securities
        
        
          ORIENT PT CDO LTD 2005-1       D      20451003 FLT
          5493005ONOWKNFDR6S52
          
            2045-10-03
          
          1.884000
          3000000.00
          19834.77
          Asset-Backed Securities
        
        
          PFP LTD 2019-5                 C      20360416 FLT
          
            2036-04-16
          
          2.153130
          3000000.00
          2868111.41
          Asset-Backed Securities
        
        
          PALISADES CDO LTD 2004-1       C-1    20390722 FLT
          254900GFQ1EE6QUMSF58
          
            2039-07-22
          
          3.465750
          10250000.00
          1645732.48
          Asset-Backed Securities
        
        
          PARALLEL LTD 2018-1            SUB    20310421 FLT
          
            2031-04-21
          
          0.00
          2000000.00
          900000.00
          Asset-Backed Securities
        
        
          PARK PLACE NIM 2005 WHQN1
          
            2035-02-25
          
          4.000000
          69600000.00
          1740526.56
          Asset-Backed Securities
        
        
          PEGAGUS AVIATION LSE 2001-1    C-1    20310510 FLT
          
            2031-05-10
          
          2.648750
          5000000.00
          7878.62
          Asset-Backed Securities
        
        
          PEOPLES CHOICE HM LN 2005-1    B2     20350225 FLT
          
            2035-02-25
          
          0.00
          2000000.00
          20.00
          Asset-Backed Securities
        
        
          PEOPLES CHOICE HM LN 2005-4    M3     20351225 FLT
          
            2035-12-25
          
          0.853000
          21130000.00
          1713.29
          Asset-Backed Securities
        
        
          PEOPLES CHOICE HM LN 2005-4    M6     20351225 FLT
          
            2035-12-25
          
          1.198000
          6589000.00
          723.69
          Asset-Backed Securities
        
        
          PEOPLES CHOICE HM LN 2005-4    M7     20351225 FLT
          
            2035-12-25
          
          1.948000
          3000000.00
          517.00
          Asset-Backed Securities
        
        
          PEOPLES CHOICE HM LN 2005-4    M10    20351225 FLT
          
            2035-12-25
          
          4.648000
          3268000.00
          1298.49
          Asset-Backed Securities
        
        
          POPULAR ABS 2005-2             M-2    20350425 FLT
          
            2035-04-25
          
          6.217000
          7574000.00
          4257872.56
          Asset-Backed Securities
        
        
          PORT JACKSON CDO 2007-1        A-2    20521119 FLT
          
            2052-11-19
          
          2.522630
          81700000.00
          742727.18
          Asset-Backed Securities
        
        
          PORT JACKSON CDO 2007-1        A-3    20521119 FLT
          
            2052-11-19
          
          2.502630
          15500000.00
          1490842.47
          Asset-Backed Securities
        
        
          PORT JACKSON CDO 2007-1        B      20521119 FLT
          
            2052-11-19
          
          2.702630
          43500000.00
          4384906.52
          Asset-Backed Securities
        
        
          PORT JACKSON CDO 2007-1        D      20521119 FLT
          
            2052-11-19
          
          5.652630
          9000000.00
          100380.12
          Asset-Backed Securities
        
        
          PROGRESS RES TR 2019-SFR4      G      20361017 3.9
          
            2036-10-17
          
          3.927000
          4521000.00
          4497877.35
          Asset-Backed Securities
        
        
          PUTNAM STRUCT PROD 2003-1      C 144A 20381115 FLT
          
            2038-11-15
          
          2.433630
          2000000.00
          2911.49
          Asset-Backed Securities
        
        
          PYXIS ABS CDO LTD 2007-1       C      20470306 FLT
          5493001SWW12UYUE3K31
          
            2047-03-06
          
          4.440500
          10000000.00
          12014.09
          Asset-Backed Securities
        
        
          RASC NIM 2003 NT2 TRUST
          
            2034-12-25
          
          4.500000
          15240000.00
          71893.11
          Asset-Backed Securities
        
        
          RFC CDO III LTD 2006-3         D      20401215 FLT
          5493006N2YY521QKSP51
          
            2040-12-15
          
          5.131220
          2000000.00
          4054.37
          Asset-Backed Securities
        
        
          RACE POINT IX CLO LTD 2015-9   INC NT 20270415 FLT
          549300C3570PBQ31OI09
          
            2027-04-15
          
          0.00
          4010000.00
          1122800.00
          Asset-Backed Securities
        
        
          RADNOR RE LTD 2020-1           M-2B   20300125 FLT
          254900YVLP8CB4GC2O97
          
            2030-01-25
          
          2.398000
          3115000.00
          2741579.51
          Asset-Backed Securities
        
        
          CSMC SERIES 2015-12R           2-A-2  20371203 FLT
          
            2037-12-03
          
          0.649250
          100000.00
          91494.70
          Asset-Backed Securities
        
        
          CWABS INC NIM 2006-17N         N 144A 20370525 7.0
          
            2037-05-25
          
          7.000000
          2500000.00
          1038.05
          Asset-Backed Securities
        
        
          CWABS INC 2006-11              MV-1   20350625 FLT
          
            2035-06-25
          
          0.418000
          5000000.00
          3415191.98
          Asset-Backed Securities
        
        
          CWABS INC NIM 2005-9N          N      20361025 5.5
          
            2036-10-25
          
          5.500000
          20685000.00
          2168.64
          Asset-Backed Securities
        
        
          CWABS INC NIM 2005-16N         N      20361225 6.0
          
            2036-12-25
          
          6.000000
          49646000.00
          8940.27
          Asset-Backed Securities
        
        
          CWABS ASSET BACKED CERTFICATES TRUST 2005 10
          
            2037-01-25
          
          6.000000
          60913000.00
          825383.41
          Asset-Backed Securities
        
        
          CWABS INC NIM 2006-IM1N        NOTE   20361125 6.0
          
            2036-11-25
          
          6.000000
          2000000.00
          495.93
          Asset-Backed Securities
        
        
          CWABS INC 2004-12              MV-5   20350225 FLT
          
            2035-02-25
          
          1.648000
          700000.00
          699281.33
          Asset-Backed Securities
        
        
          CWABS INC 2004-AB2             M-4    20341125 FLT
          
            2034-11-25
          
          1.423000
          4900000.00
          3663156.23
          Asset-Backed Securities
        
        
          CWABS INC NIM 2006-24N         N 144A 20370725 7.0
          
            2037-07-25
          
          7.000000
          500000.00
          114.04
          Asset-Backed Securities
        
        
          CAMBER 7 PLC                   A-3    20420612 FLT
          
            2042-06-12
          
          0.583880
          20000000.00
          7514.42
          Asset-Backed Securities
        
        
          CAMBER 7 PLC                   B      20420612 FLT
          
            2042-06-12
          
          0.703880
          26052126.00
          11264.62
          Asset-Backed Securities
        
        
          CAMBER 7 PLC                   C      20420612 FLT
          
            2042-06-12
          
          2.153880
          32300000.00
          37073.36
          Asset-Backed Securities
        
        
          CAMBER 7 PLC                   D      20420612 FLT
          
            2042-06-12
          
          4.219500
          14450000.00
          59071.87
          Asset-Backed Securities
        
        
          CAPITAL GUARDIAN CDO I 2002    C      20370403 FLT
          
            2037-04-03
          
          4.588630
          7100000.00
          122908.45
          Asset-Backed Securities
        
        
          CARBONE CLO LTD 2017           SUB NT 20310121 FLT
          5493005I53NEC017LN87
          
            2031-01-21
          
          0.00
          7850000.00
          3828821.80
          Asset-Backed Securities
        
        
          CARLYLE 2013-4 INCOME NT ISSUE ZERO 144A NT 25
          
            2025-10-15
          
          0.00
          524000.00
          183400.00
          Asset-Backed Securities
        
        
          CARRINGTON MTG LN 2006-FRE1    A-3    20360425 FLT
          
            2036-04-25
          
          0.298000
          650000.00
          337147.43
          Asset-Backed Securities
        
        
          CATAMARAN CLO 2013-1           SUB    20250127 FLT
          549300MB476AHX5W1918
          
            2025-01-27
          
          0.00
          16679070.00
          1667907.00
          Asset-Backed Securities
        
        
          CAYMAN ABSC NIMS 2005-HE6      A1     20350727 5.0
          
            2035-07-27
          
          5.050000
          3170000.00
          131.80
          Asset-Backed Securities
        
        
          CENTEX HM EQ LN TR 2005-A      M-6    20350125 FLT
          
            2035-01-25
          
          1.543000
          3000000.00
          706088.15
          Asset-Backed Securities
        
        
          CENTRE SQUARE CDO LT           A-1    20511119 FLT
          
            2051-11-19
          
          1.282330
          150000000.00
          207955.56
          Asset-Backed Securities
        
        
          CENTRE SQUARE CDO LT           A-2A   20511119 FLT
          
            2051-11-19
          
          1.673440
          47375000.00
          22639.35
          Asset-Backed Securities
        
        
          CENTRE SQUARE CDO LT           A-3    20511119 FLT
          
            2051-11-19
          
          1.652330
          15000000.00
          1495060.77
          Asset-Backed Securities
        
        
          BUCKINGHAM CDO III LTD 2007-3  D 144A 20510905 FLT
          549300FCUVTC1FF6CX37
          
            2051-09-05
          
          1.387630
          5000000.00
          6812.45
          Asset-Backed Securities
        
        
          BUCKINGHAM CDO III LTD 2007-3  E 144A 20510905 FLT
          549300FCUVTC1FF6CX37
          
            2051-09-05
          
          3.387630
          5000000.00
          20294.47
          Asset-Backed Securities
        
        
          BURNHAM HARBOR CD0 2006 1 LTD
          
            2039-09-12
          
          1.948110
          5000000.00
          5099.70
          Asset-Backed Securities
        
        
          BXMT 2020-FL2 LTD              C      20380217 FLT
          
            2038-02-18
          
          1.802500
          3250000.00
          3203658.16
          Asset-Backed Securities
        
        
          C-BASS ABS LLC 2005-CB8        M-2    20351225 FLT
          
            2035-12-25
          
          0.810130
          5000000.00
          939973.12
          Asset-Backed Securities
        
        
          C-BASS CBO XIX 2007-19         A-2    20471007 FLT
          54930094XNV6HLQUTZ27
          
            2047-10-07
          
          0.864000
          10000000.00
          21880.00
          Asset-Backed Securities
        
        
          C-BASS CBO IV 2002             D-1    20320610 FLT
          549300ZQF8AIGSYNK272
          
            2032-06-10
          
          2.772880
          3000000.00
          287655.15
          Asset-Backed Securities
        
        
          CBASS CBO XII LTD 2004-12      C      20400315 FLT
          549300CSZHL1ZCPAH059
          
            2040-03-15
          
          1.466500
          7000000.00
          1146192.44
          Asset-Backed Securities
        
        
          CBASS CBO XII LTD 2004-12      D      20400315 FLT
          549300CSZHL1ZCPAH059
          
            2040-03-15
          
          2.816500
          3000000.00
          2598.94
          Asset-Backed Securities
        
        
          C-BASS CBO XIII 2005-13        A      20400317 FLT
          5493000CAR73O5CYM328
          
            2040-03-17
          
          1.418170
          391000000.00
          1577747.39
          Asset-Backed Securities
        
        
          C-BASS CBO XIII 2005-13        C      20400317 FLT
          5493000CAR73O5CYM328
          
            2040-03-17
          
          2.228170
          2500000.00
          376031.28
          Asset-Backed Securities
        
        
          C-BASS CBO XIII 2005-13        D      20400317 FLT
          5493000CAR73O5CYM328
          
            2040-03-17
          
          3.498170
          14000000.00
          17706.01
          Asset-Backed Securities
        
        
          JACKSON MILL CLO 2015          SUB NT 20270415 FLT
          635400GWSUQH85DLFS40
          
            2027-04-15
          
          0.00
          1000000.00
          240000.00
          Asset-Backed Securities
        
        
          JER CRE CDO 2006-2             A-FL   20450325 FLT
          549300HX6FUK9WBH2U64
          
            2045-03-25
          
          0.479250
          12000000.00
          904.77
          Asset-Backed Securities
        
        
          JUPITER HGH-GRD CDO III 2005-3 A-2B   20420608 FLT
          
            2042-06-08
          
          0.287510
          12300000.00
          1136319.35
          Asset-Backed Securities
        
        
          KNOLLWOOD CDO LTD 2004-1       A1 144 20390108 FLT
          
            2039-01-08
          
          0.679750
          31536000.00
          2126544.89
          Asset-Backed Securities
        
        
          KNOLLWOOD CDO LTD 2004-1       B 144A 20390108 FLT
          
            2039-01-08
          
          1.429750
          9000000.00
          30924.75
          Asset-Backed Securities
        
        
          LNR CDO 2002-1 LTD
          549300RY922KBB3CZV03
          
            2037-07-24
          
          7.781000
          200000.00
          1273.06
          Asset-Backed Securities
        
        
          LNR CDO LTD 2002-1             EFXD14 20370724 7.5
          549300RY922KBB3CZV03
          
            2037-07-24
          
          7.502000
          5250000.00
          32221.44
          Asset-Backed Securities
        
        
          LNR CDO 2007-5                 A      20490426 FLT
          549300TQCFQE0FHSXI25
          
            2049-04-26
          
          2.730000
          3785299.00
          952.63
          Asset-Backed Securities
        
        
          LNR CDO 2007-5                 E      20490426 FLT
          549300TQCFQE0FHSXI25
          
            2049-04-26
          
          3.463000
          13517000.00
          3237570.06
          Asset-Backed Securities
        
        
          LSTAR SECS INVR LTD 2019-3     A-1    20240401 FLT
          
            2024-04-01
          
          1.654750
          2635000.00
          1806794.18
          Asset-Backed Securities
        
        
          LAKESIDE CDO I LTD
          
            2039-12-11
          
          2.747630
          10000000.00
          1405554.30
          Asset-Backed Securities
        
        
          LAKESIDE CDO L LTD LAKESIDE CD
          
            2039-12-11
          
          2.752630
          11000000.00
          1544462.71
          Asset-Backed Securities
        
        
          LAKESIDE CDO II 2004-2         C      20400102 FLT
          
            2040-01-02
          
          3.483880
          3500000.00
          44186.79
          Asset-Backed Securities
        
        
          LAUREL RD PRIME SL TR 2018-B   B-FX   20430526 3.7
          549300XLHGW4YH0MCQ51
          
            2043-05-26
          
          3.720000
          140000.00
          77039.98
          Asset-Backed Securities
        
        
          LEASE INV FLIGHT TRUST 2001-1  B-1    20310715 FLT
          549300A6HEWFX0KTLW72
          
            2031-07-15
          
          1.278630
          4900000.00
          2587.30
          Asset-Backed Securities
        
        
          LEHMAN ABS MFD HSG 1998-1      II-IO  20280715 FLT
          
            2028-07-15
          
          1.298380
          74555000.00
          208618.27
          Asset-Backed Securities
        
        
          BLUEMOUNTAIN CLO 2016-1        SUB NT 20270420 FLT
          5493005B0MT8TYWD7W93
          
            2027-04-20
          
          0.00
          10250000.00
          3382500.00
          Asset-Backed Securities
        
        
          BRAVO RES FDG TR 2020-RPL2     AIOS   20590525 FLT
          
            2059-05-25
          
          0.00
          349292776.00
          1801160.68
          Asset-Backed Securities
        
        
          BRODERICK CDO I 2006-1         B      20430103 FLT
          
            2043-01-03
          
          2.488380
          19000000.00
          2162977.81
          Asset-Backed Securities
        
        
          BROOKVILLE CDO I LTD 2007-1    A-3    20500710 FLT
          549300PBXEG0WKW47081
          
            2050-07-10
          
          0.727750
          25000000.00
          13113.02
          Asset-Backed Securities
        
        
          BROOKVILLE CDO I LTD 2007-1    C      20500710 FLT
          549300PBXEG0WKW47081
          
            2050-07-10
          
          3.127750
          23000000.00
          72770.64
          Asset-Backed Securities
        
        
          BROOKVILLE CDO I LTD 2007-1    D      20500710 FLT
          549300PBXEG0WKW47081
          
            2050-07-10
          
          6.127750
          17000000.00
          150671.91
          Asset-Backed Securities
        
        
          BUCKINGHAM CDO III LTD 2007-3  B 144A 20510905 FLT
          549300FCUVTC1FF6CX37
          
            2051-09-05
          
          0.557630
          30000000.00
          14152.60
          Asset-Backed Securities
        
        
          RADNOR RE LTD 2018-1           M-1    20280325 FLT
          549300ED4YNDE7SVU538
          
            2028-03-25
          
          1.548000
          500000.00
          19589.64
          Asset-Backed Securities
        
        
          RADNOR RE LTD 2018-1           B-1    20280325 FLT
          549300ED4YNDE7SVU538
          
            2028-03-25
          
          3.948000
          965000.00
          955662.02
          Asset-Backed Securities
        
        
          RADNOR RE LTD 2019-1           B-1    20290226 FLT
          254900JBDDKUTX6TX151
          
            2029-02-26
          
          4.598000
          5000000.00
          4474067.22
          Asset-Backed Securities
        
        
          RENAISSANCE HEQ 2006-4         N      20370125 7.1
          
            2037-01-25
          
          7.142000
          5000000.00
          1489.41
          Asset-Backed Securities
        
        
          RENAISSANCE HEQ 2007-2         N 144A 20370625 0.0
          
            2037-06-25
          
          8.353000
          2475000.00
          1488.01
          Asset-Backed Securities
        
        
          RENAISSANCE HEQ 2006-3         N-1    20361125 FLT
          
            2036-11-25
          
          6.414000
          10000000.00
          2373.32
          Asset-Backed Securities
        
        
          RIVERVIEW HECM TR 2007-1       X      20470525 FLT
          54930015WUX59FYEOL81
          
            2047-05-25
          
          0.761750
          1602000.00
          1194.20
          Asset-Backed Securities
        
        
          SASCO ARC SAIL NIM 2005-5      A      20350627 5.5
          
            2035-06-27
          
          5.500000
          1000000.00
          84.28
          Asset-Backed Securities
        
        
          SAIL NIM 2006-4                A      20360727 6.7
          
            2036-07-27
          
          6.750000
          12000000.00
          5834.18
          Asset-Backed Securities
        
        
          SASCO ARC 2004-4               B      20340427 7.5
          
            2034-04-27
          
          7.500000
          3000000.00
          1553.89
          Asset-Backed Securities
        
        
          SAYBROOK PT CBO II 2002-2      B2     20350208 FLT
          5493008692FLYI63RF82
          
            2035-02-08
          
          1.813000
          13000000.00
          391544.11
          Asset-Backed Securities
        
        
          SECURITIZED ASSET REC 2004-DO1 M-2    20340725 FLT
          
            2034-07-25
          
          2.098000
          4000000.00
          603316.19
          Asset-Backed Securities
        
        
          SECURITIZED ASSET REC 2007-HE1 A-2A   20361225 FLT
          
            2036-12-25
          
          0.208000
          300000.00
          14106.08
          Asset-Backed Securities
        
        
          SHARPS SP I NIM 2005-HE4N      N      20350725 5.2
          
            2035-07-25
          
          5.250000
          8000000.00
          1139.63
          Asset-Backed Securities
        
        
          ATTENTUS CDO III 2007-3        SUB NT 20421011 0.0
          
            2042-10-11
          
          0.00
          5000000.00
          355.00
          Asset-Backed Securities
        
        
          BARINGS CLO LTD 2015-2         SUB    20270720 FLT
          
            2027-07-20
          
          0.00
          3000000.00
          1140000.00
          Asset-Backed Securities
        
        
          BARINGS CLO LTD 2018-2         SUB    20300415 FLT
          
            2030-04-15
          
          0.00
          1000000.00
          610000.00
          Asset-Backed Securities
        
        
          CHARLES FORT CDO I 2007-1      B      20470709 FLT
          
            2047-07-09
          
          0.00
          50000000.00
          4985.18
          Asset-Backed Securities
        
        
          BELLE HAVEN ABS CDO 2004-1     A1J    20441103 FLT
          
            2044-11-03
          
          2.363250
          9000000.00
          791167.12
          Asset-Backed Securities
        
        
          BERING CDO I LTD
          
            2046-08-01
          
          6.652750
          1000000.00
          12037.53
          Asset-Backed Securities
        
        
          BERING CDO I LTD. BERING I CDO LLC
          
            2046-08-01
          
          0.692750
          10000000.00
          5618.33
          Asset-Backed Securities
        
        
          BUCKINGHAM CDO III LTD 2007-3  C      20510905 FLT
          
            2051-09-05
          
          0.637630
          8000000.00
          4200.69
          Asset-Backed Securities
        
        
          CAMBER 7 PLC                   D      20420612 FLT
          
            2042-06-12
          
          4.219500
          3000000.00
          12240.66
          Asset-Backed Securities
        
        
          C-BASS CBO XV 2006-15          B      20410216 FLT
          
            2041-02-19
          
          0.750130
          5000000.00
          5188.31
          Asset-Backed Securities
        
        
          C-BASS CBO XVI 2006-16         B      20410906 FLT
          
            2041-09-06
          
          0.675380
          10000000.00
          129690.14
          Asset-Backed Securities
        
        
          C-BASS CBO XVIII 2007-18       A-1    20470313 FLT
          
            2047-03-13
          
          0.569500
          57500000.00
          2479901.81
          Asset-Backed Securities
        
        
          REGS S CHARLES RIVER CDO LTD
          
            2037-12-09
          
          3.227880
          15000000.00
          31088.90
          Asset-Backed Securities
        
        
          COMMODORE CDO III 2005         C2     20400306 7.3
          
            2040-03-06
          
          7.350000
          2250000.00
          29073.74
          Asset-Backed Securities
        
        
          CORONADO CDO 2003              C-1    20380904 FLT
          
            2038-09-07
          
          3.730500
          2500000.00
          7244.69
          Asset-Backed Securities
        
        
          DAVIS SQUARE FDG IV 2005-4     F 144A 20400408 FLT
          
            2040-04-08
          
          2.830000
          3184650.00
          6076.49
          Asset-Backed Securities
        
        
          TAHOMA CDO III LTD
          549300WOB80PPT94QT77
          
            2047-10-15
          
          3.500880
          14500000.00
          111746.63
          Asset-Backed Securities
        
        
          TAHOMA CDO III LTD
          549300WOB80PPT94QT77
          
            2047-10-15
          
          5.000880
          14500000.00
          250849.68
          Asset-Backed Securities
        
        
          TAHOMA CDO III LTD
          549300WOB80PPT94QT77
          
            2047-10-15
          
          12.000900
          13000000.00
          1209312.74
          Asset-Backed Securities
        
        
          THACHER PARK CLO LTD 2014      SUB NT 20261020 FLT
          549300XMM86G232BM362
          
            2026-10-20
          
          0.00
          3750000.00
          450000.00
          Asset-Backed Securities
        
        
          TORO ABS CDO I LTD 2005-1      C      20420207 FLT
          2Y7JPTMM20YSN6TALH03
          
            2042-02-07
          
          2.963000
          2000000.00
          13679.00
          Asset-Backed Securities
        
        
          TREMAN PARK CLO LTD 2015       SUB    20270420 FLT
          549300E4DX3Q8L455K94
          
            2027-04-20
          
          0.00
          1064000.00
          340480.00
          Asset-Backed Securities
        
        
          VENTURE XII CLO LTD 2013-12    SUB    20240228 FLT
          549300C7PSULF5Z6ZE61
          
            2024-02-28
          
          0.00
          25000000.00
          2500000.00
          Asset-Backed Securities
        
        
          VERTICAL ABS CDO LTD 2006-2    A3     20460509 FLT
          549300XMJTRELQYWX614
          
            2046-05-09
          
          1.663000
          10000000.00
          34810.01
          Asset-Backed Securities
        
        
          VERTICAL CDO 2003-1 LTD
          
            2040-03-03
          
          1.168000
          24000000.00
          14551.97
          Asset-Backed Securities
        
        
          VERTICAL ABS CDO LTD 2006-1    A3     20460209 FLT
          549300O3X6RC6LDW6H90
          
            2046-02-09
          
          3.550630
          1000000.00
          7467.46
          Asset-Backed Securities
        
        
          VERTICAL ABS CDO
          549300Y7Q5ICYUVUZ483
          
            2045-04-01
          
          0.695380
          15900000.00
          8961.03
          Asset-Backed Securities
        
        
          VOYA CLO 2014-3                SUB    20260727 FLT
          5493000X4YEVJOIVRG48
          
            2026-07-27
          
          0.00
          5000000.00
          941630.00
          Asset-Backed Securities
        
        
          VOYA CLO LTD 2017-2            SUB NT 20300607 FLT
          
            2030-06-07
          
          0.00
          4500000.00
          1890000.00
          Asset-Backed Securities
        
        
          WM ASSET HLDGS CI 2006-9       N-3    20461125 12.
          
            2046-11-25
          
          12.000000
          8975000.00
          18847.50
          Asset-Backed Securities
        
        
          WM ASSET HLDGS CI 2006-7       N1 144 20460925 5.9
          
            2046-09-25
          
          5.926000
          2000000.00
          651.32
          Asset-Backed Securities
        
        
          WASH MUTUAL WMABS
          
            2036-09-25
          
          12.000000
          1920000.00
          3891.84
          Asset-Backed Securities
        
        
          WASH MUTUAL WMABS  CI SERIES 2006
          
            2036-09-25
          
          8.500000
          2385000.00
          3445.53
          Asset-Backed Securities
        
        
          PINE MTN CDO III LTD 2007-3    D      20470707 FLT
          
            2047-07-07
          
          8.759280
          3500000.00
          71831.91
          Asset-Backed Securities
        
        
          PORT JACKSON  CDO 2006
          
            2052-11-19
          
          1.852330
          4500000.00
          442.78
          Asset-Backed Securities
        
        
          PORT JACKSON CDO 2006 1
          
            2052-11-19
          
          2.611220
          2500000.00
          289.78
          Asset-Backed Securities
        
        
          PREFER TERM SEC XXV 2007-25    B-1    20370622 FLT
          
            2037-06-22
          
          0.716500
          4730000.00
          4225061.80
          Asset-Backed Securities
        
        
          PYXIS ABS CD0 2006 1 LTD LLC
          
            2046-11-10
          
          0.596330
          30000000.00
          3000.00
          Asset-Backed Securities
        
        
          DUNHILL ABS CDO 2004           C      20410104 FLT
          
            2041-01-04
          
          3.384000
          2000000.00
          23163.24
          Asset-Backed Securities
        
        
          ALTIUS FUNDING LTD 2006-3      B 144A 20411202 FLT
          549300IE4JXAJ646AY97
          
            2041-12-02
          
          2.228500
          40500000.00
          75255.71
          Asset-Backed Securities
        
        
          SHERWOOD FUNDING CDO 2004      SUB    20391107 FLT
          
            2039-11-07
          
          0.00
          2750000.00
          275.00
          Asset-Backed Securities
        
        
          SHACKLETON CLO 2014-V-R LTD    F      20310507 FLT
          
            2031-05-07
          
          8.293000
          3000000.00
          2409986.33
          Asset-Backed Securities
        
        
          STACK LTD 2004-1               C      20390510 FLT
          
            2039-05-10
          
          1.955880
          3000000.00
          1169629.25
          Asset-Backed Securities
        
        
          TABERNA PREFERRED FUNDING IX L
          
            2038-05-05
          
          2.283720
          20000000.00
          3379076.91
          Asset-Backed Securities
        
        
          TABERNA PREFERRED FUNDING IX L
          
            2038-05-05
          
          5.140500
          2000000.00
          195.51
          Asset-Backed Securities
        
        
          TABERNA PREF FDG I 2005-1      A-1A   20350705 FLT
          
            2035-07-05
          
          0.704000
          4500000.00
          277013.03
          Asset-Backed Securities
        
        
          TABERNA PREF FDG I 2005-1      B-1    20350705 FLT
          549300UVUFF52P87TF20
          
            2035-07-05
          
          1.334000
          6000000.00
          3439343.00
          Asset-Backed Securities
        
        
          TABERNA PREF FDG II 2005-2     C-1    20351105 FLT
          
            2035-11-05
          
          2.240880
          10000000.00
          51192.06
          Asset-Backed Securities
        
        
          TABERNA PREF FDG VII 2006-7    B1L 14 20370205 FLT
          O6FH5MIKN9JCILM69649
          
            2037-02-05
          
          3.174750
          4150000.00
          35238.80
          Asset-Backed Securities
        
        
          THL CREDIT WND RVR LTD 2015-1  SUB    20270720 FLT
          
            2027-07-20
          
          0.00
          4350000.00
          2305500.00
          Asset-Backed Securities
        
        
          TRAPEZA CDO IX 2006-9          SUB NT 20400127 FLT
          
            2040-01-27
          
          0.00
          9700000.00
          679.00
          Asset-Backed Securities
        
        
          U S CAPITAL FUNDING V LTD      SR SB GLBL 40
          
            2040-10-10
          
          1.474130
          15600000.00
          2257221.35
          Asset-Backed Securities
        
        
          VERTICAL ABS CDO LTD 2006-1    A2     20460209 FLT
          
            2046-02-09
          
          2.450630
          50000000.00
          181989.94
          Asset-Backed Securities
        
        
          VIBRANT CLO IX LTD
          
            2031-07-20
          
          0.00
          15000000.00
          15.00
          Asset-Backed Securities
        
        
          WELLFLEET CLO LTD 2017-2       SUB NT 20291020 FLT
          
            2029-10-20
          
          0.00
          2000000.00
          1075266.00
          Asset-Backed Securities
        
        
          WEST COAST FDG I LTD 2006-1    A-3    20411102 FLT
          
            2041-11-02
          
          0.729630
          10000000.00
          361599.00
          Asset-Backed Securities
        
        
          3C7 REG S WHATELY CDO I LTD WHATLEY CDO I
          
            2044-06-09
          
          4.200830
          10000000.00
          1380.40
          Asset-Backed Securities
        
        
          ACA ABS LTD 2002-1             C      20370803 FLT
          549300EN51K1EMCE9G36
          
            2037-08-03
          
          2.814380
          10500000.00
          3498656.92
          Asset-Backed Securities
        
        
          ACA ABS LTD 2006-1             A-1LA  20410610 FLT
          549300KMKXQOD2P17F35
          
            2041-06-10
          
          0.540000
          250000000.00
          97362.62
          Asset-Backed Securities
        
        
          ACA ABS LTD 2006-1             A-2L   20410610 FLT
          549300KMKXQOD2P17F35
          
            2041-06-10
          
          0.800000
          6000000.00
          3387.80
          Asset-Backed Securities
        
        
          ALM VII LTD 2012-7R            SUB NT 21161015 FLT
          549300TO15F7OWC7XK63
          
            2116-10-15
          
          0.00
          15000000.00
          4200000.00
          Asset-Backed Securities
        
        
          WHITEHORSE IX LTD 2014-9       SUB    20260717 FLT
          5493006SRQWF2ZFME608
          
            2026-07-17
          
          0.00
          7000000.00
          17500.00
          Asset-Backed Securities
        
        
          ACA ABS LTD 2003-1             B      20380610 FLT
          
            2038-06-10
          
          3.634130
          5000000.00
          11099.55
          Asset-Backed Securities
        
        
          3C7 REGS 2003 LTD LLC
          
            2038-12-10
          
          3.359000
          8000000.00
          16475.33
          Asset-Backed Securities
        
        
          3C7 REG S ACA ABS 2003 2 LIMITED LLC
          
            2038-12-10
          
          5.000000
          3500000.00
          10558.33
          Asset-Backed Securities
        
        
          3C7/REG S ACA LIMITED LLC
          
            2038-12-10
          
          5.609000
          10000000.00
          33496.90
          Asset-Backed Securities
        
        
          ACA ABS LTD 2006-1             A-1LB  20410610 FLT
          549300KMKXQOD2P17F35
          
            2041-06-10
          
          0.670000
          15000000.00
          7336.09
          Asset-Backed Securities
        
        
          ACACIA CDO 10 2006-10          D      20460907 FLT
          
            2046-09-07
          
          5.317000
          3000000.00
          18074.66
          Asset-Backed Securities
        
        
          ACACIA CDO 12 2007-12          A-1    20471008 FLT
          
            2047-10-08
          
          0.659750
          20000000.00
          1023822.36
          Asset-Backed Securities
        
        
          ACACIA CDO 12 2007-12          A-2    20471008 FLT
          
            2047-10-08
          
          0.929750
          100000000.00
          226941.67
          Asset-Backed Securities
        
        
          ACACIA CDO 12 2007-12          C      20471008 FLT
          
            2047-10-08
          
          3.479750
          500000.00
          4109.71
          Asset-Backed Securities
        
        
          ACAS CLO 2015 1 LTD
          
            2027-04-18
          
          0.00
          10900000.00
          1853000.00
          Asset-Backed Securities
        
        
          ADIRONDACK LTD 2005-1          C      20400709 FLT
          549300MP08D6YHF1YM61
          
            2040-07-09
          
          3.272250
          5000000.00
          46905.84
          Asset-Backed Securities
        
        
          ALESCO PREF FDG III 2004-3     B-1    20340501 FLT
          
            2034-05-01
          
          1.886880
          125000.00
          62770.21
          Asset-Backed Securities
        
        
          ALM VII LTD 2012-7R            SUB NT 21161015 FLT
          549300TO15F7OWC7XK63
          
            2116-10-15
          
          0.00
          6700000.00
          1876000.00
          Asset-Backed Securities
        
        
          ATLAS SENIOR LOAN FUND 2013-3  SUB    20250818 FLT
          
            2025-08-18
          
          0.00
          12580000.00
          1006400.00
          Asset-Backed Securities
        
        
          DAVIS SQUARE FDG IV 2005-4     A-2    20400408 FLT
          549300IFQ6H7GNQT4B97
          
            2040-04-09
          
          1.455130
          4600000.00
          467273.90
          Asset-Backed Securities
        
        
          DGCDO 2005-1X SUB
          
            2043-12-15
          
          0.00
          2700000.00
          270.00
          Asset-Backed Securities
        
        
          DUKE FDG VI 2004-6             A2     20390408 FLT
          
            2039-04-08
          
          1.529750
          5000000.00
          16659.76
          Asset-Backed Securities
        
        
          DUKE FDG VI 2004-6             BV     20390408 FLT
          
            2039-04-08
          
          3.729750
          9670000.00
          126210.81
          Asset-Backed Securities
        
        
          DUKE FDG HIGH GR I 2005-1      SUB NT 20450127 FLT
          
            2045-01-27
          
          0.00
          7500000.00
          750.00
          Asset-Backed Securities
        
        
          DUKE FDG HIGH GR III 2005-3    C-1    20490802 FLT
          5493002WNDT27IQSJY17
          
            2049-08-02
          
          1.464380
          500000.00
          1671.79
          Asset-Backed Securities
        
        
          DUKE FDG HIGH GR III 2005-3    C-2    20490802 FLT
          
            2049-08-02
          
          1.664380
          5000000.00
          19402.40
          Asset-Backed Securities
        
        
          DUKE FDG HIGH GR III 2005-3    SUB NT 20490802 FLT
          
            2049-08-02
          
          0.00
          7500000.00
          750.00
          Asset-Backed Securities
        
        
          DUKE FUNDING IX LTD
          
            2045-03-09
          
          0.00
          5240000.00
          524.00
          Asset-Backed Securities
        
        
          DUKE FDG IX 2005-9             A1     20450309 FLT
          
            2045-03-09
          
          2.350630
          2000000.00
          6990.71
          Asset-Backed Securities
        
        
          DUKE FDG IX 2005-9             A2V    20450309 FLT
          
            2045-03-09
          
          2.480630
          20000000.00
          73662.64
          Asset-Backed Securities
        
        
          DUKE FDG IX 2005-9             A3V    20450309 FLT
          
            2045-03-09
          
          3.400630
          10000000.00
          69033.96
          Asset-Backed Securities
        
        
          DUKE FDG X 2006-10             A2     20460409 FLT
          
            2046-04-09
          
          0.799500
          15000000.00
          29149.37
          Asset-Backed Securities
        
        
          DUTCH HILL FUNDING I LTD
          
            2045-12-12
          
          5.440000
          3000000.00
          300.00
          Asset-Backed Securities
        
        
          DUTCH HILL FUNDING 2007-2      D-3    20470326 FLT
          
            2047-03-26
          
          8.721000
          4130000.00
          150096.18
          Asset-Backed Securities
        
        
          ELEVATION CLO LTD 2017-8       SUB    20301025 FLT
          549300OBPZDY731NEI33
          
            2030-10-25
          
          0.00
          8500000.00
          4324239.00
          Asset-Backed Securities
        
        
          ELEVATION CLO 2017-7           SUB    20300715 FLT
          635400AGFHDDI7RPPD20
          
            2030-07-15
          
          0.00
          3000000.00
          1620000.00
          Asset-Backed Securities
        
        
          EULER 2007-1X
          
            2050-04-14
          
          3.094720
          17500000.00
          2161.01
          Asset-Backed Securities
        
        
          EULER 2007
          
            2050-04-14
          
          3.444720
          6750000.00
          860.02
          Asset-Backed Securities
        
        
          EULER 2007
          
            2050-04-14
          
          5.694720
          22500000.00
          3446.96
          Asset-Backed Securities
        
        
          EULER 2007-1X G
          
            2050-04-14
          
          6.521110
          12500000.00
          2057.57
          Asset-Backed Securities
        
        
          ARES XXIX CLO 2014-29          SUB NT 20260417 FLT
          
            2026-04-17
          
          0.00
          28000000.00
          1960000.00
          Asset-Backed Securities
        
        
          FLATIRON CLO LTD 2015-1        SUB NT 20270415 FLT
          
            2027-04-15
          
          0.00
          7500000.00
          2514675.00
          Asset-Backed Securities
        
        
          FORT SHERIDAN ABS CDO 2005-1   C3 144 20411105 7.5
          
            2041-11-05
          
          7.538000
          2600000.00
          69913.38
          Asset-Backed Securities
        
        
          GLACIER FDG CDO V 2007-5       B      20511209 FLT
          
            2051-12-09
          
          0.795750
          44000000.00
          25796.83
          Asset-Backed Securities
        
        
          GLACIER FDG CDO V 2007-5       A-3    20511209 FLT
          
            2051-12-09
          
          0.665750
          23500000.00
          11910.91
          Asset-Backed Securities
        
        
          GSC ABS CDO 2006-4U            C      20461106 FLT
          
            2046-11-06
          
          8.158250
          3000000.00
          37691.98
          Asset-Backed Securities
        
        
          GSC ABS CDO 2006-2M            F      20450608 FLT
          
            2045-06-08
          
          6.475880
          5000000.00
          19714.03
          Asset-Backed Securities
        
        
          GSC ABS CDO 2006-2M            G      20450608 FLT
          
            2045-06-08
          
          7.475880
          2000000.00
          9074.56
          Asset-Backed Securities
        
        
          HOUT BAY 2006 LTD
          
            2041-07-05
          
          1.214500
          15000000.00
          997500.00
          Asset-Backed Securities
        
        
          HUNTINGTON CDO LTD 2005-1      C-2    20401105 7.1
          
            2040-11-05
          
          7.170000
          2700000.00
          72528.57
          Asset-Backed Securities
        
        
          INDEPENDENCE IV CDO 2003-4     A-2    20380715 FLT
          
            2038-07-15
          
          3.303380
          40000000.00
          791852.07
          Asset-Backed Securities
        
        
          INDEPENDENCE V 2004-5          C      20390307 FLT
          
            2039-03-07
          
          5.423000
          1500000.00
          8418.42
          Asset-Backed Securities
        
        
          INMAN SQUARE FUNDING II LTD
          
            2040-10-06
          
          1.033500
          3000000.00
          7706.75
          Asset-Backed Securities
        
        
          INMAN SQUARE FDG 11 LTD
          
            2040-10-06
          
          0.00
          12886792.00
          1288.68
          Asset-Backed Securities
        
        
          ISCHUS SYNTHETIC ABS CD0 2006 2
          
            2047-01-12
          
          1.487890
          67000000.00
          6700.00
          Asset-Backed Securities
        
        
          ISCHUS SYNTHETIC ABS CDO 2006 2
          
            2047-01-12
          
          1.567890
          33000000.00
          3300.00
          Asset-Backed Securities
        
        
          KLEROS PREF FDG V 2007-5       A-1    20500202 FLT
          
            2050-02-02
          
          0.378380
          12500000.00
          716216.15
          Asset-Backed Securities
        
        
          KNOLLWOOD CDO LTD KNOLLWOOD CDO INC
          
            2039-01-08
          
          1.326060
          38174000.00
          4389958.48
          Asset-Backed Securities
        
        
          LEXINGTON CAPITAL FUNDING III L
          
            2047-04-10
          
          1.276060
          2250000.00
          225.00
          Asset-Backed Securities
        
        
          MKP CBO VI LTD 2006-6          A-1    20510615 FLT
          
            2051-06-15
          
          0.516500
          184000000.00
          2636551.78
          Asset-Backed Securities
        
        
          MKP CBO III 2004               C      20390509 FLT
          5493004GB6HYJYPBNP10
          
            2039-05-09
          
          3.208000
          6000000.00
          1882381.83
          Asset-Backed Securities
        
        
          3C7 REGS MULBERRY STREET CDO
          
            2037-12-14
          
          3.094750
          24000000.00
          64431.64
          Asset-Backed Securities
        
        
          MULBERRY STR CDO 2003-2        B-V    20380812 FLT
          
            2038-08-12
          
          3.983130
          20000000.00
          604067.09
          Asset-Backed Securities
        
        
          NORTH COVE CDO III 2006-3      E      20450310 FLT
          
            2045-03-10
          
          6.648750
          4000000.00
          15235.45
          Asset-Backed Securities
        
        
          OCEANVIEW CBO I 2002           COM    20320610 FLT
          
            2032-06-10
          
          0.00
          7500000.00
          130550.94
          Asset-Backed Securities
        
        
          OZLM IX LTD
          
            2027-01-20
          
          0.00
          6000000.00
          1080000.00
          Asset-Backed Securities
        
        
          PINE MTN CDO 2005              SUB NT 20451116 0.0
          
            2045-11-16
          
          0.00
          3000000.00
          100083.00
          Asset-Backed Securities
        
        
          PINE MTN CDO III LTD 2007-3    SUB NT 20470707 FLT
          
            2047-07-07
          
          0.00
          1000000.00
          100.00
          Asset-Backed Securities
        
        
          PINE MTN CDO III LTD 2007-3    B      20470707 FLT
          
            2047-07-07
          
          2.509280
          500000.00
          3012.34
          Asset-Backed Securities
        
        
          PINE MTN CDO III LTD 2007-3    C      20470707 FLT
          
            2047-07-07
          
          6.009280
          500000.00
          7144.29
          Asset-Backed Securities
        
        
          DUKE FUNDING V LTD
          549300ZQMJ1WH2JE1D26
          
            2038-08-07
          
          1.563000
          8000000.00
          932181.33
          Asset-Backed Securities
        
        
          DUKE FDG VI 2004-6             A3     20390408 FLT
          549300M17UZKOC3PVP17
          
            2039-04-08
          
          2.429750
          11000000.00
          89635.02
          Asset-Backed Securities
        
        
          DUKE FDG VI 2004-6             A1J    20390408 FLT
          549300M17UZKOC3PVP17
          
            2039-04-08
          
          1.079750
          24000000.00
          2375859.97
          Asset-Backed Securities
        
        
          DUKE FDG X 2006-10             A1     20460409 FLT
          549300K75EIHG4JT8034
          
            2046-04-09
          
          0.689500
          23000000.00
          1065720.65
          Asset-Backed Securities
        
        
          DUKE FDG HIGH GR III 2005-3    C-1    20490802 FLT
          5493002WNDT27IQSJY17
          
            2049-08-02
          
          1.464380
          12500000.00
          41761.23
          Asset-Backed Securities
        
        
          DUKE FDG HIGH GR III 2005-3    A-1B1  20490802 FLT
          5493002WNDT27IQSJY17
          
            2049-08-02
          
          0.293380
          46500000.00
          1039099.85
          Asset-Backed Securities
        
        
          DUKE FDG IX 2005-9             B      20450309 FLT
          5493005YUVN397SPQS39
          
            2045-03-09
          
          4.650630
          4000000.00
          39314.98
          Asset-Backed Securities
        
        
          DUNHILL ABS CDO 2004           A-2    20410104 FLT
          
            2041-01-04
          
          0.784000
          2750000.00
          166057.83
          Asset-Backed Securities
        
        
          DUNHILL ABS CDO 2004           B      20410104 FLT
          
            2041-01-04
          
          1.084000
          17383000.00
          1037411.65
          Asset-Backed Securities
        
        
          DUTCH HILL FUNDING 2007-2      B      20470326 FLT
          2549007DNF63VWK86Y85
          
            2047-03-26
          
          1.371000
          61556056.00
          4504812.52
          Asset-Backed Securities
        
        
          DUTCH HILL FUNDING 2007-2      D-2    20470326 FLT
          2549007DNF63VWK86Y85
          
            2047-03-26
          
          6.471000
          4800000.00
          98717.71
          Asset-Backed Securities
        
        
          DUTCH HILL FDG I LTD
          
            2045-12-12
          
          1.969500
          10000000.00
          14576.45
          Asset-Backed Securities
        
        
          E TRADE ABS CDO III 2004       B      20400110 FLT
          549300VW38SMR8ZDK981
          
            2040-01-10
          
          3.081440
          15500000.00
          2512426.76
          Asset-Backed Securities
        
        
          E TRADE ABS CDO IV 2005-4      B      20421205 FLT
          549300NYV3IPIKFFCG84
          
            2042-12-05
          
          1.670000
          12500000.00
          171842.46
          Asset-Backed Securities
        
        
          EAGLE RE LTD 2019-1            M-1B   20290425 FLT
          254900L82OLW9QTLJ788
          
            2029-04-25
          
          1.948000
          160000.00
          95810.23
          Asset-Backed Securities
        
        
          EAGLE RE LTD 2019-1            M-2    20290425 FLT
          254900L82OLW9QTLJ788
          
            2029-04-25
          
          3.448000
          2780000.00
          2747230.90
          Asset-Backed Securities
        
        
          EARNEST SL PROG LLC 2016-B     A-2    20340525 3.0
          
            2034-05-25
          
          3.020000
          600000.00
          66818.46
          Asset-Backed Securities
        
        
          EULER ABS CDO 1 LTD
          
            2050-07-14
          
          2.425000
          89000000.00
          2731010.08
          Asset-Backed Securities
        
        
          EULER ABS CDO I LTD EULER ABS CDO
          
            2050-07-14
          
          2.895000
          18000000.00
          26407.50
          Asset-Backed Securities
        
        
          EXANTAS CAPITAL CORP 2020-RS08 D      20350315 FLT
          549300RUJWPCMY4JFR46
          
            2035-03-15
          
          2.652500
          1565000.00
          1506283.59
          Asset-Backed Securities
        
        
          FFMLT LTD 2005-FF11-N          N1     20351125 6.5
          
            2035-11-25
          
          6.500000
          8635000.00
          778.02
          Asset-Backed Securities
        
        
          FFMLT TRUST NIM 2005-FF8-N     N1     20350925 6.5
          
            2035-09-25
          
          6.500000
          7350000.00
          617.96
          Asset-Backed Securities
        
        
          FBR SEC TRUST 2005-2           M-10   20350925 FLT
          
            2035-09-25
          
          3.523000
          31420000.00
          9538.59
          Asset-Backed Securities
        
        
          FBR SEC TRUST 2005-3           M-4    20351025 FLT
          
            2035-10-25
          
          1.063000
          4000000.00
          394.33
          Asset-Backed Securities
        
        
          FBR SEC TRUST 2005-3           M-5    20351025 FLT
          
            2035-10-25
          
          1.108000
          2000000.00
          204.67
          Asset-Backed Securities
        
        
          FBR SEC TRUST 2005-5           M-8    20351125 FLT
          
            2035-11-25
          
          3.523000
          1000000.00
          303.58
          Asset-Backed Securities
        
        
          FIELDSTONE MTG INV 2006-2      M8     20360725 FLT
          
            2036-07-25
          
          0.00
          2300000.00
          23.00
          Asset-Backed Securities
        
        
          LEHMAN XS NIM 2006-3           A 144A 20360328 5.5
          
            2036-03-28
          
          5.500000
          2450000.00
          370.24
          Asset-Backed Securities
        
        
          LENOX CDO 2006-1               E-1    20431116 FLT
          
            2043-11-16
          
          5.409250
          4000000.00
          48061.44
          Asset-Backed Securities
        
        
          LENOX CDO 2006-1               A-1J   20431116 FLT
          
            2043-11-16
          
          2.761630
          18225000.00
          24881.76
          Asset-Backed Securities
        
        
          LEXINGTON CAP FDG 2005         D 144A 20420506 FLT
          
            2042-05-06
          
          2.948500
          12000000.00
          77598.58
          Asset-Backed Securities
        
        
          LEXINGTON CAP FDG II 2006-2    D      20461005 FLT
          
            2046-10-05
          
          3.124250
          2292000.00
          6469.23
          Asset-Backed Securities
        
        
          LEXINGTON CAP FDG II 2006-2    E      20461005 FLT
          
            2046-10-05
          
          5.510000
          10000000.00
          63265.11
          Asset-Backed Securities
        
        
          LEXINGTON CAP FDG III 2007-3   D 144A 20470410 FLT
          5493002WL7N5CVO0M455
          
            2047-04-10
          
          2.024130
          25000000.00
          113546.02
          Asset-Backed Securities
        
        
          LEXINGTON CAP FDG III 2007-3   E 144A 20470410 FLT
          5493002WL7N5CVO0M455
          
            2047-04-10
          
          2.224130
          5000000.00
          24903.65
          Asset-Backed Securities
        
        
          LEXINGTON CAPITAL FUNDING V LTD
          54930015HW8MNTDR7856
          
            2051-04-10
          
          2.437750
          245999999.00
          1178523.58
          Asset-Backed Securities
        
        
          LEXN 2007-5A A3
          54930015HW8MNTDR7856
          
            2051-04-10
          
          2.817750
          45000000.00
          278297.81
          Asset-Backed Securities
        
        
          LEXN 2007-5A B
          54930015HW8MNTDR7856
          
            2051-04-10
          
          2.937750
          6000000.00
          38686.37
          Asset-Backed Securities
        
        
          LEXN 2007-5A C
          54930015HW8MNTDR7856
          
            2051-04-10
          
          4.837750
          30000000.00
          482189.90
          Asset-Backed Securities
        
        
          LEXN 2007
          54930015HW8MNTDR7856
          
            2051-04-10
          
          7.337750
          13000000.00
          427943.34
          Asset-Backed Securities
        
        
          LEXN 2007-5A E
          54930015HW8MNTDR7856
          
            2051-04-10
          
          8.337750
          9225000.00
          388961.93
          Asset-Backed Securities
        
        
          LBRTS 2007-2A A2
          
            2047-02-12
          
          2.410630
          21000000.00
          71003.84
          Asset-Backed Securities
        
        
          LIBERTAS PREFEERED FDG
          
            2047-02-12
          
          2.450630
          13400000.00
          46036.77
          Asset-Backed Securities
        
        
          LBRTS 2007-2A C
          
            2047-02-12
          
          3.850630
          19500000.00
          104152.14
          Asset-Backed Securities
        
        
          LNR CDO IV LTD 2006-1          E 144A 20430528 FLT
          549300FIVXZ33M229N06
          
            2043-05-28
          
          2.396750
          7500000.00
          778841.82
          Asset-Backed Securities
        
        
          LNR CDO IV LTD 2006-1          FFL 14 20430528 FLT
          549300FIVXZ33M229N06
          
            2043-05-28
          
          2.646750
          10000000.00
          1735.21
          Asset-Backed Securities
        
        
          LONG BEACH ASSET HOLDING CORP MIN TRUST 2000
          
            2045-08-25
          
          4.500000
          13100000.00
          509478.24
          Asset-Backed Securities
        
        
          LONGPORT FUNDING LTD.
          
            2035-01-30
          
          0.00
          8518316.00
          654338.79
          Asset-Backed Securities
        
        
          LONGPORT FDG LTD 2003          A-1B   20350130 FLT
          
            2035-01-30
          
          2.707130
          20000000.00
          1489030.38
          Asset-Backed Securities
        
        
          LONGPORT FDG LTD / LONGPORT    SR CL-3A 144A38
          
            2038-01-30
          
          2.834000
          55000000.00
          2256258.89
          Asset-Backed Securities
        
        
          MLMI CAYMAN NIM 2004-WMC3      N1     20350125 4.5
          
            2035-01-25
          
          4.500000
          64000000.00
          4935.67
          Asset-Backed Securities
        
        
          MKP CBO III 2004               C      20390509 FLT
          5493004GB6HYJYPBNP10
          
            2039-05-09
          
          3.208000
          5817000.00
          1824969.18
          Asset-Backed Securities
        
        
          MKP CDO IV LTD
          
            2040-07-12
          
          2.839500
          10000000.00
          182221.25
          Asset-Backed Securities
        
        
          MKP CDO IV LTD
          
            2040-07-12
          
          3.039500
          7000000.00
          650181.10
          Asset-Backed Securities
        
        
          MKP CBO VI LTD 2006-6          A-2    20510615 FLT
          549300VWLDZK3B0JUX32
          
            2051-06-15
          
          0.656500
          40874897.00
          438169.81
          Asset-Backed Securities
        
        
          MKP CBO VI LTD 2006-6          B      20510615 FLT
          549300VWLDZK3B0JUX32
          
            2051-06-15
          
          0.716500
          8000000.00
          2555.56
          Asset-Backed Securities
        
        
          MKP CBO V LTD 2005-5           A-2    20460108 FLT
          
            2046-01-08
          
          1.853000
          32837387.00
          141177.72
          Asset-Backed Securities
        
        
          MKP CBO V LTD 2005-5           B      20460108 FLT
          
            2046-01-08
          
          1.953000
          22500000.00
          101953.44
          Asset-Backed Securities
        
        
          CSMC SERIES 2014-2R            3-A-3  20351128 FLT
          
            2035-11-28
          
          3.500000
          790299.00
          858709.39
          Asset-Backed Securities
        
        
          CSMC SERIES 2014-2R            16-A-3 20370827 FLT
          
            2037-08-27
          
          2.750000
          2196040.00
          1795088.48
          Asset-Backed Securities
        
        
          CSMC SERIES 2014-9R            5-A-2  20361029 FLT
          
            2036-10-29
          
          5.987430
          3992151.00
          3738877.83
          Asset-Backed Securities
        
        
          CSMC SERIES 2014-7R            5-A-3  20371229 FLT
          
            2037-12-29
          
          0.309250
          4300000.00
          3903060.94
          Asset-Backed Securities
        
        
          CENTRE SQUARE CDO LT           B      20511119 FLT
          
            2051-11-19
          
          1.752330
          27500000.00
          2729165.59
          Asset-Backed Securities
        
        
          CHARLES RIV CDO 2002-1         A-1A   20371209 FLT
          5493002VA3D8ESUT7W58
          
            2037-12-09
          
          2.927880
          7000000.00
          581421.73
          Asset-Backed Securities
        
        
          CITIUS I FDG LTD 2006-1        D      20460505 FLT
          5493000FZPK3BA2H9B82
          
            2046-05-05
          
          3.054250
          6000000.00
          18926.09
          Asset-Backed Securities
        
        
          CLASS V FDG III LTD 2007-3     C      20520228 FLT
          5493008TXRRE1L5OII46
          
            2052-02-28
          
          7.879000
          7500000.00
          108108.49
          Asset-Backed Securities
        
        
          COMMODORE CDO IV 2005-4        D      20450204 FLT
          549300DYHR9Y2QZOW110
          
            2045-02-04
          
          4.650630
          11930000.00
          79792.52
          Asset-Backed Securities
        
        
          COMMODORE CDO III 2005         A2 144 20400306 FLT
          
            2040-03-06
          
          0.725380
          11000000.00
          1095595.45
          Asset-Backed Securities
        
        
          COMMODORE CDO III 2005         B 144A 20400306 FLT
          
            2040-03-06
          
          0.955380
          20500000.00
          1876117.36
          Asset-Backed Securities
        
        
          CWABS INC NIM 2006-BC2N        N 144A 20470225 6.5
          
            2047-02-25
          
          6.500000
          1000000.00
          367.38
          Asset-Backed Securities
        
        
          CWABS INC NIM 2006-6N          NT     20370425 6.7
          
            2037-04-25
          
          6.750000
          750000.00
          199.44
          Asset-Backed Securities
        
        
          CWABS INC NIM 2006-12N         NT 144 20370725 7.2
          
            2037-07-25
          
          7.250000
          1500000.00
          463.56
          Asset-Backed Securities
        
        
          COUNTRYWIDE HOME LOAN TRUST 2006-SP2N
          
            2037-08-25
          
          6.000000
          15450000.00
          7116.22
          Asset-Backed Securities
        
        
          CSFB HEQ PTC 2005-3            M-4    20351125 FLT
          
            2035-11-25
          
          1.333000
          4840000.00
          599857.61
          Asset-Backed Securities
        
        
          HOME EQUITY MTG TR 2005-HF1    M-2    20360225 FLT
          
            2036-02-25
          
          0.868000
          3000000.00
          708969.77
          Asset-Backed Securities
        
        
          COUNTRYWIDE ALTERNATIVE LOAN
          
            2037-07-25
          
          6.500000
          13893000.00
          6742.23
          Asset-Backed Securities
        
        
          DAVIS SQUARE FDG II 2004-2     COMBIN 20390506 FLT
          549300WBYECBO8FWC634
          
            2039-05-06
          
          3.338000
          25000000.00
          1455403.03
          Asset-Backed Securities
        
        
          DAVIS SQUARE FDG IV 2005-4     A-2    20400409 FLT
          549300IFQ6H7GNQT4B97
          
            2040-04-09
          
          1.455130
          23350000.00
          2371922.95
          Asset-Backed Securities
        
        
          DAVIS SQUARE FDG IV 2005-4     B      20400409 FLT
          549300IFQ6H7GNQT4B97
          
            2040-04-09
          
          1.655130
          15282000.00
          2364437.83
          Asset-Backed Securities
        
        
          DAVIS SQUARE FDG IV 2005-4     C      20400409 FLT
          549300IFQ6H7GNQT4B97
          
            2040-04-09
          
          2.755130
          28125000.00
          72897.00
          Asset-Backed Securities
        
        
          DAVIS SQUARE FDG IV 2005-4     D      20400409 FLT
          549300IFQ6H7GNQT4B97
          
            2040-04-09
          
          3.855130
          10000000.00
          36768.30
          Asset-Backed Securities
        
        
          DIOGENES CDO I LTD 2005-1      B      20431215 FLT
          
            2043-12-15
          
          0.766500
          15000000.00
          6610.00
          Asset-Backed Securities
        
        
          DRYDEN 47 SR LN FD 2017-47     SUB NT 20280417 FLT
          
            2028-04-17
          
          0.00
          3000000.00
          10041.00
          Asset-Backed Securities
        
        
          DRYDEN 55 CLO LTD 2018-55      INC    20310415 FLT
          
            2031-04-15
          
          0.00
          1000000.00
          710000.00
          Asset-Backed Securities
        
        
          DRYDEN 60 CLO LTD 2018-60      SUB    20310715 FLT
          549300KI3ILQQHC87U86
          
            2031-07-15
          
          0.00
          5950000.00
          3986500.00
          Asset-Backed Securities
        
        
          DUKE FDG V LTD
          549300ZQMJ1WH2JE1D26
          
            2033-08-07
          
          1.313000
          15000000.00
          1917533.33
          Asset-Backed Securities
        
        
          SHERWOOD FUNDING CDO 2004      A2     20391107 FLT
          549300NTK71LJ4WM1R11
          
            2039-11-07
          
          0.752750
          15000000.00
          9027.50
          Asset-Backed Securities
        
        
          SHERWOOD FUNDING CDO 2004      D      20391107 FLT
          549300NTK71LJ4WM1R11
          
            2039-11-07
          
          3.352750
          11000000.00
          40541.20
          Asset-Backed Securities
        
        
          SIERRA MADRE FDG 2004          A1A144 20390907 FLT
          549300B6LY40X183EI41
          
            2039-09-07
          
          0.532750
          11000000.00
          1604801.56
          Asset-Backed Securities
        
        
          SIERRA MADRE FDG 2004          C 144  20390907 FLT
          549300B6LY40X183EI41
          
            2039-09-07
          
          2.002750
          5000000.00
          9825.39
          Asset-Backed Securities
        
        
          SOUTH COAST FDG VIII 2006-8    A-1V   20431006 FLT
          549300JD6HID8N8EA905
          
            2043-10-06
          
          2.622630
          250000.00
          12362.78
          Asset-Backed Securities
        
        
          SOUTH COAST FDG VIII 2006-8    B      20431006 FLT
          549300JD6HID8N8EA905
          
            2043-10-06
          
          2.902630
          38000000.00
          3554119.57
          Asset-Backed Securities
        
        
          SOUTH COAST FDG III 2003-3     A-1B   20380810 FLT
          549300JPS4LRS1YTBK56
          
            2038-08-10
          
          0.843250
          37550000.00
          2009400.64
          Asset-Backed Securities
        
        
          AEGIS ABS 2004-6               N      20350325 4.7
          
            2035-03-25
          
          4.750000
          10442000.00
          498.87
          Asset-Backed Securities
        
        
          AEGIS ABS 2005-2               M4     20350625 FLT
          
            2035-06-25
          
          0.778000
          3900000.00
          2815592.65
          Asset-Backed Securities
        
        
          ABFC NIM TR 2006-OPT3          TR NT  20361126 6.0
          
            2036-11-26
          
          6.000000
          26800000.00
          6753.38
          Asset-Backed Securities
        
        
          ABFC NIM TR 2006-OPT1          NT     20360926 6.0
          
            2036-09-26
          
          6.000000
          26665000.00
          5290.59
          Asset-Backed Securities
        
        
          ABFC NIM TR 2006-OPT2          NT     20361028 6.0
          
            2036-10-28
          
          6.000000
          23040000.00
          8407.72
          Asset-Backed Securities
        
        
          ABFC NIM TR 2006-HE1           TR NT  20370127 6.0
          
            2037-01-27
          
          6.000000
          56650000.00
          33653.12
          Asset-Backed Securities
        
        
          WEST COAST FDG I LTD 2006-1    B      20411102 FLT
          549300QXECZQNCECZH07
          
            2041-11-02
          
          0.829630
          7000000.00
          125285.02
          Asset-Backed Securities
        
        
          STATIC RESI CDO 2005-B         B      20401114 FLT
          2549004DCJWT4G47HB40
          
            2040-11-14
          
          0.846000
          22220220.00
          24272.11
          Asset-Backed Securities
        
        
          STATIC RESI CDO 2006-A         E      20381012 FLT
          254900MK96C8AZUB6X97
          
            2038-10-12
          
          4.707600
          8000000.00
          79748.72
          Asset-Backed Securities
        
        
          STREETERVILLE ABS CDO 2004     B-1    20401103 FLT
          
            2040-11-05
          
          1.115750
          1750000.00
          239395.80
          Asset-Backed Securities
        
        
          STREETERVILLE ABS CDO 2004     B-2    20401103 5.5
          
            2040-11-03
          
          5.520000
          2000000.00
          754786.67
          Asset-Backed Securities
        
        
          ASSET BACKED FDG NIM 2005-WMC1 N2     20350726 6.0
          
            2035-07-26
          
          6.000000
          2600000.00
          2192.67
          Asset-Backed Securities
        
        
          ASSET BACKED FDG NIM 2005-HE2  N1 144 20350726 6.0
          
            2035-07-26
          
          6.000000
          18280000.00
          2422.09
          Asset-Backed Securities
        
        
          AUBURN CLO LTD 2017            SUB    20301021 FLT
          
            2030-10-21
          
          0.00
          2137500.00
          1132875.00
          Asset-Backed Securities
        
        
          AYRESOME CDO I LTD 2005-1      A-1A   20451208 FLT
          549300NTJS8VK8BTQE73
          
            2045-12-08
          
          0.495880
          27250000.00
          315750.37
          Asset-Backed Securities
        
        
          BCAP LLC TR 2015-RR5           1A3    20360826 FLT
          
            2036-08-26
          
          0.350130
          2000000.00
          72319.85
          Asset-Backed Securities
        
        
          GLACIER FDG CDO III 2005-3     A-2    20411104 FLT
          549300CN1KHVGQ5OLF21
          
            2041-11-04
          
          0.670130
          14000000.00
          14771.79
          Asset-Backed Securities
        
        
          GLACIER FDG CDO V 2007-5       E      20511209 FLT
          549300OZWBXZYH6IAW50
          
            2051-12-09
          
          5.895750
          26500000.00
          227072.70
          Asset-Backed Securities
        
        
          GREAT LAKES CLO 2014 1 LTD
          254900GKX01S4T3NFH46
          
            2029-10-15
          
          0.00
          576923.00
          291756.99
          Asset-Backed Securities
        
        
          GREEN TREE FINANCIAL MFH 98-3  M-1    20300301 FLT
          
            2030-03-01
          
          6.860000
          1000000.00
          586780.47
          Asset-Backed Securities
        
        
          GREEN TREE FINANCIAL 1996-10   B-1    20281115 FLT
          
            2028-11-15
          
          7.240000
          785000.00
          375693.19
          Asset-Backed Securities
        
        
          GREENPOINT MTG FDG 2005-HE4    M-2    20300725 FLT
          
            2030-07-25
          
          0.883000
          7750000.00
          2150885.54
          Asset-Backed Securities
        
        
          HIGHLAND PARK CDO I 2006-1     C      20511125 FLT
          549300EPZBP5YZALJQ09
          
            2051-11-25
          
          1.056500
          10000000.00
          1277157.75
          Asset-Backed Securities
        
        
          HG COLLLTD 2007-1              A-3L   20520405 FLT
          
            2052-04-05
          
          3.149830
          10000000.00
          75845.40
          Asset-Backed Securities
        
        
          HARBORVIEW NIM CI-8 2006-14    N2 144 20380319 8.3
          
            2038-03-19
          
          8.350000
          1000000.00
          103873.98
          Asset-Backed Securities
        
        
          HASCO NIM TRUST 2005 OPT1
          
            2035-11-25
          
          6.250000
          18474000.00
          2101.91
          Asset-Backed Securities
        
        
          HASCO NIM CO 2006-WMC1         A 144A 20360726 7.0
          
            2036-07-26
          
          7.000000
          2000000.00
          1309.98
          Asset-Backed Securities
        
        
          HASCO NIM CO 2006-FF11         B      20360826 7.0
          
            2036-08-26
          
          7.000000
          1000000.00
          1033.18
          Asset-Backed Securities
        
        
          HEMPSTEAD II CLO
          
            2029-08-10
          
          0.00
          2250000.00
          652500.00
          Asset-Backed Securities
        
        
          HIGH GRADE STR CR 2004-1       F      20461015 FLT
          5493008L10R1D1Q1B658
          
            2046-10-15
          
          3.403630
          10000000.00
          10516.35
          Asset-Backed Securities
        
        
          HILLCREST CDO I LTD 2004-1     A-2    20391210 FLT
          3EKVZMC7DWHX1YI0CZ77
          
            2039-12-10
          
          1.446000
          2750000.00
          2594.62
          Asset-Backed Securities
        
        
          HIGH INCM TR SECS 2003-1       C      20371108 FLT
          
            2037-11-08
          
          2.841000
          6230000.00
          1347095.41
          Asset-Backed Securities
        
        
          HOME EQUITY ASSET TR 2006-5    2-A-4  20361025 FLT
          
            2036-10-25
          
          0.388000
          2500000.00
          1599548.33
          Asset-Backed Securities
        
        
          HOME RE LTD 2019-1             M-1    20290525 FLT
          254900GFKVQN72ENGJ20
          
            2029-05-25
          
          1.798000
          150000.00
          40936.69
          Asset-Backed Securities
        
        
          HOUT BAY LTD 2006-1            A-2    20410705 FLT
          
            2041-07-05
          
          1.826750
          9400000.00
          619312.42
          Asset-Backed Securities
        
        
          INMAN SQUARE FUNDING I LTD
          549300L0HA7YRSP3XI56
          
            2039-10-20
          
          2.915880
          5000000.00
          179340.20
          Asset-Backed Securities
        
        
          INMAN SQUARE FDG 2005-2        I      20401006 FLT
          549300HWUWJEUDBRHL43
          
            2040-10-06
          
          0.683500
          15000000.00
          404648.84
          Asset-Backed Securities
        
        
          ISCHUS CDO LTD 2004-1          B      20400105 FLT
          5493007L7RE7ZER7YI53
          
            2040-01-05
          
          0.902750
          7000000.00
          2051712.83
          Asset-Backed Securities
        
        
          ISCHUS CDO LTD 2006-2          A-2L   20451012 FLT
          5493006XWINUMFMGCZ28
          
            2045-10-12
          
          2.889500
          10000000.00
          64408.47
          Asset-Backed Securities
        
        
          ISCHUS CDO LTD 2006-2          A-3L   20451012 FLT
          5493006XWINUMFMGCZ28
          
            2045-10-12
          
          4.239500
          15800000.00
          148572.89
          Asset-Backed Securities
        
        
          JER CRE CDO 2005-1             D      20431120 6.4
          5493002LDPLFVD4H0F04
          
            2043-11-20
          
          6.440000
          11000000.00
          2869588.33
          Asset-Backed Securities
        
        
          JPMORGAN MTG ACQ NIM 2006-ARN1 B      20360425 7.8
          549300S4MBB53XL0RY33
          
            2036-04-25
          
          7.867000
          250000.00
          352.79
          Asset-Backed Securities
        
        
          STRUCTURED ASSET SEC 2003-AL1  AIO 14 20310425 3.3
          
            2031-04-25
          
          3.356500
          32055769.00
          13869.31
          Asset-Backed Securities
        
        
          STRUCTURED ASSET SECS 2005-S6  M2     20351125 FLT
          
            2035-11-25
          
          0.868000
          5000000.00
          1181461.02
          Asset-Backed Securities
        
        
          SUMMER STR LTD 2005-1          A-3    20451206 FLT
          
            2045-12-06
          
          0.775380
          9192000.00
          1527764.82
          Asset-Backed Securities
        
        
          SUMMER STR LTD 2005-1          B      20451206 FLT
          
            2045-12-06
          
          1.725380
          11000000.00
          19220.49
          Asset-Backed Securities
        
        
          SUMMER STR LTD 2005-1          C      20451206 FLT
          
            2045-12-06
          
          2.825380
          3000000.00
          9590.27
          Asset-Backed Securities
        
        
          SUMMER STR LTD 2005-HG1        C 144A 20451208 FLT
          549300120I6CQ40Z0039
          
            2045-12-08
          
          1.698000
          5000000.00
          8033.38
          Asset-Backed Securities
        
        
          TABERNA PREF FDG IX 2007-9     A-1LB  20380505 FLT
          549300CT01X2OUNHMJ08
          
            2038-05-05
          
          2.540500
          1000000.00
          623951.89
          Asset-Backed Securities
        
        
          TABERNA PREF FDG IX 2007-9     A-2LA  20380505 FLT
          549300CT01X2OUNHMJ08
          
            2038-05-05
          
          2.790500
          14000000.00
          4680770.89
          Asset-Backed Securities
        
        
          TAHOMA CDO LTD 2006-1          B      20470618 FLT
          549300CV8N8JOGG5I607
          
            2047-06-18
          
          3.152000
          25542000.00
          31366.20
          Asset-Backed Securities
        
        
          TAHOMA CDO II LTD 2007-2       A-2    20470916 FLT
          549300BKH7XEB2WNVX21
          
            2047-09-16
          
          2.718500
          50000000.00
          65411.11
          Asset-Backed Securities
        
        
          TAHOMA CDO II LTD 2007-2       B      20470916 FLT
          549300BKH7XEB2WNVX21
          
            2047-09-16
          
          3.118500
          6750000.00
          10030.50
          Asset-Backed Securities
        
        
          AEGIS ABS 2006-1               M1     20370125 FLT
          
            2037-01-25
          
          0.448000
          4475000.00
          211.82
          Asset-Backed Securities
        
        
          AEGIS ABS 2006-1               M3     20370125 FLT
          
            2037-01-25
          
          0.508000
          2500000.00
          130.83
          Asset-Backed Securities
        
        
          ALINEA CLO LTD
          
            2031-07-20
          
          0.00
          2540000.00
          928687.50
          Asset-Backed Securities
        
        
          ALLIANCE BANCORP TR 2007-S1    A-3    20370525 FLT
          
            2037-05-25
          
          8.060000
          4504000.00
          140900.02
          Asset-Backed Securities
        
        
          ALTIUS FUNDING LTD 2006-3      A2 144 20411202 FLT
          549300IE4JXAJ646AY97
          
            2041-12-02
          
          2.088500
          33480744.00
          722310.02
          Asset-Backed Securities
        
        
          ALTIUS FUNDING LTD 2006-3      B 144A 20411202 FLT
          549300IE4JXAJ646AY97
          
            2041-12-02
          
          2.228500
          5000000.00
          434912.39
          Asset-Backed Securities
        
        
          AMERIQUEST MTG SECS 2003-AR3   M-5    20330725 FLT
          
            2033-07-25
          
          2.985910
          2000000.00
          1231161.51
          Asset-Backed Securities
        
        
          AMERIQUEST MTG SECS 2006-R2    M-3    20360425 FLT
          
            2036-04-25
          
          0.528000
          3200000.00
          2747744.00
          Asset-Backed Securities
        
        
          ANDERSON MEZZ FDG 2007-1       C      20420712 FLT
          549300N7LNWQZ80FTU84
          
            2042-07-12
          
          7.259000
          10000000.00
          79600.58
          Asset-Backed Securities
        
        
          ANSONIA CDO 2006-1             B 144A 20460728 5.8
          5493000YY0U5X4U03X89
          
            2046-07-28
          
          5.812000
          14000000.00
          69206.67
          Asset-Backed Securities
        
        
          ANSONIA CDO 2006-1             C 144A 20460728 5.9
          5493000YY0U5X4U03X89
          
            2046-07-28
          
          5.961000
          10000000.00
          49685.00
          Asset-Backed Securities
        
        
          ARES CLO LTD 2017-43           SUB    20291015 FLT
          549300ECLIGB6OZRBA51
          
            2029-10-15
          
          0.00
          10000000.00
          4500000.00
          Asset-Backed Securities
        
        
          ARROWPOINT CLO LTD 2014-2      SUB NT 20260312 FLT
          635400HAVYYWWB139K27
          
            2026-03-12
          
          0.00
          8775000.00
          81458.32
          Asset-Backed Securities
        
        
          ABS CORP HEQ 2005-HE2          M4     20350225 FLT
          
            2035-02-25
          
          1.378000
          2500000.00
          473714.52
          Asset-Backed Securities
        
        
          ASSET BACKED FDG 2004-FF1      M-2    20340125 FLT
          
            2034-01-25
          
          2.323000
          2250000.00
          36703.56
          Asset-Backed Securities
        
        
          ASSET BCKD FDG NIM 2005-OPT1   N2 144 20350926 6.0
          
            2035-09-26
          
          6.000000
          1570000.00
          403.76
          Asset-Backed Securities
        
        
          ASSET BACKED FDG NIM 2005-WMC1 N1     20350726 5.9
          
            2035-07-26
          
          5.900000
          14450000.00
          2224.40
          Asset-Backed Securities
        
        
          AMSR TRUST 2020-SFR3           F      20370918 3.5
          
            2037-09-18
          
          3.553000
          1000000.00
          1008702.83
          Asset-Backed Securities
        
        
          APS RESECURITIZATION TR 2016-3 3-MZ   20460927 FLT
          
            2046-09-27
          
          1.036030
          6800000.00
          4004519.51
          Asset-Backed Securities
        
        
          ACACIA CDO 9 2006-9            A      20460412 FLT
          5493008M6VMR20DSRE81
          
            2046-04-12
          
          0.524130
          173067000.00
          2109609.78
          Asset-Backed Securities
        
        
          ACACIA CDO 7 2005-7            B      20450112 FLT
          
            2045-01-12
          
          0.804130
          13780000.00
          1373846.96
          Asset-Backed Securities
        
        
          ACACIA CDO 10 2006-10          B      20460907 FLT
          
            2046-09-07
          
          2.867000
          15000000.00
          30170.00
          Asset-Backed Securities
        
        
          ACACIA CDO 11 2007-11          B      20470315 FLT
          
            2047-03-15
          
          1.210500
          10000000.00
          6380.00
          Asset-Backed Securities
        
        
          ACACIA CDO 11 2007-11          D      20470315 FLT
          
            2047-03-15
          
          3.890500
          3000000.00
          9122.40
          Asset-Backed Securities
        
        
          ACAS CRE CDO 2007-1            A      20521123 FLT
          54930031Y46R5VPI4605
          
            2052-11-23
          
          1.169250
          1200000.00
          1600.45
          Asset-Backed Securities
        
        
          ACCREDITED MTG LN TR 2005-4    M-5    20351225 FLT
          
            2035-12-25
          
          0.758000
          4000000.00
          292.67
          Asset-Backed Securities
        
        
          ACCREDITED MTG LN TR 2006-1    M-4    20360425 FLT
          
            2036-04-25
          
          0.825130
          562000.00
          44.26
          Asset-Backed Securities
        
        
          ACCREDITED MTG LN TR 2006-1    M-8    20360425 FLT
          
            2036-04-25
          
          1.875130
          3500000.00
          581.91
          Asset-Backed Securities
        
        
          ACCREDITED MTG LN TR 2006-1    M-9    20360425 FLT
          
            2036-04-25
          
          2.086410
          3538000.00
          650.52
          Asset-Backed Securities
        
        
          ACCREDITED MTG LN TR 2007-1    M-7    20370225 FLT
          
            2037-02-25
          
          0.998000
          2000000.00
          186.33
          Asset-Backed Securities
        
        
          ACCREDITED MTG LN TR 2007-1    M-9    20370225 FLT
          
            2037-02-25
          
          2.148000
          2000000.00
          378.00
          Asset-Backed Securities
        
        
          ACE SECS HEQ 2003-NC1          M-2    20330825 FLT
          
            2033-08-25
          
          2.998000
          29802000.00
          290768.61
          Asset-Backed Securities
        
        
          ACE SECS HEQ 2004-HE1          M-3    20340325 FLT
          
            2034-03-25
          
          2.173000
          5335000.00
          4694400.32
          Asset-Backed Securities
        
        
          ACE SECS HEQ 2004-FM2          M-3    20340625 FLT
          
            2034-06-25
          
          2.173000
          4000000.00
          214710.42
          Asset-Backed Securities
        
        
          ACE SECS HEQ 2006-SD2          M-2    20451225 FLT
          
            2045-12-25
          
          1.498000
          3620000.00
          12628.39
          Asset-Backed Securities
        
        
          ADIRONDACK LTD 2005-1          B      20400709 FLT
          549300MP08D6YHF1YM61
          
            2040-07-09
          
          2.272130
          8500000.00
          834873.23
          Asset-Backed Securities
        
        
          ADIRONDACK LTD 2005-1          C      20400709 FLT
          549300MP08D6YHF1YM61
          
            2040-07-09
          
          3.272250
          3400000.00
          31895.97
          Asset-Backed Securities
        
        
          ADIRONDACK LTD 2005-1          D      20400709 FLT
          549300MP08D6YHF1YM61
          
            2040-07-09
          
          4.622250
          5000000.00
          62842.62
          Asset-Backed Securities
        
        
          BABSON CLO LTD 2015-I          SUB    20270420 FLT
          
            2027-04-20
          
          0.00
          1843185.00
          552955.50
          Asset-Backed Securities
        
        
          BARINGS CLO LTD 2016-II        SUB NT 20280720 FLT
          549300Z33CTC4YAKLT16
          
            2028-07-20
          
          0.00
          3500000.00
          1652714.00
          Asset-Backed Securities
        
        
          BAYVIEW COML TR 2006-4         IO 144 20361225 FLT
          
            2036-12-25
          
          0.00
          30342000.00
          343.70
          Asset-Backed Securities
        
        
          BAYVIEW COML TR 2007-2         IO     20370725 FLT
          
            2037-07-25
          
          0.00
          6754000.00
          111.69
          Asset-Backed Securities
        
        
          BAYVIEW OPP MASTER FD 2019-RN4 A1     20341030 FLT
          
            2034-10-30
          
          3.277500
          910000.00
          235628.59
          Asset-Backed Securities
        
        
          GALLERIA CDO CDO 2002-3        C-2    20370919 FLT
          
            2037-09-19
          
          11.021000
          8100000.00
          1929498.30
          Asset-Backed Securities
        
        
          BEAR STEARNS ASSET BK 2004-HE1 M-6    20340225 FLT
          
            2034-02-25
          
          5.201230
          1500000.00
          97934.96
          Asset-Backed Securities
        
        
          BEAR STEARNS ASSET BK 2005-HE8 M-3    20350825 FLT
          
            2035-08-25
          
          2.098000
          4061000.00
          3716229.80
          Asset-Backed Securities
        
        
          BEAR STEARNS ASSET BK 2005-HE4 M-4    20350425 FLT
          
            2035-04-25
          
          2.023000
          1840000.00
          667091.05
          Asset-Backed Securities
        
        
          BEAR STEARNS ABS TR 2007-HE1   II-M-1 20370125 FLT
          
            2037-01-25
          
          0.418000
          7164000.00
          3840660.16
          Asset-Backed Securities
        
        
          BELLE HAVEN ABS CDO            A-2    20460705 FLT
          549300Z8FBYUKQ6EQ345
          
            2046-07-05
          
          0.725880
          61760000.00
          279415.21
          Asset-Backed Securities
        
        
          BELLE HAVEN ABS CDO            B      20460705 FLT
          549300Z8FBYUKQ6EQ345
          
            2046-07-05
          
          0.825880
          5000000.00
          10479.38
          Asset-Backed Securities
        
        
          BELLEMEADE RE LTD 2018-1       M-1B   20280425 FLT
          549300O2GEH6GH9NO762
          
            2028-04-25
          
          1.748000
          500000.00
          184093.65
          Asset-Backed Securities
        
        
          BELLEMEADE RE LTD 2019-4       M-2    20291025 FLT
          254900KXN235YISGF415
          
            2029-10-25
          
          2.998000
          1000000.00
          1005192.56
          Asset-Backed Securities
        
        
          BELLEMEADE RE LTD 2019-2       M-2    20290425 FLT
          254900I4ZKD8IMM1O953
          
            2029-04-25
          
          3.248000
          4000000.00
          4000777.78
          Asset-Backed Securities
        
        
          BERING CDO 2006-1              B      20460801 FLT
          549300OG8GI3MDGWT697
          
            2046-08-01
          
          3.402750
          9000000.00
          3190849.65
          Asset-Backed Securities
        
        
          BERNOULLI CDO I 2006-1         D      20420707 FLT
          549300DHAFFV3C8CQA32
          
            2042-07-07
          
          5.400250
          15000000.00
          338395.84
          Asset-Backed Securities
        
        
          BERNOULLI CDO I 2006-1         B      20420707 FLT
          549300DHAFFV3C8CQA32
          
            2042-07-07
          
          2.490250
          35000000.00
          3532380.66
          Asset-Backed Securities
        
        
          BERNOULLI CDO I 2006-1         C      20420707 FLT
          549300DHAFFV3C8CQA32
          
            2042-07-07
          
          3.450250
          15000000.00
          169955.31
          Asset-Backed Securities
        
        
          FIRSTKEY HOMES TR 2020-SFR1    E      20370819 2.7
          
            2037-08-19
          
          2.791000
          1000000.00
          1021764.83
          Asset-Backed Securities
        
        
          ML MTG INVESTORS 2004-CB6      B-2    20330625 FLT
          
            2033-06-25
          
          2.998000
          3798880.00
          682548.96
          Asset-Backed Securities
        
        
          ML MTG INV C-BASS ABS 2004-CB8 B-2    20340225 FLT
          
            2034-02-25
          
          2.773000
          6296000.00
          1434505.43
          Asset-Backed Securities
        
        
          NATIONAL COLLEGIATE 2007 4 CL A 3L COMMUTATION TR
          
            2038-03-25
          
          0.990130
          2105165.00
          400782.13
          Asset-Backed Securities
        
        
          NATIONAL COLLEGIATE III 2007 3CL A 3 L COMMUTATION
          
            2043-06-01
          
          3.189000
          1271175.00
          250685.35
          Asset-Backed Securities
        
        
          NATIONAL COLLEGIATE VIII 2007 4 CL A 3L COMU
          
            2038-03-29
          
          2.571630
          1248742.00
          240650.11
          Asset-Backed Securities
        
        
          NATIONAL COLLEGIATE VII 2007 3CL A 3L COMMUTATION
          
            2038-03-29
          
          1.000130
          2959594.00
          567514.28
          Asset-Backed Securities
        
        
          AMSR 2020-SFR4 TR              G-1    20371119 4.0
          
            2037-11-19
          
          4.002000
          500000.00
          505351.50
          Asset-Backed Securities
        
        
          PROGRESS RES TR 2019-SFR3      G      20360918 4.1
          
            2036-09-18
          
          4.116000
          2691000.00
          2680324.80
          Asset-Backed Securities
        
        
          PROGRESS RES 2020-SFR3 TR      G      20271019 4.1
          
            2027-10-19
          
          4.105000
          500000.00
          502771.92
          Asset-Backed Securities
        
        
          REPUBLIC FINAE ISSE TR 2020-A  D      20301120 7.0
          
            2030-11-20
          
          7.000000
          4000000.00
          4147787.56
          Asset-Backed Securities
        
        
          RESIDENTIAL ASSET 2005-EMX1    M-5    20350325 FLT
          
            2035-03-25
          
          2.173000
          2578041.00
          326691.47
          Asset-Backed Securities
        
        
          RFC CDO II LTD 2005-2          D      20400315 FLT
          
            2040-03-15
          
          4.734130
          300000.00
          496.68
          Asset-Backed Securities
        
        
          TRAPEZA CDO XI 2006-11         A-2    20411010 FLT
          
            2041-10-10
          
          1.731380
          600000.00
          452279.65
          Asset-Backed Securities
        
        
          STRUCTURED ASSET SECS 2005-WF4 M9     20351125 FLT
          
            2035-11-25
          
          3.898000
          5217000.00
          4665880.47
          Asset-Backed Securities
        
        
          MRCD 2019-PARK MORTGAGE TRUST  HRR    20361215 4.2
          
            2036-12-15
          
          4.250000
          30000000.00
          27725750.00
          Private Label Collateralized Mortgage Obligations
        
        
          JP MORGAN CHASE CMBS 2014-C20  D      20470717 FLT
          
            2047-07-17
          
          4.598380
          15570000.00
          11399637.55
          Private Label Collateralized Mortgage Obligations
        
        
          BAMLL COML MTG TR 2019-BPR     E-MP   20321105 FLT
          
            2032-11-05
          
          3.894550
          8092331.00
          6264892.15
          Private Label Collateralized Mortgage Obligations
        
        
          GSCG TRUST 2019-600C           G      20340912 FLT
          
            2034-09-12
          
          3.985100
          13902000.00
          12949086.25
          Private Label Collateralized Mortgage Obligations
        
        
          BMD 2 RE-REMIC TR 2019-FRR1    1A1    20251125 FLT
          
            2025-11-25
          
          2.648000
          19855000.00
          13788054.12
          Private Label Collateralized Mortgage Obligations
        
        
          CWMBS CHL MTG TR 2007-20       A-1    20380125 6.5
          
            2038-01-25
          
          6.500000
          138050000.00
          12119909.96
          Private Label Collateralized Mortgage Obligations
        
        
          COMM MTG TR 2014-CCRE18        E      20470717 3.6
          
            2047-07-17
          
          3.600000
          7527099.00
          5429183.60
          Private Label Collateralized Mortgage Obligations
        
        
          CSAIL COML MTG TR 2015-C2      E      20570615 FLT
          549300D5DIOOMKWXVZ20
          
            2057-06-15
          
          3.225000
          20000000.00
          10925230.00
          Private Label Collateralized Mortgage Obligations
        
        
          CSMC SER 2013 5R
          
            2036-02-27
          
          0.670890
          24125869.00
          16864951.75
          Private Label Collateralized Mortgage Obligations
        
        
          CITIMORTGAGE ALT LN TR 2007-A5 IA-6   20370525 6.0
          
            2037-05-25
          
          6.000000
          67906205.00
          12746717.80
          Private Label Collateralized Mortgage Obligations
        
      
      Y
      2021-02-04
      2021-02-04
      2021-03-01
      Y
      
        BOFA SECURITIES INC
        1.0000
        35
        N
      
      N
      N
      0.0059
      432938340.80
      432938340.80
      0.0046
      N
      N
      N
      Y
    
    
      WELLS FARGO SECURITIES LLC
      WELLS FARGO SECURITIES LLC 0.680000%
      VYVVCKR63DVZZN70PB21
      0001224385
      ARP0OUX88
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          MS B OF A ML TRUST 2012-C5     F      20450817 4.5
          
            2045-08-17
          
          4.500000
          1066926.00
          952373.36
          Private Label Collateralized Mortgage Obligations
        
        
          JACKCON PK TR 2019-LIC         E      20391014 FLT
          
            2039-10-14
          
          3.242400
          12225000.00
          11197684.35
          Private Label Collateralized Mortgage Obligations
        
        
          MS BOFA ML TRUST 2015-C24      D      20470816 3.2
          
            2047-08-16
          
          3.257000
          9370000.00
          7768593.60
          Private Label Collateralized Mortgage Obligations
        
        
          MS BOFA ML TRUST 2015-C27      D      20471217 3.2
          
            2047-12-17
          
          3.237000
          2000000.00
          1675147.00
          Private Label Collateralized Mortgage Obligations
        
        
          NEW ORLEANS HOTEL 2019-HNLA    E      20320415 FLT
          
            2032-04-15
          
          2.847330
          12000000.00
          10431665.76
          Private Label Collateralized Mortgage Obligations
        
        
          SEQUOIA MTG TR 2017-1          B-4    20470225 FLT
          
            2047-02-25
          
          3.605890
          1715000.00
          1493402.97
          Private Label Collateralized Mortgage Obligations
        
        
          TRICON AMER HOMES TR 2018-SFR1 F      20370519 4.9
          
            2037-05-19
          
          4.960000
          500000.00
          531897.17
          Private Label Collateralized Mortgage Obligations
        
        
          WACHOVIA CMBS 2007-C30         E      20431215 FLT
          
            2043-12-15
          
          5.553000
          370000.00
          64620.19
          Private Label Collateralized Mortgage Obligations
        
        
          WELLS FARGO COML TR 2015-C28   E      20480515 3.0
          549300S7ENI2U7O0XH56
          
            2048-05-15
          
          3.000000
          2500000.00
          1551125.00
          Private Label Collateralized Mortgage Obligations
        
        
          WELLS FARGO COML TR 2016-BNK1  D      20490817 FLT
          549300DNBJ7A0SEFVK31
          
            2049-08-17
          
          3.000000
          2000000.00
          1213008.00
          Private Label Collateralized Mortgage Obligations
        
        
          WELLS FARGO COM MTG 2020-SDAL  F      20370217 FLT
          
            2037-02-17
          
          3.649700
          2900000.00
          2395626.46
          Private Label Collateralized Mortgage Obligations
        
        
          BBCMS TRUST 2018-CBM           E      20370715 FLT
          
            2037-07-15
          
          3.709000
          1100000.00
          987501.29
          Private Label Collateralized Mortgage Obligations
        
        
          BX COML MTG TR 2019-ATL        F      20361015 FLT
          
            2036-10-15
          
          2.895600
          4992500.00
          4315461.75
          Private Label Collateralized Mortgage Obligations
        
        
          BX TR 2019-IMC                 E      20340417 FLT
          
            2034-04-17
          
          2.309000
          2000000.00
          1821364.44
          Private Label Collateralized Mortgage Obligations
        
        
          BX TR 2019-IMC                 F      20340417 FLT
          
            2034-04-17
          
          3.059000
          1450000.00
          1291875.41
          Private Label Collateralized Mortgage Obligations
        
        
          BANK 2018-BNK15                F      20611117 3.5
          
            2061-11-17
          
          3.592000
          6762997.00
          3242913.42
          Private Label Collateralized Mortgage Obligations
        
        
          BANK 2017-BNK9                 E      20541117 3.3
          
            2054-11-17
          
          3.367000
          4000000.00
          2150059.33
          Private Label Collateralized Mortgage Obligations
        
        
          BANK 2018-BNK12                E      20610517 FLT
          
            2061-05-17
          
          2.918300
          7000000.00
          3320925.43
          Private Label Collateralized Mortgage Obligations
        
        
          COMM MTG TR 2014-UBS3          D      20470612 FLT
          
            2047-06-12
          
          4.768350
          6709466.00
          6715817.32
          Private Label Collateralized Mortgage Obligations
        
        
          CSMC TRUST 2013-HYB1           B-5    20430425 FLT
          
            2043-04-25
          
          2.918540
          7916923.00
          6800891.10
          Private Label Collateralized Mortgage Obligations
        
        
          CSMC TRUST 2017-CHOP           F      20320715 FLT
          
            2032-07-15
          
          4.508630
          4298999.00
          3209395.50
          Private Label Collateralized Mortgage Obligations
        
        
          CSWF TR 2018-TOP               F      20350815 FLT
          
            2035-08-15
          
          2.908630
          3500000.00
          2655564.03
          Private Label Collateralized Mortgage Obligations
        
        
          CSWF TR 2018-TOP               G      20350815 FLT
          
            2035-08-15
          
          3.408630
          3750000.00
          2761280.84
          Private Label Collateralized Mortgage Obligations
        
        
          CARBON CAP COMM MTG  2019-FL2  B      20211118 FLT
          
            2021-11-18
          
          3.008630
          11519000.00
          10108419.76
          Private Label Collateralized Mortgage Obligations
        
        
          COMM MTG TR 2018-HCLV          E      20330915 FLT
          
            2033-09-15
          
          2.658630
          4747000.00
          4101121.34
          Private Label Collateralized Mortgage Obligations
        
        
          CORVEST AMERN FIN TR 2017-1    E      20491015 FLT
          
            2049-10-15
          
          5.793310
          3198000.00
          3374464.86
          Private Label Collateralized Mortgage Obligations
        
        
          COREVEST AMER FIN TR 2018-1    E      20510616 FLT
          
            2051-06-16
          
          5.885210
          3034000.00
          3252579.50
          Private Label Collateralized Mortgage Obligations
        
        
          COREVEST AMER FIN TR 2019-1    C      20520315 4.2
          
            2052-03-15
          
          4.226000
          500000.00
          536635.83
          Private Label Collateralized Mortgage Obligations
        
        
          COREVEST AMER FIN TR 2019-1    D      20520315 4.8
          
            2052-03-15
          
          4.818000
          3450000.00
          3724099.05
          Private Label Collateralized Mortgage Obligations
        
        
          COREVEST AMER FIN TR 2019-3    D      20521018 3.7
          
            2052-10-18
          
          3.760000
          750000.00
          778710.25
          Private Label Collateralized Mortgage Obligations
        
        
          CSFB MTG PTC 2003-29           D-B-2  20331225 FLT
          
            2033-12-25
          
          6.064590
          8000000.00
          497563.85
          Private Label Collateralized Mortgage Obligations
        
        
          CSMC SERIES 2009-3R            27-A-2 20370128 6.0
          
            2037-01-28
          
          6.000000
          4199999.00
          2354931.24
          Private Label Collateralized Mortgage Obligations
        
        
          FONTAINEBLEAU MIAMI 2019-FBLU  G      20361212 4.0
          
            2036-12-12
          
          3.962870
          5000000.00
          4722411.97
          Private Label Collateralized Mortgage Obligations
        
        
          GS MTG SECS TR 2017-SLP        E      20321012 FLT
          
            2032-10-12
          
          4.591300
          15100000.00
          14223476.46
          Private Label Collateralized Mortgage Obligations
        
        
          GS MTG SECS TR 2017-SLP        F      20321012 FLT
          
            2032-10-12
          
          4.591300
          4960000.00
          4575774.01
          Private Label Collateralized Mortgage Obligations
        
        
          GS MTG SECS TR 2017-SLP        G      20321012 FLT
          
            2032-10-12
          
          4.591300
          4747750.00
          4194941.38
          Private Label Collateralized Mortgage Obligations
        
        
          GREAT WOLF TRUST 2019-WOLF     E      20361215 FLT
          
            2036-12-15
          
          2.891000
          5000000.00
          4504849.44
          Private Label Collateralized Mortgage Obligations
        
        
          IMPERIAL CMB TRUST SERIES 1998 2
          
            2035-04-25
          
          2.098000
          3187500.00
          11994.89
          Private Label Collateralized Mortgage Obligations
        
        
          INVITATION HOMES TR 2018-SFR3  E      20370717 FLT
          
            2037-07-17
          
          2.153000
          10450000.00
          6206333.84
          Private Label Collateralized Mortgage Obligations
        
        
          JP MORGAN CHASE CMBS 2018-WPT  G-FX   20330708 FLT
          
            2033-07-08
          
          5.542200
          7200000.00
          6545134.80
          Private Label Collateralized Mortgage Obligations
        
        
          WELLS FARGO MBS 2019-1         B-4    20481125 FLT
          
            2048-11-25
          
          4.036350
          2018158.00
          1774851.18
          Private Label Collateralized Mortgage Obligations
        
        
          BFLD TR 2019-DPLO              F      20341016 FLT
          
            2034-10-16
          
          2.699000
          4500000.00
          4021931.50
          Private Label Collateralized Mortgage Obligations
        
        
          CSMC TRUST 2017-PFHP           F      20301216 FLT
          
            2030-12-16
          
          4.648630
          17500000.00
          14886901.01
          Private Label Collateralized Mortgage Obligations
        
        
          COREVEST AMER FIN TR 2019-3    E      20521018 FLT
          
            2052-10-18
          
          4.739520
          1500000.00
          1473194.40
          Private Label Collateralized Mortgage Obligations
        
        
          COREVEST AMCR FIN TR 2020-3    C      20530815 2.4
          
            2053-08-15
          
          2.403000
          1255000.00
          1263975.13
          Private Label Collateralized Mortgage Obligations
        
        
          HOME PARTNERS AMER 2020-2 TR
          
            2041-01-17
          
          4.055000
          3000000.00
          3176927.83
          Private Label Collateralized Mortgage Obligations
        
      
      Y
      2021-04-05
      2021-04-05
      2021-06-01
      Y
      
        WELLS FARGO SECURITIES LLC
        1.0000
        95
        N
      
      N
      N
      0.0074
      154962527.20
      154962527.20
      0.0016
      N
      N
      N
      Y
    
    
      RBC CAPITAL MARKETS LLC
      RBC CAPITAL MARKETS LLC 0.300000%
      549300LCO2FLSSVFFR64
      0000050916
      ARP0OUYH7
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          INTEL CORP                     SR NT 4%32
          KNX4USFCNGPY45LOCE31
          
            2032-12-15
          
          4.000000
          10000.00
          12449.28
          Corporate Debt Securities
        
        
          VISA INC                       SR GLBL NT2.8%22
          549300JZ4OKEHW3DPJ59
          
            2022-12-14
          
          2.800000
          60000.00
          62866.33
          Corporate Debt Securities
        
        
          VISA INC                       SR GLBL NT4.3%45
          549300JZ4OKEHW3DPJ59
          
            2045-12-14
          
          4.300000
          51000.00
          69729.27
          Corporate Debt Securities
        
        
          WALMART INC                    3.95%38
          Y87794H0US1R65VBXU25
          
            2038-06-28
          
          3.950000
          40000.00
          50906.37
          Corporate Debt Securities
        
        
          TORONTO DOMINION BANK          EXTND SR GLBL 23
          PT3QB789TSUIDF371261
          
            2023-07-15
          
          2.100000
          166079.00
          172246.07
          Corporate Debt Securities
        
        
          SHELL INTERNATIONAL FIN BV     SR GLBL NT 2%24
          213800ITMMKU4Z7I4F78
          
            2024-11-07
          
          2.000000
          12000.00
          12685.44
          Corporate Debt Securities
        
        
          EQUINOR ASA                    SR NT 2.45%23
          OW6OFBNCKXC4US5C7523
          
            2023-01-17
          
          2.450000
          183000.00
          192911.48
          Corporate Debt Securities
        
        
          3M CO                          SR GLBL NT 2%25
          LUZQVYP4VS22CLWDAR65
          
            2025-02-14
          
          2.000000
          50000.00
          53365.56
          Corporate Debt Securities
        
        
          3M CO                          SR GLBL NT 25
          LUZQVYP4VS22CLWDAR65
          
            2025-04-15
          
          2.650000
          25000.00
          27283.61
          Corporate Debt Securities
        
        
          TORONTO DOMINION BANK          VR 012518-012521
          PT3QB789TSUIDF371261
          
            2021-01-25
          
          0.454750
          729000.00
          729738.99
          Corporate Debt Securities
        
        
          TOTAL CAP INTL                 GLBL NT 3.127%50
          549300U37G2I8G4RUG09
          
            2050-05-29
          
          3.127000
          28000.00
          30305.23
          Corporate Debt Securities
        
        
          TOTAL CAP INTL                 SR GLBL NT 41
          549300U37G2I8G4RUG09
          
            2041-06-29
          
          2.986000
          20000.00
          21568.72
          Corporate Debt Securities
        
        
          NOVARTIS CAPITAL CORP          SR NT 2.4%22
          5493002KF87V5RSRQS84
          
            2022-09-21
          
          2.400000
          24000.00
          25044.64
          Corporate Debt Securities
        
        
          NOVARTIS CAPITAL CORP          SR GLBL NT 25
          5493002KF87V5RSRQS84
          
            2025-02-14
          
          1.750000
          15000.00
          15829.35
          Corporate Debt Securities
        
        
          ONTARIO PROV CDA               SR GLBL COCO 27
          C7PVKCRGLG18EBQGZV36
          
            2027-05-21
          
          1.050000
          41000.00
          41498.42
          Corporate Debt Securities
        
        
          PEPSICO INC                    SR NT 2.75%25
          FJSUNZKFNQ5YPJ5OT455
          
            2025-04-30
          
          2.750000
          2000.00
          2185.47
          Corporate Debt Securities
        
        
          PEPSICO INC                    SR GLBL FL NT 22
          FJSUNZKFNQ5YPJ5OT455
          
            2022-05-02
          
          0.579380
          40000.00
          40193.58
          Corporate Debt Securities
        
        
          PEPSICO INC                    SR GLBL NT 29
          FJSUNZKFNQ5YPJ5OT455
          
            2029-07-29
          
          2.625000
          2000.00
          2227.33
          Corporate Debt Securities
        
        
          PEPSICO INC                    SR GLBL NT0.4%23
          FJSUNZKFNQ5YPJ5OT455
          
            2023-10-07
          
          0.400000
          28000.00
          28176.49
          Corporate Debt Securities
        
        
          INTEL CORP                     SR GLBL NT 49
          KNX4USFCNGPY45LOCE31
          
            2049-11-15
          
          3.250000
          371000.00
          415454.25
          Corporate Debt Securities
        
        
          PROVINCE OF MAN D N PROV NT    SR GLBL GP DB 26
          5493003QILFOB3JRKE30
          
            2026-06-22
          
          2.125000
          6000.00
          6439.33
          Corporate Debt Securities
        
        
          MASTERCARD INCORPORATED        SR GLBL NT 49
          AR5L2ODV9HN37376R084
          
            2049-06-01
          
          3.650000
          40000.00
          49629.67
          Corporate Debt Securities
        
        
          MASTERCARD INCORPORATED        SR GLBL NT 50
          AR5L2ODV9HN37376R084
          
            2050-03-26
          
          3.850000
          12000.00
          15615.84
          Corporate Debt Securities
        
        
          TOYOTA MTR CR CORP             FR 3%040125
          Z2VZBHUMB7PWWJ63I008
          
            2025-04-01
          
          3.000000
          111000.00
          122632.80
          Corporate Debt Securities
        
        
          UNICREDIT S.P.A                FR 5.459%063035
          549300TRUWO2CD2G5692
          
            2035-06-30
          
          5.459000
          140000.00
          153861.40
          Corporate Debt Securities
        
        
          ALBERTA PROV                   2.95%24
          LQPXMHHNJKIPJYE53543
          
            2024-01-23
          
          2.950000
          4290463.00
          4677622.46
          Corporate Debt Securities
        
        
          ALBERTA PROV                   GLBL BD 1.875%24
          LQPXMHHNJKIPJYE53543
          
            2024-11-13
          
          1.875000
          157000.00
          165548.65
          Corporate Debt Securities
        
        
          APPLE INC                      SR NT 2.7%22
          HWUPKR0MPOU8FGXBT394
          
            2022-05-13
          
          2.700000
          230000.00
          238857.30
          Corporate Debt Securities
        
        
          BANK OF MONTREAL               VR 041318-041321
          NQQ6HPCNCCU6TUTQYE16
          
            2021-04-13
          
          0.684130
          250000.00
          250680.32
          Corporate Debt Securities
        
        
          BANK NOVA SCOTIA B C           SR GLBL NT 22
          L3I9ZG2KFGXZ61BMYR72
          
            2022-09-19
          
          2.450000
          18000.00
          18822.81
          Corporate Debt Securities
        
        
          CME GROUP INC                  SR NT 5.3%43
          LCZ7XYGSLJUHFXXNXD88
          
            2043-09-15
          
          5.300000
          20000.00
          30084.91
          Corporate Debt Securities
        
        
          CARGO AIRCRAFT MGMT INC        SR GLBL 144A 28
          549300GH5J7LOMV44F11
          
            2028-02-01
          
          4.750000
          5.00
          5.26
          Corporate Debt Securities
        
        
          CARRIER GLOBAL CORPORATION     GLBL NT 3.577%50
          549300JE3W6CWY2NAN77
          
            2050-04-05
          
          3.577000
          1978141.00
          2223638.30
          Corporate Debt Securities
        
        
          CHEVRON CORPORATION            SR GLBL NT 26
          
            2026-05-16
          
          2.954000
          53000.00
          58973.76
          Corporate Debt Securities
        
        
          CHEVRON CORPORATION            SR GLBL NT 27
          
            2027-05-11
          
          1.995000
          540000.00
          573988.05
          Corporate Debt Securities
        
        
          NRG ENERGY INC                 SR SEC GLBL 27
          5E2UPK5SW04M13XY7I38
          
            2027-12-02
          
          2.450000
          3275000.00
          3444394.83
          Corporate Debt Securities
        
        
          NIKE INC                       SR GLBL NT 40
          787RXPR0UX0O0XUXPZ81
          
            2040-03-27
          
          3.250000
          398000.00
          464993.79
          Corporate Debt Securities
        
        
          COMMONWEALTH BANK OF AUSTRALIA VR 031017-031022
          MSFSBD3QN1GSN7Q6C537
          
            2022-03-10
          
          0.930000
          200000.00
          201576.50
          Corporate Debt Securities
        
        
          COOPERATIEVE RABOBANK U.A.     FR 5.25%052441
          DG3RU1DBUFHT4ZF9WN62
          
            2041-05-24
          
          5.250000
          32000.00
          47224.51
          Corporate Debt Securities
        
        
          COSTCO WHOLESALE CORPORATION   GLBL NT 1.6%30
          29DX7H14B9S6O3FD6V18
          
            2030-04-20
          
          1.600000
          180000.00
          184758.40
          Corporate Debt Securities
        
        
          EQUINOR ASA                    SR GLBL NT 25
          OW6OFBNCKXC4US5C7523
          
            2025-04-06
          
          2.875000
          10000.00
          10986.38
          Corporate Debt Securities
        
        
          FAIRFAX FINL HLDGS LTD         SR GLBL NT 30
          GLS7OQD0WOEDI8YAP031
          
            2030-04-29
          
          4.625000
          4185214.00
          4710480.45
          Corporate Debt Securities
        
        
          GOLDMAN SACHS BDC INC          SR GLBL NT 26
          6D01AGSGBNZIJSN77043
          
            2026-01-15
          
          2.875000
          3000000.00
          3068654.58
          Corporate Debt Securities
        
        
          HSBC BANK CANADA               EXTND SR SEC 23
          DMB80L5QKUQ124HSYW98
          
            2023-09-10
          
          1.650000
          3493117.00
          3587562.15
          Corporate Debt Securities
        
        
          HYDRO-QUEBEC                   SR DEB 8.05%24
          6THEVG93PYJH84S4D167
          
            2024-07-07
          
          8.050000
          235000.00
          302517.46
          Corporate Debt Securities
        
        
          INDIANA UNIV HEALTH INC        -2018A BD3.97%48
          
            2048-11-01
          
          3.970000
          100000.00
          127481.67
          Corporate Debt Securities
        
        
          INTEL CORP                     SR GLBL NT 47
          KNX4USFCNGPY45LOCE31
          
            2047-12-08
          
          3.734000
          95000.00
          113356.43
          Corporate Debt Securities
        
        
          US BANCORP                     FR 2.625%012422
          N1GZ7BBF3NP8GI976H15
          
            2022-01-24
          
          2.625000
          2000.00
          2069.18
          Corporate Debt Securities
        
        
          US BANCORP                     FR 1.375%072230
          N1GZ7BBF3NP8GI976H15
          
            2030-07-22
          
          1.375000
          25000.00
          25177.23
          Corporate Debt Securities
        
        
          WALMART INC                    SR GLBL NT 35
          Y87794H0US1R65VBXU25
          
            2035-09-01
          
          5.250000
          3587000.00
          5299649.02
          Corporate Debt Securities
        
        
          WALMART INC                    SR GLBL NT 24
          Y87794H0US1R65VBXU25
          
            2024-12-15
          
          2.650000
          3000.00
          3251.48
          Corporate Debt Securities
        
        
          WALMART INC                    SR GLBL NT 25
          Y87794H0US1R65VBXU25
          
            2025-06-26
          
          3.550000
          26000.00
          29444.82
          Corporate Debt Securities
        
        
          WALMART INC                    SR GLBL NT3.4%23
          Y87794H0US1R65VBXU25
          
            2023-06-26
          
          3.400000
          38000.00
          40914.30
          Corporate Debt Securities
        
        
          WALMART INC                    SR GLBL NT 24
          Y87794H0US1R65VBXU25
          
            2024-07-08
          
          2.850000
          100000.00
          109526.58
          Corporate Debt Securities
        
        
          WALMART INC                    SR GLBL NT 26
          Y87794H0US1R65VBXU25
          
            2026-07-08
          
          3.050000
          175000.00
          199497.72
          Corporate Debt Securities
        
        
          WALMART INC                    SR GLBL NT 29
          Y87794H0US1R65VBXU25
          
            2029-07-08
          
          3.250000
          100000.00
          117364.81
          Corporate Debt Securities
        
        
          SHELL INTERNATIONAL FIN BV     SR NT 4.55%43
          213800ITMMKU4Z7I4F78
          
            2043-08-12
          
          4.550000
          100000.00
          134065.81
          Corporate Debt Securities
        
        
          SHELL INTERNATIONAL FIN BV     SR NT 3.25%25
          213800ITMMKU4Z7I4F78
          
            2025-05-11
          
          3.250000
          35000.00
          38940.09
          Corporate Debt Securities
        
        
          SHELL INTERNATIONAL FIN BV     SR NT 4.375%45
          213800ITMMKU4Z7I4F78
          
            2045-05-11
          
          4.375000
          24000.00
          31666.23
          Corporate Debt Securities
        
        
          SHELL INTERNATIONAL FIN BV     SR GLBL NT 26
          213800ITMMKU4Z7I4F78
          
            2026-05-10
          
          2.875000
          7000.00
          7750.28
          Corporate Debt Securities
        
        
          SHELL INTERNATIONAL FIN BV     SR NT 3.5%23
          213800ITMMKU4Z7I4F78
          
            2023-11-13
          
          3.500000
          709.00
          775.35
          Corporate Debt Securities
        
        
          SHELL INTERNATIONAL FIN BV     GLBL NT 2.75%30
          213800ITMMKU4Z7I4F78
          
            2030-04-06
          
          2.750000
          51000.00
          56503.57
          Corporate Debt Securities
        
        
          TORONTO DOMINION BANK          FR 1.8%071321
          PT3QB789TSUIDF371261
          
            2021-07-13
          
          1.800000
          103000.00
          104726.28
          Corporate Debt Securities
        
        
          TOTAL CAP INTL                 SR GLBL NT 22
          549300U37G2I8G4RUG09
          
            2022-02-17
          
          2.875000
          127000.00
          131986.20
          Corporate Debt Securities
        
        
          TOTAL CAP INTL                 SR NT 2.7%23
          549300U37G2I8G4RUG09
          
            2023-01-25
          
          2.700000
          85000.00
          90052.40
          Corporate Debt Securities
        
        
          TOYOTA MTR CR CORP             FR 3.3%011222
          Z2VZBHUMB7PWWJ63I008
          
            2022-01-12
          
          3.300000
          103000.00
          107758.77
          Corporate Debt Securities
        
        
          TOYOTA MTR CR CORP             FR 2.6%011122
          Z2VZBHUMB7PWWJ63I008
          
            2022-01-11
          
          2.600000
          40000.00
          41426.31
          Corporate Debt Securities
        
        
          NOVARTIS CAPITAL CORP          SR GLBL NT3.4%24
          5493002KF87V5RSRQS84
          
            2024-05-06
          
          3.400000
          170000.00
          187330.56
          Corporate Debt Securities
        
        
          ONTARIO PROV CDA               SR GLBL BD2.5%21
          C7PVKCRGLG18EBQGZV36
          
            2021-09-10
          
          2.500000
          167000.00
          170847.40
          Corporate Debt Securities
        
        
          ONTARIO PROV CDA               SR BD 2.45%22
          C7PVKCRGLG18EBQGZV36
          
            2022-06-29
          
          2.450000
          876000.00
          904107.43
          Corporate Debt Securities
        
        
          ONTARIO PROV CDA               SR GLBL BD3.2%24
          C7PVKCRGLG18EBQGZV36
          
            2024-05-16
          
          3.200000
          20000.00
          21948.00
          Corporate Debt Securities
        
        
          PEPSICO INC                    SR GLBL NT 49
          FJSUNZKFNQ5YPJ5OT455
          
            2049-10-15
          
          2.875000
          184000.00
          206718.38
          Corporate Debt Securities
        
        
          PEPSICO INC                    SR GLBL NT 30
          FJSUNZKFNQ5YPJ5OT455
          
            2030-03-19
          
          2.750000
          164000.00
          184667.55
          Corporate Debt Securities
        
        
          PHILIP MORRIS INTL INC         SR GLBL NT 41
          HL3H1H2BGXWVG3BSWR90
          
            2041-11-15
          
          4.375000
          1479000.00
          1849016.63
          Corporate Debt Securities
        
        
          PROVINCE OF QUEBEC             SR GLBL QZ NT 30
          549300WN65YFEQH74Y36
          
            2030-05-28
          
          1.350000
          36000.00
          36488.43
          Corporate Debt Securities
        
        
          PROVINCE OF QUEBEC             SR -QK NT2.75%21
          549300WN65YFEQH74Y36
          
            2021-08-25
          
          2.750000
          8000.00
          8207.08
          Corporate Debt Securities
        
        
          PROVINCE OF QUEBEC             SR GLBL NT 22
          549300WN65YFEQH74Y36
          
            2022-01-31
          
          2.375000
          97000.00
          100145.31
          Corporate Debt Securities
        
        
          SHELL INTERNATIONAL FIN BV     SR NT 2.25%23
          213800ITMMKU4Z7I4F78
          
            2023-01-06
          
          2.250000
          4000.00
          4194.95
          Corporate Debt Securities
        
        
          INTEL CORP                     SR GLBL NT3.1%60
          KNX4USFCNGPY45LOCE31
          
            2060-02-15
          
          3.100000
          1090000.00
          1207219.81
          Corporate Debt Securities
        
        
          JOHNSON &amp; JOHNSON              SR GLBL NT2.9%2
          549300G0CFPGEF6X2043
          
            2028-01-15
          
          2.900000
          54000.00
          61589.82
          Corporate Debt Securities
        
        
          KINDER MORGAN ENERGY PARTNERS  SR GLBL NT 24
          549300PDHUGWPWGOT525
          
            2024-09-01
          
          4.250000
          2451000.00
          2772121.85
          Corporate Debt Securities
        
        
          KOHLS CORP                     CR SEN SR GLBL25
          549300JF6LPRTRJ0FH50
          
            2025-05-15
          
          9.500000
          3443499.00
          4507433.06
          Corporate Debt Securities
        
        
          PROVINCE OF MAN D N PROV NT    GLBL -GT DEB 22
          5493003QILFOB3JRKE30
          
            2022-05-04
          
          2.125000
          13000.00
          13367.31
          Corporate Debt Securities
        
        
          MEDNAX INC                     SR 144A NT 23
          
            2023-12-01
          
          5.250000
          14000.00
          14247.59
          Corporate Debt Securities
        
        
          METROPOLITAN LIFE GLOBAL FDG I SR SEC GLBL 30
          635400MMSOCXNNNZDZ82
          
            2030-04-09
          
          2.950000
          770565.00
          871678.11
          Corporate Debt Securities
        
        
          MICROSOFT CORP                 SR NT 2.375%23
          INR2EJN1ERAN0W5ZP974
          
            2023-05-01
          
          2.375000
          100000.00
          104883.83
          Corporate Debt Securities
        
        
          MICROSOFT CORP                 SR NT 3.5%35
          INR2EJN1ERAN0W5ZP974
          
            2035-02-12
          
          3.500000
          180000.00
          223544.50
          Corporate Debt Securities
        
        
          TOYOTA MTR CR CORP             FR 1.15%052622
          Z2VZBHUMB7PWWJ63I008
          
            2022-05-26
          
          1.150000
          2000.00
          2028.46
          Corporate Debt Securities
        
        
          US BANCORP                     FR 2.375%072226
          N1GZ7BBF3NP8GI976H15
          
            2026-07-22
          
          2.375000
          63000.00
          68832.51
          Corporate Debt Securities
        
        
          ALBERTA PROV                   SR BD 2.2%22
          LQPXMHHNJKIPJYE53543
          
            2022-07-26
          
          2.200000
          32000.00
          33263.43
          Corporate Debt Securities
        
        
          ALBERTA PROV                   SR GLBL BD3.3%28
          LQPXMHHNJKIPJYE53543
          
            2028-03-15
          
          3.300000
          30000.00
          34919.00
          Corporate Debt Securities
        
        
          ALIBABA GROUP HLDG LTD         SR GLBL NT3.6%24
          5493001NTNQJDH60PM02
          
            2024-11-28
          
          3.600000
          742000.00
          819368.34
          Corporate Debt Securities
        
        
          ALPHABET INC                   SR GLBL NT1.9%40
          5493006MHB84DD0ZWV18
          
            2040-08-15
          
          1.900000
          38058.00
          37523.50
          Corporate Debt Securities
        
        
          APPLE INC                      SR NT 2.5%25
          HWUPKR0MPOU8FGXBT394
          
            2025-02-09
          
          2.500000
          238000.00
          258891.90
          Corporate Debt Securities
        
        
          APPLE INC                      SR GLBL NT 26
          HWUPKR0MPOU8FGXBT394
          
            2026-08-04
          
          2.450000
          200000.00
          220206.83
          Corporate Debt Securities
        
        
          APPLE INC                      SR GLBL NT 3%24
          HWUPKR0MPOU8FGXBT394
          
            2024-02-09
          
          3.000000
          30000.00
          32599.00
          Corporate Debt Securities
        
        
          APPLE INC                      SR GLBL NT 49
          HWUPKR0MPOU8FGXBT394
          
            2049-09-11
          
          2.950000
          17000.00
          18986.86
          Corporate Debt Securities
        
        
          BP CAP MKTS P L C              SR NT 3.814%24
          549300CRVT18MXX0AG93
          
            2024-02-10
          
          3.814000
          9000.00
          10010.41
          Corporate Debt Securities
        
        
          BP CAP MKTS P L C              SR GLBL NT 27
          549300CRVT18MXX0AG93
          
            2027-09-19
          
          3.279000
          588000.00
          664575.53
          Corporate Debt Securities
        
        
          BK OF AMERICA CORP             FR 4.083%032051
          9DJT3UXIJIZJI4WXO774
          
            2051-03-20
          
          4.083000
          49798.00
          63187.94
          Corporate Debt Securities
        
        
          BANK OF MONTREAL               FR 3.1%041321
          NQQ6HPCNCCU6TUTQYE16
          
            2021-04-13
          
          3.100000
          25000.00
          25372.17
          Corporate Debt Securities
        
        
          BANK OF MONTREAL               FR 2.9%032622
          NQQ6HPCNCCU6TUTQYE16
          
            2022-03-26
          
          2.900000
          1524000.00
          1585650.03
          Corporate Debt Securities
        
        
          BANK NOVA SCOTIA B C           SUB GLBL COCO 25
          L3I9ZG2KFGXZ61BMYR72
          
            2025-12-16
          
          4.500000
          15000.00
          17440.42
          Corporate Debt Securities
        
        
          BANK NOVA SCOTIA B C           FR 3.125%042021
          L3I9ZG2KFGXZ61BMYR72
          
            2021-04-20
          
          3.125000
          100000.00
          101482.32
          Corporate Debt Securities
        
        
          BANK NOVA SCOTIA B C           SR COCO 22
          L3I9ZG2KFGXZ61BMYR72
          
            2022-11-15
          
          2.000000
          250000.00
          258841.39
          Corporate Debt Securities
        
        
          BERKSHIRE HATHAWAY FIN CORP    SR GLBL NT4.2%48
          549300RLHFT5RU20WM87
          
            2048-08-15
          
          4.200000
          4559000.00
          6072436.03
          Corporate Debt Securities
        
        
          BERKSHIRE HATHAWAY FIN CORP    SR GLBL NT 49
          549300RLHFT5RU20WM87
          
            2049-01-15
          
          4.250000
          80000.00
          106554.18
          Corporate Debt Securities
        
        
          BRIGHTHOUSE FINL INC           SR GLBL NT4.7%47
          5493003T8SZSHOGGAW52
          
            2047-06-22
          
          4.700000
          4445000.00
          4632779.03
          Corporate Debt Securities
        
        
          BRINKER INTL INC               SR GLBL NT 23
          52990067JY6PBGJNTG76
          
            2023-05-15
          
          3.875000
          2000.00
          2012.40
          Corporate Debt Securities
        
        
          BRITISH COLUMBIA PROV CDA      SR-BCUSG8 BD2%22
          54930058TO7MEKUHWL16
          
            2022-10-23
          
          2.000000
          5000.00
          5179.84
          Corporate Debt Securities
        
        
          BROOKFIELD RESIDENTIAL PPTYS   SR GLBL 144A 27
          
            2027-09-15
          
          6.250000
          1.00
          1.08
          Corporate Debt Securities
        
        
          CALIFORNIA INSTITUTE OF TECH   -2019 BD 3.65%19
          549300CITPNHOTVPHC04
          
            2119-09-01
          
          3.650000
          200000.00
          228197.33
          Corporate Debt Securities
        
        
          CHEPLAPHARM ARZNEIMITTEL GMBH  SR SEC GLBL 28
          529900ONXKBELT7EW052
          
            2028-01-15
          
          5.500000
          10.00
          10.56
          Corporate Debt Securities
        
        
          CHEVRON USA INC                GLBL NT 2.343%50
          VA8TZDWPEZYU430RZ444
          
            2050-08-12
          
          2.343000
          250000.00
          246304.15
          Corporate Debt Securities
        
        
          CHEVRON CORP NEW               SR GLBL NT2.1%21
          
            2021-05-16
          
          2.100000
          10000.00
          10082.15
          Corporate Debt Securities
        
        
          CINCINNATI BELL INC NEW        SR GLBL 144A 24
          549300JYVZOCUJOHL272
          
            2024-07-15
          
          7.000000
          2000.00
          2144.56
          Corporate Debt Securities
        
        
          MICROSOFT CORP                 SR NT 3.75%45
          INR2EJN1ERAN0W5ZP974
          
            2045-02-12
          
          3.750000
          3000.00
          3886.56
          Corporate Debt Securities
        
        
          MICROSOFT CORP                 SR NT 3.125%25
          INR2EJN1ERAN0W5ZP974
          
            2025-11-03
          
          3.125000
          25000.00
          28022.12
          Corporate Debt Securities
        
        
          MICROSOFT CORP                 SR GLBL NT 36
          INR2EJN1ERAN0W5ZP974
          
            2036-08-08
          
          3.450000
          72000.00
          89537.34
          Corporate Debt Securities
        
        
          MICROSOFT CORP                 SR GLBL NT3.7%46
          INR2EJN1ERAN0W5ZP974
          
            2046-08-08
          
          3.700000
          65000.00
          83053.57
          Corporate Debt Securities
        
        
          MIZUHO FINANCIAL GROUP INC.    SR GLBL FL NT 22
          353800CI5L6DDAN5XZ33
          
            2022-02-28
          
          1.164380
          268000.00
          270616.39
          Corporate Debt Securities
        
        
          MORGAN STANLEY                 VR 072417-072222
          IGJSJL3JD5P30I6NJZ34
          
            2022-07-22
          
          1.145750
          365000.00
          367415.51
          Corporate Debt Securities
        
        
          MYLAN INC                      5.2%48
          30ZMPDNA1RHIBH89C294
          
            2048-04-15
          
          5.200000
          1350000.00
          1766715.00
          Corporate Debt Securities
        
        
          COMCAST CORP NEW               4.049%52
          51M0QTTNCGUN7KFCFZ59
          
            2052-11-01
          
          4.049000
          5542000.00
          7102617.96
          Corporate Debt Securities
        
        
          COSTCO WHOLESALE CORPORATION   GLBL NT 1.75%32
          29DX7H14B9S6O3FD6V18
          
            2032-04-20
          
          1.750000
          190000.00
          197341.86
          Corporate Debt Securities
        
        
          CREDIT SUISSE INTERNATIONAL    SR GLBL COCO 29
          549300506SI9CRFV9Z86
          
            2029-01-12
          
          3.869000
          600000.00
          689565.20
          Corporate Debt Securities
        
        
          DBS BK LTD SINGAPORE           FR 3.3%112722
          ATUEL7OJR5057F2PV266
          
            2022-11-27
          
          3.300000
          200000.00
          205927.00
          Corporate Debt Securities
        
        
          EXXON MOBIL CORP               SR GLBL NT 25
          J3WHBG0MTS7O8ZVMDC91
          
            2025-03-06
          
          2.709000
          100000.00
          108825.38
          Corporate Debt Securities
        
        
          EXXON MOBIL CORP               SR GLBL NT 23
          J3WHBG0MTS7O8ZVMDC91
          
            2023-04-15
          
          1.571000
          90766.00
          93636.62
          Corporate Debt Securities
        
        
          GE CAPITAL INTERNATIONAL FDG   FR 4.418%111535
          549300G6UZOB126GBY72
          
            2035-11-15
          
          4.418000
          11201000.00
          13403847.15
          Corporate Debt Securities
        
        
          HBOS PLC MEDIUM TERM SR NT     FR 6%110133
          213800RS21X7UUH5QU25
          
            2033-11-01
          
          6.000000
          2836000.00
          3963517.97
          Corporate Debt Securities
        
        
          HOLLYFRONTIER CORP             CR SEN SR GLBL30
          549300J3U2WK73C9ZK26
          
            2030-10-01
          
          4.500000
          9040000.00
          9649702.80
          Corporate Debt Securities
        
        
          APPLE INC                      SR GLBL NT 23
          HWUPKR0MPOU8FGXBT394
          
            2023-05-11
          
          0.750000
          6000.00
          6075.67
          Corporate Debt Securities
        
        
          BERKSHIRE HATHAWAY FIN CORP    SR GLBL NT 30
          549300RLHFT5RU20WM87
          
            2030-10-15
          
          1.450000
          250000.00
          253652.78
          Corporate Debt Securities
        
        
          CISCO SYS INC                  SR GLBL NT 26
          8E6NF1YAL0WT6CWXXV93
          
            2026-02-28
          
          2.950000
          150000.00
          168385.37
          Corporate Debt Securities
        
      
      Y
      2021-02-04
      2021-02-04
      2021-03-02
      Y
      
        RBC CAPITAL MARKETS LLC
        1.0000
        35
        N
      
      N
      N
      0.0018
      96019933.44
      96019933.44
      0.0010
      N
      N
      N
      Y
    
    
      BARCLAYS BANK PLC
      BARCLAYS BANK PLC 0.090000%
      G5GSEF7VJP5I7OUK5573
      0001484212
      ARP0OXDS0
      U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash
      Y
      
        N
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2047-11-15
          
          2.750000
          97902200.00
          122796230.52
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-10-31
          
          3.000000
          107794600.00
          122024052.97
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-07
      2021-01-07
      2021-01-12
      Y
      
        Barclays Bank PLC
        1.0000
        7
        N
      
      N
      N
      0.0009
      240000000.00
      240000000.00
      0.0026
      N
      N
      Y
      N
    
    
      BOFA SECURITIES INC
      BOFA SECURITIES INC 0.260000%
      549300HN4UKV1E2R3U73
      0001675365
      ARP0OYYL0
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          MARS INC DEL                   SR GLBL 144A 32
          54930073HKEO6GZBSS03
          
            2032-07-16
          
          1.625000
          730000.00
          728253.78
          Corporate Debt Securities
        
        
          NATIONWIDE BLDG SOC GLOBAL COV FR 1%082825
          549300XFX12G42QIKN82
          
            2025-08-28
          
          1.000000
          1199000.00
          1203494.92
          Corporate Debt Securities
        
        
          PIEDMONT NAT GAS CO INC        SR GLBL NT 50
          VXB4M3BDPKF3I2AZ3G89
          
            2050-06-01
          
          3.350000
          3418000.00
          3835480.22
          Corporate Debt Securities
        
        
          STATE STR CORP                 SR GLBL NT 26
          549300ZFEEJ2IP5VME73
          
            2026-03-30
          
          2.901000
          8214000.00
          9005850.13
          Corporate Debt Securities
        
        
          AMERICAN HONDA FIN CORP MTN    FR 1%091025
          B6Q2VFHD1797Q7NZ3E43
          
            2025-09-10
          
          1.000000
          1350000.00
          1370565.00
          Corporate Debt Securities
        
        
          BANK NOVA SCOTIA B C           FR 0.8%123025
          L3I9ZG2KFGXZ61BMYR72
          
            2025-12-30
          
          0.800000
          1473428.00
          1466178.73
          Corporate Debt Securities
        
        
          CHUBB INA HLDGS INC            SR GLBL NT 30
          CZCBJZWDMLTHWJDXU843
          
            2030-09-15
          
          1.375000
          1530000.00
          1530997.90
          Corporate Debt Securities
        
        
          DTE ELEC CO                    -A 3.95%49
          9N0FWODEJVKHC2DYLO03
          
            2049-03-01
          
          3.950000
          970000.00
          1266399.67
          Corporate Debt Securities
        
        
          DU PONT E I DE NEMOURS &amp; CO    SR GLBL NT1.7%2
          GLU7INWNWH88J9XBXD45
          
            2025-07-15
          
          1.700000
          2967519.00
          3125130.53
          Corporate Debt Securities
        
        
          DUKE ENERGY FLA LLC            1MTG 6.4%38
          7MOHLM3DKE63RX2ZCN83
          
            2038-06-15
          
          6.400000
          5000000.00
          7740372.22
          Corporate Debt Securities
        
        
          GEORGIA PAC CORP               SR GLBL 144A 24
          L2EVHWFHVAQK72TMH265
          
            2024-05-15
          
          0.625000
          1980000.00
          1985938.35
          Corporate Debt Securities
        
        
          GLAXOSMITHKLINE CAP PLC        SR GLBL NT 23
          549300U0LV41VX7LEP38
          
            2023-10-01
          
          0.534000
          7121000.00
          7149377.18
          Corporate Debt Securities
        
        
          KENTUCKY UTILS CO              1M GLBL BD3.3%50
          AGX0G2MXE54NFNNICD28
          
            2050-06-01
          
          3.300000
          3053796.00
          3455522.86
          Corporate Debt Securities
        
        
          MACQUARIE BANK                 SR FL 144A NT 21
          4ZHCHI4KYZG2WVRT8631
          
            2021-08-06
          
          0.682250
          24675598.00
          24757578.39
          Corporate Debt Securities
        
        
          MACQUARIE BANK                 VR 120219-112421
          4ZHCHI4KYZG2WVRT8631
          
            2021-11-24
          
          0.654880
          8500000.00
          8530201.10
          Corporate Debt Securities
        
        
          MARS INC DEL                   SR GLBL 144A 25
          54930073HKEO6GZBSS03
          
            2025-04-01
          
          2.700000
          992000.00
          1079901.12
          Corporate Debt Securities
        
        
          CHUBB INA HLDGS INC            SR GLBL NT 26
          CZCBJZWDMLTHWJDXU843
          
            2026-05-03
          
          3.350000
          1215000.00
          1375255.12
          Corporate Debt Securities
        
        
          ALABAMA PWR CO                 SR GLBL 2019A 49
          0RL818ELFOHP5JHOFU19
          
            2049-10-01
          
          3.450000
          5174000.00
          6100741.01
          Corporate Debt Securities
        
        
          MARS INC DEL                   4.2%59
          54930073HKEO6GZBSS03
          
            2059-04-01
          
          4.200000
          5407712.00
          7109843.43
          Corporate Debt Securities
        
        
          NATIONAL RURAL UTILS COOP FIN  SR SEC GLBL BD28
          4NYF266XZC35SCTGX023
          
            2028-02-07
          
          3.400000
          803000.00
          930701.09
          Corporate Debt Securities
        
        
          PNC BK N A PITTSBURGH PA       FR 2.55%120921
          AD6GFRVSDT01YPT1CS68
          
            2021-12-09
          
          2.550000
          2640000.00
          2695620.40
          Corporate Debt Securities
        
        
          SIMON PPTY GROUP LP            SR GLBL NT 27
          MR92GTD0MJTTTTQDVG45
          
            2027-06-15
          
          3.375000
          2777000.00
          3085969.02
          Corporate Debt Securities
        
        
          US BANCORP                     FR 3%073029
          N1GZ7BBF3NP8GI976H15
          
            2029-07-30
          
          3.000000
          6179000.00
          6970838.85
          Corporate Debt Securities
        
        
          AMERICAN HONDA FIN CORP MTN    FR 2.05%011023
          B6Q2VFHD1797Q7NZ3E43
          
            2023-01-10
          
          2.050000
          559000.00
          583488.39
          Corporate Debt Securities
        
        
          AMERICAN HONDA FIN CORP MTN    FR 0.65%090823
          B6Q2VFHD1797Q7NZ3E43
          
            2023-09-08
          
          0.650000
          1228000.00
          1238246.64
          Corporate Debt Securities
        
        
          TRUIST FINL CORP               FR 2.625%011522
          JJKC32MCHWDI71265Z06
          
            2022-01-15
          
          2.625000
          1400000.00
          1448655.83
          Corporate Debt Securities
        
        
          BP CAP MKTS AMER INC           GLBL NT 3.633%30
          5493009NTB34VXE1T760
          
            2030-04-06
          
          3.633000
          2983000.00
          3502990.35
          Corporate Debt Securities
        
        
          BURLINGTON NORTHN SANTA FE CP  SR GLBL DEB 47
          
            2047-06-15
          
          4.125000
          1950000.00
          2567649.50
          Corporate Debt Securities
        
        
          BURLINGTON NORTHN SANTA FE CP  SR GLBL DEB 51
          
            2051-02-15
          
          3.050000
          1950000.00
          2234977.33
          Corporate Debt Securities
        
        
          CATERPILLAR FINL SVCS MTNS BE  FR 3.75%112423
          EDBQKYOPJUCJKLOJDE72
          
            2023-11-24
          
          3.750000
          3099000.00
          3411609.04
          Corporate Debt Securities
        
        
          CATERPILLAR FINL SVCS MTNS BE  FR 3.3%060924
          EDBQKYOPJUCJKLOJDE72
          
            2024-06-09
          
          3.300000
          5964000.00
          6533780.68
          Corporate Debt Securities
        
        
          DEERE JOHN CAPITAL CORP        FR 3.4%091125
          E0KSF7PFQ210NWI8Z391
          
            2025-09-11
          
          3.400000
          3000000.00
          3408686.67
          Corporate Debt Securities
        
        
          EMPOWER FINANCE 2020 LP        SR GLBL 144A 27
          
            2027-09-17
          
          1.357000
          699000.00
          706381.60
          Corporate Debt Securities
        
        
          EVERGY KANS CENT INC           1M GLBL BD 50
          J75GNWGEO73W89ZV3S44
          
            2050-04-15
          
          3.450000
          344340.00
          408081.93
          Corporate Debt Securities
        
        
          FIFTH THIRD BK CINCINNATI STN  FR 2.25%061421
          QFROUN1UWUYU0DVIWD51
          
            2021-06-14
          
          2.250000
          3000000.00
          3024127.50
          Corporate Debt Securities
        
        
          GLAXOSMITHKLINE CAP INC        SR GLBL NT 25
          5493007Q8VD7Q3ZYZS59
          
            2025-05-15
          
          3.625000
          6000000.00
          6762131.67
          Corporate Debt Securities
        
        
          GLAXOSMITHKLINE CAP PLC        SR GLBL NT 3%24
          549300U0LV41VX7LEP38
          
            2024-06-01
          
          3.000000
          5127000.00
          5535929.52
          Corporate Debt Securities
        
        
          LEGG MASON INC                 SR GLBL NT 44
          OWUNCC6U1ZJXMZKFBJ36
          
            2044-01-15
          
          5.625000
          1175000.00
          1711631.31
          Corporate Debt Securities
        
        
          SIEMENS FIN NV                 SR 144A NT 2%23
          TAFO772JB70PDRN5VS48
          
            2023-09-15
          
          2.000000
          550000.00
          575906.83
          Corporate Debt Securities
        
        
          SIEMENS FIN NV                 SR GLBL 144A 24
          TAFO772JB70PDRN5VS48
          
            2024-03-16
          
          3.125000
          960000.00
          1045514.67
          Corporate Debt Securities
        
      
      Y
      2021-02-04
      2021-02-04
      2021-03-16
      Y
      
        BOFA SECURITIES INC
        1.0000
        35
        N
      
      N
      N
      0.0018
      144023664.96
      144023664.96
      0.0015
      N
      N
      N
      Y
    
    
      BOFA SECURITIES INC
      BOFA SECURITIES INC 0.100000%
      549300HN4UKV1E2R3U73
      0001675365
      ARP0OZFD6
      U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash
      Y
      
        N
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2027-08-15
          
          2.250000
          26624100.00
          29723744.28
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2024-01-31
          
          2.250000
          162385500.00
          174276278.85
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-07
      2021-01-07
      2021-01-19
      Y
      
        BOFA SECURITIES INC
        1.0000
        7
        N
      
      N
      N
      0.0010
      200000000.00
      200000000.00
      0.0021
      N
      N
      Y
      N
    
    
      GOLDMAN SACHS & CO LLC
      GOLDMAN SACHS & CO LLC 0.250000%
      FOR8UP27PHTHYVLBNG30
      0000769993
      ARP0P0X67
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          GNRM 2014-112 AD
          549300M8ZYFG0OCMTT87
          
            2040-02-16
          
          1.800000
          475000.00
          64410.47
          Agency Collateralized Mortgage Obligation
        
        
          GNRM 2014-039 PB
          549300M8ZYFG0OCMTT87
          
            2044-03-20
          
          3.500000
          8122.00
          9171.57
          Agency Collateralized Mortgage Obligation
        
        
          FREM MTG TR 2018-KF42          B      20241225 FLT
          
            2024-12-25
          
          2.353380
          2573960.00
          1295485.31
          Agency Collateralized Mortgage Obligation
        
        
          FNRM CL133VM R11F133
          
            2041-03-25
          
          4.000000
          500000.00
          519187.17
          Agency Collateralized Mortgage Obligation
        
        
          FHLMC REMIC SERIES K-076       A-2    20280425 3.9
          
            2028-04-25
          
          3.900000
          3088700.00
          3698532.93
          Agency Collateralized Mortgage Obligation
        
        
          Freddie Mac
          S6XOOCT0IEG5ABCC6L87
          
            2044-11-15
          
          1.000000
          151827.00
          123475.33
          Agency Collateralized Mortgage Obligation
        
        
          Freddie Mac
          S6XOOCT0IEG5ABCC6L87
          
            2044-09-15
          
          3.500000
          8546130.00
          2552525.51
          Agency Collateralized Mortgage Obligation
        
        
          FNAR XX.XXX HYAN6086
          B1V7KEBTPIMZEU4LTD58
          
            2037-08-01
          
          3.380000
          3355000.00
          3659847.41
          Agency Mortgage-Backed Securities
        
        
          FNAR XX.XXX HYAN8970
          B1V7KEBTPIMZEU4LTD58
          
            2028-04-01
          
          3.545000
          137000.00
          153288.50
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLAS8493
          B1V7KEBTPIMZEU4LTD58
          
            2046-12-01
          
          3.500000
          423867.00
          288107.32
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 R3BF0385
          B1V7KEBTPIMZEU4LTD58
          
            2048-10-01
          
          4.000000
          21854592.00
          18925959.30
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLZM3409
          
            2047-06-01
          
          4.000000
          5507608.00
          3407995.66
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLZM6175
          
            2048-04-01
          
          4.000000
          1900000.00
          883545.45
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 3PZN5134
          
            2049-04-01
          
          3.000000
          6444760.00
          3821126.25
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZA6641
          
            2049-04-01
          
          3.500000
          969876.00
          317228.28
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CTRB0195
          
            2040-05-01
          
          3.000000
          32489920.00
          32807507.83
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 3PRE6026
          
            2049-12-01
          
          2.500000
          24335712.00
          13824183.36
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CLBQ9529
          B1V7KEBTPIMZEU4LTD58
          
            2050-11-01
          
          2.000000
          15908544.00
          16722737.98
          Agency Mortgage-Backed Securities
        
        
          FNMS 01.500 CTMA4231
          B1V7KEBTPIMZEU4LTD58
          
            2040-12-01
          
          1.500000
          8781216.00
          8939954.04
          Agency Mortgage-Backed Securities
        
        
          FNAR XX.XXX HYAN2269
          B1V7KEBTPIMZEU4LTD58
          
            2046-08-01
          
          3.240000
          1510000.00
          1662839.18
          Agency Mortgage-Backed Securities
        
        
          FNAR XX.XXX HYAN2810
          B1V7KEBTPIMZEU4LTD58
          
            2036-09-01
          
          2.990000
          1580000.00
          1593638.78
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 RIAX0131
          B1V7KEBTPIMZEU4LTD58
          
            2029-09-01
          
          2.500000
          5873400.00
          1460197.61
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CRAY4682
          B1V7KEBTPIMZEU4LTD58
          
            2046-03-01
          
          3.500000
          1073504.00
          899719.07
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLAZ5559
          B1V7KEBTPIMZEU4LTD58
          
            2045-09-01
          
          4.000000
          3547120.00
          2179998.84
          Agency Mortgage-Backed Securities
        
        
          FNMS 07.500 CL643048
          B1V7KEBTPIMZEU4LTD58
          
            2032-05-01
          
          7.500000
          357101.00
          8965.53
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.500 CL751182
          B1V7KEBTPIMZEU4LTD58
          
            2034-03-01
          
          5.500000
          150000.00
          13117.70
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CL830897
          B1V7KEBTPIMZEU4LTD58
          
            2035-07-01
          
          5.000000
          343021.00
          12255.90
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CL833222
          B1V7KEBTPIMZEU4LTD58
          
            2035-10-01
          
          5.000000
          1260832.00
          40523.52
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLBC2842
          B1V7KEBTPIMZEU4LTD58
          
            2046-09-01
          
          3.500000
          1105000.00
          704800.24
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 3VZN0533
          
            2042-06-01
          
          4.000000
          7375000.00
          2222117.35
          Agency Mortgage-Backed Securities
        
        
          FEPC 06.000 CTZA2093
          
            2028-09-01
          
          6.000000
          1084452.00
          15185.21
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLZS4705
          
            2047-02-01
          
          4.000000
          98741.00
          40296.13
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CIZS7118
          
            2029-01-01
          
          4.000000
          301946.00
          47497.24
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.500 CTZS8909
          
            2029-02-01
          
          5.500000
          18000000.00
          487197.03
          Agency Mortgage-Backed Securities
        
        
          FEPC 06.000 CTZS8843
          
            2027-09-01
          
          6.000000
          901502.00
          25287.33
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLZT1848
          
            2048-06-01
          
          4.000000
          1274000.00
          873906.33
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CLSD0232
          
            2050-01-01
          
          3.000000
          1640000.00
          1440913.70
          Agency Mortgage-Backed Securities
        
        
          03.500 FGPC Q11221 G
          
            2042-09-01
          
          3.500000
          151282688.00
          42246199.59
          Agency Mortgage-Backed Securities
        
        
          04.500 FGPC Q48945 G
          
            2047-06-01
          
          4.500000
          14285000.00
          9566054.11
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLQA0071
          
            2049-06-01
          
          3.500000
          1740694.00
          1429432.40
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLQA5401
          
            2049-11-01
          
          4.000000
          1574906.00
          1456086.15
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CLRA3506
          
            2050-09-01
          
          3.000000
          89423840.00
          92938651.01
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLBM3528
          B1V7KEBTPIMZEU4LTD58
          
            2047-02-01
          
          3.500000
          443891.00
          323275.34
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLBM5521
          B1V7KEBTPIMZEU4LTD58
          
            2048-07-01
          
          3.500000
          4100000.00
          2189557.48
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLBN4888
          B1V7KEBTPIMZEU4LTD58
          
            2049-04-01
          
          4.000000
          6126150.00
          4308907.30
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLBP2338
          B1V7KEBTPIMZEU4LTD58
          
            2050-02-01
          
          3.000000
          1355984.00
          1433082.54
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CIBP7187
          B1V7KEBTPIMZEU4LTD58
          
            2035-06-01
          
          3.500000
          1072718.00
          1084029.81
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CICA7470
          B1V7KEBTPIMZEU4LTD58
          
            2035-10-01
          
          2.000000
          23953440.00
          24973480.17
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLFM1780
          B1V7KEBTPIMZEU4LTD58
          
            2046-07-01
          
          4.000000
          42727232.00
          34738925.86
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CIFM1811
          B1V7KEBTPIMZEU4LTD58
          
            2034-08-01
          
          4.000000
          3587696.00
          2975175.28
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CIAB3977
          B1V7KEBTPIMZEU4LTD58
          
            2026-12-01
          
          4.000000
          500000.00
          40088.64
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLMA2854
          B1V7KEBTPIMZEU4LTD58
          
            2046-12-01
          
          2.500000
          28342752.00
          19587890.77
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CKMA3713
          B1V7KEBTPIMZEU4LTD58
          
            2049-06-01
          
          4.500000
          511426.00
          208403.39
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLAW4182
          B1V7KEBTPIMZEU4LTD58
          
            2044-02-01
          
          3.500000
          13696208.00
          3548993.05
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CNMA1535
          B1V7KEBTPIMZEU4LTD58
          
            2023-08-01
          
          2.000000
          700000.00
          76325.52
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLAL9214
          B1V7KEBTPIMZEU4LTD58
          
            2046-09-01
          
          3.000000
          279832.00
          196226.92
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLBH2724
          B1V7KEBTPIMZEU4LTD58
          
            2047-05-01
          
          4.500000
          1690246.00
          256709.56
          Agency Mortgage-Backed Securities
        
      
      Y
      2021-02-04
      2021-02-04
      2021-04-06
      Y
      
        GOLDMAN SACHS & CO LLC
        1.0000
        35
        N
      
      N
      N
      0.0025
      362000000.00
      362000000.00
      0.0038
      N
      N
      N
      Y
    
    
      GOLDMAN SACHS & CO LLC
      GOLDMAN SACHS & CO LLC 0.100000%
      FOR8UP27PHTHYVLBNG30
      0000769993
      ARP0P14H3
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          FNMS 04.500 CLBJ6316
          B1V7KEBTPIMZEU4LTD58
          
            2048-02-01
          
          4.500000
          62000.00
          56322.37
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLBJ7572
          B1V7KEBTPIMZEU4LTD58
          
            2044-01-01
          
          3.500000
          2058944.00
          1572507.41
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CTBK5596
          B1V7KEBTPIMZEU4LTD58
          
            2040-09-01
          
          2.000000
          3068712.00
          3005774.44
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BV4445
          549300M8ZYFG0OCMTT87
          
            2045-02-15
          
          2.540000
          140695.00
          148686.27
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BV4454
          549300M8ZYFG0OCMTT87
          
            2055-09-15
          
          2.150000
          300000.00
          310330.07
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BV7745
          549300M8ZYFG0OCMTT87
          
            2060-07-15
          
          2.660000
          150000.00
          159650.93
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BV8207
          549300M8ZYFG0OCMTT87
          
            2055-07-15
          
          2.140000
          300000.00
          309246.95
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BW5657
          549300M8ZYFG0OCMTT87
          
            2050-07-15
          
          2.400000
          300000.00
          315646.58
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BW6774
          549300M8ZYFG0OCMTT87
          
            2053-06-15
          
          2.960000
          300000.00
          327162.35
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BW6775
          549300M8ZYFG0OCMTT87
          
            2050-01-15
          
          2.500000
          300000.00
          318589.92
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BW6759
          549300M8ZYFG0OCMTT87
          
            2055-08-15
          
          2.310000
          300000.00
          313878.67
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY1848 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          4004520.00
          4310602.82
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BY4287
          549300M8ZYFG0OCMTT87
          
            2060-12-15
          
          2.280000
          9772600.00
          10180566.96
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BY7842
          549300M8ZYFG0OCMTT87
          
            2056-01-15
          
          1.980000
          29360000.00
          30081345.84
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY8280
          549300M8ZYFG0OCMTT87
          
            2057-06-15
          
          2.500000
          500000.00
          531924.27
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY8325
          549300M8ZYFG0OCMTT87
          
            2055-06-15
          
          2.500000
          1814812.00
          1939706.15
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BY8340
          549300M8ZYFG0OCMTT87
          
            2055-12-15
          
          2.650000
          5454400.00
          5872617.94
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BF6217
          549300M8ZYFG0OCMTT87
          
            2055-04-15
          
          2.450000
          150000.00
          163098.11
          Agency Mortgage-Backed Securities
        
        
          GNII SF BF7597 C
          549300M8ZYFG0OCMTT87
          
            2048-07-20
          
          4.000000
          10675200.00
          1481557.54
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BO6082
          549300M8ZYFG0OCMTT87
          
            2060-07-15
          
          2.730000
          200000.00
          213812.91
          Agency Mortgage-Backed Securities
        
        
          GNII SF BQ3508 C
          549300M8ZYFG0OCMTT87
          
            2049-10-20
          
          4.500000
          1313354.00
          1338693.06
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BQ7844
          549300M8ZYFG0OCMTT87
          
            2046-02-15
          
          2.900000
          50000.00
          53364.02
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BR3541
          549300M8ZYFG0OCMTT87
          
            2055-02-15
          
          2.700000
          50000.00
          54670.06
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BR5997
          549300M8ZYFG0OCMTT87
          
            2056-09-15
          
          3.650000
          200000.00
          226379.39
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BS2417
          549300M8ZYFG0OCMTT87
          
            2055-01-15
          
          3.390000
          400000.00
          426281.01
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BS8821
          549300M8ZYFG0OCMTT87
          
            2050-05-15
          
          2.640000
          200000.00
          213032.71
          Agency Mortgage-Backed Securities
        
        
          FEPC 06.000 CLZJ3788
          
            2029-07-01
          
          6.000000
          3000000.00
          15551.30
          Agency Mortgage-Backed Securities
        
        
          FEPC 06.000 CLZJ5398
          
            2031-10-01
          
          6.000000
          3602372.00
          60194.47
          Agency Mortgage-Backed Securities
        
        
          FEPC 07.000 CLZA0542
          
            2028-07-01
          
          7.000000
          11801880.00
          19240.34
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.500 CTZA2078
          
            2028-07-01
          
          5.500000
          3522568.00
          57629.71
          Agency Mortgage-Backed Securities
        
        
          FEPC 06.000 CTZS9090
          
            2028-06-01
          
          6.000000
          24223.00
          8537.25
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 CISB8503
          
            2035-08-01
          
          2.000000
          80500000.00
          80583750.84
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLSD0251
          
            2049-06-01
          
          4.000000
          12630528.00
          8048179.32
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BU9704
          549300M8ZYFG0OCMTT87
          
            2055-06-15
          
          2.600000
          150000.00
          159712.85
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BU9696
          549300M8ZYFG0OCMTT87
          
            2055-05-15
          
          2.700000
          150000.00
          160403.74
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BV0946
          549300M8ZYFG0OCMTT87
          
            2045-09-15
          
          2.700000
          150000.00
          160284.51
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BZ1247
          549300M8ZYFG0OCMTT87
          
            2055-12-15
          
          2.600000
          16000000.00
          17181258.67
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ6869 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          2314104.00
          2524028.72
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ8638 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          1733980.00
          1869825.42
          Agency Mortgage-Backed Securities
        
        
          GNPL PN CA3329
          549300M8ZYFG0OCMTT87
          
            2056-01-15
          
          2.170000
          13133200.00
          13660804.42
          Agency Mortgage-Backed Securities
        
        
          GNPL PN AT8529
          549300M8ZYFG0OCMTT87
          
            2055-06-15
          
          2.470000
          149000.00
          157439.67
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BT4750
          549300M8ZYFG0OCMTT87
          
            2055-05-15
          
          2.650000
          200000.00
          213243.31
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BT4754
          549300M8ZYFG0OCMTT87
          
            2055-04-15
          
          2.510000
          200000.00
          218036.80
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BT4741
          549300M8ZYFG0OCMTT87
          
            2055-04-15
          
          2.730000
          200000.00
          219657.94
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BU0199
          549300M8ZYFG0OCMTT87
          
            2055-08-15
          
          2.300000
          200000.00
          209101.07
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CL725249
          B1V7KEBTPIMZEU4LTD58
          
            2034-03-01
          
          5.000000
          5834100.00
          133379.14
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 CIQN3761
          
            2035-10-01
          
          2.000000
          4277928.00
          4422303.18
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 CIQN3844
          
            2035-10-01
          
          2.000000
          2916208.00
          3058354.67
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CTRB0229
          
            2040-07-01
          
          3.000000
          15419100.00
          15751809.87
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CTAI0678
          B1V7KEBTPIMZEU4LTD58
          
            2031-04-01
          
          4.500000
          2915208.00
          356383.88
          Agency Mortgage-Backed Securities
        
        
          GNII SF 003499 M
          549300M8ZYFG0OCMTT87
          
            2034-01-20
          
          5.000000
          3317320.00
          99575.34
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLCA8287
          B1V7KEBTPIMZEU4LTD58
          
            2050-12-01
          
          3.000000
          190581504.00
          211409203.66
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CTCA8315
          B1V7KEBTPIMZEU4LTD58
          
            2040-12-01
          
          3.000000
          2434488.00
          2615355.85
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLFM1384
          B1V7KEBTPIMZEU4LTD58
          
            2049-08-01
          
          3.500000
          39860800.00
          32439100.77
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLCA4430
          B1V7KEBTPIMZEU4LTD58
          
            2049-10-01
          
          3.500000
          22850000.00
          17984182.59
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CLQA8934
          
            2050-04-01
          
          2.500000
          250000.00
          252016.25
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BU1382
          549300M8ZYFG0OCMTT87
          
            2055-08-15
          
          2.050000
          300000.00
          307421.56
          Agency Mortgage-Backed Securities
        
        
          GNII SF BU3041 C
          549300M8ZYFG0OCMTT87
          
            2050-05-20
          
          3.000000
          1076068.00
          1130497.06
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BU5218
          549300M8ZYFG0OCMTT87
          
            2044-02-15
          
          2.700000
          200000.00
          212989.95
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLMA2929
          B1V7KEBTPIMZEU4LTD58
          
            2047-03-01
          
          3.500000
          5100000.00
          2300022.54
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLMA2938
          B1V7KEBTPIMZEU4LTD58
          
            2047-03-01
          
          4.500000
          17000.00
          5536.22
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CQMA3162
          B1V7KEBTPIMZEU4LTD58
          
            2047-10-01
          
          4.000000
          785664.00
          634365.22
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CRMA3163
          B1V7KEBTPIMZEU4LTD58
          
            2047-09-01
          
          3.500000
          218227.00
          202581.18
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLMA3240
          B1V7KEBTPIMZEU4LTD58
          
            2048-01-01
          
          4.500000
          16564.00
          7217.06
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CNMA3408
          B1V7KEBTPIMZEU4LTD58
          
            2028-07-01
          
          3.500000
          88115.00
          42502.65
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CTMA3413
          B1V7KEBTPIMZEU4LTD58
          
            2038-07-01
          
          4.000000
          250000.00
          112729.87
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLMA3907
          B1V7KEBTPIMZEU4LTD58
          
            2050-01-01
          
          4.000000
          7548640.00
          5029170.37
          Agency Mortgage-Backed Securities
        
        
          FNMS 06.000 CLAD0440
          B1V7KEBTPIMZEU4LTD58
          
            2039-10-01
          
          6.000000
          381909.00
          18485.66
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004855 M
          549300M8ZYFG0OCMTT87
          
            2040-11-20
          
          5.000000
          665121.00
          69531.55
          Agency Mortgage-Backed Securities
        
        
          GNII SF 005259 M
          549300M8ZYFG0OCMTT87
          
            2041-12-20
          
          4.000000
          8360176.00
          1130666.55
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 723460 X
          549300M8ZYFG0OCMTT87
          
            2024-12-15
          
          4.000000
          10000000.00
          633853.51
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 748487 X
          549300M8ZYFG0OCMTT87
          
            2040-08-15
          
          4.500000
          4000000.00
          384423.91
          Agency Mortgage-Backed Securities
        
        
          GNII SP 784446 C
          549300M8ZYFG0OCMTT87
          
            2048-02-20
          
          3.000000
          44927808.00
          18749998.59
          Agency Mortgage-Backed Securities
        
        
          GNII SP 784526 C
          549300M8ZYFG0OCMTT87
          
            2048-03-20
          
          4.000000
          2140000.00
          1397435.58
          Agency Mortgage-Backed Securities
        
        
          GNII SP 784780 C
          549300M8ZYFG0OCMTT87
          
            2049-03-20
          
          5.000000
          370000.00
          211365.60
          Agency Mortgage-Backed Securities
        
        
          GNII BD 627128 C
          549300M8ZYFG0OCMTT87
          
            2034-01-20
          
          4.500000
          9869920.00
          847471.65
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 R3BF0007
          B1V7KEBTPIMZEU4LTD58
          
            2040-07-01
          
          5.000000
          1342000.00
          530136.43
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 U4BF0200
          B1V7KEBTPIMZEU4LTD58
          
            2051-11-01
          
          3.500000
          37861.00
          26668.28
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLBH2030
          B1V7KEBTPIMZEU4LTD58
          
            2047-04-01
          
          3.500000
          3016332.00
          1527470.46
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLBH6168
          B1V7KEBTPIMZEU4LTD58
          
            2047-06-01
          
          4.000000
          16208.00
          7861.99
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLBJ7762
          B1V7KEBTPIMZEU4LTD58
          
            2049-04-01
          
          4.500000
          1582916.00
          1240623.03
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CTBK2986
          B1V7KEBTPIMZEU4LTD58
          
            2040-08-01
          
          2.500000
          4366312.00
          4530718.55
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLBM1959
          B1V7KEBTPIMZEU4LTD58
          
            2047-10-01
          
          3.500000
          7148.00
          5191.43
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CRBM3474
          B1V7KEBTPIMZEU4LTD58
          
            2048-01-01
          
          3.500000
          4763368.00
          4160875.59
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CLBN4365
          B1V7KEBTPIMZEU4LTD58
          
            2049-02-01
          
          5.000000
          342000.00
          232696.52
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLBN7753
          B1V7KEBTPIMZEU4LTD58
          
            2049-09-01
          
          3.000000
          790000.00
          738079.81
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLBO4028
          B1V7KEBTPIMZEU4LTD58
          
            2049-11-01
          
          3.000000
          149981.00
          132216.94
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CIBP6493
          B1V7KEBTPIMZEU4LTD58
          
            2035-07-01
          
          3.000000
          2984716.00
          3163433.29
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLBP8926
          B1V7KEBTPIMZEU4LTD58
          
            2050-07-01
          
          3.000000
          3836272.00
          4002992.31
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLBP8410
          B1V7KEBTPIMZEU4LTD58
          
            2050-08-01
          
          2.500000
          5389296.00
          5751221.10
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLBQ7189
          B1V7KEBTPIMZEU4LTD58
          
            2050-10-01
          
          2.500000
          4168656.00
          4421718.22
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLCA0623
          B1V7KEBTPIMZEU4LTD58
          
            2047-10-01
          
          4.500000
          1500000.00
          676953.67
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLCA2688
          B1V7KEBTPIMZEU4LTD58
          
            2048-04-01
          
          3.000000
          27000.00
          20339.99
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CLCA1916
          B1V7KEBTPIMZEU4LTD58
          
            2048-06-01
          
          5.000000
          1564000.00
          1227944.67
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BV4446
          549300M8ZYFG0OCMTT87
          
            2055-07-15
          
          2.080000
          150000.00
          153883.46
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BV4452
          549300M8ZYFG0OCMTT87
          
            2055-07-15
          
          2.350000
          150000.00
          157224.67
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BV8285
          549300M8ZYFG0OCMTT87
          
            2055-07-15
          
          2.390000
          150000.00
          157733.52
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BX1549
          549300M8ZYFG0OCMTT87
          
            2055-12-15
          
          2.000000
          19600000.00
          20108868.27
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.500 CLAC9531
          B1V7KEBTPIMZEU4LTD58
          
            2040-01-01
          
          5.500000
          3875776.00
          1308776.39
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CTMA0634
          B1V7KEBTPIMZEU4LTD58
          
            2031-01-01
          
          4.500000
          3184000.00
          422072.27
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CIMA0624
          B1V7KEBTPIMZEU4LTD58
          
            2026-01-01
          
          4.000000
          1100000.00
          70782.34
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CVMA1557
          B1V7KEBTPIMZEU4LTD58
          
            2028-07-01
          
          3.000000
          2906108.00
          770044.41
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CIMA2662
          B1V7KEBTPIMZEU4LTD58
          
            2031-05-01
          
          2.000000
          17670000.00
          8005885.68
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLMA3496
          B1V7KEBTPIMZEU4LTD58
          
            2048-10-01
          
          4.500000
          1141288.00
          457612.89
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.500 CLMA3599
          B1V7KEBTPIMZEU4LTD58
          
            2049-02-01
          
          5.500000
          121786.00
          52723.75
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5529 M
          549300M8ZYFG0OCMTT87
          
            2048-10-20
          
          4.500000
          204844800.00
          76994270.32
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5764 M
          549300M8ZYFG0OCMTT87
          
            2049-02-20
          
          4.500000
          1814854.00
          654517.52
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6656 M
          549300M8ZYFG0OCMTT87
          
            2050-05-20
          
          3.000000
          10344720.00
          10433414.90
          Agency Mortgage-Backed Securities
        
        
          GNII SF BA7567 C
          549300M8ZYFG0OCMTT87
          
            2048-05-20
          
          4.500000
          400000.00
          244996.80
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BF8999
          549300M8ZYFG0OCMTT87
          
            2054-03-15
          
          4.100000
          200000.00
          221953.47
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BQ7842
          549300M8ZYFG0OCMTT87
          
            2046-02-15
          
          2.900000
          50000.00
          53364.02
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BS2420
          549300M8ZYFG0OCMTT87
          
            2055-02-15
          
          2.600000
          50000.00
          52987.42
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 CLZI8724
          
            2039-04-01
          
          5.000000
          1400000.00
          125878.89
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CTZJ9417
          
            2032-01-01
          
          4.000000
          450000.00
          146855.19
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.500 CLZL7346
          
            2043-11-01
          
          4.500000
          1217024.00
          251881.83
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLZM5146
          
            2047-12-01
          
          4.000000
          100000.00
          51291.66
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 3UZM9880
          
            2026-04-01
          
          5.000000
          1226944.00
          28551.70
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 3VZN0890
          
            2047-09-01
          
          3.500000
          1784154.00
          1275687.16
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 3SZN0140
          
            2043-07-01
          
          2.500000
          1521512.00
          1016534.58
          Agency Mortgage-Backed Securities
        
        
          GNII BD 627129 C
          549300M8ZYFG0OCMTT87
          
            2034-01-20
          
          5.000000
          17713952.00
          502261.87
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CLAD7133
          B1V7KEBTPIMZEU4LTD58
          
            2040-07-01
          
          5.000000
          4928000.00
          783975.51
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.500 CLAE0115
          B1V7KEBTPIMZEU4LTD58
          
            2035-12-01
          
          5.500000
          257000.00
          17038.55
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA0023 M
          549300M8ZYFG0OCMTT87
          
            2042-04-20
          
          4.000000
          7710000.00
          1094423.38
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA1156 M
          549300M8ZYFG0OCMTT87
          
            2043-07-20
          
          3.000000
          32037840.00
          10103323.95
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CIZN4396
          
            2034-04-01
          
          4.000000
          1324044.00
          1184053.06
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 CLZN6564
          
            2049-05-01
          
          5.000000
          2053752.00
          1640541.38
          Agency Mortgage-Backed Securities
        
        
          FEPC 06.000 CTZA1958
          
            2026-10-01
          
          6.000000
          1000000.00
          21272.16
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.500 CTZA2056
          
            2028-03-01
          
          5.500000
          2250000.00
          34343.90
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.500 CTZA2068
          
            2028-03-01
          
          5.500000
          2456960.00
          92633.92
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLZA4619
          
            2045-12-01
          
          4.000000
          343226.00
          139414.20
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZA5051
          
            2047-09-01
          
          3.500000
          8135000.00
          4154302.84
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.500 CTZA6153
          
            2039-01-01
          
          4.500000
          271840.00
          144122.01
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLZS4611
          
            2045-04-01
          
          4.000000
          10530000.00
          2617804.00
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.500 CLZS4773
          
            2048-06-01
          
          4.500000
          4206368.00
          1557430.86
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZS9524
          
            2044-01-01
          
          3.500000
          1329000.00
          687347.92
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CIZT1800
          
            2034-03-01
          
          4.000000
          273577.00
          121176.52
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.500 CLZT0962
          
            2041-09-01
          
          5.500000
          93000.00
          69688.97
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 3VZT1198
          
            2045-03-01
          
          3.500000
          1025000.00
          643355.33
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CIZT2021
          
            2034-05-01
          
          3.500000
          3360516.00
          1495077.13
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CTSC0019
          
            2039-08-01
          
          4.000000
          2225556.00
          1817781.10
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLSD8076
          
            2050-07-01
          
          4.000000
          265562.00
          227205.38
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CLSD7509
          
            2049-11-01
          
          3.000000
          6913000.00
          6241336.48
          Agency Mortgage-Backed Securities
        
        
          03.500 FGPC U80353 G
          
            2033-05-01
          
          3.500000
          553541.00
          205144.74
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CL695403
          B1V7KEBTPIMZEU4LTD58
          
            2033-06-01
          
          5.000000
          690000.00
          60662.18
          Agency Mortgage-Backed Securities
        
        
          04.000 FGPC Q33608 G
          
            2045-05-01
          
          4.000000
          17585760.00
          7231472.52
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA2225 M
          549300M8ZYFG0OCMTT87
          
            2044-09-20
          
          4.500000
          926210.00
          164341.42
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA3303 M
          549300M8ZYFG0OCMTT87
          
            2045-12-20
          
          4.000000
          2400464.00
          321999.40
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5077 M
          549300M8ZYFG0OCMTT87
          
            2048-03-20
          
          3.500000
          7110730.00
          3442245.49
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BV0935
          549300M8ZYFG0OCMTT87
          
            2045-08-15
          
          2.700000
          300000.00
          320547.71
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AE7714 X
          549300M8ZYFG0OCMTT87
          
            2043-08-15
          
          3.000000
          151229.00
          41036.40
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AE8309 X
          549300M8ZYFG0OCMTT87
          
            2044-04-15
          
          4.000000
          27032000.00
          8568607.68
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AF2785 X
          549300M8ZYFG0OCMTT87
          
            2043-09-15
          
          3.000000
          50249.00
          18546.56
          Agency Mortgage-Backed Securities
        
        
          GNII SF AF5097 C
          549300M8ZYFG0OCMTT87
          
            2043-08-20
          
          4.000000
          15185000.00
          4476190.87
          Agency Mortgage-Backed Securities
        
        
          GNII SF AF5098 C
          549300M8ZYFG0OCMTT87
          
            2043-08-20
          
          4.000000
          750000.00
          247032.76
          Agency Mortgage-Backed Securities
        
        
          GNII SF AJ3643 C
          549300M8ZYFG0OCMTT87
          
            2044-10-20
          
          4.000000
          1000000.00
          479400.38
          Agency Mortgage-Backed Securities
        
        
          GNII SF AM5335 C
          549300M8ZYFG0OCMTT87
          
            2045-04-20
          
          3.500000
          2810000.00
          1454698.00
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AM8960 X
          549300M8ZYFG0OCMTT87
          
            2045-07-15
          
          4.000000
          32721152.00
          4963340.63
          Agency Mortgage-Backed Securities
        
        
          GNII SF AS8109 C
          549300M8ZYFG0OCMTT87
          
            2046-08-20
          
          3.500000
          1834510.00
          1635352.26
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BT0968
          549300M8ZYFG0OCMTT87
          
            2060-05-15
          
          2.720000
          200000.00
          213305.48
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CLAV8738
          B1V7KEBTPIMZEU4LTD58
          
            2044-02-01
          
          5.000000
          1208912.00
          286874.10
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLAW3581
          B1V7KEBTPIMZEU4LTD58
          
            2044-06-01
          
          4.000000
          47000000.00
          10834735.75
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CRAW5459
          B1V7KEBTPIMZEU4LTD58
          
            2034-08-01
          
          4.000000
          1012026.00
          578056.71
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLAZ4788
          B1V7KEBTPIMZEU4LTD58
          
            2045-10-01
          
          4.000000
          2000000.00
          580446.77
          Agency Mortgage-Backed Securities
        
        
          FNMS 07.500 CL648009
          B1V7KEBTPIMZEU4LTD58
          
            2032-07-01
          
          7.500000
          11607472.00
          22193.77
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.500 CL712044
          B1V7KEBTPIMZEU4LTD58
          
            2033-07-01
          
          5.500000
          16674944.00
          793812.59
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.500 CL795111
          B1V7KEBTPIMZEU4LTD58
          
            2034-10-01
          
          5.500000
          1271498.00
          22794.84
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CL832483
          B1V7KEBTPIMZEU4LTD58
          
            2035-09-01
          
          5.000000
          648639.00
          18113.78
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLBC1486
          B1V7KEBTPIMZEU4LTD58
          
            2046-08-01
          
          3.000000
          1274266.00
          821323.90
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLBC9506
          B1V7KEBTPIMZEU4LTD58
          
            2046-09-01
          
          2.500000
          23886.00
          16519.53
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLBD1236
          B1V7KEBTPIMZEU4LTD58
          
            2046-06-01
          
          4.000000
          2455884.00
          672181.58
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CKBD8965
          B1V7KEBTPIMZEU4LTD58
          
            2036-11-01
          
          3.000000
          500000.00
          236131.30
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CLRA1461
          
            2049-10-01
          
          3.000000
          239000.00
          190716.94
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.500 CT257239
          B1V7KEBTPIMZEU4LTD58
          
            2028-06-01
          
          5.500000
          716699.00
          17747.19
          Agency Mortgage-Backed Securities
        
        
          FNMS 06.000 CL605927
          B1V7KEBTPIMZEU4LTD58
          
            2031-09-01
          
          6.000000
          2000000.00
          7400.58
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLAI8465
          B1V7KEBTPIMZEU4LTD58
          
            2041-08-01
          
          4.500000
          35488128.00
          7821089.88
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CTAK1255
          B1V7KEBTPIMZEU4LTD58
          
            2032-05-01
          
          3.500000
          11100000.00
          2907959.19
          Agency Mortgage-Backed Securities
        
        
          FNMS 06.500 CLAL1798
          B1V7KEBTPIMZEU4LTD58
          
            2039-10-01
          
          6.500000
          236214.00
          19018.67
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CRAP2471
          B1V7KEBTPIMZEU4LTD58
          
            2042-08-01
          
          3.500000
          3400000.00
          1325289.78
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CIAS7638
          B1V7KEBTPIMZEU4LTD58
          
            2031-07-01
          
          2.500000
          89000.00
          39936.46
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLAS9761
          B1V7KEBTPIMZEU4LTD58
          
            2047-06-01
          
          4.500000
          28620672.00
          19414808.63
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLAT0666
          B1V7KEBTPIMZEU4LTD58
          
            2043-04-01
          
          3.500000
          525000.00
          231548.65
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CRAT7120
          B1V7KEBTPIMZEU4LTD58
          
            2033-06-01
          
          3.500000
          1517350.00
          494633.34
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CIAV5444
          B1V7KEBTPIMZEU4LTD58
          
            2029-01-01
          
          4.000000
          54000.00
          15048.16
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004380 M
          549300M8ZYFG0OCMTT87
          
            2024-01-20
          
          6.000000
          466105.00
          9816.02
          Agency Mortgage-Backed Securities
        
        
          GNII SF 003795 M
          549300M8ZYFG0OCMTT87
          
            2035-12-20
          
          5.000000
          1160000.00
          52328.81
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004771 M
          549300M8ZYFG0OCMTT87
          
            2040-08-20
          
          4.500000
          2680190.00
          261508.31
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLCA6773
          B1V7KEBTPIMZEU4LTD58
          
            2050-08-01
          
          4.500000
          3966680.00
          4253103.85
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CICA6850
          B1V7KEBTPIMZEU4LTD58
          
            2035-08-01
          
          3.000000
          10386064.00
          10343489.63
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CICA6887
          B1V7KEBTPIMZEU4LTD58
          
            2035-07-01
          
          4.000000
          1037296.00
          1120995.14
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLFM1001
          B1V7KEBTPIMZEU4LTD58
          
            2048-11-01
          
          3.500000
          984796.00
          522312.54
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CIFM1824
          B1V7KEBTPIMZEU4LTD58
          
            2026-08-01
          
          5.000000
          8681536.00
          3423364.07
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLFM3346
          B1V7KEBTPIMZEU4LTD58
          
            2046-01-01
          
          3.500000
          40960000.00
          30698142.95
          Agency Mortgage-Backed Securities
        
        
          FNMS 06.000 CL889579
          B1V7KEBTPIMZEU4LTD58
          
            2038-05-01
          
          6.000000
          530999.00
          8740.21
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CV890615
          B1V7KEBTPIMZEU4LTD58
          
            2029-06-01
          
          4.000000
          96000.00
          28014.37
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLAB6608
          B1V7KEBTPIMZEU4LTD58
          
            2042-10-01
          
          3.500000
          16115232.00
          4466005.62
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CICA4727
          B1V7KEBTPIMZEU4LTD58
          
            2034-11-01
          
          4.000000
          2760290.00
          1994304.65
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLCA5557
          B1V7KEBTPIMZEU4LTD58
          
            2045-04-01
          
          3.500000
          9315520.00
          7650587.55
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CICA7172
          B1V7KEBTPIMZEU4LTD58
          
            2035-09-01
          
          3.500000
          8615920.00
          9188017.24
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLCA6423
          B1V7KEBTPIMZEU4LTD58
          
            2050-07-01
          
          3.000000
          128711680.00
          131280671.17
          Agency Mortgage-Backed Securities
        
        
          03.500 FGPC Q43083 G
          
            2046-09-01
          
          3.500000
          42000000.00
          32847503.53
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLQA6345
          
            2050-01-01
          
          4.000000
          1200000.00
          908658.83
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CLQB0717
          
            2050-06-01
          
          2.500000
          5705088.00
          6006105.58
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CLQB5096
          
            2050-11-01
          
          2.500000
          4582352.00
          4975454.56
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CIQN2610
          
            2035-07-01
          
          3.000000
          1100110.00
          1154410.64
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CIQN3504
          
            2035-09-01
          
          2.500000
          1049902.00
          1095143.58
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 CIQN3041
          
            2035-08-01
          
          2.000000
          10326624.00
          10509280.47
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CIQN3145
          
            2035-08-01
          
          2.500000
          1933300.00
          2009631.49
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 CIQN3717
          
            2035-10-01
          
          2.000000
          2815948.00
          2923372.91
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BU2510
          549300M8ZYFG0OCMTT87
          
            2055-05-15
          
          2.540000
          200000.00
          211965.01
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CIMA3017
          B1V7KEBTPIMZEU4LTD58
          
            2032-04-01
          
          4.000000
          125000.00
          40905.86
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZN3264
          
            2049-02-01
          
          3.500000
          2555332.00
          1036752.48
          Agency Mortgage-Backed Securities
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0010
      1032000000.00
      1032000000.00
      0.0110
      N
      Y
      Y
      N
    
    
      CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
      CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA 0.180000%
      1VUV7VQFKUOQSJ21A208
      0001330437
      ARP0P14J9
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          APPLE INC                      SR GLBL NT2.2%29
          HWUPKR0MPOU8FGXBT394
          
            2029-09-11
          
          2.200000
          90.00
          97.66
          Corporate Debt Securities
        
        
          APPLE INC                      SR GLBL NT 30
          HWUPKR0MPOU8FGXBT394
          
            2030-05-11
          
          1.650000
          5045000.00
          5197619.66
          Corporate Debt Securities
        
        
          BK OF AMERICA CORP             FR 4%040124
          9DJT3UXIJIZJI4WXO774
          
            2024-04-01
          
          4.000000
          4698000.00
          5263686.18
          Corporate Debt Securities
        
        
          BANK NOVA SCOTIA B C           SR GLBL COCO 26
          L3I9ZG2KFGXZ61BMYR72
          
            2026-08-03
          
          2.700000
          14000000.00
          15583960.00
          Corporate Debt Securities
        
        
          BANK NOVA SCOTIA B C           ALT TIER I PERP
          L3I9ZG2KFGXZ61BMYR72
          
            2099-12-31
          
          4.900000
          539.00
          585.54
          Corporate Debt Securities
        
        
          BROOKFIELD FIN INC             SR NT 3.9%28
          
            2028-01-25
          
          3.900000
          20000.00
          23264.60
          Corporate Debt Securities
        
        
          CVS HEALTH CORP                SR GLBL NT3.7%23
          549300EJG376EN5NQE29
          
            2023-03-09
          
          3.700000
          4000.00
          4328.40
          Corporate Debt Securities
        
        
          CITIGROUP INC                  SR GLBL FL NT 22
          6SHGI4ZSSLCXXQSBB395
          
            2022-04-25
          
          1.174750
          871000.00
          880671.33
          Corporate Debt Securities
        
        
          GOLDMAN SACHS GROUP INC        SR GLBL NT 3%22
          784F5XWPLTWKTBV3E584
          
            2022-04-26
          
          3.000000
          5145000.00
          5214954.85
          Corporate Debt Securities
        
        
          AMAZON COM INC                 SR GLBL NT 37
          ZXTILKJKG63JELOEG630
          
            2037-08-22
          
          3.875000
          6000.00
          7549.53
          Corporate Debt Securities
        
        
          AMERICAN EXPRESS CO            SR GLBL NT2.5%22
          R4PP93JZOLY261QX3811
          
            2022-08-01
          
          2.500000
          2000.00
          2082.33
          Corporate Debt Securities
        
        
          APPLE INC                      SR GLBL NT 43
          HWUPKR0MPOU8FGXBT394
          
            2043-05-04
          
          3.850000
          4800000.00
          6074332.00
          Corporate Debt Securities
        
        
          HSBC HLDGS PLC                 SR GLBL NT4.3%26
          MLU0ZO3ML4LN2LL2TL39
          
            2026-03-08
          
          4.300000
          4494000.00
          5237160.30
          Corporate Debt Securities
        
        
          INTERNATIONAL BUSINESS MACHS   SR GLBL NT 3%24
          VGRQXHF3J8VDLUA7XE92
          
            2024-05-15
          
          3.000000
          7.00
          7.61
          Corporate Debt Securities
        
        
          KEURIG DR PEPPER INC           SR GLBL NT 28
          DYTQ8KRTKO7Y2BVU5K74
          
            2028-05-25
          
          4.597000
          2000.00
          2441.05
          Corporate Debt Securities
        
        
          WALMART INC                    SR GLBL NT 49
          Y87794H0US1R65VBXU25
          
            2049-09-24
          
          2.950000
          4725000.00
          5463794.44
          Corporate Debt Securities
        
        
          DAIWA SECS GROUP INC           SR GLBL REGS 22
          353800WRC7Y23PWFJG38
          
            2022-04-19
          
          3.129000
          2938100.00
          3050661.79
          Corporate Debt Securities
        
        
          MORGAN STANLEY                 FR 3.875%012726
          IGJSJL3JD5P30I6NJZ34
          
            2026-01-27
          
          3.875000
          4504000.00
          5231379.74
          Corporate Debt Securities
        
        
          PG&amp;E CORP                      SR SEC GLBL NT3
          8YQ2GSDWYZXO2EDN3511
          
            2030-07-01
          
          5.250000
          4172470.00
          4699244.34
          Corporate Debt Securities
        
        
          PNC FINL SVCS GROUP INC        SR NT 3.15%27
          CFGNEKW0P8842LEUIA51
          
            2027-05-19
          
          3.150000
          16993.00
          19045.16
          Corporate Debt Securities
        
        
          PHILIP MORRIS INTL INC         SR GLBL NT 25
          HL3H1H2BGXWVG3BSWR90
          
            2025-08-11
          
          3.375000
          13000000.00
          14623765.00
          Corporate Debt Securities
        
        
          PITNEY BOWES INC               CR SEN SR NT 23
          549300N2O26NW4ST6W55
          
            2023-04-01
          
          5.950000
          19331000.00
          20005168.62
          Corporate Debt Securities
        
        
          ASIAN INFRASTRUCTURE INVT BK   SR GLBL NT0.5%25
          25490065OSV2524LCR32
          
            2025-05-28
          
          0.500000
          15000000.00
          15015275.00
          Corporate Debt Securities
        
        
          BANCO NACIONAL DE PANAMA       SR GLBL 144A 30
          529900H2Q7WMDKKIW109
          
            2030-08-11
          
          2.500000
          20.00
          20.19
          Corporate Debt Securities
        
        
          BRISTOL-MYERS SQUIBB CO        SR GLBL NT 30
          HLYYNH7UQUORYSJQCN42
          
            2030-11-13
          
          1.450000
          4931000.00
          4955326.27
          Corporate Debt Securities
        
        
          EQUINOR ASA                    3.625%28
          OW6OFBNCKXC4US5C7523
          
            2028-09-10
          
          3.625000
          8139312.00
          9523948.02
          Corporate Debt Securities
        
        
          FEDEX CORP                     SR GLBL NT3.8%25
          549300E707U7WNPZN687
          
            2025-05-15
          
          3.800000
          2.00
          2.27
          Corporate Debt Securities
        
        
          MARSH &amp; MCLENNAN COS INC       SR GLBL NT4.9%4
          549300XMP3KDCKJXIU47
          
            2049-03-15
          
          4.900000
          30.00
          43.77
          Corporate Debt Securities
        
        
          WALMART INC                    SR GLBL NT3.3%24
          Y87794H0US1R65VBXU25
          
            2024-04-22
          
          3.300000
          1536000.00
          1681267.20
          Corporate Debt Securities
        
        
          MITSUI FUDOSAN CO LTD          SR REGS NT 27
          353800ND4ZKNZDYKMF33
          
            2027-07-20
          
          3.650000
          1013161.00
          1147001.82
          Corporate Debt Securities
        
        
          MITSUBISHI UFJ FINANCIAL GROUP 3.761%23
          353800V2V8PUY9TK3E06
          
            2023-07-26
          
          3.761000
          23.00
          25.28
          Corporate Debt Securities
        
        
          NOVARTIS CAPITAL CORP          SR NT 2.4%22
          5493002KF87V5RSRQS84
          
            2022-09-21
          
          2.400000
          2000.00
          2087.05
          Corporate Debt Securities
        
        
          PROVINCE OF QUEBEC             SR GLBL QW NT 24
          549300WN65YFEQH74Y36
          
            2024-04-09
          
          2.500000
          14558064.00
          15654933.24
          Corporate Debt Securities
        
        
          TAKEDA PHARMACEUTICAL CO LTD   GLBL NT 4%21
          549300ZLMVP4X0OGR454
          
            2021-11-26
          
          4.000000
          1000.00
          1033.37
          Corporate Debt Securities
        
        
          3M CO                          SR GLBL NT 29
          LUZQVYP4VS22CLWDAR65
          
            2029-08-26
          
          2.375000
          21155.00
          23036.24
          Corporate Debt Securities
        
        
          APPLE INC                      SR GLBL NT 26
          HWUPKR0MPOU8FGXBT394
          
            2026-09-11
          
          2.050000
          4706000.00
          5055627.04
          Corporate Debt Securities
        
        
          CVS HEALTH CORP                SR GLBL NT 30
          549300EJG376EN5NQE29
          
            2030-08-21
          
          1.750000
          2000000.00
          2023978.89
          Corporate Debt Securities
        
        
          PRAXAIR INC                    SR NT 2.45%22
          ZU69GUVJQGZ6Z1UOOO79
          
            2022-02-15
          
          2.450000
          813000.00
          835305.11
          Corporate Debt Securities
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-07-15
          
          0.625000
          67200.00
          78888.64
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2026-07-15
          
          0.125000
          965800.00
          1151024.80
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2029-04-15
          
          3.875000
          222600.00
          509390.37
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2027-07-15
          
          0.375000
          88500.00
          105858.12
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0017
      145000140.65
      145000140.65
      0.0015
      N
      Y
      Y
      N
    
    
      RBC DOMINION SECURITIES INC
      RBC DOMINION SECURITIES INC 0.100000%
      549300QJJX6CVVUXLE15
      0001317808
      ARP0P15G4
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          GNII SF MA6818 M
          549300M8ZYFG0OCMTT87
          
            2050-08-20
          
          2.000000
          1774.00
          1830.75
          Agency Mortgage-Backed Securities
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2024-12-31
          
          2.250000
          100.00
          107.89
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2028-11-15
          
          3.125000
          57767000.00
          68560417.03
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2026-06-30
          
          1.875000
          147800.00
          159381.61
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2027-02-15
          
          2.250000
          28715000.00
          31964834.48
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2029-08-15
          
          1.625000
          10000.00
          10746.93
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2027-08-31
          
          0.500000
          1310700.00
          1303583.01
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-06-03
          
          0.00
          1100.00
          1099.53
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0010
      100000000.00
      100000000.00
      0.0011
      N
      Y
      Y
      N
    
    
      BNP PARIBAS SA
      BNP PARIBAS SA 0.200000%
      R0MUWSFPU8MPRO8K5P83
      0000872786
      ARP0P1FA6
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          FHLMC STACR 2020-DNA5          B-2    20501025 FLT
          
            2050-10-25
          
          11.581700
          3499841.00
          4239903.87
          Agency Collateralized Mortgage Obligation
        
        
          FHLMC REMIC 2020-HQA4          B-1    20500926 FLT
          
            2050-09-26
          
          5.398000
          8264196.00
          8568647.60
          Agency Collateralized Mortgage Obligation
        
        
          FREDDIE MAC STACR REMIC TR    2020-HQA4
          
            2050-09-26
          
          9.548000
          10249999.00
          11578005.95
          Agency Collateralized Mortgage Obligation
        
        
          FHLMC REMIC 2020-HQA5          B-2    20501125 FLT
          
            2050-11-25
          
          7.481670
          877281.00
          949693.94
          Agency Collateralized Mortgage Obligation
        
        
          FLAGSHIP CR AUTO TR 2016-3     E      20231016 6.2
          
            2023-10-16
          
          6.250000
          850000.00
          870393.01
          Asset-Backed Securities
        
        
          SLM PRIVATE ST LN TR 2004-B    B      20330915 FLT
          549300HIOV1ESFZYQ040
          
            2033-09-15
          
          0.686500
          16612000.00
          397168.50
          Asset-Backed Securities
        
        
          CROWN PT CLO III LTD CROWN PT CLO III LLC
          549300WLF3VYVWNLRP29
          
            2027-12-31
          
          1.686880
          2000000.00
          2000276.10
          Asset-Backed Securities
        
        
          FIGUEROA CLO 2014-1R           D-R    20270115 FLT
          549300EUEEB937ZBYB92
          
            2027-01-15
          
          3.486880
          1500000.00
          1503207.07
          Asset-Backed Securities
        
        
          FIGUEROA CLO 2014-1R           D-R    20270115 FLT
          549300EUEEB937ZBYB92
          
            2027-01-15
          
          3.486880
          2470000.00
          2475280.98
          Asset-Backed Securities
        
        
          VENTURE XIII CLO LTD 2013-13R  D-R    20290910 FLT
          549300ZVVNSDW7WU0O73
          
            2029-09-10
          
          3.530000
          89281.00
          88352.67
          Asset-Backed Securities
        
        
          BNPP IP CLO LTD 2014-1R        B-R    20260424 FLT
          5493001WGDHLS11DEV69
          
            2026-04-24
          
          2.714380
          3600000.00
          3616518.84
          Asset-Backed Securities
        
        
          BRE GRAND ISLAND TMSHR 2017-A  A      20290525 2.9
          
            2029-05-25
          
          2.940000
          210000.00
          71962.93
          Asset-Backed Securities
        
        
          TRALEE CLO III LTD 2014-3R     C-RR   20271020 FLT
          5493005N95XEN3CRVT47
          
            2027-10-20
          
          2.118380
          4000000.00
          3911107.04
          Asset-Backed Securities
        
        
          UNITED AIRLINES PT CERT 2016-1 A      20300107 3.4
          
            2030-01-07
          
          3.450000
          2848000.00
          2405888.59
          Asset-Backed Securities
        
        
          GLS AUTO REC TR 2019-2         C      20250218 3.5
          
            2025-02-18
          
          3.540000
          1040000.00
          1087970.35
          Asset-Backed Securities
        
        
          GARRISON MML CLO 2019-1 LP     B      20310721 FLT
          549300YZ1LJ5OFVUJS63
          
            2031-07-21
          
          4.068380
          5000000.00
          5008233.80
          Asset-Backed Securities
        
        
          GLOBAL CONTAINER ASSETS 2014   A-2    20300205 FLT
          
            2030-02-05
          
          3.450000
          250000.00
          90210.83
          Asset-Backed Securities
        
        
          FORD CR AUTO OWN TR 2019-B     A-3    20231015 2.2
          
            2023-10-15
          
          2.230000
          5000000.00
          5082970.56
          Asset-Backed Securities
        
        
          FORD CR AUTO OWN TR 2019-REV1  A      20300715 3.5
          
            2030-07-15
          
          3.520000
          7751661.00
          8465553.66
          Asset-Backed Securities
        
        
          FORD CREDIT AUT OWN TR 2020-B  A-3    20241015 0.5
          
            2024-10-15
          
          0.560000
          5065000.00
          5088359.22
          Asset-Backed Securities
        
        
          GOLUB CAP PARTNERS CLO 21 M-R LTD / GOLUB CAP PART
          549300DIFLPXIUN5O888
          
            2031-01-25
          
          1.684750
          3000000.00
          2979656.12
          Asset-Backed Securities
        
        
          GOLUB CAP PART CLO 2020-47     C-1    20320505 FLT
          
            2032-05-05
          
          0.00
          1500000.00
          1498380.00
          Asset-Backed Securities
        
        
          HALCYON LN ADV FDG 2014-1R     C-R    20260418 FLT
          5493009LWXSWX1V1ZE70
          
            2026-04-18
          
          2.917750
          2800000.00
          2799878.34
          Asset-Backed Securities
        
        
          FIRST INVESTORS AUTO TR 2017-1 D      20230417 3.6
          
            2023-04-17
          
          3.600000
          42000.00
          42617.48
          Asset-Backed Securities
        
        
          FLAGSHIP CLO VIII 2014-8RR     B-RR   20260116 FLT
          
            2026-01-16
          
          1.630130
          1150000.00
          1156775.09
          Asset-Backed Securities
        
        
          FLAGSHIP CR AUTO TR 2018-1     D      20240415 3.8
          
            2024-04-15
          
          3.860000
          100000.00
          104668.26
          Asset-Backed Securities
        
        
          FLAGSHIP CR AUTO TR 2019-2     C      20250515 3.0
          
            2025-05-15
          
          3.090000
          1000000.00
          1040425.33
          Asset-Backed Securities
        
        
          FOCUS BRANDS FDG LLC 2017-1    A-2-II 20470430 5.0
          
            2047-04-30
          
          5.093000
          10480000.00
          9777222.64
          Asset-Backed Securities
        
        
          FORD CR AUTO OWNER TR 2020-A   A-4    20250715 1.3
          
            2025-07-15
          
          1.350000
          330000.00
          339164.10
          Asset-Backed Securities
        
        
          ONEMEAIN FINL TR 2020-2        C      20350914 2.7
          
            2035-09-14
          
          2.760000
          750000.00
          769998.25
          Asset-Backed Securities
        
        
          PFS FINANCING CORP 2020-F      B      20240815 0.0
          
            2024-08-15
          
          1.420000
          100000.00
          100639.51
          Asset-Backed Securities
        
        
          SCOF-2 LTD
          549300BBEZQ877IZGG13
          
            2028-07-15
          
          2.125000
          2000000.00
          2006170.28
          Asset-Backed Securities
        
        
          SALEM FIELDS CLO LTD 2016      B      20281025 FLT
          
            2028-10-25
          
          2.964750
          3000000.00
          3009106.12
          Asset-Backed Securities
        
        
          SANTANDER RETAIL AUTO 2019-A   D      20240520 3.6
          
            2024-05-20
          
          3.660000
          4625000.00
          4763492.54
          Asset-Backed Securities
        
        
          SANTANDER DRIVE AUTO TR 2020-3 A-2-A  20230915 0.4
          
            2023-09-15
          
          0.460000
          18240000.00
          18254928.43
          Asset-Backed Securities
        
        
          SANTANDER DRIVE AUTO TR 2020-1 B      20241115 3.0
          
            2024-11-15
          
          3.030000
          50000.00
          51834.68
          Asset-Backed Securities
        
        
          SARANAC CLO III LTD / SARANAC CLO III LLC
          5493000LWP4BVD5LGS13
          
            2030-06-22
          
          1.835750
          305000.00
          301172.21
          Asset-Backed Securities
        
        
          SARANAC CLO VII LTD 2014-7R    A-1A-R 20291120 FLT
          5493000RC2FP2JRHW627
          
            2029-11-20
          
          1.453750
          850000.00
          832941.26
          Asset-Backed Securities
        
        
          SIERRA TIMESHARE FDG 2020-2    C      20370720 3.5
          
            2037-07-20
          
          3.510000
          3245826.00
          2827166.75
          Asset-Backed Securities
        
        
          TELOS CLO LTD 2013-3R          A-R    20260717 FLT
          25490083G97ZZN6SR263
          
            2026-07-17
          
          1.517750
          250000.00
          69458.62
          Asset-Backed Securities
        
        
          TOYOTA AUTO RECV TR 2020-D     A-2    20230515 0.2
          
            2023-05-15
          
          0.230000
          2000000.00
          2000296.44
          Asset-Backed Securities
        
        
          TOYOTA AUTO RECV TR 2020-D     A-3    20250115 0.3
          
            2025-01-15
          
          0.350000
          1340000.00
          1342679.40
          Asset-Backed Securities
        
        
          ALASKA AIRLINES EQ TR 2020-1B  A      20290215 4.8
          
            2029-02-15
          
          4.800000
          2000000.00
          2249647.33
          Asset-Backed Securities
        
        
          AMERICAN AIRLN PSTHRU 2019-1   AA     20330815 3.1
          
            2033-08-15
          
          3.150000
          2485614.00
          2377259.74
          Asset-Backed Securities
        
        
          AMERICAN AIRLN PSTHRU 2019-1   AA     20330815 3.1
          
            2033-08-15
          
          3.150000
          6208384.00
          5937744.68
          Asset-Backed Securities
        
        
          AMER CR ACCEPT RECV TR 2019-4  A      20230212 2.1
          
            2023-02-12
          
          2.180000
          690000.00
          126340.31
          Asset-Backed Securities
        
        
          ANCHORAGE CPA CLO 13 LTD       B      20320415 FLT
          
            2032-04-15
          
          2.236880
          999971.00
          1002835.35
          Asset-Backed Securities
        
        
          ZAIS CLO 2018-8                C      20290416 FLT
          549300XI7G6FVIEXZ367
          
            2029-04-16
          
          1.986880
          1650000.00
          1479736.24
          Asset-Backed Securities
        
        
          BLACK DIAMOND CLO 2014-1R      B-1-R  20261019 FLT
          
            2026-10-19
          
          2.667750
          4500000.00
          4513408.22
          Asset-Backed Securities
        
        
          CALIFORNIA SRT CLO LTD 2019-R2 D-2-R2 20320716 FLT
          
            2032-07-16
          
          4.330130
          824797.00
          776109.55
          Asset-Backed Securities
        
        
          COLUMBIA CENT CLO 27           A-2A   20281025 FLT
          
            2028-10-25
          
          1.814750
          250000.00
          249274.26
          Asset-Backed Securities
        
        
          CVP CLO 2017-2 LTD             B      20310121 FLT
          
            2031-01-21
          
          1.898380
          4175940.00
          4089517.92
          Asset-Backed Securities
        
        
          CVP CLO 2017-2 LTD             B      20310121 FLT
          
            2031-01-21
          
          1.898380
          1021188.00
          1000054.27
          Asset-Backed Securities
        
        
          CPS AUTO RECV TR 2016-B        D      20220315 6.5
          
            2022-03-15
          
          6.580000
          200000.00
          123330.81
          Asset-Backed Securities
        
        
          CNH EQUIPMENT TRUST 2019-C     B      20270415 2.3
          
            2027-04-15
          
          2.350000
          555000.00
          573415.70
          Asset-Backed Securities
        
        
          CIG AUTO RECV TR 2020-1        B      20250113 1.5
          
            2025-01-13
          
          1.550000
          2400000.00
          2410473.73
          Asset-Backed Securities
        
        
          CPS AUTO REC TR 2019-D         B      20231115 2.3
          
            2023-11-15
          
          2.350000
          107000.00
          108252.48
          Asset-Backed Securities
        
        
          CPS AUTO RECEIVABLES TR 2020-B C      20260415 3.3
          
            2026-04-15
          
          3.300000
          1250000.00
          1301125.83
          Asset-Backed Securities
        
        
          CAPITAL ONE CC TR 2019-3       A      20280815 2.0
          R42WS16M9R97TJJKGU15
          
            2028-08-15
          
          2.060000
          40000.00
          42784.42
          Asset-Backed Securities
        
        
          CARVANA AUTO REC TR 2020-NP1   B      20250315 2.0
          
            2025-03-15
          
          2.010000
          1800000.00
          1830024.60
          Asset-Backed Securities
        
        
          CHESAPEAKE FDG II LLC 2017-2   A-1    20290515 1.9
          5493000HT7H4OFOD6Z12
          
            2029-05-15
          
          1.990000
          825000.00
          28245.13
          Asset-Backed Securities
        
        
          EXETER AUTO REC TR 2020-2      D      20260515 4.7
          
            2026-05-15
          
          4.730000
          5750000.00
          6258381.78
          Asset-Backed Securities
        
        
          CPS AUTO REC TR 2019-B         B      20230417 3.0
          549300RMJRP95RN5CL91
          
            2023-04-17
          
          3.090000
          100000.00
          70476.40
          Asset-Backed Securities
        
        
          DT AUTO OWNER TRUST 2017-3     E      20240815 5.6
          
            2024-08-15
          
          5.600000
          105000.00
          108357.47
          Asset-Backed Securities
        
        
          DT AUTO OWNER TRUST 2017-3     E      20240815 5.6
          
            2024-08-15
          
          5.600000
          3500000.00
          3611915.61
          Asset-Backed Securities
        
        
          DT AUTO OWNER TRUST 2020-2     C      20260315 3.2
          
            2026-03-15
          
          3.280000
          3500000.00
          3684235.72
          Asset-Backed Securities
        
        
          APEX CREDIT CLO 2017-2 LTD     A      20290920 FLT
          
            2029-09-20
          
          1.508630
          500000.00
          497669.35
          Asset-Backed Securities
        
        
          ATLAS SR LN FD IV LTD 2017-8   A      20300116 FLT
          
            2030-01-16
          
          1.530130
          250000.00
          250190.07
          Asset-Backed Securities
        
        
          AVERY POINT CLO VII CLO LTD    C-R    20280118 FLT
          549300ZZJXJNKXU40667
          
            2028-01-18
          
          2.686880
          5250000.00
          5267361.42
          Asset-Backed Securities
        
        
          AVIS BUDGET RENTAL FDG 2018-2  A      20250320 4.0
          IHXLB8SL0QWSSG2VG640
          
            2025-03-20
          
          4.000000
          405000.00
          439285.36
          Asset-Backed Securities
        
        
          AVIS BUDGET RENTAL FD 2019-2   A      20250920 3.3
          IHXLB8SL0QWSSG2VG640
          
            2025-09-20
          
          3.350000
          720000.00
          769370.12
          Asset-Backed Securities
        
        
          VENTURE XXVI CLO 2017-26       A      20290122 FLT
          549300XGJ8CFTLD6FC04
          
            2029-01-22
          
          1.668380
          500000.00
          501068.38
          Asset-Backed Securities
        
        
          WEST CLO 2014-1R LTD           C-R    20260720 FLT
          2549008FQ6ZWGP8NJZ96
          
            2026-07-20
          
          3.217750
          4435000.00
          4451076.35
          Asset-Backed Securities
        
        
          DRIVE AUTO REC TR 2020-2       B      20250317 1.4
          
            2025-03-17
          
          1.420000
          1102377.00
          1117620.79
          Asset-Backed Securities
        
        
          EVERGREEN CREDIT CC TR 2019-2  A      20240916 1.9
          5493002G9KVV6J3CNU15
          
            2024-09-16
          
          1.900000
          10400000.00
          10691776.62
          Asset-Backed Securities
        
        
          WEST CLO LTD 2014-2R           C-R    20270119 FLT
          635400BJ6LOP8GMN7K23
          
            2027-01-19
          
          2.880130
          11650000.00
          11684720.20
          Asset-Backed Securities
        
        
          WESTLAKE AUTO REC TR 2020-2    C      20250715 2.0
          
            2025-07-15
          
          2.010000
          2500000.00
          2553275.83
          Asset-Backed Securities
        
        
          WHEELS SPV 2 LLC 2018-1        A-4    20270420 3.4
          
            2027-04-20
          
          3.410000
          1120000.00
          1147562.02
          Asset-Backed Securities
        
        
          WHITEHORSE IX LTD 2014-9       C      20260717 FLT
          5493006SRQWF2ZFME608
          
            2026-07-17
          
          2.917750
          500000.00
          501798.27
          Asset-Backed Securities
        
        
          WORLD OMNI AUTO TR 2017-B      A-3    20230215 1.9
          
            2023-02-15
          
          1.950000
          100000.00
          32420.97
          Asset-Backed Securities
        
        
          WORLD OMNI AUTO LEASE 2019-B   B      20250218 2.1
          
            2025-02-18
          
          2.130000
          203000.00
          207134.03
          Asset-Backed Securities
        
        
          WORLD OMNI SELECT AUTO 2020-A  D      20261015 1.7
          
            2026-10-15
          
          1.700000
          566630.00
          570526.46
          Asset-Backed Securities
        
        
          Z AP CR PARTNERS CLO 2015 LTD
          549300BNZ44C797ZPY53
          
            2027-07-16
          
          2.080130
          7422000.00
          7061004.20
          Asset-Backed Securities
        
        
          OHA CR PARTNERS XIII LTD / OHACR PARTNERS XIII LLC
          
            2030-01-21
          
          4.358630
          1999990.00
          2020117.90
          Asset-Backed Securities
        
        
          ONEMAIN FINL TR 2018-1         B      20290314 3.6
          549300I1P51W2UFIED29
          
            2029-03-14
          
          3.610000
          100000.00
          103026.67
          Asset-Backed Securities
        
        
          HARDEES FUNDING LLC 2020-1     A-2    20501220 3.9
          
            2050-12-20
          
          3.981000
          8000000.00
          8199886.67
          Asset-Backed Securities
        
        
          HERTZ VEH FIN II LP 2019-2     A      20250525 3.4
          549300FPK70TCB78NG05
          
            2025-05-25
          
          3.420000
          3672000.00
          841400.04
          Asset-Backed Securities
        
        
          HYUNDAI AUTO RECV TR 2020-B    A-3    20241216 0.4
          
            2024-12-16
          
          0.480000
          1840000.00
          1847907.09
          Asset-Backed Securities
        
        
          JOHN DEERE OWNER TR 2018       A-3    20220418 2.6
          
            2022-04-18
          
          2.660000
          277000.00
          34402.61
          Asset-Backed Securities
        
        
          MERC BENZ AUTO REC TR 2020-1   A-3    20250218 0.5
          
            2025-02-18
          
          0.550000
          1203000.00
          1209376.43
          Asset-Backed Securities
        
        
          MIDOCEAN CREDIT CLO I 2013-1RR B-RR   20240116 FLT
          549300GNCFJN86DVNR34
          
            2024-01-16
          
          2.036880
          1100000.00
          1098181.33
          Asset-Backed Securities
        
        
          MONROE CAP BSL CLO 2015 1 LTD MONROE CAP BSL CLO
          5493006OIQNDV6I29R71
          
            2027-05-22
          
          1.332630
          2820000.00
          1186095.57
          Asset-Backed Securities
        
        
          MOUNTAIN HAWK CLO III 2014-3   C      20250418 FLT
          549300LQ6MVS0NGUT623
          
            2025-04-18
          
          3.017750
          300000.00
          301145.80
          Asset-Backed Securities
        
        
          MOUNTAIN HAWK CLO II 2013-2R   C-R    20240722 FLT
          549300X4VFRMZJ7T1U89
          
            2024-07-22
          
          2.568380
          600000.00
          601630.06
          Asset-Backed Securities
        
        
          MOUNTAIN VIEW CLO 2019-14RR    D-R    20261015 FLT
          549300XBX1AOMDRAHZ12
          
            2026-10-15
          
          3.886880
          6710000.00
          6540797.99
          Asset-Backed Securities
        
        
          NASSAU 2019-1 LTD              AN-A   20310415 FLT
          
            2031-04-15
          
          1.746880
          3300000.00
          3311505.06
          Asset-Backed Securities
        
        
          VCO CLO LTD 2018-1             C      20300722 FLT
          
            2030-07-22
          
          3.198380
          4550000.00
          4506714.76
          Asset-Backed Securities
        
        
          UNITED AUTO CR SEC TR 2018-2   E      20230510 5.2
          5493002KTVO2UE820296
          
            2023-05-10
          
          5.260000
          5755000.00
          5842299.51
          Asset-Backed Securities
        
        
          UNITED AUTO CR SEC TR 2020-1   C      20250210 2.1
          
            2025-02-10
          
          2.150000
          10000000.00
          10157541.67
          Asset-Backed Securities
        
        
          GLS AUTO RECV TR 2018-2        C      20240415 4.1
          
            2024-04-15
          
          4.170000
          5630000.00
          5826590.22
          Asset-Backed Securities
        
        
          GOLUB CAPITAL BDC CLO 4 LLC    A-1    20321105 FLT
          2549008WDOOOZNVT8356
          
            2032-11-05
          
          2.553500
          11000000.00
          11123289.99
          Asset-Backed Securities
        
        
          FOURSIGHT CAP AUTO RECV 2018-1 D      20231115 4.1
          
            2023-11-15
          
          4.190000
          2835000.00
          2929176.49
          Asset-Backed Securities
        
        
          HALCYON LN ADV FDG 2014-3R     B-1-R  20251022 FLT
          549300NL4H585I318G08
          
            2025-10-22
          
          1.915750
          14470000.00
          14517100.85
          Asset-Backed Securities
        
        
          HALCYON LN ADV FDG 2014-3R     B-1-R  20251022 FLT
          549300NL4H585I318G08
          
            2025-10-22
          
          1.915750
          5000000.00
          5016275.35
          Asset-Backed Securities
        
        
          HALCYON LN ADV FDG 2014-3R     C-1-R  20251022 FLT
          549300NL4H585I318G08
          
            2025-10-22
          
          2.865750
          5250000.00
          5266339.53
          Asset-Backed Securities
        
        
          HARDEES FUND LLC 2018-1        A2-III 20480620 5.7
          
            2048-06-20
          
          5.710000
          10000000.00
          10650397.41
          Asset-Backed Securities
        
        
          FLAGSHIP CR AUTO TR 2017-2     C      20230717 2.9
          
            2023-07-17
          
          2.960000
          65000.00
          42197.06
          Asset-Backed Securities
        
        
          FLAGSHIP CR AUTO TR 2018-2     D      20240916 4.2
          549300A2KXZJ0K08VV65
          
            2024-09-16
          
          4.230000
          160000.00
          168704.96
          Asset-Backed Securities
        
        
          FLAGSHIP CREDIT AUTO TRUST     C      20251015 2.7
          
            2025-10-15
          
          2.740000
          100000.00
          103640.28
          Asset-Backed Securities
        
        
          FOCUS BRANDS FDG LLC / CARVEL FDG LLC / MCALISTERS
          
            2048-10-30
          
          5.184000
          20000000.00
          19088244.00
          Asset-Backed Securities
        
        
          ONEMAIN FINL TR 2019-1         B      20310214 3.7
          
            2031-02-14
          
          3.790000
          100000.00
          103002.77
          Asset-Backed Securities
        
        
          ONEMAIN DIRECT AUTO RCV 2019-1 A      20270914 3.6
          
            2027-09-14
          
          3.630000
          2400000.00
          2638910.80
          Asset-Backed Securities
        
        
          RBSSP RESEC TR 2010-1          2-A2   20450726 FLT
          
            2045-07-26
          
          3.043620
          17752364.00
          17097356.62
          Asset-Backed Securities
        
        
          REGIONAL MGT ISS TR 2020-1     C      20301015 3.8
          
            2030-10-15
          
          3.800000
          2500000.00
          2569047.22
          Asset-Backed Securities
        
        
          SLM PRIVATE ST LN TR 2006-A    A-5    20390615 FLT
          549300I2YWZ9E1B0EY33
          
            2039-06-15
          
          0.506500
          5730000.00
          3218184.70
          Asset-Backed Securities
        
        
          SLM PRIVATE ST LN TR 2006-B    C      20391215 FLT
          549300MJYMBTZU2FTV38
          
            2039-12-15
          
          0.616500
          36223000.00
          58290.34
          Asset-Backed Securities
        
        
          SANTANDER DRIVE AUTO 2019-1    C      20250415 3.4
          
            2025-04-15
          
          3.420000
          10000.00
          10191.48
          Asset-Backed Securities
        
        
          SANTANDER RETAIL AUTO 2020-A   C      20240320 2.0
          
            2024-03-20
          
          2.080000
          510000.00
          523428.07
          Asset-Backed Securities
        
        
          SARANAC CLO VII LTD 2014-7R    C-R    20291120 FLT
          5493000RC2FP2JRHW627
          
            2029-11-20
          
          2.473750
          11500000.00
          10965449.25
          Asset-Backed Securities
        
        
          SOFI PRFSSNAL LN PRGRM 2017-C  C      20400725 4.2
          
            2040-07-25
          
          4.210000
          1000000.00
          1024880.67
          Asset-Backed Securities
        
        
          TCW CLO 2019-2  LTD            D-1    20321020 FLT
          
            2032-10-20
          
          4.168380
          3324184.00
          3374491.40
          Asset-Backed Securities
        
        
          TCW CLO 2019-2  LTD            D-1    20321020 FLT
          
            2032-10-20
          
          4.168380
          2675808.00
          2716303.04
          Asset-Backed Securities
        
        
          TELOS CLO LTD 2014-5R          B-R    20280417 FLT
          5493001KXOX6VRHBB435
          
            2028-04-17
          
          1.697750
          3238021.00
          3154618.19
          Asset-Backed Securities
        
        
          TELOS CLO LTD 2014-5R          C-R    20280417 FLT
          5493001KXOX6VRHBB435
          
            2028-04-17
          
          2.367750
          2925000.00
          2805166.47
          Asset-Backed Securities
        
        
          ADAMS OUTDOOR LP 2018-1        A      20481115 4.8
          549300BTFXNHDCUHER30
          
            2048-11-15
          
          4.810000
          19000000.00
          19222539.98
          Asset-Backed Securities
        
        
          ALLY MSTER OWNER TR 2018-4     A      20230715 3.3
          
            2023-07-15
          
          3.300000
          7000000.00
          7099411.67
          Asset-Backed Securities
        
        
          AMERICAN CR ACCP REC TR 2020-3 C      20260615 0.0
          
            2026-06-15
          
          1.850000
          6350000.00
          6462191.80
          Asset-Backed Securities
        
        
          AMER CR ACCEPT RECV TR 2017-1  E      20240313 5.4
          
            2024-03-13
          
          5.440000
          1000000.00
          1004272.00
          Asset-Backed Securities
        
        
          AMER CR ACCEPT RECV TR 2017-4  E      20241210 5.0
          
            2024-12-10
          
          5.020000
          10000000.00
          10261863.33
          Asset-Backed Securities
        
        
          AMERICAN CR ACCEP RECEIVABLES TR 2018-3
          
            2024-10-15
          
          4.140000
          990000.00
          1015223.22
          Asset-Backed Securities
        
        
          AMERICREDIT AUTO RECV 2018-2   A-3    20230320 3.1
          
            2023-03-20
          
          3.150000
          9662000.00
          4534323.01
          Asset-Backed Securities
        
        
          ZAIS CLO 2018-8                B      20290416 FLT
          549300XI7G6FVIEXZ367
          
            2029-04-16
          
          1.686880
          2000000.00
          1924776.10
          Asset-Backed Securities
        
        
          ZAIS CLO 3 LTD 2015-3R         B-R    20310715 FLT
          549300SYHU0CNKIXQ691
          
            2031-07-15
          
          2.886880
          3000000.00
          2895759.44
          Asset-Backed Securities
        
        
          BLACK DIAMOND CLO 2016-1R      A-2A-R 20310428 FLT
          549300K8V8PYC7UZSI28
          
            2031-04-28
          
          1.964750
          500000.00
          501891.02
          Asset-Backed Securities
        
        
          BXMT 2020-FL2 LTD              A      20380217 FLT
          
            2038-02-18
          
          1.052500
          6521428.00
          6479490.69
          Asset-Backed Securities
        
        
          CFIP CLO LTD 2014-1R           C-R    20290713 FLT
          549300MKTOFNTIBVKV67
          
            2029-07-13
          
          2.924130
          4000000.00
          4015747.36
          Asset-Backed Securities
        
        
          CAPITAL ONE CC TR 2017-6       A      20250715 2.2
          R42WS16M9R97TJJKGU15
          
            2025-07-15
          
          2.290000
          3779000.00
          3915712.04
          Asset-Backed Securities
        
        
          CATHEDRAL LAKE CLO 2015-2R     C-R    20290716 FLT
          
            2029-07-16
          
          2.936880
          5000000.00
          5019008.30
          Asset-Backed Securities
        
        
          CATHEDRAL LAKE CLO 2015-3R     A-R    20290716 FLT
          
            2029-07-16
          
          1.556880
          500000.00
          501050.00
          Asset-Backed Securities
        
        
          CIT EDUCATION LN TR 2007-1     B      20420625 FLT
          
            2042-06-25
          
          0.551000
          20000000.00
          8130737.10
          Asset-Backed Securities
        
        
          EXETER AUTO RECV TR 2016-3     D      20230717 6.4
          
            2023-07-17
          
          6.400000
          3000000.00
          3070399.33
          Asset-Backed Securities
        
        
          EXETER AUTO RECV TR 2019-2     D      20250317 0.0
          
            2025-03-17
          
          3.710000
          14000000.00
          14646812.44
          Asset-Backed Securities
        
        
          CROWN POINT CLO 2019-8         C      20321020 FLT
          
            2032-10-20
          
          3.218380
          8399940.00
          8476184.24
          Asset-Backed Securities
        
        
          CROWN POINT CLO 2018-6         A-1    20281020 FLT
          
            2028-10-20
          
          1.388380
          370000.00
          360491.38
          Asset-Backed Securities
        
        
          DT AUTO OWNER TRUST 2017-4     E      20241115 5.1
          54930028PUXRRYF5WB25
          
            2024-11-15
          
          5.150000
          14525000.00
          14862748.21
          Asset-Backed Securities
        
        
          DT AUTO OWNER TR 2018-1        E      20250317 5.4
          
            2025-03-17
          
          5.420000
          9173788.00
          9442789.97
          Asset-Backed Securities
        
        
          DRIVE AUTO RECV TR 2017-B      E      20240715 5.3
          
            2024-07-15
          
          5.300000
          2674000.00
          2720224.25
          Asset-Backed Securities
        
        
          APEX CREDIT CLO 2015-2R LTD    C-R    20261019 FLT
          254900VJGL23NNLC3592
          
            2026-10-19
          
          2.117750
          6000000.00
          5893765.96
          Asset-Backed Securities
        
        
          AVIS BUD RENTAL FDG 2017-1     A      20230920 3.0
          IHXLB8SL0QWSSG2VG640
          
            2023-09-20
          
          3.070000
          310000.00
          320447.64
          Asset-Backed Securities
        
        
          AVIS BUDGT RENL FD LC 2020-2   A      20270220 2.0
          IHXLB8SL0QWSSG2VG640
          
            2027-02-20
          
          2.020000
          5000000.00
          5094616.11
          Asset-Backed Securities
        
        
          B &amp; M CLO LTD 2014-1R          C-R    20260416
          549300501PWQXBETQS11
          
            2026-04-16
          
          2.830130
          10500000.00
          10396204.55
          Asset-Backed Securities
        
        
          BMW FLOORPLN MSTR OWN 2018-1   A-1    20230515 3.1
          
            2023-05-15
          
          3.150000
          1450000.00
          1467372.45
          Asset-Backed Securities
        
        
          BELLEMEADE RE 2020-1 LTD
          
            2030-06-25
          
          3.548000
          5300000.00
          5356077.53
          Asset-Backed Securities
        
        
          BELLEMEADE RE LTD 2018-2       B-1    20280825 FLT
          2549002JVH34IWRT3X93
          
            2028-08-25
          
          2.798000
          10100000.00
          10137018.18
          Asset-Backed Securities
        
        
          BELLEMAEDE RE 2020-2 LTD       M-1B   20300826 FLT
          
            2030-08-26
          
          3.348000
          8814000.00
          8900200.92
          Asset-Backed Securities
        
        
          ELEVATION CLO 2017-6           A-2    20290716 FLT
          
            2029-07-16
          
          1.686880
          1000000.00
          992748.05
          Asset-Backed Securities
        
        
          WESTLAKE AUTO RECV TR 2018-3   E      20231215 4.9
          5493000EWZKZ6H2PNY04
          
            2023-12-15
          
          4.900000
          8880000.00
          9323376.43
          Asset-Backed Securities
        
        
          WESTLAKE AUTO RECV TR 2018-3   E      20231215 4.9
          5493000EWZKZ6H2PNY04
          
            2023-12-15
          
          4.900000
          250000.00
          262482.44
          Asset-Backed Securities
        
        
          WESTLAKE AUTORECV TR 2020-1    C      20250415 2.5
          
            2025-04-15
          
          2.520000
          4000000.00
          4113660.00
          Asset-Backed Securities
        
        
          WORLD OMNI AUTO TR 2018-C      A-3    20231115 3.1
          
            2023-11-15
          
          3.130000
          2490000.00
          1811258.86
          Asset-Backed Securities
        
        
          YORK CLO-6 LTD 2019-6          C      20320722 FLT
          254900V675MOVWK0HA08
          
            2032-07-22
          
          3.165750
          612146.00
          616722.17
          Asset-Backed Securities
        
        
          YORK CLO-6 LTD 2019-6          C      20320722 FLT
          254900V675MOVWK0HA08
          
            2032-07-22
          
          3.165750
          6109980.00
          6155655.92
          Asset-Backed Securities
        
        
          YORK CLO-6 LTD 2019-6          C      20320722 FLT
          254900V675MOVWK0HA08
          
            2032-07-22
          
          3.165750
          31.00
          31.23
          Asset-Backed Securities
        
        
          ZAIS CLO 5 LTD 2016-5          A-1    20281016 FLT
          5493001XJXUE8BZ0Q137
          
            2028-10-16
          
          1.766880
          280000.00
          274070.88
          Asset-Backed Securities
        
        
          Z CAPITAL CR PAR CLO 2019-1    A-2    20310716 FLT
          
            2031-07-16
          
          1.870130
          2000000.00
          2009216.10
          Asset-Backed Securities
        
        
          Z CAP CR PARTNERS CLO 2018-1  LTD
          
            2031-01-16
          
          1.790130
          10000000.00
          10026291.63
          Asset-Backed Securities
        
        
          ZAIS CLO 2018-8                A      20290416 FLT
          549300XI7G6FVIEXZ367
          
            2029-04-16
          
          1.186880
          43950000.00
          42196763.79
          Asset-Backed Securities
        
        
          HERTZ FIN II 2018-1            A      20240225 3.2
          549300FPK70TCB78NG05
          
            2024-02-25
          
          3.290000
          26089000.00
          5953465.87
          Asset-Backed Securities
        
        
          HERTZ VEHICLE FIN II LP 2019-1 A      20230325 3.7
          549300FPK70TCB78NG05
          
            2023-03-25
          
          3.710000
          29960000.00
          6865756.03
          Asset-Backed Securities
        
        
          JIMMY JOHNS FDG 2017-1         A-2-II 20470730 4.8
          
            2047-07-30
          
          4.846000
          27211000.00
          27345395.81
          Asset-Backed Securities
        
        
          MCF CLO VIII LTD
          
            2030-07-18
          
          2.617750
          5800000.00
          5824523.65
          Asset-Backed Securities
        
        
          MJX VENTURE MGMT II LLC        SR SB-B I 144A31
          549300UP09C89Q3HWD39
          
            2031-07-18
          
          1.867750
          3250000.00
          3198933.99
          Asset-Backed Securities
        
        
          MMAF EQUIP FIN LLC 2018-A      A-4    20250110 3.3
          
            2025-01-10
          
          3.390000
          500000.00
          519564.75
          Asset-Backed Securities
        
        
          MOUNTAIN VIEW CLO XV
          
            2033-01-15
          
          8.445000
          4000000.00
          3058750.19
          Asset-Backed Securities
        
        
          NELNET ED LN FDG 2005-2        B      20370322 FLT
          
            2037-03-22
          
          0.405750
          21000000.00
          6449406.42
          Asset-Backed Securities
        
        
          NELNET ED LN FDG 2005-3        B      20370922 FLT
          
            2037-09-22
          
          0.515750
          21500000.00
          8046250.44
          Asset-Backed Securities
        
        
          NEWSTAR EXETER FD CLO 2015-1R  D-R    20270120 FLT
          
            2027-01-20
          
          4.118380
          10750000.00
          10219452.67
          Asset-Backed Securities
        
        
          NEXTGEAR FLRPLN OWN TR 2018-2  B      20231016 4.0
          
            2023-10-16
          
          4.010000
          100000.00
          102760.02
          Asset-Backed Securities
        
        
          NORTHSTAR EDUCATION FIN 2006-A B      20351128 FLT
          25490059JOHYRUHEXW19
          
            2035-11-28
          
          0.774380
          40260000.00
          5763613.52
          Asset-Backed Securities
        
        
          OCEAN TRAILS CLO 2015-4R       D-R    20250813 FLT
          549300TXL5AHG4X9CX68
          
            2025-08-13
          
          3.220630
          300000.00
          300193.25
          Asset-Backed Securities
        
        
          FIRST EAGLE BSL CLO LTD 2019-1 B      20330120 FLT
          
            2033-01-20
          
          3.468380
          1460019.00
          1486212.85
          Asset-Backed Securities
        
        
          FIRST EAGLE BSL CLO LTD 2019-1 B      20330120 FLT
          
            2033-01-20
          
          3.468380
          523614.00
          533008.03
          Asset-Backed Securities
        
        
          FIRST EAGLE BSL CLO LTD 2019-1 B      20330120 FLT
          
            2033-01-20
          
          3.468380
          1484956.00
          1511597.24
          Asset-Backed Securities
        
        
          BK OF AMERICA CORP             FR 1.319%061926
          9DJT3UXIJIZJI4WXO774
          
            2026-06-19
          
          1.319000
          1106.00
          1129.62
          Corporate Debt Securities
        
        
          BANK OF MONTREAL               FR 2.5%062824
          NQQ6HPCNCCU6TUTQYE16
          
            2024-06-28
          
          2.500000
          4000.00
          4257.95
          Corporate Debt Securities
        
        
          FNMA CONN AVE SECS 2018-C01    1E-B1  20300725 FLT
          
            2030-07-25
          
          0.598000
          1994000.00
          1944404.90
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2020-DNA3          B-1    20500627 FLT
          
            2050-06-27
          
          5.248000
          8800000.00
          9110468.89
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2020-DNA3          B-2    20500627 FLT
          
            2050-06-27
          
          9.498000
          5700000.00
          6530237.30
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2020-DNA4          B-1    20500825 FLT
          
            2050-08-25
          
          6.148000
          9000000.00
          9497579.00
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2020-DNA4          B-2    20500825 FLT
          
            2050-08-25
          
          10.148000
          2750000.00
          3262448.14
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2017-C07    2B-1   20300528 FLT
          
            2030-05-28
          
          4.598000
          6973000.00
          7242730.75
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2018-C05    1M-2   20310127 FLT
          
            2031-01-27
          
          2.498000
          1000000.00
          787882.24
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2018-C05    1B-1   20310127 FLT
          
            2031-01-27
          
          4.398000
          11956000.00
          12193332.58
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2018-C01    1B-1   20300725 FLT
          
            2030-07-25
          
          3.698000
          2000000.00
          1995336.33
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2018-C01    1M-2   20300725 FLT
          
            2030-07-25
          
          2.398000
          10000000.00
          7254721.24
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2015-C01    1M-2   20250225 FLT
          
            2025-02-25
          
          4.448000
          13580000.00
          4467083.08
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2015-C01    2M-2   20250225 FLT
          
            2025-02-25
          
          4.698000
          9385000.00
          851969.58
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2015-C03    1M-2   20250725 FLT
          
            2025-07-25
          
          5.148000
          31132263.00
          12023129.71
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2015-C04    1M-2   20280425 FLT
          
            2028-04-25
          
          5.848000
          1051000.00
          512917.71
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2015-C04    2M-2   20280425 FLT
          
            2028-04-25
          
          5.698000
          668000.00
          255342.78
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2018-C02    2M-2   20300826 FLT
          
            2030-08-26
          
          2.348000
          5250000.00
          3396808.61
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2018-C02    2B-1   20300826 FLT
          
            2030-08-26
          
          4.148000
          7740000.00
          7742667.72
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2018-C02    2M-2C  20300826 FLT
          
            2030-08-26
          
          2.348000
          2785667.00
          2685635.56
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2016-C03    2M-2   20281025 FLT
          
            2028-10-25
          
          6.048000
          7598000.00
          3671656.15
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2016-C04    1M-2   20290125 FLT
          
            2029-01-25
          
          4.398000
          9452000.00
          6455019.08
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2016-C05    2M-2   20290125 FLT
          
            2029-01-25
          
          4.598000
          380000.00
          194939.91
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2016-C07    2M-2   20290525 FLT
          
            2029-05-25
          
          4.498000
          5000000.00
          2892730.45
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2017-C01    1M-2   20290725 FLT
          
            2029-07-25
          
          3.698000
          364000.00
          262213.35
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2017-C02    2M-2C  20290925 FLT
          
            2029-09-25
          
          3.798000
          8490294.00
          8511990.95
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2017-C02    2B-1   20290925 FLT
          
            2029-09-25
          
          5.648000
          10885700.00
          11515009.57
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2018-C03    1B-1   20301025 FLT
          
            2030-10-25
          
          3.898000
          10000000.00
          10085328.33
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2017-C03    1B-1   20291025 FLT
          
            2029-10-25
          
          4.998000
          878000.00
          913387.35
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2017-C03    1M-2   20291025 FLT
          
            2029-10-25
          
          3.148000
          1950000.00
          1789817.30
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2017-C04    2B-1   20291126 FLT
          
            2029-11-26
          
          5.198000
          536000.00
          555584.46
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2017-C05    1B-1   20300125 FLT
          
            2030-01-25
          
          3.748000
          455000.00
          455141.20
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2018-C04    2M-2   20301226 FLT
          
            2030-12-26
          
          2.698000
          7555000.00
          5532662.05
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2018-C04    2M-2   20301226 FLT
          
            2030-12-26
          
          2.698000
          627000.00
          459163.35
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2017-C06    2M-2C  20300225 FLT
          
            2030-02-25
          
          2.948000
          8641811.00
          8569355.18
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2017-C06    2B-1   20300225 FLT
          
            2030-02-25
          
          4.598000
          5090000.00
          5231574.11
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2019-DNA1          B-1    20490125 FLT
          5493007222WHFWMBOC78
          
            2049-01-25
          
          4.798000
          10000000.00
          10192108.33
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2019-HQA1          M-2    20490225 FLT
          54930047IR7X5WWFY307
          
            2049-02-25
          
          2.498000
          10919000.00
          7877797.63
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2019-HQA1          B-1    20490225 FLT
          54930047IR7X5WWFY307
          
            2049-02-25
          
          4.548000
          7000000.00
          7028672.00
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2019-HQA1          B-2    20490225 FLT
          54930047IR7X5WWFY307
          
            2049-02-25
          
          12.398000
          850000.00
          953945.79
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC SCRTT SERIES 2017-3      M-2    20560725 FLT
          
            2056-07-25
          
          4.750000
          3760000.00
          3772593.49
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC SCRTT SERIES 2018-2      M      20571126 4.7
          
            2057-11-26
          
          4.750000
          4240000.00
          4384415.81
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2018-DNA2          M-2    20301226 FLT
          549300L8K4CLYS7FCQ06
          
            2030-12-26
          
          2.298000
          5400000.00
          5340689.10
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2018-DNA2          B-1    20301226 FLT
          549300L8K4CLYS7FCQ06
          
            2030-12-26
          
          3.848000
          1268000.00
          1274730.12
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2018-DNA3          B-1    20480925 FLT
          549300BL200YC56BUV20
          
            2048-09-25
          
          4.048000
          7240000.00
          7318266.81
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2018-HQA2          M-2    20481026 FLT
          5493005RUXPCBST1N217
          
            2048-10-26
          
          2.448000
          7593170.00
          7463516.62
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2018-HQA2          B-2    20481026 FLT
          5493005RUXPCBST1N217
          
            2048-10-26
          
          11.148000
          9565000.00
          10745655.78
          Private Label Collateralized Mortgage Obligations
        
        
          FREDDIE MAC SEASONED LNS   STRUCTURED TRANSACTI
          
            2060-09-27
          
          4.750000
          10000000.00
          9776853.33
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2018-HRP1          B-1    20430525 FLT
          549300D2VO9JVX6KU482
          
            2043-05-25
          
          3.898000
          500000.00
          492494.42
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2018-SPI1          B      20480225 FLT
          
            2048-02-25
          
          3.722720
          6500000.00
          5281687.21
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2018-C06    2M-2   20310325 FLT
          
            2031-03-25
          
          2.248000
          3475000.00
          2363682.11
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2014-C01    M-2    20240125 FLT
          
            2024-01-25
          
          4.548000
          16598890.00
          11646183.20
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2019-R03    1B-1   20310925 FLT
          
            2031-09-25
          
          4.248000
          4027000.00
          4041034.10
          Private Label Collateralized Mortgage Obligations
        
        
          CONN AVE SECS 2019-R07         1B-1   20391025 FLT
          
            2039-10-25
          
          3.548000
          9291000.00
          9171031.51
          Private Label Collateralized Mortgage Obligations
        
        
          CONN AVE SECS 2020-R01         1B-1   20400125 FLT
          
            2040-01-25
          
          3.398000
          5228000.00
          5158938.99
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2019-R01    2M-2   20310725 FLT
          
            2031-07-25
          
          2.598000
          220000.00
          136840.53
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2019-R01    2B-1   20310725 FLT
          
            2031-07-25
          
          4.498000
          2500000.00
          2532404.58
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2019-R05    1B-1   20390725 FLT
          
            2039-07-25
          
          4.248000
          135.00
          134.48
          Private Label Collateralized Mortgage Obligations
        
        
          CONN AVE SECS 2019-R06         2M-2   20390926 FLT
          
            2039-09-26
          
          2.248000
          6921232.00
          5345671.81
          Private Label Collateralized Mortgage Obligations
        
        
          FNMA CONN AVE SECS 2019-R06    2B-1   20390926 FLT
          
            2039-09-26
          
          3.898000
          2500000.00
          2407512.08
          Private Label Collateralized Mortgage Obligations
        
        
          CONN AVE SECS 2019-HRP1        M-2    20391125 FLT
          549300Z5THZ1JXIHVK60
          
            2039-11-25
          
          2.298000
          10000000.00
          6960359.66
          Private Label Collateralized Mortgage Obligations
        
        
          CONN AVE SECS 2020-R02         2M-2   20400125 FLT
          
            2040-01-25
          
          2.148000
          1499000.00
          1488698.87
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2019-DNA2          M-2    20490325 FLT
          549300Y6KOVOWQ8OJC33
          
            2049-03-25
          
          2.598000
          1793000.00
          994798.56
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2019-DNA2          B-1    20490325 FLT
          549300Y6KOVOWQ8OJC33
          
            2049-03-25
          
          4.498000
          2500000.00
          2523754.58
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2019-HRP1          M-3    20490225 FLT
          549300RWLR7W4OBRM426
          
            2049-02-25
          
          2.398000
          1500000.00
          1410218.75
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2019-DNA3          B-1    20490726 FLT
          549300KB1O80CETXGJ21
          
            2049-07-26
          
          3.398000
          4600000.00
          4598533.37
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2019-FTR2          M-2    20481125 FLT
          5493008J93RJW7PJFN93
          
            2048-11-25
          
          2.298000
          10006000.00
          9876767.51
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2019-FTR2          M-2    20481125 FLT
          5493008J93RJW7PJFN93
          
            2048-11-25
          
          2.298000
          408000.00
          402730.48
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2019-FTR2          B-2    20481125 FLT
          5493008J93RJW7PJFN93
          
            2048-11-25
          
          7.548000
          8000000.00
          7565768.00
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2019-HQA3          B-2    20490927 FLT
          
            2049-09-27
          
          7.648000
          5000000.00
          5068706.67
          Private Label Collateralized Mortgage Obligations
        
        
          FREDDIE MAC STACR REMIC TR 2019 DNA4
          
            2049-10-25
          
          2.098000
          3845000.00
          3217211.94
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2020-DNA1          M-2    20500125 FLT
          5493003FQV7GR462GO02
          
            2050-01-25
          
          1.848000
          6745808.00
          6695821.56
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2020-DNA1          B-1    20500125 FLT
          5493003FQV7GR462GO02
          
            2050-01-25
          
          2.448000
          4475000.00
          4372258.48
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2020-HQA1          M-2    20500125 FLT
          549300TCRXCIFPAC3B85
          
            2050-01-25
          
          2.048000
          5500000.00
          5467839.67
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2020-HQA1          B-1    20500125 FLT
          549300TCRXCIFPAC3B85
          
            2050-01-25
          
          2.498000
          3726691.00
          3632391.43
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2020-HQA1          B-2    20500125 FLT
          549300TCRXCIFPAC3B85
          
            2050-01-25
          
          5.248000
          3750000.00
          3442655.00
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2020-DNA2          M-2    20500225 FLT
          5493007ZK0X40BI7UF30
          
            2050-02-25
          
          1.998000
          1210000.00
          1202534.91
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2020-DNA2          B-1    20500225 FLT
          5493007ZK0X40BI7UF30
          
            2050-02-25
          
          2.648000
          2476000.00
          2384830.38
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2020-HQA2          M-2    20500325 FLT
          
            2050-03-25
          
          3.248000
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          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC REMIC 2020-HQA3          B-1    20500725 FLT
          
            2050-07-25
          
          5.898000
          7600000.00
          8072123.40
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC REMIC 2020-HQA3          B-2    20500725 FLT
          
            2050-07-25
          
          10.148000
          3750000.00
          4339768.75
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2014-DN3           M-3    20240826 FLT
          
            2024-08-26
          
          4.148000
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          11069363.06
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2014-DN4           M-3    20241025 FLT
          
            2024-10-25
          
          4.698000
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          2271725.53
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2015-DN1           M-3    20250127 FLT
          
            2025-01-27
          
          4.298000
          1424108.00
          205589.75
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          FHLMC STACR 2015-DN1           M-3    20250127 FLT
          
            2025-01-27
          
          4.298000
          348000.00
          50238.63
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2015-HQA1          M-3    20280327 FLT
          
            2028-03-27
          
          4.848000
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          6063120.02
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2016-HQA1          M-3    20280925 FLT
          
            2028-09-25
          
          6.498000
          3907000.00
          3209697.13
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2016-DNA3          M-3    20281226 FLT
          
            2028-12-26
          
          5.148000
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          8551916.92
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2017-HQA1          B-1    20290827 FLT
          
            2029-08-27
          
          5.148000
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          256340.50
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2017-DNA2          B-1    20291025 FLT
          
            2029-10-25
          
          5.298000
          9500000.00
          9915116.75
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          FHLMC STACR 2017-HQA2          B-1    20291226 FLT
          
            2029-12-26
          
          4.898000
          2000000.00
          2037266.33
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2017-DNA3          M-2    20300325 FLT
          
            2030-03-25
          
          2.648000
          1650000.00
          1670261.45
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            2042-12-26
          
          2.648000
          9242093.00
          8689043.07
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2018-DNA1          B-1    20300725 FLT
          
            2030-07-25
          
          3.298000
          277000.00
          270503.20
          Private Label Collateralized Mortgage Obligations
        
        
          FHLMC STACR 2018-HQA1          M-2    20300925 FLT
          
            2030-09-25
          
          2.448000
          467000.00
          366588.80
          Private Label Collateralized Mortgage Obligations
        
      
      Y
      2021-01-05
      2021-01-05
      2021-01-05
      N
      N
      N
      0.0018
      1016002540.00
      1016002540.00
      0.0108
      N
      N
      Y
      N
    
    
      BANK OF MONTREAL
      BANK OF MONTREAL 0.100000%
      NQQ6HPCNCCU6TUTQYE16
      0000009622
      ARP0P1FB4
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          Fannie Mae
          B1V7KEBTPIMZEU4LTD58
          
            2032-07-15
          
          0.00
          314000.00
          265360.77
          Agency Debentures and Agency Strips
        
        
          GNII SF MA6768 M
          549300M8ZYFG0OCMTT87
          
            2050-07-20
          
          4.000000
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          GNII SF MA6994 M
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.000000
          3915.00
          4088.08
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6995 M
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          56196.00
          59430.11
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004771 M
          549300M8ZYFG0OCMTT87
          
            2040-08-20
          
          4.500000
          9598.00
          936.48
          Agency Mortgage-Backed Securities
        
        
          GNII SF 736993 C
          549300M8ZYFG0OCMTT87
          
            2034-02-20
          
          6.000000
          1374.00
          92.74
          Agency Mortgage-Backed Securities
        
        
          FNAR XX.XXX AS013179
          B1V7KEBTPIMZEU4LTD58
          
            2024-07-01
          
          5.000000
          1145.00
          0.17
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5399 M
          549300M8ZYFG0OCMTT87
          
            2048-08-20
          
          4.500000
          756490.00
          279132.87
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5193 M
          549300M8ZYFG0OCMTT87
          
            2048-05-20
          
          4.500000
          196291.00
          69252.12
          Agency Mortgage-Backed Securities
        
        
          GNII SF BT2763 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          992816.00
          1052660.30
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY8577 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.500000
          2472.00
          2746.01
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA0299 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          1452905.00
          1551319.46
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CLMA4237
          B1V7KEBTPIMZEU4LTD58
          
            2050-12-01
          
          2.000000
          1000.00
          1039.20
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CIAE0885
          B1V7KEBTPIMZEU4LTD58
          
            2022-03-01
          
          4.000000
          1431.00
          0.01
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 CLRA4201
          
            2050-12-01
          
          2.000000
          1614593.00
          1677881.28
          Agency Mortgage-Backed Securities
        
        
          FEPC 01.500 CLRA4209
          
            2050-12-01
          
          1.500000
          53661682.00
          54252497.12
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 CLRA4345
          
            2051-01-01
          
          2.000000
          75021301.00
          77961960.95
          Agency Mortgage-Backed Securities
        
      
      Y
      2021-01-07
      2021-01-07
      2021-01-28
      Y
      
        BANK OF MONTREAL
        1.0000
        7
        N
      
      N
      N
      0.0010
      178000000.00
      178000000.00
      0.0019
      N
      N
      Y
      N
    
    
      GOLDMAN SACHS & CO LLC
      GOLDMAN SACHS & CO LLC 0.110000%
      FOR8UP27PHTHYVLBNG30
      0000769993
      ARP0P1FJ7
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          03.000 FGPC T61610 G
          
            2043-06-01
          
          3.000000
          50647.00
          13948.31
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 CLZI8725
          
            2039-05-01
          
          5.000000
          1820886.00
          344102.53
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 CIZK8281
          
            2031-09-01
          
          2.000000
          10000000.00
          4703299.98
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CTZL0239
          
            2037-02-01
          
          4.000000
          1323466.00
          793830.59
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZL3391
          
            2037-08-01
          
          3.500000
          18203072.00
          3521461.99
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CLZL5904
          
            2043-05-01
          
          3.000000
          2000000.00
          926414.81
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZM5415
          
            2048-01-01
          
          3.500000
          15000000.00
          10373394.25
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.500 3UZM9870
          
            2025-05-01
          
          4.500000
          1542568.00
          45993.09
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLZN2552
          
            2048-12-01
          
          4.000000
          426799.00
          255325.90
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZN4746
          
            2049-04-01
          
          3.500000
          18640.00
          5178.33
          Agency Mortgage-Backed Securities
        
        
          FEPC 06.000 CTZA1949
          
            2026-08-01
          
          6.000000
          375000.00
          5532.69
          Agency Mortgage-Backed Securities
        
        
          FEPC 06.000 CTZA2014
          
            2027-07-01
          
          6.000000
          4800000.00
          119864.89
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CTZA2305
          
            2033-06-01
          
          3.500000
          2025000.00
          697083.34
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CTZA6289
          
            2039-02-01
          
          4.000000
          2000000.00
          734405.40
          Agency Mortgage-Backed Securities
        
        
          FEPC 06.500 CLZS0656
          
            2032-08-01
          
          6.500000
          37954240.00
          167331.69
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 CLZS1286
          
            2035-09-01
          
          5.000000
          1780000.00
          71225.77
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZS4078
          
            2045-01-01
          
          3.500000
          1085000.00
          446629.54
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.500 CIZS5742
          
            2023-11-01
          
          4.500000
          1233770.00
          11470.53
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CIZS8530
          
            2029-06-01
          
          3.500000
          270182.00
          72136.49
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CLZT1635
          
            2046-01-01
          
          3.000000
          442000.00
          357526.43
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CISB8022
          
            2034-12-01
          
          3.500000
          3337868.00
          2305532.51
          Agency Mortgage-Backed Securities
        
        
          03.500 FGPC G61696 G
          
            2044-12-01
          
          3.500000
          59000000.00
          39550815.64
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.500 CLQA7177
          
            2050-02-01
          
          4.500000
          2498604.00
          2754885.05
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CLQB1093
          
            2050-07-01
          
          2.500000
          2263568.00
          2418550.75
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CIQN2875
          
            2035-07-01
          
          3.000000
          1103512.00
          1037994.32
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 CIQN3441
          
            2035-09-01
          
          2.000000
          1798148.00
          1860275.83
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLRA1741
          
            2049-11-01
          
          3.500000
          1480000.00
          1166856.20
          Agency Mortgage-Backed Securities
        
        
          FNMS 06.500 CT256946
          B1V7KEBTPIMZEU4LTD58
          
            2027-10-01
          
          6.500000
          1432910.00
          37407.53
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CTAH9437
          B1V7KEBTPIMZEU4LTD58
          
            2031-04-01
          
          5.000000
          1634170.00
          299579.08
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CIAL6713
          B1V7KEBTPIMZEU4LTD58
          
            2027-01-01
          
          4.500000
          1400000.00
          94420.56
          Agency Mortgage-Backed Securities
        
        
          FNMS 06.500 CTAL8822
          B1V7KEBTPIMZEU4LTD58
          
            2028-11-01
          
          6.500000
          1176162.00
          83904.98
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLAS2976
          B1V7KEBTPIMZEU4LTD58
          
            2044-08-01
          
          4.000000
          5126264.00
          1469831.12
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CLAX8410
          B1V7KEBTPIMZEU4LTD58
          
            2044-11-01
          
          5.000000
          220254.00
          65757.90
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLBN1210
          B1V7KEBTPIMZEU4LTD58
          
            2048-11-01
          
          4.000000
          1908512.00
          1512127.32
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLBQ1980
          B1V7KEBTPIMZEU4LTD58
          
            2050-08-01
          
          2.500000
          1031164.00
          1087389.71
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CICA4069
          B1V7KEBTPIMZEU4LTD58
          
            2034-01-01
          
          3.500000
          5330760.00
          4469111.02
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLCA4150
          B1V7KEBTPIMZEU4LTD58
          
            2049-09-01
          
          3.000000
          13232.00
          6026.05
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CICA5296
          B1V7KEBTPIMZEU4LTD58
          
            2035-02-01
          
          4.000000
          7314744.00
          7075117.03
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLFM0076
          B1V7KEBTPIMZEU4LTD58
          
            2050-03-01
          
          3.000000
          1720478.00
          1570481.70
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CIFM1649
          B1V7KEBTPIMZEU4LTD58
          
            2030-07-01
          
          3.000000
          150000.00
          118672.04
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLFM3278
          B1V7KEBTPIMZEU4LTD58
          
            2048-11-01
          
          3.500000
          38000.00
          25922.37
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.500 CI889780
          B1V7KEBTPIMZEU4LTD58
          
            2023-03-01
          
          5.500000
          7718424.00
          53339.58
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CI984256
          B1V7KEBTPIMZEU4LTD58
          
            2023-06-01
          
          5.000000
          1350000.00
          23786.60
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CTMA0587
          B1V7KEBTPIMZEU4LTD58
          
            2030-12-01
          
          4.000000
          370672.00
          37637.35
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CNMA1529
          B1V7KEBTPIMZEU4LTD58
          
            2023-08-01
          
          2.500000
          2439000.00
          243715.50
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CQMA1581
          B1V7KEBTPIMZEU4LTD58
          
            2043-08-01
          
          4.000000
          2100000.00
          824766.92
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CKMA1616
          B1V7KEBTPIMZEU4LTD58
          
            2043-09-01
          
          3.000000
          3400000.00
          1182894.38
          Agency Mortgage-Backed Securities
        
        
          FEPC 06.000 CLZI4349
          
            2036-04-01
          
          6.000000
          5000000.00
          152319.95
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 CLZI9439
          
            2039-11-01
          
          5.000000
          920000.00
          149012.23
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZM1329
          
            2046-07-01
          
          3.500000
          47448.00
          16314.94
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 CLZA5668
          
            2048-09-01
          
          5.000000
          230000.00
          151152.53
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.500 CLZS0664
          
            2032-10-01
          
          5.500000
          6296616.00
          43917.65
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.500 CLZS1201
          
            2036-12-01
          
          5.500000
          5348832.00
          82704.24
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 CLZS1375
          
            2036-06-01
          
          5.000000
          3715980.00
          111405.50
          Agency Mortgage-Backed Securities
        
        
          FEPC 06.000 CLZS2159
          
            2038-06-01
          
          6.000000
          6572872.00
          195972.98
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.500 CLZT0063
          
            2047-03-01
          
          4.500000
          7431656.00
          3764793.47
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLQA0443
          
            2049-02-01
          
          4.000000
          180000.00
          98506.18
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 CLQA1952
          
            2049-08-01
          
          5.000000
          2124364.00
          1631911.61
          Agency Mortgage-Backed Securities
        
        
          FNMS 06.000 CL255900
          B1V7KEBTPIMZEU4LTD58
          
            2035-09-01
          
          6.000000
          249946.00
          8949.36
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 GLAS9535
          B1V7KEBTPIMZEU4LTD58
          
            2047-05-01
          
          4.000000
          1816308.00
          1293853.36
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLBK3034
          B1V7KEBTPIMZEU4LTD58
          
            2050-09-01
          
          3.500000
          5052720.00
          5561422.98
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLBN5342
          B1V7KEBTPIMZEU4LTD58
          
            2049-03-01
          
          4.000000
          1583318.00
          608239.58
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLBP1078
          B1V7KEBTPIMZEU4LTD58
          
            2050-03-01
          
          3.000000
          2957204.00
          2819869.62
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLBQ5306
          B1V7KEBTPIMZEU4LTD58
          
            2050-11-01
          
          3.000000
          3412770.00
          3654632.52
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CTBQ6096
          B1V7KEBTPIMZEU4LTD58
          
            2040-10-01
          
          2.000000
          1069996.00
          1109417.06
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CQCA1222
          B1V7KEBTPIMZEU4LTD58
          
            2038-01-01
          
          3.000000
          2301956.00
          2027582.93
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLCA5019
          B1V7KEBTPIMZEU4LTD58
          
            2050-01-01
          
          3.000000
          78000000.00
          62697492.57
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLFM2256
          B1V7KEBTPIMZEU4LTD58
          
            2044-10-01
          
          4.500000
          40541504.00
          36267748.24
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.500 CL911582
          B1V7KEBTPIMZEU4LTD58
          
            2037-04-01
          
          5.500000
          120864.00
          7087.31
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CI982798
          B1V7KEBTPIMZEU4LTD58
          
            2023-05-01
          
          4.500000
          1204636.00
          5179.76
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLAB7457
          B1V7KEBTPIMZEU4LTD58
          
            2043-01-01
          
          3.000000
          400772.00
          177611.30
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLAB9016
          B1V7KEBTPIMZEU4LTD58
          
            2043-04-01
          
          3.000000
          26128.00
          11997.06
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CL727160
          B1V7KEBTPIMZEU4LTD58
          
            2033-08-01
          
          4.500000
          10278880.00
          325336.84
          Agency Mortgage-Backed Securities
        
        
          FNMS 06.000 CL765387
          B1V7KEBTPIMZEU4LTD58
          
            2034-08-01
          
          6.000000
          365000.00
          37481.80
          Agency Mortgage-Backed Securities
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2048-02-15
          
          3.000000
          7900400.00
          10425130.83
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-05
      2021-01-05
      2021-01-05
      N
      N
      N
      0.0011
      224000000.00
      224000000.00
      0.0024
      N
      N
      Y
      N
    
    
      CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
      CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA 0.180000%
      1VUV7VQFKUOQSJ21A208
      0001330437
      ARP0P1FQ1
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          CVS HEALTH CORP                SR GLBL NT3.7%23
          549300EJG376EN5NQE29
          
            2023-03-09
          
          3.700000
          28905000.00
          31278132.62
          Corporate Debt Securities
        
        
          CITIGROUP INC                  SR GLBL NT 26
          6SHGI4ZSSLCXXQSBB395
          
            2026-04-08
          
          3.106000
          318221.00
          349499.28
          Corporate Debt Securities
        
        
          DISNEY WALT CO                 SR GLBL NT 2%29
          549300GZKULIZ0WOW665
          
            2029-09-01
          
          2.000000
          8931000.00
          9381985.73
          Corporate Debt Securities
        
        
          HYUNDAI CAP AMER               SR REGS NT3.5%26
          549300RIPPWJB5Z0FK07
          
            2026-11-02
          
          3.500000
          2999000.00
          3329088.27
          Corporate Debt Securities
        
        
          ING GROEP N.V.                 SR GLBL COCO 27
          549300NYKK9MWM7GGW15
          
            2027-03-29
          
          3.950000
          2488000.00
          2897361.70
          Corporate Debt Securities
        
        
          MICROSOFT CORP                 SR GLBL NT3.3%27
          INR2EJN1ERAN0W5ZP974
          
            2027-02-06
          
          3.300000
          30000000.00
          34597250.00
          Corporate Debt Securities
        
        
          SKYMILES IP LTD & DELTA AIR LI SR SEC 144A 28
          
            2028-10-20
          
          4.750000
          5366944.00
          5923552.74
          Corporate Debt Securities
        
        
          SUMITOMO MITSUI FIN GRP INC    SR NT 3.784%26
          35380028MYWPB6AUO129
          
            2026-03-09
          
          3.784000
          300000.00
          344940.73
          Corporate Debt Securities
        
        
          UNION PAC CORP                 SR NT 4.163%22
          549300LMMRSZZCZ8CL11
          
            2022-07-15
          
          4.163000
          2750000.00
          2937951.65
          Corporate Debt Securities
        
        
          WELLS FARGO &amp; CO               SR NT 3%26
          PBLD0EJDB5FWOLXP3B76
          
            2026-10-23
          
          3.000000
          944000.00
          1051263.57
          Corporate Debt Securities
        
        
          BK OF AMERICA CORP             SR GLBL NT 23
          9DJT3UXIJIZJI4WXO774
          
            2023-12-20
          
          3.004000
          2692000.00
          2834131.92
          Corporate Debt Securities
        
        
          GILEAD SCIENCES INC            SR GLBL NT2.6%40
          549300WTZWR07K8MNV44
          
            2040-10-01
          
          2.600000
          2737000.00
          2767243.85
          Corporate Debt Securities
        
        
          ING GROEP N.V.                 SR GLBL 144A 26
          549300NYKK9MWM7GGW15
          
            2026-07-01
          
          1.400000
          2645000.00
          2706763.69
          Corporate Debt Securities
        
        
          NISOURCE INC                   SR GLBL NT1.7%31
          549300D8GOWWH0SJB189
          
            2031-02-15
          
          1.700000
          2783000.00
          2782305.80
          Corporate Debt Securities
        
        
          NORDEA BK ABP MED TERM NTS     ALT TIER I PERP
          529900ODI3047E2LIV03
          
            2049-12-29
          
          6.625000
          27800000.00
          32381401.39
          Corporate Debt Securities
        
        
          TSMC GLOBAL LTD                SR GLBL 144A 27
          549300N2ZLI21P85T117
          
            2027-09-28
          
          1.000000
          500000.00
          495932.78
          Corporate Debt Securities
        
        
          WALMART INC                    SR GLBL NT3.3%24
          Y87794H0US1R65VBXU25
          
            2024-04-22
          
          3.300000
          2643000.00
          2892961.73
          Corporate Debt Securities
        
        
          TSMC GLOBAL LTD                SR GLBL REGS 25
          549300N2ZLI21P85T117
          
            2025-09-28
          
          0.750000
          1982000.00
          1977078.03
          Corporate Debt Securities
        
        
          TSMC GLOBAL LTD                SR GLBL REGS 30
          549300N2ZLI21P85T117
          
            2030-09-28
          
          1.375000
          5065000.00
          4981700.45
          Corporate Debt Securities
        
        
          CVS HEALTH CORP                SR GLBL NT 30
          549300EJG376EN5NQE29
          
            2030-08-21
          
          1.750000
          1000000.00
          1011989.44
          Corporate Debt Securities
        
        
          DUKE ENERGY CORP NEW           SR GLBL NT 22
          I1BZKREC126H0VB1BL91
          
            2022-08-15
          
          3.050000
          5000000.00
          5237311.11
          Corporate Debt Securities
        
        
          PRAXAIR INC                    SR NT 2.45%22
          ZU69GUVJQGZ6Z1UOOO79
          
            2022-02-15
          
          2.450000
          93000.00
          95551.51
          Corporate Debt Securities
        
      
      Y
      2021-01-05
      2021-01-05
      2021-01-05
      N
      N
      N
      0.0017
      145000120.35
      145000120.35
      0.0015
      N
      N
      Y
      N
    
    
      NOMURA SECURITIES INTERNATIONAL INC
      NOMURA SECURITIES INTERNATIONAL INC 0.110000%
      OXTKY6Q8X53C9ILVV871
      0000902266
      ARP0P1FW8
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2049-11-15
          
          2.375000
          26428300.00
          31072781.85
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2050-02-15
          
          0.250000
          8074400.00
          9727321.98
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-05
      2021-01-05
      2021-01-05
      N
      N
      N
      0.0011
      40000000.00
      40000000.00
      0.0004
      N
      N
      Y
      N
    
    
      RBC CAPITAL MARKETS LLC
      RBC CAPITAL MARKETS LLC 0.200000%
      549300LCO2FLSSVFFR64
      0000050916
      ARP0P1G64
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          ABBVIE INC                     GLBL NT 2.3%22
          FR5LCKFTG8054YNNRU85
          
            2022-11-21
          
          2.300000
          6147160.00
          6386441.62
          Corporate Debt Securities
        
        
          BAT CAPITAL CORP               GLBL NT 4.7%27
          2138005GYEXN7XRHFA84
          
            2027-04-02
          
          4.700000
          5703862.00
          6768712.83
          Corporate Debt Securities
        
        
          JOHNS HOPKINS HEALTH SYS CORP  SR -2016 BD 46
          549300D81FCFUS7TQR04
          
            2046-05-15
          
          3.837000
          3600000.00
          4493710.20
          Corporate Debt Securities
        
        
          TRANSCANADA PIPELINE STRIP     SR GLBL NT 48
          5BV01I6231JPDAPMGH09
          
            2048-05-15
          
          4.875000
          2213314.00
          2866837.38
          Corporate Debt Securities
        
        
          HSBC BANK CANADA               EXTND SR SEC 23
          DMB80L5QKUQ124HSYW98
          
            2023-09-10
          
          1.650000
          1648.00
          1692.56
          Corporate Debt Securities
        
        
          NRG ENERGY INC                 SR SEC GLBL 27
          5E2UPK5SW04M13XY7I38
          
            2027-12-02
          
          2.450000
          995786.00
          1047291.65
          Corporate Debt Securities
        
        
          MACQUARIE BANK                 FR 2.1%101722
          4ZHCHI4KYZG2WVRT8631
          
            2022-10-17
          
          2.100000
          3684671.00
          3816355.00
          Corporate Debt Securities
        
        
          NASDAQ INC                     CR SEN SR GLBL40
          549300L8X1Q78ERXFD06
          
            2040-12-21
          
          2.500000
          2651714.00
          2617147.43
          Corporate Debt Securities
        
        
          NIKE INC                       SR GLBL NT 40
          787RXPR0UX0O0XUXPZ81
          
            2040-03-27
          
          3.250000
          64000.00
          74772.87
          Corporate Debt Securities
        
        
          ORLANDO HEALTH OBLIGATED GROUP SR GLBL -2018 48
          
            2048-10-01
          
          4.089000
          1700000.00
          2108242.25
          Corporate Debt Securities
        
        
          TTX CO MTN BE 144A             SR 144A NT 22
          549300I8CNSYS1OGX775
          
            2022-11-15
          
          3.050000
          1062000.00
          1116265.25
          Corporate Debt Securities
        
        
          EQUINOR ASA                    SR GLBL NT 25
          OW6OFBNCKXC4US5C7523
          
            2025-04-06
          
          2.875000
          70000.00
          76904.67
          Corporate Debt Securities
        
        
          FAIRFAX FINL HLDGS LTD         SR GLBL NT 30
          GLS7OQD0WOEDI8YAP031
          
            2030-04-29
          
          4.625000
          2088444.00
          2350554.74
          Corporate Debt Securities
        
        
          GRAY OAK PIPELINE LLC          SR GLBL 144A 25
          
            2025-10-15
          
          2.600000
          1000000.00
          1038905.56
          Corporate Debt Securities
        
        
          ABB FIN USA INC                SR GLBL NT 22
          5493002Y01YAFV45F528
          
            2022-05-08
          
          2.875000
          560000.00
          581231.08
          Corporate Debt Securities
        
        
          ABBVIE INC                     SR GLBL NT 46
          FR5LCKFTG8054YNNRU85
          
            2046-05-14
          
          4.450000
          850000.00
          1082797.76
          Corporate Debt Securities
        
        
          ALBERTA PROV                   SR BD 2.2%22
          LQPXMHHNJKIPJYE53543
          
            2022-07-26
          
          2.200000
          30000.00
          31184.47
          Corporate Debt Securities
        
        
          ALTRIA GROUP INC               CR SEN SR GLBL39
          XSGZFLO9YTNO9VCQV219
          
            2039-02-06
          
          10.200000
          8084000.00
          14169742.99
          Corporate Debt Securities
        
        
          AMGEN INC                      SR GLBL NT4.4%45
          62QBXGPJ34PQ72Z12S66
          
            2045-05-01
          
          4.400000
          780000.00
          995610.20
          Corporate Debt Securities
        
        
          ANHEUSER-BUSCH COS LLC / ANHEU SR GLBL NT4.9%46
          
            2046-02-01
          
          4.900000
          5115000.00
          6734391.95
          Corporate Debt Securities
        
        
          ANHEUSER-BUSCH INBEV WLDW INC  FR 4.75%041558
          549300CRGMZK3K53BF92
          
            2058-04-15
          
          4.750000
          24000.00
          31523.47
          Corporate Debt Securities
        
        
          ATHENE HOLDING LTD             SR GLBL NT 30
          549300H316CT32FQXI76
          
            2030-04-03
          
          6.150000
          1752286.00
          2206588.05
          Corporate Debt Securities
        
        
          BK OF AMERICA CORP             FR 4.083%032051
          9DJT3UXIJIZJI4WXO774
          
            2051-03-20
          
          4.083000
          175202.00
          222311.20
          Corporate Debt Securities
        
        
          BORGWARNER INC                 GLBL 144A NT5%25
          549300DSFX2IE88NSX47
          
            2025-10-01
          
          5.000000
          9253826.00
          10985587.00
          Corporate Debt Securities
        
        
          BRIGHTHOUSE FINL INC           SR GLBL NT4.7%47
          5493003T8SZSHOGGAW52
          
            2047-06-22
          
          4.700000
          1458000.00
          1519593.21
          Corporate Debt Securities
        
        
          BROADCOM CORP/BROADCOM CAYMAN  SR GLBL NT 27
          
            2027-01-15
          
          3.875000
          1198000.00
          1364831.15
          Corporate Debt Securities
        
        
          CK HUTCHISON INTL 17 LTD       SR 144A NT3.5%27
          254900TNOJOSKVTDPK87
          
            2027-04-05
          
          3.500000
          450227.00
          501077.39
          Corporate Debt Securities
        
        
          CVS HEALTH CORP                SR GLBL NT 45
          549300EJG376EN5NQE29
          
            2045-07-20
          
          5.125000
          244000.00
          333101.51
          Corporate Debt Securities
        
        
          HYDRO-QUEBEC                   SR DEB 8.05%24
          6THEVG93PYJH84S4D167
          
            2024-07-07
          
          8.050000
          5314000.00
          6840756.48
          Corporate Debt Securities
        
        
          INTERNATIONAL PAPER CO         SR GLBL NT4.8%44
          824LMFJDH41EY779Q875
          
            2044-06-15
          
          4.800000
          2108000.00
          2832632.03
          Corporate Debt Securities
        
        
          JPMORGAN CHASE &amp; CO            3.207%23
          8I5DZWZKVSZI1NUHU748
          
            2023-04-01
          
          3.207000
          404000.00
          422445.63
          Corporate Debt Securities
        
        
          JOHNSON &amp; JOHNSON              SR GLBL NT 26
          549300G0CFPGEF6X2043
          
            2026-03-01
          
          2.450000
          21000.00
          23021.60
          Corporate Debt Securities
        
        
          KLA CORP                       SR GLBL NT4.1%29
          549300H0BF5JCG96TJ81
          
            2029-03-15
          
          4.100000
          6895000.00
          8337587.22
          Corporate Debt Securities
        
        
          KOHLS CORP                     CR SEN SR GLBL25
          549300JF6LPRTRJ0FH50
          
            2025-05-15
          
          9.500000
          851096.00
          1114058.19
          Corporate Debt Securities
        
        
          LYB INTERNATIONAL FIN III LLC  SR GLBL NT4.2%50
          
            2050-05-01
          
          4.200000
          3041009.00
          3552597.94
          Corporate Debt Securities
        
        
          LOWES COS INC                  SR NT 4.65%42
          WAFCR4OKGSC504WU3E95
          
            2042-04-15
          
          4.650000
          552000.00
          730603.28
          Corporate Debt Securities
        
        
          TORONTO DOMINION BANK          VR 040716-040721
          PT3QB789TSUIDF371261
          
            2021-04-07
          
          1.220250
          200000.00
          201094.23
          Corporate Debt Securities
        
        
          TRANSURBAN FIN CO PTY LTD      SR SEC 144A NT26
          54930081LPJMUMEA6E57
          
            2026-02-02
          
          4.125000
          955000.00
          1102469.51
          Corporate Debt Securities
        
        
          UNITEDHEALTH GROUP INC         SR GLBL NT 38
          549300GHBMY8T5GXDE41
          
            2038-02-15
          
          6.875000
          1456000.00
          2417094.28
          Corporate Debt Securities
        
        
          VERIZON COMMUNICATIONS INC     SR GLBL NT 43
          2S72QS2UO2OESLG6Y829
          
            2043-09-15
          
          6.550000
          10991000.00
          17825820.52
          Corporate Debt Securities
        
        
          VIRGINIA ELEC &amp; PWR CO         SR GLBL A NT6%3
          CQKUMNNZVDJLRYV2PT43
          
            2037-05-15
          
          6.000000
          750000.00
          1101252.50
          Corporate Debt Securities
        
        
          VISA INC                       SR GLBL NT2.7%40
          549300JZ4OKEHW3DPJ59
          
            2040-04-15
          
          2.700000
          22000.00
          24069.76
          Corporate Debt Securities
        
        
          WELLS FARGO &amp; CO               FR 4.478%040431
          PBLD0EJDB5FWOLXP3B76
          
            2031-04-04
          
          4.478000
          815000.00
          1005255.09
          Corporate Debt Securities
        
        
          ONTARIO TEACH FIN TR           REGS NT 1.25%30
          635400ZZE5J8OXXBBY26
          
            2030-09-27
          
          1.250000
          1.00
          0.99
          Corporate Debt Securities
        
        
          TRANSURBAN FIN CO PTY LTD      SR SEC REGS NT26
          54930081LPJMUMEA6E57
          
            2026-02-02
          
          4.125000
          540000.00
          623385.90
          Corporate Debt Securities
        
        
          CITIGROUP INC                  SR GLBL FL NT 21
          6SHGI4ZSSLCXXQSBB395
          
            2021-03-30
          
          1.620130
          1545000.00
          1550028.98
          Corporate Debt Securities
        
        
          COMCAST CORP NEW               SR GLBL NT 58
          51M0QTTNCGUN7KFCFZ59
          
            2058-10-15
          
          4.950000
          5600000.00
          8525664.00
          Corporate Debt Securities
        
        
          CREDIT SUISSE AG NEW YORK      FR 2.8%040822
          549300D0YARF5HYP1809
          
            2022-04-08
          
          2.800000
          949000.00
          985800.11
          Corporate Debt Securities
        
        
          DISNEY WALT CO                 SR GLBL NT 2%29
          549300GZKULIZ0WOW665
          
            2029-09-01
          
          2.000000
          445000.00
          467471.02
          Corporate Debt Securities
        
        
          PROVINCE OF MAN D N PROV NT    GLBL -GT DEB 22
          5493003QILFOB3JRKE30
          
            2022-05-04
          
          2.125000
          3490000.00
          3588608.50
          Corporate Debt Securities
        
        
          MCDONALDS CORP                 FR 3.625%090149
          UE2136O97NLB5BYP9H04
          
            2049-09-01
          
          3.625000
          55000.00
          64969.48
          Corporate Debt Securities
        
        
          MITSUBISHI UFJ FINANCIAL GROUP SR GLBL NT 38
          353800V2V8PUY9TK3E06
          
            2038-07-26
          
          4.286000
          500000.00
          646461.81
          Corporate Debt Securities
        
        
          MORGAN STANLEY                 FR 5.597%032451
          IGJSJL3JD5P30I6NJZ34
          
            2051-03-24
          
          5.597000
          55000.00
          89067.04
          Corporate Debt Securities
        
        
          NIKE INC                       SR GLBL NT 50
          787RXPR0UX0O0XUXPZ81
          
            2050-03-27
          
          3.375000
          500000.00
          609681.25
          Corporate Debt Securities
        
        
          NORTHWESTERN MUT LIFE INS CO   SUB 144A NT 40
          1DU7IM20QESYGDO4HO54
          
            2040-03-30
          
          6.063000
          2592000.00
          3800072.88
          Corporate Debt Securities
        
        
          ONTARIO PROV CDA               SR GLBL BD2.3%26
          C7PVKCRGLG18EBQGZV36
          
            2026-06-15
          
          2.300000
          3656780.00
          3981473.62
          Corporate Debt Securities
        
        
          OPEN TEXT CORP                 SR GLBL 144A 26
          549300HP7ONDQODZJV16
          
            2026-06-01
          
          5.875000
          109000.00
          113757.40
          Corporate Debt Securities
        
        
          PHILIP MORRIS INTL INC         SR NT 4.875%43
          HL3H1H2BGXWVG3BSWR90
          
            2043-11-15
          
          4.875000
          165000.00
          221634.46
          Corporate Debt Securities
        
        
          PROGRESS ENERGY INC            SR GLBL NT 7%31
          549300FBMTW0JYWMNB26
          
            2031-10-30
          
          7.000000
          180000.00
          256141.20
          Corporate Debt Securities
        
        
          PROVINCE OF QUEBEC             SR GLBL QP NT 26
          549300WN65YFEQH74Y36
          
            2026-04-20
          
          2.500000
          11000.00
          12129.71
          Corporate Debt Securities
        
        
          RYDER SYS INC                  FR 3.45%111521
          ZXJ6Y2OSPZXIVGRILD15
          
            2021-11-15
          
          3.450000
          1235000.00
          1269874.34
          Corporate Debt Securities
        
        
          SABINE PASS LIQUEFACTION LLC   SR SEC NT 23
          549300KJYBG7C6WJYZ11
          
            2023-04-15
          
          5.625000
          8462000.00
          9397262.55
          Corporate Debt Securities
        
        
          SANTANDER UK GROUP HOLDINGS    SR GLBL NT 21
          549300F5XIFGNNW4CF72
          
            2021-08-05
          
          2.875000
          2250000.00
          2307891.87
          Corporate Debt Securities
        
        
          SENSATA TECHNOLOGIES INC       SR GLBL 144A 31
          
            2031-02-15
          
          3.750000
          1.00
          1.05
          Corporate Debt Securities
        
        
          SHELL INTERNATIONAL FIN BV     SR NT 4.55%43
          213800ITMMKU4Z7I4F78
          
            2043-08-12
          
          4.550000
          26000.00
          34857.11
          Corporate Debt Securities
        
        
          SHELL INTERNATIONAL FIN BV     SR NT 4.375%45
          213800ITMMKU4Z7I4F78
          
            2045-05-11
          
          4.375000
          36000.00
          47499.35
          Corporate Debt Securities
        
        
          SUMMIT MIDSTREAM HLDGS LLC /   SR NT 5.5%22
          
            2022-08-15
          
          5.500000
          160000.00
          147324.44
          Corporate Debt Securities
        
        
          SYSCO CORP                     CR SEN SR GLBL50
          5RGWIFLMGH3YS7KWI652
          
            2050-04-01
          
          6.600000
          5328000.00
          8267990.40
          Corporate Debt Securities
        
        
          DISCOVERY COMMUNICATIONS LLC   SR NT 4.95%42
          L2Z2MO2EQURH3BREWI15
          
            2042-05-15
          
          4.950000
          567000.00
          674398.31
          Corporate Debt Securities
        
        
          EXPEDIA GROUP INC              SR GLBL 144A 25
          
            2025-05-01
          
          6.250000
          9374829.00
          10961112.57
          Corporate Debt Securities
        
        
          EXXON MOBIL CORP               SR GLBL NT 40
          J3WHBG0MTS7O8ZVMDC91
          
            2040-03-19
          
          4.227000
          448000.00
          560101.47
          Corporate Debt Securities
        
        
          GE CAPITAL INTERNATIONAL FDG   FR 4.418%111535
          549300G6UZOB126GBY72
          
            2035-11-15
          
          4.418000
          11700000.00
          14000983.10
          Corporate Debt Securities
        
        
          ALLY FINL INC                  SR NT 8%31
          549300JBN1OSM8YNAI90
          
            2031-11-01
          
          8.000000
          556000.00
          819712.65
          Corporate Debt Securities
        
        
          GENERAL MTRS CO                SR GLBL NT 43
          54930070NSV60J38I987
          
            2043-10-02
          
          6.250000
          2194000.00
          2985510.49
          Corporate Debt Securities
        
        
          GREAT WESTN PETE LLC/GREAT WES SR GLBL 144A 21
          
            2021-09-30
          
          9.000000
          636000.00
          383190.00
          Corporate Debt Securities
        
        
          GROUP 1 AUTOMOTIVE INC         SR GLBL 144A 28
          549300US8QAZJLWYAF63
          
            2028-08-15
          
          4.000000
          99999.00
          104052.85
          Corporate Debt Securities
        
        
          HBOS PLC MEDIUM TERM SR NT     FR 6%110133
          213800RS21X7UUH5QU25
          
            2033-11-01
          
          6.000000
          620000.00
          866495.47
          Corporate Debt Securities
        
        
          HOST HOTELS &amp; RESORTS LP       SR GLBL -D NT 2
          FXB7X4WXVA8QPMNOGS12
          
            2023-10-15
          
          3.750000
          1039000.00
          1107435.47
          Corporate Debt Securities
        
        
          HOWARD HUGHES CORP             SR GLBL 144A 25
          549300BVHY25JZC1KI49
          
            2025-03-15
          
          5.375000
          217000.00
          227215.58
          Corporate Debt Securities
        
        
          HUGHES SATELLITE S             5.25%26
          
            2026-08-01
          
          5.250000
          59000.00
          66338.12
          Corporate Debt Securities
        
      
      Y
      2021-01-05
      2021-01-05
      2021-01-05
      N
      N
      N
      0.0018
      193000482.50
      193000482.50
      0.0021
      N
      N
      Y
      N
    
    
      WELLS FARGO SECURITIES LLC
      WELLS FARGO SECURITIES LLC 0.230000%
      VYVVCKR63DVZZN70PB21
      0001224385
      ARP0P1GP2
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          MARKEL CORP                    SR NT 4.9%22
          549300SCNO12JLWIK605
          
            2022-07-01
          
          4.900000
          1953000.00
          2126192.04
          Corporate Debt Securities
        
        
          NASDAQ INC                     CR SEN SR GLBL31
          549300L8X1Q78ERXFD06
          
            2031-01-15
          
          1.650000
          787606.00
          779193.06
          Corporate Debt Securities
        
        
          TUCSON ELEC PWR CO             GLBL NT 1.5%30
          YLF139GXSRKPBBTNZL03
          
            2030-08-01
          
          1.500000
          1390000.00
          1385725.75
          Corporate Debt Securities
        
        
          ACORDA THERAPEUTICS INC        SR NT 6%24
          5493007NPB5YRM8QGL53
          
            2024-12-01
          
          6.000000
          5018000.00
          2981339.32
          Corporate Debt Securities
        
        
          CCR INC MT100 PMT MSTR         AMZ-2012C 144A22
          
            2022-07-11
          
          4.750000
          7500000.00
          1726032.67
          Corporate Debt Securities
        
        
          ENERGY TRANSFER OPERATING L P  SR GLBL NT 5%50
          5493008K8W3OKZE54J59
          
            2050-05-15
          
          5.000000
          834000.00
          905614.65
          Corporate Debt Securities
        
        
          EUROPEAN INVT BK 144A          GLBL NT 2.875%21
          5493006YXS1U5GIHE750
          
            2021-12-15
          
          2.875000
          16553083.00
          17004614.32
          Corporate Debt Securities
        
        
          U.S. INTERNATIONAL DEV FIN COR AMZ 900009338029
          
            2029-05-15
          
          1.110000
          250000.00
          254644.58
          Corporate Debt Securities
        
        
          U.S. INTERNATIONAL DEV FIN COR -9992012206IG 25
          
            2025-06-21
          
          0.00
          2000000.00
          2060382.00
          Corporate Debt Securities
        
        
          CK HUTCHISON INTL 19 II LTD    SR GLBL REGS 49
          2549000ZHWNMHC09DR77
          
            2049-09-06
          
          3.375000
          7343000.00
          8563828.82
          Corporate Debt Securities
        
        
          TEACHERS INS &amp; ANNUITY ASSN AM JR SB GLBL 50
          O06XD7BJ4EPXNABVFN69
          
            2050-05-15
          
          3.300000
          703000.00
          766120.03
          Corporate Debt Securities
        
        
          HSBC USA INC NEW               SR IDX ZRO LKD22
          549300LBOHZ4QSIWU288
          
            2022-07-05
          
          0.00
          100000.00
          134916.40
          Corporate Debt Securities
        
        
          HSBC USA INC NEW               SR EQTY LKD 21
          549300LBOHZ4QSIWU288
          
            2021-02-03
          
          0.00
          452000.00
          562106.30
          Corporate Debt Securities
        
        
          HUNTINGTON BANCSHARES INC      SR GLBL NT 21
          549300XTVCVV9I7B5T19
          
            2021-03-14
          
          3.150000
          2414000.00
          2444253.46
          Corporate Debt Securities
        
        
          LYB INTERNATIONAL FIN III LLC  SR GLBL NT3.8%60
          
            2060-10-01
          
          3.800000
          1101806.00
          1188001.51
          Corporate Debt Securities
        
        
          MARS INC DEL                   4.2%59
          54930073HKEO6GZBSS03
          
            2059-04-01
          
          4.200000
          935000.00
          1229300.60
          Corporate Debt Securities
        
        
          MARSH &amp; MCLENNAN COS INC       SR NT 2.75%22
          549300XMP3KDCKJXIU47
          
            2022-01-30
          
          2.750000
          10496000.00
          10866281.39
          Corporate Debt Securities
        
        
          MORGAN STANLEY                 SR IDX ZRO LKD22
          IGJSJL3JD5P30I6NJZ34
          
            2022-06-03
          
          0.00
          236000.00
          310102.11
          Corporate Debt Securities
        
        
          ONTARIO PROV CDA               SR GLBL BD2.4%22
          C7PVKCRGLG18EBQGZV36
          
            2022-02-08
          
          2.400000
          1000000.00
          1033013.33
          Corporate Debt Securities
        
        
          PARTISAN PROPERTY INC          SR SEC 2014 VR44
          
            2044-08-01
          
          0.140000
          2796444.00
          2796773.92
          Corporate Debt Securities
        
        
          RISE INC                       TAX DEM VAR 22
          
            2022-11-01
          
          0.190000
          155000.00
          155022.09
          Corporate Debt Securities
        
        
          ROYAL BK CDA                   SR GLBL INDX 21
          ES7IP3U3RHIGC71XBU11
          
            2021-02-03
          
          0.00
          260000.00
          390812.50
          Corporate Debt Securities
        
        
          ROYAL BK CDA                   SR GLBL INDX 21
          ES7IP3U3RHIGC71XBU11
          
            2021-08-03
          
          0.00
          168000.00
          235513.32
          Corporate Debt Securities
        
        
          ROYAL BK CDA                   SR GLBL INDX 22
          ES7IP3U3RHIGC71XBU11
          
            2022-01-04
          
          0.00
          219000.00
          302545.22
          Corporate Debt Securities
        
        
          ROYAL BK CDA                   AUTOCLL SR 21
          ES7IP3U3RHIGC71XBU11
          
            2021-03-05
          
          0.00
          162000.00
          169452.97
          Corporate Debt Securities
        
        
          ROYAL BK CDA                   SR GLBL INDX 23
          ES7IP3U3RHIGC71XBU11
          
            2023-10-04
          
          0.00
          210000.00
          220102.47
          Corporate Debt Securities
        
        
          TORONTO DOMINION BANK          SR GLBL INDX 21
          PT3QB789TSUIDF371261
          
            2021-01-06
          
          0.00
          150000.00
          180100.20
          Corporate Debt Securities
        
        
          TORONTO DOMINION BANK          SR GLBL INDX 22
          PT3QB789TSUIDF371261
          
            2022-07-06
          
          0.00
          567000.00
          576881.68
          Corporate Debt Securities
        
        
          TORONTO DOMINION BANK          SR GLBL INDX 22
          PT3QB789TSUIDF371261
          
            2022-06-06
          
          0.00
          125000.00
          112830.38
          Corporate Debt Securities
        
        
          ROYAL BK CDA                   SR GLBL INDX 23
          ES7IP3U3RHIGC71XBU11
          
            2023-07-03
          
          0.00
          150000.00
          159875.25
          Corporate Debt Securities
        
        
          SOUTHERN CALIF EDISON CO       1M BD-2013C 23
          9R1Z5I36FERIBVKW4P77
          
            2023-10-01
          
          3.500000
          29483000.00
          31887928.31
          Corporate Debt Securities
        
        
          SUMMIT MIDSTREAM HLDGS LLC /   SR NT 5.5%22
          
            2022-08-15
          
          5.500000
          1675000.00
          1542302.78
          Corporate Debt Securities
        
        
          TRUIST FINL CORP               ALT TIER I PERP
          549300DRQQI75D2JP341
          
            2049-12-29
          
          4.950000
          1433000.00
          1582225.46
          Corporate Debt Securities
        
        
          CHUBB INA HLDGS INC            SR GLBL NT 26
          CZCBJZWDMLTHWJDXU843
          
            2026-05-03
          
          3.350000
          73000.00
          82628.50
          Corporate Debt Securities
        
        
          BANK NOVA SCOTIA B C           SR IDX ZRO LKD21
          L3I9ZG2KFGXZ61BMYR72
          
            2021-03-03
          
          0.00
          505000.00
          769150.85
          Corporate Debt Securities
        
        
          BANK NOVA SCOTIA B C           AUTOCLL SR 22
          L3I9ZG2KFGXZ61BMYR72
          
            2022-08-05
          
          0.00
          220000.00
          148917.34
          Corporate Debt Securities
        
        
          BARCLAYS BANK PLC              SR GLBL INDX
          G5GSEF7VJP5I7OUK5573
          
            2023-08-03
          
          0.00
          1050000.00
          1275970.50
          Corporate Debt Securities
        
        
          CALLON PETE CO DEL             SR GLBL NT 26
          549300EFOWPEB0WLZW21
          
            2026-07-01
          
          6.375000
          1759000.00
          961953.12
          Corporate Debt Securities
        
        
          CAMPUS RESH CORP               PROM NT VAR 23
          
            2023-06-01
          
          0.190000
          418000.00
          418059.57
          Corporate Debt Securities
        
        
          CANADIAN IMP BK COMM           SR IDX ZRO LKD21
          549300H8L46OOZOFHU82
          
            2021-04-05
          
          0.00
          150000.00
          238048.20
          Corporate Debt Securities
        
        
          CANADIAN IMP BK COMM           SR GLBL INDX 23
          2IGI19DL77OX0HC3ZE78
          
            2023-03-06
          
          0.00
          250000.00
          255194.75
          Corporate Debt Securities
        
        
          CANADIAN IMP BK COMM           SR GLBL INDX 21
          2IGI19DL77OX0HC3ZE78
          
            2021-06-07
          
          0.00
          210000.00
          239846.25
          Corporate Debt Securities
        
        
          CANADIAN IMP BK COMM           23
          2IGI19DL77OX0HC3ZE78
          
            2023-04-03
          
          0.00
          145000.00
          153214.54
          Corporate Debt Securities
        
        
          CAPITAL ONE FINL CORP          SR GLBL NT3.8%28
          ZUE8T73ROZOF6FLBAR73
          
            2028-01-31
          
          3.800000
          2647000.00
          3105945.68
          Corporate Debt Securities
        
        
          CARRIZO OIL &amp; GAS INC          SR NT 6.25%23
          549300EFOWPEB0WLZW21
          
            2023-04-15
          
          6.250000
          5954000.00
          3829579.72
          Corporate Debt Securities
        
        
          CARRIZO OIL &amp; GAS INC          SR NT 8.25%25
          549300EFOWPEB0WLZW21
          
            2025-07-15
          
          8.250000
          5397000.00
          3119690.87
          Corporate Debt Securities
        
        
          CITIGROUP INC                  SB GLBL NT4.4%25
          6SHGI4ZSSLCXXQSBB395
          
            2025-06-10
          
          4.400000
          1055000.00
          1207792.13
          Corporate Debt Securities
        
        
          DIAGEO CAP PLC                 SR NT 2.625%23
          213800L23DJLALFC4O95
          
            2023-04-29
          
          2.625000
          516000.00
          542656.99
          Corporate Debt Securities
        
        
          FORT BENNING FAMILY CMNTYS LLC -I -2005 144A 41
          
            2041-01-15
          
          0.478630
          7500000.00
          5263368.93
          Corporate Debt Securities
        
        
          SINOPEC GRP OVERSEAS DEV 2018  SR GLBL REGS 48
          549300C6OZZ8LTVR8209
          
            2048-09-12
          
          4.600000
          1245000.00
          1587063.75
          Corporate Debt Securities
        
        
          LIBERTY MUT GROUP INC          SR GLBL REGS 60
          QUR0DG15Z6FFGYCHH861
          
            2060-05-15
          
          3.950000
          150000.00
          179029.08
          Corporate Debt Securities
        
        
          SUMMIT MIDSTREAM HLDGS LLC /   SR NT 5.75%25
          
            2025-04-15
          
          5.750000
          2542000.00
          1657737.06
          Corporate Debt Securities
        
        
          TOLEDO HOSPITAL                SR SEC BD 45
          5493009DCR7NWV6K4T34
          
            2045-11-15
          
          4.982000
          9895000.00
          10509043.02
          Corporate Debt Securities
        
        
          TENAGA NASIONAL BHD            SR GLBL REGS 25
          549300FV8X6UID6I1413
          
            2025-11-01
          
          7.500000
          17600000.00
          22587341.33
          Corporate Debt Securities
        
      
      Y
      2021-01-05
      2021-01-05
      2021-01-05
      N
      N
      N
      0.0030
      144998509.40
      144998509.40
      0.0015
      N
      N
      Y
      N
    
    
      CREDIT SUISSE SECURITIES (USA) LLC
      CREDIT SUISSE SECURITIES (USA) LLC 0.530000%
      1V8Y6QCX6YMJ2OELII46
      0001230485
      ARP0P1OB4
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          FIRSTKEY HOMES TR 2020-SFR1    F2     20370819 4.2
          
            2037-08-19
          
          4.284000
          1000000.00
          1038171.00
          Asset-Backed Securities
        
        
          CPS AUTO RECV TR 2020-A        E      20251215 4.0
          
            2025-12-15
          
          4.090000
          2000000.00
          2046005.56
          Asset-Backed Securities
        
        
          CSMC 2020-RPL5 TR              A-IO-S 20600825 FLT
          
            2060-08-25
          
          0.200000
          283149824.00
          46742.67
          Asset-Backed Securities
        
        
          CSMC 2020-RPL4                 XS     20600125 FLT
          
            2060-01-25
          
          0.00
          440204800.00
          19036259.83
          Asset-Backed Securities
        
        
          CSMC TR 2018-RPL8              A-1    20580725 FLT
          
            2058-07-25
          
          4.125000
          10000000.00
          7063885.52
          Asset-Backed Securities
        
        
          BANC AMERICA FDG 2014-R7       2A2    20360926 FLT
          549300UKLRORHBR16839
          
            2036-09-26
          
          4.282500
          6602832.00
          2023784.03
          Asset-Backed Securities
        
        
          JP MORGAN RESEC TR 2015-1      3-A-3  20461228 FLT
          
            2046-12-28
          
          0.340130
          6418200.00
          3119351.10
          Asset-Backed Securities
        
        
          BAIN CAP CR CLO 2020-5 LTD
          
            2032-01-20
          
          0.00
          4100000.00
          3472728.70
          Asset-Backed Securities
        
        
          CONTINENTAL FIN CRC MT TR 20-A B      20281215 3.6
          
            2028-12-15
          
          3.660000
          2000000.00
          2007023.33
          Asset-Backed Securities
        
        
          AFFIRM ASSET SEC TR 2020-A     B      20250218 0.0
          
            2025-02-18
          
          3.540000
          1000000.00
          1020191.33
          Asset-Backed Securities
        
        
          BCAP LLC TR 2013-RR9           4A5    20371027 FLT
          
            2037-10-27
          
          3.214390
          6373900.00
          2692407.75
          Asset-Backed Securities
        
        
          BCAP LLC TR 2014-RR3           1A2    20361126 FLT
          
            2036-11-26
          
          0.290130
          4576000.00
          2771875.40
          Asset-Backed Securities
        
        
          BNC MTG LN TR 2007-3           M1     20370725 FLT
          
            2037-07-25
          
          0.418000
          7500000.00
          971549.26
          Asset-Backed Securities
        
        
          BNC MTG LN TR 2007-2           M1     20370525 FLT
          
            2037-05-25
          
          0.488000
          30515000.00
          1556676.42
          Asset-Backed Securities
        
        
          BAFC 2016-R2 1A2
          
            2033-05-02
          
          9.543530
          5782760.00
          5232811.31
          Asset-Backed Securities
        
        
          U.S. AUTO FUNDING TRUST 2020-1 B      20240515 3.2
          
            2024-05-15
          
          3.220000
          3193520.00
          3281310.22
          Asset-Backed Securities
        
        
          VIVINT SOLAR FIN IV 2018-2     B      20230828 4.7
          549300KHKRGT8VQJON84
          
            2023-08-28
          
          5.005880
          8341800.00
          7257998.93
          Asset-Backed Securities
        
        
          ACC TRUST 2020-A               A      20230320 6.0
          
            2023-03-20
          
          6.000000
          10770000.00
          7988197.79
          Asset-Backed Securities
        
        
          ALM VII R-2 LTD 2013-7R-2R     SUB-NT 21161015 FLT
          549300QWNMCKH2N9ZJ05
          
            2116-10-15
          
          0.00
          5150432.00
          1545129.60
          Asset-Backed Securities
        
        
          CARVANA AUTO REC TR 2020-NP1   E      20270715 5.2
          
            2027-07-15
          
          5.200000
          8500000.00
          9014888.44
          Asset-Backed Securities
        
        
          CATHEDRAL LAKE  IV 2016-4      SUB    20281020 FLT
          
            2028-10-20
          
          0.00
          7000000.00
          1260000.00
          Asset-Backed Securities
        
        
          NATIONAL COLL ST LN TR 2007-4  A3-AR4 20380325 0.0
          
            2038-03-25
          
          0.00
          5715792.00
          1716738.13
          Asset-Backed Securities
        
        
          NATIONAL COLLEGIATE 2007-3     UNT 144A03/31/38
          
            2038-03-31
          
          0.00
          10825000.00
          3124961.00
          Asset-Backed Securities
        
        
          CONTINENTAL CR CARD 2019-1     C      20260815 6.1
          5493002QR2K2E0R56Z02
          
            2026-08-15
          
          6.160000
          10000000.00
          10395107.78
          Asset-Backed Securities
        
        
          CSMC TR 2019-RPL1              SA     20580725 FLT
          
            2058-07-25
          
          3.769800
          1179188.00
          477076.69
          Asset-Backed Securities
        
        
          CSMC TR 2019-JR1               SA     20660927 FLT
          
            2066-09-27
          
          0.00
          1174124.00
          431588.22
          Asset-Backed Securities
        
        
          CSMC TR 2019-JR1               PT     20660927 FLT
          
            2066-09-27
          
          8.606520
          36564480.00
          23703298.45
          Asset-Backed Securities
        
        
          CSMC 2019-RPL8 TR              A-IO-S 20581025 FLT
          
            2058-10-25
          
          0.200000
          238510080.00
          2899480.95
          Asset-Backed Securities
        
        
          CSMC 2019-RPL10                A-IO-S 20591225 FLT
          
            2059-12-25
          
          0.200000
          278794240.00
          1947949.48
          Asset-Backed Securities
        
        
          CPS AUTO RECEIVABLES TR 2020-C E      20270515 4.2
          
            2027-05-15
          
          4.220000
          2425000.00
          2509512.60
          Asset-Backed Securities
        
        
          CSMC 2020-RPL5 TR              A-2    20600825 FLT
          
            2060-08-25
          
          4.250000
          30863600.00
          30601619.48
          Asset-Backed Securities
        
        
          CSFB NIM TR HEAT 2005-1 NIM34  A      20350627 4.7
          
            2035-06-27
          
          4.750000
          17350000.00
          10037.22
          Asset-Backed Securities
        
        
          CSFB NIM TR HEAT 2005-3 NIM36  A      20350927 5.2
          
            2035-09-27
          
          5.250000
          17400000.00
          19575.44
          Asset-Backed Securities
        
        
          CSFB NIM TR HEAT 2005-6 NIM39  A      20360127 6.0
          
            2036-01-27
          
          6.000000
          9599990.00
          13447.96
          Asset-Backed Securities
        
        
          CSFB NIM TR HEAT 2005-7 NIM40  B      20360227 6.5
          
            2036-02-27
          
          6.500000
          1925000.00
          10446.33
          Asset-Backed Securities
        
        
          CSMC 2020-RPL4                 B-3    20600125 FLT
          
            2060-01-25
          
          4.021250
          10124140.00
          6760587.22
          Asset-Backed Securities
        
        
          CSMC 2020-RPL4                 B-4    20600125 FLT
          
            2060-01-25
          
          4.021250
          10125728.00
          6087922.20
          Asset-Backed Securities
        
        
          CSMC 2020-RPL4                 A-IO-S 20600125 FLT
          
            2060-01-25
          
          0.300000
          419376128.00
          5452699.87
          Asset-Backed Securities
        
        
          CIM RR TRUST 2017-3            B2     20570129 FLT
          
            2057-01-29
          
          12.264500
          270000.00
          261211.08
          Asset-Backed Securities
        
        
          CLAS 2019-1 LTD                CTF    20390415 0.0
          549300MHTIBONNXM3R82
          
            2039-04-15
          
          0.00
          3000000.00
          2457075.00
          Asset-Backed Securities
        
        
          CMO HLDG II BSABS HE11 2005-11 A-1    20351125 5.5
          
            2035-11-25
          
          5.500000
          3150000.00
          479478.59
          Asset-Backed Securities
        
        
          CSMC SERIES 2014-4R            16A4   20360227 FLT
          
            2036-02-27
          
          0.349250
          5561352.00
          2952801.28
          Asset-Backed Securities
        
        
          CWABS INC 2006-12              M-1    20361225 FLT
          
            2036-12-25
          
          0.598000
          10000000.00
          833542.05
          Asset-Backed Securities
        
        
          FHLT 2004-3 M6
          
            2034-11-25
          
          2.248000
          3034000.00
          18091.73
          Asset-Backed Securities
        
        
          GSAA HEQ TR 2004-9             B-1    20340925 FLT
          
            2034-09-25
          
          4.270930
          1491000.00
          545884.34
          Asset-Backed Securities
        
        
          BANC AMERICA FDG 2014-R7       1A2    20360528 FLT
          549300UKLRORHBR16839
          
            2036-05-28
          
          0.548022
          3540330.00
          1959992.57
          Asset-Backed Securities
        
        
          BANC AMERICA FDG 2014-R8       A2     20360626 FLT
          5493001796TAQ7M7QX12
          
            2036-06-26
          
          0.388000
          5880000.00
          3815364.64
          Asset-Backed Securities
        
        
          BR STRS ASSET BK SCS I LLC 07 AC5 B04
          549300CUU775YBZUP744
          
            2026-02-15
          
          15.976900
          11000000.00
          7249488.48
          Asset-Backed Securities
        
        
          BAYVIEW FINANCIAL TR 2007-SSR1 M-1    20370325 FLT
          
            2037-03-25
          
          1.746630
          12600000.00
          1781356.17
          Asset-Backed Securities
        
        
          CSMC TRUST 2015-3              B-1    20450325 FLT
          
            2045-03-25
          
          3.918660
          500000.00
          367164.53
          Private Label Collateralized Mortgage Obligations
        
        
          GS MORTGAGE SECS CORP 2003-9   A1     20330825 FLT
          
            2033-08-25
          
          2.080380
          30000000.00
          67950.01
          Private Label Collateralized Mortgage Obligations
        
        
          CMO HLDGS III 2008-R2          II-A-2 20470625 FLT
          
            2047-06-25
          
          3.000550
          11733600.00
          2162159.68
          Private Label Collateralized Mortgage Obligations
        
        
          ADJUSTABLE RATE MTG 2005-7     3-A-1  20351025 FLT
          
            2035-10-25
          
          3.307290
          2500000.00
          43896.23
          Private Label Collateralized Mortgage Obligations
        
        
          BCAP LLC TR 2010-RR6           6A2    20370728 FLT
          
            2037-07-28
          
          9.300000
          700000.00
          99777.36
          Private Label Collateralized Mortgage Obligations
        
        
          MRCD 2019-PARK MORTGAGE TRUST  F      20361215 2.7
          
            2036-12-15
          
          2.717520
          315000.00
          302772.52
          Private Label Collateralized Mortgage Obligations
        
        
          BA MTG TRUST 2006-B            4-A-1  20461020 FLT
          
            2046-10-20
          
          3.077030
          18489600.00
          309852.66
          Private Label Collateralized Mortgage Obligations
        
        
          BANC AMERICA FDG 2007-5        7-A-5  20470725 6.5
          
            2047-07-25
          
          6.500000
          17621000.00
          4561366.28
          Private Label Collateralized Mortgage Obligations
        
        
          BANC AMERICA FDG 2010-R8       1-A-4  20360528 5.7
          
            2036-05-28
          
          5.750000
          4138712.00
          692088.88
          Private Label Collateralized Mortgage Obligations
        
        
          CSMC SERIES 2010-2R            2-A-16 20361028 FLT
          
            2036-10-28
          
          3.087660
          32502336.00
          10991852.40
          Private Label Collateralized Mortgage Obligations
        
        
          CSMC SERIES 2010-17R           8-B-1  20350227 0.0
          
            2035-02-27
          
          0.010000
          356771.00
          93798.07
          Private Label Collateralized Mortgage Obligations
        
        
          GSR MTG TR 2004-13F            B1     20341125 FLT
          
            2034-11-25
          
          6.503030
          2280000.00
          366887.70
          Private Label Collateralized Mortgage Obligations
        
        
          GS MTG SECS TR 2015-GC28       D      20480212 FLT
          5493002EPQ51IPGGFX73
          
            2048-02-12
          
          4.325650
          16000000.00
          14322443.37
          Private Label Collateralized Mortgage Obligations
        
        
          CSMC SER 2019-11R
          
            2045-09-25
          
          3.502130
          164017400.00
          13236431.93
          Private Label Collateralized Mortgage Obligations
        
        
          CWABS TRUST 2005-HYB9          3-A-1A 20360220 FLT
          
            2036-02-20
          
          2.195250
          2400000.00
          117966.85
          Private Label Collateralized Mortgage Obligations
        
        
          GSR MTG TR 2005-5F             B2     20350625 FLT
          
            2035-06-25
          
          5.692530
          5000000.00
          25330.66
          Private Label Collateralized Mortgage Obligations
        
        
          GSR MTG TR 2004-10F            B2     20340925 FLT
          
            2034-09-25
          
          5.972770
          4832000.00
          411656.40
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2004-J2              B-1    20340425 FLT
          
            2034-04-25
          
          5.805210
          3980000.00
          901957.28
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2004-22CB            M      20341025 FLT
          
            2034-10-25
          
          6.008300
          14232700.00
          3857312.95
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2004-J7              M-2    20341025 FLT
          
            2034-10-25
          
          1.873000
          3111000.00
          540010.86
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2005-9CB             1-A-1  20350525 FLT
          
            2035-05-25
          
          0.648000
          25000000.00
          1588773.29
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2005-27              2-A-1  20350825 FLT
          
            2035-08-25
          
          1.959430
          297000.00
          29778.01
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2005-28CB            2-A-5  20350825 5.7
          
            2035-08-25
          
          5.750000
          3000000.00
          61630.17
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT 2005-J13 2A1
          
            2035-11-25
          
          0.848000
          10605000.00
          436552.95
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT
          
            2035-11-25
          
          0.628000
          11670000.00
          412634.85
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2005-56              5-A-3  20351125 FLT
          
            2035-11-25
          
          0.928000
          29657999.00
          28919.20
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2005-77T1            1-A-3  20360225 FLT
          
            2036-02-25
          
          0.548000
          47100000.00
          2084372.55
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2005-76              2-A-2  20360225 FLT
          
            2036-02-25
          
          2.309430
          10100800.00
          125223.54
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2005-85CB            2-A-5  20360225 FLT
          
            2036-02-25
          
          1.248000
          17712704.00
          2920370.45
          Private Label Collateralized Mortgage Obligations
        
        
          CSMC 2015 PR1 TR
          
            2055-02-25
          
          4.201740
          16368000.00
          12168852.74
          Private Label Collateralized Mortgage Obligations
        
        
          CSMC TRUST 2017-CHOP           G      20320715 FLT
          
            2032-07-15
          
          5.508630
          200000.00
          140816.86
          Private Label Collateralized Mortgage Obligations
        
        
          COMM MTG TR 2014-UBS3          F      20470612 3.5
          
            2047-06-12
          
          3.525000
          2500000.00
          1647648.75
          Private Label Collateralized Mortgage Obligations
        
        
          COMM MTG TR 2014-UBS3          G      20470612 3.5
          
            2047-06-12
          
          3.525000
          1000000.00
          606052.50
          Private Label Collateralized Mortgage Obligations
        
        
          COMM MTG TR 2014-CCRE21        H      20471212 3.0
          
            2047-12-12
          
          3.000000
          6187000.00
          1893686.02
          Private Label Collateralized Mortgage Obligations
        
        
          BEAR STEARNS ALT-A 2006-1      II-2A1 20360225 FLT
          
            2036-02-25
          
          2.912800
          8877200.00
          1332464.68
          Private Label Collateralized Mortgage Obligations
        
        
          BEAR STEARNS ALT-A 2005-5      II-4A1 20350725 FLT
          
            2035-07-25
          
          3.630300
          30000000.00
          2140881.79
          Private Label Collateralized Mortgage Obligations
        
        
          BEAR STEARNS ALT-A 2005-7      II-5A1 20350925 FLT
          
            2035-09-25
          
          3.101410
          30000000.00
          1218842.42
          Private Label Collateralized Mortgage Obligations
        
        
          BEAR STEARNS ARM TR 2007-5     III-A1 20470825 FLT
          
            2047-08-25
          
          3.445780
          9409000.00
          637896.66
          Private Label Collateralized Mortgage Obligations
        
        
          BEAR STEARNS ASSET BK 2004-AC2 II-A   20340525 5.0
          
            2034-05-25
          
          5.000000
          5000000.00
          52761.91
          Private Label Collateralized Mortgage Obligations
        
        
          BEAR STRNS MTG FDG 2006-AR3    II-A2A 20361125 FLT
          
            2036-11-25
          
          0.388000
          24518000.00
          1403312.23
          Private Label Collateralized Mortgage Obligations
        
        
          BX TRUST 2018-EXCL             C      20370915 FLT
          
            2037-09-15
          
          2.133630
          6000000.00
          4435862.14
          Private Label Collateralized Mortgage Obligations
        
        
          CWMBS CHL MTG TR 2006-21       A-6    20370225 FLT
          
            2037-02-25
          
          0.518000
          2050000.00
          78499.75
          Private Label Collateralized Mortgage Obligations
        
        
          CWMBS CHL MTG TR 2007-3        A-14   20370425 FLT
          
            2037-04-25
          
          0.548000
          10007136.00
          271904.92
          Private Label Collateralized Mortgage Obligations
        
        
          FIRST HORIZON ALT 2006-AA5     A-1    20360925 FLT
          
            2036-09-25
          
          2.739210
          2600000.00
          152433.58
          Private Label Collateralized Mortgage Obligations
        
        
          NEW RESI MTG LN TR 2015-2      B-6    20550825 FLT
          
            2055-08-25
          
          5.523950
          2700000.00
          1760891.05
          Private Label Collateralized Mortgage Obligations
        
        
          CHASE MORTGAGE FIN TR 2007-S5  2-A1   20370725 5.5
          
            2037-07-25
          
          5.500000
          63280000.00
          823518.03
          Private Label Collateralized Mortgage Obligations
        
        
          CHASE MORTGAGE FIN TR 2007-S3  1-A1   20370525 FLT
          
            2037-05-25
          
          0.748000
          180000000.00
          5970036.46
          Private Label Collateralized Mortgage Obligations
        
        
          COMM MTG TR 2020-CBM           F      20370212 FLT
          
            2037-02-12
          
          3.632690
          2000000.00
          1689438.48
          Private Label Collateralized Mortgage Obligations
        
        
          BANC AMERICA FDG 2005-H        5-A-1  20351120 FLT
          
            2035-11-20
          
          2.529480
          500000.00
          70292.88
          Private Label Collateralized Mortgage Obligations
        
        
          BANC OF AMERICA 6% 07/46
          
            2046-07-25
          
          6.000000
          6173000.00
          904799.22
          Private Label Collateralized Mortgage Obligations
        
        
          BA ALTERNATIVE LN TR 2005-9    1-CB-3 20351025 5.5
          
            2035-10-25
          
          5.500000
          150000.00
          9511.81
          Private Label Collateralized Mortgage Obligations
        
        
          BA ALTERNATIVE LN TR 2006-9    A-2    20370125 FLT
          
            2037-01-25
          
          0.548000
          14100000.00
          1361489.52
          Private Label Collateralized Mortgage Obligations
        
        
          BOAA 2006-5 CB10
          
            2046-06-25
          
          0.548000
          6080000.00
          231611.41
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2006-8T1             2-A-4  20360425 5.5
          
            2036-04-25
          
          5.500000
          1351000.00
          14755.50
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2006-OA17            1-A1-D 20461220 FLT
          
            2046-12-20
          
          0.441630
          2818596.00
          1948603.32
          Private Label Collateralized Mortgage Obligations
        
        
          CWMBS CHL MTG TR 2006-10       1-A-4  20360525 FLT
          
            2036-05-25
          
          0.648000
          40195000.00
          1133234.46
          Private Label Collateralized Mortgage Obligations
        
        
          CWMBS INC 2005-29              A-1    20351225 5.7
          
            2035-12-25
          
          5.750000
          754995.00
          47966.42
          Private Label Collateralized Mortgage Obligations
        
        
          CWMBS, INC.                    M      20321125 FLT
          
            2032-11-25
          
          6.794840
          8924970.00
          325603.41
          Private Label Collateralized Mortgage Obligations
        
        
          CWMBS INC 2004-10              B-1    20340725 5.0
          
            2034-07-25
          
          5.000000
          1500000.00
          20548.68
          Private Label Collateralized Mortgage Obligations
        
        
          CHL MORTGAGE VAR 02/35
          
            2035-02-25
          
          3.812770
          5350000.00
          55147.40
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC ALT LN TR 2006-J3    1-A-1  20360525 FLT
          
            2036-05-25
          
          0.548000
          18896000.00
          176119.24
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2006-29T1            1-A-4  20361025 FLT
          
            2036-10-25
          
          0.548000
          7742104.00
          492775.73
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2007-HY4             4-A-1  20370625 FLT
          
            2037-06-25
          
          3.446490
          2700000.00
          233317.68
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2007-20              A-1    20470825 FLT
          
            2047-08-25
          
          0.648000
          13000000.00
          1308329.99
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2007-18CB            1-A-2  20370825 FLT
          
            2037-08-25
          
          0.618000
          25000000.00
          1694493.00
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT RESECURI 2008-1R         1-A-1  20370825 FLT
          
            2037-08-25
          
          0.620130
          34855000.00
          2537906.97
          Private Label Collateralized Mortgage Obligations
        
        
          AMERICAN HOME MTG 2005-2       I-A-2  20450925 FLT
          
            2045-09-25
          
          0.848000
          13206800.00
          651274.15
          Private Label Collateralized Mortgage Obligations
        
        
          AMERICAN HM ASSETS 2005-2      1-A-1  20360125 FLT
          
            2036-01-25
          
          0.688000
          5277000.00
          72555.67
          Private Label Collateralized Mortgage Obligations
        
        
          ATRIUM HOTEL PORT TR 2018-ATRM G      20350615 FLT
          
            2035-06-15
          
          5.759000
          8360000.00
          5615709.24
          Private Label Collateralized Mortgage Obligations
        
        
          BCAP LLC TR 2012-RR12          4A5    20360428 FLT
          
            2036-04-28
          
          3.668070
          5007752.00
          2872429.30
          Private Label Collateralized Mortgage Obligations
        
        
          LEHMAN MTG TR 2005-3           1-A6   20360125 FLT
          
            2036-01-25
          
          0.648000
          675000.00
          33929.62
          Private Label Collateralized Mortgage Obligations
        
        
          LMT 2005-3 4A1
          
            2036-01-25
          
          5.185340
          1400000.00
          97788.12
          Private Label Collateralized Mortgage Obligations
        
        
          LEHMAN MTG TR 2007-3           1-A3   20370425 FLT
          
            2037-04-25
          
          0.448000
          19882800.00
          811530.99
          Private Label Collateralized Mortgage Obligations
        
        
          LEHMAN XS TRUST 2006-7         1-A1A  20360525 FLT
          
            2036-05-25
          
          0.468000
          45800000.00
          3905011.92
          Private Label Collateralized Mortgage Obligations
        
        
          MTRO COMM MTG TR 2019-TECH     E      20331215 FLT
          
            2033-12-15
          
          2.208630
          8480000.00
          7685870.16
          Private Label Collateralized Mortgage Obligations
        
        
          MORGAN STAN CAP I TR 2017-ASHF G      20341115 FLT
          
            2034-11-15
          
          7.059000
          12050000.00
          8162734.27
          Private Label Collateralized Mortgage Obligations
        
      
      Y
      2021-04-05
      2021-04-05
      2021-07-06
      Y
      
        Credit Suisse Securities (USA) LLC
        1.0000
        95
        N
      
      N
      N
      0.0068
      299773902.00
      299773902.00
      0.0032
      N
      N
      N
      Y
    
    
      CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
      CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA 0.180000%
      1VUV7VQFKUOQSJ21A208
      0001330437
      ARP0P1P98
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          BANK NOVA SCOTIA B C           ALT TIER I PERP
          L3I9ZG2KFGXZ61BMYR72
          
            2099-12-31
          
          4.900000
          119.00
          129.28
          Corporate Debt Securities
        
        
          INTERNATIONAL BUSINESS MACHS   SR GLBL NT 3%24
          VGRQXHF3J8VDLUA7XE92
          
            2024-05-15
          
          3.000000
          6.00
          6.52
          Corporate Debt Securities
        
        
          JPMORGAN CHASE &amp; CO            SR NT 2.7%23
          8I5DZWZKVSZI1NUHU748
          
            2023-05-18
          
          2.700000
          40270000.00
          42465319.05
          Corporate Debt Securities
        
        
          LLOYDS TSB GROUP PLC           ALT TIER I PERP
          549300PPXHEU2JF0AM85
          
            2049-12-29
          
          7.500000
          314466.00
          361832.44
          Corporate Debt Securities
        
        
          PEPSICO INC                    SR GLBL NT 3%27
          FJSUNZKFNQ5YPJ5OT455
          
            2027-10-15
          
          3.000000
          98000.00
          111195.05
          Corporate Debt Securities
        
        
          SKYMILES IP LTD & DELTA AIR LI SR SEC 144A 28
          
            2028-10-20
          
          4.750000
          26558056.00
          29312406.74
          Corporate Debt Securities
        
        
          TOYOTA MOTOR CORP              3.669%28
          5493006W3QUS5LMH6R84
          
            2028-07-20
          
          3.669000
          35000000.00
          41730800.42
          Corporate Debt Securities
        
        
          DISNEY WALT CO                 SR GLBL NT 26
          549300GZKULIZ0WOW665
          
            2026-01-13
          
          1.750000
          376941.00
          399144.08
          Corporate Debt Securities
        
        
          PROVINCE OF QUEBEC             SR GLBL QW NT 24
          549300WN65YFEQH74Y36
          
            2024-04-09
          
          2.500000
          1.00
          1.08
          Corporate Debt Securities
        
        
          TAKEDA PHARMACEUTICAL CO LTD   GLBL NT 4%21
          549300ZLMVP4X0OGR454
          
            2021-11-26
          
          4.000000
          11000.00
          11367.06
          Corporate Debt Securities
        
        
          3M CO                          SR GLBL NT 29
          LUZQVYP4VS22CLWDAR65
          
            2029-08-26
          
          2.375000
          12471220.00
          13580242.29
          Corporate Debt Securities
        
        
          VINCI SA                       SR GLBL REGS 29
          213800WFQ334R8UXUG83
          
            2029-04-10
          
          3.750000
          68041.00
          80262.75
          Corporate Debt Securities
        
        
          BANCO DO BRASIL S A GRAND CAYM FR 4.625%011525
          QE0Q0253K88YAGNPE356
          
            2025-01-15
          
          4.625000
          1117000.00
          1241208.07
          Corporate Debt Securities
        
        
          HANWHA LIFE INS CO LTD         PERP SUB GLBL
          988400ZKCI3R9DQHR320
          
            2048-04-23
          
          4.700000
          1.00
          1.04
          Corporate Debt Securities
        
      
      Y
      2021-01-06
      2021-01-06
      2021-01-06
      N
      N
      N
      0.0018
      123000033.21
      123000033.21
      0.0013
      N
      N
      Y
      N
    
    
      ROYAL BANK OF CANADA
      ROYAL BANK OF CANADA 0.100000%
      ES7IP3U3RHIGC71XBU11
      0000352613
      ARP0P1PP2
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          FNRM CL019PA R20F019
          
            2046-02-25
          
          3.000000
          1755693.00
          1041525.11
          Agency Collateralized Mortgage Obligation
        
        
          Freddie Mac
          S6XOOCT0IEG5ABCC6L87
          
            2046-08-15
          
          4.000000
          16483086.00
          4701658.38
          Agency Collateralized Mortgage Obligation
        
        
          Freddie Mac
          S6XOOCT0IEG5ABCC6L87
          
            2042-02-15
          
          3.500000
          9081621.00
          1882372.00
          Agency Collateralized Mortgage Obligation
        
        
          Freddie Mac
          S6XOOCT0IEG5ABCC6L87
          
            2037-07-15
          
          4.000000
          2767278.00
          2825723.83
          Agency Collateralized Mortgage Obligation
        
        
          Freddie Mac
          S6XOOCT0IEG5ABCC6L87
          
            2031-10-15
          
          4.500000
          1285.00
          849.42
          Agency Collateralized Mortgage Obligation
        
        
          GNII SF BY2828 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.000000
          2388985.00
          2684114.92
          Agency Mortgage-Backed Securities
        
        
          GNII SF BN0312 C
          549300M8ZYFG0OCMTT87
          
            2049-10-20
          
          3.000000
          640441.00
          570087.04
          Agency Mortgage-Backed Securities
        
        
          GNII SF BP7589 C
          549300M8ZYFG0OCMTT87
          
            2049-11-20
          
          5.000000
          1267795.00
          632850.22
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX2922 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.500000
          3821.00
          4064.39
          Agency Mortgage-Backed Securities
        
        
          03.500 FGPC D98878 G
          
            2032-01-01
          
          3.500000
          10916.00
          2653.83
          Agency Mortgage-Backed Securities
        
        
          FMAR 1N1458 G
          
            2037-03-01
          
          1.945000
          1213.00
          36.31
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZS4747
          
            2047-12-01
          
          3.500000
          43777500.00
          20699879.76
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.650 MY386259
          B1V7KEBTPIMZEU4LTD58
          
            2023-06-01
          
          4.650000
          3750938.00
          2484446.65
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.860 MYAM4609
          B1V7KEBTPIMZEU4LTD58
          
            2023-10-01
          
          3.860000
          1795000.00
          1729804.79
          Agency Mortgage-Backed Securities
        
        
          FNAR XX.XXX LBAO4094
          B1V7KEBTPIMZEU4LTD58
          
            2042-05-01
          
          2.881000
          5202.00
          170.74
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLBA5854
          B1V7KEBTPIMZEU4LTD58
          
            2046-02-01
          
          3.000000
          300612.00
          209987.00
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLBC0894
          B1V7KEBTPIMZEU4LTD58
          
            2046-05-01
          
          3.500000
          1198288.00
          651159.53
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLBE3469
          B1V7KEBTPIMZEU4LTD58
          
            2047-03-01
          
          4.500000
          259236.00
          66899.24
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLBE7479
          B1V7KEBTPIMZEU4LTD58
          
            2047-02-01
          
          4.000000
          1168456.00
          760019.10
          Agency Mortgage-Backed Securities
        
        
          FNAR XX.XXX LBBH0596
          B1V7KEBTPIMZEU4LTD58
          
            2047-06-01
          
          3.222000
          4707504.00
          1158486.46
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLBH6668
          B1V7KEBTPIMZEU4LTD58
          
            2047-08-01
          
          4.000000
          329000.00
          131667.24
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLBJ3436
          B1V7KEBTPIMZEU4LTD58
          
            2048-02-01
          
          3.500000
          945968.00
          729314.06
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLBK0922
          B1V7KEBTPIMZEU4LTD58
          
            2048-07-01
          
          4.500000
          27988892.00
          11673587.23
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLBK1019
          B1V7KEBTPIMZEU4LTD58
          
            2048-02-01
          
          4.000000
          3711965.00
          2668104.41
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLBK1189
          B1V7KEBTPIMZEU4LTD58
          
            2048-02-01
          
          4.000000
          1437264.00
          1117534.62
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CLBK6160
          B1V7KEBTPIMZEU4LTD58
          
            2048-09-01
          
          5.000000
          1380972.00
          1083797.11
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLBP2370
          B1V7KEBTPIMZEU4LTD58
          
            2050-03-01
          
          4.500000
          1200910.00
          906179.85
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLBQ5298
          B1V7KEBTPIMZEU4LTD58
          
            2050-11-01
          
          2.500000
          2826739.00
          3002101.33
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLBQ5392
          B1V7KEBTPIMZEU4LTD58
          
            2050-11-01
          
          2.500000
          2492976.00
          2627565.72
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLBQ9834
          B1V7KEBTPIMZEU4LTD58
          
            2050-12-01
          
          2.500000
          373255.00
          394120.83
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLBQ9218
          B1V7KEBTPIMZEU4LTD58
          
            2051-01-01
          
          2.500000
          3219875.00
          3414903.90
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 GLCA8001
          B1V7KEBTPIMZEU4LTD58
          
            2050-12-01
          
          2.000000
          21926171.00
          21975471.38
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLCA7527
          B1V7KEBTPIMZEU4LTD58
          
            2050-10-01
          
          2.500000
          2865112.00
          3032469.57
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLCA7601
          B1V7KEBTPIMZEU4LTD58
          
            2050-11-01
          
          2.500000
          4207983.00
          4449072.20
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA0279 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          2598829.00
          2813607.49
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA0722 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          2755726.00
          2966344.30
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA2522 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          2892536.00
          3066899.03
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA7045 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          2573322.00
          2770875.93
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA7047 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          2840927.00
          3037868.58
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA8433 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          1000.00
          1099.43
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY6554 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          3342672.00
          3544176.07
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ0771 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          2474685.00
          2673122.57
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ0854 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          387792.00
          419370.29
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ0871 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.500000
          2514734.00
          2790342.98
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ0765 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          2570205.00
          2776309.74
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ1638 C
          549300M8ZYFG0OCMTT87
          
            2041-11-20
          
          4.500000
          1364947.00
          1490178.17
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ1641 C
          549300M8ZYFG0OCMTT87
          
            2040-04-20
          
          5.000000
          1572992.00
          1739948.95
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ1645 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          4.500000
          1324496.00
          1473474.57
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ3533 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          1433157.00
          1530238.10
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ3564 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.000000
          2582585.00
          2813700.53
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ2970 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          1959793.00
          2056112.91
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ3201 C
          549300M8ZYFG0OCMTT87
          
            2050-10-20
          
          3.000000
          552930.00
          580667.22
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ3257 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.500000
          1499798.00
          1599057.20
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ3380 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          1008.00
          1072.87
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ3389 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          4.500000
          1269404.00
          1415590.82
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ3637 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.000000
          2355334.00
          2645909.62
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ3642 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.000000
          1803305.00
          2025838.60
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ3761 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          1325855.00
          1411493.34
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ3810 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.000000
          1872447.00
          2036601.19
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ4106 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          1000.00
          1049.15
          Agency Mortgage-Backed Securities
        
        
          FMAR 2B1030 G
          
            2042-11-01
          
          2.025000
          9539.00
          290.61
          Agency Mortgage-Backed Securities
        
        
          FNAR XX.XXX MB957473
          B1V7KEBTPIMZEU4LTD58
          
            2031-10-01
          
          4.658000
          38266.00
          146.87
          Agency Mortgage-Backed Securities
        
        
          GNII SF BJ6555 C
          549300M8ZYFG0OCMTT87
          
            2048-11-20
          
          5.000000
          1081331.00
          464251.35
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.500 CLZN2802
          
            2049-01-01
          
          4.500000
          41185439.00
          22105552.57
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 CTZT0799
          
            2031-09-01
          
          5.000000
          45398116.00
          22434114.98
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CLSD8114
          
            2050-12-01
          
          2.500000
          24212444.00
          25476875.11
          Agency Mortgage-Backed Securities
        
        
          05.500 FGPC Q60000 G
          
            2048-11-01
          
          5.500000
          1605470.00
          1541750.65
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLCA1377
          B1V7KEBTPIMZEU4LTD58
          
            2048-03-01
          
          3.500000
          40374937.00
          20486953.72
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLCA5146
          B1V7KEBTPIMZEU4LTD58
          
            2050-02-01
          
          3.000000
          23707311.00
          22899485.10
          Agency Mortgage-Backed Securities
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2041-11-15
          
          3.125000
          191176900.00
          249999928.13
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2046-11-15
          
          2.875000
          19700.00
          25161.69
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2047-08-15
          
          2.750000
          6832100.00
          8608736.36
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-03-15
          
          2.375000
          813400.00
          822843.60
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-05-31
          
          2.125000
          892700.00
          901778.54
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-01-31
          
          2.125000
          608000.00
          614386.99
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-02-28
          
          2.000000
          710000.00
          716922.74
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-03-31
          
          2.250000
          287000.00
          290136.00
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-04-30
          
          1.375000
          489900.00
          493102.47
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-11-30
          
          1.750000
          85900.00
          87311.54
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-04-30
          
          2.250000
          521300.00
          526982.92
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-08-31
          
          1.500000
          209600.00
          212579.10
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2024-10-31
          
          1.500000
          2989500.00
          3139984.33
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-11-30
          
          1.500000
          1270000.00
          1287751.39
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2027-11-30
          
          0.625000
          1701100.00
          1700067.91
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2026-08-15
          
          6.750000
          194200.00
          266984.12
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-12-31
          
          0.125000
          184412700.00
          184405323.49
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-03-11
          
          0.00
          1043000.00
          1042822.69
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-05-11
          
          0.00
          250087500.00
          249999969.37
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-06
      2021-01-06
      2021-01-06
      N
      N
      N
      0.0010
      948000000.00
      948000000.00
      0.0101
      N
      N
      Y
      N
    
    
      FICC - BANK OF NEW YORK
      FICC - BANK OF NEW YORK 0.060000%
      549300H47WTHXPU08X20
      ARP0P22V2
      U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash
      Y
      
        N
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2040-05-15
          
          4.375000
          500000000.00
          759707696.13
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2044-08-15
          
          3.125000
          50000000.00
          66327937.50
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2023-01-31
          
          2.375000
          65000000.00
          68668100.84
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-02-15
          
          2.500000
          100000000.00
          103613400.00
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2026-06-30
          
          1.875000
          61470000.00
          66286789.20
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2026-01-15
          
          0.625000
          650000000.00
          794888901.49
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-07-15
          
          0.125000
          650000000.00
          758987281.96
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-04-15
          
          0.125000
          750000000.00
          819990357.62
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2028-07-15
          
          0.750000
          628200000.00
          757861215.13
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-09-15
          
          1.500000
          67000000.00
          68859431.01
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-01-31
          
          1.375000
          20186800.00
          21202735.27
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2030-02-15
          
          1.500000
          50000000.00
          53105250.00
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-03-31
          
          0.500000
          56141000.00
          56700935.53
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0006
      4310000000.00
      4310000000.00
      0.0458
      N
      Y
      Y
      N
    
    
      FICC - STATE STREET BANK AND TRUST CO
      FICC - STATE STREET BANK AND TRUST CO 0.060000%
      549300H47WTHXPU08X20
      ARP0P22Y6
      U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash
      Y
      
        N
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2028-02-15
          
          2.750000
          100000000.00
          115640650.00
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2028-11-15
          
          3.125000
          102899400.00
          122143438.96
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2027-12-31
          
          0.625000
          55059200.00
          54955964.00
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0006
      287000000.00
      287000000.00
      0.0030
      N
      Y
      Y
      N
    
    
      BOFA SECURITIES INC
      BOFA SECURITIES INC 0.080000%
      549300HN4UKV1E2R3U73
      0001675365
      ARP0P23X7
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          FNMS 02.500 CLCA8255
          B1V7KEBTPIMZEU4LTD58
          
            2050-12-01
          
          2.500000
          236764322.00
          250000000.05
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLFM5001
          B1V7KEBTPIMZEU4LTD58
          
            2050-04-01
          
          3.500000
          251919897.00
          249999999.73
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CLFM5217
          B1V7KEBTPIMZEU4LTD58
          
            2051-01-01
          
          2.000000
          239912019.00
          249999999.52
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CLMA4237
          B1V7KEBTPIMZEU4LTD58
          
            2050-12-01
          
          2.000000
          127494791.00
          132492161.82
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLFM3619
          B1V7KEBTPIMZEU4LTD58
          
            2050-01-01
          
          4.500000
          162447602.00
          119284257.24
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLFM5000
          B1V7KEBTPIMZEU4LTD58
          
            2050-07-01
          
          3.500000
          253649327.00
          249999999.81
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLMA4020
          B1V7KEBTPIMZEU4LTD58
          
            2050-05-01
          
          3.000000
          283116968.00
          249999999.46
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLMA4021
          B1V7KEBTPIMZEU4LTD58
          
            2050-05-01
          
          3.500000
          147973330.00
          129003583.06
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLMA4183
          B1V7KEBTPIMZEU4LTD58
          
            2050-11-01
          
          2.500000
          238980599.00
          249999999.63
          Agency Mortgage-Backed Securities
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0008
      1826000000.00
      1826000000.00
      0.0194
      N
      Y
      Y
      N
    
    
      BANK OF MONTREAL
      BANK OF MONTREAL 0.070000%
      NQQ6HPCNCCU6TUTQYE16
      0000009622
      ARP0P23Y5
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          GNPL PN BW4560
          549300M8ZYFG0OCMTT87
          
            2055-09-15
          
          3.070000
          1250000.00
          1367451.51
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BW4554
          549300M8ZYFG0OCMTT87
          
            2052-06-15
          
          2.720000
          1250000.00
          1350199.10
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BX1572
          549300M8ZYFG0OCMTT87
          
            2040-10-15
          
          2.500000
          50000.00
          52971.85
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BX1541
          549300M8ZYFG0OCMTT87
          
            2045-01-15
          
          2.440000
          250000.00
          264313.57
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY8329
          549300M8ZYFG0OCMTT87
          
            2052-10-15
          
          2.950000
          5703218.00
          6254293.34
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY8330
          549300M8ZYFG0OCMTT87
          
            2053-07-15
          
          3.000000
          1054930.00
          1160157.16
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY8337
          549300M8ZYFG0OCMTT87
          
            2051-08-15
          
          2.650000
          3576068.00
          3857384.16
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY9440
          549300M8ZYFG0OCMTT87
          
            2052-10-15
          
          2.900000
          4488641.00
          4928481.44
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BZ1227
          549300M8ZYFG0OCMTT87
          
            2050-11-15
          
          3.080000
          1250000.00
          1384643.68
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BZ1230
          549300M8ZYFG0OCMTT87
          
            2053-02-15
          
          2.630000
          1277698.00
          1377495.67
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BZ1232
          549300M8ZYFG0OCMTT87
          
            2055-11-15
          
          2.640000
          6000000.00
          6447732.04
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BZ1609
          549300M8ZYFG0OCMTT87
          
            2055-07-15
          
          2.600000
          1250000.00
          1338699.82
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BZ1611
          549300M8ZYFG0OCMTT87
          
            2051-09-15
          
          2.600000
          250000.00
          268022.83
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BZ1619
          549300M8ZYFG0OCMTT87
          
            2042-10-15
          
          2.100000
          1250000.00
          1294910.24
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BZ7184
          549300M8ZYFG0OCMTT87
          
            2054-10-15
          
          2.730000
          3877100.00
          4192215.18
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BZ9178
          549300M8ZYFG0OCMTT87
          
            2060-04-15
          
          3.350000
          2588638.00
          2896593.14
          Agency Mortgage-Backed Securities
        
        
          GNPL LM CA3370
          549300M8ZYFG0OCMTT87
          
            2050-07-15
          
          2.460000
          3974236.00
          4238610.13
          Agency Mortgage-Backed Securities
        
        
          GNPL LM CA3354
          549300M8ZYFG0OCMTT87
          
            2052-01-15
          
          2.730000
          5522782.00
          5983498.00
          Agency Mortgage-Backed Securities
        
        
          GNPL LM CA3356
          549300M8ZYFG0OCMTT87
          
            2042-03-15
          
          2.520000
          1265279.00
          1354598.84
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BA0360
          549300M8ZYFG0OCMTT87
          
            2054-01-15
          
          3.700000
          50000.00
          57260.60
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BK3098
          549300M8ZYFG0OCMTT87
          
            2058-05-15
          
          2.960000
          50000.00
          54199.54
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BM3640
          549300M8ZYFG0OCMTT87
          
            2055-11-15
          
          2.070000
          4000000.00
          4121474.87
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BQ9030
          549300M8ZYFG0OCMTT87
          
            2056-01-15
          
          3.150000
          522975.00
          580100.61
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BX1575
          549300M8ZYFG0OCMTT87
          
            2038-03-15
          
          2.530000
          50000.00
          52930.81
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BX1576
          549300M8ZYFG0OCMTT87
          
            2043-03-15
          
          2.530000
          50000.00
          53134.39
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BX1582
          549300M8ZYFG0OCMTT87
          
            2060-11-15
          
          2.350000
          6000000.00
          6276645.66
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BX1615
          549300M8ZYFG0OCMTT87
          
            2060-04-15
          
          3.250000
          1250000.00
          1391042.74
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BX3936
          549300M8ZYFG0OCMTT87
          
            2051-04-15
          
          2.470000
          250000.00
          265450.90
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BX4643
          549300M8ZYFG0OCMTT87
          
            2054-04-15
          
          3.160000
          250000.00
          280202.87
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BX5616
          549300M8ZYFG0OCMTT87
          
            2054-07-15
          
          3.240000
          1250000.00
          1391325.53
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BX5629
          549300M8ZYFG0OCMTT87
          
            2060-10-15
          
          2.970000
          991377.00
          1084126.05
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BX5644
          549300M8ZYFG0OCMTT87
          
            2060-11-15
          
          2.380000
          4800300.00
          5033203.06
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BY0675
          549300M8ZYFG0OCMTT87
          
            2060-10-15
          
          3.150000
          11973170.00
          13253270.46
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY0678
          549300M8ZYFG0OCMTT87
          
            2049-01-15
          
          3.160000
          1250000.00
          1389052.22
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY2797
          549300M8ZYFG0OCMTT87
          
            2060-03-15
          
          3.150000
          250000.00
          276497.99
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY2809
          549300M8ZYFG0OCMTT87
          
            2054-07-15
          
          2.900000
          5000000.00
          5470007.68
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY3400
          549300M8ZYFG0OCMTT87
          
            2060-03-15
          
          3.000000
          1250000.00
          1369428.50
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY3396
          549300M8ZYFG0OCMTT87
          
            2053-05-15
          
          3.040000
          100000.00
          109700.38
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY5328
          549300M8ZYFG0OCMTT87
          
            2049-12-15
          
          3.000000
          1250000.00
          1373938.39
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BY5357
          549300M8ZYFG0OCMTT87
          
            2055-11-15
          
          2.300000
          14000000.00
          14695746.41
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY8287
          549300M8ZYFG0OCMTT87
          
            2060-01-15
          
          3.470000
          411115.00
          462290.33
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY8290
          549300M8ZYFG0OCMTT87
          
            2057-05-15
          
          2.850000
          1250000.00
          1353286.20
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY8265
          549300M8ZYFG0OCMTT87
          
            2049-04-15
          
          2.410000
          250000.00
          264615.18
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BQ9031
          549300M8ZYFG0OCMTT87
          
            2059-04-15
          
          3.280000
          1933249.00
          2162830.70
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BQ9032
          549300M8ZYFG0OCMTT87
          
            2058-01-15
          
          3.340000
          2140232.00
          2399309.94
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BQ9033
          549300M8ZYFG0OCMTT87
          
            2058-12-15
          
          3.400000
          1958336.00
          2199542.94
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BS6054
          549300M8ZYFG0OCMTT87
          
            2049-01-15
          
          2.590000
          50000.00
          53441.49
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BS9426
          549300M8ZYFG0OCMTT87
          
            2055-11-15
          
          2.070000
          5000000.00
          5151843.59
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BT2913
          549300M8ZYFG0OCMTT87
          
            2056-10-15
          
          2.440000
          2987940.00
          3171806.87
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BU4197
          549300M8ZYFG0OCMTT87
          
            2054-05-15
          
          3.040000
          4386130.00
          4838026.07
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BV0963
          549300M8ZYFG0OCMTT87
          
            2054-04-15
          
          3.330000
          50000.00
          55465.43
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BV0967
          549300M8ZYFG0OCMTT87
          
            2044-04-15
          
          2.490000
          250000.00
          265872.03
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BV7139
          549300M8ZYFG0OCMTT87
          
            2053-12-15
          
          3.000000
          50000.00
          54785.91
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BV7142
          549300M8ZYFG0OCMTT87
          
            2054-03-15
          
          3.240000
          50000.00
          55470.63
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BV8313
          549300M8ZYFG0OCMTT87
          
            2058-01-15
          
          3.200000
          50000.00
          55388.05
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BV9920
          549300M8ZYFG0OCMTT87
          
            2052-09-15
          
          2.330000
          50000.00
          52446.63
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BW3046
          549300M8ZYFG0OCMTT87
          
            2050-02-15
          
          3.000000
          50000.00
          54873.62
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BW3047
          549300M8ZYFG0OCMTT87
          
            2053-07-15
          
          3.080000
          50000.00
          55175.34
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BW3058
          549300M8ZYFG0OCMTT87
          
            2057-06-15
          
          2.400000
          1250000.00
          1318991.49
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BW3064
          549300M8ZYFG0OCMTT87
          
            2060-12-15
          
          2.200000
          7631020.00
          7941147.20
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BW5325
          549300M8ZYFG0OCMTT87
          
            2058-07-15
          
          2.940000
          1250000.00
          1362347.82
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BW4527
          549300M8ZYFG0OCMTT87
          
            2048-06-15
          
          2.400000
          1250000.00
          1319157.02
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BW4530
          549300M8ZYFG0OCMTT87
          
            2058-06-15
          
          3.000000
          250000.00
          272336.28
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BW4531
          549300M8ZYFG0OCMTT87
          
            2058-06-15
          
          2.770000
          50000.00
          53737.89
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BW4532
          549300M8ZYFG0OCMTT87
          
            2054-05-15
          
          3.250000
          1250000.00
          1390118.69
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BW4558
          549300M8ZYFG0OCMTT87
          
            2055-12-15
          
          2.250000
          1250000.00
          1304709.91
          Agency Mortgage-Backed Securities
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-09-09
          
          0.00
          100.00
          99.93
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-10-07
          
          0.00
          800.00
          799.37
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-11-04
          
          0.00
          200.00
          199.82
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0007
      142000000.00
      142000000.00
      0.0015
      N
      Y
      Y
      N
    
    
      BNP PARIBAS SA
      BNP PARIBAS SA 0.080000%
      R0MUWSFPU8MPRO8K5P83
      0000872786
      ARP0P2473
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-11-15
          
          8.000000
          700.00
          755.28
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-01-15
          
          2.000000
          100.00
          100.99
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2023-09-30
          
          2.875000
          23483100.00
          25400576.92
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-05-31
          
          1.875000
          243589600.00
          249998647.15
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2029-11-15
          
          1.750000
          3200.00
          3461.87
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-11-30
          
          0.125000
          200.00
          200.03
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-12-31
          
          0.375000
          144806700.00
          144840005.54
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0008
      412000000.00
      412000000.00
      0.0044
      N
      Y
      Y
      N
    
    
      CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
      CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA 0.080000%
      1VUV7VQFKUOQSJ21A208
      0001330437
      ARP0P2499
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          GNII SF MA6864 M
          549300M8ZYFG0OCMTT87
          
            2050-09-20
          
          2.000000
          62746696.00
          65018779.22
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6994 M
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.000000
          183347897.00
          191453500.75
          Agency Mortgage-Backed Securities
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0008
      249000000.00
      249000000.00
      0.0026
      N
      Y
      Y
      N
    
    
      CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA
      CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA 0.180000%
      1VUV7VQFKUOQSJ21A208
      0001330437
      ARP0P24A6
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          LOWES COS INC                  SR GLBL NT3.1%27
          WAFCR4OKGSC504WU3E95
          
            2027-05-03
          
          3.100000
          20000000.00
          22518288.89
          Corporate Debt Securities
        
        
          MCDONALDS CORP                 FR 3.5%070127
          UE2136O97NLB5BYP9H04
          
            2027-07-01
          
          3.500000
          1.00
          1.16
          Corporate Debt Securities
        
        
          NEXTERA ENERGY CAP HLDGS INC   SR GLBL DB3.5%29
          UMI46YPGBLUE4VGNNT48
          
            2029-04-01
          
          3.500000
          20000000.00
          23061400.00
          Corporate Debt Securities
        
        
          PNC FINL SVCS GROUP INC        SR NT 3.15%27
          CFGNEKW0P8842LEUIA51
          
            2027-05-19
          
          3.150000
          7.00
          7.85
          Corporate Debt Securities
        
        
          PEACEHEALTH                    SR GLBL -2020 50
          
            2050-11-15
          
          3.218000
          200000.00
          217154.38
          Corporate Debt Securities
        
        
          PHILIP MORRIS INTL INC         SR GLBL NT 27
          HL3H1H2BGXWVG3BSWR90
          
            2027-08-17
          
          3.125000
          25000000.00
          28269798.61
          Corporate Debt Securities
        
        
          UNITED PARCEL SVCS INC         SR GLBL NT5.3%50
          D01LMJZU09ULLNCY6Z23
          
            2050-04-01
          
          5.300000
          2582000.00
          3948368.58
          Corporate Debt Securities
        
        
          WELLS FARGO &amp; CO               SR GLBL NT 3%26
          PBLD0EJDB5FWOLXP3B76
          
            2026-04-22
          
          3.000000
          3700000.00
          4086687.00
          Corporate Debt Securities
        
        
          DAI-ICHI LIFE HOLDINGS INC     PERP SUB GLBL
          3538001235ACEIORUV72
          
            2049-12-29
          
          4.000000
          23000000.00
          25698666.67
          Corporate Debt Securities
        
        
          MEIJI YASUDA LIFE INS CO       SUB GLBL REGS 48
          549300SLU4LP6YMRLK07
          
            2048-04-26
          
          5.100000
          18750000.00
          22877937.50
          Corporate Debt Securities
        
        
          AMERICAN HONDA FIN CORP MTN    FR 3.5%021528
          B6Q2VFHD1797Q7NZ3E43
          
            2028-02-15
          
          3.500000
          2000000.00
          2328884.44
          Corporate Debt Securities
        
        
          APPLE INC                      SR GLBL NT 3%27
          HWUPKR0MPOU8FGXBT394
          
            2027-11-13
          
          3.000000
          20000000.00
          22604200.00
          Corporate Debt Securities
        
        
          APPLE INC                      SR GLBL NT 30
          HWUPKR0MPOU8FGXBT394
          
            2030-05-11
          
          1.650000
          3000.00
          3090.75
          Corporate Debt Securities
        
        
          CAMPBELL SOUP CO               SR GLBL NT 50
          5493007JDSMX8Z5Z1902
          
            2050-04-24
          
          3.125000
          850000.00
          899245.58
          Corporate Debt Securities
        
        
          CANADIAN IMP BK COMM           SR GLBL COCO 24
          2IGI19DL77OX0HC3ZE78
          
            2024-04-02
          
          3.100000
          3278000.00
          3571393.75
          Corporate Debt Securities
        
        
          CITIGROUP INC                  SR GLBL NT3.2%26
          6SHGI4ZSSLCXXQSBB395
          
            2026-10-21
          
          3.200000
          3039000.00
          3406057.17
          Corporate Debt Securities
        
        
          DISNEY WALT CO                 SR GLBL NT 2%29
          549300GZKULIZ0WOW665
          
            2029-09-01
          
          2.000000
          19809000.00
          20809288.47
          Corporate Debt Securities
        
        
          BK OF AMERICA CORP             FR 4.078%042340
          9DJT3UXIJIZJI4WXO774
          
            2040-04-23
          
          4.078000
          3650000.00
          4510169.54
          Corporate Debt Securities
        
        
          BARCLAYS PLC                   SR GLBL COCO 29
          213800LBQA1Y9L22JB70
          
            2029-05-16
          
          4.972000
          514000.00
          619187.53
          Corporate Debt Securities
        
        
          BOC AVIATION PTE LTD           FR 3.25%042925
          254900H06V5RMEB3KE72
          
            2025-04-29
          
          3.250000
          2500000.00
          2658917.36
          Corporate Debt Securities
        
        
          AT&amp;T INC                       SR GLBL NT3.6%2
          549300Z40J86GGSTL398
          
            2025-07-15
          
          3.600000
          19622000.00
          22402829.84
          Corporate Debt Securities
        
        
          INTERNATIONAL BUSINESS MACHS   SR GLBL NT3.5%29
          VGRQXHF3J8VDLUA7XE92
          
            2029-05-15
          
          3.500000
          20000000.00
          23203644.44
          Corporate Debt Securities
        
        
          PT PELABUHAN INDONESIA III     SR GLBL REGS 23
          254900Y6SH3NRN1A8R64
          
            2023-05-02
          
          4.500000
          25000000.00
          26806250.00
          Corporate Debt Securities
        
        
          AT&amp;T INC                       SR GLBL NT4.3%3
          549300Z40J86GGSTL398
          
            2030-02-15
          
          4.300000
          4228000.00
          5102749.71
          Corporate Debt Securities
        
        
          KOREA GAS CORP                 FR 2.875%071629
          988400TFZILHBD5M3R71
          
            2029-07-16
          
          2.875000
          800000.00
          889717.78
          Corporate Debt Securities
        
        
          LOWES COS INC                  SR GLBL NT2.5%26
          WAFCR4OKGSC504WU3E95
          
            2026-04-15
          
          2.500000
          21000000.00
          22874203.33
          Corporate Debt Securities
        
        
          MITSUBISHI UFJ FINANCIAL GROUP 3.761%23
          353800V2V8PUY9TK3E06
          
            2023-07-26
          
          3.761000
          46200000.00
          50775795.58
          Corporate Debt Securities
        
        
          PERUSAHAAN LISTRIK NEGARA PT   FR 5.45%052128
          254900OYVDRYS9J51J61
          
            2028-05-21
          
          5.450000
          7500000.00
          9016156.25
          Corporate Debt Securities
        
        
          SCHWAB CHARLES CORP            SR GLBL NT 31
          549300VSGCJ7E698NM85
          
            2031-03-11
          
          1.650000
          4500000.00
          4537425.00
          Corporate Debt Securities
        
        
          SIEMENS FIN NV                 SR GLBL 144A 26
          TAFO772JB70PDRN5VS48
          
            2026-08-17
          
          6.125000
          18500000.00
          24391851.74
          Corporate Debt Securities
        
        
          TRUST F/1401                   SR GLBL 144A 30
          
            2030-01-15
          
          4.869000
          4400000.00
          5105435.50
          Corporate Debt Securities
        
        
          TRUST F/1401                   SR GLBL 144A 50
          
            2050-01-15
          
          6.390000
          4350000.00
          5223425.62
          Corporate Debt Securities
        
        
          MITSUI FUDOSAN CO LTD          SR GLBL REGS 29
          353800ND4ZKNZDYKMF33
          
            2029-01-24
          
          3.950000
          25000000.00
          29126916.67
          Corporate Debt Securities
        
        
          ANTOFAGASTA PLC                SR GLBL 144A 30
          213800MY6QVH4FVLD628
          
            2030-10-14
          
          2.375000
          200000.00
          201502.78
          Corporate Debt Securities
        
        
          ASIAN INFRASTRUCTURE INVT BK   2.25%24
          25490065OSV2524LCR32
          
            2024-05-16
          
          2.250000
          25050000.00
          26745446.62
          Corporate Debt Securities
        
        
          CVS HEALTH CORP                SR GLBL NT1.3%27
          549300EJG376EN5NQE29
          
            2027-08-21
          
          1.300000
          3000.00
          3037.24
          Corporate Debt Securities
        
        
          HYUNDAI CAP SVCS INC           SR GLBL REGS 23
          549300MALMDAGL2ZJJ27
          
            2023-03-05
          
          3.750000
          500000.00
          537489.58
          Corporate Debt Securities
        
        
          REYNOLDS AMERICAN INC          SR GLBL NT5.7%35
          02S2RPPVO9RP4NEU2740
          
            2035-08-15
          
          5.700000
          6000000.00
          7699700.00
          Corporate Debt Securities
        
        
          CREDIT SUISSE INTERNATIONAL    ALT TIER I PERP
          549300506SI9CRFV9Z86
          
            2049-12-29
          
          7.500000
          200000.00
          224791.67
          Corporate Debt Securities
        
        
          APPLE INC                      SR GLBL NT 26
          HWUPKR0MPOU8FGXBT394
          
            2026-09-11
          
          2.050000
          24999.00
          26856.27
          Corporate Debt Securities
        
        
          COMCAST CORP NEW               SR NT 3.6%24
          51M0QTTNCGUN7KFCFZ59
          
            2024-03-01
          
          3.600000
          1000000.00
          1111710.00
          Corporate Debt Securities
        
        
          ASTRAZENECA PLC                SR GLBL NT 37
          PY6ZZQWO2IZFZC3IOL08
          
            2037-09-15
          
          6.450000
          2000000.00
          3112163.33
          Corporate Debt Securities
        
        
          BNP PARIBAS                    FR 3.5%030123
          R0MUWSFPU8MPRO8K5P83
          
            2023-03-01
          
          3.500000
          8000000.00
          8605275.56
          Corporate Debt Securities
        
        
          AIR LEASE CORP                 SR GLBL NT 27
          5493004NW4M4P8TMMK63
          
            2027-12-01
          
          3.625000
          3542000.00
          3830428.01
          Corporate Debt Securities
        
        
          HSBC HLDGS PLC                 ALT TIER I COCO
          MLU0ZO3ML4LN2LL2TL39
          
            2099-12-31
          
          6.000000
          2400000.00
          2628200.00
          Corporate Debt Securities
        
        
          INTERNATIONAL BUSINESS MACHS   SR GLBL NT 26
          VGRQXHF3J8VDLUA7XE92
          
            2026-02-19
          
          3.450000
          25000000.00
          28677250.00
          Corporate Debt Securities
        
        
          JPMCC COML MTG SEC TR 2017-JP7 A-5    20500916 3.4
          
            2050-09-16
          
          3.454000
          1000000.00
          1135052.33
          Private Label Collateralized Mortgage Obligations
        
        
          CCUBS COML MTG TR 2017-C1      A-3    20501117 3.2
          
            2050-11-17
          
          3.283000
          1000000.00
          1113605.83
          Private Label Collateralized Mortgage Obligations
        
        
          BANK 2018-BNK13                B      20610817 FLT
          549300664283JRAXM588
          
            2061-08-17
          
          4.555480
          750000.00
          878932.67
          Private Label Collateralized Mortgage Obligations
        
        
          BANK 2020-BNK25                B      20630118 FLT
          
            2063-01-18
          
          3.043000
          820000.00
          881731.92
          Private Label Collateralized Mortgage Obligations
        
        
          BANK 2017-BNK4                 A-S    20500517 3.7
          
            2050-05-17
          
          3.777000
          1000000.00
          1131943.50
          Private Label Collateralized Mortgage Obligations
        
        
          GS MTG SECS TR 2013-GCJ14      A-5    20460810 4.2
          549300ITVQSU1IHX4H03
          
            2046-08-10
          
          4.243000
          700000.00
          760491.08
          Private Label Collateralized Mortgage Obligations
        
      
      Y
      2021-01-07
      2021-01-07
      2021-01-07
      N
      N
      N
      0.0018
      486000000.00
      486000000.00
      0.0052
      N
      N
      Y
      N
    
    
      MIZUHO SECURITIES USA LLC
      MIZUHO SECURITIES USA LLC 0.080000%
      7TK5RJIZDFROZCA6XF66
      0000812291
      ARP0P24D0
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          FNMS 04.500 CIAD4395
          B1V7KEBTPIMZEU4LTD58
          
            2025-06-01
          
          4.500000
          22286727.00
          787012.35
          Agency Mortgage-Backed Securities
        
        
          FNMS 06.500 CLAL4555
          B1V7KEBTPIMZEU4LTD58
          
            2038-10-01
          
          6.500000
          10590655.00
          2822775.59
          Agency Mortgage-Backed Securities
        
        
          FNMS 06.500 CLAL8130
          B1V7KEBTPIMZEU4LTD58
          
            2040-06-01
          
          6.500000
          4242479.00
          1801749.47
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLBP4063
          B1V7KEBTPIMZEU4LTD58
          
            2050-05-01
          
          3.000000
          4913618.00
          5314665.66
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLBP4528
          B1V7KEBTPIMZEU4LTD58
          
            2050-04-01
          
          3.000000
          1782360.00
          1919334.57
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CLBQ2616
          B1V7KEBTPIMZEU4LTD58
          
            2050-10-01
          
          2.000000
          6234190.00
          6454523.45
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLBQ3304
          B1V7KEBTPIMZEU4LTD58
          
            2050-08-01
          
          2.500000
          3924786.00
          4144190.70
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLCA0993
          B1V7KEBTPIMZEU4LTD58
          
            2048-01-01
          
          3.500000
          6146000.00
          4492170.94
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.500 CLFM2769
          B1V7KEBTPIMZEU4LTD58
          
            2049-05-01
          
          5.500000
          4013667.00
          3514951.79
          Agency Mortgage-Backed Securities
        
        
          FNMS 07.000 CL888640
          B1V7KEBTPIMZEU4LTD58
          
            2035-01-01
          
          7.000000
          9400000.00
          983747.04
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CI993382
          B1V7KEBTPIMZEU4LTD58
          
            2024-06-01
          
          4.000000
          473757.00
          8254.25
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CTMA2550
          B1V7KEBTPIMZEU4LTD58
          
            2036-03-01
          
          3.000000
          50000.00
          19486.88
          Agency Mortgage-Backed Securities
        
        
          FNMS 01.500 CNMA4200
          B1V7KEBTPIMZEU4LTD58
          
            2030-12-01
          
          1.500000
          2896485.00
          2971706.48
          Agency Mortgage-Backed Securities
        
        
          FNMS 07.000 CLAD0726
          B1V7KEBTPIMZEU4LTD58
          
            2033-12-01
          
          7.000000
          11000000.00
          1263556.09
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CIAA9747
          B1V7KEBTPIMZEU4LTD58
          
            2024-07-01
          
          4.500000
          1750000.00
          44296.03
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CIAD3097
          B1V7KEBTPIMZEU4LTD58
          
            2025-03-01
          
          4.500000
          5057400.00
          95859.80
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CIAE0988
          B1V7KEBTPIMZEU4LTD58
          
            2025-09-01
          
          4.000000
          137501.00
          4977.28
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLAL0786
          B1V7KEBTPIMZEU4LTD58
          
            2041-08-01
          
          4.500000
          205605792.00
          21451731.02
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLAU1592
          B1V7KEBTPIMZEU4LTD58
          
            2043-07-01
          
          2.500000
          65000.00
          46748.78
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CLMA3744
          B1V7KEBTPIMZEU4LTD58
          
            2049-08-01
          
          3.000000
          17557686.00
          8552770.91
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CLMA4100
          B1V7KEBTPIMZEU4LTD58
          
            2050-08-01
          
          2.000000
          152571049.00
          153725490.93
          Agency Mortgage-Backed Securities
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0008
      214000000.00
      214000000.00
      0.0023
      N
      Y
      Y
      N
    
    
      GOLDMAN SACHS & CO LLC
      GOLDMAN SACHS & CO LLC 0.070000%
      FOR8UP27PHTHYVLBNG30
      0000769993
      ARP0P24F5
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          GNMI SF 739628 X
          549300M8ZYFG0OCMTT87
          
            2039-09-15
          
          4.500000
          1358406.00
          119989.20
          Agency Mortgage-Backed Securities
        
        
          GNII SP 784549 C
          549300M8ZYFG0OCMTT87
          
            2048-01-20
          
          4.000000
          954000.00
          663436.20
          Agency Mortgage-Backed Securities
        
        
          GNII SP 784674 C
          549300M8ZYFG0OCMTT87
          
            2048-04-20
          
          3.500000
          1500000.00
          1208042.28
          Agency Mortgage-Backed Securities
        
        
          GNMI SP 784713 X
          549300M8ZYFG0OCMTT87
          
            2047-02-15
          
          3.000000
          40836.00
          34037.37
          Agency Mortgage-Backed Securities
        
        
          GNII SP 785126 C
          549300M8ZYFG0OCMTT87
          
            2047-12-20
          
          3.500000
          55885568.00
          53749455.75
          Agency Mortgage-Backed Securities
        
        
          GNMI SP 781815 X
          549300M8ZYFG0OCMTT87
          
            2034-10-15
          
          5.000000
          17727360.00
          679866.25
          Agency Mortgage-Backed Securities
        
        
          GNII SP 783530 M
          549300M8ZYFG0OCMTT87
          
            2041-12-20
          
          5.500000
          3400000.00
          321551.79
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 CLZI8505
          
            2039-01-01
          
          5.000000
          2366070.00
          111181.71
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLBO0569
          B1V7KEBTPIMZEU4LTD58
          
            2049-06-01
          
          3.500000
          2738036.00
          1716695.08
          Agency Mortgage-Backed Securities
        
        
          GNII SF 762738 C
          549300M8ZYFG0OCMTT87
          
            2041-02-20
          
          4.000000
          1475060.00
          625134.44
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 792750 X
          549300M8ZYFG0OCMTT87
          
            2042-01-15
          
          3.100000
          370243.00
          95985.72
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AA0159 X
          549300M8ZYFG0OCMTT87
          
            2042-05-15
          
          3.875000
          600000.00
          151652.49
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AC2059 X
          549300M8ZYFG0OCMTT87
          
            2042-11-15
          
          3.000000
          47230.00
          15542.15
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3523 M
          549300M8ZYFG0OCMTT87
          
            2046-03-20
          
          4.500000
          1992188.00
          451720.60
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3456 M
          549300M8ZYFG0OCMTT87
          
            2046-02-20
          
          4.500000
          3145000.00
          724047.71
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA5321 M
          549300M8ZYFG0OCMTT87
          
            2048-06-20
          
          4.500000
          3099632.00
          586836.01
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6868 M
          549300M8ZYFG0OCMTT87
          
            2050-09-20
          
          4.000000
          44645840.00
          47140083.99
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA7050 M
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          1.500000
          720456.00
          753792.94
          Agency Mortgage-Backed Securities
        
        
          GNII SF BA9009 C
          549300M8ZYFG0OCMTT87
          
            2047-06-20
          
          4.500000
          2125964.00
          1178012.73
          Agency Mortgage-Backed Securities
        
        
          GNII SF BC4759 C
          549300M8ZYFG0OCMTT87
          
            2047-07-20
          
          3.500000
          1104376.00
          1070345.77
          Agency Mortgage-Backed Securities
        
        
          GNII SF BD6172 C
          549300M8ZYFG0OCMTT87
          
            2047-10-20
          
          4.000000
          800000.00
          323209.21
          Agency Mortgage-Backed Securities
        
        
          GNII SF BE6428 C
          549300M8ZYFG0OCMTT87
          
            2048-03-20
          
          4.500000
          1605790.00
          1120686.81
          Agency Mortgage-Backed Securities
        
        
          GNII SF BE6414 C
          549300M8ZYFG0OCMTT87
          
            2048-03-20
          
          4.000000
          25000.00
          17812.90
          Agency Mortgage-Backed Securities
        
        
          GNII SF BF8803 C
          549300M8ZYFG0OCMTT87
          
            2048-04-20
          
          4.000000
          1440528.00
          1057356.69
          Agency Mortgage-Backed Securities
        
        
          GNII SF BM2527 C
          549300M8ZYFG0OCMTT87
          
            2049-07-20
          
          4.000000
          1575512.00
          811112.92
          Agency Mortgage-Backed Securities
        
        
          GNII SF BM2996 C
          549300M8ZYFG0OCMTT87
          
            2049-03-20
          
          4.500000
          15894944.00
          7945915.58
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BM3648
          549300M8ZYFG0OCMTT87
          
            2050-06-15
          
          2.850000
          200000.00
          216526.80
          Agency Mortgage-Backed Securities
        
        
          GNII SF BM5458 C
          549300M8ZYFG0OCMTT87
          
            2049-07-20
          
          4.000000
          154000.00
          143256.86
          Agency Mortgage-Backed Securities
        
        
          GNII SF BQ5422 C
          549300M8ZYFG0OCMTT87
          
            2049-12-20
          
          4.000000
          9451400.00
          4325537.38
          Agency Mortgage-Backed Securities
        
        
          GNII SF BR7118 C
          549300M8ZYFG0OCMTT87
          
            2049-12-20
          
          4.000000
          2321028.00
          2454886.92
          Agency Mortgage-Backed Securities
        
        
          GNII SF BT2030 C
          549300M8ZYFG0OCMTT87
          
            2050-06-20
          
          3.000000
          1051922.00
          1092126.87
          Agency Mortgage-Backed Securities
        
        
          GNII SF BU7043 C
          549300M8ZYFG0OCMTT87
          
            2050-06-20
          
          4.000000
          2205868.00
          2425530.27
          Agency Mortgage-Backed Securities
        
        
          GNII SF BU8394 C
          549300M8ZYFG0OCMTT87
          
            2050-06-20
          
          3.000000
          11776592.00
          12320978.99
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BV8264
          549300M8ZYFG0OCMTT87
          
            2055-07-15
          
          2.400000
          150000.00
          157838.77
          Agency Mortgage-Backed Securities
        
        
          GNII SF BV9214 C
          549300M8ZYFG0OCMTT87
          
            2050-08-20
          
          4.000000
          1554674.00
          1738572.89
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX5174 C
          549300M8ZYFG0OCMTT87
          
            2050-08-20
          
          4.000000
          1148940.00
          1257479.46
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX9010 C
          549300M8ZYFG0OCMTT87
          
            2050-10-20
          
          3.500000
          2255956.00
          2459559.88
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX9482 C
          549300M8ZYFG0OCMTT87
          
            2050-10-20
          
          3.000000
          1800004.00
          1906641.92
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY2898 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          1036882.00
          1119995.70
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY4516 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          583691.00
          630721.45
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY8964 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.000000
          3018184.00
          3161451.29
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY8590 C
          549300M8ZYFG0OCMTT87
          
            2050-10-20
          
          2.500000
          4538240.00
          4792589.08
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY9086 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          1659690.00
          1832955.00
          Agency Mortgage-Backed Securities
        
        
          GNPL LM BY9441
          549300M8ZYFG0OCMTT87
          
            2057-01-15
          
          2.500000
          8213728.00
          8757233.12
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BZ1628
          549300M8ZYFG0OCMTT87
          
            2056-01-15
          
          2.050000
          9521760.00
          9808691.89
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ2948 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.000000
          1042096.00
          1091544.33
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ6856 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          6330968.00
          6747783.57
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ6867 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          11790272.00
          12691382.84
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ7620 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.000000
          2295600.00
          2398986.40
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ7658 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          22063760.00
          23530830.88
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ8641 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          569996.00
          620604.61
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ9932 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          1632290.00
          1740826.40
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA4489 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.000000
          2000500.00
          2096987.45
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA3896 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          3100036.00
          3331301.79
          Agency Mortgage-Backed Securities
        
        
          GNII SF AD2231 C
          549300M8ZYFG0OCMTT87
          
            2043-02-20
          
          3.500000
          80415.00
          32232.08
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AD2411 X
          549300M8ZYFG0OCMTT87
          
            2043-05-15
          
          3.500000
          75502.00
          32143.65
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AD5951 X
          549300M8ZYFG0OCMTT87
          
            2043-03-15
          
          3.000000
          82937.00
          38505.72
          Agency Mortgage-Backed Securities
        
        
          GNII SF AD6342 C
          549300M8ZYFG0OCMTT87
          
            2047-08-20
          
          3.000000
          1861252.00
          1820526.70
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AD7472 X
          549300M8ZYFG0OCMTT87
          
            2043-04-15
          
          3.500000
          25912.00
          9076.64
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AD9094 X
          549300M8ZYFG0OCMTT87
          
            2043-05-15
          
          3.000000
          4890000.00
          1255370.34
          Agency Mortgage-Backed Securities
        
        
          GNII SF AL6979 C
          549300M8ZYFG0OCMTT87
          
            2045-03-20
          
          3.500000
          1267138.00
          375292.52
          Agency Mortgage-Backed Securities
        
        
          GNII SF AS4942 C
          549300M8ZYFG0OCMTT87
          
            2046-05-20
          
          4.000000
          63000.00
          27520.19
          Agency Mortgage-Backed Securities
        
        
          GNII SF AZ1270 C
          549300M8ZYFG0OCMTT87
          
            2047-03-20
          
          4.000000
          1200366.00
          924256.72
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004947 M
          549300M8ZYFG0OCMTT87
          
            2041-02-20
          
          5.000000
          1250000.00
          116277.12
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 410247 X
          549300M8ZYFG0OCMTT87
          
            2025-12-15
          
          8.000000
          5000000.00
          16550.46
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 724289 X
          549300M8ZYFG0OCMTT87
          
            2039-08-15
          
          5.000000
          3020700.00
          952658.62
          Agency Mortgage-Backed Securities
        
        
          GNII SF 002326 M
          549300M8ZYFG0OCMTT87
          
            2026-11-20
          
          8.500000
          5000000.00
          6628.28
          Agency Mortgage-Backed Securities
        
        
          GNII JM 005247 M
          549300M8ZYFG0OCMTT87
          
            2026-11-20
          
          3.500000
          767133.00
          95147.46
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 724023 X
          549300M8ZYFG0OCMTT87
          
            2039-11-15
          
          5.000000
          137928.00
          18306.01
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 733601 X
          549300M8ZYFG0OCMTT87
          
            2040-04-15
          
          5.000000
          194705.00
          26763.82
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 738901 X
          549300M8ZYFG0OCMTT87
          
            2041-10-15
          
          4.000000
          900000.00
          232915.61
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 746806 X
          549300M8ZYFG0OCMTT87
          
            2040-09-15
          
          4.000000
          125000.00
          19256.57
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 489787 X
          549300M8ZYFG0OCMTT87
          
            2041-11-15
          
          3.500000
          510968.00
          158515.53
          Agency Mortgage-Backed Securities
        
        
          GNMI SP 781746 X
          549300M8ZYFG0OCMTT87
          
            2034-05-15
          
          5.000000
          9000000.00
          421756.74
          Agency Mortgage-Backed Securities
        
        
          GNII SP 784480 C
          549300M8ZYFG0OCMTT87
          
            2048-04-20
          
          3.500000
          999380.00
          756785.06
          Agency Mortgage-Backed Securities
        
        
          GNII SP 783637 M
          549300M8ZYFG0OCMTT87
          
            2042-06-20
          
          3.000000
          550475.00
          138633.91
          Agency Mortgage-Backed Securities
        
        
          GNMI SP 784177 X
          549300M8ZYFG0OCMTT87
          
            2046-05-15
          
          3.000000
          1450000.00
          1143862.98
          Agency Mortgage-Backed Securities
        
        
          GNII SP 784360 C
          549300M8ZYFG0OCMTT87
          
            2047-01-20
          
          3.500000
          15100000.00
          10442381.00
          Agency Mortgage-Backed Securities
        
        
          GNII JP 784740 C
          549300M8ZYFG0OCMTT87
          
            2034-05-20
          
          3.000000
          11636640.00
          6505543.52
          Agency Mortgage-Backed Securities
        
        
          GNMI SP 784770 X
          549300M8ZYFG0OCMTT87
          
            2045-09-15
          
          5.500000
          35000.00
          28910.92
          Agency Mortgage-Backed Securities
        
        
          GNII SF 752610 C
          549300M8ZYFG0OCMTT87
          
            2040-10-20
          
          5.000000
          1488710.00
          494088.61
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 758899 X
          549300M8ZYFG0OCMTT87
          
            2038-05-15
          
          3.000000
          3388724.00
          1937956.71
          Agency Mortgage-Backed Securities
        
        
          GNII SP 781998 M
          549300M8ZYFG0OCMTT87
          
            2035-11-20
          
          5.500000
          1250000.00
          58564.24
          Agency Mortgage-Backed Securities
        
        
          GNMI JP 782284 X
          549300M8ZYFG0OCMTT87
          
            2023-03-15
          
          5.000000
          50000000.00
          314728.42
          Agency Mortgage-Backed Securities
        
        
          GNMI SP 783580 X
          549300M8ZYFG0OCMTT87
          
            2042-05-15
          
          3.500000
          68000000.00
          38520822.16
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 616409 X
          549300M8ZYFG0OCMTT87
          
            2034-05-15
          
          4.000000
          1185400.00
          91265.24
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 616413 X
          549300M8ZYFG0OCMTT87
          
            2034-05-15
          
          5.000000
          197395.00
          10733.51
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 636168 X
          549300M8ZYFG0OCMTT87
          
            2035-02-15
          
          5.000000
          10000000.00
          508518.75
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 660389 X
          549300M8ZYFG0OCMTT87
          
            2042-02-15
          
          3.500000
          20000000.00
          4029252.09
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 670029 X
          549300M8ZYFG0OCMTT87
          
            2045-07-15
          
          3.000000
          830921.00
          308662.39
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 695350 X
          549300M8ZYFG0OCMTT87
          
            2023-08-15
          
          6.000000
          514848.00
          18105.42
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 697851 X
          549300M8ZYFG0OCMTT87
          
            2039-02-15
          
          5.000000
          2406690.00
          33844.58
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 711067 X
          549300M8ZYFG0OCMTT87
          
            2040-01-15
          
          5.000000
          5001752.00
          671433.70
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 711552 X
          549300M8ZYFG0OCMTT87
          
            2041-01-15
          
          4.500000
          325422.00
          100933.33
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA0853 M
          549300M8ZYFG0OCMTT87
          
            2043-03-20
          
          4.000000
          2000000.00
          418157.48
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA0089 M
          549300M8ZYFG0OCMTT87
          
            2042-05-20
          
          4.000000
          15958592.00
          2319907.16
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA0081 M
          549300M8ZYFG0OCMTT87
          
            2042-05-20
          
          3.000000
          5000000.00
          733848.36
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA0219 M
          549300M8ZYFG0OCMTT87
          
            2042-07-20
          
          3.000000
          64000000.00
          17660092.01
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA0221 M
          549300M8ZYFG0OCMTT87
          
            2042-07-20
          
          4.000000
          3427040.00
          550582.65
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA0317 M
          549300M8ZYFG0OCMTT87
          
            2042-08-20
          
          3.000000
          95713920.00
          25454466.95
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA0462 M
          549300M8ZYFG0OCMTT87
          
            2042-10-20
          
          3.500000
          2500000.00
          592104.82
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA1677 M
          549300M8ZYFG0OCMTT87
          
            2044-02-20
          
          3.500000
          7605384.00
          1845942.03
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA1760 M
          549300M8ZYFG0OCMTT87
          
            2044-03-20
          
          3.500000
          297518.00
          64166.27
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA0934 M
          549300M8ZYFG0OCMTT87
          
            2043-04-20
          
          3.500000
          32871104.00
          8032081.19
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA0935 M
          549300M8ZYFG0OCMTT87
          
            2043-04-20
          
          4.000000
          390000.00
          89021.75
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA1004 M
          549300M8ZYFG0OCMTT87
          
            2043-05-20
          
          3.000000
          4690440.00
          921713.42
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA1012 M
          549300M8ZYFG0OCMTT87
          
            2043-05-20
          
          3.500000
          94929408.00
          25540824.11
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA1067 M
          549300M8ZYFG0OCMTT87
          
            2028-06-20
          
          4.000000
          2256364.00
          306639.51
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA1287 M
          549300M8ZYFG0OCMTT87
          
            2043-09-20
          
          4.500000
          3301448.00
          502622.10
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA1448 M
          549300M8ZYFG0OCMTT87
          
            2043-11-20
          
          3.500000
          3927664.00
          952906.84
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA2681 M
          549300M8ZYFG0OCMTT87
          
            2045-03-20
          
          5.000000
          2698500.00
          529209.31
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA1996 M
          549300M8ZYFG0OCMTT87
          
            2044-06-20
          
          4.000000
          5234544.00
          929782.61
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA2304 M
          549300M8ZYFG0OCMTT87
          
            2044-10-20
          
          4.000000
          73318640.00
          14162319.16
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA2445 M
          549300M8ZYFG0OCMTT87
          
            2044-12-20
          
          3.500000
          14795584.00
          3414560.40
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZS4668
          
            2046-06-01
          
          3.500000
          2372450.00
          921882.07
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 CTZS8955
          
            2027-09-01
          
          5.000000
          9929616.00
          519649.30
          Agency Mortgage-Backed Securities
        
        
          03.500 FGPC U51267 G
          
            2037-04-01
          
          3.500000
          1197540.00
          777357.25
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLRA1102
          
            2049-07-01
          
          4.000000
          2800000.00
          1785204.66
          Agency Mortgage-Backed Securities
        
        
          FNAR XX.XXX HLAN8993
          B1V7KEBTPIMZEU4LTD58
          
            2048-04-01
          
          3.780000
          7404000.00
          8598998.92
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CQMA3349
          B1V7KEBTPIMZEU4LTD58
          
            2048-03-01
          
          4.000000
          2427820.00
          2111615.94
          Agency Mortgage-Backed Securities
        
        
          GNII SF 763451 C
          549300M8ZYFG0OCMTT87
          
            2041-05-20
          
          5.000000
          400000.00
          113683.47
          Agency Mortgage-Backed Securities
        
        
          GNII SF 763320 C
          549300M8ZYFG0OCMTT87
          
            2041-05-20
          
          5.000000
          3951796.00
          537859.61
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 763953 X
          549300M8ZYFG0OCMTT87
          
            2026-12-15
          
          3.500000
          1000000.00
          159683.95
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 778869 X
          549300M8ZYFG0OCMTT87
          
            2042-02-15
          
          4.000000
          232749.00
          45974.98
          Agency Mortgage-Backed Securities
        
        
          GNII SF 779425 C
          549300M8ZYFG0OCMTT87
          
            2042-06-20
          
          4.000000
          125000.00
          30575.04
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 793283 X
          549300M8ZYFG0OCMTT87
          
            2042-03-15
          
          3.500000
          889355.00
          205181.22
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 796307 X
          549300M8ZYFG0OCMTT87
          
            2042-11-15
          
          4.000000
          4708520.00
          1212304.06
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 796410 X
          549300M8ZYFG0OCMTT87
          
            2043-04-15
          
          3.500000
          38125.00
          14774.13
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 799159 X
          549300M8ZYFG0OCMTT87
          
            2042-09-15
          
          3.000000
          1161708.00
          273028.69
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AA0143 X
          549300M8ZYFG0OCMTT87
          
            2042-04-15
          
          3.500000
          52514.00
          45453.64
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AA6412 X
          549300M8ZYFG0OCMTT87
          
            2043-05-15
          
          3.500000
          2990000.00
          1148624.62
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AA8585 X
          549300M8ZYFG0OCMTT87
          
            2027-10-15
          
          3.000000
          3662948.00
          898963.01
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AB2871 X
          549300M8ZYFG0OCMTT87
          
            2042-09-15
          
          3.000000
          400000.00
          176423.03
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AB2881 X
          549300M8ZYFG0OCMTT87
          
            2042-09-15
          
          3.500000
          2900000.00
          807413.35
          Agency Mortgage-Backed Securities
        
        
          GNII SF AC0176 C
          549300M8ZYFG0OCMTT87
          
            2042-12-20
          
          3.500000
          172125.00
          59882.42
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AC3738 X
          549300M8ZYFG0OCMTT87
          
            2042-12-15
          
          3.500000
          750000.00
          316002.35
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA0783 M
          549300M8ZYFG0OCMTT87
          
            2043-02-20
          
          3.500000
          3564500.00
          888287.79
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA0788 M
          549300M8ZYFG0OCMTT87
          
            2035-11-20
          
          6.000000
          5741304.00
          722491.54
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA2512 M
          549300M8ZYFG0OCMTT87
          
            2045-01-20
          
          4.000000
          20301024.00
          1620184.64
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3521 M
          549300M8ZYFG0OCMTT87
          
            2046-03-20
          
          3.500000
          59596032.00
          20312870.42
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3522 M
          549300M8ZYFG0OCMTT87
          
            2046-03-20
          
          4.000000
          7510000.00
          2092567.21
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3598 M
          549300M8ZYFG0OCMTT87
          
            2046-04-20
          
          4.000000
          410134400.00
          123015910.56
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA2754 M
          549300M8ZYFG0OCMTT87
          
            2045-04-20
          
          3.500000
          58308672.00
          14426205.33
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA2827 M
          549300M8ZYFG0OCMTT87
          
            2045-05-20
          
          4.000000
          107310.00
          27775.75
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3243 M
          549300M8ZYFG0OCMTT87
          
            2045-11-20
          
          3.000000
          4127960.00
          1547900.05
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA3236 M
          549300M8ZYFG0OCMTT87
          
            2045-11-20
          
          3.500000
          3463332.00
          541088.72
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3246 M
          549300M8ZYFG0OCMTT87
          
            2045-11-20
          
          4.500000
          64348544.00
          14748841.45
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3311 M
          549300M8ZYFG0OCMTT87
          
            2045-12-20
          
          4.000000
          2000000.00
          560291.77
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3454 M
          549300M8ZYFG0OCMTT87
          
            2046-02-20
          
          3.500000
          91319808.00
          30960465.62
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3662 M
          549300M8ZYFG0OCMTT87
          
            2046-05-20
          
          3.000000
          18000000.00
          7219750.21
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3735 M
          549300M8ZYFG0OCMTT87
          
            2046-06-20
          
          3.000000
          15300000.00
          6348437.64
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5331 M
          549300M8ZYFG0OCMTT87
          
            2048-06-20
          
          4.500000
          20316352.00
          7159974.37
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5399 M
          549300M8ZYFG0OCMTT87
          
            2048-08-20
          
          4.500000
          37866432.00
          13972115.91
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4510 M
          549300M8ZYFG0OCMTT87
          
            2047-03-20
          
          3.500000
          50000000.00
          22781713.18
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4511 M
          549300M8ZYFG0OCMTT87
          
            2047-06-20
          
          4.000000
          639427584.00
          244762052.51
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4586 M
          549300M8ZYFG0OCMTT87
          
            2047-07-20
          
          3.500000
          2155000.00
          1026191.19
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4719 M
          549300M8ZYFG0OCMTT87
          
            2047-09-20
          
          3.500000
          159750000.00
          76407033.83
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4720 M
          549300M8ZYFG0OCMTT87
          
            2047-09-20
          
          4.000000
          5375000.00
          2288194.60
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA4772 M
          549300M8ZYFG0OCMTT87
          
            2047-10-20
          
          5.000000
          1823096.00
          247683.35
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4839 M
          549300M8ZYFG0OCMTT87
          
            2047-11-20
          
          4.500000
          1310000.00
          486999.15
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4961 M
          549300M8ZYFG0OCMTT87
          
            2048-01-20
          
          3.000000
          693624.00
          363536.19
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5018 M
          549300M8ZYFG0OCMTT87
          
            2048-02-20
          
          3.000000
          426191.00
          223150.52
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5020 M
          549300M8ZYFG0OCMTT87
          
            2048-02-20
          
          4.000000
          27875000.00
          12330695.62
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5137 M
          549300M8ZYFG0OCMTT87
          
            2048-04-20
          
          4.000000
          281221.00
          106760.61
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6221 M
          549300M8ZYFG0OCMTT87
          
            2049-08-20
          
          4.500000
          110311424.00
          67482909.12
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6223 M
          549300M8ZYFG0OCMTT87
          
            2049-09-20
          
          5.500000
          245677.00
          155889.94
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5466 M
          549300M8ZYFG0OCMTT87
          
            2048-09-20
          
          4.000000
          7005952.00
          2870697.06
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5468 M
          549300M8ZYFG0OCMTT87
          
            2048-09-20
          
          5.000000
          33384768.00
          12125675.24
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5528 M
          549300M8ZYFG0OCMTT87
          
            2048-10-20
          
          4.000000
          12675856.00
          5154269.73
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5596 M
          549300M8ZYFG0OCMTT87
          
            2048-11-20
          
          4.500000
          43822720.00
          15727733.30
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5651 M
          549300M8ZYFG0OCMTT87
          
            2048-11-20
          
          4.000000
          250000000.00
          97520426.07
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5652 M
          549300M8ZYFG0OCMTT87
          
            2048-12-20
          
          4.500000
          648567808.00
          214228777.27
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5765 M
          549300M8ZYFG0OCMTT87
          
            2049-01-20
          
          5.000000
          27145536.00
          9629534.27
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5816 M
          549300M8ZYFG0OCMTT87
          
            2049-03-20
          
          3.500000
          2654976.00
          1135477.51
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5986 M
          549300M8ZYFG0OCMTT87
          
            2049-06-20
          
          4.000000
          89000000.00
          40820350.14
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA6033 M
          549300M8ZYFG0OCMTT87
          
            2049-06-20
          
          5.000000
          541284.00
          254867.76
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6039 M
          549300M8ZYFG0OCMTT87
          
            2049-07-20
          
          3.500000
          1893604.00
          976778.27
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6091 M
          549300M8ZYFG0OCMTT87
          
            2049-07-20
          
          4.000000
          561154.00
          321810.96
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6092 M
          549300M8ZYFG0OCMTT87
          
            2048-12-20
          
          4.500000
          15682360.00
          9003603.01
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6157 M
          549300M8ZYFG0OCMTT87
          
            2049-08-20
          
          5.000000
          5700328.00
          3539561.06
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6340 M
          549300M8ZYFG0OCMTT87
          
            2049-12-20
          
          4.000000
          166084352.00
          114403977.99
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6341 M
          549300M8ZYFG0OCMTT87
          
            2049-11-20
          
          4.500000
          6805848.00
          4839121.54
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6411 M
          549300M8ZYFG0OCMTT87
          
            2049-12-20
          
          4.000000
          219392512.00
          159238764.63
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6477 M
          549300M8ZYFG0OCMTT87
          
            2050-01-20
          
          4.500000
          64505216.00
          50490831.01
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6543 M
          549300M8ZYFG0OCMTT87
          
            2050-03-20
          
          4.000000
          9264832.00
          7883632.34
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6599 M
          549300M8ZYFG0OCMTT87
          
            2050-04-20
          
          3.000000
          101241856.00
          98517890.10
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6601 M
          549300M8ZYFG0OCMTT87
          
            2049-10-20
          
          4.000000
          229259.00
          220900.36
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6603 M
          549300M8ZYFG0OCMTT87
          
            2050-04-20
          
          5.000000
          3964260.00
          3767917.76
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA6677 M
          549300M8ZYFG0OCMTT87
          
            2035-05-20
          
          2.000000
          2564744.00
          2543449.54
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6710 M
          549300M8ZYFG0OCMTT87
          
            2050-06-20
          
          3.000000
          25068256.00
          25561823.80
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6768 M
          549300M8ZYFG0OCMTT87
          
            2050-07-20
          
          4.000000
          3242740.00
          3304485.58
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6995 M
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          85456896.00
          90374990.21
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AO3861 X
          549300M8ZYFG0OCMTT87
          
            2045-08-15
          
          4.000000
          525311.00
          317749.41
          Agency Mortgage-Backed Securities
        
        
          GNII SF AO8363 C
          549300M8ZYFG0OCMTT87
          
            2045-09-20
          
          4.000000
          2500000.00
          909699.02
          Agency Mortgage-Backed Securities
        
        
          GNII SF AO9488 C
          549300M8ZYFG0OCMTT87
          
            2046-01-20
          
          4.000000
          2387228.00
          1464283.15
          Agency Mortgage-Backed Securities
        
        
          GNII SF BA3966 C
          549300M8ZYFG0OCMTT87
          
            2047-04-20
          
          4.500000
          1304708.00
          802060.84
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BA5780 X
          549300M8ZYFG0OCMTT87
          
            2047-05-15
          
          5.000000
          233214.00
          56031.27
          Agency Mortgage-Backed Securities
        
        
          GNII SF BA6140 C
          549300M8ZYFG0OCMTT87
          
            2047-06-20
          
          3.500000
          1199362.00
          586999.71
          Agency Mortgage-Backed Securities
        
        
          GNII SF BA8778 C
          549300M8ZYFG0OCMTT87
          
            2047-06-20
          
          3.500000
          1024480.00
          736069.85
          Agency Mortgage-Backed Securities
        
        
          GNII SF BB2076 C
          549300M8ZYFG0OCMTT87
          
            2047-06-20
          
          4.000000
          2936190.00
          2491765.26
          Agency Mortgage-Backed Securities
        
        
          GNII SF BB4475 C
          549300M8ZYFG0OCMTT87
          
            2047-07-20
          
          5.000000
          1874086.00
          406720.90
          Agency Mortgage-Backed Securities
        
        
          GNII SF BB4838 C
          549300M8ZYFG0OCMTT87
          
            2047-06-20
          
          4.000000
          1063776.00
          514924.58
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BC7179 X
          549300M8ZYFG0OCMTT87
          
            2047-10-15
          
          4.500000
          69810.00
          26622.37
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BD7167 X
          549300M8ZYFG0OCMTT87
          
            2047-11-15
          
          5.000000
          928001.00
          274504.51
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BE1031 X
          549300M8ZYFG0OCMTT87
          
            2047-10-15
          
          4.000000
          29000.00
          28023.22
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BE4664 X
          549300M8ZYFG0OCMTT87
          
            2047-12-15
          
          4.000000
          34000.00
          31401.27
          Agency Mortgage-Backed Securities
        
        
          GNII SF BE6476 C
          549300M8ZYFG0OCMTT87
          
            2048-01-20
          
          3.500000
          112000.00
          92430.85
          Agency Mortgage-Backed Securities
        
        
          GNII SF BG1934 C
          549300M8ZYFG0OCMTT87
          
            2048-03-20
          
          4.500000
          1131874.00
          710506.35
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BG6391 X
          549300M8ZYFG0OCMTT87
          
            2048-08-15
          
          4.000000
          5000944.00
          5087462.29
          Agency Mortgage-Backed Securities
        
        
          GNII SF BG7701 C
          549300M8ZYFG0OCMTT87
          
            2048-05-20
          
          4.500000
          1560220.00
          1006000.99
          Agency Mortgage-Backed Securities
        
        
          GNII SF BI0356 C
          549300M8ZYFG0OCMTT87
          
            2048-07-20
          
          5.000000
          1408988.00
          977294.20
          Agency Mortgage-Backed Securities
        
        
          GNII SF BI4490 C
          549300M8ZYFG0OCMTT87
          
            2048-11-20
          
          5.000000
          3935080.00
          3703107.80
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BI6163 X
          549300M8ZYFG0OCMTT87
          
            2048-09-15
          
          5.500000
          1035562.00
          199859.38
          Agency Mortgage-Backed Securities
        
        
          GNII SF BJ0881 C
          549300M8ZYFG0OCMTT87
          
            2048-08-20
          
          4.500000
          6433752.00
          3205703.50
          Agency Mortgage-Backed Securities
        
        
          GNII SF BK7168 C
          549300M8ZYFG0OCMTT87
          
            2048-12-20
          
          4.500000
          3500000.00
          1985436.69
          Agency Mortgage-Backed Securities
        
        
          GNPL PN BK8809
          549300M8ZYFG0OCMTT87
          
            2052-12-15
          
          4.150000
          260000.00
          275529.96
          Agency Mortgage-Backed Securities
        
        
          GNII SF BL9226 C
          549300M8ZYFG0OCMTT87
          
            2049-06-20
          
          4.000000
          195000.00
          171411.95
          Agency Mortgage-Backed Securities
        
        
          GNII SF BM0167 C
          549300M8ZYFG0OCMTT87
          
            2049-09-20
          
          3.500000
          1545588.00
          1478800.27
          Agency Mortgage-Backed Securities
        
        
          GNII SF BN6768 C
          549300M8ZYFG0OCMTT87
          
            2049-06-20
          
          4.000000
          1398818.00
          1153203.70
          Agency Mortgage-Backed Securities
        
        
          GNII SF BO9021 C
          549300M8ZYFG0OCMTT87
          
            2050-01-20
          
          4.000000
          1154130.00
          1040702.23
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BP1506 X
          549300M8ZYFG0OCMTT87
          
            2049-08-15
          
          4.500000
          319202.00
          188424.12
          Agency Mortgage-Backed Securities
        
        
          GNII SF BQ6498 C
          549300M8ZYFG0OCMTT87
          
            2049-12-20
          
          4.000000
          1059884.00
          1028911.57
          Agency Mortgage-Backed Securities
        
        
          GNII SF BR3652 C
          549300M8ZYFG0OCMTT87
          
            2049-12-20
          
          4.000000
          2137648.00
          2059748.38
          Agency Mortgage-Backed Securities
        
        
          GNII SF BS1660 C
          549300M8ZYFG0OCMTT87
          
            2050-02-20
          
          4.000000
          1469900.00
          1235676.87
          Agency Mortgage-Backed Securities
        
        
          GNII SF BS2854 C
          549300M8ZYFG0OCMTT87
          
            2050-01-20
          
          4.000000
          2618700.00
          2932753.59
          Agency Mortgage-Backed Securities
        
        
          GNII SF BS3273 C
          549300M8ZYFG0OCMTT87
          
            2050-02-20
          
          4.000000
          1384434.00
          1519768.35
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BS5065 X
          549300M8ZYFG0OCMTT87
          
            2050-02-15
          
          3.500000
          120000.00
          100484.45
          Agency Mortgage-Backed Securities
        
        
          GNII SF BS8688 C
          549300M8ZYFG0OCMTT87
          
            2050-02-20
          
          4.000000
          1363952.00
          1529251.69
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BT9632 X
          549300M8ZYFG0OCMTT87
          
            2050-04-15
          
          4.000000
          3804860.00
          3601766.04
          Agency Mortgage-Backed Securities
        
        
          GNII SF BW6733 C
          549300M8ZYFG0OCMTT87
          
            2050-10-20
          
          2.500000
          8495056.00
          9037602.15
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX6028 C
          549300M8ZYFG0OCMTT87
          
            2050-09-20
          
          2.500000
          1757158.00
          1852323.49
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AD3518 X
          549300M8ZYFG0OCMTT87
          
            2043-04-15
          
          3.500000
          47948.00
          18643.34
          Agency Mortgage-Backed Securities
        
        
          GNII SF AE5435 C
          549300M8ZYFG0OCMTT87
          
            2023-08-20
          
          3.000000
          321999.00
          41926.95
          Agency Mortgage-Backed Securities
        
        
          GNII SF AE7805 C
          549300M8ZYFG0OCMTT87
          
            2043-09-20
          
          3.500000
          2986060.00
          1538093.09
          Agency Mortgage-Backed Securities
        
        
          GNII SF AE7906 C
          549300M8ZYFG0OCMTT87
          
            2043-09-20
          
          3.500000
          1037598.00
          135761.21
          Agency Mortgage-Backed Securities
        
        
          GNII SF AE8204 C
          549300M8ZYFG0OCMTT87
          
            2034-03-20
          
          4.000000
          3196676.00
          949948.55
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AE9888 X
          549300M8ZYFG0OCMTT87
          
            2043-05-15
          
          3.500000
          131625.00
          49744.76
          Agency Mortgage-Backed Securities
        
        
          GNII SF AF3695 C
          549300M8ZYFG0OCMTT87
          
            2043-06-20
          
          3.500000
          930000.00
          365601.65
          Agency Mortgage-Backed Securities
        
        
          GNII SF AG4148 C
          549300M8ZYFG0OCMTT87
          
            2043-10-20
          
          4.000000
          14546112.00
          387213.68
          Agency Mortgage-Backed Securities
        
        
          GNII SF AG9019 C
          549300M8ZYFG0OCMTT87
          
            2044-05-20
          
          4.000000
          4440000.00
          1289817.46
          Agency Mortgage-Backed Securities
        
        
          GNII SF AJ0316 C
          549300M8ZYFG0OCMTT87
          
            2044-07-20
          
          4.000000
          1243670.00
          250152.02
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AJ4150 X
          549300M8ZYFG0OCMTT87
          
            2044-09-15
          
          3.500000
          1955000.00
          1027304.25
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AJ6681 X
          549300M8ZYFG0OCMTT87
          
            2044-09-15
          
          3.500000
          633168.00
          370838.31
          Agency Mortgage-Backed Securities
        
        
          GNII SF AK6175 C
          549300M8ZYFG0OCMTT87
          
            2044-11-20
          
          3.500000
          867160.00
          400784.58
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AK6849 X
          549300M8ZYFG0OCMTT87
          
            2030-01-15
          
          3.000000
          2039044.00
          269038.85
          Agency Mortgage-Backed Securities
        
        
          GNII SF AK7899 C
          549300M8ZYFG0OCMTT87
          
            2045-01-20
          
          4.500000
          1729696.00
          407445.77
          Agency Mortgage-Backed Securities
        
        
          GNII SF AL0773 C
          549300M8ZYFG0OCMTT87
          
            2044-12-20
          
          4.000000
          1643858.00
          498672.86
          Agency Mortgage-Backed Securities
        
        
          GNII SF AL1595 C
          549300M8ZYFG0OCMTT87
          
            2045-01-20
          
          4.000000
          1413750.00
          792297.00
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AL5262 X
          549300M8ZYFG0OCMTT87
          
            2045-02-15
          
          3.500000
          155000.00
          55787.84
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AN8425 X
          549300M8ZYFG0OCMTT87
          
            2045-06-15
          
          4.000000
          1380000.00
          637094.26
          Agency Mortgage-Backed Securities
        
        
          GNII SF AR4868 C
          549300M8ZYFG0OCMTT87
          
            2046-03-20
          
          4.000000
          2734440.00
          1118080.35
          Agency Mortgage-Backed Securities
        
        
          GNII SF AR5869 C
          549300M8ZYFG0OCMTT87
          
            2046-02-20
          
          4.000000
          1265146.00
          645407.84
          Agency Mortgage-Backed Securities
        
        
          GNII SF AU0800 C
          549300M8ZYFG0OCMTT87
          
            2046-07-20
          
          3.500000
          1904194.00
          1391566.98
          Agency Mortgage-Backed Securities
        
        
          GNII SF AU0255 C
          549300M8ZYFG0OCMTT87
          
            2046-08-20
          
          3.000000
          151394.00
          115459.78
          Agency Mortgage-Backed Securities
        
        
          GNII SF AU2545 C
          549300M8ZYFG0OCMTT87
          
            2046-07-20
          
          4.000000
          4929240.00
          3255828.52
          Agency Mortgage-Backed Securities
        
        
          GNII SF AU2546 C
          549300M8ZYFG0OCMTT87
          
            2046-07-20
          
          4.000000
          5564272.00
          3712726.29
          Agency Mortgage-Backed Securities
        
        
          GNII SF AW7221 C
          549300M8ZYFG0OCMTT87
          
            2046-10-20
          
          4.000000
          2045392.00
          1043263.30
          Agency Mortgage-Backed Securities
        
        
          GNII SF AW8786 C
          549300M8ZYFG0OCMTT87
          
            2047-01-20
          
          3.500000
          37000.00
          26104.04
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AX6161 X
          549300M8ZYFG0OCMTT87
          
            2047-04-15
          
          4.500000
          6692552.00
          3129870.89
          Agency Mortgage-Backed Securities
        
        
          GNII SF AZ2697 C
          549300M8ZYFG0OCMTT87
          
            2047-04-20
          
          4.500000
          5182610.00
          1830808.91
          Agency Mortgage-Backed Securities
        
        
          GNII SF AZ2700 C
          549300M8ZYFG0OCMTT87
          
            2047-04-20
          
          5.000000
          3936270.00
          1229219.58
          Agency Mortgage-Backed Securities
        
        
          GNII SF AZ3536 C
          549300M8ZYFG0OCMTT87
          
            2047-11-20
          
          4.500000
          5108264.00
          3236423.02
          Agency Mortgage-Backed Securities
        
        
          GNII SF AZ3557 C
          549300M8ZYFG0OCMTT87
          
            2047-07-20
          
          4.500000
          6244608.00
          3772275.60
          Agency Mortgage-Backed Securities
        
        
          GNII SF AI4705 C
          549300M8ZYFG0OCMTT87
          
            2044-09-20
          
          3.500000
          80000.00
          41768.04
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 604389 X
          549300M8ZYFG0OCMTT87
          
            2033-06-15
          
          5.000000
          11131616.00
          929692.84
          Agency Mortgage-Backed Securities
        
        
          GNII SF 003513 M
          549300M8ZYFG0OCMTT87
          
            2034-02-20
          
          5.000000
          1074896.00
          37495.38
          Agency Mortgage-Backed Securities
        
        
          GNII SF 003543 M
          549300M8ZYFG0OCMTT87
          
            2034-04-20
          
          5.000000
          9500000.00
          340150.79
          Agency Mortgage-Backed Securities
        
        
          GNII SF 003305 M
          549300M8ZYFG0OCMTT87
          
            2032-11-20
          
          5.000000
          4611488.00
          127635.61
          Agency Mortgage-Backed Securities
        
        
          GNII SF 003294 M
          549300M8ZYFG0OCMTT87
          
            2032-10-20
          
          5.000000
          287315.00
          9300.95
          Agency Mortgage-Backed Securities
        
        
          GNII SF 003805 M
          549300M8ZYFG0OCMTT87
          
            2036-01-20
          
          5.000000
          190000.00
          7243.02
          Agency Mortgage-Backed Securities
        
        
          GNII SF 003863 M
          549300M8ZYFG0OCMTT87
          
            2036-06-20
          
          5.000000
          5725720.00
          189936.50
          Agency Mortgage-Backed Securities
        
        
          GNII SF 003864 M
          549300M8ZYFG0OCMTT87
          
            2036-06-20
          
          5.500000
          23160544.00
          612381.14
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004040 M
          549300M8ZYFG0OCMTT87
          
            2037-10-20
          
          6.500000
          1600000.00
          40298.55
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004073 M
          549300M8ZYFG0OCMTT87
          
            2038-01-20
          
          6.000000
          3650000.00
          90075.56
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004292 M
          549300M8ZYFG0OCMTT87
          
            2038-11-20
          
          6.500000
          4120000.00
          139897.41
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004324 M
          549300M8ZYFG0OCMTT87
          
            2024-01-20
          
          5.500000
          700211.00
          15422.11
          Agency Mortgage-Backed Securities
        
        
          GNII SF 005305 M
          549300M8ZYFG0OCMTT87
          
            2042-02-20
          
          4.000000
          29565632.00
          3903758.88
          Agency Mortgage-Backed Securities
        
        
          GNII SF 005317 M
          549300M8ZYFG0OCMTT87
          
            2042-02-20
          
          5.500000
          4726528.00
          525597.06
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004539 M
          549300M8ZYFG0OCMTT87
          
            2039-09-20
          
          4.000000
          4118000.00
          696649.05
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004617 M
          549300M8ZYFG0OCMTT87
          
            2040-01-20
          
          4.500000
          1329000.00
          139779.39
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004656 M
          549300M8ZYFG0OCMTT87
          
            2040-03-20
          
          4.000000
          1176000.00
          134241.35
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004646 M
          549300M8ZYFG0OCMTT87
          
            2025-03-20
          
          4.500000
          1200000.00
          74356.39
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004695 M
          549300M8ZYFG0OCMTT87
          
            2040-05-20
          
          4.000000
          325000.00
          42464.65
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004804 M
          549300M8ZYFG0OCMTT87
          
            2040-09-20
          
          6.000000
          492321.00
          30476.38
          Agency Mortgage-Backed Securities
        
        
          GNII JM 004939 M
          549300M8ZYFG0OCMTT87
          
            2039-10-20
          
          5.500000
          1168920.00
          515544.41
          Agency Mortgage-Backed Securities
        
        
          GNII SF 005018 M
          549300M8ZYFG0OCMTT87
          
            2041-04-20
          
          5.000000
          2209212.00
          196095.87
          Agency Mortgage-Backed Securities
        
        
          GNII SF 005085 M
          549300M8ZYFG0OCMTT87
          
            2038-10-20
          
          6.000000
          6361600.00
          423108.31
          Agency Mortgage-Backed Securities
        
        
          GNII SF 005116 M
          549300M8ZYFG0OCMTT87
          
            2041-07-20
          
          5.000000
          4551860.00
          450576.10
          Agency Mortgage-Backed Securities
        
        
          GNII SF 005203 M
          549300M8ZYFG0OCMTT87
          
            2041-10-20
          
          4.000000
          1045800.00
          141428.55
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 608670 X
          549300M8ZYFG0OCMTT87
          
            2024-08-15
          
          6.500000
          1522868.00
          92608.37
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 721518 X
          549300M8ZYFG0OCMTT87
          
            2025-02-15
          
          4.500000
          1250000.00
          76946.34
          Agency Mortgage-Backed Securities
        
        
          GNII SF 722696 C
          549300M8ZYFG0OCMTT87
          
            2039-11-20
          
          4.000000
          3788324.00
          492025.04
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 723516 X
          549300M8ZYFG0OCMTT87
          
            2039-12-15
          
          4.000000
          293306.00
          46511.10
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 728924 X
          549300M8ZYFG0OCMTT87
          
            2039-12-15
          
          5.000000
          280526.00
          26551.74
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 734279 X
          549300M8ZYFG0OCMTT87
          
            2026-03-15
          
          4.500000
          1352646.00
          59374.78
          Agency Mortgage-Backed Securities
        
        
          GNII SF 734361 C
          549300M8ZYFG0OCMTT87
          
            2042-03-20
          
          3.500000
          5771840.00
          1951060.89
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 738107 X
          549300M8ZYFG0OCMTT87
          
            2041-03-15
          
          4.000000
          611292.00
          106480.72
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4072 M
          549300M8ZYFG0OCMTT87
          
            2046-11-20
          
          5.000000
          6032528.00
          2110995.48
          Agency Mortgage-Backed Securities
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0007
      2146000000.00
      2146000000.00
      0.0228
      N
      Y
      Y
      N
    
    
      JP MORGAN SECURITIES LLC
      JP MORGAN SECURITIES LLC 0.060000%
      ZBUT11V806EZRVTWT807
      0000782124
      ARP0P24G3
      U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash
      Y
      
        N
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2023-10-31
          
          2.875000
          94318500.00
          102000045.12
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0006
      100000000.00
      100000000.00
      0.0011
      N
      Y
      Y
      N
    
    
      JP MORGAN SECURITIES LLC
      JP MORGAN SECURITIES LLC 0.080000%
      ZBUT11V806EZRVTWT807
      0000782124
      ARP0P24L2
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          GNMI SF 556208 X
          549300M8ZYFG0OCMTT87
          
            2031-07-15
          
          6.000000
          952259.00
          5247.85
          Agency Mortgage-Backed Securities
        
        
          GNII SP 785120 M
          549300M8ZYFG0OCMTT87
          
            2049-02-20
          
          4.000000
          149196032.00
          135947067.06
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 756038 X
          549300M8ZYFG0OCMTT87
          
            2041-02-15
          
          4.250000
          7908700.00
          2111490.59
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 713593 X
          549300M8ZYFG0OCMTT87
          
            2039-07-15
          
          4.000000
          902928.00
          152493.39
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.500 CLZJ0731
          
            2040-11-01
          
          4.500000
          1777784.00
          234115.79
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CIZK3541
          
            2026-09-01
          
          3.000000
          110058.00
          10102.46
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CIZK3794
          
            2026-12-01
          
          3.000000
          31278304.00
          5177678.28
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CIZK4171
          
            2027-06-01
          
          3.000000
          1300000.00
          287865.72
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY0221 C
          549300M8ZYFG0OCMTT87
          
            2050-09-20
          
          3.500000
          1153716.00
          1237168.19
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY0225 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.500000
          5107320.00
          5422440.25
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY0233 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          7324712.00
          7766233.43
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY2662 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          4.500000
          1576366.00
          1706904.87
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY2674 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          1272242.00
          1377413.16
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY2682 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          1114342.00
          1184322.68
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY2683 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          1071232.00
          1138505.37
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY1828 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.000000
          1286882.00
          1412374.12
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY5164 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          4.500000
          1086214.00
          1192012.77
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY5410 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.000000
          1560002.00
          1633310.65
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY6335 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.000000
          1686676.00
          1765932.34
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY9770 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          2412296.00
          2605661.63
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ0833 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          6774616.00
          7233503.65
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ0368 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          4.000000
          1114002.00
          1224083.02
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ4620 C
          549300M8ZYFG0OCMTT87
          
            2040-08-20
          
          5.000000
          9147440.00
          10096896.22
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ7152 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          2019420.00
          2141153.33
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ6391 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          1652666.00
          1752294.22
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ7354 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.000000
          6733184.00
          7035803.06
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ7361 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          2677732.00
          2833827.79
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ7587 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.000000
          1195834.00
          1247559.26
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ8662 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          1520406.00
          1651727.01
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ8816 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.500000
          1488356.00
          1627475.12
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ9056 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.000000
          1466706.00
          1609169.19
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ9211 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          1290792.00
          1383035.01
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA4436 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          1646190.00
          1727096.95
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA4504 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          15213504.00
          16130594.31
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA4505 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          3.000000
          2805948.00
          2943863.15
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 CLZM8344
          
            2048-09-01
          
          5.000000
          12201600.00
          9140134.02
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZA1177
          
            2042-04-01
          
          3.500000
          68667.00
          21854.28
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CTZA2494
          
            2038-02-01
          
          3.500000
          21000000.00
          11262716.26
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZS3676
          
            2042-12-01
          
          3.500000
          25000.00
          9383.59
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CIZS6596
          
            2027-11-01
          
          3.000000
          2500000.00
          409835.57
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CIZS8027
          
            2030-12-01
          
          3.500000
          10000000.00
          4705239.11
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLSD0212
          
            2049-12-01
          
          3.500000
          1530000.00
          1343610.25
          Agency Mortgage-Backed Securities
        
        
          03.500 FGPC U92082 G
          
            2043-10-01
          
          3.500000
          1269012.00
          447758.51
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CLQA2593
          
            2049-09-01
          
          3.000000
          3100000.00
          2868958.14
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLQA5866
          
            2049-12-01
          
          3.500000
          2603170.00
          2560030.98
          Agency Mortgage-Backed Securities
        
        
          FEPC 05.000 CLQA6890
          
            2050-02-01
          
          5.000000
          5361312.00
          6038571.81
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.500 CLQA8250
          
            2050-02-01
          
          4.500000
          1168346.00
          1256572.12
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CLQA9433
          
            2050-05-01
          
          4.000000
          1034100.00
          981003.00
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CLQB5443
          
            2050-11-01
          
          2.500000
          7376840.00
          7847729.03
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CLQB5585
          
            2050-11-01
          
          2.500000
          6201672.00
          6544104.43
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 CLQB7325
          
            2051-01-01
          
          2.000000
          21416992.00
          22460827.63
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 CLQB7327
          
            2051-01-01
          
          2.000000
          44467136.00
          46362132.65
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CLQB7320
          
            2050-12-01
          
          2.500000
          9251872.00
          9844624.02
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CTQK0321
          
            2040-06-01
          
          2.500000
          35131712.00
          35957768.17
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLRA2014
          
            2050-01-01
          
          3.500000
          82318848.00
          81766718.45
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.000 CLRA4344
          
            2051-01-01
          
          2.000000
          89029600.00
          92519352.58
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CLRA4353
          
            2051-01-01
          
          2.500000
          13946512.00
          14840055.73
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 I3BF0386
          B1V7KEBTPIMZEU4LTD58
          
            2049-02-01
          
          3.000000
          2475000.00
          2052404.42
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLBQ9573
          B1V7KEBTPIMZEU4LTD58
          
            2050-11-01
          
          2.500000
          1932600.00
          2078217.67
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CLFM3611
          B1V7KEBTPIMZEU4LTD58
          
            2050-07-01
          
          2.500000
          37985344.00
          39040980.32
          Agency Mortgage-Backed Securities
        
        
          FNAR XX.XXX S2961324
          B1V7KEBTPIMZEU4LTD58
          
            2048-01-01
          
          3.673000
          8076300.00
          219148.15
          Agency Mortgage-Backed Securities
        
        
          FNMS 06.000 CL995487
          B1V7KEBTPIMZEU4LTD58
          
            2037-08-01
          
          6.000000
          720000.00
          42950.34
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA0068 M
          549300M8ZYFG0OCMTT87
          
            2027-05-20
          
          3.000000
          15550656.00
          1862334.01
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6869 M
          549300M8ZYFG0OCMTT87
          
            2050-09-20
          
          4.500000
          8589952.00
          9260742.46
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6906 M
          549300M8ZYFG0OCMTT87
          
            2035-10-20
          
          2.500000
          165600.00
          171419.75
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6967 M
          549300M8ZYFG0OCMTT87
          
            2035-11-20
          
          2.000000
          108126000.00
          112457271.96
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA7048 M
          549300M8ZYFG0OCMTT87
          
            2048-12-20
          
          5.000000
          553718.00
          602118.86
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BN0239 X
          549300M8ZYFG0OCMTT87
          
            2050-02-15
          
          2.500000
          4131496.00
          4014665.17
          Agency Mortgage-Backed Securities
        
        
          GNII SF BR2669 C
          549300M8ZYFG0OCMTT87
          
            2049-11-20
          
          3.500000
          351790.00
          368903.42
          Agency Mortgage-Backed Securities
        
        
          GNII SF BS6887 C
          549300M8ZYFG0OCMTT87
          
            2050-02-20
          
          4.500000
          1361118.00
          1193374.05
          Agency Mortgage-Backed Securities
        
        
          GNII SF BT8069 C
          549300M8ZYFG0OCMTT87
          
            2050-03-20
          
          3.500000
          2688232.00
          2832754.36
          Agency Mortgage-Backed Securities
        
        
          GNII SF BV3644 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          1584220.00
          1679718.89
          Agency Mortgage-Backed Securities
        
        
          GNII SF BW1407 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          2175288.00
          2322627.51
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX7342 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.000000
          461635.00
          482110.53
          Agency Mortgage-Backed Securities
        
        
          GNII SF BX9665 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          2417388.00
          2636701.50
          Agency Mortgage-Backed Securities
        
        
          GNII SF CA7872 C
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          2203684.00
          2336520.60
          Agency Mortgage-Backed Securities
        
        
          GNII SF AL1797 C
          549300M8ZYFG0OCMTT87
          
            2045-01-20
          
          3.500000
          34377920.00
          13344619.27
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AP0292 X
          549300M8ZYFG0OCMTT87
          
            2045-08-15
          
          4.500000
          804375.00
          494883.59
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AU2442 X
          549300M8ZYFG0OCMTT87
          
            2046-06-15
          
          5.000000
          51998.00
          5470.53
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 571273 X
          549300M8ZYFG0OCMTT87
          
            2031-11-15
          
          6.000000
          1768882.00
          38258.77
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 580994 X
          549300M8ZYFG0OCMTT87
          
            2032-02-15
          
          6.000000
          2955608.00
          25153.99
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 435977 X
          549300M8ZYFG0OCMTT87
          
            2027-05-15
          
          8.000000
          3522800.00
          56636.34
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 440026 X
          549300M8ZYFG0OCMTT87
          
            2027-01-15
          
          8.000000
          858746.00
          7965.40
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 443874 X
          549300M8ZYFG0OCMTT87
          
            2027-04-15
          
          8.000000
          1269292.00
          9644.21
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 446389 X
          549300M8ZYFG0OCMTT87
          
            2027-04-15
          
          8.000000
          2483692.00
          24584.12
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 448517 X
          549300M8ZYFG0OCMTT87
          
            2027-04-15
          
          8.000000
          1421728.00
          9405.89
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 722063 X
          549300M8ZYFG0OCMTT87
          
            2039-10-15
          
          5.000000
          96000.00
          14998.17
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 487399 X
          549300M8ZYFG0OCMTT87
          
            2029-02-15
          
          6.000000
          625660.00
          6254.75
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 489700 X
          549300M8ZYFG0OCMTT87
          
            2029-02-15
          
          6.000000
          782080.00
          7281.04
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 495883 X
          549300M8ZYFG0OCMTT87
          
            2029-01-15
          
          6.000000
          839368.00
          8688.21
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 498244 X
          549300M8ZYFG0OCMTT87
          
            2031-06-15
          
          6.000000
          1333440.00
          37616.96
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 507941 X
          549300M8ZYFG0OCMTT87
          
            2029-05-15
          
          6.000000
          175313.00
          8206.51
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 487198 X
          549300M8ZYFG0OCMTT87
          
            2029-05-15
          
          6.000000
          1049840.00
          10427.91
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 520974 X
          549300M8ZYFG0OCMTT87
          
            2035-04-15
          
          4.500000
          286880.00
          15514.97
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 545904 X
          549300M8ZYFG0OCMTT87
          
            2031-09-15
          
          6.000000
          360765.00
          6173.83
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 559011 X
          549300M8ZYFG0OCMTT87
          
            2031-05-15
          
          6.000000
          965608.00
          18915.84
          Agency Mortgage-Backed Securities
        
        
          GNAR AT 082958 M
          549300M8ZYFG0OCMTT87
          
            2041-10-20
          
          3.125000
          11500000.00
          646535.63
          Agency Mortgage-Backed Securities
        
        
          GNII SP 784421 C
          549300M8ZYFG0OCMTT87
          
            2047-12-20
          
          3.500000
          845125.00
          671531.75
          Agency Mortgage-Backed Securities
        
        
          GNMI SP 784599 X
          549300M8ZYFG0OCMTT87
          
            2048-03-15
          
          5.000000
          5692496.00
          1803617.20
          Agency Mortgage-Backed Securities
        
        
          GNII SP 785116 M
          549300M8ZYFG0OCMTT87
          
            2049-09-20
          
          3.500000
          179282176.00
          151746537.81
          Agency Mortgage-Backed Securities
        
        
          GNMI SP 782539 X
          549300M8ZYFG0OCMTT87
          
            2038-11-15
          
          5.500000
          2699970.00
          93032.37
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 621873 X
          549300M8ZYFG0OCMTT87
          
            2034-02-15
          
          5.500000
          2000000.00
          60548.04
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 644035 X
          549300M8ZYFG0OCMTT87
          
            2035-08-15
          
          6.000000
          495047.00
          14869.20
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 646908 X
          549300M8ZYFG0OCMTT87
          
            2035-09-15
          
          4.500000
          560681.00
          55373.80
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 662442 X
          549300M8ZYFG0OCMTT87
          
            2037-06-15
          
          5.500000
          226066.00
          6007.27
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 696457 X
          549300M8ZYFG0OCMTT87
          
            2038-08-15
          
          6.000000
          3552108.00
          8317.85
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 697946 X
          549300M8ZYFG0OCMTT87
          
            2039-03-15
          
          5.000000
          375237.00
          8336.39
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 708225 X
          549300M8ZYFG0OCMTT87
          
            2039-02-15
          
          5.000000
          1000000.00
          22426.92
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 711503 X
          549300M8ZYFG0OCMTT87
          
            2040-04-15
          
          4.000000
          473268.00
          200042.59
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 714587 X
          549300M8ZYFG0OCMTT87
          
            2039-07-15
          
          5.000000
          102612.00
          27382.22
          Agency Mortgage-Backed Securities
        
        
          06.500 FGPC P00023 G
          
            2032-11-01
          
          6.500000
          3000000.00
          25131.19
          Agency Mortgage-Backed Securities
        
        
          06.000 FGPC G30458 G
          
            2027-12-01
          
          6.000000
          271121408.00
          11578300.57
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY0224 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          45648480.00
          48314078.90
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY8971 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.000000
          2381784.00
          2489011.25
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ0122 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.000000
          1314668.00
          1394829.95
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.000 CTZA2441
          
            2037-01-01
          
          3.000000
          1023772.00
          563562.53
          Agency Mortgage-Backed Securities
        
        
          FEPC 03.500 CLZT0537
          
            2048-03-01
          
          3.500000
          10004400.00
          7294014.03
          Agency Mortgage-Backed Securities
        
        
          FEPC 04.000 CISB0353
          
            2034-09-01
          
          4.000000
          11460380.00
          9805491.22
          Agency Mortgage-Backed Securities
        
        
          07.000 FGPC G60552 G
          
            2031-12-01
          
          7.000000
          17236500.00
          7195982.16
          Agency Mortgage-Backed Securities
        
        
          FEPC 02.500 CIQN2023
          
            2035-04-01
          
          2.500000
          3425900.00
          3363103.09
          Agency Mortgage-Backed Securities
        
        
          FNMS 06.000 CL869016
          B1V7KEBTPIMZEU4LTD58
          
            2036-05-01
          
          6.000000
          19862976.00
          39356.74
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.500 CLFM4335
          B1V7KEBTPIMZEU4LTD58
          
            2049-05-01
          
          4.500000
          18613888.00
          18594449.23
          Agency Mortgage-Backed Securities
        
        
          FNMS 05.000 CLAD6374
          B1V7KEBTPIMZEU4LTD58
          
            2040-05-01
          
          5.000000
          10084640.00
          771259.77
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 774060 X
          549300M8ZYFG0OCMTT87
          
            2048-03-15
          
          3.000000
          2553212.00
          2550819.20
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 778870 X
          549300M8ZYFG0OCMTT87
          
            2042-02-15
          
          4.000000
          300000.00
          73864.67
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA1375 M
          549300M8ZYFG0OCMTT87
          
            2043-10-20
          
          3.500000
          229740288.00
          60782236.22
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA1377 M
          549300M8ZYFG0OCMTT87
          
            2043-10-20
          
          4.500000
          5032216.00
          742578.72
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA1601 M
          549300M8ZYFG0OCMTT87
          
            2044-01-20
          
          4.000000
          101331000.00
          17797565.62
          Agency Mortgage-Backed Securities
        
        
          GNAR AT MA1860 M
          549300M8ZYFG0OCMTT87
          
            2044-03-20
          
          2.875000
          3408530.00
          106404.08
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA1840 M
          549300M8ZYFG0OCMTT87
          
            2044-04-20
          
          4.500000
          650000000.00
          129128820.13
          Agency Mortgage-Backed Securities
        
        
          GNAR AF MA2087 M
          549300M8ZYFG0OCMTT87
          
            2044-06-20
          
          2.250000
          307912192.00
          19431113.82
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3596 M
          549300M8ZYFG0OCMTT87
          
            2046-04-20
          
          3.000000
          357824000.00
          133569974.14
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA2892 M
          549300M8ZYFG0OCMTT87
          
            2045-06-20
          
          3.500000
          2800000.00
          805065.28
          Agency Mortgage-Backed Securities
        
        
          GNII FS MA2997 M
          549300M8ZYFG0OCMTT87
          
            2045-04-20
          
          3.500000
          481574.00
          117799.07
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4383 M
          549300M8ZYFG0OCMTT87
          
            2047-04-20
          
          4.000000
          137836800.00
          49991670.70
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA4185 M
          549300M8ZYFG0OCMTT87
          
            2047-01-20
          
          3.500000
          571908.00
          158532.56
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4900 M
          549300M8ZYFG0OCMTT87
          
            2047-12-20
          
          3.500000
          49541000.00
          24641560.86
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5175 M
          549300M8ZYFG0OCMTT87
          
            2030-10-20
          
          8.000000
          78287.00
          52340.77
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5194 M
          549300M8ZYFG0OCMTT87
          
            2048-04-20
          
          5.000000
          1148062.00
          405361.65
          Agency Mortgage-Backed Securities
        
        
          GNAR AT MA5209 M
          549300M8ZYFG0OCMTT87
          
            2048-05-20
          
          2.000000
          1484350.00
          691195.87
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6222 M
          549300M8ZYFG0OCMTT87
          
            2049-10-20
          
          5.000000
          421316.00
          265451.20
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6283 M
          549300M8ZYFG0OCMTT87
          
            2049-11-20
          
          3.000000
          135512320.00
          96409028.73
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5529 M
          549300M8ZYFG0OCMTT87
          
            2048-10-20
          
          4.500000
          461343232.00
          173403403.52
          Agency Mortgage-Backed Securities
        
        
          GNAR AT MA5671 M
          549300M8ZYFG0OCMTT87
          
            2048-12-20
          
          3.000000
          348471.00
          112638.78
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA5699 M
          549300M8ZYFG0OCMTT87
          
            2049-01-20
          
          3.500000
          1739230.00
          334442.96
          Agency Mortgage-Backed Securities
        
        
          GNII JM MA5701 M
          549300M8ZYFG0OCMTT87
          
            2049-01-20
          
          4.500000
          112100.00
          18050.41
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5933 M
          549300M8ZYFG0OCMTT87
          
            2049-05-20
          
          5.000000
          300000000.00
          145481454.52
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6038 M
          549300M8ZYFG0OCMTT87
          
            2049-07-20
          
          3.000000
          394823.00
          220055.49
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6409 M
          549300M8ZYFG0OCMTT87
          
            2049-12-20
          
          3.000000
          119367680.00
          91313383.40
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6540 M
          549300M8ZYFG0OCMTT87
          
            2050-02-20
          
          2.500000
          149999000.00
          134313897.69
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AO3537 X
          549300M8ZYFG0OCMTT87
          
            2045-07-15
          
          3.500000
          11185000.00
          4226726.42
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BA5867 X
          549300M8ZYFG0OCMTT87
          
            2047-05-15
          
          4.500000
          1214122.00
          1010578.67
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BA9056 X
          549300M8ZYFG0OCMTT87
          
            2047-08-15
          
          4.500000
          578889.00
          313369.36
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BB5919 X
          549300M8ZYFG0OCMTT87
          
            2047-10-15
          
          3.500000
          9400000.00
          4480229.51
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BB7097 X
          549300M8ZYFG0OCMTT87
          
            2047-08-15
          
          4.500000
          315403.00
          97695.80
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BC8968 X
          549300M8ZYFG0OCMTT87
          
            2047-10-15
          
          4.500000
          3541148.00
          1220948.48
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BF2471 X
          549300M8ZYFG0OCMTT87
          
            2048-04-15
          
          5.500000
          652647.00
          191186.81
          Agency Mortgage-Backed Securities
        
        
          GNMI SF BK5544 X
          549300M8ZYFG0OCMTT87
          
            2049-09-15
          
          3.000000
          25000.00
          15384.26
          Agency Mortgage-Backed Securities
        
        
          GNII SF BM3778 C
          549300M8ZYFG0OCMTT87
          
            2049-05-20
          
          4.500000
          6763224.00
          5929662.88
          Agency Mortgage-Backed Securities
        
        
          GNII SF BN3610 C
          549300M8ZYFG0OCMTT87
          
            2049-05-20
          
          4.500000
          1800000.00
          1349216.99
          Agency Mortgage-Backed Securities
        
        
          GNII SF BO0255 C
          549300M8ZYFG0OCMTT87
          
            2049-06-20
          
          3.500000
          2266744.00
          777496.83
          Agency Mortgage-Backed Securities
        
        
          GNII SF BT8905 C
          549300M8ZYFG0OCMTT87
          
            2050-03-20
          
          2.500000
          1232714.00
          1284111.99
          Agency Mortgage-Backed Securities
        
        
          GNII SF BT8232 C
          549300M8ZYFG0OCMTT87
          
            2050-03-20
          
          4.500000
          1730196.00
          1842504.26
          Agency Mortgage-Backed Securities
        
        
          GNII SF BW4520 C
          549300M8ZYFG0OCMTT87
          
            2036-03-20
          
          5.500000
          3107212.00
          3227705.10
          Agency Mortgage-Backed Securities
        
        
          GNII SF BW8893 C
          549300M8ZYFG0OCMTT87
          
            2040-08-20
          
          4.500000
          3924932.00
          4003904.69
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AD1732 X
          549300M8ZYFG0OCMTT87
          
            2043-02-15
          
          2.500000
          570000.00
          199407.69
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AD2334 X
          549300M8ZYFG0OCMTT87
          
            2043-04-15
          
          3.500000
          3763400.00
          1235052.96
          Agency Mortgage-Backed Securities
        
        
          GNII SF AF1001 C
          549300M8ZYFG0OCMTT87
          
            2043-06-20
          
          3.500000
          600000.00
          242405.32
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AN7592 X
          549300M8ZYFG0OCMTT87
          
            2045-07-15
          
          3.000000
          162673.00
          47872.34
          Agency Mortgage-Backed Securities
        
        
          GNII SF AS4324 C
          549300M8ZYFG0OCMTT87
          
            2046-06-20
          
          4.000000
          800000.00
          614559.28
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AV4191 X
          549300M8ZYFG0OCMTT87
          
            2046-09-15
          
          4.500000
          624562.00
          152101.74
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AW3374 X
          549300M8ZYFG0OCMTT87
          
            2046-11-15
          
          3.500000
          3525000.00
          1752679.27
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AX8657 X
          549300M8ZYFG0OCMTT87
          
            2046-10-15
          
          4.000000
          3253976.00
          2465132.35
          Agency Mortgage-Backed Securities
        
        
          GNMI SF AZ1047 X
          549300M8ZYFG0OCMTT87
          
            2047-01-15
          
          4.000000
          1771586.00
          1467114.55
          Agency Mortgage-Backed Securities
        
        
          GNII JM 004240 M
          549300M8ZYFG0OCMTT87
          
            2038-09-20
          
          6.500000
          6000000.00
          33651.12
          Agency Mortgage-Backed Securities
        
        
          GNII JM 004260 M
          549300M8ZYFG0OCMTT87
          
            2038-10-20
          
          6.000000
          11400000.00
          34451.05
          Agency Mortgage-Backed Securities
        
        
          GNII SF 004773 M
          549300M8ZYFG0OCMTT87
          
            2040-08-20
          
          5.500000
          3000000.00
          313594.51
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 441009 X
          549300M8ZYFG0OCMTT87
          
            2026-11-15
          
          8.000000
          3079920.00
          6051.46
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 723799 X
          549300M8ZYFG0OCMTT87
          
            2040-04-15
          
          4.500000
          258873.00
          39320.54
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 737010 X
          549300M8ZYFG0OCMTT87
          
            2040-02-15
          
          4.500000
          357066.00
          67216.73
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 738105 X
          549300M8ZYFG0OCMTT87
          
            2041-03-15
          
          4.500000
          749000.00
          140654.44
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 744018 X
          549300M8ZYFG0OCMTT87
          
            2041-01-15
          
          5.000000
          723417.00
          8380.21
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 748486 X
          549300M8ZYFG0OCMTT87
          
            2040-08-15
          
          4.500000
          31499000.00
          3096726.21
          Agency Mortgage-Backed Securities
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0008
      2120000000.00
      2120000000.00
      0.0225
      N
      Y
      Y
      N
    
    
      RBC DOMINION SECURITIES INC
      RBC DOMINION SECURITIES INC 0.080000%
      549300QJJX6CVVUXLE15
      0001317808
      ARP0P24M0
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          GNRM 2016-75 WA
          549300M8ZYFG0OCMTT87
          
            2043-11-16
          
          2.250000
          35000000.00
          11250355.26
          Agency Collateralized Mortgage Obligation
        
        
          GNRM 2016-147 PA
          549300M8ZYFG0OCMTT87
          
            2045-06-20
          
          2.500000
          30911540.00
          19097400.22
          Agency Collateralized Mortgage Obligation
        
        
          GNRA 2018-51 FE
          549300M8ZYFG0OCMTT87
          
            2048-11-20
          
          0.851630
          48803507.00
          30173728.47
          Agency Collateralized Mortgage Obligation
        
        
          GNRA 2019-57 FL
          549300M8ZYFG0OCMTT87
          
            2049-05-20
          
          0.871630
          127932404.00
          98069768.64
          Agency Collateralized Mortgage Obligation
        
        
          GNRA 2019-20 FA
          549300M8ZYFG0OCMTT87
          
            2049-09-20
          
          0.751630
          100000000.00
          84229272.93
          Agency Collateralized Mortgage Obligation
        
        
          GNRA 2019-28 EF
          549300M8ZYFG0OCMTT87
          
            2049-10-20
          
          0.721630
          100000000.00
          75174520.39
          Agency Collateralized Mortgage Obligation
        
        
          GNRA 2019-28 YF
          549300M8ZYFG0OCMTT87
          
            2049-10-20
          
          0.801630
          80896234.00
          72947474.08
          Agency Collateralized Mortgage Obligation
        
        
          GNRA 2020-004 FB
          549300M8ZYFG0OCMTT87
          
            2050-01-20
          
          0.791630
          89857800.00
          63905742.92
          Agency Collateralized Mortgage Obligation
        
        
          GNRA 2020-009 FA
          549300M8ZYFG0OCMTT87
          
            2050-01-20
          
          0.801630
          110000000.00
          105621372.87
          Agency Collateralized Mortgage Obligation
        
        
          GNRA 2020-021 F
          549300M8ZYFG0OCMTT87
          
            2050-02-20
          
          0.851630
          10385000.00
          9738611.31
          Agency Collateralized Mortgage Obligation
        
        
          GNRM 2020-104 YN
          549300M8ZYFG0OCMTT87
          
            2050-07-20
          
          1.200000
          100000000.00
          99386456.79
          Agency Collateralized Mortgage Obligation
        
        
          Freddie Mac
          S6XOOCT0IEG5ABCC6L87
          
            2034-09-15
          
          5.000000
          2300000.00
          857276.72
          Agency Collateralized Mortgage Obligation
        
        
          Freddie Mac
          S6XOOCT0IEG5ABCC6L87
          
            2036-10-15
          
          6.000000
          58105022.00
          4223131.81
          Agency Collateralized Mortgage Obligation
        
        
          GNII SF MA7052 M
          549300M8ZYFG0OCMTT87
          
            2050-12-20
          
          2.500000
          99591295.00
          105594492.28
          Agency Mortgage-Backed Securities
        
        
          FNMS 04.000 CLMA3443
          B1V7KEBTPIMZEU4LTD58
          
            2048-08-01
          
          4.000000
          282507369.00
          93831392.89
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLMA3686
          B1V7KEBTPIMZEU4LTD58
          
            2049-06-01
          
          3.500000
          1094.00
          454.37
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CLMA4077
          B1V7KEBTPIMZEU4LTD58
          
            2050-07-01
          
          2.000000
          1017.00
          1009.59
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CLMA4119
          B1V7KEBTPIMZEU4LTD58
          
            2050-09-01
          
          2.000000
          1053.00
          1073.77
          Agency Mortgage-Backed Securities
        
        
          FNMS 01.500 CLMA4209
          B1V7KEBTPIMZEU4LTD58
          
            2050-12-01
          
          1.500000
          1429.00
          1440.03
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6541 M
          549300M8ZYFG0OCMTT87
          
            2050-02-20
          
          3.000000
          14482799.00
          12196323.46
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6865 M
          549300M8ZYFG0OCMTT87
          
            2050-09-20
          
          2.500000
          20557799.00
          21586746.80
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6995 M
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          2.500000
          20873550.00
          22074834.98
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA3736 M
          549300M8ZYFG0OCMTT87
          
            2046-06-20
          
          3.500000
          21315600.00
          8411768.42
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4125 M
          549300M8ZYFG0OCMTT87
          
            2046-12-20
          
          2.500000
          2077.00
          1138.23
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4323 M
          549300M8ZYFG0OCMTT87
          
            2047-02-20
          
          4.500000
          178751744.00
          50100182.93
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4510 M
          549300M8ZYFG0OCMTT87
          
            2047-03-20
          
          3.500000
          15824859.00
          7210347.98
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4586 M
          549300M8ZYFG0OCMTT87
          
            2047-07-20
          
          3.500000
          2060782.00
          981325.45
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA4900 M
          549300M8ZYFG0OCMTT87
          
            2047-12-20
          
          3.500000
          1000.00
          497.40
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5709 M
          549300M8ZYFG0OCMTT87
          
            2049-01-20
          
          3.500000
          6012.00
          3052.00
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA5929 M
          549300M8ZYFG0OCMTT87
          
            2049-04-20
          
          3.000000
          40341710.00
          20777646.49
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6038 M
          549300M8ZYFG0OCMTT87
          
            2049-07-20
          
          3.000000
          1126.00
          627.58
          Agency Mortgage-Backed Securities
        
        
          GNII SF MA6090 M
          549300M8ZYFG0OCMTT87
          
            2049-08-20
          
          3.500000
          46176657.00
          26759385.47
          Agency Mortgage-Backed Securities
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-07-15
          
          0.00
          100.00
          99.95
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-01-14
          
          0.00
          100.00
          100.00
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2026-01-15
          
          2.000000
          5729600.00
          8982566.77
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2039-11-15
          
          4.375000
          5036200.00
          7622925.24
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2042-02-15
          
          0.750000
          22894300.00
          33428456.82
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2044-02-15
          
          1.375000
          53600.00
          85957.79
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2028-11-15
          
          3.125000
          3320400.00
          3940796.80
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2029-07-15
          
          0.250000
          17747000.00
          20390703.02
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2026-07-15
          
          0.125000
          2200.00
          2621.92
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-07-31
          
          2.875000
          2879200.00
          3247314.72
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2030-01-15
          
          0.125000
          27100.00
          30482.51
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-10-15
          
          0.125000
          6300.00
          6859.18
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-06-03
          
          0.00
          100.00
          99.96
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0008
      1090000000.00
      1090000000.00
      0.0116
      N
      Y
      Y
      N
    
    
      NOMURA SECURITIES INTERNATIONAL INC
      NOMURA SECURITIES INTERNATIONAL INC 0.060000%
      OXTKY6Q8X53C9ILVV871
      0000902266
      ARP0P24N8
      U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash
      Y
      
        N
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2049-08-15
          
          2.250000
          4865500.00
          5599779.37
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2029-07-15
          
          0.250000
          7912000.00
          9121434.59
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2030-07-15
          
          0.125000
          76597300.00
          87278812.27
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0006
      100000000.00
      100000000.00
      0.0011
      N
      Y
      Y
      N
    
    
      RBC DOMINION SECURITIES INC
      RBC DOMINION SECURITIES INC 0.060000%
      549300QJJX6CVVUXLE15
      0001317808
      ARP0P24P3
      U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash
      Y
      
        N
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-10-15
          
          0.125000
          1200.00
          1306.51
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2027-10-31
          
          0.500000
          100.00
          99.20
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2041-02-15
          
          4.750000
          200.00
          322.28
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2044-02-15
          
          1.375000
          6100.00
          9782.51
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2044-11-15
          
          3.000000
          24720000.00
          31991688.46
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2045-05-15
          
          3.000000
          399900.00
          518787.13
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2046-08-15
          
          2.250000
          10221600.00
          11716074.58
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2048-02-15
          
          1.000000
          200.00
          292.47
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2028-01-15
          
          0.500000
          100.00
          119.51
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-02-28
          
          2.750000
          15017000.00
          16688361.40
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2023-03-31
          
          2.500000
          19999900.00
          21185647.70
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-11-30
          
          2.875000
          400.00
          449.98
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2026-02-15
          
          1.625000
          18604000.00
          19887596.93
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2050-11-15
          
          1.625000
          200.00
          198.66
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0006
      100000000.00
      100000000.00
      0.0011
      N
      Y
      Y
      N
    
    
      WELLS FARGO SECURITIES LLC
      WELLS FARGO SECURITIES LLC 0.180000%
      VYVVCKR63DVZZN70PB21
      0001224385
      ARP0P24Q1
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      N
      
        N
        
          SP GROUP TREAS PTE LTD         FR 3.375%022729
          6354004HB4CUEDLMXY86
          
            2029-02-27
          
          3.375000
          464000.00
          534793.06
          Corporate Debt Securities
        
        
          TTX CO MTN BE 144A             FR 3.6%011525
          549300I8CNSYS1OGX775
          
            2025-01-15
          
          3.600000
          4328000.00
          4888649.12
          Corporate Debt Securities
        
        
          UDR INC                        FR 1.9%031533
          P3CH2EG5X6Z1XWU1OO74
          
            2033-03-15
          
          1.900000
          3000000.00
          2990571.67
          Corporate Debt Securities
        
        
          PTTEP TREAS CTR CO LTD         FR 2.587%061027
          2549006WFOUPZX6TZG08
          
            2027-06-10
          
          2.587000
          379474.00
          395782.74
          Corporate Debt Securities
        
        
          BOC AVIATION PTE LTD           FR 2.75%091822
          254900H06V5RMEB3KE72
          
            2022-09-18
          
          2.750000
          175000.00
          179905.54
          Corporate Debt Securities
        
        
          BOC AVIATION PTE LTD           FR 3.5%091827
          254900H06V5RMEB3KE72
          
            2027-09-18
          
          3.500000
          19980000.00
          21481430.40
          Corporate Debt Securities
        
        
          DBS GROUP HOLDINGS LTD         FR 4.52%121128
          5493007FKT78NKPM5V55
          
            2028-12-11
          
          4.520000
          2999000.00
          3286710.73
          Corporate Debt Securities
        
        
          EURO BK RECON &amp; DEV EURO MTN   FR 1.875%022322
          549300HTGDOVDU6OGK19
          
            2022-02-23
          
          1.875000
          44941000.00
          46098979.77
          Corporate Debt Securities
        
        
          PT PERTAMINA PERSERO           FR 3.65%073029
          254900NDAKGNZ2IBBL45
          
            2029-07-30
          
          3.650000
          5000000.00
          5652941.67
          Corporate Debt Securities
        
        
          PT PERTAMINA PERSERO           FR 4.15%022560
          254900NDAKGNZ2IBBL45
          
            2060-02-25
          
          4.150000
          2462000.00
          2643670.30
          Corporate Debt Securities
        
        
          PERUSAHAAN LISTRIK NEGARA PT   FR 6.15%052148
          254900OYVDRYS9J51J61
          
            2048-05-21
          
          6.150000
          3643002.00
          4778389.11
          Corporate Debt Securities
        
        
          POWER FIN CORP LTD             FR 3.95%042330
          3358003Q6D9LIJJZ1614
          
            2030-04-23
          
          3.950000
          4570000.00
          4941067.50
          Corporate Debt Securities
        
        
          UDR INC                        FR 3%081531
          P3CH2EG5X6Z1XWU1OO74
          
            2031-08-15
          
          3.000000
          1321000.00
          1469933.94
          Corporate Debt Securities
        
        
          ICBCIL FINANCE CO. LTD.        FR 2.75%051921
          549300ZCUURSNVTOEU07
          
            2021-05-19
          
          2.750000
          52000.00
          52447.30
          Corporate Debt Securities
        
        
          ICBCIL FINANCE CO. LTD.        FR 3.625%051926
          549300ZCUURSNVTOEU07
          
            2026-05-19
          
          3.625000
          7000.00
          7663.17
          Corporate Debt Securities
        
        
          KOOKMIN BANK                   FR 2.5%110430
          549300XXMOJSIW8P4769
          
            2030-11-04
          
          2.500000
          2400000.00
          2449101.33
          Corporate Debt Securities
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0018
      97000000.00
      97000000.00
      0.0010
      N
      Y
      Y
      N
    
    
      WELLS FARGO SECURITIES LLC
      WELLS FARGO SECURITIES LLC 0.080000%
      VYVVCKR63DVZZN70PB21
      0001224385
      ARP0P24R9
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          FNMS 02.000 CLBQ5160
          B1V7KEBTPIMZEU4LTD58
          
            2050-12-01
          
          2.000000
          82468913.00
          85701501.96
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CLBQ5162
          B1V7KEBTPIMZEU4LTD58
          
            2050-12-01
          
          2.000000
          225558494.00
          234399860.66
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLFM2530
          B1V7KEBTPIMZEU4LTD58
          
            2050-02-01
          
          3.500000
          768917.00
          633786.70
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.000 CIFM4457
          B1V7KEBTPIMZEU4LTD58
          
            2035-07-01
          
          3.000000
          602576.00
          525022.88
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.000 CTFM5454
          B1V7KEBTPIMZEU4LTD58
          
            2041-01-01
          
          2.000000
          100000000.00
          103963166.67
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CNMA1241
          B1V7KEBTPIMZEU4LTD58
          
            2022-11-01
          
          2.500000
          4745974.00
          261910.76
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLMA4246
          B1V7KEBTPIMZEU4LTD58
          
            2050-12-01
          
          3.500000
          4667229.00
          4947508.55
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CIBN7708
          B1V7KEBTPIMZEU4LTD58
          
            2034-08-01
          
          2.500000
          600000.00
          415426.43
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLBN9182
          B1V7KEBTPIMZEU4LTD58
          
            2049-07-01
          
          3.500000
          10993740.00
          7375553.64
          Agency Mortgage-Backed Securities
        
        
          FNMS 02.500 CKMA3914
          B1V7KEBTPIMZEU4LTD58
          
            2050-01-01
          
          2.500000
          5105000.00
          2839672.91
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 CLAS9403
          B1V7KEBTPIMZEU4LTD58
          
            2047-04-01
          
          3.500000
          7999999.00
          5100554.90
          Agency Mortgage-Backed Securities
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0008
      429000000.00
      429000000.00
      0.0046
      N
      Y
      Y
      N
    
    
      ROYAL BANK OF CANADA
      ROYAL BANK OF CANADA 0.070000%
      ES7IP3U3RHIGC71XBU11
      0000352613
      ARP0P24S7
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          FEPC 04.500 CLZT1906
          
            2049-03-01
          
          4.500000
          1318.00
          900.29
          Agency Mortgage-Backed Securities
        
        
          FNMS 03.500 I4BF0249
          B1V7KEBTPIMZEU4LTD58
          
            2058-01-01
          
          3.500000
          1145.00
          918.48
          Agency Mortgage-Backed Securities
        
        
          GNII SF BY5063 C
          549300M8ZYFG0OCMTT87
          
            2050-10-20
          
          3.500000
          151323.00
          167224.74
          Agency Mortgage-Backed Securities
        
        
          GNII SF BZ0683 C
          549300M8ZYFG0OCMTT87
          
            2050-11-20
          
          3.500000
          177401.00
          196843.38
          Agency Mortgage-Backed Securities
        
        
          04.000 FGPC V83191 G
          
            2047-06-01
          
          4.000000
          6751.00
          3564.78
          Agency Mortgage-Backed Securities
        
        
          GNII SF BW3903 C
          549300M8ZYFG0OCMTT87
          
            2050-08-20
          
          3.500000
          289942.00
          323413.86
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 728724 X
          549300M8ZYFG0OCMTT87
          
            2041-09-15
          
          5.000000
          2200000.00
          666064.35
          Agency Mortgage-Backed Securities
        
        
          GNII SP 785053 C
          549300M8ZYFG0OCMTT87
          
            2050-06-20
          
          4.500000
          1004.00
          962.48
          Agency Mortgage-Backed Securities
        
        
          GNMI SF 685832 X
          549300M8ZYFG0OCMTT87
          
            2038-04-15
          
          5.500000
          8196118.00
          666396.31
          Agency Mortgage-Backed Securities
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2024-11-30
          
          1.500000
          13823200.00
          14509348.71
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-05-31
          
          0.250000
          141358100.00
          141046958.39
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2023-07-15
          
          0.125000
          242851000.00
          242809484.36
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2023-08-15
          
          0.125000
          100.00
          99.98
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-08-31
          
          0.250000
          100.00
          99.71
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-10-15
          
          0.125000
          229619300.00
          249999987.39
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2027-02-15
          
          6.625000
          179351200.00
          249999924.41
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2046-05-15
          
          2.500000
          209369300.00
          249999882.30
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2047-08-15
          
          2.750000
          191573900.00
          241391255.89
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2048-08-15
          
          3.000000
          105079300.00
          138948670.13
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2028-08-15
          
          2.875000
          88810000.00
          104035430.98
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-03-15
          
          2.375000
          150632800.00
          155770738.34
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2029-05-15
          
          2.375000
          80939900.00
          91617892.73
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-05-15
          
          2.125000
          199100000.00
          205097743.40
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-06-15
          
          1.750000
          97839900.00
          100220563.03
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2024-01-15
          
          0.625000
          125000000.00
          149914070.31
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2024-08-15
          
          2.375000
          131912200.00
          143336620.97
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-02-15
          
          2.000000
          78221800.00
          84320753.75
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2026-02-15
          
          1.625000
          199496500.00
          213260910.64
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2023-05-31
          
          1.625000
          75000000.00
          77769744.64
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2023-07-31
          
          1.250000
          50000000.00
          51676000.54
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2023-09-30
          
          1.375000
          25000000.00
          25922331.87
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2026-11-15
          
          2.000000
          229307000.00
          249999993.07
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2024-05-15
          
          2.500000
          199608300.00
          215696089.35
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-04-30
          
          1.750000
          49000000.00
          50208285.86
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2026-09-30
          
          1.625000
          95000000.00
          101609828.57
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-09-30
          
          1.500000
          100000000.00
          101417320.88
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2021-10-31
          
          1.500000
          139403400.00
          141346352.22
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2026-11-30
          
          1.625000
          100.00
          106.72
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2025-11-30
          
          0.375000
          100.00
          100.12
          U.S. Treasuries (including strips)
        
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2027-12-31
          
          0.625000
          31159800.00
          31096545.61
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0007
      3750000000.00
      3750000000.00
      0.0398
      N
      Y
      Y
      N
    
    
      BANK OF NOVA SCOTIA
      BANK OF NOVA SCOTIA 0.080000%
      L3I9ZG2KFGXZ61BMYR72
      0001041839
      ARP0P24U2
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-01-31
          
          1.375000
          100075800.00
          102000929.34
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0008
      100000000.00
      100000000.00
      0.0011
      N
      Y
      Y
      N
    
    
      BARCLAYS BANK PLC
      BARCLAYS BANK PLC 0.060000%
      G5GSEF7VJP5I7OUK5573
      0001484212
      ARP0P24Z1
      U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash
      Y
      
        N
        
          UNITED STATES TREASURY
          254900HROIFWPRGM1V77
          
            2022-10-31
          
          0.125000
          1466800.00
          1467050.29
          U.S. Treasuries (including strips)
        
      
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0006
      1438264.00
      1438264.00
      0.0000
      N
      Y
      Y
      N
    
    
      CREDIT INDUSTRIEL ET COMMERCIAL
      CREDIT INDUSTRIEL ET COMMERCIAL 0.110000%
      N4JDFKKH2FTD8RKFXO39
      0001274419
      ATD1238O2
      Non-Negotiable Time Deposit
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0011
      241000000.00
      241000000.00
      0.0026
      N
      Y
      Y
      N
    
    
      ABN AMRO BANK NV (AMSTERDAM BRANCH)
      ABN AMRO BANK NV (AMSTERDAM BRANCH) 0.150000%
      BFXS5XCH7N0Y05NIXW11
      0001245022
      ATD1238Q7
      Non-Negotiable Time Deposit
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0015
      433000000.00
      433000000.00
      0.0046
      N
      Y
      Y
      N
    
    
      CREDIT INDUSTRIEL ET COMMERCIAL
      CREDIT INDUSTRIEL ET COMMERCIAL 0.110000%
      N4JDFKKH2FTD8RKFXO39
      0001274419
      ATD123UQ2
      Non-Negotiable Time Deposit
      Y
      2021-01-05
      2021-01-05
      2021-01-05
      N
      N
      N
      0.0011
      702000000.00
      702000000.00
      0.0075
      N
      N
      Y
      N
    
    
      AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (LONDON BRANCH)
      AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (LONDON BRANCH) 0.110000%
      JHE42UYNWWTJB8YTTU19
      0000859994
      ATD123US8
      Non-Negotiable Time Deposit
      Y
      2021-01-05
      2021-01-05
      2021-01-05
      N
      N
      N
      0.0011
      408000000.00
      408000000.00
      0.0043
      N
      N
      Y
      N
    
    
      NATIONAL BANK OF CANADA (MONTREAL BRANCH)
      NATIONAL BANK OF CANADA (MONTREAL BRANCH) 0.110000%
      BSGEFEIOM18Y80CKCV46
      0000926171
      ATD124JQ3
      Non-Negotiable Time Deposit
      Y
      2021-01-06
      2021-01-06
      2021-01-06
      N
      N
      N
      0.0011
      670999194.80
      670999194.80
      0.0071
      N
      N
      Y
      N
    
    
      AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (LONDON BRANCH)
      AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (LONDON BRANCH) 0.110000%
      JHE42UYNWWTJB8YTTU19
      0000859994
      ATD124JR1
      Non-Negotiable Time Deposit
      Y
      2021-01-06
      2021-01-06
      2021-01-06
      N
      N
      N
      0.0011
      652999216.40
      652999216.40
      0.0069
      N
      N
      Y
      N
    
    
      ABN AMRO BANK NV (AMSTERDAM BRANCH)
      ABN AMRO BANK NV (AMSTERDAM BRANCH) 0.120000%
      BFXS5XCH7N0Y05NIXW11
      0001245022
      ATD124JS9
      Non-Negotiable Time Deposit
      Y
      2021-01-06
      2021-01-06
      2021-01-06
      N
      N
      N
      0.0012
      240999975.90
      240999975.90
      0.0026
      N
      N
      Y
      N
    
    
      NATIONAL BANK OF CANADA (MONTREAL BRANCH)
      NATIONAL BANK OF CANADA (MONTREAL BRANCH) 0.110000%
      BSGEFEIOM18Y80CKCV46
      0000926171
      ATD1252G0
      Non-Negotiable Time Deposit
      Y
      2021-01-07
      2021-01-07
      2021-01-07
      N
      N
      N
      0.0011
      269999433.00
      269999433.00
      0.0029
      N
      N
      Y
      N
    
    
      ROYAL BANK OF CANADA (TORONTO BRANCH)
      ROYAL BANK OF CANADA (TORONTO BRANCH) 0.100000%
      ES7IP3U3RHIGC71XBU11
      0000352613
      ATD1252H8
      Non-Negotiable Time Deposit
      Y
      2021-01-07
      2021-01-07
      2021-01-07
      N
      N
      N
      0.0010
      555998054.00
      555998054.00
      0.0059
      N
      N
      Y
      N
    
    
      AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (LONDON BRANCH)
      AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (LONDON BRANCH) 0.110000%
      JHE42UYNWWTJB8YTTU19
      0000859994
      ATD1252J4
      Non-Negotiable Time Deposit
      Y
      2021-01-07
      2021-01-07
      2021-01-07
      N
      N
      N
      0.0011
      947998009.20
      947998009.20
      0.0101
      N
      N
      Y
      N
    
    
      BANK OF NOVA SCOTIA (TORONTO BRANCH)
      BANK OF NOVA SCOTIA (TORONTO BRANCH) 0.090000%
      L3I9ZG2KFGXZ61BMYR72
      0001041839
      ATD1252K1
      Non-Negotiable Time Deposit
      Y
      2021-01-07
      2021-01-07
      2021-01-07
      N
      N
      N
      0.0009
      192999063.95
      192999063.95
      0.0021
      N
      N
      Y
      N
    
    
      MIZUHO BANK LTD (NEW YORK BRANCH)
      MIZUHO BANK LTD (NEW YORK BRANCH) 0.090000%
      RB0PEZSDGCO3JS6CEU02
      0001512734
      ATD1252L9
      Non-Negotiable Time Deposit
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0009
      98000000.00
      98000000.00
      0.0010
      N
      Y
      Y
      N
    
    
      TORONTO-DOMINION BANK/THE (TORONTO BRANCH)
      TORONTO-DOMINION BANK/THE (TORONTO BRANCH) 0.120000%
      PT3QB789TSUIDF371261
      0000947263
      ATD1252M7
      Non-Negotiable Time Deposit
      Y
      2021-01-07
      2021-01-07
      2021-01-07
      N
      N
      N
      0.0012
      48000000.00
      48000000.00
      0.0005
      N
      N
      Y
      N
    
    
      NATIONAL AUSTRALIA BANK LTD (CAYMAN ISLANDS BRANCH)
      NATIONAL AUSTRALIA BANK LTD (CAYMAN ISLANDS BRANCH) 0.070000%
      F8SB4JFBSYQFRQEH3Z21
      0000833029
      ATD1252N5
      Non-Negotiable Time Deposit
      Y
      2021-01-04
      2021-01-04
      2021-01-04
      N
      N
      N
      0.0007
      240999433.65
      240999433.65
      0.0026
      N
      Y
      Y
      N
    
    
      The Charles Schwab Family of Funds
      2021-01-08
      Mark Fischer
      Mark Fischer
      Chief Financial Officer
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