Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

November 27, 2020 6:06 AM

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000009302
        C000025384
        C000025386
        C000202033
        C000058951
        C000161285
        C000025385
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs High Quality Floating Rate Fund
      S000009302
      CY1544SUQOZPFK231N82
      2021-03-31
      2020-09-30
      N
    
    
      216309173.04
      332637.46
      215976535.58
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      6025758.95000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        FHLMC Multifamily Structured Pass Through Certs.
        N/A
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137F2K47
        
          
        
        1587275.68000000
        PA
        USD
        1588183.28000000
        0.735349919256
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-08-25
          Floating
          0.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335HQ30
        
          
        
        2382.00000000
        PA
        USD
        2420.19000000
        0.001120580063
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-08-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        N/A
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BQZB6
        
          
        
        1194189.68000000
        PA
        USD
        1197811.90000000
        0.554602793670
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-06-25
          Floating
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31347JCA1
        
          
        
        51106.64000000
        PA
        USD
        52202.72000000
        0.024170551610
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-05-01
          Floating
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        313614D22
        
          
        
        4439.16000000
        PA
        USD
        4526.34000000
        0.002095755442
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-06-01
          Floating
          3.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLC Student Loan Trust
        N/A
        SLC Student Loan Trust 2010-1
        78444WAA7
        
          
        
        462412.45000000
        PA
        USD
        459528.85000000
        0.212767951280
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-11-25
          Floating
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KJD4
        
          
        
        6828.08000000
        PA
        USD
        6961.47000000
        0.003223252924
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-11-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)DEC20 XCBT 20201221
        000000000
        
          
        
        -22.00000000
        NC
        USD
        -6217.71000000
        -0.00287888218
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                10 Year US Treasury Note
                TYZ0 Comdty
              
            
            2020-12-21
            -3062782.29000000
            USD
            -6217.71000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31396KHF2
        
          
        
        139252.02000000
        PA
        USD
        140496.08000000
        0.065051548133
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-25
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CBAM CLO Management
        254900JYLIAZT0YFW632
        CBAM 2017-2 Ltd
        12481KAA6
        
          
        
        3500000.00000000
        PA
        USD
        3484747.00000000
        1.613484071610
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-10-17
          Floating
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK N.A
        N/A
        CITIBANK N.A
        000000000
        
          
        
        9500000.00000000
        PA
        USD
        9500000.00000000
        4.398625977811
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2020-10-01
          Fixed
          0.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Education Loan Asset-Backed Trust
        5493000CKEJUMJ3IL355
        Education Loan Asset-Backed Trust I
        28140DAB9
        
          
        
        127151.36000000
        PA
        USD
        127001.61000000
        0.058803429575
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-06-25
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31388UDL1
        
          
        
        5070.14000000
        PA
        USD
        5078.77000000
        0.002351537858
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-12-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KAK7
        
          
        
        2855.70000000
        PA
        USD
        2890.37000000
        0.001338279638
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-07-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AJNY8
        
          
        
        350321.80000000
        PA
        USD
        350513.11000000
        0.162292218022
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-25
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Utah State Board of Regents
        549300SAYC054T80UK17
        UTAH ST BRD OF RGTS REVENUE
        91754RVZ7
        
          
        
        5982698.37000000
        PA
        USD
        5933085.05000000
        2.747097055736
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-12-26
          Floating
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank Credit Card Issuance Trust
        R8AG6FXVDQAMDKCSJJ64
        Citibank Credit Card Issuance Trust
        17305EGF6
        
          
        
        4300000.00000000
        PA
        USD
        4316843.06000000
        1.998755581668
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-08-08
          Floating
          0.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31396QF87
        
          
        
        431389.84000000
        PA
        USD
        443118.25000000
        0.205169625862
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31287JRX7
        
          
        
        324.29000000
        PA
        USD
        323.71000000
        0.000149882022
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-01
          Floating
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank Credit Card Issuance Trust
        R8AG6FXVDQAMDKCSJJ64
        Citibank Credit Card Issuance Trust
        17305EGD1
        
          
        
        8100000.00000000
        PA
        USD
        8153565.06000000
        3.775208745757
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-04-22
          Floating
          0.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apex Credit CLO LLC
        N/A
        Apex Credit CLO 2017-II LLC
        03753LAC0
        
          
        
        2983184.89000000
        PA
        USD
        2939048.67000000
        1.360818508412
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-09-20
          Floating
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        South Texas Higher Education Authority Inc
        N/A
        South Texas Higher Education Authority Inc
        840555CZ7
        
          
        
        105629.69000000
        PA
        USD
        105740.41000000
        0.048959212034
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-10-01
          Floating
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BLD88
        
          
        
        2012347.22000000
        PA
        USD
        2030299.37000000
        0.940055531749
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-15
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) DEC20 XCBT 20201221
        000000000
        
          
        
        2.00000000
        NC
        USD
        2681.88000000
        0.001241746003
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Long Bond
                USZ0 Comdty
              
            
            2020-12-21
            349568.12000000
            USD
            2681.88000000
          
        
        
          N
          N
          N
        
      
      
        FREDDIEMAC STRIP
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        3128HVKF5
        
          
        
        181987.20000000
        PA
        USD
        183161.07000000
        0.084806004276
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-15
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Higher Education Funding
        N/A
        Higher Education Funding I
        429827AY4
        
          
        
        1207349.47000000
        PA
        USD
        1207346.21000000
        0.559017305633
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-05-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31346VKL2
        
          
        
        101.12000000
        PA
        USD
        100.86000000
        0.000046699517
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-05-01
          Floating
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        31397KY39
        
          
        
        86866.10000000
        PA
        USD
        87136.89000000
        0.040345535576
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-15
          Floating
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KKR1
        
          
        
        242.84000000
        PA
        USD
        244.57000000
        0.000113239153
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-01-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        9127962F5
        
          
        
        5000000.00000000
        PA
        USD
        4997265.60000000
        2.313800240651
        Long
        STIV
        UST
        US
        N
        
        1
        
          2021-03-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31398GYW3
        
          
        
        4775484.00000000
        PA
        USD
        4885437.13000000
        2.262022176103
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-25
          Floating
          0.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 64 CLO Ltd
        26251LAC8
        
          
        
        5950000.00000000
        PA
        USD
        5854704.80000000
        2.710805960599
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2031-04-18
          Floating
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213187  IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187  IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
        000000000
        
          
        
        11600000.00000000
        OU
        Notional Amount
        USD
        7086.44000000
        0.003281115692
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            182.31000000
            USD
            0.00000000
            USD
            11600000.00000000
            USD
            6904.13000000
          
        
        
          N
          N
          N
        
      
      
        Whitehorse Ltd
        549300UT33WDDDZEYN84
        WhiteHorse X Ltd
        96525WAN3
        
          
        
        1306650.39000000
        PA
        USD
        1297588.77000000
        0.600800807604
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-04-17
          Floating
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AGAH5
        
          
        
        85280.16000000
        PA
        USD
        86000.48000000
        0.039819362677
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-09-25
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36206ARY1
        
          
        
        11830.89000000
        PA
        USD
        13001.85000000
        0.006020028965
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-04-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31365DN43
        
          
        
        5347.69000000
        PA
        USD
        5405.88000000
        0.002502994126
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-02-01
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335HTQ6
        
          
        
        15852.02000000
        PA
        USD
        16392.51000000
        0.007589949508
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-05-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NCUA Guaranteed Notes
        N/A
        NCUA Guaranteed Notes Trust 2010-A1
        62889AAA1
        
          
        
        139644.76000000
        PA
        USD
        139309.35000000
        0.064502076406
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2020-12-07
          Floating
          0.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300SRMXHPGI3BJ386
        SLM Student Loan Trust 2008-5
        78444YAD7
        
          
        
        226317.97000000
        PA
        USD
        224668.41000000
        0.104024453117
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-07-25
          Floating
          1.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31396VQW1
        
          
        
        592949.15000000
        PA
        USD
        594127.04000000
        0.275088698133
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31346AF83
        
          
        
        8687.49000000
        PA
        USD
        9097.69000000
        0.004212351112
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-01
          Floating
          4.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AWB71
        
          
        
        5210508.31000000
        PA
        USD
        5188659.09000000
        2.402417964556
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-25
          Floating
          0.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NCUA Guaranteed Notes
        N/A
        NCUA Guaranteed Notes Trust 2010-R2
        62888UAB6
        
          
        
        1944265.35000000
        PA
        USD
        1944565.35000000
        0.900359543585
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2020-11-05
          Floating
          0.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B4UY0
        
          
        
        392219.07000000
        PA
        USD
        469869.54000000
        0.217555827876
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        31397KNW7
        
          
        
        479868.61000000
        PA
        USD
        487716.57000000
        0.225819239432
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-15
          Floating
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golden Credit Card Trust
        549300BEDPMEONLTJX58
        Golden Credit Card Trust
        380881EX6
        
          
        
        3500000.00000000
        PA
        USD
        3501765.75000000
        1.621363978543
        Long
        ABS-O
        CORP
        CA
        N
        
        2
        
          2022-12-15
          Floating
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31396VGA0
        
          
        
        29948.70000000
        PA
        USD
        30114.12000000
        0.013943236897
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31362L4R8
        
          
        
        3188.93000000
        PA
        USD
        3333.17000000
        0.001543301910
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-01
          Floating
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214356  IRS USD R F   .84500 2 CCPVANILLA / Short: SR214356  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        2070000.00000000
        OU
        Notional Amount
        USD
        -33548.49000000
        -0.01553339575
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-04-10
            74.52000000
            USD
            0.00000000
            USD
            2070000.00000000
            USD
            -33623.01000000
          
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        549300FFTJ3WPTJK8589
        Madison Park Funding XXX LTD
        55821TAA5
        
          
        
        5200000.00000000
        PA
        USD
        5127564.00000000
        2.374130127715
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-15
          Floating
          1.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NCUA Guaranteed Notes
        N/A
        NCUA Guaranteed Notes Trust 2010-R1
        62888VAA6
        
          
        
        530758.71000000
        PA
        USD
        530873.99000000
        0.245801697195
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2020-10-07
          Floating
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31346VHK8
        
          
        
        11490.39000000
        PA
        USD
        11404.64000000
        0.005280499554
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-01
          Floating
          1.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335HTZ6
        
          
        
        31186.38000000
        PA
        USD
        32113.44000000
        0.014868948570
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-06-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31363WE50
        
          
        
        1275.52000000
        PA
        USD
        1276.43000000
        0.000591004016
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-05-20
          Floating
          3.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anchorage Capital CLO LTD
        549300MP4QPQUMB6AD63
        Anchorage Capital CLO 4-R Ltd
        03328LAA0
        
          
        
        3600000.00000000
        PA
        USD
        3569515.20000000
        1.652732872306
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-28
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385Y2E4
        
          
        
        27843.48000000
        PA
        USD
        28359.04000000
        0.013130611584
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Floating
          2.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        3128HDN62
        
          
        
        5270.45000000
        PA
        USD
        5568.26000000
        0.002578178219
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Floating
          6.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Massachusetts Educational Financing Authority
        5493007K5OP7V6CL0Y88
        Massachusetts Educational Financing Authority
        57563NAA6
        
          
        
        293254.17000000
        PA
        USD
        293283.50000000
        0.135794149680
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-04-25
          Floating
          1.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31379LW98
        
          
        
        44645.58000000
        PA
        USD
        45406.74000000
        0.021023922750
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-03-01
          Floating
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KENTUCKY ST HGR EDU STUDENT LOAN CORP
        N/A
        Kentucky Higher Education Student Loan Corp
        49130NCX5
        
          
        
        2959190.07000000
        PA
        USD
        2847077.90000000
        1.318234822294
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-12-01
          Floating
          0.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B92C8
        
          
        
        474456.33000000
        PA
        USD
        474768.29000000
        0.219824014087
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-15
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MMH48
        
          
        
        428.33000000
        PA
        USD
        442.47000000
        0.000204869477
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        N/A
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BAHP0
        
          
        
        251515.34000000
        PA
        USD
        251600.08000000
        0.116494173463
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-08-25
          Floating
          0.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rhode Island Student Loan Authority
        N/A
        RHODE ISLAND ST STUDENT LOAN AUTH STUDENT LOAN REVENUE
        762315NR6
        
          
        
        300939.09000000
        PA
        USD
        297877.82000000
        0.137921380764
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-10-02
          Floating
          0.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Academic Loan Funding Trust
        N/A
        Academic Loan Funding Trust 2013-1
        00389VAA0
        
          
        
        1897163.72000000
        PA
        USD
        1809238.53000000
        0.837701431380
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-12-26
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        3128S5XW9
        
          
        
        636346.14000000
        PA
        USD
        662958.84000000
        0.306958734299
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Floating
          2.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nissan Master Owner Trust Receivables
        N/A
        Nissan Master Owner Trust Receivables
        65474VAP6
        
          
        
        4100000.00000000
        PA
        USD
        4100271.91000000
        1.898480267307
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-10-17
          Floating
          0.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KnowledgeWorks Foundation
        549300ZCR1DGZJLXTI23
        KnowledgeWorks Foundation
        49925JAE7
        
          
        
        905243.02000000
        PA
        USD
        890027.70000000
        0.412094627599
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-02-25
          Floating
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31386XY91
        
          
        
        3693.62000000
        PA
        USD
        3748.16000000
        0.001735447783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Floating
          2.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31396QN88
        
          
        
        9713291.00000000
        PA
        USD
        9911436.31000000
        4.589126445325
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-25
          Floating
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CXP6
        
          
        
        357466.56000000
        PA
        USD
        369080.29000000
        0.170889068578
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-04-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GCO Education Loan Funding Trust
        BMMMD49PLG3NGJVYVM66
        GCO Education Loan Funding Master Trust-II
        36156YAP6
        
          
        
        21441.73000000
        PA
        USD
        21442.05000000
        0.009927953489
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-11-25
          Floating
          0.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31359N4G3
        
          
        
        28677.36000000
        PA
        USD
        28924.97000000
        0.013392644678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-03-25
          Floating
          1.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        313628GG8
        
          
        
        3556.02000000
        PA
        USD
        3567.32000000
        0.001651716465
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-06-01
          Floating
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pikes Peak CLO
        2549000551VJRWC86112
        Pikes Peak CLO 2
        72133JAA5
        
          
        
        6700000.00000000
        PA
        USD
        6624745.60000000
        3.067345062374
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-18
          Floating
          1.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385XHU4
        
          
        
        323059.92000000
        PA
        USD
        336729.97000000
        0.155910441426
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Floating
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT DEC20 XCBT 20201221
        000000000
        
          
        
        -3.00000000
        NC
        USD
        -889.20000000
        -0.00041171139
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Ultra Long Bond
                WNZ0 Comdty
              
            
            2020-12-21
            -663329.55000000
            USD
            -889.20000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        N/A
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BYM23
        
          
        
        2512902.84000000
        PA
        USD
        2519490.16000000
        1.166557354591
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-25
          Floating
          0.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Credit Floorplan Master Owner Trust
        5493001DTG5N7T8BG747
        Ford Credit Floorplan Master Owner Trust A
        34528QHL1
        
          
        
        1500000.00000000
        PA
        USD
        1500107.61000000
        0.694569716090
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-09-15
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385Y2D6
        
          
        
        6543.80000000
        PA
        USD
        6663.76000000
        0.003085409246
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Floating
          2.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rhode Island Student Loan Authority
        N/A
        Rhode Island Student Loan Authority
        762315MG1
        
          
        
        1110207.21000000
        PA
        USD
        1104825.70000000
        0.511548949997
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-07-01
          Floating
          1.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407UMR5
        
          
        
        122530.97000000
        PA
        USD
        127880.10000000
        0.059210182095
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Floating
          3.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZAIS CLO 15 Ltd
        549300BTYXZYFTGVBO58
        Zais Clo 15 Ltd
        98888DAA0
        
          
        
        475000.00000000
        PA
        USD
        478235.70000000
        0.221429470898
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-28
          Floating
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AJPL4
        
          
        
        454707.90000000
        PA
        USD
        455016.28000000
        0.210678571530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-25
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Board of Regents of the State of Utah
        549300SAYC054T80UK17
        Utah State Board of Regents
        91754RYH4
        
          
        
        1462111.55000000
        PA
        USD
        1421947.05000000
        0.658380340337
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-02-25
          Floating
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        N/A
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137F23E4
        
          
        
        2710345.48000000
        PA
        USD
        2718132.30000000
        1.258531299569
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-25
          Floating
          0.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        N/A
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FL2Q6
        
          
        
        1705023.31000000
        PA
        USD
        1715355.41000000
        0.794232301853
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-01-25
          Floating
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Educational Services of America Inc
        N/A
        Edsouth Indenture No 2 LLC
        281380AA3
        
          
        
        948435.83000000
        PA
        USD
        946470.29000000
        0.438228295244
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-09-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        254900NXH68CRC058O44
        OCP CLO 2014-5 Ltd
        67102SAL8
        
          
        
        2600000.00000000
        PA
        USD
        2565773.60000000
        1.187987201067
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-26
          Floating
          1.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BHYE1
        
          
        
        1951494.20000000
        PA
        USD
        1943718.47000000
        0.899967426915
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-15
          Floating
          0.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Student Loan Consolidation Center Student Loan
        5493008KMDJ3GC7JUA63
        Student Loan Consolidation Center Student Loan Trust I
        86386MAY0
        
          
        
        359807.90000000
        PA
        USD
        360163.53000000
        0.166760490454
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-10-25
          Floating
          1.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIEMAC STRIP
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31351DEJ6
        
          
        
        7930355.08000000
        PA
        USD
        7968351.00000000
        3.689452179886
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-15
          Floating
          0.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        9127964S5
        
          
        
        5000000.00000000
        PA
        USD
        4999379.85000000
        2.314779166437
        Long
        STIV
        UST
        US
        N
        
        1
        
          2020-11-17
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FDAK8
        
          
        
        6250582.03000000
        PA
        USD
        6269897.58000000
        2.903045723537
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-15
          Floating
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31367Q2B9
        
          
        
        100.71000000
        PA
        USD
        102.79000000
        0.000047593133
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-02-01
          Floating
          6.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CX27
        
          
        
        93982.65000000
        PA
        USD
        97198.92000000
        0.045004388897
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-05-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214479  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214479  IRS USD P F  1.16000 2 CCPVANILLA
        000000000
        
          
        
        2860000.00000000
        OU
        Notional Amount
        USD
        34192.44000000
        0.015831553139
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2035-05-21
            0.00000000
            USD
            -1063.99000000
            USD
            2860000.00000000
            USD
            35256.43000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214324  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214324  IRS USD P F   .85500 2 CCPVANILLA
        000000000
        
          
        
        1990000.00000000
        OU
        Notional Amount
        USD
        38616.75000000
        0.017880067339
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2045-04-09
            71.64000000
            USD
            0.00000000
            USD
            1990000.00000000
            USD
            38545.11000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335HPY3
        
          
        
        1199.89000000
        PA
        USD
        1200.84000000
        0.000556004844
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-04-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300MHMWVKFEDI8G73
        SLM Student Loan Trust 2008-2
        784442AC9
        
          
        
        421818.17000000
        PA
        USD
        410999.50000000
        0.190298218691
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-04-25
          Floating
          0.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31359U3R4
        
          
        
        8627.80000000
        PA
        USD
        8652.39000000
        0.004006171307
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-11-17
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Educational Services of America Inc
        N/A
        Edsouth Indenture No 5 LLC
        28137RAA5
        
          
        
        1158033.35000000
        PA
        USD
        1130646.79000000
        0.523504457076
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2039-02-25
          Floating
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goal Capital Funding Trust
        N/A
        Goal Capital Funding Trust 2010-1
        38021EAA2
        
          
        
        31167.10000000
        PA
        USD
        30586.32000000
        0.014161871759
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-08-25
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KLK5
        
          
        
        2017.98000000
        PA
        USD
        2066.92000000
        0.000957011369
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-02-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385HN32
        
          
        
        1861.81000000
        PA
        USD
        1932.24000000
        0.000894652743
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Floating
          4.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Missouri Higher Education Loan Authority
        549300MTJ0T46T0MPL41
        Missouri Higher Education Loan Authority
        606072KS4
        
          
        
        1701176.49000000
        PA
        USD
        1676329.62000000
        0.776162843569
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-08-27
          Floating
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138Y2M26
        
          
        
        137760.08000000
        PA
        USD
        142861.69000000
        0.066146856933
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-09-01
          Floating
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31346AF91
        
          
        
        4899.44000000
        PA
        USD
        5098.25000000
        0.002360557356
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-06-01
          Floating
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        -54.00000000
        NC
        USD
        -9411.42000000
        -0.00435761226
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                5 Year US Treasury Note
                FVZ0 Comdty
              
            
            2020-12-31
            -6794588.58000000
            USD
            -9411.42000000
          
        
        
          N
          N
          N
        
      
      
        Montana Higher Education Student Assistance Corp
        N/A
        Montana Higher Education Student Assistance Corp
        61205PAK5
        
          
        
        1474865.64000000
        PA
        USD
        1476628.10000000
        0.683698391602
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-05-20
          Floating
          1.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A2AS2
        
          
        
        1290383.53000000
        PA
        USD
        1296799.70000000
        0.600435457730
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-25
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214480  IRS USD R F   .98000 2 CCPVANILLA / Short: SR214480  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        2650000.00000000
        OU
        Notional Amount
        USD
        -7290.15000000
        -0.00337543612
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-05-21
            0.00000000
            USD
            -2331.33000000
            USD
            2650000.00000000
            USD
            -4958.82000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31398N2W3
        
          
        
        870061.30000000
        PA
        USD
        877487.36000000
        0.406288283883
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-25
          Floating
          0.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31397LGE3
        
          
        
        295662.14000000
        PA
        USD
        303537.19000000
        0.140541744122
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-25
          Floating
          0.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHSTAR EDUCATION FINANCE, INC.
        25490059JOHYRUHEXW19
        Northstar Education Finance Inc
        66705EAA6
        
          
        
        293214.54000000
        PA
        USD
        287728.94000000
        0.133222314742
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-12-26
          Floating
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        N/A
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FL7L2
        
          
        
        1475802.30000000
        PA
        USD
        1484812.52000000
        0.687487886594
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-25
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jamestown CLO Ltd
        254900DHYESSX5WQUA23
        Jamestown CLO X Ltd
        47048HAC1
        
          
        
        4750000.00000000
        PA
        USD
        4713947.50000000
        2.182620203320
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-17
          Floating
          1.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31363WE76
        
          
        
        26841.60000000
        PA
        USD
        26882.17000000
        0.012446801189
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-06-20
          Floating
          3.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        522 Funding CLO LTD
        549300HKB0UTKU91DG08
        522 Funding Clo I Ltd
        04622AAA5
        
          
        
        1600000.00000000
        PA
        USD
        1589945.60000000
        0.736165896786
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-20
          Floating
          1.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31363HKT4
        
          
        
        1672.00000000
        PA
        USD
        1664.26000000
        0.000770574449
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-06-01
          Floating
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chesapeake Funding II LLC
        5493000HT7H4OFOD6Z12
        Chesapeake Funding II LLC
        165183AZ7
        
          
        
        771576.61000000
        PA
        USD
        771761.60000000
        0.357335854993
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2029-08-15
          Floating
          0.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Student Assistance Commision
        549300FKIJ7H0L1PDN43
        Illinois Student Assistance Commission
        452281JD1
        
          
        
        866278.57000000
        PA
        USD
        849555.67000000
        0.393355541016
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-07-25
          Floating
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Evergreen Credit Card Trust
        5493002G9KVV6J3CNU15
        Evergreen Credit Card Trust
        30023JAY4
        
          
        
        8700000.00000000
        PA
        USD
        8704615.35000000
        4.030352337407
        Long
        ABS-O
        CORP
        CA
        N
        
        2
        
          2023-01-15
          Floating
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B27D8
        
          
        
        6466902.48000000
        PA
        USD
        6492955.04000000
        3.006324285443
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-10-25
          Floating
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        -37.00000000
        NC
        USD
        -4222.33000000
        -0.00195499478
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                2 Year US Treasury Note
                TUZ0 Comdty
              
            
            2020-12-31
            -8170754.21000000
            USD
            -4222.33000000
          
        
        
          N
          N
          N
        
      
      
        Alaska Student Loan Corp
        N/A
        ALASKA ST STUDENT LOAN CORP EDU LOAN REVENUE
        011855CM3
        
          
        
        1047635.07000000
        PA
        USD
        1027335.46000000
        0.475669941292
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-08-25
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        31398K2Z2
        
          
        
        691961.36000000
        PA
        USD
        704492.16000000
        0.326189212225
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-15
          Variable
          4.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO II, Ltd.
        549300RT6H1EOIYTDV62
        Halseypoint Clo 2 Ltd
        40638TAA0
        
          
        
        1300000.00000000
        PA
        USD
        1302706.60000000
        0.603170430760
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cedar Funding Ltd
        549300G87EGFMLOYN341
        Cedar Funding VII Clo Ltd
        15032FAA4
        
          
        
        3000000.00000000
        PA
        USD
        2956215.00000000
        1.368766746841
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-20
          Floating
          1.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31348UKA6
        
          
        
        248318.50000000
        PA
        USD
        251016.41000000
        0.116223926514
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-08-01
          Floating
          4.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A6WX8
        
          
        
        427370.17000000
        PA
        USD
        427634.75000000
        0.198000560038
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-25
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B2D74
        
          
        
        5383576.24000000
        PA
        USD
        5404456.98000000
        2.502335249283
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-25
          Floating
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        31398E3D4
        
          
        
        110688.49000000
        PA
        USD
        112677.81000000
        0.052171320230
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-15
          Floating
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31379LW80
        
          
        
        50961.74000000
        PA
        USD
        51733.71000000
        0.023953393761
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-01
          Floating
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        3128JMK48
        
          
        
        372469.19000000
        PA
        USD
        392533.55000000
        0.181748238967
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Floating
          3.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golden Credit Card Trust
        549300BEDPMEONLTJX58
        Golden Credit Card Trust
        380881ED0
        
          
        
        11200000.00000000
        PA
        USD
        11237172.80000000
        5.202960020551
        Long
        ABS-O
        CORP
        CA
        N
        
        2
        
          2024-07-15
          Floating
          0.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Express Credit Account Master Trust
        549300Y4SA5G3GIJTP18
        American Express Credit Account Master Trust
        02587AAL8
        
          
        
        3700000.00000000
        PA
        USD
        3716189.13000000
        1.720644846913
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-09-16
          Floating
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411GTW2
        
          
        
        605743.72000000
        PA
        USD
        639292.78000000
        0.296001034687
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Floating
          3.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Scholar Funding Trust
        N/A
        Scholar Funding Trust 2010-A
        80705RAA8
        
          
        
        686539.89000000
        PA
        USD
        667682.42000000
        0.309145814477
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-10-28
          Floating
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31349HA23
        
          
        
        4473.22000000
        PA
        USD
        4669.30000000
        0.002161947818
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-06-01
          Floating
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        3128JLYR4
        
          
        
        415469.13000000
        PA
        USD
        435024.35000000
        0.201422042830
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Floating
          2.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT DEC20 XCBT 20201221
        000000000
        
          
        
        -4.00000000
        NC
        USD
        976.72000000
        0.000452234312
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US 10 Year Ultra Bond
                UXYZ0 Comdty
              
            
            2020-12-21
            -640164.22000000
            USD
            976.72000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31397UTT6
        
          
        
        328160.40000000
        PA
        USD
        331922.10000000
        0.153684333859
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-25
          Floating
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389FMA7
        
          
        
        9743.61000000
        PA
        USD
        9775.54000000
        0.004526204651
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-01-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31362GM40
        
          
        
        3634.30000000
        PA
        USD
        3821.83000000
        0.001769557970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-01-01
          Floating
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225DEM2
        
          
        
        231939.03000000
        PA
        USD
        238971.89000000
        0.110647154033
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-08-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2020-10-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
    
  



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